Commission Implementing Regulation (EU) 2021/2284 of 10 December 2021 laying down implementing technical standards for the application of Regulation (EU) 2019/2033 of the European Parliament and of the Council with regard to supervisory reporting and disclosures of investment firms (Text with EEA relevance)
Date: 2021-12-10
Institutions: European Commission
Subjects: capital market, disclosure of information, financial control, financial legislation, financial supervision, investment company, private-sector liquidity, technical standard, venture capital




L_2021458EN.01004801.xml










22.12.2021   


EN


Official Journal of the European Union


L 458/48








            COMMISSION IMPLEMENTING REGULATION (EU) 2021/2284
of 10 December 2021
         
laying down implementing technical standards for the application of Regulation (EU) 2019/2033 of the European Parliament and of the Council with regard to supervisory reporting and disclosures of investment firms
(Text with EEA relevance)


THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,


Having regard to Regulation (EU) 2019/2033 of the European Parliament and of the Council of 27 November 2019 on the prudential requirements for investment firms and amending Regulations (EU) No 1093/2010, (EU) No 575/2013, (EU) No 600/2014 and (EU) No 806/2014 (1), and in particular Article 49(2) and Article 54(3) thereof,

Whereas:







(1)


The reporting requirements for investment firms provided in Article 54 of Regulation (EU) 2019/2033 should be tailored to the business of the investment firms and be proportionate to the scale and complexity of different investment firms. Those requirements should in particular take into account that certain investment firms are to be considered to be small and non-interconnected as per the conditions set out in Article 12 of Regulation (EU) 2019/2033.












(2)


According to Article 54(1) of Regulation (EU) 2019/2033, small and non-interconnected investment firms are to report information about the level and composition of their own funds, their own funds requirements, the basis for the calculation of their own funds requirements and the level of activity in respect of the conditions set out in Article 12(1) of Regulation (EU) 2019/2033. Small and non-interconnected firms are thus not required to report the same level of detail of information as other investment firms subject to Regulation (EU) 2019/2033. The reporting templates on K-factor calculation should therefore not be applicable to small and non-interconnected firms. In addition, according to Article 54(2), third subparagraph, of Regulation (EU) 2019/2033, small and non-interconnected firms are exempt from reporting on concentration risk and competent authorities may exempt small and non-interconnected firms from the obligation to report on liquidity requirements.












(3)


All investment firms subject to Regulation (EU) 2019/2033 should report their activity profile and size to enable competent authorities to assess whether those investment firms meet the conditions laid down in Article 12 of Regulation (EU) 2019/2033 to be classified as small and non-interconnected investment firms.












(4)


In order to provide transparency to their investors and the wider markets, Article 46 of Regulation (EU) 2019/2033 requires investment firms other than small and non-interconnected investment firms to publicly disclose the information specified in Part Six of that Regulation. Small and non-interconnected investment firms are not subject to those disclosure requirements, except where they issue Additional Tier 1 instruments in order to provide transparency to the investors in those instruments.












(5)


This Regulation should provide investment firms with templates and tables to convey sufficiently comprehensive and comparable information on the composition and quality of their own funds. More specifically, it is necessary to introduce a quantitative disclosure template on the composition of own funds and a flexible template on the reconciliation of regulatory own funds with the audited financial statements. For the same reason, it is also necessary to lay down a template with information on the most relevant features of own funds instruments issued by the investment firm.












(6)


In order to facilitate the implementation of reporting and disclosure requirements, it is necessary to enhance the consistency between reporting and disclosure templates. The template for the disclosure on composition of own funds should therefore be closely aligned with the related reporting template on the level and composition of own funds. For the same reason, the template for the disclosure on full reconciliation of own funds with the audited financial statements should be flexible in that the breakdown of the template should be based on the breakdown of the balance sheet in the investment firm’s audited financial statements. Additionally, the template to disclose information about the main features of regulatory own funds should be a fixed template and its complexity should depend on the complexity of the own funds instruments.












(7)


To ensure that compliance costs for investment firms are not unreasonably increased and that data quality is maintained, reporting and disclosure obligations should be aligned in their substance to the maximum extent possible with each other. It is therefore appropriate to set out, in a single Regulation, standards applicable to both reporting and disclosure requirements.












(8)


This Regulation is based on the draft implementing technical standards submitted to the Commission by the European Banking Authority (EBA) after having consulted the European Securities and Markets Authority.












(9)


The EBA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council (2),





HAS ADOPTED THIS REGULATION:



CHAPTER I


SUPERVISORY REPORTING



Article 1

Reporting reference dates


1.   The information referred to in Article 54(1) of Regulation shall be reported as this information stands on the following reporting reference dates:






(a)


quarterly reporting: 31 March, 30 June, 30 September and 31 December;










(b)


annual reporting: 31 December.






2.   The reporting reference dates referred to in paragraph 1 may be adjusted where investment firms are permitted by national law to report their financial information based on their accounting year-end which deviates from the calendar year, so that the quarterly reporting of information is performed every three months of the respective accounting year and the annual reporting at the accounting year-end.



Article 2

Reporting remittance dates


1.   The information referred to in Article 54(1) of Regulation (EU) 2019/2033 shall be submitted by close of business of the following remittance dates:






(a)


quarterly reporting: 12 May, 11 August, 11 November and 11 February;










(b)


annual reporting: 11 February.






2.   Where the reporting remittance day is a public holiday in the Member State of the competent authority to which the report is to be provided, or a Saturday or a Sunday, the reporting remittance day shall be the following working day.


3.   Where investment firms report their information using adjusted reporting reference dates based on their accounting year-end as set out in Article 1(2) of this Regulation, the remittance dates may be adjusted accordingly so that the same remittance period from the adjusted reporting reference date is maintained.


4.   Investment firms may submit unaudited figures. Where audited figures deviate from submitted unaudited figures, the revised, audited figures shall be submitted without undue delay. For the purposes of this Article, ‘unaudited figures’ shall mean figures that have not received an external auditor’s opinion whereas audited figures are figures audited by an external auditor expressing an audit opinion.


5.   Corrections to the submitted reports shall be submitted to the competent authorities without undue delay.



Article 3

Application of reporting requirements on an individual basis

In order to comply with the reporting requirements of Article 54 of Regulation (EU) 2019/2033 on an individual basis, investment firms shall report the information specified in Articles 5, 6 and 7 of this Regulation with the frequency specified therein.


Article 4

Application of reporting requirements on a consolidated basis

In order to comply with the reporting requirements referred to in Article 54 of Regulation (EU) 2019/2033 on a consolidated basis, investment firms shall report the information specified in Articles 5 and 6 of this Implementing Regulation with the frequency specified therein.


Article 5

Format and frequency of reporting by investment firms other than small and non-interconnected investment firms


1.   Investment firms other than small and non-interconnected investment firms shall report the information required by paragraphs 1 and 2 of Article 54 of Regulation (EU) 2019/2033 by using the templates laid down in Annex I to this Regulation in accordance with the instructions set out in Annex II to this Regulation with a quarterly frequency.


2.   Investment firms other than small and non-interconnected investment firms that determine the RtM K-factor requirement on the basis of K-NPR in accordance with Article 21(1) of Regulation (EU) 2019/2033 shall report the information specified in templates C 18.00 to C 24.00 of Annex I to Commission Implementing Regulation (EU) 2021/451 (3) in accordance with the instructions set out in Part 2 of Annex II to that Implementing Regulation with a quarterly frequency.


3.   Investment firms other than small and non-interconnected investment firms that make use of the derogation laid down in Article 25(4) of Regulation (EU) 2019/2033 shall report the information specified in template C 34.02 of Annex I to Implementing Regulation (EU) 2021/451 in accordance with the instructions set out in Part 2 of Annex II to that Implementing Regulation with a quarterly frequency.


4.   Investment firms other than small and non-interconnected investment firms that make use of the derogation laid down in Article 25(5), second subparagraph, of Regulation (EU) 2019/2033 shall report the information specified in template C 25.00 of Annex I to Implementing Regulation (EU) 2021/451 in accordance with the instructions set out in Part 2 of Annex II to that Implementing Regulation with a quarterly frequency.



Article 6

Format and frequency of reporting by small and non-interconnected investment firms


1.   Small and non-interconnected investment firms shall report the information specified in the templates of Annex III to this Regulation in accordance with the instructions of Annex IV to this Regulation with an annual frequency. Investment firms that benefit from the exemption referred to in Article 43(1), second subparagraph, of Regulation (EU) 2019/2033 shall be exempted from the duty to submit the information specified in template IF 09.01 of Annex III to this Regulation.



Article 7

Format and frequency of reporting by entities benefitting from the application of Article 8 of Regulation (EU) 2019/2033

By way of derogation from Article 4 of this Regulation, entities referred to in Article 8(3) of Regulation (EU) 2019/2033 that are benefitting from the application of that Article shall report the information set out in the templates of Annex VIII to this Regulation in accordance with the instructions set out in Annex IX to this Regulation with a quarterly frequency.


Article 8

Data precision and information associated with submissions


1.   Investment firms shall submit the information referred to in this Regulation in the data exchange formats and representations specified by competent authorities and respecting the data point definition of the data point model and the validation formulae specified in Annex V as well as the following specifications:






(a)


information that is not required or not applicable shall not be included in a data submission;










(b)


numeric values shall be submitted as facts pursuant to the following conventions:






(i)


data points with the data type ‘Monetary’ shall be reported using a minimum precision equivalent to thousands of units;










(ii)


data points with the data type ‘Percentage’ shall be expressed as per unit with a minimum precision equivalent to four decimals;










(iii)


data points with the data type ‘Integer’ shall be reported using no decimals and a precision equivalent to units.










2.   Investment firms shall be identified by their Legal Entity Identifier (LEI). Legal entities and counterparties other than investment firms shall be identified by their LEI, where available.


3.   Information submitted by investment firms on the basis of this Regulation shall be accompanied with the following information:






(a)


reporting reference date and reference period;










(b)


reporting currency;










(c)


accounting standard;










(d)


Legal Entity Identifier (LEI) of the reporting institution;










(e)


scope of consolidation.








CHAPTER II


PUBLIC DISCLOSURE BY INVESTMENT FIRMS



Article 9

Disclosure principles


1.   Information to be disclosed in accordance with this Regulation shall be subject to the following principles:






(a)


disclosures shall be subject to the same level of internal verification as that applicable to the management report included in the investment firm’s financial report;










(b)


disclosures shall be clear and shall be presented in a form that is understandable to users of information and communicated through an accessible medium. Important messages shall be highlighted and easy to find. Complex issues shall be explained in simple language. Related information shall be presented together;










(c)


disclosures shall be meaningful and consistent over time to enable users of information to compare information across disclosure periods;










(d)


quantitative disclosures shall be accompanied by qualitative explanations and any other supplementary information that may be necessary in order for the users of that information to understand them, noting in particular any significant change in any given disclosure compared to the information contained in previous disclosures.







Article 10

Disclosure of own funds by investment firms

Investment firms shall make the disclosures on own funds required by Article 49(1) of Regulation (EU) 2019/2033 by using the templates of Annex VI to this Regulation and in accordance with the relevant instructions set out in Annex VII to this Regulation.


Article 11

General disclosure provisions


1.   Where disclosing the information referred to in Article 10 of this Regulation, investment firms shall ensure that numeric values are submitted as facts in accordance with the following:






(a)


quantitative monetary data shall be disclosed using a minimum precision equivalent to thousands of units;










(b)


quantitative data disclosed as ‘Percentage’ shall be expressed as per unit with a minimum precision equivalent to four decimals.






2.   When disclosing the information referred to in Article 10of this Regulation, investment firms shall ensure that the data are associated with all of the following information:






(a)


disclosure reference date and reference period;










(b)


disclosure currency;










(c)


name and where relevant, the Legal Entity Identifier (LEI) of the disclosing institution;










(d)


where relevant, the accounting standard;










(e)


where relevant, the scope of consolidation.








CHAPTER III


FINAL PROVISIONS



Article 12

Entry into force

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.





This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 10 December 2021.


For the Commission


The President

Ursula VON DER LEYEN
            





(1)  
            OJ L 314, 5.12.2019, p. 1.

(2)  Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12).

(3)  Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (OJ L 97, 19.3.2021, p. 1).




ANNEX I
REPORTING FOR INVESTMENT FIRMS OTHER THAN SMALL AND NON-INTERCONNECTED INVESTMENT FIRMS









INVESTMENT FIRMS TEMPLATES






Template number




Template code




Name of the template /group of templates




Short name





 


 



OWN FUNDS: level, composition, requirements and calculation



 




1


I 01.00


Own funds


I1




2,1


I 02.01


Own funds requirements


I2.1




2,2


I 02.02


Capital ratios


I2.2




3


I 03.00


Fixed overheads requirements calculation


I3




4


I 04.00


Total K-Factor requirement calculations


I4




 


 



SMALL AND NON-INTERCONNECTED INVESTMENT FIRMS



 




5


I 05.00


Level of activity - Thresholds review


I5




 


 



K-FACTOR REQUIREMENTS - ADDITIONAL DETAILS



 




6,1


I 06.01


Assets under management - AUM additional detail


I6.1




6,2


I 06.02


Average value of total monthly AUM


I6.2




6,3


I 06.03


Client money held - CMH additional detail


I6.3




6,4


I 06.04


Average value of total daily CMH


I6.4




6,5


I 06.05


Assets safeguarded and administered - ASA additional detail


I6.5




6,6


I 06.06


Average value of total daily ASA


I6.6




6,7


I 06.07


Client orders handled - COH additional detail


I6.7




6,8


I 06.08


Average value of total daily COH


I6.8




6,9


I 06.09


K-Net position risk - K-NPR additional detail


I6.9




6,1


I 06.10


Clearing Margin given - CMG additional detail


I6.10




6,11


I 06.11


Trading counterparty default - TCD additional detail


I6.11




6,12


I 06.12


Daily trading flow - DTF additional detail


I6.12




6,13


I 06.13


Average value of total daily DTF


I6.13




 


 



CONCENTRATION RISK



 




7


I 07.00


K-CON - additional detail


I7




8,1


I 08.01


Level of concentration risk - Client money held


I8.1




8,2


I 08.02


Level of concentration risk - Assets seafeguarded and administered


I8.2




8,3


I 08.03


Level of concentration risk -Total own cash deposited


I8.3




8,4


I 08.04


Level of concentration risk - Total earnings


I8.4




8,5


I 08.05


Trading book exposures


I8.5




8,6


I 08.06


Non-trading book and off-balance sheet items


I8.6




 


 



LIQUIDITY REQUIREMENTS



 




9


I 09.00


Liquidity requirements


I9





I 01.00 - OWN FUNDS COMPOSITION (I1)









Rows




Item




Amount





0010




0010



OWN FUNDS



 




0020



TIER 1 CAPITAL



 




0030



COMMON EQUITY TIER 1 CAPITAL



 




0040


Fully paid up capital instruments


 




0050


Share premium


 




0060


Retained earnings


 




0070


Previous years retained earnings


 




0080


Profit eligible


 




0090


Accumulated other comprehensive income


 




0100


Other reserves


 




0110


Minority interest given recognition in CET1 capital


 




0120


Adjustments to CET1 due to prudential filters


 




0130


Other funds


 




0140


(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1


 




0150


(-) Own CET1 instruments


 




0160


(-) Direct holdings of CET1 instruments


 




0170


(-) Indirect holdings of CET1 instruments


 




0180


(-) Synthetic holdings of CET1 instruments


 




0190


(-) Losses for the current financial year


 




0200


(-) Goodwill


 




0210


(-) Other intangible assets


 




0220


(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities


 




0230


(-) Qualifying holding outside the financial sector which exceeds 15% of own funds


 




0240


(-) Total qualifying holdings in undertaking other than financial sector entities which exceeds 60% of its own funds


 




0250


(-) CET1 instruments of financial sector entites where the investment firm does not have a significant investment


 




0260


(-) CET1 instruments of financial sector entities where the investment firm has a significant investment


 




0270


(-) Defined benefit pension fund assets


 




0280


(-) Other deductions


 




0290


CET1: Other capital elements, deductions and adjustments


 




0300



ADDITIONAL TIER 1 CAPITAL



 




0310


Fully paid up, directly issued capital instruments


 




0320


Share premium


 




0330


(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1


 




0340


(-) Own AT1 instruments


 




0350


(-) Direct holdings of AT1 instruments


 




0360


(-) Indirect holdings of AT1 instruments


 




0370


(-) Synthetic holdings of AT1 instruments


 




0380


(-) AT1 instruments of financial sector entities where the investment firm does not have a significant investment


 




0390


(-) AT1 instruments of financial sector entities where the investment firm has a significant investment


 




0400


(-) Other deductions


 




0410


Additional Tier 1: Other capital elements, deductions and adjustments


 




0420



TIER 2 CAPITAL



 




0430


Fully paid up, directly issued capital instruments


 




0440


Share premium


 




0450


(-) TOTAL DEDUCTIONS FROM TIER 2


 




0460


(-) Own T2 instruments


 




0470


(-) Direct holdings of T2 instruments


 




0480


(-) Indirect holdings of T2 instruments


 




0490


(-) Synthetic holdings of T2 instruments


 




0500


(-) T2 instruments of financial sector entities where the investment firm does not have a significant investment


 




0510


(-) T2 instruments of financial sector entities where the investment firm has a significant investment


 




0520


Tier 2: Other capital elements, deductions and adjustments


 





I 02.01 - OWN FUNDS REQUIREMENTS (I2.1)









Rows




Item




Amount





0010




0010


Own Funds requirement


 




0020


Permanent minimum capital requirement


 




0030


Fixed overhead requirement


 




0040


Total K-Factor Requirement


 




 



Transitional own funds requirements



 




0050


Transitional requirement based on CRR own funds requirements



 




0060


Transitional requirement based on fixed overhead requirements



 




0070


Transitional requirement for investment firms previously subject only to an initial capital requirement



 




0080


Transitional requirement based on initial capital requirement at authorisation



 




0090


Transitional requirement for investment firms that are not authorised to provide certain services


 




0100


Transitional requirement of at least 250 000  EUR


 




 



Memorandum items



 




0110


Additional own funds requirement


 




0120


Additional own funds guidance


 




0130


Total own funds requirement


 





IF 02.02 - CAPITAL RATIOS (IF2.2)









Rows




Item




Amount





0010




0010


CET 1 Ratio


 




0020


Surplus(+)/Deficit(-) of CET 1 Capital


 




0030


Tier 1 Ratio


 




0040


Surplus(+)/Deficit(-) of Tier 1 Capital


 




0050


Own Funds Ratio


 




0060


Surplus(+)/Deficit(-) of Total capital


 





I 03.00 - FIXED OVERHEADS REQUIREMENT CALCULATION (I3)








 


 



Amount






Rows




Item




0010






0010




Fixed Overhead Requirement



 





0020




Annual Fixed Overheads of the previous year after distribution of profits



 





0030




Total expenses of the previous year after distribution of profits



 





0040



Of which: Fixed expenses incurred on behalf of the investment firms by third parties


 





0050




(-)Total deductions



 





0060



(-)Staff bonuses and other remuneration


 





0070



(-)Employees', directors' and partners' shares in net profits


 





0080



(-)Other discretionary payments of profits and variable remuneration


 





0090



(-)Shared commission and fees payable


 





0100



(-)Fees, brokerage and other charges paid to CCPs that are charged to customers


 





0110



(-)Fees to tied agents


 





0120



(-)Interest paid to customers on client money where this is at the firm's discretion


 





0130



(-)Non-recurring expenses from non-ordinary activities


 





0140



(-)Expenditures from taxes


 





0150



(-)Losses from trading on own account in financial instruments


 





0160



(-)Contract based profit and loss transfer agreements


 





0170



(-)Expenditure on raw materials


 





0180



(-)Payments into a fund for general banking risk


 





0190



(-)Expenses related to items that have already been deducted from own funds


 





0200




Projected fixed overheads of the current year



 





0210




Variation of fixed overheads (%)



 





I 04.00 - TOTAL K-FACTOR REQUIREMENT CALCULATIONS (I4)









 


 



Factor amount




K-factor requirement






Rows




Item




0010




0020






0010




TOTAL K-FACTOR REQUIREMENT



 


 





0020




Risk to client



 


 





0030



Assets under management


 


 





0040



Client money held - Segregated


 


 





0050



Client money held - Non - segregated


 


 





0060



Assets safeguarded and administered


 


 





0070



Client orders handled - Cash trades


 


 





0080



Client orders handled - Derivatives Trades


 


 





0090




Risk to market



 


 





0100



K-Net positions risk requirement


 


 





0110



Clearing margin given


 


 





0120




Risk to firm



 


 





0130



Trading counterparty default


 


 





0140



Daily trading flow - Cash trades


 


 





0150



Daily trading flow - Derivative trades


 


 





0160



K-Concentration risk requirement


 


 





I 05.00 - LEVEL OF ACTIVITY - THRESHOLDS REVIEW (I5)








 


 



Amount






Rows




Item




0010






0010




(Combined) assets under management



 





0020




(Combined) client orders handled - Cash trades



 





0030




(Combined) client orders handled - Derivatives



 





0040




Assets safeguarded and administered



 





0050




Client money held



 





0060




Daily trading flow - cash trades and derivative trades



 





0070




Net position risk



 





0080




Clearing margin given



 





0090




Trading counterparty default



 





0100




(Combined) on - and off-balance sheet total



 





0110




Combined total annual gross revenue



 





0120




Total annual gross revenue



 





0130




(-) Intragroup part of the annual gross revenue



 





0140



Of which: revenue from reception and transmission of orders


 





0150



Of which: revenue from execution of orders


 





0160



Of which: revenue from dealing on own account


 





0170



Of which: revenue from portfolio management


 





0180



Of which: revenue from investment advice


 





0190



Of which: revenue from underwriting of financial instruments/placing on a firm commitment basis


 





0200



Of which: revenue from placing without a firm commitment basis


 





0210



Of which: revenue from operation of an MTF


 





0220



Of which: revenue from operation of an OTF


 





0230



Of which: revenue from safekeeping and administration of financial instruments


 





0240



Of which: revenue from granting credits or loans to investors


 





0250



Of which: revenue from advice to undertakings on capital structure, industrial strategy and related matters and advice and services relating to mergers and the purchase of undertakings


 





0260



Of which: revenue from foreign exchange services


 





0270



Of which: investment research and financial analysis


 





0280



Of which: revenue from services related to underwriting


 





0290



Of which: investment services and ancillary activities related with the underlying of derivatives


 





I 06.00   K -Factor - additional details (I 06)


I 06.01   Assets under management - AUM additional details










 


 



Factor amount





 


 



Month t




Month t-1




Month t-2





 


 



0010




0020




0030






0010



Total AUM (average amounts)


 


 


 





0020



Of which: AUM - Discretionary portfolio management


 


 


 





0030



Of which: AUM formally delegated to another entity


 


 


 





0040



AUM - Ongoing non-discretionary advice


 


 


 





I 06.02   Monthly assets under management





















 


 



End-of-month values





 


 



Month t-3




Month t-4




Month t-5




Month t-6




Month t-7




Month t-8




Month t-9




Month t-10




Month t-11




Month t-12




Month t-13




Month t-14




Month t-15




Month t-16





 


 



0010




0020




0030




0040




0050




0060




0070




0080




0090




0100




0110




0120




0130




0140






0010



Total monthly assets under management


 


 


 


 


 


 


 


 


 


 


 


 


 


 





0020



Monthly assets under management - discretionary portfolio management


 


 


 


 


 


 


 


 


 


 


 


 


 


 





0030



of which: assets formally delegated to another entity


 


 


 


 


 


 


 


 


 


 


 


 


 


 





0040



Monthly assets under management - Ongoing non-discretionary advice


 


 


 


 


 


 


 


 


 


 


 


 


 


 





I 06.03   Client money held - CMH additional details










 


 



Factor amount





 


 



Month t




Month t-1




Month t-2





 


 



0010




0020




0030






0010



CMH - Segregated (average amounts)


 


 


 





0020



CMH - Non-segregated (average amounts)


 


 


 





I 06.04   Average value of total daily client money held















 


 



Monthly averages of total daily client money held values





 


 



Month t-3




Month t-4




Month t-5




Month t-6




Month t-7




Month t-8




Month t-9




Month t-10





 


 



0010




0020




0030




0040




0050




0060




0070




0080






0010



Total daily client money held - Segregated


 


 


 


 


 


 


 


 





0020



Total daily client money held - Non-segregated


 


 


 


 


 


 


 


 





I 06.05   Assets safeguarded and administered - ASA additional details










 


 



Factor amount





 


 



Month t




Month t-1




Month t-2





 


 



0010




0020




0030






0010



Total ASA (average amounts)


 


 


 





0020



Of which: Fair value of financial instruments (Level 2)


 


 


 





0030



Of which: Fair value of financial instruments (Level 3)


 


 


 





0040



Of which: assets formally delegated to another financial entity


 


 


 





0050



Of which: assets of another financial entity that has formally delegated to the investment firm


 


 


 





I 06.06   Average value of total daily assets safeguarded and administered















 


 



Monthly averages of total daily ASA values





 


 



Month t-3




Month t-4




Month t-5




Month t-6




Month t-7




Month t-8




Month t-9




Month t-10





 


 



0010




0020




0030




0040




0050




0060




0070




0080






0010



Assets safeguarded and administered


 


 


 


 


 


 


 


 





0020



Of which: Fair value of financial instruments (Level 2)


 


 


 


 


 


 


 


 





0030



Of which: Fair value of financial instruments (Level 3)


 


 


 


 


 


 


 


 





0040



Of which: assets formally delegated to another financial entity


 


 


 


 


 


 


 


 





0050



Of which: assets of another financial entity that has formally delegated to the investment firm


 


 


 


 


 


 


 


 





I 06.07   Client orders handled - COH additional details










 


 



Factor amount





 


 



Month t




Month t-1




Month t-2





 


 



0010




0020




0030






0010




COH - Cash trades (average amounts)



 


 


 





0020




Of which: Execution of client orders



 


 


 





0030




Of which: Reception and transmission of client orders



 


 


 





0040




COH - Derivative (average amounts)



 


 


 





0050




Of which: Execution of client orders



 


 


 





0060




Of which: Reception and transmission of client orders



 


 


 





I 06.08   Average value of total daily client orders handled












 


 



Monthly averages of total daily client orders handled values





 


 



Month t-3




Month t-4




Month t-5




Month t-6




Month t-7





 


 



0010




0020




0030




0040




0050






0010




Total daily client orders handled - Cash value



 


 


 


 


 





0020




Of which: Execution of client orders



 


 


 


 


 





0030




Of which: Reception and transmission of client orders



 


 


 


 


 





0040




Total daily client orders handled - Derivatives



 


 


 


 


 





0050




Of which: Execution of client orders



 


 


 


 


 





0060




Of which: Reception and transmission of client orders



 


 


 


 


 





I 06.09   K-Net position risk - K-NPR additional detail








 


 



K - factor requirement / amount





 



0010






0010




Total standardised approach



 





0020



Position risk


 





0030



Equity instruments


 





0040



Debt instruments


 





0050



Of which: securitisations


 





0055



Particular approach for position risk in CIUs


 





0060



Foreign exchange risk


 





0070



Commodities risk


 





0080




Internal model approach



 





I 06.10   Clearing Margin given - CMG additional detail












Clearing member




Contribution to the total margin required on a daily basis on the day of






Name




Code




Type of code




the highest amount of total margin




the second highest amount of total margin




the third highest amount of total margin





0010



0020




0030




0040




0050




0060





 


 


 


 


 


 





I 06.11   Trading counterparty default - TCD additional details












 


 



K - factor requirement




Exposure value




Replacement cost (RC)




Potential future exposure (PFE)




Collateral (C)





 


 



0010




0020




0030




0040




0050





 



Breakdown by method for determining the exposure value






0010



Application of IFR: K-TCD


 


 


 


 


 





0020



Alternative approaches: Exposure value determined in accordance with CRR


 


 


 


 


 





0030



SA-CCR


 


 


 


 


 





0040



Simplified SA-CCR


 


 


 


 


 





0050



Original exposure method


 


 


 


 


 





0060



Alternative approaches: Full application of CRR framework


 


 


 


 


 





0070




Memorandum item: CVA component



 


 


 


 


 





0080



of which: calculated in accordance with CRR framework


 


 


 


 


 




 



Breakdown by type of counterparty






0090



Central governments, central banks and public sector entities


 


 


 


 


 





0100



Credit institutions and investment firms


 


 


 


 


 





0110



Other counterparties


 


 


 


 


 





I 06.12   Daily trading flow - DTF additional details










 


 



Factor amount





 


 



Month t




Month t-1




Month t-2





 


 



0010




0020




0030






0010



Total DTF - cash trades (average amounts)


 


 


 





0020



Total DTF - derivative trades (average amounts)


 


 


 





I 06.13   Average value of total daily trading flows















 


 



Monthly averages of total daily trading flow values





 


 



Month t-3




Month t-4




Month t-5




Month t-6




Month t-7




Month t-8




Month t-9




Month t-10





 


 



0010




0020




0030




0040




0050




0060




0070




0080






0010



Daily trading flow - cash trades


 


 


 


 


 


 


 


 





0020



Daily trading flow - derivative trades


 


 


 


 


 


 


 


 





I 07.00 - K-CON - additional detail (I7)

















Counterparty ID




Trading Book Exposures exceeding the limits set in Article 37(1) of IFR






Code




Type of code




Name




Group/Individual




Counterparty Type




Exposure Value (EV)




Exposure Value (as % of Own Funds)




Own Funds Requirement of total exposure (OFR)




Exposure Value Excess (EVE)




Duration of the Excess (in days)




K-CON Own Funds Requirement for the Excess (OFRE)






0010




0020




0030




0040




0050




0060




0070




0080




0090




0100




0110





 


 


 


 


 


 


 


 


 


 


 





I 08.00 - CONCENTRATION RISK - Article 54 IFR (I8)


I 08.01   Level of concentration risk - Client money held












Institutions




Total CMH at reporting date



 





Code




Type of code




Name




Group/Individual



Percentage of client money held at this institution





0010




0020




0030




0040




0050




0060





 


 


 


 


 


 





I 08.02   Level of concentration risk - Assets seafeguarded and administered












Institutions




Total ASA at reporting date



 





Code




Type of code




Name




Group/Individual



Percentage of client securities deposited at this institution





0010




0020




0030




0040




0050




0060





 


 


 


 


 


 





I 08.03   Level of concentration risk -Total own cash deposited












Institution




Firm's own cash deposited - Top 5 exposures






Code




Type of code




Name




Group/Individual




Amount of firm's cash deposits at the institution



Percentage of firm's own cash deposits at the institution




 




0010


0020


0030



0040



0050


0060




 


 


 


 


 


 





I 08.04   Level of concentration risk - Total earnings

















Client




Earnings - Top 5 exposures






Code




Type of code




Name




Group/Individual




Total earnings from this client




Interest and dividend income




Fee and commission and other income






Amount generated from positions in the trading book




Amount generated from positions in the non-trading book




of which: amount generated from off-balance sheet items



Percentage of interest and dividend income from this client



Amount



Percentage of fee and commission and other income from this client




0010


0020


0030



0040



0050


0060


0070


0080


0090


0100


0110




 


 


 


 


 


 


 


 


 


 


 





I 08.05   Trading book exposures











Counterparty




Top 5 trading book exposures






Code




Type of code




Name




Group/Individual




Percentage of exposure to this counterparty with respect to firm's own funds (trading book positions only)






0010




0020




0030




0040




0050





 


 


 


 


 





I 08.06   Non-trading book and off-balance sheet items











Counterparty




Top 5 total exposures (including non-trading book and off-balance sheet items)






Code




Type of code




Name




Group/Individual




Percentage of exposure with respect to firm's own funds (including off-balance sheet assets and non-trading book items)






0010




0020




0030




0040




0050





 


 


 


 


 





I 09.00 - LIQUIDITY REQUIREMENTS (I9)








 


 



Amount






Rows




Item




0010






0010




Liquidity Requirement



 





0020




Client guarantees



 





0030




Total liquid assets



 





0040




Unencumbered short term deposits



 





0050




Total eligible receivables due within 30 days



 





0060




Level 1 assets



 





0070



Coins and banknotes


 





0080



Withdrawable central bank reserves


 





0090



Central bank assets


 





0100



Central government assets


 





0110



Regional government/local authorities assets


 





0120



Public Sector Entity assets


 





0130



Recognisable domestic and foreign currency central government and central bank assets


 





0140



Credit institution (protected by Member State government, promotional lender) assets


 





0150



Multilateral development bank and international organisations assets


 





0160



Extremely high quality covered bonds


 





0170




Level 2A assets



 





0180



Regional government/local authorities or Public Sector Entities assets (Member State, RW20 %)


 





0190



Central bank or central/regional government or local authorities or Public Sector Entities assets (Third Country, RW20 %)


 





0200



High quality covered bonds (CQS2)


 





0210



High quality covered bonds (Third Country, CQS1)


 





0220



Corporate debt securities (CQS1)


 





0230




Level 2B assets



 





0240



Asset-backed securities


 





0250



Corporate debt securities


 





0260



Shares (major stock index)


 





0270



Restricted-use central bank committed liquidity facilities


 





0280



High quality covered bonds (RW35 %)


 





0290




Qualifying CIU shares/units



 





0300




Total other eligible financial instruments



 









ANNEX II
REPORTING FOR INVESTMENT FIRMS OTHER THAN SMALL AND NON-INTERCONNECTED INVESTMENT FIRMS
Table of contents







PART I:

GENERAL INSTRUCTIONS
68










1.

Structure and conventions
68










1.1

Structure
68










1.2

Numbering convention
68










1.3

Sign convention
68










1.4

Prudential consolidation
68










PART II:

TEMPLATE RELATED INSTRUCTIONS
69











1.



OWN FUNDS: LEVEL, COMPOSITION, REQUIREMENTS AND CALCULATION

69










1.1

General Remarks
69










1.2.

I 01.00 – OWN FUNDS COMPOSITION (I 1)
69










1.2.1.

Instructions concerning specific positions
69










1.3.

I 02.01 – OWN FUND REQUIREMENTS (I 2.1)
76










1.3.1.

Instructions concerning specific positions
76










1.4.

I 02.02 – CAPITAL RATIOS (I 2.2)
78










1.4.1.

Instructions concerning specific positions
78










1.5.

I 03.00 – FIXED OVERHEADS REQUIREMENT CALCULATION (I 3)
78










1.5.1.

Instructions concerning specific positions
78










1.6.

I 04.00 – TOTAL K-FACTOR REQUIREMENT CALCULATIONS (I 4)
81










1.6.1.

Instructions concerning specific positions
81











2.



SMALL AND NON-INTERCONNECTED INVESTMENT FIRMS

83










2.1.

I 05.00 – LEVEL OF ACTIVITY – THRESHOLD REVIEW (I 5)
83










2.1.1

Instructions concerning specific positions
83











3.



K-FACTOR REQUIREMENTS – ADDITIONAL DETAILS

86










3.2.

I 06.01 – ASSETS UNDER MANAGEMENT – ADDITIONAL DETAILS (I 6.1)
86










3.2.1.

Instructions concerning specific positions
80










3.3.

I 06.02 – MONTHLY ASSETS UNDER MANAGEMENT (I 6.2)
86










3.3.1.

Instructions concerning specific positions
87










3.4.

I 06.03 – CLIENT MONEY HELD- ADDITIONAL DETAIL (I 6.3)
87










3.4.1.

Instructions concerning specific positions
88










3.5.

I 06.04 – AVERAGE VALUE OF TOTAL DAILY CLIENT MONEY HELD (I 6.4)
89










3.5.1.

Instructions concerning specific positions
89










3.6.

I 06.05 – ASSETS SAFEGUARDED AND ADMINISTERED – ADDITIONAL DETAIL (I 6.5)
89










3.6.1.

Instructions concerning specific positions
89










3.7.

I 06.06 – AVERAGE VALUE OF TOTAL DAILY ASSETS SAFEGUARDED AND ADMINISTERED (I 6.6)
90










3.7.1.

Instructions concerning specific positions
90










3.8.

I 06.07 – CLIENT ORDERS HANDLED – ADDITIONAL DETAILS (I 6.7)
91










3.8.1.

Instructions concerning specific positions
91










3.9.

I 06.08 – AVERAGE VALUE OF TOTAL DAILY CLIENT ORDERS HANDLED (I 6.8)
93










3.9.1.

Instructions concerning specific positions
91










3.10.

I 06.09 – K-NET POSITION RISK – ADDITIONAL DETAILS (I 6.9)
93










3.10.1.

Instructions concerning specific positions
93










3.11.

I 06.10 – CLEARING MARGIN GIVEN – ADDITIONAL DETAIL (I 6.10)
94










3.11.1

Instructions concerning specific positions
94










3.12.

I 06.11 – TRADING COUNTERPARTY DEFAULT- TCD ADDITIONAL DETAILS (I 6.11)
95










3.12.1.

Instructions concerning specific positions
95










3.13.

I 06.12– DAILY TRADING FLOW- ADDITIONAL DETAILS (I 6.12)
96










3.13.1.

Instructions concerning specific positions
96










3.14.

I 06.13– AVERAGE VALUE OF TOTAL DAILY TRADING FLOWS (I 6.13)
98










3.14.1.

Instructions concerning specific positions
98











4.



CONCENTRATION RISK REPORTING

98










4.1.

General Remarks
98










4.2.

I 07.00 – K-CON ADDITIONAL DETAILS (I7)
99










4.2.1.

Instructions concerning specific positions
99










4.3.

I 08.01 – LEVEL OF CONCENTRATION RISK – CLIENT MONEY HELD (I 8.1)
99










4.3.1.

Instructions concerning specific columns
99










4.4.

I 08.02 – LEVEL OF CONCENTRATION RISK – ASSETS SAFEGUARDED AND ADMINISTERED (I 8.2)
101










4.4.1.

Instructions concerning specific columns
101










4.5.

I 08.03 – LEVEL OF CONCENTRATION RISK -TOTAL OWN CASH DEPOSITED (I 8.3)
101










4.5.1.

Instructions concerning specific columns
101










4.6.

I 08.04 – LEVEL OF CONCENTRATION RISK – TOTAL EARNINGS (I 8.4)
102










4.6.1.

Instructions concerning specific columns
102










4.7.

I 08.05 – TRADING BOOK EXPOSURES (I 8.5)
103










4.7.1.

Instructions concerning specific columns
103










4.8.

I 08.06 – NON-TRADING BOOK AND OFF-BALANCE SHEET ITEMS (I 8.6)
104










4.8.1.

Instructions concerning specific columns
104











5.



LIQUIDITY REQUIREMENTS

105










5.1

I 09.00 – LIQUIDITY REQUIREMENTS (I 9)
105










5.1.1.

Instructions concerning specific positions
106




PART I:   GENERAL INSTRUCTIONS

1.   Structure and conventions
1.1   Structure








1.


Overall, the framework consists of the following blocks of information:






(a)


Own funds;










(b)


Own funds requirements calculations;










(c)


Fixed overheads requirements calculation;










(d)


Level of activity in respect of the conditions set out in Article 12(1) of Regulation (EU) 2019/2033;










(e)


K-factor requirements calculations;










(f)


Concentration risk requirements;










(g)


Liquidity requirements.
















2.


For each template legal references are provided. Further detailed information regarding more general aspects of the reporting of each block of templates, instructions concerning specific positions as well as validation rules are included in this part of this Regulation.




1.2   Numbering convention








3.


The document follows the labelling convention set in points 4 to 7, when referring to the columns, rows and cells of the templates. Those numerical codes are extensively used in the validation rules.












4.


The following general notation is followed in the instructions: {Template; Row; Column}.












5.


In the case of validations inside a template, in which only data points of that template are used, notations do not refer to a template: {Row; Column}.












6.


In the case of templates with only one column, only rows are referred to. {Template; Row}












7.


An asterisk sign is used to express that the validation is done for the rows or columns specified before.




1.3   Sign convention








8.


Any amount that increases the own funds or own funds requirements, or the liquidity requirements, shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or own funds requirements shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item no positive figure is expected to be reported of that item.




1.4   Prudential consolidation








9.


Unless an exemption has been granted, Regulation (EU) 2019/2033 and Directive (EU) 2019/2034 apply to investment firms on an individual and on a consolidated basis, which includes reporting requirements in Part Seven of Regulation (EU) 2019/2033. Article 4(1), point (11), of Regulation (EU) 2019/2033 defines a consolidated situation as the result of applying the requirements of Regulation (EU) 2019/2033 to an investment firm group as if the entities of the group formed together a single investment firm. Following the application of Article 7 of Regulation (EU) 2019/2033, investment firms groups shall fulfil the reporting requirements in all templates based on their scope of prudential consolidation (which may be different from their accounting consolidation scope).





PART II:   TEMPLATE RELATED INSTRUCTIONS


1.   OWN FUNDS: LEVEL, COMPOSITION, REQUIREMENTS AND CALCULATION

1.1   General Remarks








10.


The own funds’ overview section contains information about the own funds that an investment firm holds and its own funds requirements. It consists of two templates:






(a)


I 01.00 template contains the compositions of the own funds that an investment firm holds: Common Equity Tier 1 capital (CET1), Additional Tier 1 capital (AT1) and Tier 2 capital (T2).










(b)


I 02.01 and I 02.02 templates contain the total own funds requirement, the permanent minimum capital requirement, the fixed overheads requirement and total K-Factor requirement, any additional own funds requirement and guidance and the transitional own funds requirement and capital ratios.










(c)


I 03.00 includes information with regard to the calculation of the fixed overheads requirement.










(d)


I 04.00 template contains the K-factors requirements and the factor amount.
















11.


The items in these templates are gross of transitional adjustments. This means that the figures (except where the transitional own funds requirement is specifically stated) are calculated in accordance with the final provisions (i.e. as if there were no transitional provisions).




1.2.   I 01.00 – OWN FUNDS COMPOSITION (I 1)
1.2.1.   Instructions concerning specific positions






Row


Legal references and instructions




0010



OWN FUNDS

Article 9(1) of Regulation (EU) 2019/2033.
The own funds of an investment firm shall consist of the sum of its Tier 1 capital and Tier 2 capital.




0020



TIER 1 CAPITAL

The Tier 1 capital is the sum of Common Equity Tier 1 capital and Additional Tier 1 capital.




0030



COMMON EQUITY TIER 1 CAPITAL

Article 9(1) of Regulation (EU) 2019/2033.
Article 50 of Regulation (EU) No 575/2013.




0040



Fully paid up capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 26(1), point (a), and Articles 27 to 31 of Regulation (EU) No 575/2013.
Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of Regulation (EU) No 575/2013) shall be included.
The share premium related to the instruments shall not be included.
Capital instruments subscribed by public authorities in emergency situations shall be included if all conditions of Article 31 of Regulation (EU) No 575/2013 are fulfilled.




0050



Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 26(1), point (b), of Regulation (EU) No 575/2013.
Share premium has the same meaning as under the applicable accounting standard.
The amount to be reported in this item shall be the part related to the "Paid up capital instruments".




0060



Retained earnings

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 26(1), point (c), of Regulation (EU) No 575/2013.
Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits.
The total sum of rows 0070 and 0080 shall be reported.




0070



Previous years retained earnings

Article 4(1), point (123) and Article 26(1), point (c), of Regulation (EU) No 575/2013.
Article 4(1), point (123), of Regulation (EU) No 575/2013 defines retained earnings as "Profit and losses brought forward as a result of the final application of profit or loss under the applicable accounting framework".




0080



Profit eligible

Article 4(1), point (121), and Article 26(2) of Regulation (EU) No 575/2013.
Article 26(2) of Regulation (EU) No 575/2013 allows including as retained earnings interim or year-end profits, with the prior consent of the competent authorities, if some conditions are met.




0090



Accumulated other comprehensive income

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 26(1), point (d), of Regulation (EU) No 575/2013.




0100



Other reserves

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 4(1), point (117), and Article 26(1), point (e), of Regulation (EU) No 575/2013.
The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.




0110



Minority interest given recognition in CET1 capital

Articles 84(1), 85(1) and 87(1) of Regulation (EU) No 575/2013.
Sum of all the amounts of minority interests of subsidiaries that is included in consolidated CET1.




0120



Adjustments to CET1 due to prudential filters

Article 9(1) point (i), of Regulation (EU) 2019/2033.
Articles 32 to 35 of Regulation (EU) No 575/2013.




0130



Other funds

Article 9(4) of Regulation (EU) 2019/2033.




0140



(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1

The total sum of rows 0150 and 0190-0280 shall be reported.




0150



(-) Own CET1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013.
Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 of Regulation (EU) No 575/2013.
Holdings on shares included as "Capital instruments not eligible" shall not be reported in this row.
The amount to be reported shall include the share premium related to the own shares.




0160



(-) Direct holdings of CET1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013
Common Equity Tier 1 instruments held by the investment firm.




0170



(-) Indirect holdings of CET1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013.
Common Equity Tier 1 instruments held by the investment firm.




0180



(-) Synthetic holdings of CET1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 4(1), point (114), Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013.




0190



(-) Losses for the current financial year

Article 36(1), point (a), of Regulation (EU) No 575/2013.




0200



(-) Goodwill

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 4(1), point (113), Article 36(1), point (b), and Article 37 of Regulation (EU) No 575/2013.




0210



(-) Other intangible assets

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 4(1), point (115), Article 36(1), point (b), and Article 37, point (a), of Regulation (EU) No 575/2013.
Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also pursuant to the applicable accounting standard.




0220



(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities

Article 9(2), point (a), of Regulation (EU) 2019/2033.
Article 36(1), point (c), of Regulation (EU) No 575/2013.




0230



(-) Qualifying holding outside the financial sector which exceeds 15 % of own funds

Article 10(1), point (a), of Regulation (EU) 2019/2033.




0240



(-)Total qualifying holdings in undertaking other than financial sector entities which exceeds 60 % of its own funds

Article 10(1), point (b), of Regulation (EU) 2019/2033.




0250



(-) CET1 instruments of financial sector entities where the investment firm does not have a significant investment

Article 9(2), point (c), of Regulation (EU) 2019/2033.
Article 36(1), point (h), of Regulation (EU) No 575/2013.




0260



(-) CET1 instruments of financial sector entities where the investment firm has a significant investment

Article 9(2), point (d), of Regulation (EU) 2019/2033.
Article 36(1), point (i), of Regulation (EU) No 575/2013.




0270



(-)Defined benefit pension fund assets

Article 9(2), point (b), of Regulation (EU) 2019/2033.
Article 36(1), point (e), of Regulation (EU) No 575/2013.




0280



(-) Other deductions

The sum of all other deductions in accordance with Article 36(1) of Regulation (EU) No 575/2013 that are not included in any of the rows 0150 to 0270 above.




0290



CET1: Other capital elements, deductions and adjustments

This row shall include the sum of the following items, where applicable:






—


Transitional adjustments due to grandfathered CET1 Capital instruments (Article 483, paragraphs 1, 2 and 3 and Articles 484 to 487 of Regulation (EU) No 575/2013).










—


Transitional adjustments due to additional minority interests (Articles 479 and 480 of Regulation (EU) No 575/2013).










—


Other transitional adjustments to CET1 Capital (Articles 469 to 478 and 481 of Regulation (EU) No 575/2013): adjustments to the deductions from CET1 due to transitional provisions










—


Other CET1 capital elements or deductions from a CET1 element that cannot be assigned to one of the rows 0040 to 0280.




This row shall not be used to include capital items or deductions which are not covered by Regulation (EU) 2019/2033 or Regulation (EU) No 575/2013 into the calculation of the solvency ratios




0300



ADDITIONAL TIER 1 CAPITAL

Article 9(1) of Regulation (EU) 2019/2033.
Article 61 of Regulation (EU) No 575/2013.
The total sum of rows 0310 – 0330 and 0410 shall be reported.




0310



Fully paid up, directly issued capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 51, point (a), and Articles 52, 53 and 54 of Regulation (EU) No 575/2013.
The amount to be reported shall not include the share premium related to the instruments




0320



Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 51, point (b), of Regulation (EU) No 575/2013.
Share premium has the same meaning as under the applicable accounting standard.
The amount to be reported in this item shall be the part related to the "Paid up capital instruments".




0330



(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1

Article 56 of Regulation (EU) No 575/2013.
The total sum of rows 0340 and 0380 – 0400 shall be reported.




0340



(-) Own AT1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 52(1), point (b), Article 56, point (a), and Article 57 of Regulation (EU) No 575/2013.
Own AT1 instruments held by the investment firm at the reporting date. Subject to exceptions in Article 57 of Regulation (EU) No 575/2013.
The amount to be reported shall include the share premium related to the own shares.




0350



(-) Direct holdings of AT1 instruments

Article 9(2), point (c), of Regulation (EU) 2019/2033.
Article 56, point (a), of Regulation (EU) No 575/2013.




0360



(-) Indirect holdings of AT1 instruments

Article 9(2), point (c), of Regulation (EU) 2019/2033.
Article 56, point (a), of Regulation (EU) No 575/2013.




0370



(-) Synthetic holdings of AT1 instruments

Article 9(2), point (c), of Regulation (EU) 2019/2033.
Article 56, point (a), of Regulation (EU) No 575/2013.




0380



(-) AT1 instruments of financial sector entities where the investment firm does not have a significant investment

Article 9(2), point (c), of Regulation (EU) 2019/2033.
Article 56, point (c), of Regulation (EU) No 575/2013.




0390



(-) AT1 instruments of financial sector entities where the investment firm has a significant investment

Article 9(2), point (c), of Regulation (EU) 2019/2033.
Article 56, point (d), of Regulation (EU) No 575/2013.




0400



(-) Other deductions

The sum of all other deductions in accordance with Article 56 of Regulation (EU) No 575/2013 that are not included in any of the rows 0340 to 0390 above.




0410



Additional Tier 1: Other capital elements, deductions and adjustments

This row shall include the sum of the following items, where applicable:






—


Transitional adjustments due to grandfathered AT1 capital instruments (Article 483, paragraphs 4 and 5, Articles 484 to 487, Articles 489 and 491 of Regulation (EU) No 575/2013).










—


Instruments issued by subsidiaries that are given recognition in AT1 capital (Articles 83, 85 and 86 of Regulation (EU) No 575/2013): Sum of all the amounts of qualifying Tier 1 capital of subsidiaries that is included in consolidated AT1, also including capital issued by a special purpose entity (Article 83 of Regulation (EU) No 575/2013).










—


Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries (Article 480 of Regulation (EU) No 575/2013) adjustments to the qualifying Tier 1 capital included in consolidated AT1 capital due to transitional provisions.










—


Other transitional adjustments to AT1 Capital (Articles 472, 473a, 474, 475, 478 and 481 of Regulation (EU) No 575/2013): adjustments to deductions due to transitional provisions.










—


Excess of deduction from AT1 items over AT1 Capital, deducted from CET1 in accordance with Article 36(1), point (j), of Regulation (EU) No 575/2013: Additional Tier 1 cannot be negative, but it is possible that the deductions from AT1 items exceed the amount of available AT1 items. Where this happens, this item represents the amount needed to increase the amount reported in row 0300 to zero and equals the inverse of the excess of deductions from AT1 items over AT1 capital included, among other deductions, in row 0280.










—


Other AT1 capital elements or deductions from an AT1 element that cannot be assigned to one of the rows 0310 to 0400.




This row shall not be used to include capital items or deductions which are not covered by Regulation (EU) 2019/2033 or Regulation (EU) No 575/2013 into the calculation of the solvency ratios.




0420



TIER 2 CAPITAL

Article 9(1) of Regulation (EU) 2019/2033.
Article 71 of Regulation (EU) No 575/2013.
The total sum of rows 0430 to 0450 and 0520 shall be reported.




0430



Fully paid up, directly issued capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 62, point (a), and Articles 63 and 65 of Regulation (EU) No 575/2013.
The amount to be reported shall not include the share premium related to the instruments.




0440



Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 62, point (b), and Article 65 of Regulation (EU) No 575/2013.
Share premium has the same meaning as under the applicable accounting standard.
The amount to be reported in this item shall be the part related to the "Paid up capital instruments".




0450



(-) TOTAL DEDUCTIONS FROM TIER 2

Article 66 of Regulation (EU) No 575/2013.




0460



(-) Own T2 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 63, point (b)(i), Article 66, point (a), and Article 67 of Regulation (EU) No 575/2013.
Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in Article 67 of Regulation (EU) No 575/2013.
Holdings on shares included as "Capital instruments not eligible" shall not be reported in this row.
The amount to be reported shall include the share premium related to the own shares.




0470



(-) Direct holdings of T2 instruments

Article 63 point (b), Article 66, point (a), and Article 67 of Regulation (EU) No 575/2013.




0480



(-) Indirect holdings of T2 instruments

Article 4(1), point (114), Article 63, point (b), Article 66, point (a), and Article 67 of Regulation (EU) No 575/2013.




0490



(-) Synthetic holdings of T2 instruments

Article 4(1), point (126), Article 63, point (b), Article 66, point (a) and Article 67 of Regulation (EU) No 575/2013.




0500



(-) T2 instruments of financial sector entities where the investment firm does not have a significant investment

Article 9(2), point (c), of Regulation (EU) 2019/2033.
Article 66, point (c), of Regulation (EU) No 575/2013.




0510



(-) T2 instruments of financial sector entities where the investment firm has a significant investment

Article 4(1), point (27), Article 66, point (d), and Articles 68, 69 and 79 of Regulation (EU) No 575/2013.
Holdings by the institution of T2 instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013 where the investment firm has a significant investment shall be completely deducted.




0520



Tier 2: Other capital elements, deductions and adjustments

This row shall include the sum of the following items, where applicable:






—


Transitional adjustments due to grandfathered T2 capital instruments (Article 483, paragraphs 6 and 7, Articles 484, 486, 488, 490 and 491 of Regulation (EU) No 575/2013).










—


Instruments issued by subsidiaries that are given recognition in T2 capital (Articles 83, 87 and 88 of Regulation (EU) No 575/2013): Sum of all the amounts of qualifying own funds of subsidiaries that is included in consolidated T2, also including qualifying Tier 2 capital issued by a special purpose entity (Article 83 of Regulation (EU) No 575/2013).










—


Transitional adjustments due to additional recognition in T2 capital of instruments issued by subsidiaries (Article 480 of Regulation (EU) No 575/2013): Adjustments to the qualifying own funds included in consolidated T2 capital due to transitional provisions.










—


Other transitional adjustments to T2 Capital (Articles 472, 473a, 476, 477, 478 and 481 of Regulation (EU) No 575/2013): Adjustments to the deductions from Tier 2 due to transitional provisions.










—


Excess of deduction from T2 items over T2 capital, deducted from AT1 in accordance with Article 56 of Regulation (EU) No 575/2013, point (e): Tier 2 cannot be negative, but it is possible that the deductions from T2 items exceed the amount of available T2 items. Where this happens, this item represents the amount needed to increase the amount reported in row 0420 to zero.










—


Other T2 capital elements or deductions from a T2 element that cannot be assigned to one of the rows 0430 to 0510.




This row shall not be used to include capital items or deductions which are not covered by Regulation (EU) 2019/2033 or Regulation (EU) No 575/2013 into the calculation of the solvency ratios.




1.3.   I 02.01 – OWN FUND REQUIREMENTS (I 2.1)
1.3.1.   Instructions concerning specific positions






Row


Legal references and instructions




0010



Own fund requirement

Article 11(1) of Regulation (EU) 2019/2033.
The amount shall be the amount without application of Article 57(3), (4) or (6) of Regulation (EU) 2019/2033.
The amount to be reported in this row shall be the maximum amount reported in rows 0020, 0030 and 0040.




0020



Permanent minimum capital requirement

Article 14 of Regulation (EU) 2019/2033
The amount shall be the amount without application of Article 57(3), (4) or (6) of Regulation (EU) 2019/2033.




0030



Fixed overhead requirement

Article 13 of Regulation (EU) 2019/2033.
The amount shall be the amount without application of Article 57(3), (4) or (6) of Regulation (EU) 2019/2033.




0040



Total K-Factor Requirement

Article 15 of Regulation (EU) 2019/2033.
The amount shall be the amount without application of Article 57(3), (4) or (6) of Regulation (EU) 2019/2033.




0050 – 0100



Transitional own funds requirements





0050



Transitional requirement based on Regulation (EU) No 575/2013 own funds requirements

Article 57(3), point (a), of Regulation (EU) 2019/2033.




0060



Transitional requirement based on fixed overhead requirement

Article 57(3), point (b), of Regulation (EU) 2019/2033.




0070



Transitional requirement for investment firms previously subject only to an initial capital requirement

Article 57(4), point (a), of Regulation (EU) 2019/2033.




0080



Transitional requirement based on initial capital requirement at authorisation

Article 57(4), point (b), of Regulation (EU) 2019/2033.




0090



Transitional requirement for investment firms that are not authorised to provide certain services

Article 57(4), point (c), of Regulation (EU) 2019/2033.




0100



Transitional requirement of at least 250 000  EUR

Article 57(6) of Regulation (EU) 2019/2033.




0110 – 0130



Memorandum items





0110



Additional own funds requirement

Article 40 Directive (EU) 2019/2034.
Additional own funds required following the SREP.




0120



Additional own funds guidance

Article 41 of Directive (EU) 2019/2034.
Additional own funds required as additional own funds guidance.




0130



Total own funds requirement

The total own funds requirement of an investment firm shall consist of the sum of its own funds requirements applicable at the reference date, the additional own funds requirement as reported in row 0110 and the additional own funds guidance as reported in row 0120.




1.4.   I 02.02 – CAPITAL RATIOS (I 2.2)
1.4.1.   Instructions concerning specific positions






Row


Legal references and instructions




0010



CET 1 Ratio

Article 9(1), point (a), and Article 11(1) of Regulation (EU) 2019/2033.
Article 9(4) of Regulation (EU) 2019/2033.
This item is expressed as a percentage.




0020



Surplus(+)/Deficit(-) of CET 1 Capital

This item shows the surplus or deficit of CET1 Capital relating to the requirement set in Article 9(1) of Regulation (EU) 2019/2033.
The transitional provisions of Article 57(3) and (4) of Regulation (EU) 2019/2033 shall not be considered for this item.




0030



Tier 1 Ratio

Article 9(1), point (b), and Article 11(1) of Regulation (EU) 2019/2033.
This item is expressed as a percentage.




0040



Surplus(+)/Deficit(-) of Tier 1 Capital

This item shows the surplus or deficit of Tier 1 Capital relating to the requirement set in Article 9(1) of Regulation (EU) 2019/2033.
The transitional provisions of Article 57(3) and (4) of Regulation (EU) 2019/2033 shall not be considered for this item.




0050



Own Funds Ratio

Article 9(1), point (c), and Article 11(1) of Regulation (EU) 2019/2033.
This item is expressed as a percentage.




0060



Surplus(+)/Deficit(-) of Total capital

This item shows the surplus or deficit of own funds relating to the requirement set in Article 9(1) of Regulation (EU) 2019/2033.
The transitional provisions of Article 57(3) and (4) of Regulation (EU) 2019/2033 shall not be considered for this item.




1.5.   I 03.00 – FIXED OVERHEADS REQUIREMENT CALCULATION (I 3)
1.5.1.   Instructions concerning specific positions






Row


Legal references and instructions




0010



Fixed Overhead Requirement

Article 13(1) of Regulation (EU) 2019/2033.
The amount reported shall be at least 25 % of the annual fixed overheads of the previous year (row 0020).
In the cases where there is a material change, the amount reported shall be the fixed overheads requirement imposed by the competent authority in accordance with Article 13(2) of Regulation (EU) 2019/2033.
In the cases specified in Article 13(3) of Regulation (EU) 2019/2033, the amount to be reported shall be the projected fixed overheads of the current year (row 0210).




0020



Annual fixed overheads of the previous year after distribution of profits

Article 13(1) of Regulation (EU) 2019/2033.
Investment firms shall report the fixed overheads of the previous year after the distribution of profits.




0030



Total expenses of the previous year after the distribution of profits

Article 13(1) of Regulation (EU) 2019/2033.
The amount to be reported shall be after the distribution of profits.




0040



Of which: Fixed expenses incurred on behalf of the investment firms by third parties

Where third parties, including tied agents, incurred fixed expenses, on behalf of the investment firms, that are not already included within the total expenses in the annual financial statement referred to in paragraph 1, those fixed expenses shall be added to the total expenses of the investment firm. Where a breakdown of the third party’s expenses is available, an investment firm shall add to the figure representing the total expenses only the share of those fixed expenses applicable to the investment firm. Where such a breakdown is not available, an investment firm shall add to the figure representing the total expenses only its share of the third party’s expenses as it results from the business plan of the investment firm.




0050


(-)Total deductions
In addition to the items for deduction referred to in Article 13(4) of Regulation (EU) 2019/2033, the following items shall also be deducted from the total expenses, where they are included under total expenses in accordance with the relevant accounting framework:






(a)


fees, brokerage and other charges paid to central counterparties, exchanges and other trading venues and intermediate brokers for the purposes of executing, registering or clearing transactions, only where they are directly passed on and charged to customers. Those shall not include fees and other charges necessary to maintain membership or otherwise meet loss-sharing financial obligations to central counterparties, exchanges and other trading venues;










(b)


interest paid to customers on client money, where there is no obligation of any kind to pay such interest;










(c)


expenditures from taxes where they fall due in relation to the annual profits of the investment firm;










(d)


losses from trading on own account in financial instruments;










(e)


payments related to contract-based profit and loss transfer agreements according to which the investment firm is obliged to transfer, following the preparation of its annual financial statements, its annual result to the parent undertaking;










(f)


payments into a fund for general banking risk in accordance with Article 26(1)(f) of Regulation (EU) No 575/2013;










(g)


expenses related to items that have already been deducted from own funds in accordance with Article 36(1) of Regulation (EU) No 575/2013.








0060



(-)Staff bonuses and other remuneration

Article 13(4), point (a), of Regulation (EU) 2019/2033.
Staff bonuses and other remuneration shall be considered to depend on the net profit of the investment firm in the respective year where both of the following conditions are met:






(h)


the staff bonuses or other remuneration to be deducted have already been paid to employees in the year preceding the year of payment, or the payment of the staff bonuses or other remuneration to employees will have no impact on the firm’s capital position in the year of payment;










(i)


with respect to the current year and future years, the firm is not obliged to award or allocate further bonuses or other payments in the form of remuneration unless it makes a net profit in that year.








0070



(-)Employees’, directors’ and partners’ shares in net profits

Article 13(4), point (b), of Regulation (EU) 2019/2033.
Employees’, directors’ and partners’ shares in profits shall be calculated on the basis of the net profits.




0080



(-)Other discretionary payments of profits and variable remuneration

Article 13(4), point (c), of Regulation (EU) 2019/2033.




0090



(-)Shared commission and fees payable

Article 13(4), point (d), of Regulation (EU) 2019/2033.




0100



(-)Fees, brokerage and other charges paid to CCPs that are charged to customers

Fees, brokerage and other charges paid to central counterparties, exchanges and other trading venues and intermediate brokers for the purposes of executing, registering or clearing transactions, only where they are directly passed on and charged to customers. Those shall not include fees and other charges necessary to maintain membership or otherwise meet loss-sharing financial obligations to central counterparties, exchanges and other trading venues;




0110



(-)Fees to tied agents

Article 13(4), point (e), of Regulation (EU) 2019/2033.




0120



(-)Interest paid to customers on client money where this is at the firm’s discretion

Interest paid to customers on client money, where there is no obligation of any kind to pay such interest;




0130



(-)Non-recurring expenses from non-ordinary activities

Article 13(4), point (f), of Regulation (EU) 2019/2033.




0140



(-)Expenditures from taxes

Expenditures from taxes where they fall due in relation to the annual profits of the investment firm.




0150



(-)Losses from trading on own account in financial instruments

Losses due to trading on own account in financial instruments.




0160



(-)Contract based profit and loss transfer agreements

Payments related to contract-based profit and loss transfer agreements according to which the investment firm is obliged to transfer, following the preparation of its annual financial statements, its annual result to the parent undertaking.




0170



(-)Expenditure on raw materials

Commodity and emission allowance dealers may deduct expenditure on raw materials in connection with an investment firm trading in derivatives of the underlying commodity.




0180



(-)Payments into a fund for general banking risk

payments into a fund for general banking risk in accordance with Article 26(1)(f), of Regulation (EU) No 575/2013.




0190



(-)Expenses related to items that have already been deducted from own funds

Expenses related to items that have already been deducted from own funds in accordance with Article 36(1) of Regulation (EU) No 575/2013




0200



Projected fixed overheads of the current year

The projection of the fixed overheads for the current year after the distribution of profits.




0210



Variation of fixed overheads (%)

The amount shall be reported as the absolute value of:
[(Projected fixed overheads of the current year) – (Annual fixed overheads of the previous year)]/(Annual fixed overheads of the previous year).




1.6.   I 04.00 – TOTAL K-FACTOR REQUIREMENT CALCULATIONS (I 4)
1.6.1.   Instructions concerning specific positions






Row


Legal references and instructions




0010



TOTAL K-FACTOR REQUIREMENT

Article 15(1) of Regulation (EU) 2019/2033.




0020



Risk to client

Article 16 of Regulation (EU) 2019/2033.
The amount reported shall be the sum of rows 0030-0080.




0030



Assets under management

Article 15(2) and Article 17 of Regulation (EU) 2019/2033.
Assets under management shall contain the discretionary portfolio management and non-discretionary advisory arrangements.




0040



Client money held – Segregated

Article 15(2) and Article 18 of Regulation (EU) 2019/2033.




0050



Client money held – Non – segregated

Article 15(2) and Article 18 of Regulation (EU) 2019/2033.




0060



Assets safeguarded and administered

Article 15(2) and Article 19 of Regulation (EU) 2019/2033.




0070



Client orders handled – Cash trades

Article 15(2) and article 20(1) and Article 20(2), point (a), of Regulation (EU) 2019/2033.




0080



Client orders handled – Derivatives Trades

Article 15(2) and Article 20(1) and Article 20(2), point (b), of Regulation (EU) 2019/2033.




0090



Risk to market

Article 21(1) of Regulation (EU) 2019/2033.
The amount reported shall be the sum of rows 0100 – 0110.




0100



K-Net positions risk requirement

Article 22 of Regulation (EU) 2019/2033.




0110



Clearing margin given

Article 23(2) of Regulation (EU) 2019/2033.




0120



Risk to firm

Article 24 of Regulation (EU) 2019/2033.
The amount reported shall be the sum of rows 0130 – 0160.




0130



Trading counterparty default

Article 26 and Article 24 of Regulation (EU) 2019/2033.




0140



Daily trading flow – Cash trades

For the purposes of K-factor requirement calculation, investment firms shall report by applying the coefficient of Article 15(2) of Regulation (EU) 2019/2033.
In the event of stressed market conditions, in accordance with Article 15(5), point (c), of Regulation (EU) 2019/2033, investment firms shall apply an adjusted coefficient as specified in Article 1(1), point (a), of the RTS to specify adjustments to the K-DTF coefficients.
The daily trading flow factor shall be calculated in accordance with Article 33(2), point (a), of Regulation (EU) 2019/2033.




0150



Daily trading flow – Derivative trades

For the purposes of the K-factor requirement calculation, investment firms shall report by applying the coefficient of Article 15(2) of Regulation (EU) 2019/2033.
In the event of stressed market conditions, in accordance with Article 15(5), point (c), of Regulation (EU) 2019/2033, investment firms shall apply an adjusted coefficient as specified in Article 1(1), point (b), of the RTS to specify adjustments to the K-DTF coefficients.
The daily trading flow factor shall be calculated in accordance with Article 33(2), point (b) of Regulation (EU) 2019/2033.




0160



K-Concentration risk requirement

Article 37(2), Article 39 and Article 24 of Regulation (EU) 2019/2033.













Columns


Legal references and instructions




0010



Factor amount

Investment firms shall report the amount, which corresponds to each of the factors, before multiplying each factor by the corresponding coefficient.




0020



K-Factor requirement

Shall be calculated in accordance with Article 16, 21 and 24 of Regulation (EU) 2019/2033.





2.   SMALL AND NON-INTERCONNECTED INVESTMENT FIRMS

2.1   I 05.00 – LEVEL OF ACTIVITY – THRESHOLD REVIEW (I 5)
2.1.1.   Instructions concerning specific positions






Row


Legal references and instructions




0010



(Combined) assets under management

Article 12(1), point (a), of Regulation (EU) 2019/2033.
Where the reporting investment firm is part of a group, the value reported shall be determined on a combined basis for all investment firms that are part of a group pursuant to Article 12(2) of Regulation (EU) 2019/2033.
Investment firms shall include discretionary and non-discretionary assets under management.
The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.




0020



(Combined) client orders handled – Cash trades

Article 12(1), point (b)(i), of Regulation (EU) 2019/2033.
Where the reporting investment firm is part of a group, the value reported shall be determined on a combined basis for all investment firms that are part of a group pursuant to Article 12(2) of Regulation (EU) 2019/2033.
The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.




0030



(Combined) client orders handled – Derivatives

Article 12(1), point (b)(ii), of Regulation (EU) 2019/2033.
Where the reporting investment firm is part of a group, the value reported shall be determined on a combined basis for all investment firms that are part of a group pursuant to Article 12(2) of Regulation (EU) 2019/2033.
The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.




0040



Assets safeguarded and administered

Article 12(1), point (c), of Regulation (EU) 2019/2033.
The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.




0050



Client money held

Article 12(1), point (d), of Regulation (EU) 2019/2033.
The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.




0060



Daily trading flow – cash trades and derivative trades

Article 12(1), point (e), of Regulation (EU) 2019/2033.
The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.




0070



Net position risk

Article 12(1), point (f), of Regulation (EU) 2019/2033.
The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.




0080



Clearing margin given

Article 12(1), point (f), of Regulation (EU) 2019/2033.
The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.




0090



Trading counterparty default

Article 12(1), point (g), of Regulation (EU) 2019/2033.
The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.




0100



(Combined) on – and off-balance sheet total

Article 12(1), point (h), of Regulation (EU) 2019/2033.
Where the reporting investment firm is part of a group, the value reported shall be determined on a combined basis for all investment firms that are part of a group pursuant to Article 12(2) of Regulation (EU) 2019/2033.




0110



Combined total annual gross revenue

Article 12(1), point (i), of Regulation (EU) 2019/2033.
Where the reporting investment firm is part of a group, the value reported shall be determined on a combined basis for all investment firms that are part of a group pursuant to Article 12(2) of Regulation (EU) 2019/2033.




0120



Total annual gross revenue

The value of total annual gross revenue excluding the gross revenues generated within the group pursuant to Article 12(2) of Regulation (EU) 2019/2033.




0130



(-) Intragroup part of the annual gross revenue

The value of the gross revenues generated within the investment firm group pursuant to Article 12(2) of Regulation (EU) 2019/2033.




0140



Of which: revenue from reception and transmission of orders

Article 54(1), point (d), of Regulation (EU) 2019/2033.
Article 4(1), point (2), of Directive 2014/65/EU.




0150



Of which: revenue from execution of orders on behalf of clients

Article 54(1), point (d), of Regulation (EU) 2019/2033.
Article 4(1), point (2), of Directive 2014/65/EU.




0160



Of which: revenue from dealing on own account

Article 54(1), point (d), of Regulation (EU) 2019/2033.
Article 4(1), point (2), of Directive 2014/65/EU.




0170



Of which:revenue from portfolio management

Article 54(1), point (d), of Regulation (EU) 2019/2033.
Article 4(1), point (2), of Directive 2014/65/EU.




0180



Of which: revenue from investment advice

Article 54(1), point (d), of Regulation (EU) 2019/2033.
Article 4(1), point (2), of Directive 2014/65/EU.




0190



Of which: revenue from underwriting of financial instruments/placing on a firm commitment basis

Article 54(1), point (d), of Regulation (EU) 2019/2033.
Article 4(1), point (2), of Directive 2014/65/EU.




0200



Of which: revenue from placing without a firm commitment basis

Article 54(1), point (d), of Regulation (EU) 2019/2033
Article 4(1), point (2), of Directive 2014/65/EU.




0210



Of which: revenue from operation of an MTF

Article 54(1), point (d), of Regulation (EU) 2019/2033.
Article 4(1), point (2), of Directive 2014/65/EU.




0220



Of which: revenue from operation of an OTF

Article 54(1), point (d), of Regulation (EU) 2019/2033.
Article 4(1), point (2), of Directive 2014/65/EU.




0230



Of which: revenue from safekeeping and administration of financial instruments

Article 54(1), point (d), of Regulation (EU) 2019/2033.
Article 4(1), point (3), of Directive 2014/65/EU.




0240



Of which: revenue from granting credits or loans to investors

Article 54(1), point (d), of Regulation (EU) 2019/2033.
Article 4(1), point (3), of Directive 2014/65/EU.




0250



Of which: revenue from advice to undertakings on capital structure, industrial strategy and related matters and advice and services relating to mergers and the purchase of undertakings

Article 54(1), point (d), of Regulation (EU) 2019/2033.
Article 4(1), point (3), of Directive 2014/65/EU.




0260



Of which: revenue from foreign exchange services

Article 54(1), point (d), of Regulation (EU) 2019/2033.
Article 4(1), point (3), of Directive 2014/65/EU.




0270



Of which: investment research and financial analysis

Article 54(1), point (d), of Regulation (EU) 2019/2033.
Article 4(1), point (3), of Directive 2014/65/EU.




0280



Of which: revenue from services related to underwriting

Article 54(1), point (d), of Regulation (EU) 2019/2033.
Article 4(1), point (3), of Directive 2014/65/EU.




0290



Of which: investment services and ancillary activities related with the underlying of derivatives

Article 54(1), point (d), of Regulation (EU) 2019/2033.
Article 4(1), point (3), of Directive 2014/65/EU.





3.   K-FACTOR REQUIREMENTS – ADDITIONAL DETAILS

3.1.   General remarks








12.


In I 06.00 each of the K-factors AUM, ASA, CMH, COH and DTF have two designated tables.












13.


The first table contains in columns information related to “Factor amount” for each month of the reporting quarter. Factor amount is the value that is used for the calculation of each K-factor before applying the coefficient from Table 1 of Article 15(2) of Regulation (EU) 2019/2033.












14.


The second table contains detailed information necessary to calculate the Factor amount.
In case of AUM, this corresponds to the value of assets under management as of the last day of the month as specified in Article 17 of Regulation (EU) 2019/2033.
In the case of CMH, ASA, COH and DTF, the value reported shall correspond to the average of the daily value of the relevant indicator over the month.




3.2.   I 06.01 – ASSETS UNDER MANAGEMENT – ADDITIONAL DETAILS (I 6.1)
3.2.1.   Instructions concerning specific positions






Row


Legal references and instructions




0010



Total AUM (average amounts)

Article 4(1), point (27), of Regulation (EU) 2019/2033.
Total AUM value as an arithmetic mean in accordance with Article 17(1), first subparagraph, of Regulation (EU) 2019/2033. The value reported shall be the sum of rows 0020 and 0040.




0020



Of which: AUM – Discretionary portfolio management

Total amount of assets in relation to which the investment firm performs the service of portfolio management as defined in Article 4(1), point (8), of Directive 2014/65/EU and calculated in accordance with Article 17(1) of Regulation (EU) 2019/2033.




0030



Of which: AUM formally delegated to another entity

Article 17(2) of Regulation (EU) 2019/2033.




0040



AUM – Ongoing non-discretionary advice

Total amount of assets in relation to which the investment firm performs the service of investment advice as defined in Article 4(1), point (4), of Directive 2014/65/EU on an ongoing and non-discretionary basis.













Columns


Legal references and instructions




0010



Factor amount – Month t

AUM for the end of the third month (i.e. the most recent) of the quarter the report refers to.




0020



Factor amount – Month t-1

AUM for the second month of the quarter the report refers to.




0030



Factor amount – Month t-2

AUM for the first month of the quarter the report refers to.




3.3.   I 06.02 – MONTHLY ASSETS UNDER MANAGEMENT (I 6.2)
3.3.1.   Instructions concerning specific positions






Row


Legal references and instructions




0010



Total monthly assets under management

Article 4(1), point (27), of Regulation (EU) 2019/2033.
The total monthly assets under management as of the last business day of the relevant month as referred to in Article 17(1) of Regulation (EU) 2019/2033.
The amount reported in this row shall be the sum of rows 0020 and 0040.




0020



Monthly assets under management – discretionary portfolio management

The amount reported shall be the monthly assets in relation to which the investment firm performs the service of portfolio management as defined in Article 4(1), point (8), of Directive 2014/65/EU as of the last business day of the relevant month as referred to in Article 17(1) of Regulation (EU) 2019/2033.




0030



Of which: assets formally delegated to another entity

Article 17(2) of Regulation (EU) 2019/2033.
Monthly assets which management was formally delegated to another entity reported as of the last business day of the relevant month.




0040



Monthly assets under management – Ongoing non-discretionary advice

Total amount of assets in relation to which the investment firm performs the service of investment advice as defined in Article 4(1), point (4), of Directive 2014/65/EU on an ongoing and non-discretionary basis reported as of the last business day of the relevant month.













Columns


Legal references and instructions




0010-0140



End-of-month values

Values as of the last business day of the relevant month as referred to in Article 17(1) of Regulation (EU) 2019/2033 shall be reported.




3.4.   I 06.03 – CLIENT MONEY HELD- ADDITIONAL DETAIL (I 6.3)
3.4.1.   Instructions concerning specific positions






Row


Legal references and instructions




0010



CMH – Segregated (average amounts)

Article 4(1), points (28) and (49), of Regulation (EU) 2019/2033 and Article 1 of the RTS on the definition of segregated account (Article 15(5), point (b), of Regulation (EU) 2019/2033).
The value reported shall be the arithmetic mean of the daily values of CMH where client money is held in segregated accounts in accordance with Article 18(1), first subparagraph of Regulation (EU) 2019/2033.




0020



CMH – Non-segregated (average amounts)

Article 4(1), points (28) and (49), of Regulation (EU) 2019/2033.
The value reported shall be the arithmetic mean of the daily values of CMH where client money is not held in segregated accounts in accordance with Article 18(1), first subparagraph of Regulation (EU) 2019/2033.













Columns


Legal references and instructions




0010



Factor amount – Month t

CMH for the end of the third month (i.e. the most recent) of the quarter the report refers to.
This amount is calculated as the arithmetic mean of daily amounts within the time period specified in Article 18(1) of Regulation (EU) 2019/2033.




0020



Factor amount – Month t-1

CMH for the end of the second month of the quarter the report refers to.
This amount is calculated as the arithmetic mean of daily amounts within the time period specified in Article 18(1) of Regulation (EU) 2019/2033.




0030



Factor amount – Month t-2

CMH for the end of the first month of the quarter the report refers to.
This amount is calculated as the arithmetic mean of daily amounts within the time period specified in Article 18(1) of Regulation (EU) 2019/2033.




3.5.   I 06.04 – AVERAGE VALUE OF TOTAL DAILY CLIENT MONEY HELD (I 6.4)
3.5.1.   Instructions concerning specific positions






Row


Legal references and instructions




0010



Total daily client money held – Segregated

Article 4(1), points (28) and (49), of Regulation (EU) 2019/2033 and the RTS on the definition of segregated account (Article 15(5), point (b), of Regulation (EU) 2019/2033).
The value reported shall be the monthly average of the total daily client money held where client money is held in segregated accounts in accordance with Article 18(1) of Regulation (EU) 2019/2033.




0020



Total daily client money held – Non-segregated

Article 4(1), points (28) and (49), of Regulation (EU) 2019/2033
The value reported shall be the monthly average of the total daily client money held where client money is not held in segregated accounts in accordance with Article 18(1) of Regulation (EU) 2019/2033.













Columns


Legal references and instructions




0010-0080



Monthly averages of total daily client money held values

Investment firms shall report in each month, the monthly average value of total daily client money held measured at the end of each business day as per Article 18(1) of Regulation (EU) 2019/2033.




3.6.   I 06.05 – ASSETS SAFEGUARDED AND ADMINISTERED – ADDITIONAL DETAIL (I 6.5)
3.6.1.   Instructions concerning specific positions






Row


Legal references and instructions




0010



Total ASA (average amounts)

Article 4(1), point (29), of Regulation (EU) 2019/2033.
Article 5(1) of the RTS to specify the methods for measuring the K-factors (Article 15(5), point (a), of Regulation (EU) 2019/2033).
Total ASA value as a rolling average of the value of the total daily assets safeguarded and administered, measured at the end of each business day for the previous nine months, excluding the three most recent months in accordance with Article 19(1), first subparagraph of Regulation (EU) 2019/2033.




0020



Of which: Fair value of financial instruments (Level 2)

Article 5(1), point (a), of the RTS to specify the methods for measuring the K-factors (Article 15(5), point (a), of Regulation (EU) 2019/2033).
Level 2 financial instruments valuated pursuant to IFRS 13.81.




0030



Of which: Fair value of financial instruments (Level 3)

Article 5(1), point (a), of the RTS to specify the methods for measuring the K-factors (Article 15(5), point (a), of Regulation (EU) 2019/2033.
Valuation based on unobservable inputs using the best information available IFRS 13.86.




0040



Of which: assets formally delegated to another financial entity

Article 19(2) of Regulation (EU) 2019/2033.
Value of assets which safeguarding and administration was formally delegated to another financial entity as an arithmetic mean in accordance with Article 19(1), first subparagraph of Regulation (EU) 2019/2033.




0050



Of which: assets of another financial entity that has formally delegated to the investment firm

Article 19(2) of Regulation (EU) 2019/2033.
Value of assets of another financial entity that has formally delegated safeguarding and administration to the investment firm as an arithmetic mean in accordance with Article 19(1), first subparagraph of Regulation (EU) 2019/2033.













Columns


Legal references and instructions




0010



Factor amount – Month t

ASA for the end of the third month (i.e. the most recent) of the quarter the report refers to.




0020



Factor amount – Month t-1

ASA for the end of the second month of the quarter the report refers to.




0030



Factor amount – Month t-2

ASA for the end of the first month of the quarter the report refers to.




3.7.   I 06.06 – AVERAGE VALUE OF TOTAL DAILY ASSETS SAFEGUARDED AND ADMINISTERED (I 6.6)
3.7.1.   Instructions concerning specific positions






Row


Legal references and instructions




0010



Assets safeguarded and administered

Article 4(1), point (29), of Regulation (EU) 2019/2033.
Article 5(1) of the RTS to specify the methods for measuring the K-factors (Article 15(5), point (a), of Regulation (EU) 2019/2033).
The value reported shall be the monthly average of the total daily assets safeguarded and administered in accordance with Article 19(1) of Regulation (EU) 2019/2033.




0020



Of which: Fair value of financial instruments (Level 2)

Article 5(2) of the RTS to specify the methods for measuring the K-factors (Article 15(5), point (a), of Regulation (EU) 2019/2033.
Level 2 financial instruments valuated pursuant to IFRS 13.81.




0030



Of which: Fair value of financial instruments (Level 3)

Article 5(1), point (a), of the RTS to specify the methods for measuring the K-factors (Article 15(5), point (a), of Regulation (EU) 2019/2033.
Valuation based on unobservable inputs using the best information available IFRS 13.86.




0040



Of which: assets formally delegated to another financial entity

Article 19(2) of Regulation (EU) 2019/2033.
The value reported shall be the monthly average of the total daily assets which safeguarding and administration was formally delegated to another financial entity in accordance with Article 19(1) of Regulation (EU) 2019/2033.




0050



Of which: assets of another financial entity that has formally delegated to the investment firm

Article 19(2) of Regulation (EU) 2019/2033.
The value reported shall be the monthly average of the total daily assets of another financial entity that has formally delegated safeguarding and administration to the investment firm in accordance with Article 19(1) of Regulation (EU) 2019/2033.













Columns


Legal references and instructions




0010-0080



Monthly averages of total daily assets safeguarded and administered values

Investment firms shall report in each month, the daily average value of total daily assets safeguarded and administered measured at the end of each business day as per Article 19(1) of Regulation (EU) 2019/2033.




3.8.   I 06.07 – CLIENT ORDERS HANDLED – ADDITIONAL DETAILS (I 6.7)
3.8.1.   Instructions concerning specific positions






Row


Legal references and instructions




0010



COH – Cash trades (average amounts)

Value of COH – cash trades as defined in Article 4(1), point (30), of Regulation (EU) 2019/2033 and measured pursuant to Article 20(1) of Regulation (EU) 2019/2033.
Investment firms shall report the arithmetic mean amount of COH – cash trades for the previous six months, excluding the three most recent months according with Article 20(1), first subparagraph of Regulation (EU) 2019/2033 and shall be measured pursuant to Article 20(2), point (a), of Regulation (EU) 2019/2033.




0020



Of which: Execution of client orders

COH for cash trades in relation to which the investment firm perform the service of execution of client orders in client’s name as defined in Article 4(1), point (5), of Directive 2014/65/EU.
The arithmetic mean amount of COH value for the previous six months, excluding the three most recent months according with Article 20(1), first subparagraph of Regulation (EU) 2019/2033 shall be reported.




0030



Of which: Reception and transmission of client orders

COH for cash trades in relation to which the investment firm perform the service of reception and transmission of client orders.
The arithmetic mean amount of COH value for the previous six months, excluding the three most recent months according with Article 20(1), first subparagraph of Regulation (EU) 2019/2033 shall be reported.




0040



COH – Derivatives (average amounts)

Article 4(1), point (30), of Regulation (EU) 2019/2033.
Investment firms shall report the arithmetic mean amount of COH – derivatives for the previous six months, excluding the three most recent months according with Article 20(1), first subparagraph of Regulation (EU) 2019/2033 and shall be measured pursuant to Article 20(2), point (b), of Regulation (EU) 2019/2033.




0050



Of which: Execution of client orders

COH for derivative trades in relation to which the investment firm perform the service of execution of client orders in client’s name as defined in Article 4(1), point (5), of Directive 2014/65/EU.
The arithmetic mean amount of COH value for the previous six months, excluding the three most recent months, pursuant to Article 20(1), first subparagraph of Regulation (EU) 2019/2033 shall be reported.




0060



Of which: Reception and transmission of client orders

COH for derivative trades in relation to which the investment firm perform the service of reception and transmission of client orders.
The arithmetic mean amount of COH value for the previous six months, excluding the three most recent months pursuant to Article 20(1), first subparagraph, of Regulation (EU) 2019/2033 shall be reported.













Columns


Legal references and instructions




0010



Factor amount – Month t

Value of COH as of the end of the third month (i.e. the most recent) of the quarter the report refers to.




0020



Factor amount – Month t-1

Value of COH as of the end of the second month of the quarter the report refers to.




0030



Factor amount – Month t-2

Value of COH as of the end of the first month of the quarter the report refers to.




3.9.   I 06.08 – AVERAGE VALUE OF TOTAL DAILY CLIENT ORDERS HANDLED (I 6.8)
3.9.1.   Instructions concerning specific positions






Row


Legal references and instructions




0010



Total daily client orders handled – Cash trades

Article 4(1), point (30), of Regulation (EU) 2019/2033.
The average value of the total daily client orders handled (cash trades) of the relevant month as referred to in Article 20(1) of Regulation (EU) 2019/2033 and shall be measured pursuant to Article 20(2), point (a), of Regulation (EU) 2019/2033.




0020



Of which: Execution of client orders

The average value of the total daily client orders handled for cash trades in relation to which the investment firm perform the service of execution of client orders in client’s name as defined in Article 4(1), point (5), of Directive 2014/65/EU.




0030



Of which: Reception and transmission of client orders

The average value of the total daily client orders handled for cash trades in relation to which the investment firm perform the service of reception and transmission of client orders.




0040



Total daily client orders handled – Derivatives

Article 4(1), point (30), of Regulation (EU) 2019/2033.
The average value of the total daily client orders handled (derivatives) of the relevant month as referred to in Article 20(1) of Regulation (EU) 2019/2033 and shall be measured pursuant to Article 20(2), point (b), of Regulation (EU) 2019/2033.




0050



Of which: Execution of client orders

The average value of the total daily client orders handled for derivative trades in relation to which the investment firm perform the service of execution of client orders in client’s name as defined in Article 4(1), point (5), of Directive 2014/65/EU.




0060



Of which: Reception and transmission of client orders

The average value of the total daily client orders handled for derivative trades in relation to which the investment firm perform the service of reception and transmission of client orders.













Columns


Legal references and instructions




0010-0050



Monthly averages of total daily client orders handled values

Investment firms shall report each month the monthly average value of the total daily client orders handled as per Article 20(1).




3.10.   I 06.09 – K-NET POSITION RISK – ADDITIONAL DETAILS (I 6.9)
3.10.1.   Instructions concerning specific positions






Row


Legal references and instructions




0010



Total standardised approach

Article 22 (a) of Regulation (EU) 2019/2033.
Positions in for which an own funds requirement is determined in accordance with Chapters 2, 3 or 4 of Title IV of Part Three of Regulation (EU) No 575/2013.




0020



Position risk

Article 22 (a) and 21(3) of Regulation (EU) 2019/2033.
Trading book positions in for which an own funds requirement for position risk is determined in accordance with Chapter 2 of Title IV of Part Three of Regulation (EU) No 575/2013.




0030



Equity instruments

Articles 22(a) and 21(3) of Regulation (EU) 2019/2033.
Trading book positions in equity instruments for which an own funds requirement is determined in accordance with Section 3 of Chapter 2 of Title IV of Part Three of Regulation (EU) No 575/2013.




0040



Debt instruments

Articles 22(a) and 21(3) of Regulation (EU) 2019/2033.
Trading book positions in debt instruments for which an own funds requirement is determined in accordance with Section 2 of Chapter 2 of Title IV of Part Three of Regulation (EU) No 575/2013.




0050



Of which: securitisations

Articles 22 (a) and 21(3) of Regulation (EU) 2019/2033.
Positions in securitisation instruments as referred to in Article 337 of Regulation (EU) No 575/2013 and positions in the correlation trading portfolio as referred to in Article 338 of Regulation (EU) No 575/2013.




0055



Particular approach for position risk in CIUs

Article 22 (a) and 21(3) of Regulation (EU) 2019/2033.
Total risk exposure amount for positions in CIUs if capital requirements are calculated in accordance with Article 348(1) of Regulation (EU) No 575/2013 either immediately or as a consequence of the cap defined in Article 350(3), point (c), of Regulation (EU) No 575/2013. Regulation (EU) No 575/2013 does not explicitly assign those positions to either the interest rate risk or the equity risk.
If the particular approach in accordance with the first sentence of Article 348(1) of Regulation (EU) No 575/2013 is applied, the amount to be reported is 32 % of the net position of the CIU exposure in question.
If the particular approach in accordance with the second sentence of Article 348(1) of Regulation (EU) No 575/2013 is applied, the amount to be reported is the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure.




0060



Foreign exchange risk

Article 22(a) and Article 21 paragraphs (3) and (4), of Regulation (EU) 2019/2033.
Positions subject to foreign exchange risk for which an own funds requirement is determined in accordance with Chapter 3 of Title IV of Part Three of Regulation (EU) No 575/2013.




0070



Commodities risk

Article 22(a) and Article 21 paragraphs (3) and (4), of Regulation (EU) 2019/2033.
Positions subject to commodities risk for which an own funds requirement is determined in accordance with Chapter 4 of Title IV of Part Three of Regulation (EU) No 575/2013.




0080



Internal model approach

Article 57(2) and Article 21, paragraphs (3) and (4) of Regulation (EU) 2019/2033.
Trading book positions and positions in the non-trading book that are subject to foreign exchange or commodities risk for which the own funds requirement is determined in accordance with Chapter 5 of Title IV of Part Three of Regulation (EU) No 575/2013.




3.11.   I 06.10 – CLEARING MARGIN GIVEN – ADDITIONAL DETAIL (I 6.10)








15.


In this template, firms dealing on own account shall report all clearing members of qualifying central counterparties under whose responsibility the execution and settlement of transactions of the firm takes place.




3.11.1.   Instructions concerning specific positions






Column


Legal references and instructions




0010 – 0030



Clearing member





0010



Name

Investment firms shall report the name of any clearing member of qualifying central counterparties under whose responsibility the execution and settlement of transactions of the firm dealing on its own account takes place.




0020



Code

The code as part of a row identifier must be unique for each reported entity. For investment firms the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.




0030



Type of code

The type of code reported in column 0020 shall be identified as a ‘LEI code type’ or ‘National code type’.




0040 – 0060



Contribution to the total margin required on a daily basis

Investment firms shall report information for the three days of the preceding three months where the highest, second highest and third highest amount of total margin required on a daily basis, as referred to in Article 23(2) of Regulation (EU) 2019/2033, was calculated.
The investment firm shall include all clearing members in the template that were used on at least one of those days.
The contribution to the total margin required on a daily basis shall be reported as the amount before the multiplication with the factor of 1.3 referred to in Article 23(2) of Regulation (EU) 2019/2033.




0040



Contribution to the total margin required on a daily basis – on the day of the highest amount of total margin required





0050



Contribution to the total margin required on a daily basis – on the day of the second highest amount of total margin required





0060



Contribution to the total margin required on a daily basis – on the day of the third highest amount of total margin required





3.12.   I 06.11 – TRADING COUNTERPARTY DEFAULT- TCD ADDITIONAL DETAILS (I 6.11)
3.12.1.   Instructions concerning specific positions






Row


Legal references and instructions




0010 – 0080



Breakdown by method for determining the exposure value





0010



Application Regulation (EU) 2019/2033: K-TCD

Article 26 of Regulation (EU) 2019/2033.
Exposures for which the own funds requirement is calculated as K-TCD in accordance with Article 26 of Regulation (EU) 2019/2033.




0020



Alternative approaches: Exposure value determined in accordance with Regulation (EU) No 575/2013

Article 25(4), first subparagraph of Regulation (EU) 2019/2033.
Exposures for which the exposure value is determined in accordance with Regulation (EU) No 575/2013 and the related own funds requirements of which are calculated by multiplying the exposure value by the risk factor set out in Table 2 in Article 26 of Regulation (EU) 2019/2033.




0030



SA-CCR

Article 274 of Regulation (EU) No 575/2013.




0040



Simplified SA-CCR

Article 281 of Regulation (EU) No 575/2013.




0050



Original exposure method

Article 282 of Regulation (EU) No 575/2013




0060



Alternative approaches: Full application of Regulation (EU) No 575/2013 framework

Article 25(4), second subparagraph, of Regulation (EU) 2019/2033.
Exposures for which the exposure value and the own funds requirements are determined in accordance with Regulation (EU) No 575/2013.




0070



Memorandum item: CVA component

Articles 25(5) and 26 of Regulation (EU) 2019/2033.
Where an institution applies the approach of Article 26 of Regulation (EU) 2019/2033 or applies the derogation of Article 26(5), first subparagraph, of Regulation of (EU) 2019/2033, the CVA component shall be determined as the difference between the relevant amount after the application of the CVA factor multiplier and the relevant amount before the application of the CVA factor multiplier.
Where an institutions applies the derogation of the Article 25(5), second subparagraph of Regulation (EU) 2019/2033, the CVA component shall be determined in accordance with Part Three, Title VI, of Regulation (EU) No 575/2013.




0080



of which: calculated in accordance with Regulation (EU) No 575/2013 framework

Article 25(5), second subparagraph of Regulation (EU) 2019/2033.




0090 – 0110



Breakdown by type of counterparty

The counterparty breakdown shall be based on the types of counterparties referred to in Table 2 in Article 26 of Regulation (EU) 2019/2033.




0090



Central governments, central banks and public sector entities





0100



Credit institutions and investment firms





0110



Other counterparties














Column


Legal references and instructions




0010



K – factor requirement

The own funds requirement shall be reported as calculated in accordance with Article 26 of Regulation (EU) 2019/2033 or the applicable provisions of Regulation (EU) No 575/2013.




0020



Exposure value

The exposure value as calculated in accordance with Article 27 of Regulation (EU) 2019/2033 or the applicable provisions of Regulation (EU) No 575/2013.




0030



Replacement cost (RC)

Article 28 of Regulation (EU) 2019/2033.




0040



Potential future exposure (PFE)

Article 29 of Regulation (EU) 2019/2033.




0050



Collateral (C)

Article 30(2) and (3) of Regulation (EU) 2019/2033.
The value reported shall be the value of the collateral as used for the calculation of the exposure value and therefore, where applicable, the value after the application of the volatility adjustment and the currency mismatch volatility adjustment of Articles 30(1) and (3) of Regulation (EU) 2019/2033.




3.13.   I 06.12– DAILY TRADING FLOW- ADDITIONAL DETAILS (I 6.12)
3.13.1.   Instructions concerning specific positions






Row


Legal references and instructions




0010



Total DTF – cash trades (average amounts)

Investment firms shall report the arithmetic mean amount of DTF – cash trades for the remaining six months according with Article 33(1), first subparagraph of Regulation (EU) 2019/2033 and shall be measured pursuant to Article 33(2), point (a), of Regulation (EU) 2019/2033.
The amount reported in this cell shall take into account Article 33(3) of Regulation (EU) 2019/2033.




0020



Total DTF – derivative trades (average amounts)

Article 33(2), point (b), of Regulation (EU) 2019/2033.
Investment firms shall report the arithmetic mean amount of DTF – derivative trades for the remaining six months according with Article 33(1), first subparagraph, of Regulation (EU) 2019/2033 and shall be measured pursuant to Article 33(2), point (b), of Regulation (EU) 2019/2033.
The amount reported in this cell shall take into account Article 33(3) of Regulation (EU) 2019/2033.













Columns


Legal references and instructions




0010



Average factor amount – Month t

Value of DTF as of the end of the third month (i.e. the most recent) of the quarter the report refers to.




0020



Average factor amount – Month t-1

Value of DTF as of the end of the second month of the quarter the report refers to.




0030



Average factor amount – Month t-2

Value of DTF as of the end of the first month of the quarter the report refers to.




3.14.   I 06.13– AVERAGE VALUE OF TOTAL DAILY TRADING FLOWS (I 6.13)
3.14.1   Instructions concerning specific positions






Row


Legal references and instructions




0010



Daily trading flow – cash trades

The average value of the total daily trading flow (cash value) of the relevant month as referred to in Article 33(1) of Regulation (EU) 2019/2033 and shall be measured pursuant to Article 33(2), point (a), of Regulation (EU) 2019/2033.




0020



Daily trading flow – derivative trades

The average value of the total daily trading flow (derivative trades) of the relevant month as referred to in Article 33(1) of Regulation (EU) 2019/2033 and shall be measured pursuant to Article 33(2), point (b), of Regulation (EU) 2019/2033.













Columns


Legal references and instructions




0010-0080



Monthly averages of total daily trading flow values

Investment firms shall report in each relevant month column, the monthly average value of the total daily trading flow measured throughout each business day as per Article 33(1) of Regulation (EU) 2019/2033.





4.   CONCENTRATION RISK REPORTING

4.1.   General Remarks








16.


Concentration risk reporting contains information about the concentration risks an investment firm is exposed to through its trading book positions due to the default of counterparties. This leads in to the calculation of K-CON, an additional own funds requirement due to the exposures the investment firm has on its balance sheet. This is in line with the definition of ‘concentration risk’ in Article 4(1), point (31), of Regulation (EU) 2019/2033 where: ‘concentration risk’ or ‘CON’ means the exposures in the trading book of an investment firm to a client or a group of connected clients the value of which exceeds the limits in Article 37(1).












17.


Concentration risk reporting also includes information about the following:






i.


Client money










ii.


Client assets










iii.


Firm’s own cash










iv.


Earnings from clients










v.


Trading book positions










vi.


Exposures calculated taking into account assets and off-balance sheet items not recorded in the trading book.
















18.


Although the wording in Article 54(2) of Regulation (EU) 2019/2033 also refers to ‘concentration risk’, the definition of this included in Article 4(1), point (31), of Regulation (EU) 2019/2033 and the limits set out Article 37(1) of Regulation (EU) 2019/2033 are not compatible with the items described in Article 54(2), points (b) to (e), of Regulation (EU) 2019/2033. For this reason, the reporting required focuses on the five largest positions, if available, in respect of each of items (i) to (vi) of paragraph 19 that are held at, or are attributable to, a particular institution, client or other entity. This reporting allows competent authorities to better understand the risks that investment firms might face from these.












19.


Concentration risk reporting consists of the I 07.00 and I 08.00 templates and, in accordance with Article 54(2) of Regulation (EU) 2019/2033, firms that meet the conditions for qualifying as a small and non-interconnected investment firm set out in Article 12(1) of Regulation (EU) 2019/2033 are not required to report information in this regard.




4.2.   I 07.00 – K-CON ADDITIONAL DETAILS (I7)
4.2.1.   Instructions concerning specific positions






Columns


Legal references and instructions




0010-0060



Counterparty ID

The investment firm shall report the identification of the counterparties or group of connected clients to which they have an exposure that exceeds the limits set out in Article 37(1) of Regulation (EU) 2019/2033.




0010



Code

The code as part of a row identifier must be unique for each reported entity. For investment firms and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.




0020



Type of code

The investment firms shall identify the type of code reported in column 0010 as a ‘LEI code type’ or ‘National code type.
The type of code shall always be reported.




0030



Name

The name shall correspond to the name of the parent company whenever a group of connected clients is reported. In any other case, the name shall correspond to the individual counterparty.




0040



Group/individual

The investment firm shall report "1" for the reporting of exposures to individual clients or "2" for the reporting of exposures to groups of connected clients.




0050



Counterparty type

The investment firm shall report for each exposure if this is associated to:






1.


a credit institution or a group of connected clients that includes a credit institution;










2.


an investment firm or a group of connected clients that includes an investment firm;










3.


Other than credit institutions or investment firms or group of connected clients that include an investment firm or an institution








0060-0110



Trading Book Exposures exceeding the limits set in Article 37(1) of Regulation (EU) 2019/2033

The investment firm shall report information on each exposure exceeding the limits set out in Article 37(1) of Regulation (EU) 2019/2033 in accordance with Article 36 and 39 of Regulation (EU) 2019/2033.




0060



Exposure Value (EV)

Article 36 of Regulation (EU) 2019/2033.




0070



Exposure Value (as % of Own Funds)

Exposure calculated in accordance with Article 36 of Regulation (EU) 2019/2033 and expressed as a percentage of the firm’s own funds.




0080



Own Funds Requirement of total exposure (OFR)

Own funds requirement of total exposure to the individual counterparty or group of connected clients, calculated as the total amount of K-TCD and of the specific risk requirement for K-NPR for the relevant exposure.




0090



Exposure Value Excess (EVE)

Amount calculated in accordance with Article 37(2), second subparagraph, of Regulation (EU) 2019/2033 for the relevant exposure.




0100



Duration of the Excess (in days)

Number of days passed since the exposure excess has first occurred.




0110



K-CON Own Funds Requirement for the Excess (OFRE)

Amount calculated in accordance with Article 39(2) of Regulation (EU) 2019/2033 for the relevant exposure.




4.3.   I 08.01 – LEVEL OF CONCENTRATION RISK – CLIENT MONEY HELD (I 8.1)
4.3.1.   Instructions concerning specific columns






Columns


Legal references and instructions




0010-0060



Total CMH

Article 54(2), point (b), of Regulation (EU) 2019/2033.
The investment firm shall report the identification of the five, if available, counterparties or group of connected counterparties where the largest amounts of client money are held.




0010



Code

The code as part of a row identifier must be unique for each reported entity. For investment firms and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.




0020



Type of code

The investment firms shall identify the type of code reported in column 0010 as a ‘LEI code type’ or ‘National code type’.




0030



Name

The name shall correspond to the name of the parent company whenever a group of connected counterparties is reported. In any other case, the name shall correspond to the individual counterparty.




0040



Group/individual

The firm shall report "1" for the reporting of exposures to individual clients or "2" for the reporting of exposures to groups of connected clients.




0050



Total CMH at reporting date

The firm shall report the total amount of client money at reporting date.




0060



Percentage of client money held at this institution

The firm shall report the amount of client money held at reporting date with each of the counterparties or groups of connected counterparties for which reporting is made, expressed as a percentage of the total (reported in column 0050).




4.4.   I 08.02 – LEVEL OF CONCENTRATION RISK – ASSETS SAFEGUARDED AND ADMINISTERED (I 8.2)
4.4.1.   Instructions concerning specific columns






Columns


Legal references and instructions




0010-0060



Total ASA

Article 54(2), point (c), of Regulation (EU) 2019/2033.
The firm shall report the identification of the five, if available, counterparties or group of connected counterparties where the largest amounts of client securities are deposited.




0010



Code

The code as part of a row identifier must be unique for each reported entity. For investment firms and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.




0020



Type of code

The investment firms shall identify the type of code reported in column 0010 as a ‘LEI code type’ or ‘National code type’.




0030



Name

The name shall correspond to the name of the parent company whenever a group of connected counterparties is reported. In any other case, the name shall correspond to the individual counterparty.




0040



Group/individual

The firm shall report "1" for the reporting of exposures to individual clients or "2" for the reporting of exposures to groups of connected clients.




0050



Total ASA at reporting date

The firm shall report the total amount of client securities deposited at each institution at reporting date.




0060



Percentage of client securities deposited at this institution

The firm shall report the amount of client securities deposited at reporting date with each of the counterparties or groups of connected counterparties for which reporting is made, expressed as a percentage of the total (reported in column 0050).




4.5.   I 08.03 – LEVEL OF CONCENTRATION RISK -TOTAL OWN CASH DEPOSITED (I 8.3)
4.5.1.   Instructions concerning specific columns






Columns


Legal references and instructions




0010-0060



Total Own Cash Deposited

Article 54(2), points (d) and (f), of Regulation (EU) 2019/2033.
The firm shall report the identification of the five, if available, counterparties or group of connected counterparties where the largest amounts of firm’s own cash are deposited.




0010



Code

The code as part of a row identifier must be unique for each reported entity. For investment firms and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.




0020



Type of code

The investment firms shall identify the type of code reported in column 0010 as a ‘LEI code type’ or ‘National code type’.




0030



Name

The name shall correspond to the name of the parent company whenever a group of connected counterparties is reported. In any other case, the name shall correspond to the individual counterparty.




0040



Group/individual

The firm shall report "1" for the reporting of exposures to individual clients or "2" for the reporting of exposures to groups of connected clients.




0050



Amount of firm’s cash deposits at the institution

The firm shall report the total amount of own cash held at each institution at the reference date.




0060



Percentage of firm’s own cash deposits at the institution

The firm shall report the amount of own cash deposited at reporting date with each of the counterparties or groups of connected counterparties for which reporting is made, expressed as a percentage of the total own cash of the investment firm.




4.6.   I 08.04 – LEVEL OF CONCENTRATION RISK – TOTAL EARNINGS (I 8.4)
4.6.1.   Instructions concerning specific columns






Columns


Legal references and instructions




0010-0080



Total Earnings

Article 54(2), points (e) and (f), of Regulation (EU) 2019/2033.
The firm shall report the identification of the five, if available, clients or group of connected clients from whom the largest amounts of firm’s earnings are derived.




0010



Code

The code as part of a row identifier must be unique for each reported entity. For investment firms and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.




0020



Type of code

The investment firms shall identify the type of code reported in column 0010 as a ‘LEI code type’ or ‘National code type’.




0030



Name

The name shall correspond to the name of the parent company whenever a group of connected clients is reported. In any other case, the name shall correspond to the individual client.




0040



Group/individual

The firm shall report "1" for the reporting of exposures to individual clients or "2" for the reporting of exposures to groups of connected clients.




0050



Total earnings from this client

The firm shall report the total earnings per client or group of connected clients generated since the beginning of the accounting year. The earnings shall be broken down by interest and dividend income on one hand and fee and commission income and other income on the other hand.




0060 – 0090



Interest and dividend income





0060



Interest and dividend income – Amount generated from positions in the trading book

Trading book as defined in Article 4(1), point (54), of Regulation (EU) 2019/2033.




0070



Interest and dividend income – Amount generated from positions in the non-trading book





0080



Interest and dividend income – of which: amount generated from off-balance sheet items





0090



Percentage of interest and dividend income from this client

The firm shall report the interest and dividend income generated from each of the clients or groups of connected clients, expressed as a percentage of the total interest and dividend income of the investment firm.




0100 – 0110



Fee and commission and other income





0100



Fee and commission and other income – Amount





0110



Percentage of fee and commission and other income from this client

The firm shall report the fee and commission and other income generated from each of the clients or groups of connected clients, expressed as a percentage of the total fee and commission and other income of the investment firm.




4.7.   I 08.05 – TRADING BOOK EXPOSURES (I 8.5)
4.7.1.   Instructions concerning specific columns






Columns


Legal references and instructions




0010-0050



Trading book exposures

Article 54(2), point (a), of Regulation (EU) 2019/2033.
The firm shall report information in relation to the five, if available, largest trading book exposures.




0010



Code

The code as part of a row identifier must be unique for each reported entity. For investment firms and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.




0020



Type of code

The investment firms shall identify the type of code reported in column 0010 as a ‘LEI code type’ or ‘National code type’.




0030



Name

The name shall correspond to the name of the parent company whenever a group of connected counterparties is reported. In any other case, the name shall correspond to the individual counterparty.




0040



Group/individual

The firm shall report "1" for the reporting of exposures to individual clients or "2" for the reporting of exposures to groups of connected clients.




0050



Percentage of exposure to this counterparty with respect to firm’s own funds (trading book positions only)

The firm shall report the trading book exposures at reporting date to each of the counterparties or groups of connected counterparties for which reporting is made expressed as a percentage of own funds.




4.8.   I 08.06 – NON-TRADING BOOK AND OFF-BALANCE SHEET ITEMS (I 8.6)
4.8.1.   Instructions concerning specific columns






Columns


Legal references and instructions




0010-0050



Non-trading book and off-balance sheet items

Article 54(2), point (f), of Regulation (EU) 2019/2033.
The firm shall report information in relation to the five, if available, largest exposures calculated including assets not recorded in the trading book.




0010



Code

The code as part of a row identifier must be unique for each reported entity. For investment firms and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.




0020



Type of code

The investment firms shall identify the type of code reported in column 0010 as a ‘LEI code type’ or ‘National code type’.




0030



Name

The name shall correspond to the name of the parent company whenever a group of connected counterparties is reported. In any other case, the name shall correspond to the individual counterparty.




0040



Group/individual

The firm shall report "1" for the reporting of exposures to individual clients or "2" for the reporting of exposures to groups of connected clients.




0050



Percentage of exposure with respect to firm’s own funds (including off balance sheet assets and non-trading book items)

The firm shall report exposures, calculated taking into account assets and off-balance sheet items not recorded in the trading book in addition to trading book positions, at reporting date to each of the counterparties or groups of connected counterparties for which reporting is made expressed as a percentage of eligible capital.





5.   LIQUIDITY REQUIREMENTS

5.1   I 09.00 – LIQUIDITY REQUIREMENTS (I 9)
5.1.1.   Instructions concerning specific positions






Row


Legal references and instructions




0010



Liquidity Requirement

Article 43(1) of Regulation (EU) 2019/2033.




0020



Client guarantees

Article 45 of Regulation (EU) 2019/2033.
The value reported shall be the 1,6 % of the total amount of guarantees provided to the clients pursuant to Article 45 of Regulation (EU) 2019/2033.




0030



Total liquid assets

Article 43(1), point (a), and Article 43(2) of Regulation (EU) 2019/2033.
Total liquid assets shall be reported after application of relevant haircuts.
This row is sum of rows 0040, 0050, 0060, 0170, 0230, 0290 and 0300.




0040



Unencumbered short term deposits

Article 43(1), point (d), and Article 43(2) of Regulation (EU) 2019/2033.




0050



Total eligible receivables due within 30 days

Article 43(3) of Regulation (EU) 2019/2033 and Article 43(2) of Regulation (EU) 2019/2033.




0060



Level 1 assets

Article 10 of Delegated Regulation (EU) 2015/61 and Article 43(2) of Regulation (EU) 2019/2033.
Total liquid assets shall be reported after application of relevant haircuts.
Sum of rows 0070 – 0160.




0070



Coins and banknotes

Article 10(1), point (a), of Delegated Regulation (EU) 2015/61.
Total amount of cash arising from coins and banknotes.




0080



Withdrawable central bank reserves

Article 10(1), point (b) (iii), of Delegated Regulation (EU) 2015/61.




0090



Central bank assets

Article 10(1), point (b)(i) and (ii), of Delegated Regulation (EU) 2015/61.




0100



Central government assets

Article 10(1), point (c)(i) and (ii), of Delegated Regulation (EU) 2015/61.




0110



Regional government/local authorities assets

Article 10(1), point (c)(iii) and (iv), of Delegated Regulation (EU) 2015/61.




0120



Public Sector Entity assets

Article 10(1), point (c)(v), of Delegated Regulation (EU) 2015/61.




0130



Recognisable domestic and foreign currency central government and central bank assets

Article 10(1), point (d), of Delegated Regulation (EU) 2015/61.




0140



Credit institution (protected by Member State government, promotional lender) assets

Article 10(1), point (e)(i) and (ii), of Delegated Regulation (EU) 2015/61.




0150



Multilateral development bank and international organisations assets

Article 10(1), point (g), of Delegated Regulation (EU) 2015/61.




0160



Extremely high quality covered bonds

Article 10(1), point (f), of Delegated Regulation (EU) 2015/61.




0170



Level 2A assets

Article 11 of Delegated Regulation (EU) 2015/61 and Article 43(2) of Regulation (EU) 2019/2033.




0180



Regional government/local authorities or Public Sector Entities assets (Member State, RW20 %)

Article 11(1), point (a), of Delegated Regulation (EU) 2015/61.




0190



Central bank or central/regional government or local authorities or Public Sector Entities assets (Third Country, RW20 %)

Article 11(1), point (b), of Delegated Regulation (EU) 2015/61.




0200



High quality covered bonds (CQS2)

Article 11(1), point (c), of Delegated Regulation (EU) 2015/61.




0210



High quality covered bonds (Third Country, CQS1)

Article 11(1), point (d), of Delegated Regulation (EU) 2015/61.




0220



Corporate debt securities (CQS1)

Article 11(1), point (e), of Delegated Regulation (EU) 2015/61.




0230



Level 2B assets

Article 12 of Delegated Regulation (EU) 2015/61 and Article 43(2) of Regulation (EU) 2019/2033.




0240



Asset-backed securities

Article 12(1), point (a), and Article 13(2), point (g), of Delegated Regulation (EU) 2015/61.




0250



Corporate debt securities

Article 12(1), point (b), of Delegated Regulation (EU) 2015/61.




0260



Shares (major stock index)

Article 12(1), point (c), of Delegated Regulation (EU) 2015/61.




0270



Restricted-use central bank committed liquidity facilities

Article 12(1), point (d), of Delegated Regulation (EU) 2015/61.




0280



High quality covered bonds (RW35 %)

Article 15(2), point (f), of Delegated Regulation (EU) 2015/61.




0290



Qualifying CIU shares/units

Article 15 of Delegated Regulation (EU) 2015/61.
Article 43(1), point (b), of Regulation (EU) 2019/2033.




0300



Total other eligible financial instruments

Article 43(1), point (c), of Regulation (EU) 2019/2033.









ANNEX III
REPORTING FOR SMALL AND NON-INTERCONNECTED INVESTMENT FIRMS









INVESTMENT FIRMS TEMPLATES






Template number




Template code




Name of the template /group of templates




Short name





 


 



OWN FUNDS: level, composition, requirements and calculation



 




1


I 01.01


Own funds


I1.1




2,3


I 02.03


Own funds requirements


I2.3




2,4


I 02.04


Capital ratios


I2.4




3,1


I 03.01


Fixed overheads requirements calculation


I3.1




 


 



SMALL AND NON-INTERCONNECTED INVESTMENT FIRMS



 




5


I 05.00


Level of activity - Thresholds review


I5.0




 


 



LIQUIDITY REQUIREMENTS



 




9,1


I 09.01


Liquidity requirements


I9.1





I 01.01 - OWN FUNDS COMPOSITION (I1.1)









Rows




Item




Amount





0010




0010



OWN FUNDS



 




0020



TIER 1 CAPITAL



 




0030



COMMON EQUITY TIER 1 CAPITAL



 




0040


Fully paid up capital instruments


 




0050


Share premium


 




0060


Retained earnings


 




0070


Previous years retained earnings


 




0080


Profit eligible


 




0090


Accumulated other comprehensive income


 




0100


Other reserves


 




0110


Minority interest given recognition in CET1 capital


 




0120


Adjustments to CET1 due to prudential filters


 




0130


Other funds


 




0140


(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1


 




0190


(-) Losses for the current financial year


 




0200


(-) Goodwill


 




0210


(-) Other intangible assets


 




0220


(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities


 




0230


(-) Qualifying holding outside the financial sector which exceeds 15% of own funds


 




0240


(-) Total qualifying holdings in undertaking other than financial sector entities which exceeds 60% of its own funds


 




0285


(-) Other deductions


 




0290


CET1: Other capital elements, deductions and adjustments


 




0300



ADDITIONAL TIER 1 CAPITAL



 




0310


Fully paid up, directly issued capital instruments


 




0320


Share premium


 




0330


(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1


 




0410


Additional Tier 1: Other capital elements, deductions and adjustments


 




0420



TIER 2 CAPITAL



 




0430


Fully paid up, directly issued capital instruments


 




0440


Share premium


 




0450


(-) TOTAL DEDUCTIONS FROM TIER 2


 




0520


Tier 2: Other capital elements, deductions and adjustments


 





I 02.03 - OWN FUNDS REQUIREMENTS (I2.3)









Rows




Item




Amount





0010




0010



Own Fund requirement



 




0020


Permanent minimum capital requirement


 




0030


Fixed overhead requirement


 




 



Transitional own funds requirements



 




0050


Transitional requirement based on CRR own funds requirements



 




0060


Transitional requirement based on fixed overhead requirements



 




0070


Transitional requirement for investment firms previously subject only to an initial capital requirement



 




0080


Transitional requirement based on initial capital requirement at authorisation



 




0090


Transitional requirement for investment firms that are not authorised to provide certain services


 




 



Memorandum items



 




0110



Additional own funds requirement



 




0120



Total own funds requirement



 





I 02.04 - CAPITAL RATIOS (I2.4)








 


 



Amount






Rows




Item




0010






0010



CET 1 Ratio


 





0020



Surplus(+)/Deficit(-) of CET 1 Capital


 





0030



Tier 1 Ratio


 





0040



Surplus(+)/Deficit(-) of Tier 1 Capital


 





0050



Own Funds Ratio


 





0060



Surplus(+)/Deficit(-) of Total capital


 





I 03.01 - FIXED OVERHEADS REQUIREMENT CALCULATION (I3.1)








 


 



Amount






Rows




Item




0010






0010




Fixed Overhead Requirement



 





0020




Annual Fixed Overheads of the previous year after distribution of profits



 





0030




Total expenses of the previous year after distribution of profits



 





0040



Of which: Fixed expenses incurred on behalf of the investment firms by third parties


 





0050




(-)Total deductions



 





0060



(-)Staff bonuses and other remuneration


 





0070



(-)Employees', directors' and partners' shares in net profits


 





0080



(-)Other discretionary payments of profits and variable remuneration


 





0090



(-)Shared commission and fees payable


 





0100



(-)Fees, brokerage and other charges paid to CCPs that are charged to customers


 





0110



(-)Fees to tied agents


 





0130



(-)Non-recurring expenses from non-ordinary activities


 





0140



(-)Expenditures from taxes


 





0150



(-)Losses from trading on own account in financial instruments


 





0160



(-)Contract based profit and loss transfer agreements


 





0170



(-)Expenditure on raw materials


 





0180



(-)Payments into a fund for general banking risk


 





0190



(-)Expenses related to items that have already been deducted from own funds


 





0200




Projected fixed overheads of the current year



 





0210




Variation of fixed overheads (%)



 





I 05.00 - LEVEL OF ACTIVITY - THRESHOLDS REVIEW (I5)








 


 



Amount






Rows




Item




0010






0010




(Combined) assets under management



 





0020




(Combined) client orders handled - Cash trades



 





0030




(Combined) client orders handled - Derivatives



 





0040




Assets safeguarded and administered



 





0050




Client money held



 





0060




Daily trading flow - cash trades and derivative trades



 





0070




Net position risk



 





0080




Clearing margin given



 





0090




Trading counterparty default



 





0100




(Combined) on - and off-balance sheet total



 





0110




Combined total annual gross revenue



 





0120




Total annual gross revenue



 





0130




(-) Intragroup part of the annual gross revenue



 





0140



Of which: revenue from reception and transmission of orders


 





0150



Of which: revenue from execution of orders


 





0160



Of which: revenue from dealing on own account


 





0170



Of which: revenue from portfolio management


 





0180



Of which: revenue from investment advice


 





0190



Of which: revenue from underwriting of financial instruments/placing on a firm commitment basis


 





0200



Of which: revenue from placing without a firm commitment basis


 





0210



Of which: revenue from operation of an MTF


 





0220



Of which: revenue from operation of an OTF


 





0230



Of which: revenue from safekeeping and administration of financial instruments


 





0240



Of which: revenue from granting credits or loans to investors


 





0250



Of which: revenue from advice to undertakings on capital structure, industrial strategy and related matters and advice and services relating to mergers and the purchase of undertakings


 





0260



Of which: revenue from foreign exchange services


 





0270



Of which: investment research and financial analysis


 





0280



Of which: revenue from services related to underwriting


 





0290



Of which: investment services and ancillary activities related with the underlying of derivatives


 





I 09.01 - LIQUIDITY REQUIREMENTS (I9.1)








 


 



Amount






Rows




Item




0010






0010




Liquidity Requirement



 





0020




Client guarantees



 





0030




Total liquid assets



 









ANNEX IV
REPORTING FOR SMALL AND NON-INTERCONNECTED INVESTMENT FIRMS
Table of contents







PART I:

GENERAL INSTRUCTIONS
114










1.

Structure and conventions
114










1.1

Structure
114










1.2

Numbering convention
115










1.3

Sign convention
115










1.4

Prudential consolidation
115










PART II:

TEMPLATE RELATED INSTRUCTIONS
115











1.



OWN FUNDS: LEVEL, COMPOSITION, REQUIREMENTS AND CALCULATION

115










1.1

General Remarks
115










1.2.

I 01.01 – OWN FUNDS COMPOSITION (I 1.1)
115










1.2.1.

Instructions concerning specific positions
115










1.3

I 02.03 – OWN FUND REQUIREMENTS (I 2.3)
120










1.3.1.

Instructions concerning specific positions
120










1.4.

I 02.04 – CAPITAL RATIOS (I 2.4)
121










1.4.1.

Instructions concerning specific positions
121










1.5.

I 03.01 – FIXED OVERHEADS REQUIREMENT CALCULATION (I 3.1)
122










1.5.1.

Instructions concerning specific positions
122











2.



SMALL AND NON-INTERCONNECTED INVESTMENT FIRMS

124










2.1.

I 05.00 – LEVEL OF ACTIVITY – THRESHOLD REVIEW (I 5)
124










2.1.1.

Instructions concerning specific positions
124











3.



LIQUIDITY REQUIREMENTS

127










3.1

I 09.01 – LIQUIDITY REQUIREMENTS (I 9.1)
127










3.1.1.

Instructions concerning specific positions
127




PART I:   GENERAL INSTRUCTIONS

1.   Structure and conventions
1.1   Structure








1.


Overall, the framework consists of the following blocks of information:






(a)


Own funds;










(b)


Own funds requirements calculations;










(c)


Fixed overheads requirements calculation;










(d)


Level of activity in respect of the conditions set out in Article 12(1) of Regulation (EU) 2019/2033;










(e)


Liquidity requirements.
















2.


For each template, legal references are provided. Further detailed information regarding more general aspects of the reporting of each block of templates, instructions concerning specific positions as well as validation rules are included in this part of this Regulation.




1.2   Numbering convention








3.


The document follows the labelling convention set in points 4 to 7, when referring to the columns, rows and cells of the templates. Those numerical codes are extensively used in the validation rules.












4.


The following general notation is followed in the instructions: {Template; Row; Column}.












5.


In the case of validations inside a template, in which only data points of that template are used, notations do not refer to a template: {Row; Column}.












6.


In the case of templates with only one column, only rows are referred to. {Template; Row}












7.


An asterisk sign is used to express that the validation is done for the rows or columns specified before.




1.3   Sign convention








8.


Any amount that increases the own funds or own funds requirements, or the liquidity requirements, shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or own funds requirements shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item no positive figure is expected to be reported of that item.




1.4   Prudential consolidation








9.


Unless an exemption has been granted, Regulation (EU) 2019/2033 and Directive (EU) 2019/2034 apply to investment firms on an individual and on a consolidated basis, which includes reporting requirements in Part Seven of Regulation (EU) 2019/2033. Point (11) of Article 4(1) of Regulation (EU) 2019/2033 defines a consolidated situation as the result of applying the requirements of Regulation (EU) 2019/2033 to an investment firm group as if the entities of the group formed together a single investment firm. Following the application of Article 7 of the Regulation (EU) 2019/2033, investment firms groups shall fulfil the reporting requirements in all templates based on their scope of prudential consolidation (which may be different from their accounting consolidation scope).





PART II:   TEMPLATE RELATED INSTRUCTIONS


1.   OWN FUNDS: LEVEL, COMPOSITION, REQUIREMENTS AND CALCULATION

1.1   General Remarks








10.


Own funds overview section contains information about the own funds that an investment firm holds and its own funds requirements. It consists of two templates:






(a)


I 01.01 template contains the compositions of the own funds that an investment firm holds: Common Equity Tier 1 capital (CET1), Additional Tier 1 capital (AT1) and Tier 2 capital (T2).










(b)


I 02.03 and I 02.04 templates contain the total own funds requirement, the permanent minimum capital requirement, the fixed overheads requirement, any additional own funds requirement and guidance and the transitional own funds requirement and capital ratios.










(c)


I 03.01 includes information with regard to the calculation of the Fixed overheads requirement.
















11.


The items in these templates are gross of transitional adjustments. This means that the figures (except where the transitional own funds requirement is specifically stated) are calculated according to the final provisions (i.e. as if there were no transitional provisions).




1.2.   I 01.01 – OWN FUNDS COMPOSITION (I 1.1)
1.2.1.   Instructions concerning specific positions






Row


Legal references and instructions




0010



OWN FUNDS

Article 9(1) Regulation (EU) 2019/2033.
The own funds of an investment firm shall consist of the sum of its Tier 1 capital and Tier 2 capital.
The total sum of rows (0020 and 0380) shall be reported.




0020



TIER 1 CAPITAL

The Tier 1 capital is the sum of Common Equity Tier 1 Capital and Additional Tier 1 capital.




0030



COMMON EQUITY TIER 1 CAPITAL

Article 9(1) of Regulation (EU) 2019/2033.
Article 50 of Regulation (EU) No 575/2013.
The total sum of rows (0040 to 0060, 0090 to 0140 and 0290) shall be reported.




0040



Fully paid up capital instruments

Article 9(1), point (i) of Regulation (EU) 2019/2033.
Article 26(1), point (a) and Articles 27 to 31 of Regulation (EU) No 575/2013.
Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of Regulation (EU) No 575/2013) shall be included.
The share premium related to the instruments shall not be included.
Capital instruments subscribed by public authorities in emergency situations shall be included if all conditions of Article 31 of Regulation (EU) No 575/2013 are fulfilled.




0050



Share premium

Article 9(1), point (i) of Regulation (EU) 2019/2033.
Article 26(1), point (b) of Regulation (EU) No 575/2013.
Share premium has the same meaning as under the applicable accounting standard.
The amount to be reported in this item shall be the part related to the "Paid up capital instruments".




0060



Retained earnings

Article 9(1), point (i) of Regulation (EU) 2019/2033.
Article 26(1), point (c) of Regulation (EU) No 575/2013.
Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits.
The total sum of rows 0070 and 0080 shall be reported.




0070



Previous years retained earnings

Article 4(1), point (123) and Article 26(1) point (c) of Regulation (EU) No 575/2013
Article 4(1), point (123) of Regulation (EU) No 575/2013 defines retained earnings as "Profit and losses brought forward as a result of the final application of profit or loss under the applicable accounting framework".




0080



Profit eligible

Article 4(1), point (121), Article 26(2) and Article 36(1), point (a) of Regulation (EU) No 575/2013.
Article 26(2) of Regulation (EU) No 575/2013 allows including as retained earnings interim or year-end profits, with the prior consent of the competent authorities, if some conditions are met.




0090



Accumulated other comprehensive income

Article 9(1), point (i) of Regulation (EU) 2019/2033.
Article 26(1), point (d) of Regulation (EU) No 575/2013.




0100



Other reserves

Article 9(1), point (i) of Regulation (EU) 2019/2033.
Article 4(1), point (117) and Article 26(1) point (e) of Regulation (EU) No 575/2013.
The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.




0110



Minority interest given recognition in CET1 capital

Articles 84(1), 85(1) and 87(1) of Regulation (EU) No 575/2013.
Sum of all the amounts of minority interests of subsidiaries that is included in consolidated CET1.




0120



Adjustments to CET1 due to prudential filters

Article 9(1), point (i) of Regulation (EU) 2019/2033.
Articles 32 to 35 of Regulation (EU) No 575/2013.




0130



Other funds

Article 9(4) of Regulation (EU) 2019/2033.




0140



(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1

The total sum of rows 0190 to 0285 shall be reported.




0190



(-) Losses for the current financial year

Article 36(1), point (a) of Regulation (EU) No 575/2013.




0200



(-) Goodwill

Article 9(1), point (i) of Regulation (EU) 2019/2033.
Article 4(1), point (113), Article 36(1), point (b) and Article 37 of Regulation (EU) No 575/2013.




0210



(-) Other intangible assets

Article 9(1), point (i) of Regulation (EU) 2019/2033.
Article 4(1), point (115), Article 36(1), point (b) and Article 37 point (a) of Regulation (EU) No 575/2013.
Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.




0220



(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities

Article 9(2), point (a) of Regulation (EU) 2019/2033.
Article 36(1), point (c) of Regulation (EU) No 575/2013.




0230



(-) Qualifying holding outside the financial sector which exceeds 15 % of own funds

Article 10(1), point (a) of Regulation (EU) 2019/2033.




0240



(-)Total qualifying holdings in undertaking other than financial sector entities which exceeds 60 % of its own funds

Article 10(1), point (b) of Regulation (EU) 2019/2033.




0285



(-) Other deductions

The sum of all other deductions in accordance with Article 36(1) of Regulation (EU) No 575/2013 that are not included in any of the rows 0160 to 0240 above




0290



CET1: Other capital elements, deductions and adjustments

This row shall include the sum of the following items, where applicable:






—


Transitional adjustments due to grandfathered CET1 Capital instruments (Article 483, paragraphs 1, 2 and 3 and Articles 484 to 487 of Regulation (EU) No 575/2013)










—


Transitional adjustments due to additional minority interests (Articles 479 and 480 of Regulation (EU) No 575/2013).










—


Other transitional adjustments to CET1 Capital (Articles 469 to 478 and 481 of Regulation (EU) No 575/2013): adjustments to the deductions from CET1 due to transitional provisions.










—


Other CET1 capital elements or deductions from a CET1 element that cannot be assigned to one of the rows 0040 to 0285.




This row shall not be used to include capital items or deductions which are not covered by the Regulation (EU) 2019/2033 or Regulation (EU) No 575/2013 into the calculation of the solvency ratios.




0300



ADDITIONAL TIER 1 CAPITAL

Article 9(1) Regulation (EU) 2019/2033.
Article 61 Regulation (EU) No 575/2013.
The total sum of rows 0310 to 0410 shall be reported.




0310



Fully paid up, directly issued capital instruments

Article 9(1), point (i) of Regulation (EU) 2019/2033.
Article 51, point (a) and Articles 52, 53 and 54 of Regulation (EU) No 575/2013.
The amount to be reported shall not include the share premium related to the instruments.




0320



Share premium

Article 9(1), point (i) of Regulation (EU) 2019/2033.
Article 51, point (b) of Regulation (EU) No 575/2013.
Share premium has the same meaning as under the applicable accounting standard.
The amount to be reported in this item shall be the part related to the "Fully paid up, directly issued capital instruments".




0330



(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1

Article 56 of Regulation (EU) No 575/2013.




0410



Additional Tier 1: Other capital elements, deductions and adjustments

This row shall include the sum of the following items, where applicable:






—


Transitional adjustments due to grandfathered AT1 Capital instruments (Article 483, paragraphs 4 and 5, Articles 484 to 487, Articles 489 and 491 of Regulation (EU) No 575/2013)










—


Instruments issued by subsidiaries that are given recognition in AT1 Capital (Articles 83, 85 and 86 of Regulation (EU) No 575/2013): Sum of all the amounts of qualifying T1 capital of subsidiaries that is included in consolidated AT1, also including capital issued by a special purpose entity (Article 83 of Regulation (EU) No 575/2013)










—


Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries (Article 480 of Regulation (EU) No 575/2013): adjustments to the qualifying T1 capital included in consolidated AT1 capital due to transitional provisions










—


Other transitional adjustments to AT1 Capital (Articles 472, 473a, 474, 475, 478 and 481 of Regulation (EU) No 575/2013): adjustments to deductions due to transitional provisions










—


Excess of deduction from AT1 items over AT1 Capital, deducted from CET1 in accordance with point (j) of Article 36(1) of Regulation (EU) No 575/2013: Additional Tier 1 cannot be negative, but it is possible that the deductions from AT1 items exceed the amount of available AT1 items. Where this happens, this item represents the amount needed to increase the amount reported in row 0300 to zero and equals the inverse of the excess of deductions from AT1 items over AT1 Capital included, among other deductions, in row 0285.










—


Other AT1 capital elements or deductions from an AT1 element that cannot be assigned to one of the rows 0310 to 0330.




This row shall not be used to include capital items or deductions which are not covered by the Regulation (EU) 2019/2033 or Regulation (EU) No 575/2013 into the calculation of the solvency ratios




0420



TIER 2 CAPITAL

Article 9(1) of Regulation (EU) 2019/2033.
Article 71 of Regulation (EU) No 575/2013.
The total sum of rows 0430 to 0520 shall be reported.




0430



Fully paid up, directly issued capital instruments

Article 9(1), point (i) of Regulation (EU) 2019/2033.
Article 62, point (a), Articles 63 and 65 of Regulation (EU) No 575/2013.
The amount to be reported shall not include the share premium related to the instruments.




0440



Share premium

Article 9(1), point (i) of Regulation (EU) 2019/2033.
Article 62, point (b) and Article 65 of Regulation (EU) No 575/2013.
Share premium has the same meaning as under the applicable accounting standard.
The amount to be reported in this item shall be the part related to the "Fully paid up, directly issued capital instruments".




0450



(-) TOTAL DEDUCTIONS FROM TIER 2

Article 66 of Regulation (EU) No 575/2013.




0520



Tier 2: Other capital elements, deductions and adjustments

This row shall include the sum of the following items, where applicable:






—


Transitional adjustments due to grandfathered T2 Capital instruments (Article 483, paragraphs 6 and 7 of, Articles 484, 486, 488, 490 and 491 of Regulation (EU) No 575/2013)










—


Instruments issued by subsidiaries that are given recognition in T2 Capital (Articles 83, 87 and 88 Regulation (EU) No 575/2013): Sum of all the amounts of qualifying own funds of subsidiaries that is included in consolidated T2, also including qualifying Tier 2 capital issued by a special purpose entity (Article 83 of Regulation (EU) No 575/2013)










—


Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries (Article 480 of Regulation (EU) No 575/2013): Adjustments to the qualifying own funds included in consolidated T2 capital due to transitional provisions.










—


Other transitional adjustments to T2 Capital (Articles 472, 473a, 476, 477, 478 and 481 of Regulation (EU) No 575/2013): Adjustments to the deductions from Tier 2 due to transitional provisions










—


Excess of deduction from T2 items over T2 Capital, deducted from AT1 in accordance with Article 56, point (e) of Regulation (EU) No 575/2013: Tier 2 cannot be negative, but it is possible that the deductions from T2 items exceed the amount of available T2 items. Where this happens, this item represents the amount needed to increase the amount reported in row 0420 to zero.










—


Other T2 capital elements or deductions from a T2 element that cannot be assigned to one of the rows 0430 to 0450.




This row shall not be used to include capital items or deductions which are not covered by the Regulation (EU) 2019/2033 or Regulation (EU) No 575/2013 into the calculation of the solvency ratios.




1.3   I 02.03 – OWN FUND REQUIREMENTS (I 2.3)
1.3.1.   Instructions concerning specific positions






Row


Legal references and instructions




0010



Own fund requirement

Article 11(1) and (2) of Regulation (EU) 2019/2033.
This item shall be maximum of rows 0020 and 0030.




0020



Permanent minimum capital requirement

Article 14 of Regulation (EU) 2019/2033.




0030



Fixed overhead requirement

Article 13 of Regulation (EU) 2019/2033.




0050 – 0090



Transitional own funds requirements





0050



Transitional requirement based on Regulation (EU) No 575/2013 own funds requirements

Article 57(3), point (a) of Regulation (EU) 2019/2033.




0060



Transitional requirement based on fixed overhead requirements

Article 57(3), point (b) of Regulation (EU) 2019/2033.




0070



Transitional requirement for investment firms previously subject only to an initial capital requirement

Article 57(4), point (a) of Regulation (EU) 2019/2033




0080



Transitional requirement based on initial capital requirement at authorisation

Article 57(4), point (b) of Regulation (EU) 2019/2033.




0090



Transitional requirement for investment firms that are not authorised to provide certain services

Article 57(4), point (c) of Regulation (EU) 2019/2033.




0110 – 0130



Memorandum items





0110



Additional own funds requirement

Article 40 of Directive (EU) 2019/2034.
Additional own funds required following the SREP.




0120



Total own funds requirement

The total own funds requirement of an investment firm shall consist of the sum of its own funds requirements applicable at the reference date, the additional own funds requirement as reported in row 0110 and the additional own funds guidance as reported in row 0120.




1.4.   I 02.04 – CAPITAL RATIOS (I 2.4)
1.4.1.   Instructions concerning specific positions






Row


Legal references and instructions




0010



CET 1 Ratio

Article 9(1), point (a) and Article 11(1) and (2) of Regulation (EU) 2019/2033.
This item is expressed as a percentage.




0020



Surplus(+)/Deficit(-) of CET 1 Capital

This item shows the surplus or deficit of CET1 Capital relating to the requirement set in Article 9(1) Regulation (EU) 2019/2033.
The transitional provisions of Article 57(3) and (4) Regulation (EU) 2019/2033 shall not be considered for this item.




0030



Tier 1 Ratio

Article 9(1), point (b) and Article 11(1) and (2) of Regulation (EU) 2019/2033.
This item is expressed as a percentage.




0040



Surplus(+)/Deficit(-) of Tier 1 Capital

This item shows the surplus or deficit of Tier 1 Capital relating to the requirement set in Article 9(1) of Regulation (EU) 2019/2033.
The transitional provisions of Article 57(3) and (4) of Regulation (EU) 2019/2033 shall not be considered for this item.




0050



Own Funds Ratio

Article 9(1), point (c), Article 11(1) and (2) of Regulation (EU) 2019/2033.
This item is expressed as a percentage.




0060



Surplus(+)/Deficit(-) of Total capital

This item shows the surplus or deficit of own funds relating to the requirement set in Article 9(1) of Regulation (EU) 2019/2033.
The transitional provisions of Article 57(3) and (4) of Regulation (EU) 2019/2033 shall not be considered for this item.




1.5.   I 03.01 – FIXED OVERHEADS REQUIREMENT CALCULATION (I 3.1)
1.5.1.   Instructions concerning specific positions






Row


Legal references and instructions




0010



Fixed Overhead Requirement

Article 13(1) of Regulation (EU) 2019/2033.
The amount reported shall be at least 25 % of the annual fixed overheads of the previous year (row 0020).
In the cases where there is a material change as mentioned in Article 13(2) of Regulation (EU) 2019/2033, the amount reported shall be the fixed overheads requirement imposed by the competent authority in accordance with that Article.
In the cases specified in Article 13(3) of Regulation (EU) 2019/2033, the amount to be reported shall be the projected fixed overheads of the current year (row 0200).




0020



Annual fixed overheads of the previous year after distribution of profits

Article 13(1) Regulation (EU) 2019/2033.
Investment firms shall report the fixed overheads of the previous year after the distribution of profits.




0030



Total expenses of the previous year after distribution of profits

Article 13(1) of Regulation (EU) 2019/2033.
The amount to be reported shall be after the distribution of profits.




0040



Of which: Fixed expenses incurred on behalf of the investment firms by third parties

Article 13 of Regulation (EU) 2019/2033.




0050



(-) Total deductions

In addition to the items for deduction referred to in Article 13, point (4) of Regulation (EU) 2019/2033 the following items shall also be deducted from the total expenses, where they are included under total expenses in accordance with the relevant accounting framework:






(a)


fees, brokerage and other charges paid to central counterparties, exchanges and other trading venues and intermediate brokers for the purposes of executing, registering or clearing transactions, only where they are directly passed on and charged to customers. These shall not include fees and other charges necessary to maintain membership or otherwise meet loss-sharing financial obligations to central counterparties, exchanges and other trading venues;










(b)


interest paid to customers on client money, where there is no obligation of any kind to pay such interest;










(c)


expenditures from taxes where they fall due in relation to the annual profits of the investment firm;










(d)


losses from trading on own account in financial instruments;










(e)


payments related to contract-based profit and loss transfer agreements according to which the investment firm is obliged to transfer, following the preparation of its annual financial statements, its annual result to the parent undertaking;










(f)


payments into a fund for general banking risk in accordance with Article 26(1)(f) of Regulation (EU) No 575/2013;










(g)


expenses related to items that have already been deducted from own funds in accordance with Article 36(1) Regulation (EU) No 575/2013.








0060



(-) Staff bonuses and other remuneration

Article 13(4), point (a) of Regulation (EU) 2019/2033.
Staff bonuses and other remuneration shall be considered to depend on the net profit of the investment firm in the respective year where both of the following conditions are met:






(h)


the staff bonuses or other remuneration to be deducted have already been paid to employees in the year preceding the year of payment, or the payment of the staff bonuses or other remuneration to employees will have no impact on the firm’s capital position in the year of payment;










(i)


with respect to the current year and future years, the firm is not obliged to award or allocate further bonuses or other payments in the form of remuneration unless it makes a net profit in that year.








0070



(-) Employees’, directors’ and partners’ shares in net profits

Article 13(4), point (b) of Regulation (EU) 2019/2033.
Employees’, directors’ and partners’ shares in profits shall be calculated on the basis of the net profits.




0080



(-) Other discretionary payments of profits and variable remuneration

Article 13(4), point (c) of Regulation (EU) 2019/2033.




0090



(-) Shared commission and fees payable

Article 13(4), point (d) of Regulation (EU) 2019/2033.




0100



(-) Fees, brokerage and other charges paid to CCPs that are charged to customers

Fees, brokerage and other charges paid to central counterparties, exchanges and other trading venues and intermediate brokers for the purposes of executing, registering or clearing transactions, only where they are directly passed on and charged to customers. These shall not include fees and other charges necessary to maintain membership or otherwise meet loss-sharing financial obligations to central counterparties, exchanges and other trading venues.




0110



(-) Fees to tied agents

Article 13(4), point (e) of Regulation (EU) 2019/2033.




0130



(-) Non-recurring expenses from non-ordinary activities

Article 13(4), point (f) of Regulation (EU) 2019/2033.




0140



(-) Expenditures from taxes







 


Expenditures from taxes where they fall due in relation to the annual profits of the investment firm.








0150



(-) Losses from trading on own account in financial instruments

Self-explanatory.




0160



(-) Contract based profit and loss transfer agreements

Payments related to contract-based profit and loss transfer agreements according to which the investment firm is obliged to transfer, following the preparation of its annual financial statements, its annual result to the parent undertaking.




0170



(-) Expenditure on raw materials

Commodity and emission allowance dealers may deduct expenditure on raw materials in connection with an investment firm trading in derivatives of the underlying commodity.




0180



(-)Payments into a fund for general banking risk

Payments into a fund for general banking risk in accordance with Article 26(1)(f) of Regulation (EU) No 575/2013.




0190



(-)Expenses related to items that have already been deducted from own funds

Expenses related to items that have already been deducted from own funds in accordance with Article 36(1) of Regulation (EU) No 575/2013.




0200



Projected fixed overheads of the current year

The projection of the fixed overheads for the current year after the distribution of profits.




0210



Variation of fixed overheads (%)

The amount shall be reported as the absolute value of:
[(Annual fixed overheads of the current year) – (Projected fixed overheads of the previous year)/(Annual fixed overheads of the previous year)]





2.   SMALL AND NON-INTERCONNECTED INVESTMENT FIRMS

2.1.   I 05.00 – LEVEL OF ACTIVITY – THRESHOLD REVIEW (I 5)
2.1.1.   Instructions concerning specific positions






Row


Legal references and instructions




0010



(Combined) assets under management

Article 12(1), point (a) of Regulation (EU) 2019/2033.
Where the reporting investment firm is part of a group, the value reported shall be determined on a combined basis for all investment firms that are part of a group pursuant Article 12(2) of Regulation (EU) 2019/2033.
Investment firms shall include discretionary and non-discretionary assets under management.
The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.




0020



(Combined) client orders handled – Cash trades

Article 12(1), point (b) (i) of Regulation (EU) 2019/2033.
Where the reporting investment firm is part of a group, the value reported shall be determined on a combined basis for all investment firms that are part of a group pursuant Article 12(2) of Regulation (EU) 2019/2033.
The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.




0030



(Combined) client orders handled – Derivatives

Article 12(1), point (b) (i) of Regulation (EU) 2019/2033.
Where the reporting investment firm is part of a group, the value reported shall be determined on a combined basis for all investment firms that are part of a group pursuant Article 12(2) Regulation (EU) 2019/2033.
The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.




0040



Assets safeguarded and administered

Article 12(1), point (c) of Regulation (EU) 2019/2033.
The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.




0050



Client money held

Article 12(1), point (d) of Regulation (EU) 2019/2033.
The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.




0060



Daily trading flow – cash trades and derivative trades

Article 12(1), point (e) of Regulation (EU) 2019/2033.
The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.




0070



Net position risk

Article 12(1), point (f) of Regulation (EU) 2019/2033.
The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.




0080



Clearing margin given

Article 12(1), point (f) of Regulation (EU) 2019/2033.
The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.




0090



Trading counterparty default

Article 12(1), point (g) of Regulation (EU) 2019/2033.
The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.




0100



(Combined) on – and off-balance sheet total

Article 12(1), point (h) of Regulation (EU) 2019/2033.
Where the reporting investment firm is part of a group, the value reported shall be determined on a combined basis for all investment firms that are part of a group pursuant Article 12(2) of Regulation (EU) 2019/2033.




0110



Combined total annual gross revenue

Article 12(1), point (i) of Regulation (EU) 2019/2033.
Where the reporting investment firm is part of a group, the value reported shall be determined on a combined basis for all investment firms that are part of a group pursuant Article 12(2) of Regulation (EU) 2019/2033.
The value reported shall be (row 0120 + row 0130).




0120



Total annual gross revenue

The value of total annual gross revenue excluding the gross revenues generated within the group pursuant Article 12(2) of Regulation (EU) 2019/2033.




0130



(-) Intragroup part of the annual gross revenue

The value of the gross revenues generated within the investment firm group pursuant Article 12(2) of Regulation (EU) 2019/2033.




0140



Of which:revenue from reception and transmission of orders

Article 54(1), point (d) of Regulation (EU) 2019/2033.
Article 4(1), point (2) of Directive 2014/65/EU.




0150



Of which:revenue from execution of orders on behalf of clients

Article 54(1), point (d) of Regulation (EU) 2019/2033.
Article 4(1), point (2) of Directive 2014/65/EU.




0160



Of which:revenue from dealing on own account

Article 54(1), point (d) of Regulation (EU) 2019/2033.
Article 4(1), point (2) of Directive 2014/65/EU.




0170



Of which:revenue from portfolio management

Article 54(1), point (d) of Regulation (EU) 2019/2033.
Article 4(1), point (2) of Directive 2014/65/EU.




0180



Of which: revenue from investment advice

Article 54(1), point (d) of Regulation (EU) 2019/2033.
Article 4(1), point (2) of Directive 2014/65/EU.




0190



Of which: revenue from underwriting of financial instruments/placing on a firm commitment basis

Article 54(1), point (d) of Regulation (EU) 2019/2033.
Article 4(1), point (2) of Directive 2014/65/EU.




0200



Of which: revenue from placing without a firm commitment basis

Article 54(1), point (d) of Regulation (EU) 2019/2033.
Article 4(1), point (2) of Directive 2014/65/EU.




0210



Of which: revenue from operation of an MTF

Article 54(1), point (d) of Regulation (EU) 2019/2033.
Article 4(1), point (2) of Directive 2014/65/EU.




0220



Of which: revenue from operation of an OTF

Article 54(1), point (d) of Regulation (EU) 2019/2033.
Article 4(1), point (2) of Directive 2014/65/EU.




0230



Of which: revenue from safekeeping and administration of financial instruments

Article 54(1), point (d) of Regulation (EU) 2019/2033.
Article 4(1), point (3) of Directive 2014/65/EU.




0240



Of which: revenue from granting credits or loans to investors

Article 54(1), point (d) of Regulation (EU) 2019/2033.
Article 4(1), point (3) of Directive 2014/65/EU.




0250



Of which: revenue from advice to undertakings on capital structure, industrial strategy and related matters and advice and services relating to mergers and the purchase of undertakings

Article 54(1), point (d) of Regulation (EU) 2019/2033.
Article 4(1), point (3) of Directive 2014/65/EU.




0260



Of which: revenue from foreign exchange services

Article 54(1), point (d) of Regulation (EU) 2019/2033.
Article 4(1), point (3) of Directive 2014/65/EU.




0270



Of which: investment research and financial analysis

Article 54(1), point (d) of Regulation (EU) 2019/2033.
Article 4(1), point (3) of Directive 2014/65/EU.




0280



Of which: revenue from services related to underwriting

Article 54(1), point (d) of Regulation (EU) 2019/2033.
Article 4(1), point (3) of Directive 2014/65/EU.




0290



Of which: investment services and ancillary activities related with the underlying of derivatives

Article 54(1), point (d) of Regulation (EU) 2019/2033.
Article 4(1), point (3) of Directive 2014/65/EU.





3.   LIQUIDITY REQUIREMENTS

3.1   I 09.01 – LIQUIDITY REQUIREMENTS (I 9.1)
3.1.1.   Instructions concerning specific positions






Row


Legal references and instructions




0010



Liquidity Requirement

Article 43(1) of Regulation (EU) 2019/2033.




0020



Client guarantees

Article 45 of Regulation (EU) 2019/2033.
The value reported shall be the 1,6 % of the total amount of guarantees provided to the clients pursuant Article 45 of Regulation (EU) 2019/2033.




0030



Total liquid assets

Point (a) of Article 43(1) and Article 43(2) of Regulation (EU) 2019/2033.
Total liquid assets shall be reported after application of relevant haircuts.









ANNEX V

Part I: Single Data Point Model

All data items set out in the Annexes to this Regulation shall be transformed into a single data point model, which is the basis for uniform IT systems of institutions and competent authorities.
The single data point model shall meet the following criteria:






(a)


it provides a structured representation of all data items set out in Annex I, III and VIII;










(b)


it identifies all the business concepts set out in Annexes I to IV and VIII to IX;










(c)


it provides a data dictionary identifying table labels, ordinate labels, axis labels, domain labels, dimension labels and member labels;










(d)


it provides metrics, which define the property or amount of data points;










(e)


it provides data point definitions that are expressed as a composition of characteristics that univocally identify the concept;










(f)


it contains all the relevant technical specifications necessary for developing IT reporting solutions producing uniform supervisory data.





Part II: Validation rules

The data items set out in the Annexes to this Regulation shall be subject to validation rules ensuring data quality and consistency.
The validation rules shall meet the following criteria:






(a)


they define the logical relationships between relevant data points;










(b)


they include filters and preconditions that define a set of data to which a validation rule applies;










(c)


they check the consistency of the reported data;










(d)


they check the accuracy of the reported data;










(e)


they set default values, which shall be applied where the relevant information has not been reported.









ANNEX VI
DISCLOSURE ON OWN FUNDS TEMPLATES









INVESTMENT FIRMS DISCLOSURE






Template number




Template code




Name




Legislative reference





 


 



OWN FUNDS



 




1


I CC1


COMPOSITION OF REGULATORY OWN FUNDS


Art 49(1)(c)




2


I CC2


OWN FUNDS RECONCILIATION WITH AUDITED FINANCIAL STATEMENTS


Art 49(1)(a)




3


I CCA


OWN FUNDS MAIN FEATURES


Art 49(1)(b)





Template EU IF CC1.01 - Composition of regulatory own funds (Iinvestment firms other than small and non-interconnected )









 


 



(a)




(b)





 


 



Amounts




Source based on reference numbers/letters of the balance sheet in the audited financial statements






Common Equity Tier 1 (CET1) capital: instruments and reserves






1




OWN FUNDS



 


 





2




TIER 1 CAPITAL



 


 





3




COMMON EQUITY TIER 1 CAPITAL



 


 




4


Fully paid up capital instruments


 


 




5


Share premium


 


 




6


Retained earnings


 


 




7


Accumulated other comprehensive income


 


 




8


Other reserves


 


 




9


Minority interest given recognition in CET1 capital


 


 




10


Adjustments to CET1 due to prudential filters


 


 




11


Other funds


 


 




12


(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1


 


 




13


(-) Own CET1 instruments


 


 




14


(-) Direct holdings of CET1 instruments


 


 




15


(-) Indirect holdings of CET1 instruments


 


 




16


(-) Synthetic holdings of CET1 instruments


 


 




17


(-) Losses for the current financial year


 


 




18


(-) Goodwill


 


 




19


(-) Other intangible assets


 


 




20


(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities


 


 




21


(-) Qualifying holding outside the financial sector which exceeds 15% of own funds


 


 




22


(-) Total qualifying holdings in undertaking other than financial sector entities which exceeds 60% of its own funds


 


 




23


(-) CET1 instruments of financial sector entites where the institution does not have a significant investment


 


 




24


(-) CET1 instruments of financial sector entities where the institution has a significant investment


 


 




25


(-)Defined benefit pension fund assets


 


 




26


(-) Other deductions


 


 




27


CET1: Other capital elements, deductions and adjustments


 


 




28



ADDITIONAL TIER 1 CAPITAL



 


 




29


Fully paid up, directly issued capital instruments


 


 




30


Share premium


 


 




31


(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1


 


 




32


(-) Own AT1 instruments


 


 




33


(-) Direct holdings of AT1 instruments


 


 




34


(-) Indirect holdings of AT1 instruments


 


 




35


(-) Synthetic holdings of AT1 instruments


 


 




36


(-) AT1 instruments of financial sector entities where the institution does not have a significant investment


 


 




37


(-) AT1 instruments of financial sector entities where the institution has a significant investment


 


 




38


(-) Other deductions


 


 




39


Additional Tier 1: Other capital elements, deductions and adjustments


 


 




40



TIER 2 CAPITAL



 


 




41


Fully paid up, directly issued capital instruments


 


 




42


Share premium


 


 




43


(-) TOTAL DEDUCTIONS FROM TIER 2


 


 




44


(-) Own T2 instruments


 


 




45


(-) Direct holdings of T2 instruments


 


 




46


(-) Indirect holdings of T2 instruments


 


 




47


(-) Synthetic holdings of T2 instruments


 


 




48


(-) T2 instruments of financial sector entities where the institution does not have a significant investment


 


 




49


(-) T2 instruments of financial sector entities where the institution has a significant investment


 


 




50


Tier 2: Other capital elements, deductions and adjustments


 


 





Template EU IF CC1.02 - Composition of regulatory own funds (Small and non-interconnected investment firms)









 


 



(a)




(b)





 


 



Amounts




Source based on reference numbers/letters of the balance sheet in the audited financial statements






Common Equity Tier 1 (CET1) capital: instruments and reserves






1




OWN FUNDS



 


 





2




TIER 1 CAPITAL



 


 





3




COMMON EQUITY TIER 1 CAPITAL



 


 




4


Fully paid up capital instruments


 


 




5


Share premium


 


 




6


Retained earnings


 


 




7


Accumulated other comprehensive income


 


 




8


Other reserves


 


 




9


Adjustments to CET1 due to prudential filters


 


 




10


Other funds


 


 




11


(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1


 


 




12


(-) Losses for the current financial year


 


 




13


(-) Goodwill


 


 




14


(-) Other intangible assets


 


 




15


(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities


 


 




16


(-) Qualifying holding outside the financial sector which exceeds 15% of own funds


 


 




17


(-) Total qualifying holdings in undertaking other than financial sector entities which exceeds 60% of its own funds


 


 




18


(-) Other deductions


 


 




19


CET1: Other capital elements, deductions and adjustments


 


 




20



ADDITIONAL TIER 1 CAPITAL



 


 




21


Fully paid up, directly issued capital instruments


 


 




22


Share premium


 


 




23


(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1


 


 




24


Additional Tier 1: Other capital elements, deductions and adjustments


 


 




25



TIER 2 CAPITAL



 


 




26


Fully paid up, directly issued capital instruments


 


 




27


Share premium


 


 




28


(-) TOTAL DEDUCTIONS FROM TIER 2


 


 




29


Tier 2: Other capital elements, deductions and adjustments


 


 





Template EU IF CC1.03 - Composition of regulatory own funds (Group capital test)









 


 



(a)




(b)





 


 



Amounts




Source based on reference numbers/letters of the balance sheet in the audited financial statements






Common Equity Tier 1 (CET1) capital: instruments and reserves






1




OWN FUNDS



 


 





2




TIER 1 CAPITAL



 


 





3




COMMON EQUITY TIER 1 CAPITAL



 


 




4


Fully paid up capital instruments


 


 




5


Share premium


 


 




6


Retained earnings


 


 




7


Previous years retained earnings


 


 




8


Profit or loss eligible


 


 




9


Accumulated other comprehensive income


 


 




10


Other reserves


 


 




11


Adjustments to CET1 due to prudential filters


 


 




12


Other funds


 


 




13


(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1


 


 




14


(-) Own CET1 instruments


 


 




15


(-) Losses for the current financial year


 


 




16


(-) Goodwill


 


 




17


(-) Other intangible assets


 


 




18


(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities


 


 




19


(-) Qualifying holding outside the financial sector which exceeds 15% of own funds


 


 




20


(-) Total qualifying holdings in undertaking other than financial sector entities which exceeds 60% of its own funds


 


 




21


(-) CET1 instruments of financial sector entites where the institution does not have a significant investment


 


 




22


(-) Defined benefit pension fund assets


 


 




23


(-) Other deductions


 


 




24


CET1: Other capital elements, deductions and adjustments


 


 




25



ADDITIONAL TIER 1 CAPITAL



 


 




26


Fully paid up, directly issued capital instruments


 


 




27


Share premium


 


 




28


(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1


 


 




29


(-) Own AT1 instruments


 


 




30


(-) AT1 instruments of financial sector entities where the institution does not have a significant investment


 


 




31


(-) Other deductions


 


 




32


Additional Tier 1: Other capital elements, deductions and adjustments


 


 




33



TIER 2 CAPITAL



 


 




34


Fully paid up, directly issued capital instruments


 


 




35


Share premium


 


 




36


(-) TOTAL DEDUCTIONS FROM TIER 2


 


 




37


(-) Own T2 instruments


 


 




38


(-) T2 instruments of financial sector entities where the institution does not have a significant investment


 


 




39


Tier 2: Other capital elements, deductions and adjustments


 


 





Template EU ICC2: Own funds: reconciliation of regulatory own funds to balance sheet in the audited financial statements

Flexible template.
Rows have to be reported in line with the balance sheet included in the audited financial statements of the investment firm.
Columns shall be kept fixed, unless the investment firm has the same accounting and regulatory scope of consolidation, in which case the volumes have to be entered in column (a) only.









 


 


a


b


c




 


 



Balance sheet as in published/audited financial statements




Under regulatory scope of consolidation




Cross reference to EU IF CC1





 


 



As at period end




As at period end



 





Assets -
Breakdown by asset classes according to the balance sheet in the published/audited financial statements





1


 


 


 


 




2


 


 


 


 




3


 


 


 


 




4


 


 


 


 




5


 


 


 


 




 


 


 


 


 




 


 


 


 


 




 


 


 


 


 




 


 


 


 


 




xxx



Total Assets



 


 


 





Liabilities
- Breakdown by liability classes according to the balance sheet in the published/auditied financial statements





1


 


 


 


 




2


 


 


 


 




3


 


 


 


 




4


 


 


 


 




 


 


 


 


 




 


 


 


 


 




 


 


 


 


 




 


 


 


 


 




xxx



Total Liabilities



 


 


 





Shareholders' Equity





1


 


 


 


 




2


 


 


 


 




3


 


 


 


 




 


 


 


 


 




xxx



Total Shareholders' equity



 


 


 





Template EU I CCA: Own funds: main features of own instruments issued by the firm








 


 


a




 


 



Free text





1


Issuer


 




2


Unique identifier (e.g. CUSIP, ISIN or Bloomberg identifier for private placement)


 




3


Public or private placement


 




4


Governing law(s) of the instrument


 




5


Instrument type (types to be specified by each jurisdiction)


 




6


Amount recognised in regulatory capital (Currency in million, as of most recent reporting date)


 




7


Nominal amount of instrument


 




8


Issue price


 




9


Redemption price


 




10


Accounting classification


 




11


Original date of issuance


 




12


Perpetual or dated


 




13


Original maturity date


 




14


Issuer call subject to prior supervisory approval


 




15


Optional call date, contingent call dates and redemption amount


 




16


Subsequent call dates, if applicable


 




 



Coupons / dividends



 




17


Fixed or floating dividend/coupon


 




18


Coupon rate and any related index


 




19


Existence of a dividend stopper


 




20


Fully discretionary, partially discretionary or mandatory (in terms of timing)


 




21


Fully discretionary, partially discretionary or mandatory (in terms of amount)


 




22


Existence of step up or other incentive to redeem


 




23


Noncumulative or cumulative


 




24


Convertible or non-convertible


 




25


If convertible, conversion trigger(s)


 




26


If convertible, fully or partially


 




27


If convertible, conversion rate


 




28


If convertible, mandatory or optional conversion


 




29


If convertible, specify instrument type convertible into


 




30


If convertible, specify issuer of instrument it converts into


 




31


Write-down features


 




32


If write-down, write-down trigger(s)


 




33


If write-down, full or partial


 




34


If write-down, permanent or temporary


 




35


If temporary write-down, description of write-up mechanism


 




36


Non-compliant transitioned features


 




37


If yes, specify non-compliant features


 




38


Link to the full term and conditions of the intrument (signposting)


 




(1) Insert ‘N/A’ if the question is not applicable









ANNEX VII
INSTRUCTIONS FOR OWN FUNDS DISCLOSURE TEMPLATES

Template EU I CC1.01, EU I CC1.02 and EU I CC1.03 – Composition of regulatory own funds









1.


Investment firms shall apply the instructions provided in this Annex in order to complete template EU I CC1 as presented in Annex VI according to Article 49(1), points (a), and (c), of Regulation (EU) 2019/2033.












2.


Investment firms shall complete column (b) to explain the source of every major input, which is to be cross-referenced to the corresponding rows in Template EU I CC2.












3.


Investment firms shall include in the narrative accompanying the template a description of all restrictions applied to the calculation of own funds in accordance with Article 49(1) point (c), of Regulation (EU) 2019/2033 and the instruments and deductions to which those restrictions apply. They shall also explain the main changes in the amounts disclosed compared with previous disclosure periods.












4.


This template is fixed, and investment firms shall disclose it with exactly the same format provided in Annex VI.












5.


Investment firms other than small and non-interconnected shall disclose the information on composition of own funds in accordance with Template EU I CC1.01 in Annex VI. Small and non-interconnected investment firms with Additional Tier 1 instruments issuances shall disclose the information on composition of own funds in accordance with Template EU I CC1.02 also in Annex VI.





Template EU I CC1.01 – Composition of regulatory own funds (Investment firms other than small and non-interconnected)








Legal references and instructions





Row


Legal references and instructions





1




Own funds

Article 9(1) of Regulation (EU) 2019/2033.
The own funds of an investment firm shall consist of the sum of its Common equity Tier 1 Capital, Additional Tier 1 Capital and Tier 2 Capital.
This row is the sum of rows 2 and 40.





2




Tier 1 capital

The Tier 1 capital is the sum of Common Equity Tier 1 Capital and Additional Tier 1 capital.
This row is the sum of rows 3 and 28.





3




Common Equity Tier 1 capital

Article 9(1) of Regulation (EU) 2019/2033.
Article 50 of Regulation (EU) No 575/2013.
The total sum of rows 4 to 12 and 27 shall be disclosed.




4



Fully paid up capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 26(1), point (a), and Articles 27 to 31 of Regulation (EU) No 575/2013
Capital instruments of mutual, cooperative societies or similar institutions Articles 27 and 29 of Regulation (EU) No 575/2013 shall be included.
The share premium related to the instruments shall not be included.
Capital instruments subscribed by public authorities in emergency situations shall be included if all conditions of Article 31 of Regulation (EU) No 575/2013 are fulfilled.




5



Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 26(1), point (b), of Regulation (EU) No 575/2013.
Share premium has the same meaning as under the applicable accounting standard.
The amount to be disclosed in this item shall be the part related to the "Paid up capital instruments".




6



Retained earnings

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 26(1), point (c), of Regulation (EU) No 575/2013.
Retained earnings shall include the previous year retained earnings plus the eligible interim or year-end profits




7



Accumulated other comprehensive income

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 26(1), point (d), of Regulation (EU) No 575/2013.




8



Other reserves

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 4(1), point (117), and Article 26(1), point (e) of Regulation (EU) No 575/2013.
The amount to be disclosed shall be net of any tax charge foreseeable at the moment of the calculation.




9



Minority interest given recognition in CET1 capital

Sum of all the amounts of minority interests of subsidiaries included in consolidated CET1.




10



Adjustments to CET1 due to prudential filters

Article 9(1) point (i), of Regulation (EU) 2019/2033.
Articles 32 to 35 of Regulation (EU) No 575/2013.




11



Other funds

Article 9(4) of Regulation (EU) 2019/2033.




12



(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1

The total sum of row 13 and rows 17 to 26 shall be disclosed.




13



(-) Own CET1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013.
Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 of Regulation (EU) No 575/2013.
Holdings on shares included as "Capital instruments not eligible" shall not be disclosed in this row.
The amount to be disclosed shall include the share premium related to the own shares.




14



(-) Direct holdings of CET1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013.
Common Equity Tier 1 instruments held by the investment firm.




15



(-) Indirect holdings of CET1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013.
Common Equity Tier 1 instruments held by the investment firm.




16



(-) Synthetic holdings of CET1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 4(1), Point (114), Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013.




17



(-) Losses for the current financial year

Article 36(1) point (a), of Regulation (EU) No 575/2013.




18



(-) Goodwill

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 4(1), point (113), Article 36(1), point (b), and Article 37 of Regulation (EU) No 575/2013.




19



(-) Other intangible assets

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 4(1), point (115), Article 36(1), point (b), and Article 37 point (a), of Regulation (EU) No 575/2013.
Other intangible assets shall include intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.




20



(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities

Article 9(2), point (a), of Regulation (EU) 2019/2033.
Article 36(1), point (c), of Regulation (EU) No 575/2013.




21



(-) Qualifying holding outside the financial sector which exceeds 15 % of own funds

Article 10(1), point (a), of Regulation (EU) 2019/2033.




22



(-) Total qualifying holdings in undertaking other than financial sector entities which exceeds 60 % of its own funds

Article 10(1), point (b), of Regulation (EU) 2019/2033.




23



(-) CET1 instruments of financial sector entities where the institution does not have a significant investment

Article 9(2), point (c), of Regulation (EU) 2019/2033.
Article 36(1), point (h), of Regulation (EU) No 575/2013.




24



(-) CET1 instruments of financial sector entities where the institution has a significant investment

Article 9(2), point (d), of Regulation (EU) 2019/2033.
Article 36(1), point (i), of Regulation (EU) No 575/2013.




25



(-)Defined benefit pension fund assets

Article 9(2), point (b), of Regulation (EU) 2019/2033.
Article 36(1), point (e), of Regulation (EU) No 575/2013.




26



(-) Other deductions

The sum of any other deductions listed in Article 36(1) of Regulation (EU) No 575/2013.




27



CET1: Other capital elements, deductions and adjustments

This row shall include the sum of the following items, where applicable:






—


Transitional adjustments due to grandfathered CET1 Capital instruments (Article 483, paragraphs 1, 2 and 3 and Articles 484 to 487 of Regulation (EU) No 575/2013).










—


Transitional adjustments due to additional minority interests (Articles 479 and 480 of Regulation (EU) No 575/2013).










—


Other transitional adjustments to CET1 Capital (Articles 469 to 478 and 481 of Regulation (EU) No 575/2013): adjustments to the deductions from CET1 due to transitional provisions.










—


Other CET1 capital elements or deductions from a CET1 element that cannot be assigned to one of the rows 4 to 26.




This row shall not be used to include capital items or deductions which are not covered by Regulation (EU) 2019/2033 or Regulation (EU) No 575/2013 in the calculation of the solvency ratios.




28



ADDITIONAL TIER 1 CAPITAL

Article 9, point (1), of Regulation (EU) 2019/2033.
Article 61 of Regulation (EU) No 575/2013.
The total sum of rows 29 to 31 and 39 shall be disclosed.




29



Fully paid up, directly issued capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 51, point (a), of and Articles 52, 53, and 54 of Regulation (EU) No 575/2013.
The amount to be disclosed shall not include the share premium related to the instruments.




30



Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 51, point (b), of Regulation (EU) No 575/2013.
Share premium has the same meaning as under the applicable accounting standard.
The amount to be disclosed in this item shall be the part related to the "Paid up capital instruments".




31



(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1

Article 56 of Regulation (EU) No 575/2013.
The total sum of rows 32 and 36 to 38 shall be disclosed.




32



(-) Own AT1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 52(1), point (b), Article 56, point (a), and Article 57 of Regulation (EU) No 575/2013.
Own AT1 instruments held by the investment firm at the reporting date. Subject to exceptions in Article 57 of Regulation (EU) No 575/2013.
The amount to be disclosed shall include the share premium related to the own shares.




33



(-) Direct holdings of AT1 instruments

Article 9(2), point (c), of Regulation (EU) 2019/2033.
Article 56, point (a), of Regulation (EU) No 575/2013.




34



(-) Indirect holdings of AT1 instruments

Article 9(2), point (c), of Regulation (EU) 2019/2033.
Article 56, point (a), of Regulation (EU) No 575/2013.




35



(-) Synthetic holdings of AT1 instruments

Article 9(2), point (c), of Regulation (EU) 2019/2033.
Article 56, point (a), of Regulation (EU) No 575/2013.




36



(-) AT1 instruments of financial sector entities where the institution does not have a significant investment

Article 9(2), point (c), of Regulation (EU) 2019/2033.
Article 56, point (c), of Regulation (EU) No 575/2013.




37



(-) AT1 instruments of financial sector entities where the institution has a significant investment

Article 9(2), point (c), of Regulation (EU) 2019/2033.
Article 56, point (d), of Regulation (EU) No 575/2013.




38



(-) Other deductions

The sum of all other deductions in accordance with Article 56 of Regulation (EU) No 575/2013 that are not included in any of the rows above.




39



Additional Tier 1: Other capital elements, deductions and adjustments

This row shall include the sum of the following items, where applicable:






—


Transitional adjustments due to grandfathered AT1 Capital instruments (Article 483, paragraphs 4 and 5, Articles 484 to 487, Articles 489 and 491 of Regulation (EU) No 575/2013).










—


Instruments issued by subsidiaries that are given recognition in AT1 Capital (Articles 83, 85 and 86 of Regulation (EU) No 575/2013): Sum of all the amounts of qualifying T1 capital of subsidiaries that is included in consolidated AT1, also including capital issued by a special purpose entity (Article 83 of Regulation (EU) No 575/2013).










—


Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries (Article 480 of Regulation (EU) No 575/2013) adjustments to the qualifying T1 capital included in consolidated AT1 capital due to transitional provisions.










—


Other transitional adjustments to AT1 Capital (Articles 472, 473a, 474, 475, 478 and 481 of Regulation (EU) No 575/2013): adjustments to deductions due to transitional provisions.










—


Excess of deduction from AT1 items over AT1 Capital, deducted from CET1 in accordance with Article 36(1), point (j), of Regulation (EU) No 575/2013: Additional Tier 1 cannot be negative, but it is possible that the deductions from AT1 items exceed the amount of available AT1 items. Where this happens, this item represents the amount needed to increase the amount reported in row 28 to zero and equals the inverse of the excess of deductions from AT1 items over AT1 Capital included, among other deductions, in row 38.










—


Other AT1 capital elements or deductions from AT1 element that cannot be assigned to one of the rows 29 to 38.




This row shall not be used to include capital items or deductions which are not covered by the Regulation (EU) 2019/2033 or Regulation (EU) No 575/2013 in the calculation of the solvency ratios.




40



TIER 2 CAPITAL

Article 9(2) of Regulation (EU) 2019/2033.
Article 71 of Regulation (EU) No 575/2013.
The total sum of rows 41 to 43 and 50 shall be disclosed.




41



Fully paid up, directly issued capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 62, point (a), Articles 63 and 65 of Regulation (EU) No 575/2013.
The amount to be disclosed shall not include the share premium related to the instruments.




42



Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 62, point (b), and Article 65 of Regulation (EU) No 575/2013.
Share premium has the same meaning as under the applicable accounting standard.
The amount to be disclosed in this item shall be the part related to the "Paid up capital instruments".




43



(-) TOTAL DEDUCTIONS FROM TIER 2

Article 66 of Regulation (EU) No 575/2013.




44



(-) Own T2 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 63, point (b)(i), Article 66 point (a), and Article 67 of Regulation (EU) No 575/2013.
Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in Article 67 of Regulation (EU) No 575/2013.
Holdings on shares included as "Capital instruments not eligible" shall not be disclosed in this row.
The amount to be disclosed shall include the share premium related to the own shares.




45



(-) Direct holdings of T2 instruments

Article 63, point (b), Article 66 point (a), and Article 67 of Regulation (EU) No 575/2013.




46



(-) Indirect holdings of T2 instruments

Article 4(1), point (114), Article 63 of point (b), Article 66, point (a), and Article 67 of Regulation (EU) No 575/2013.




47



(-) Synthetic holdings of T2 instruments

Article 4(1), point (126), Article 63, point (b), Article 66, point (a), and Article 67 of Regulation (EU) No 575/2013.




48



(-) T2 instruments of financial sector entities where the institution does not have a significant investment

Article 9(2), point (c), of Regulation (EU) 2019/2033.
Article 66, point (c), of Regulation (EU) No 575/2013.




49



(-) T2 instruments of financial sector entities where the institution has a significant investment

Article 4(1), point (27), Article 66, point (d), Articles 68, 69 and Article 79 of Regulation (EU) No 575/2013.
Holdings by the institution of T2 instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) where the investment firm has a significant investment shall be completely deducted.




50



Tier 2: Other capital elements, deductions and adjustments

This row shall include the sum of the following items, where applicable:






—


Transitional adjustments due to grandfathered T2 Capital instruments (Article 483, paragraphs 6 and 7, Articles 484, 486, 488, 490 and 491 of Regulation (EU) No 575/2013).










—


Instruments issued by subsidiaries that are given recognition in T2 Capital (Articles 83, 87 and 88 of Regulation (EU) No 575/2013): Sum of all the amounts of qualifying own funds of subsidiaries that is included in consolidated T2, also including qualifying Tier 2 capital issued by a special purpose entity (Article 83 of Regulation (EU) No 575/2013).










—


Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries (Article 480 of Regulation (EU) No 575/2013): Adjustments to the qualifying own funds included in consolidated T2 capital due to transitional provisions.










—


Other transitional adjustments to T2 Capital (Articles 472, 473a, 476, 477, 478 and 481 of Regulation (EU) No 575/2013): Adjustments to the deductions from Tier 2 due to transitional provisions.










—


Excess of deduction from T2 items over T2 Capital, deducted from AT1 in accordance with Article 56 of Regulation (EU) No 575/2013, point (e): Tier 2 cannot be negative, but it is possible that the deductions from T2 items exceed the amount of available T2 items. Where this happens, this item represents the amount needed to increase the amount reported in row 40 to zero.










—


Other T2 capital elements or deductions from a T2 element that cannot be assigned to one of the rows 41 to 49.




This row shall not be used to include capital items or deductions which are not covered by Regulation (EU) 2019/2033 or Regulation (EU) No 575/2013 in the calculation of the solvency ratios.





Template EU I CC1.02 – Composition of regulatory own funds (Small and non-interconnected investment firms)








Legal references and instructions





Row


Legal references and instructions




1



Own funds

Article 9(1) of Regulation (EU) 2019/2033.
The own funds of an investment firm shall consist of the sum of its Common equity Tier 1 Capital, Additional Tier 1 Capital and Tier 2 Capital.
The total sum of rows 2 and 25 shall be disclosed.




2



Tier 1 capital

The Tier 1 capital is the sum of Common Equity Tier 1 Capital and Additional Tier 1 capital.
The total sum of rows 3 and 20 shall be disclosed.




3



Common Equity Tier 1 capital

Article 9(1) of Regulation (EU) 2019/2033.
Article 50 of Regulation (EU) No 575/2013.
The total sum of rows 4 to 11 and 19 shall be disclosed.




4



Fully paid up capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 26(1), point (a), and Articles 27 to 31 of Regulation (EU) No 575/2013.
Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of Regulation (EU) No 575/2013) shall be included.
The share premium related to the instruments shall not be included.
Capital instruments subscribed by public authorities in emergency situations shall be included if all conditions of Article 31 of Regulation (EU) No 575/2013 are fulfilled.




5



Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 26(1), point (b), of Regulation (EU) No 575/2013.
Share premium has the same meaning as under the applicable accounting standard.
The amount to be disclosed in this item shall be the part related to the "Paid up capital instruments".




6



Retained earnings

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 26(1), point (c), of Regulation (EU) No 575/2013.
Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits.




7



Accumulated other comprehensive income

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 26(1), point (d), of Regulation (EU) No 575/2013.




8



Other reserves

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 4(1), point (117), and Article 26(1), point (e), of Regulation (EU) No 575/2013.
The amount to be disclosed shall be net of any tax charge foreseeable at the moment of the calculation.




9



Adjustments to CET1 due to prudential filters

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Articles 32 to 35 of Regulation (EU) No 575/2013.




10



Other funds

Article 9(4) of Regulation (EU) 2019/2033.




11



(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1

The total sum of rows 12 to 18 shall be disclosed.




12



(-) Losses for the current financial year

Article 36(1) point (a), of Regulation (EU) No 575/2013.




13



(-) Goodwill

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 4(1), point (113), Article 36(1), point (b), and Article 37 of Regulation (EU) No 575/2013.




14



(-) Other intangible assets

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 4(1), point (115), Article 36(1), point (b), and Article 37, point (a), of Regulation (EU) No 575/2013.
Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.




15



(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities

Article 9(2), point (a), of Regulation (EU) 2019/2033.
Article 36(1), point (c), of Regulation (EU) No 575/2013.




16



(-) Qualifying holding outside the financial sector which exceeds 15 % of own funds

Article 10(1), point (a), of Regulation (EU) 2019/2033.




17



(-) Total qualifying holdings in undertaking other than financial sector entities which exceeds 60 % of its own funds

Article 10(1), point (a), of Regulation (EU) 2019/2033.




18



(-) Other deductions

The sum of any other deductions listed in Article 36(1) of Regulation (EU) No 575/2013.




19



CET1: Other capital elements, deductions and adjustments

This row shall include the sum of the following items, where applicable:






—


Transitional adjustments due to grandfathered CET1 Capital instruments (Article 483, paragraphs 1, 2 and 3 and Articles 484 to 487 of Regulation (EU) No 575/2013).










—


Transitional adjustments due to additional minority interests (Articles 479 and 480 of Regulation (EU) No 575/2013).










—


Other transitional adjustments to CET1 Capital (Articles 469 to 478 and 481 of Regulation (EU) No 575/2013): adjustments to the deductions from CET1 due to transitional provisions.










—


Other CET1 capital elements or deductions from a CET1 element that cannot be assigned to one of the rows 4 to 18.




This row shall not be used to include capital items or deductions which are not covered by Regulation (EU) 2019/2033 or Regulation (EU) No 575/2013 in the calculation of the solvency ratios.




20



ADDITIONAL TIER 1 CAPITAL

Article 9(1) of Regulation (EU) 2019/2033.
Article 61 of Regulation (EU) No 575/2013.
The total sum of rows 21 to 24 shall be disclosed.




21



Fully paid up, directly issued capital

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 51, point (a), and Articles 52, 53 and 54 of Regulation (EU) No 575/2013.
The amount to be disclosed shall not include the share premium related to the instruments.




22



Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 51, point (b), of Regulation (EU) No 575/2013.
Share premium has the same meaning as under the applicable accounting standard.
The amount to be disclosed in this item shall be the part related to the "Paid up capital instruments".




23



(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1

Article 56 of Regulation (EU) No 575/2013.




24



Additional Tier 1: Other capital elements, deductions and adjustments

This row shall include the sum of the following items, where applicable:






—


Transitional adjustments due to grandfathered AT1 Capital instruments (Article 483, paragraphs 4 and 5, Articles 484 to 487, Articles 489 and 491 of Regulation (EU) No 575/2013).










—


Instruments issued by subsidiaries that are given recognition in AT1 Capital (Articles 83, 85 and 86 of Regulation (EU) No 575/2013): Sum of all the amounts of qualifying T1 capital of subsidiaries that is included in consolidated AT1, also including capital issued by a special purpose entity (Article 83 of Regulation (EU) No 575/2013).










—


Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries (Article 480 of Regulation (EU) No 575/2013) adjustments to the qualifying T1 capital included in consolidated AT1 capital due to transitional provisions










—


Other transitional adjustments to AT1 Capital (Articles 472, 473a, 474, 475, 478 and 481 of Regulation (EU) No 575/2013): adjustments to deductions due to transitional provisions.










—


Excess of deduction from AT1 items over AT1 Capital, deducted from CET1 in accordance with Article 36(1), point (j), of Regulation (EU) No 575/2013: Additional Tier 1 cannot be negative, but it is possible that the deductions from AT1 items exceed the amount of available AT1 items. Where this happens, this item represents the amount needed to increase the amount reported in row 20 to zero and equals the inverse of the excess of deductions from AT1 items over AT1 Capital included, among other deductions, in row 18.










—


Other AT1 capital elements or deductions from an AT1 element that cannot be assigned to one of the rows 21 to 23.




This row shall not be used to include capital items or deductions which are not covered by Regulation (EU) 2019/2033 or Regulation (EU) No 575/2013 in the calculation of the solvency ratios.




25



TIER 2 CAPITAL

Article 9(1) of Regulation (EU) 2019/2033.
Article 71 of Regulation (EU) No 575/2013.
The total sum of rows 26 to 29 shall be disclosed.




26



Fully paid up, directly issued capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 62, point (a), Articles 63 and 65 of Regulation (EU) No 575/2013.
The amount to be disclosed shall not include the share premium related to the instruments.




27



Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 62, point (b) and Article 65 of Regulation (EU) No 575/2013.
Share premium has the same meaning as under the applicable accounting standard.
The amount to be disclosed in this item shall be the part related to the "Paid up capital instruments".




29



(-) TOTAL DEDUCTIONS FROM TIER 2

Article 66 of Regulation (EU) No 575/2013.




30



Tier 2: Other capital elements, deductions and adjustments

This row shall include the sum of the following items, where applicable:






—


Transitional adjustments due to grandfathered T2 Capital instruments (Article 483, paragraphs 6 and 7 of, Articles 484, 486, 488, 490 and 491 of Regulation (EU) No 575/2013).










—


Instruments issued by subsidiaries that are given recognition in T2 Capital (Articles 83, 87 and 88 of Regulation (EU) No 575/2013): Sum of all the amounts of qualifying own funds of subsidiaries that is included in consolidated T2, also including qualifying Tier 2 capital issued by a special purpose entity (Article 83 of Regulation (EU) No 575/2013).










—


Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries (Article 480 of Regulation (EU) No 575/2013): Adjustments to the qualifying own funds included in consolidated T2 capital due to transitional provisions.










—


Other transitional adjustments to T2 Capital (Articles 472, 473a, 476, 477, 478 and 481 of Regulation (EU) No 575/2013): Adjustments to the deductions from Tier 2 due to transitional provisions.










—


Excess of deduction from T2 items over T2 Capital, deducted from AT1 in accordance with Article 56, point (e), of Regulation (EU) No 575/2013: Tier 2 cannot be negative, but it is possible that the deductions from T2 items exceed the amount of available T2 items. Where this happens, this item represents the amount needed to increase the amount reported in row 25 to zero.










—


Other T2 capital elements or deductions from a T2 element that cannot be assigned to one of the rows 26 to 28.




This row shall not be used to include capital items or deductions which are not covered by Regulation (EU) 2019/2033 or Regulation (EU) No 575/2013 in the calculation of the solvency ratios.





Template EU I CC1.03 – Composition of regulatory own funds (Group capital test)









6.


Entities referred to in Article 8(3) of Regulation (EU) 2019/2033 that are benefitting from the application of that same Article shall disclose the information on composition of own funds in accordance with template EU I CC1.03 and with the following instructions.






Row


Legal references and instructions




1



OWN FUNDS

Article 9(1) of Regulation (EU) 2019/2033.
The own funds of an investment firm shall consist of the sum of its Tier 1 capital and Tier 2 capital.




2



TIER 1 CAPITAL

The Tier 1 capital is the sum of Common Equity Tier 1 Capital and Additional Tier 1 capital




3



COMMON EQUITY TIER 1 CAPITAL

Article 9(1) of Regulation (EU) 2019/2033.
Article 50 of Regulation (EU) No 575/2013.




4



Paid up capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033
Article 26(1), point (a), and Articles 27 to 31 of Regulation (EU) No 575/2013
Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of Regulation (EU) No 575/2013) shall be included.
The share premium related to the instruments shall not be included.
Capital instruments subscribed by public authorities in emergency situations shall be included if all conditions of Article 31 of Regulation (EU) No 575/2013 are fulfilled.




5



Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 26(1), point (b), of Regulation (EU) No 575/2013.
Share premium has the same meaning as under the applicable accounting standard.
The amount to be disclosed in this item shall be the part related to the "Paid up capital instruments".




6



Retained earnings

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 26(1), point (c), of Regulation (EU) No 575/2013.
Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits




7



Previous years retained earnings

Article 4(1), point (123), and Article 26(1), point (c), of Regulation (EU) No 575/2013.
Article 4(1), point (123), of Regulation (EU) No 575/2013 defines retained earnings as "Profit and losses brought forward as a result of the final application of profit or loss under the applicable accounting framework".




8



Profit or loss eligible

Article 4(1), point (121), Article 26(2) and Article 36(1), point (a), of Regulation (EU) No 575/2013.
Article 26(2) of Regulation (EU) No 575/2013 allows including as retained earnings interim or year-end profits, with the prior consent of the competent authorities, if some conditions are met.
On the other hand, losses shall be deducted from CET1, as stated in Article 36(1), point (a), of Regulation (EU) No 575/2013.




9



Accumulated other comprehensive income

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 26(1), point (d), of Regulation (EU) No 575/2013.




10



Other reserves

Article 9(1), point (i), of Regulation (EU) 2019/2033
Article 4(1), point (117), and Article 26(1), point (e), of Regulation (EU) No 575/2013.
The amount to be disclosed shall be net of any tax charge foreseeable at the moment of the calculation.




11



Adjustments to CET1 due to prudential filters

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Articles 32 to 35 of Regulation (EU) No 575/2013.




12



Other funds

Article 9(4) of Regulation (EU) 2019/2033.




13



(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1

The total sum of rows 14 – 23 shall be disclosed.




14



(-) Own CET1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 36(1), point (f), of and Article 42 of Regulation (EU) No 575/2013.
Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 of Regulation (EU) No 575/2013.
Holdings on shares included as "Capital instruments not eligible" shall not be reported in this row.
The amount to be disclosed shall include the share premium related to the own shares.




15



(-) Losses for the current financial year

Article 36(1), point (a), of Regulation (EU) No 575/2013.




16



(-) Goodwill

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 4(1), point (113), Article 36(1), point (b), and Article 37 of Regulation (EU) No 575/2013.




17



(-) Other intangible assets

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 4(1), point (115), Article 36(1), point (b), and Article 37, point (a), of Regulation (EU) No 575/2013.
Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also pursuant the applicable accounting standard.




18



(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities

Article 9(2), point (a), of Regulation (EU) 2019/2033.
Article 36(1), point (c), of Regulation (EU) No 575/2013.




19



(-) Qualifying holding outside the financial sector which exceeds 15 % of own funds

Article 10(1), point (a), of Regulation (EU) 2019/2033.




20



(-)Total qualifying holdings in undertaking other than financial sector entities which exceeds 60 % of its own funds

Article 10(1), point (b), of Regulation (EU) 2019/2033.




21



(-) CET1 instruments of financial sector entities where the institution does not have a significant investment

Article 9(2), point (c), of Regulation (EU) 2019/2033.
Article 36(1), point (h), of Regulation (EU) No 575/2013.




22



(-)Defined benefit pension fund assets

Article 9(2), point (b) of Regulation (EU) 2019/2033.
Article 36(1), point (e), of Regulation (EU) No 575/2013.




23



(-) Other deductions

The sum of any other deductions listed in Article 36(1) of Regulation (EU) No 575/2013.




24



CET1: Other capital elements, deductions and adjustments

This row shall include the sum of the following items, where applicable:






—


Transitional adjustments due to grandfathered CET1 Capital instruments (Article 483, paragraphs 1, 2 and 3 and Articles 484 to 487 of Regulation (EU) No 575/2013).










—


Other transitional adjustments to CET1 Capital (Articles 469 to 478 and 481 of Regulation (EU) No 575/2013): adjustments to the deductions from CET1 due to transitional provisions.










—


Other CET1 capital elements or deductions from a CET1 element that cannot be assigned to one of the rows 4 to 23.




This row shall not be used to include capital items or deductions which are not covered by Regulation (EU) 2019/2033 or Regulation (EU) No 575/2013 in the calculation of the solvency ratios.




25



ADDITIONAL TIER 1 CAPITAL

Article 9(1) of Regulation (EU) 2019/2033.
Article 61 of Regulation (EU) No 575/2013.
The total sum of rows 26 to 28 and 32 shall be disclosed.




26



Paid up capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 51, point (a), and Articles 52, 53 and 54 of Regulation (EU) No 575/2013.
The amount to be disclosed shall not include the share premium related to the instruments.




27



Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 51, point (b), of Regulation (EU) No 575/2013.
Share premium has the same meaning as under the applicable accounting standard.
The amount to be disclosed in this item shall be the part related to the "Paid up capital instruments".




28



(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1

Article 56 of Regulation (EU) No 575/2013.
The total sum of rows 29 – 31 shall be disclosed.




29



(-) Own AT1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 52(1), point (b), Article 56, point (a), and Article 57 of Regulation (EU) No 575/2013.
Own AT1 instruments held by the investment firm at the reporting date. Subject to exceptions in Article 57 Regulation (EU) No 575/2013.
The amount to be disclosed shall include the share premium related to the own shares.




30



(-) AT1 instruments of financial sector entities where the institution does not have a significant investment

Article 9(2), point (c), of Regulation (EU) 2019/2033.
Article 56, point (c), of Regulation (EU) No 575/2013.




31



(-) Other deductions

The sum of all other deductions in accordance with Article 56 of Regulation (EU) No 575/2013, with the exception of the deductions in accordance with Article 56 of Regulation (EU) No 575/2013, point (d), that are not included in any of the rows 0340 or 0380 above.




32



Additional Tier 1: Other capital elements, deductions and adjustments

This row shall include the sum of the following items, where applicable:






—


Transitional adjustments due to grandfathered AT1 Capital instruments (Article 483, paragraphs 4 and 5, Articles 484 to 487, Articles 489 and 491 of Regulation (EU) No 575/2013).










—


Other transitional adjustments to AT1 Capital (Articles 472, 473a, 474, 475, 478 and 481 of Regulation (EU) No 575/2013): adjustments to deductions due to transitional provisions.










—


Excess of deduction from AT1 items over AT1 Capital, deducted from CET1 in accordance with Article 36(1), point (j), of Regulation (EU) No 575/2013: Additional Tier 1 cannot be negative, but it is possible that the deductions from AT1 items exceed the amount of available AT1 items. Where this happens, this item represents the amount needed to increase the amount reported in row 0300 to zero and equals the inverse of the excess of deductions from AT1 items over AT1 Capital included, among other deductions, in row 23.










—


Other AT1 capital elements or deductions from AT1 element that cannot be assigned to one of the rows 26 to 31.




This row shall not be used to include capital items or deductions which are not covered by Regulation (EU) 2019/2033 or Regulation (EU) No 575/2013 in the calculation of the solvency ratios.




33



TIER 2 CAPITAL

Article 9(1) of Regulation (EU) 2019/2033.
Article 71 of Regulation (EU) No 575/2013.
The total sum of rows 34 to 36 and 39 shall be disclosed.




34



Fully paid up, directly issued capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 62, point (a), Articles 63 and 65 of Regulation (EU) No 575/2013.
The amount to be disclosed shall not include the share premium related to the instruments.




35



Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 62, point (b), and Article 65 of Regulation (EU) No 575/2013.
Share premium has the same meaning as under the applicable accounting standard.
The amount to be disclosed in this item shall be the part related to the "Paid up capital instruments".




36



(-) TOTAL DEDUCTIONS FROM TIER 2

Article 66 of Regulation (EU) No 575/2013.




37



(-) Own T2 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 63, point (b)(i), Article 66, point (a), and Article 67 of Regulation (EU) No 575/2013.
Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in Article 67 of Regulation (EU) No 575/2013.
Holdings on shares included as "Capital instruments not eligible" shall not be disclosed in this row.
The amount to be disclosed shall include the share premium related to the own shares.




38



(-) T2 instruments of financial sector entities where the institution does not have a significant investment

Article 9(2), point (c), of Regulation (EU) 2019/2033.
Article 66, point (c), of Regulation (EU) No 575/2013.




39



Tier 2: Other capital elements, deductions and adjustments

This row shall include the sum of the following items, where applicable:






—


Transitional adjustments due to grandfathered T2 Capital instruments (Article 483, paragraphs 6 and 7, Articles 484, 486, 488, 490 and 491 of Regulation (EU) No 575/2013).










—


Other transitional adjustments to T2 Capital (Articles 472, 473a, 476, 477, 478 and 481 of Regulation (EU) No 575/2013): Adjustments to the deductions from Tier 2 due to transitional provisions.










—


Excess of deduction from T2 items over T2 Capital, deducted from AT1 in accordance with Article 56, point (e), of Regulation (EU) No 575/2013: Tier 2 cannot be negative, but it is possible that the deductions from T2 items exceed the amount of available T2 items. Where this happens, this item represents the amount needed to increase the amount reported in row 33 to zero.










—


Other T2 capital elements or deductions from a T2 element that cannot be assigned to one of the rows 34 to 38.




This row shall not be used to include capital items or deductions which are not covered by Regulation (EU) 2019/2033 or Regulation (EU) No 575/2013 in the calculation of the solvency ratios.









Template EU I CC2 – Reconciliation of regulatory own funds to balance sheet in the audited financial statements









7.


Investment firms shall apply the instructions provided in this Annex in order to complete template EU I CC2 as presented in Annex VI, in accordance with Article 49(1) point (a), of Regulation (EU) 2019/2033.












8.


Investment firms shall disclose the balance sheet included in their published financial statements. Financial statements shall be the audited financial statements for the year-end disclosures.












9.


The rows of the template are flexible and shall be disclosed by investment firms in line with their financial statements. Own funds items in the audited financial statements shall include all items that are components of or are deducted from regulatory own funds, including equity, liabilities such as debt, or other balance sheet lines that affect regulatory own funds such as intangible assets, goodwill, deferred tax assets. Investment firms shall expand the own funds items of the balance sheet as necessary in order to ensure that all of the components included in the composition of own funds disclosure template (template EU I CC1) appear separately. Investment firms shall only expand elements of the balance sheet up to the level of granularity that is necessary for deriving the components required by template EU I CC1. Disclosure shall be proportionate to the complexity of the investment firm’s balance sheet.












10.


The columns are fixed and shall be disclosed as follows:






a.


Column a: Investment firms shall include the figures reported in the balance sheet included in their audited financial statements according to the accounting scope of consolidation.










b.


Column b: Investment firms shall report the figures corresponding to the regulatory scope of consolidation.










c.


Column c: Investment firms shall include the cross-reference between the own funds item in template EU I CC2 and the relevant items in the own funds disclosure template EU I CC1. The reference in column c of template EU I CC2 will be linked to the reference included in column b of template EU I CC1.
















11.


In the following cases where investment firms’ scope of accounting consolidation and its scope of regulatory consolidation are exactly the same, only column (a) shall be filled and this fact shall be clearly disclosed:






d.


Where investment firms comply with the obligations laid down in Part Six of Regulation (EU) 2019/2033 on the prudential requirements of investment firms on a consolidated basis but the scope of consolidation and the method for consolidation used for the balance sheet in the financial statements are identical to the scope of consolidation and the method for consolidation defined pursuant to Part One, Title II, Chapter 2 of Regulation (EU) 2019/2033, and investment firms clearly state the absence of differences between the respective scopes and methods for consolidation in accompanying narrative to the template.










e.


Where investment firms meet the obligations laid down in Part Six of Regulation (EU) 2019/2033 on an individual basis.









Table EU I CCA – Main features of own instruments issued by the firm.









12.


Investment firms shall apply the instructions provided in this Annex in order to complete table EU I CCA as presented in Annex VI, according to Article 49(1) point (b), of Regulation (EU) 2019/2033.












13.


Investment firms shall complete table EU I CCA for the following categories: Common Equity Tier 1 instruments, Additional Tier 1 instruments and Tier 2 instruments.












14.


The tables shall comprise separate columns with the features of each regulatory own fund instruments. In cases where different instruments of a same category have identical features, investment firms may complete only one column disclosing these identical features and identify the issuances to which the identical features refer.







Instructions for completing the own funds instruments issued by the firm main features table






Row number




Explanation





1


Issuer
Identifies issuer legal entity.

Free text





2


Unique identifier (e.g. CUSIP, ISIN or Bloomberg identifier for private placement)
Unique identifier (e.g. CUSIP, ISIN or Bloomberg identifier for private placement).

Free text





3


Public or private placement
Specifies if the instrument has been publicly or privately placed.

Select from menu: [Public] [Private]





4


Governing law(s) of the instrument
Specifies the governing law(s) of the instrument.

Free text





5


Instrument type (types to be specified by each jurisdiction)
Specifies instrument type, varying by jurisdiction.

For CET1 instruments, select name of the instrument in the CET1 list published by the EBA.


For other instruments, select from: menu options to be provided to investment firms by each jurisdiction – legal references of Regulation (EU) 2019/2033 articles for each type of instrument to be inserted.





6


Amount recognised in regulatory capital (Currency in million, as of most recent reporting date)
Specifies the amount recognised in regulatory own funds (total amount of the instrument recognised before transitional provisions for the relevant level of the disclosure – currency used for the reporting obligations).

Free text – specify in particular if some parts of the instruments are in different tiers of the regulatory own funds and if the amount recognised in regulatory own funds is different from the amount issued.





7


Nominal amount of instrument
Nominal amount of instrument (in currency of issuance and currency used for the reporting obligations).

Free text





8


Issue price
Issue price of instrument.

Free text





9


Redemption price
Redemption price of instrument.

Free text





10


Accounting classification
Specifies accounting classification.

Select from menu: [Shareholders’ equity] [Liability – amortised cost] [Liability – fair value option] [Non-controlling interest in consolidated subsidiary]





11


Original date of issuance
Specifies date of issuance.

Free text





12


Perpetual or dated
Specifies whether dated or perpetual.

Select from menu: [Perpetual] [Dated]





13


Original maturity date
For dated instrument, specifies original maturity date (day, month and year). For perpetual instrument put ‘no maturity’.

Free text





14


Issuer call subject to prior supervisory approval
Specifies whether there is an issuer call option (all types of call options).

Select from menu: [Yes] [No]





15


Optional call date, contingent call dates and redemption amount
For instrument with issuer call option, specifies first date of call if the instrument has a call option on a specific date (day, month and year) and, in addition, specifies whether the instrument has a tax and/or regulatory event call. Also specifies the redemption price. Helps to assess permanence.

Free text





16


Subsequent call dates, if applicable
Specifies the existence and frequency of subsequent call dates, if applicable. Helps to assess permanence.

Free text





17


Fixed or floating dividend/coupon
Specifies whether the coupon/dividend is: either fixed over the life of the instrument, or floating over the life of the instrument, or currently fixed but will move to a floating rate in the future, or currently floating but will move to a fixed rate in the future.

Select from menu: [Fixed], [Floating] [Fixed to floating], [Floating to fixed]





18


Coupon rate and any related index
Specifies the coupon rate of the instrument and any related index that the coupon/dividend rate references.

Free text





19


Existence of a dividend stopper
Specifies whether the non-payment of a coupon or dividend on the instrument prohibits the payment of dividends on common shares (i.e. whether there is a dividend stopper).

Select from menu: [yes], [no]





20


Fully discretionary, partially discretionary or mandatory (in terms of timing)
Specifies whether the issuer has full discretion, partial discretion or no discretion over whether a coupon/dividend is paid. If the institution has full discretion to cancel coupon/dividend payments under all circumstances it must select ‘fully discretionary’ (including when there is a dividend stopper that does not have the effect of preventing the institution from cancelling payments on the instrument). If there are conditions that must be met before payment can be cancelled (e.g. own funds below a certain threshold), the institution must select ‘partially discretionary’. If the institution is unable to cancel the payment outside of insolvency, the institution must select ‘mandatory’.

Select from menu: [Fully discretionary] [Partially discretionary] [Mandatory]


Free text (specify the reasons for discretion, existence of dividend pushers, dividend stoppers, ACSM – Alternative Coupon Satisfaction Mechanism)





21


Fully discretionary, partially discretionary or mandatory (in terms of amount)
Specifies whether the issuer has full discretion, partial discretion or no discretion over the amount of the coupon/dividend.

Select from menu: [Fully discretionary] [Partially discretionary] [Mandatory]





22


Existence of step up or other incentive to redeem
Specifies whether there is a step-up or other incentive to redeem.

Select from menu: [Yes] [No]





23


Non-cumulative or cumulative
Specifies whether dividends/coupons are cumulative or noncumulative.

Select from menu: [Noncumulative] [Cumulative] [ACSM]





24


Convertible or non-convertible
Specifies whether instrument is convertible or not.

Select from menu: [Convertible] [Nonconvertible]





25


If convertible, conversion trigger(s)
Specifies the conditions under which the instrument will convert, including point of non-viability. Where one or more authorities have the ability to trigger conversion, the authorities shall be listed. For each of the authorities it shall be stated whether it is the terms of the contract of the instrument that provide the legal basis for the authority to trigger conversion (a contractual approach) or whether the legal basis is provided by statutory means (a statutory approach).

Free text





26


If convertible, fully or partially
Specifies whether the instrument will always convert fully, may convert fully or partially, or will always convert partially.

Select from menu: [Always Fully] [Fully or Partially] [Always partially]





27


If convertible, conversion rate
Specifies rate of conversion into the more loss-absorbing instrument.

Free text





28


If convertible, mandatory or optional conversion
For convertible instruments, specifies whether conversion is mandatory or optional.

Select from menu: [Mandatory] [Optional] [NA] and [at the option of the holders] [at the option of the issuer] [at the option of both the holders and the issuer]





29


If convertible, specify instrument type convertible into
For convertible instruments, specifies instrument type convertible into.

Select from menu: [Common Equity Tier 1] [Additional Tier 1] [Tier 2] [Other]





30


If convertible, specify issuer of instrument it converts into
If convertible, specify issuer of instrument it converts into.

Free text





31


Write-down features
Specifies whether there is a write down feature.

Select from menu: [Yes] [No]





32


If write-down, write-down trigger(s)
Specifies the triggers at which write-down occurs, including point of non-viability. Where one or more authorities have the ability to trigger write-down, the authorities shall be listed. For each of the authorities it shall be stated whether it is the terms of the contract of the instrument that provide the legal basis for the authority to trigger write-down (a contractual approach) or whether the legal basis is provided by statutory means (a statutory approach).

Free text





33


If write-down, full or partial
Specifies whether the instrument will always be written down fully, may be written down partially, or will always be written down partially. Helps assess the level of loss absorbency at write-down.

Select from menu: [Always Fully] [Fully or Partially] [Always partially]





34


If write-down, permanent or temporary
For write down instrument, specifies whether write down is permanent or temporary.

Select from menu: [Permanent] [Temporary] [NA]





35


If temporary write-down, description of write-up mechanism
Describes the write-up mechanism.

Free text





36


Non-compliant transitioned features
Specification if there are non-compliant features.
Select from [yes] or [no].




37


If yes, specify non-compliant features
If there are non-compliant features, institution shall specify which ones.

Free text





38


Link to the full term and conditions of the instrument (signposting)
Investment firms shall include the hyperlink that gives access to the prospectus of the issuance, including all the terms and conditions of the instrument.













ANNEX VIII
REPORTING ON GROUP CAPITAL TEST









INVESTMENT FIRMS TEMPLATES






Template number




Template code




Name of the template /group of templates




Short name





 


 



GROUP CAPITAL TEST



 




11,1


I 11.01


OWN FUNDS COMPOSITION - GROUP CAPITAL TEST


I11.1




11,2


I 11.02


OWN FUND INSTRUMENTS - GROUP CAPITAL TEST


I11.2




11,3


I 11.03


INFORMATION ON SUBSIDIARIES UNDERTAKINGS


I11.3





I 11.01 - OWN FUNDS COMPOSITION - GROUP CAPITAL TEST (I11.1)









Rows




Item




Amount





0010




0010



OWN FUNDS



 




0020



TIER 1 CAPITAL



 




0030



COMMON EQUITY TIER 1 CAPITAL



 




0040


Fully paid up capital instruments


 




0050


Share premium


 




0060


Retained earnings


 




0070


Previous years retained earnings


 




0080


Profit eligible


 




0090


Accumulated other comprehensive income


 




0100


Other reserves


 




0120


Adjustments to CET1 due to prudential filters


 




0130


Other funds


 




0145


(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1


 




0150


(-) Own CET1 instruments


 




0190


(-) Losses for the current financial year


 




0200


(-) Goodwill


 




0210


(-) Other intangible assets


 




0220


(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities


 




0230


(-) Qualifying holding outside the financial sector which exceeds 15% of own funds


 




0240


(-) Total qualifying holdings in undertaking other than financial sector entities which exceeds 60% of its own funds


 




0250


(-) CET1 instruments of financial sector entites where the investment firm does not have a significant investment


 




0270


(-) Defined benefit pension fund assets


 




0280


(-) Other deductions


 




0295


CET1: Other capital elements, deductions and adjustments


 




0300



ADDITIONAL TIER 1 CAPITAL



 




0310


Fully paid up, directly issued capital instruments


 




0320


Share premium


 




0335


(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1


 




0340


(-) Own AT1 instruments


 




0380


(-) AT1 instruments of financial sector entities where the investment firm does not have a significant investment


 




0400


(-) Other deductions


 




0415


Additional Tier 1: Other capital elements, deductions and adjustments


 




0420



TIER 2 CAPITAL



 




0430


Fully paid up, directly issued capital instruments


 




0440


Share premium


 




0455


(-) TOTAL DEDUCTIONS FROM TIER 2


 




0460


(-) Own T2 instruments


 




0500


(-) T2 instruments of financial sector entities where the parent does not have a significant investment


 




0525


Tier 2: Other capital elements, deductions and adjustments


 





I 11.02 - OWN FUND INSTRUMENTS - GROUP CAPITAL TEST (I11.2)








 


 



Amount






Rows




Item




0010






0010



CET1 instruments of financial sector entities in the investment firm group where the parent undertaking has a significant investment in those entities


 





0020



AT1 instruments of financial sector entities in the investment firm group where the parent undertaking has a significant investment in those entities


 





0030



T2 instruments of financial sector entities in the investment firm group where the parent undertaking has a significant investment in those entities


 





0040



Holdings of financial sector entities in the investment firm group to the extent that they do not constitute own funds for the group entity the parent is invested in


 





0050



Subordinated claims of financial sector entities in the investment firm group


 





0060



Contingent liabilities in favour of entities in the investment firm group


 





0070



Total own fund requirements for the subsidiary undertakings


 





I 11.03: INFORMATION ON SUBSIDIARIES UNDERTAKINGS (I11.3)

































Code




Type of code




Name of the undertaking




Parent / subsidiary




Country




Investments by the parent undertaking




Contingent liabilities of the parent in favour of the entity




Total own fund requirements



 





CET1




AT1




T2




Holdings




Subordinated claims




Permanent minimum capital




K-factor requirement




Fixed overhead requirements





 



Assets under management




Client money held - Segregated




Client money held - Non - segregated




Assets safeguarded and administered




Client orders handled - Cash trades




Client orders handled - Derivatives Trades




K-Net positions risk requirement




Clearing margin given




Trading counterparty default




Daily trading flow - Cash trades




Daily trading flow - Derivative trades




K-Concentration risk requirement





0010


0020


0030


0040


0050


0060


0070


0080


0090


0100


0110


0120


0130


0140


0150


0160


0170


0180


0190


0200


0210


0220


0230


0240


0250


0260


0270




 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 


 









ANNEX IX
REPORTING ON GROUP CAPITAL TEST
Table of contents







PART I:

GENERAL INSTRUCTIONS
162










1.

Structure and conventions
162










1.1

Structure
162










1.2

Numbering convention
162










1.3

Sign convention
162










PART II:

TEMPLATE RELATED INSTRUCTIONS
163











1.



OWN FUNDS: LEVEL, COMPOSITION, REQUIREMENTS AND CALCULATION

163










1.1

General Remarks
163










1.2.

IF 11.01 – OWN FUNDS COMPOSITION – GROUP CAPITAL TEST (IF11.1)
163










1.2.1.

Instructions concerning specific positions
163










1.3

IF 11.02 OWN FUNDS REQUIREMENTS – GROUP CAPITAL TEST (IF11.2)
169










1.3.1.

Instructions concerning specific positions
169










1.4

IF 11.03 INFORMATION ON SUBSIDIARIES UNDERTAKINGS (IF11.3)
170










1.4.1.

Instructions concerning specific positions
170




PART I:   GENERAL INSTRUCTIONS

1.   Structure and conventions
1.1   Structure








1.


Overall, group capital test reporting consists of 2 templates:






(a)


Own funds composition










(b)


Own fund instruments.
















2.


For each template, legal references are provided. Further detailed information regarding more general aspects of the reporting of each block of templates, instructions concerning specific positions as well as validation rules are included in this part of this Regulation.




1.2   Numbering convention








3.


The document follows the labelling convention set in points 4 to 7, when referring to the columns, rows and cells of the templates. Those numerical codes are extensively used in the validation rules.












4.


The following general notation is followed in the instructions: {Template; Row; Column}.












5.


In the case of validations inside a template, in which only data points of that template are used, notations do not refer to a template: {Row; Column}.












6.


In the case of templates with only one column, only rows are referred to. {Template; Row}












7.


An asterisk sign is used to express that the validation is done for the rows or columns specified before.




1.3   Sign convention








8.


Any amount that increases the own funds or own funds requirements, or the liquidity requirements, shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or own funds requirements shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item no positive figure is expected to be reported of that item.





PART II:   TEMPLATE RELATED INSTRUCTIONS


1.   OWN FUNDS: LEVEL, COMPOSITION, REQUIREMENTS AND CALCULATION

1.1   General Remarks








10.


Own funds overview section contains information about the own funds that an investment firm holds and its own funds requirements. It consists of two templates:






(a)


Template I 11.01 contains the compositions of the own funds that an investment firm holds: Common Equity Tier 1 capital (CET1), Additional Tier 1 capital (AT1) and Tier 2 capital (T2).










(b)


Template I 11.02 contains information on the ‘own fund requirements’ in the context of the group capital test, i.e. intragroup holdings, contingent liabilities and total own funds requirements of the subsidiaries.










(c)


Template I 11.03 contains the relevant information on capital requirements, contingent liabilities, subordinated claims and holdings of financial sector entities at subsidiary level, broken down entity-by-entity.
















11.


The items in these templates are gross of transitional adjustments. This means that the figures (except where the transitional own funds requirement is specifically stated) are calculated according to the final provisions (i.e. as if there were no transitional provisions).




1.2.   I 11.01 – OWN FUNDS COMPOSITION – GROUP CAPITAL TEST (I11.1)
1.2.1.   Instructions concerning specific positions






Row


Legal references and instructions




0010



OWN FUNDS

Article 9(1) of Regulation (EU) 2019/2033.
The own funds of an investment firm shall consist of the sum of its Tier 1 capital and Tier 2 capital.




0020



TIER 1 CAPITAL

The Tier 1 capital is the sum of Common Equity Tier 1 Capital and Additional Tier 1 capital.




0030



COMMON EQUITY TIER 1 CAPITAL

Article 9(1) of Regulation (EU) 2019/2033.
Article 50 of Regulation (EU) No 575/2013.




0040



Fully paid up capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 26(1), point (a), and Articles 27 to 31 of Regulation (EU) No 575/2013.
Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of Regulation (EU) No 575/2013) shall be included.
The share premium related to the instruments shall not be included.
Capital instruments subscribed by public authorities in emergency situations shall be included if all conditions of Article 31 of Regulation (EU) No 575/2013 are fulfilled.




0050



Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 26(1), point (b), of Regulation (EU) No 575/2013.
Share premium has the same meaning as under the applicable accounting standard.
The amount to be reported in this item shall be the part related to the "Paid up capital instruments".




0060



Retained earnings

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 26(1), point (c), of Regulation (EU) No 575/2013.
Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits.
The sum of rows 0070 and 0080 shall be reported.




0070



Previous years retained earnings

Article 4(1), point (123), and Article 26(1), point (c), of Regulation (EU) No 575/2013.
Article 4(1), point (123), of Regulation (EU) No 575/2013 defines retained earnings as "Profit and losses brought forward as a result of the final application of profit or loss under the applicable accounting framework".




0080



Profit eligible

Article 4(1), point (121), Article 26(2) and Article 36(1), point (a), of Regulation (EU) No 575/2013.
Article 26(2) of Regulation (EU) No 575/2013 allows including as retained earnings interim or year-end profits, with the prior consent of the competent authorities, if some conditions are met.




0090



Accumulated other comprehensive income

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 26(1), point (d), of Regulation (EU) No 575/2013.




0100



Other reserves

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 4(1), point (117), and Article 26(1), point (e), of Regulation (EU) No 575/2013.
The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.




0120



Adjustments to CET1 due to prudential filters

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Articles 32 to 35 of Regulation (EU) No 575/2013.




0130



Other funds

Article 9(4) of Regulation (EU) 2019/2033.




0145



(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1

Article 8(2), point (a), of Regulation (EU) 2019/2033, Article 36(1) of Regulation (EU) No 575/2013 with the exception of point (i) of that paragraph.
The sum of rows 0150 and 0190-0280 shall be reported.




0150



(-) Own CET1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013.
Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 of Regulation (EU) No 575/2013.
Holdings on shares included as "Capital instruments not eligible" shall not be reported in this row.
The amount to be reported shall include the share premium related to the own shares.




0190



(-) Losses for the current financial year

Article 36(1), point (a), of Regulation (EU) No 575/2013.




0200



(-) Goodwill

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 4(1), point (113), Article 36(1), point (b), and Article 37 of Regulation (EU) No 575/2013.




0210



(-) Other intangible assets

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 4(1), point (115), Article 36(1), point (b), and Article 37, point (a), of Regulation (EU) No 575/2013.
Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also pursuant the applicable accounting standard.




0220



(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities

Article 9(2), point (a), of Regulation (EU) 2019/2033.
Article 36(1), point (c), of Regulation (EU) No 575/2013.




0230



(-) Qualifying holding outside the financial sector which exceeds 15 % of own funds

Article 10(1), point (a), of Regulation (EU) 2019/2033.




0240



(-)Total qualifying holdings in undertaking other than financial sector entities which exceeds 60 % of its own funds

Article 10(1), point (b), of Regulation (EU) 2019/2033.




0250



(-) CET1 instruments of financial sector entities where the parent does not have a significant investment

Article 9(2), point (c), of Regulation (EU) 2019/2033.
Article 36(1), point (h), of Regulation (EU) No 575/2013.
Union parent in this row means Union parent investment firms, Union parent investment holding companies, Union parent mixed financial holding or any other parent undertaking that is an investment firms, financial institution, ancillary services undertaking or tied agent




0270



(-)Defined benefit pension fund assets

Article 9(2), point (b), of Regulation (EU) 2019/2033.
Article 36(1), point (e), of Regulation (EU) No 575/2013.




0280



(-) Other deductions

The sum of all other deductions in accordance with Article 36(1) of Regulation (EU) No 575/2013, with the exception of deductions in accordance with Article 36(1), point (i), of Regulation (EU) No 575/2013, that are not included in any of the rows 0150 to 0270 above.




0295



CET1: Other capital elements, deductions and adjustments

This row shall include the sum of the following items, where applicable:






—


Transitional adjustments due to grandfathered CET1 Capital instruments (Article 483, paragraphs 1, 2 and 3 and Articles 484 to 487 of Regulation (EU) No 575/2013).










—


Other transitional adjustments to CET1 Capital (Articles 469 to 478 and 481 of Regulation (EU) No 575/2013): adjustments to the deductions from CET1 due to transitional provisions.










—


Other CET1 capital elements or deductions from a CET1 element that cannot be assigned to one of the rows 0040 to 0280.




This row shall not be used to include capital items or deductions which are not covered by Regulation (EU) 2019/2033 or Regulation (EU) No 575/2013 in the calculation of the solvency ratios.




0300



ADDITIONAL TIER 1 CAPITAL

Article 9(1) of Regulation (EU) 2019/2033.
Article 61 of Regulation (EU) No 575/2013.




0310



Fully paid up, directly issued capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 51, point (a), and Articles 52, 53 and 54 of Regulation (EU) No 575/2013.
The amount to be reported shall not include the share premium related to the instruments.




0320



Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 51, point (b), of Regulation (EU) No 575/2013.
Share premium has the same meaning as under the applicable accounting standard.
The amount to be reported in this item shall be the part related to the "Paid up capital instruments".




0335



(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1

Article 56 of Regulation (EU) No 575/2013, with the exception of point (d) of that article.
The total sum of rows 0340, 0380 and 0400 shall be reported.




0340



(-) Own AT1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 52(1), point (b), Article 56, point (a), and Article 57 of Regulation (EU) No 575/2013.
Own AT1 instruments held by the investment firm at the reporting date. Subject to exceptions in Article 57 of Regulation (EU) No 575/2013.
The amount to be reported shall include the share premium related to the own shares.




0380



(-) AT1 instruments of financial sector entities where the parent does not have a significant investment

Article 9(2), point (c), of Regulation (EU) 2019/2033.
Article 56, point (c), of Regulation (EU) No 575/2013.
Union parent in this row means Union parent investment firms, Union parent investment holding companies, Union parent mixed financial holdings or any other parent undertaking that is an investment firms, financial institution, ancillary services undertaking or tied agent.




0400



(-) Other deductions

The sum of all other deductions in accordance with Article 56 of Regulation (EU) No 575/2013, with the exception of the deductions in accordance with Article 56, point (d), of Regulation (EU) No 575/2013, that are not included in any of the rows 0340 or 0380 above.




0415



Additional Tier 1: Other capital elements, deductions and adjustments

This row shall include the sum of the following items, where applicable:






—


Transitional adjustments due to grandfathered AT1 Capital instruments (Article 483, paragraphs 4 and 5, Articles 484 to 487, Articles 489 and 491 of Regulation (EU) No 575/2013).










—


Other transitional adjustments to AT1 Capital (Articles 472, 473a, 474, 475, 478 and 481 of Regulation (EU) No 575/2013): adjustments to deductions due to transitional provisions.










—


Excess of deduction from AT1 items over AT1 Capital, deducted from CET1 in accordance with Article 36(1), point (j), of Regulation (EU) No 575/2013: Additional Tier 1 cannot be negative, but it is possible that the deductions from AT1 items exceed the amount of available AT1 items. Where this happens, this item represents the amount needed to increase the amount reported in row 0300 to zero and equals the inverse of the excess of deductions from AT1 items over AT1 Capital included, among other deductions, in row 0280.










—


Other AT1 capital elements or deductions from a AT1 element that cannot be assigned to one of the rows 0310 to 0400.




This row shall not be used to include capital items or deductions which are not covered by Regulation (EU) 2019/2033 or Regulation (EU) No 575/2013 in the calculation of the solvency ratios.




0420



TIER 2 CAPITAL

Article 9(1) of Regulation (EU) 2019/2033.
Article 71 of Regulation (EU) No 575/2013.
The total sum of rows 0430 to 0455 and 0525 shall be reported.




0430



Fully paid up, directly issued capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 62, point (a), Articles 63 and 65 of Regulation (EU) No 575/2013.
The amount to be reported shall not include the share premium related to the instruments.




0440



Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 62, point (b), and Article 65 of Regulation (EU) No 575/2013.
Share premium has the same meaning as under the applicable accounting standard.
The amount to be reported in this item shall be the part related to the "Paid up capital instruments".




0455



(-) TOTAL DEDUCTIONS FROM TIER 2

Article 66 of Regulation (EU) No 575/2013, with the exception of point (d) of that article.




0460



(-) Own T2 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.
Article 63, point (b)(i), Article 66, point (a), and Article 67 of Regulation (EU) No 575/2013.
Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in Article 67 of Regulation (EU) No 575/2013.
Holdings on shares included as "Capital instruments not eligible" shall not be reported in this row.
The amount to be reported shall include the share premium related to the own shares.




0500



(-) T2 instruments of financial sector entities where the parent does not have a significant investment

Article 9(2), point (c), of Regulation (EU) 2019/2033.
Article 66, point (c), of Regulation (EU) No 575/2013.
Union parent in this row means Union parent investment firms, Union parent investment holding companies, Union parent mixed financial holdings or any other parent undertaking that is an investment firms, financial institution, ancillary services undertaking or tied agent.




0525



Tier 2: Other capital elements, deductions and adjustments

This row shall include the sum of the following items, where applicable:






—


Transitional adjustments due to grandfathered T2 Capital instruments (Article 483, paragraphs 6 and 7, Articles 484, 486, 488, 490 and 491 of Regulation (EU) No 575/2013)










—


Other transitional adjustments to T2 Capital (Articles 472, 473a, 476, 477, 478 and 481 of Regulation (EU) No 575/2013): Adjustments to the deductions from Tier 2 due to transitional provisions










—


Excess of deduction from T2 items over T2 Capital, deducted from AT1 in accordance with Article 56, point (e), of Regulation (EU) No 575/2013: Tier 2 cannot be negative, but it is possible that the deductions from T2 items exceed the amount of available T2 items. Where this happens, this item represents the amount needed to increase the amount reported in row 0420 to zero










—


Other T2 capital elements or deductions from a T2 element that cannot be assigned to one of the rows 0430 to 0500.




This row shall not be used to include capital items or deductions which are not covered by Regulation (EU) 2019/2033 or Regulation (EU) No 575/2013 into the calculation of the solvency ratios.




1.3   I 11.02 OWN FUNDS REQUIREMENTS – GROUP CAPITAL TEST (I11.2)
1.3.1.   Instructions concerning specific positions






Row


Legal references and instructions




0010



CET1 instruments of financial sector entities in the investment firm group where the parent undertaking has a significant investment in those entities

Article 8(3), point (a), of Regulation (EU) 2019/2033 in conjunction with Article 36(1), point (i), of Regulation (EU) No 575/2013.




0020



AT1 instruments of financial sector entities in the investment firm group where the parent undertaking has a significant investment in those entities

Article 8(3), point (a), of Regulation (EU) 2019/2033 in conjunction with of Article 56, point (d), of Regulation (EU) No 575/2013.




0030



T2 instruments of financial sector entities in the investment firm group where the parent undertaking has a significant investment in those entities

Article 8(3), point (a), in conjunction with Article 66, point (d), of Regulation (EU) No 575/2013.




0040



Holdings of financial sector entities in the investment firm group to the extent that they do not constitute own funds for the group entity the parent is invested in

Article 8(3), point (a), of Regulation (EU) 2019/2033.
This row shall include holdings of the parent to the extent that they do not constitute own funds for the group entity the parent is invested in.




0050



Subordinated claims of financial sector entities in the investment firm group

Article 8(3), point (a), of Regulation (EU) 2019/2033.
This row shall include subordinated claims of the parent to the extent that they do not constitute own funds for the group entity the parent is invested in.




0060



Contingent liabilities in favour of entities in the investment firm group

Article 8(3), point (b), of Regulation (EU) 2019/2033.




0070



Total own fund requirements for the subsidiary undertakings

In case of application of Article 8(4) of Regulation (EU) 2019/2033.




1.4   IF 11.03 INFORMATION ON SUBSIDIARIES UNDERTAKINGS (IF11.3)








10.


All entities included in the scope of the group capital test shall be reported in this template. This shall also include the parent undertaking of the group itself.




1.4.1.   Instructions concerning specific positions






Columns


Legal references and instructions




0010



Code

The code as part of a row identifier must be unique for each reported entity. For investment firms and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.




0020



Type of code

The reporting entity shall identify the type of code reported in column 0010 as a ‘LEI code type’ or ‘Nationalcode type’.
The type of code shall always be reported.




0030



Name of the undertaking

Name of the undertaking within the scope of consolidation.




0040



Parent/subsidiary

Indicates whether the entity reported in the row is the parent of the group or a subsidiary




0050



Country

The country where the subsidiary is located shall be reported.




0060 – 0100



Investments by the parent undertaking

Article 8(3), point (a), of Regulation (EU) 2019/2033.
In this section, the investments of the parent undertaking in the group entities shall be reported.




0060



CET1

Article 8(3), point (a), of Regulation (EU) 2019/2033 in conjunction with Article 36(1), point (i), of Regulation (EU) No 575/2013.




0070



AT1

Article 8(3), point (a), of Regulation (EU) 2019/2033 in conjunction with Article 56, point (d), of Regulation (EU) No 575/2013.




0080



T2

Article 8(3), point (a), of Regulation (EU) 2019/2033 in conjunction with Article 66, point (d), of Regulation (EU) No 575/2013.




0090



Holdings

Article 8(3), point (a), of Regulation (EU) 2019/2033.
This column shall include holdings of the parent to the extent that they do not constitute own funds for the group entity the parent is invested in.




0100



Subordinated claims

Article 8(3), point (a), of Regulation (EU) 2019/2033.
This column shall include subordinated claims of the parent to the extent that they do not constitute own funds for the group entity the parent is invested in.




0110



Contingent liabilities of the parent in favour of the entity

Article 8(3),point (b), of Regulation (EU) 2019/2033.




0120



Total own fund requirements for the subsidiary undertakings

Article 8(4) of Regulation (EU) 2019/2033.




0130



Permanent minimum capital

Article 14 of Regulation (EU) 2019/2033.




0140



K-factor requirement

Article 15 of Regulation (EU) 2019/2033.




0150



Assets under management

Article 15(2) and Article 17 of Regulation (EU) 2019/2033.




0160



Client money held – Segregated

Article 15(2) and Article 18 of Regulation (EU) 2019/2033.




0170



Client money held – Non – segregated

Article 15(2) and Article 18 of Regulation (EU) 2019/2033.




0180



Assets safeguarded and administered

Article 15(2) and Article 19 of Regulation (EU) 2019/2033.




0190



Client orders handled – Cash trades

Article 15(2) and article 20(1) and article 20(2), point (a), of Regulation (EU) 2019/2033.




0200



Client orders handled – Derivatives Trades

Article 15(2) and article 20(1) and article 20(2), point (b), of Regulation (EU) 2019/2033.




0210



K-Net positions risk requirement

Article 22 of Regulation (EU) 2019/2033.




0220



Clearing margin given

Article 23(2) of Regulation (EU) 2019/2033.




0230



Trading counterparty default

Article 26 and Article 24 of Regulation (EU) 2019/2033.




0240



Daily trading flow – Cash trades

For the purposes of K-factor requirement calculation, investment firms shall report by applying the coefficient of Article 15(2) of Regulation (EU) 2019/2033.
In the event of stressed market conditions, in accordance with Article 15(5), point (c), of Regulation (EU) 2019/2033, investment firms shall apply an adjusted coefficient as specified in that point.
Daily trading flow factor shall be calculated in accordance with Article 33(2), point (a), of Regulation (EU) 2019/2033.




0250



Daily trading flow – Derivative trades

For the purposes of K-factor requirement calculation, investment firms shall report by applying the coefficient of Article 15(2) of Regulation (EU) 2019/2033.
In the event of stressed market conditions, in accordance with Article 15(5), point (c), of Regulation (EU) 2019/2033, investment firms shall apply an adjusted coefficient as specified in that point.
Daily trading flow factor shall be calculated in accordance with Article 33(2), point (b), of Regulation (EU) 2019/2033.




0260



K-Concentration risk requirement

Article 37(2), 39 and Article 24 of Regulation (EU) 2019/2033.




0270



Fixed overhead requirements

Article 13 of Regulation (EU) 2019/2033.