Glossary of Concepts. Methodology for the Financial Data Standardisation Project (M4FDS)

Transcription

1 DG-FISMA Unit B2 Glossary of Concepts Methodology for the Financial Data Standardisation Project (M4FDS) Date: 30/06/2017 Doc. Version: 05 Commission européenne, B-1049 Bruxelles / Europese Commissie, B-1049 Brussel - Belgium. Telephone: (32-2) Office: 05/45. Telephone: direct line (32-2) Commission européenne, L-2920 Luxembourg. Telephone: (352)

2 Concept Aggregated reporting Data model Data point Data Point Model (DPM) Dimension Direct information receiver Domain Domain member Definition A reporting applicable to aggregated information only (e.g. CRD4/CRR). A structured information requirement where each piece of information and dependencies between them are identified (and, where applicable, described, for instance in form of a reporting table for a given reporting ). Each combination of metric and its characteristics representing together a potential fact to be reported as part of a reporting obligation. The number of data points in a table can be higher that number of open cells as multiplication mechanism could be applied (for example in a table with a finite number of exposure classes or a table with unlimited number of entities inside a capital group). A structured representation of data, identifying all the data points and their relations. DPM may include description of data validation rules. A dimension contextualizes domain members when applied to a data point i.e. they contribute to the semantics of a domain member which, without a dimension, may be insufficient to represent the full meaning of information requirement. For instance, to fully understand the context of a domain member One year it is necessary to combine it with specific dimension, for example Original maturity or Remaining maturity. An entity to which the information requirement needs to be directly provided by the reporting entity (for instance a National Central Bank). A domain is a set of elements sharing a specified semantic nature (i.e. currencies; countries; codes of instruments). Domain can be of one of two kinds: explicit and typed. An explicit domain has its elements enumerated in the model (i.e. set of ISO codes of countries) while a typed domain values are assigned in the report based on a specified format (pattern to be followed by ISIN code of instrument). A domain member is enumerated element of an explicit domain. Date: 30/06/ / 6 Doc. Version: 05

3 Equivalent data point Fact Filer sector Information requirement Level 1 Measures (L1Ms) Level 2 Measures (L2Ms) Metric A case when the same data point is referenced in two or more reporting tables. A value reported together with all identifying characteristics. For instance 5000 provided as a monetary value (e.g. in EUR) of a particular data point. A sector of the economy to which all the reporting entities subject to specific a reporting obligation belong (i.e. banking sector, insurance sector). A maximum set of information (structured or unstructured) to be reported under specific reporting obligation, together with all dependencies between them (i.e. validation rules). Some information doesn t have to be provided by each reporting entity subject to a given reporting obligation (i.e. reporting table dedicated to detailed reporting of derivatives has to be provided by a reporting entity only if there are any derivatives reported by this entity on the face of the balance sheet ). Basic laws adopted by the European Parliament and Council based on a proposal made by the Commission, in the traditional codecision procedure. This legislation (Directive or Regulation) specifies in individual articles whether legislative power is delegated to the Commission to adopt Level 2 measures. Multiple Level 1 Regulations and Directives in the area of financial services contain empowerments for Level 2 measures to be adopted by the Commission by means of Delegated acts, Implementing acts, or measures under the former comitology regulatory procedure with scrutiny. These measures are endorsed in accordance with different procedures set out in the relevant basic act and may be subject to formal committee decisions or provide for certain scrutiny rights of the European Parliament and the Council. Where the Level 2 measures require the expertise of supervisory experts, it can be determined in the basic act that these measures are technical standards based on drafts developed by the European supervisory authorities. There are two types of standards: (i) the Regulatory technical standards (RTS), which are adopted by the Commission by means of a Delegated act and (ii) the Implementing technical standards (ITS), which are adopted by means of an Implementing act. A metric is the minimum description of each data point (each data point must include in its definition one, and only one, metric). It carries the information on the expected value of a fact (data type, for instance: Date, Integer or String) and the time context (period type: instant vs. duration). It may include other semantics (business properties) depending on the approach taken by the author of a particular DPM. Date: 30/06/ / 6 Doc. Version: 05

4 Mixed reporting Reporting entity Reporting Reporting frequency gap (narrow definition) gap (wide definition) inconsistency overlap overlap (Category 1) A reporting applicable to both transactional and aggregated information (e.g. Solvency II defining Balance sheet reporting and Intra Group Transactions reporting). An entity from the reporting population that needs to fulfill an information requirement. A set of information requirements managed and updated together at the EU level and implemented at national level. Usually a reporting refers to a single L1M (i.e. EMIR) or set of connected L1Ms (MIFIDII/MIFIR) together with corresponding L2Ms. A frequency required in order to fulfill a specific reporting obligation (i.e. monthly, annually). An obligation to provide specific information that is derived from legal acts or international standards. Usually its definition includes the reporting population, direct information receiver, information requirement, reporting frequency and reporting scenario. A reporting obligation that is provided in L1Ms or L2Ms but is without any of its mandatory attributes (i.e. reporting frequency). that should be defined according to International standards and/or best practices but is not reflected in L1Ms nor L2Ms. A case when it is not determined whether a reporting obligation overlap exists because there are two or more facts with definitions that may not be aligned. Alignment of the definitions is required before assessing the reporting obligation overlap. An overlap between components of reporting obligations implemented in two reporting s. A reporting obligation overlap requires at least the filer sectors to overlap between reporting obligations. The same reporting obligation implemented in two reporting s, where the only difference is the direct information receiver. Example: A credit institution needs to report the total value of assets because of the same set of reporting triggers (i.e. using IFRS) to both the National Central Bank and National Supervisory Authority for the end of a given year. Date: 30/06/ / 6 Doc. Version: 05

5 overlap (Category 2) overlap (Category 3) overlap (Category 4) redundancy Reporting population Reporting scenario Reporting table s sharing information requirements that are not Category 1 reporting obligation overlaps. Example: A credit institution needs to send information about revenues to National Central Bank if its value of assets exceeds 30 billion. Exactly the same information need to be provided to National Supervisory Authority in case the value of revenue for the last year exceeds one billion. If in one year two of these triggers will be fulfilled the credit institution has to send the same fact twice. s implemented in two reporting s that could be classified as a Category 1 or Category 2 reporting obligation overlap but the information requirement is not the same. In the same time the information requirement provided in one reporting could be calculated based on information requirements from another reporting. Example: A credit institution needs to report the total value of revenue to the National Central Bank. The institution is also required to provide values of (i) revenue from domestic market and (ii) revenue from foreign markets to the National Supervisory Authority. Both Authorities will have information about the total value of revenue, but the National Supervisory Authority would have to calculate it based on information received (simple summation in this case). s implemented in two reporting s that under some circumstances could be classified as Category 1 or Category 2 or Category 3 reporting obligation overlap. For instance one reporting obligation requires national and another international consolidation scope which could be the same fact for filer without foreign activities. Example: A credit institution needs to report the value of revenue to the National Central Bank. In the same time the institution is required to provide the value of revenue from domestic market to the National Supervisory Authority. If a credit institution does not have revenue from foreign markets (the credit institution is operating only on domestic market), the values will be the same, despite the fact that theoretically the information requirements were different. A case when an information requirement is described more than once in a specific reporting obligation (i.e. the same fact being requested more than once). The maximum potential set of reporting entities obliged to fulfil a reporting obligation. A set of determinants (other than reporting entity) triggering the need to fulfill a reporting obligation. A set of cells (reportable or not reportable) organized together based on X, Y and Z axes. Not all axes must exist for a given reporting table. Date: 30/06/ / 6 Doc. Version: 05

6 Reporting template Sector-specific reporting Transactional reporting Validation rule A coherent and often connected set of reporting tables, treated together (for instance balance sheet could be treated as a reporting template consisting of three reporting tables: Assets, Liabilities and Equity). A reporting applicable only to selected sectors of economy (e.g. investment funds or credit institutions). Reporting applicable to transactional information only (e.g. MIFID II/MIFIR). A validation rule is a test verifying for example a consistency of facts provided in a given reporting table or in different reporting tables. Date: 30/06/ / 6 Doc. Version: 05