Annex II - Reporting for Class 2 investment firms — EBA — EU

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EN
ANNEX II
“ANNEX II
REPORTING FOR INVESTMENT FIRMS OTHER THAN SMALL AND NONINTERCONNECTED
Table of contents
PART I: GENERAL INSTRUCTIONS ............................................................................................. 4

Structure and conventions............................................................................................................... 4
1.1 Structure........................................................................................................................................ 4
1.2 Numbering convention.................................................................................................................. 4
1.3 Sign convention ............................................................................................................................ 4
1.4 Abbreviations................................................................................................................................ 4
1.5 Prudential consolidation................................................................................................................ 5
PART II: TEMPLATE RELATED INSTRUCTIONS.......................................................................5
OWN FUNDS: LEVEL, COMPOSITION, REQUIREMENTS AND CALCULATION......5
1.1 General Remarks........................................................................................................................... 5
1.2. IF 01.00 – OWN FUNDS COMPOSITION (IF 1)......................................................................5
1.2.1. Instructions concerning specific positions..........................................................................5
1.3. IF 02.01 – OWN FUND REQUIREMENTS (IF 2.1)................................................................12
1.3.1 Instructions concerning specific positions........................................................................12
1.4. IF 02.02 – CAPITAL RATIOS (IF 2.2).....................................................................................13
1.4.1. Instructions concerning specific positions........................................................................13
1.5. IF 03.00 – FIXED OVERHEADS REQUIREMENT CALCULATION (IF 3)........................14
1.5.1. Instructions concerning specific positions........................................................................14
1.6. IF 04.00 – TOTAL K-FACTOR REQUIREMENT CALCULATIONS (IF 4).........................16
1.6.1 Instructions concerning specific positions........................................................................16
SMALL AND NON-INTERCONNECTED INVESTMENT FIRMS....................................18
2.1. IF 05.00 – LEVEL OF ACTIVITY – THRESHOLD REVIEW (IF 5).....................................18
2.1.1. Instructions concerning specific positions........................................................................18
K-FACTOR REQUIREMENTS - ADDITIONAL DETAILS................................................21
3.2. IF 06.01 – ASSETS UNDER MANAGEMENT - ADDITIONAL DETAILS (IF 6.1)............22
3.2.1 Instructions concerning specific positions........................................................................22
3.3. IF 06.02 – MONTHLY ASSETS UNDER MANAGEMENT (IF 6.2).....................................22
3.3.1. Instructions concerning specific positions........................................................................22

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3.4. IF 06.03 – CLIENT MONEY HELD- ADDITIONAL DETAIL (IF 6.3).................................23
3.4.1. Instructions concerning specific positions........................................................................23
3.5. IF 06.04 – AVERAGE VALUE OF TOTAL DAILY CLIENT MONEY HELD (IF 6.4) .......24
3.5.1 Instructions concerning specific positions........................................................................24
3.6. IF 06.05 – ASSETS SAFEGUARDED AND ADMINISTERED - ADDITIONAL DETAIL (IF
6.5).................................................................................................................................................... 25
3.6.1 Instructions concerning specific positions........................................................................25
3.7. IF 06.06 – AVERAGE VALUE OF TOTAL DAILY ASSETS SAFEGUARDED AND
ADMINISTERED (IF 6.6) ............................................................................................................... 26
3.7.1. Instructions concerning specific positions........................................................................26
3.8. IF 06.07 – CLIENT ORDERS HANDLED - ADDITIONAL DETAILS (IF 6.7)....................27
3.8.1. Instructions concerning specific positions........................................................................27
3.9. IF 06.08 – AVERAGE VALUE OF TOTAL DAILY CLIENT ORDERS HANDLED (IF 6.8)
.......................................................................................................................................................... 28
3.9.1. Instructions concerning specific positions........................................................................28
3.10. IF 06.09 – K-NET POSITION RISK - ADDITIONAL DETAILS (IF 6.9)............................29
3.10.1. Instructions concerning specific positions........................................................................29
3.11. IF 06.10 – CLEARING MARGIN GIVEN - ADDITIONAL DETAIL (IF 6.10)...................30
3.11.1. Instructions concerning specific positions............................................................................31
3.12. IF 06.11 – TRADING COUNTERPARTY DEFAULT- TCD ADDITIONAL DETAILS (IF
6.11).................................................................................................................................................. 31
3.12.1. Instructions concerning specific positions........................................................................31
3.13. IF 06.12– DAILY TRADING FLOW- ADDITIONAL DETAILS (IF 6.12) .........................33
3.13.1. Instructions concerning specific positions....................................................................33
3.14. IF 06.13– AVERAGE VALUE OF TOTAL DAILY TRADING FLOWS (IF 6.13) .............34
3.14.1. Instructions concerning specific positions...........................................................................34
4. CONCENTRATION RISK REPORTING..............................................................................34
4.1. General Remarks........................................................................................................................ 34
4.2. IF 07.00 – K-CON ADDITIONAL DETAILS (IF7).................................................................35
4.2.1. Instructions concerning specific positions........................................................................35
4.3. IF 08.01 – LEVEL OF CONCENTRATION RISK - CLIENT MONEY HELD (IF 8.1) ........36
4.3.1. Instructions concerning specific columns.........................................................................36
4.4. IF 08.02 – LEVEL OF CONCENTRATION RISK - ASSETS SAFEGUARDED AND
ADMINISTERED (IF 7.1) ............................................................................................................... 37
4.4.1. Instructions concerning specific columns.........................................................................37
4.5. IF 08.03 – LEVEL OF CONCENTRATION RISK -TOTAL OWN CASH DEPOSITED (IF
8.3).................................................................................................................................................... 38

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4.5.1. Instructions concerning specific columns.........................................................................38
4.6. IF 08.04 – LEVEL OF CONCENTRATION RISK - TOTAL EARNINGS (IF 8.4)................39
4.6.1. Instructions concerning specific columns.........................................................................39
4.7. IF 08.05 – TRADING BOOK EXPOSURES (IF 8.5)...............................................................40
4.7.1. Instructions concerning specific columns.........................................................................40
4.8. IF 08.06 – NON-TRADING BOOK AND OFF-BALANCE SHEET ITEMS (IF 8.6) ............41
4.8.1. Instructions concerning specific columns.........................................................................41
5. LIQUIDITY REQUIREMENTS............................................................................................... 42
5.1 IF 09.00 – LIQUIDITY REQUIREMENTS (IF 9).....................................................................42
5.1.1 Instructions concerning specific positions........................................................................42

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PART I: GENERAL INSTRUCTIONS

Structure and conventions
1.1 Structure
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) IFR (e) K-factor requirements calculations (f) Concentration risk requirements (g) Liquidity requirements
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 Implementing Regulation.
1.2 Numbering convention
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.
The following general notation is followed in the instructions: {Template; Row; Column}.
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}.
In the case of templates with only one column, only rows are referred to. {Template; Row}
An asterisk sign is used to express that the validation is done for the rows or columns
specified before.
1.3 Sign convention
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 Abbreviations
For the purposes of this Annex, Regulation (EU) 2019/2033 is referred to as ‘IFR’,
Directive (EU) 2019/2034 is referred to as ‘IFD’ and Regulation (EU) No 575/2013 is referred to as ‘CRR’.

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1.5 Prudential consolidation
10. Unless an exemption has been granted, IFR and IFD apply to investment firms on
an individual and on a consolidated basis, which includes reporting requirements in
Part Seven of IFR. Article 4(1), point (11) of IFR defines a consolidated situation as
the result of applying the requirements of IFR to an investment firm group as if the entities of the group formed together a single investment firm.
11. The scope of consolidation of an investment firm group is described in more detail
in the RTS on prudential consolidation under Article 7(5) IFR. Investment firms groups shall use this prudential scope to fulfil the reporting requirements in all templates, and not the scope of accounting consolidation that may be different. The same RTS also describes the consolidation of own funds requirements used in template IF 2.
PART II: TEMPLATE RELATED INSTRUCTIONS

OWN FUNDS: LEVEL, COMPOSITION, REQUIREMENTS AND CALCULATION
1.1 General Remarks
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) IF 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) IF 02.01 and IF 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) IF 03.00 includes information with regard to the calculation of the Fixed overheads requirement. (d) IF 04.00 template contains the K-factors requirements and the factor amount.
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. IF 01.00 – OWN FUNDS COMPOSITION (IF 1)
1.2.1. Instructions concerning specific positions
Row Legal references and instructions
0010 OWN FUNDS
Article 9(1) IFR
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

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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) IFR
Article 50 of CRR
0040 Fully paid up capital instruments
Article 9(1), point (i) of IFR
Point (a) of Article 26(1) and Articles 27 to 31 CRR Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 CRR) 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 CRR are fulfilled. 0050 Share premium
Article 9(1), point (i) of IFR
Article 26(1), point (b) of CRR
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 IFR
Article 26(1), point (c) of CRR
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 CRR
Article 4(1), point (123) of CRR 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 CRR
Article 26(2) CRR allow 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 IFR
Article 26(1), point (d) of CRR
0100 Other reserves
Article 9(1), point (i) of IFR
Article 4(1), point (117) and Article 26(1) point (e) of CRR

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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) CRR 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) IFR
Articles 32 to 35 CRR
0130 Other funds
Article 9(4) IFR
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 IFR
Article 36(1), point (f) and Article 42 CRR
Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 CRR. 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 IFR
Article 36(1), point (f) and Article 42 CRR
Common Equity Tier 1 instruments held by the investment firm 0170 (-) Indirect holdings of CET1 instruments
Article 9(1), point (i) of IFR
Article 36(1), point (f) and Article 42 CRR
Common Equity Tier 1 instruments held by the investment firm 0180 (-) Synthetic holdings of CET1 instruments
Article 9(1), point (i) of IFR
Article 4(1), point (114), Article 36(1), point (f) and Article 42 CRR
0190 (-) Losses for the current financial year
Article 36(1), point (a) of CRR
0200 (-) Goodwill
Article 9(1), point (i) of IFR
Article 4(1), point (113), Article 36(1), point (b) and Article 37 CRR
0210 (-) Other intangible assets

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Article 9(1), point (i) of IFR
Article 36(1), point (b), point (115) and Article 37, point (a) of CRR
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 IFR
Article 36(1), point (c) of CRR
0230 (-) Qualifying holding outside the financial sector which exceeds 15% of own funds
Article 10(1), point (a) of IFR
0240 (-)Total qualifying holdings in undertaking other than financial sector entities which exceeds 60% of its own funds
Article 10(1), point (b) of IFR
0250 (-) CET1 instruments of financial sector entities where the investment firm does not have a significant investment
Article 9(2), point (c) of IFR
Point (h) of Article 36(1) CRR
0260 (-) CET1 instruments of financial sector entities where the investment firm has a significant investment
Article 9(2), point (d) of IFR
Article 36(1), point (i) of CRR
0270 (-)Defined benefit pension fund assets
Article 9(2), point (b) of IFR
Article 36(1), point (e) of CRR
0280 (-) Other deductions
The sum of all other deductions in accordance with Article 36(1) CRR 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
(Paragraphs 1, 2 and 3 of Article 483 and Articles 484 to 487 CRR)
Transitional adjustments due to additional minority interests (Articles 479 and
480 CRR)
Other transitional adjustments to CET1 Capital (Articles 469 to 478 and 481
CRR): 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 the IFR or CRR into the calculation of the solvency ratios 0300 ADDITIONAL TIER 1 CAPITAL
Article 9(1) IFR

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Article 61 CRR
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 IFR
Article 51, point (a) and Articles 52, 53 and 54 CRR
The amount to be reported shall not include the share premium related to the instruments 0320 Share premium
Article 9(1), point (i) of IFR
Article 51, point (b) of CRR
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 CRR
The total sum of rows 0340 and 0380 – 0400 shall be reported 0340 (-) Own AT1 instruments
Article 9(1), point (i) of IFR
Article 52(1), point (b), Article 56, point (a) and Article 57 CRR
Own AT1 instruments held by the investment firm at the reporting date. Subject to exceptions in Article 57 CRR. 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 IFR
Article 56, point (a) of CRR
0360 (-) Indirect holdings of AT1 instruments
Article 9(2), point (c) of IFR
Article 56, point (a) of CRR
0370 (-) Synthetic holdings of AT1 instruments
Article 9(2), point (c) of IFR
Article 56, point (a) of CRR
0380 (-) AT1 instruments of financial sector entities where the investment firm does not have a significant investment
Article 9(2), point (c) of IFR
Article 56, point (c) of CRR
0390 (-) AT1 instruments of financial sector entities where the investment firm has a significant investment
Article 9(2), point (c) of IFR
Article 56, point (d) of CRR
0400 (-) Other deductions

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The sum of all other deductions in accordance with Article 56 CRR 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
(Paragraphs 4 and 5 of Article 483, Articles 484 to 487, Articles 489 and 491 CRR)
Instruments issued by subsidiaries that are given recognition in AT1 Capital
(Articles 83, 85 and 86 CRR): 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 CRR)
Transitional adjustments due to additional recognition in AT1 Capital of
instruments issued by subsidiaries (Article 480 CRR) 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 CRR): 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) CRR: 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 the IFR or CRR into the calculation of the solvency ratios 0420 TIER 2 CAPITAL
Article 9(1) IFR
Article 71 CRR
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 IFR
Article 62, point (a), Articles 63 and 65 CRR
The amount to be reported shall not include the share premium related to the instruments 0440 Share premium
Article 9(1), point (i) of IFR
Article 62, point (b) and Article 65 CRR
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 CRR
0460 (-) Own T2 instruments

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Article 9(1), point (i) of IFR
Article 63, point (b)(i) of, Article 66, point (a) and Article 67 CRR
Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in Article 67 CRR. 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 CRR
0480 (-) Indirect holdings of T2 instruments
Article 4(1), point (114), Article 63, point (b), Article 66, point (a) and Article 67
CRR
0490 (-) Synthetic holdings of T2 instruments
Article 4(1), point (126), Article 63, point (b), Article 66, point (a) and Article 67
CRR
0500 (-) T2 instruments of financial sector entities where the investment firm does not have a significant investment
Article 9(2) , point (c) of IFR
Article 66, point (c) of CRR
0510 (-) T2 instruments of financial sector entities where the investment firm has a significant investment
Article 4(1), point (27), Article 66, point (d), Articles 68, 69 and Article 79 CRR
Holdings by the institution of T2 instruments of financial sector entities (as defined in Article 4(1), point (27) of CRR 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 CRR)
Instruments issued by subsidiaries that are given recognition in T2 Capital
(Articles 83, 87 and 88 CRR): 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 CRR)
Transitional adjustments due to additional recognition in T2 Capital of
instruments issued by subsidiaries (Article 480 CRR): 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 CRR): 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 CRR, 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.

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This row shall not be used to include capital items or deductions which are not covered by the IFR or CRR into the calculation of the solvency ratios.
1.3. IF 02.01 – OWN FUND REQUIREMENTS (IF 2.1)
1.3.1 Instructions concerning specific positions
Row Legal references and instructions
0010 Own fund requirement
Article 11(1) IFR
Article 8 of the [Draft RTS on prudential consolidation under IFR]
The amount shall be the amount without application of Article 57 (3), (4) or (6) IFR. 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 IFR
Article 10 of the [Draft RTS on prudential consolidation under IFR]
The amount shall be the amount without application of Article 57 (3), (4) or (6) IFR 0030 Fixed overhead requirement
Article 13 IFR
Article 9 of the [Draft RTS on prudential consolidation under IFR]
The amount shall be the amount without application of Article 57 (3), (4) or (6) IFR 0040 Total K-Factor Requirement
Article 15 IFR
Article 11 [Draft RTS on prudential consolidation under IFR]
The amount shall be the amount without application of Article 57 (3), (4) or (6) IFR 0050 – 0100 Transitional own funds requirements 0050 Transitional requirement based on CRR own funds requirements
Article 57(3), point (a) of IFR
0060 Transitional requirement based on fixed overhead requirement
Article 57(3), point (b) of IFR
0070 Transitional requirement for investment firms previously subject only to an initial capital requirement
Article 57 (4), point (a) of IFR
0080 Transitional requirement based on initial capital requirement at authorisation
Article 57 (4), point (b) of IFR

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0090 Transitional requirement for investment firms that are not authorised to provide certain services
Article 57(4), point (c) of IFR
0100 Transitional requirement of at least 250 000 EUR
Article 57(6) IFR
0110 –
0130
Memorandum items
0110 Additional own funds requirement
Article 40 IFD
Additional own funds required following the SREP 0120 Additional own funds guidance
Article 41 IFD
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. IF 02.02 – CAPITAL RATIOS (IF 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) IFR
Article 9(4) IFR
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) IFR. The transitional provisions of Article 57(3) and (4) IFR shall not be considered for this item. 0030 Tier 1 Ratio
Article 9(1), point (b) and Article 11(1) IFR
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) IFR. The transitional provisions of Article 57(3) and (4) IFR shall not be considered for this item.

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0050 Own Funds Ratio
Article 9(1), point (c) and Article 11(1) IFR.
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) IFR.
The transitional provisions of Article 57(3) and (4) IFR shall not be considered for this item.
1.5. IF 03.00 – FIXED OVERHEADS REQUIREMENT CALCULATION (IF 3)
1.5.1. Instructions concerning specific positions
Row Legal references and instructions
0010 Fixed Overhead Requirement
Article 13(1) IFR.
Article 9 of the [Draft RTS on prudential consolidation under IFR]
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 3 of the [Draft RTS on own funds requirements for investment firms based on fixed overheads under
Article 13(4) of IFR], the amount reported shall be the fixed overheads requirement
imposed by the competent authority in accordance with Article 13(2) IFR. In the cases specified in Article 13(3) IFR, 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 1(1) and (2) of [Draft RTS on mandate of Article 13(4)]
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 1(1) of [Draft RTS on mandate of Article 13(4)]
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 1(5) of [Draft RTS on mandate of Article 13(4)]
0050 (-)Total deductions
Article 13(4) IFR
Article 1(6) of [Draft RTS on mandate of Article 13(4)]
0060 (-)Staff bonuses and other remuneration
Article 13(4), point (a) of IFR

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Article 1(4) of [Draft RTS on mandate of Article 13(4)]
0070 (-)Employees', directors' and partners' shares in net profits
Article 13(4), point (b) of IFR
Article 1(3) of [Draft RTS on mandate of Article 13(4)]
0080 (-)Other discretionary payments of profits and variable remuneration
Article 13(4), point (c) of IFR
0090 (-)Shared commission and fees payable
Article 13(4), point (d) of IFR
0100 (-)Fees, brokerage and other charges paid to CCPs that are charged to customers
Article 1(6), point (a) of [Draft RTS on mandate of Article 13(4)]
0110 (-)Fees to tied agents
Article 13(4), point (e) of IFR
0120 (-)Interest paid to customers on client money where this is at the firm's discretion
Article 1(6), point (b) of [Draft RTS on mandate of Article 13(4)]
0130 (-)Non-recurring expenses from non-ordinary activities
Article 13(4), point (f) of IFR
0140 (-)Expenditures from taxes
Article 1(6), point (c) of [Draft RTS on mandate of Article 13(4)]
0150 (-)Losses from trading on own account in financial instruments
Article 1(6), point (d) of [Draft RTS on mandate of Article 13(4)]
0160 (-)Contract based profit and loss transfer agreements
Article 1(6), point (e) of [Draft RTS on mandate of Article 13(4)]
0170 (-)Expenditure on raw materials
For commodity and emission allowance dealers
Article 2 of [Draft RTS on mandate of Article 13(4)]
0180 (-)Payments into a fund for general banking risk
Article 1(6), point (f) of [Draft RTS on mandate of Article 13(4)]
0190 (-)Expenses related to items that have already been deducted from own funds
Article 1(6), point (g) of [Draft RTS on mandate of Article 13(4)]
0200 Projected fixed overheads of the current year
Article 3 of [Draft RTS on mandate of Article 13(4)]
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:

16
[(Projected fixed overheads of the current year) – (Annual fixed overheads of the previous year)] / (Annual fixed overheads of the previous year)
1.6. IF 04.00 – TOTAL K-FACTOR REQUIREMENT CALCULATIONS (IF 4)
1.6.1 Instructions concerning specific positions
Row Legal references and instructions
0010 TOTAL K-FACTOR REQUIREMENT
Article 15(1) IFR
0020 Risk to client
Article 16 IFR
The amount reported shall be the sum of rows 0030-0080.
0030 Assets under management
Article 15(2) and Article 17 IFR
Article 11(3), point (c) of the [Draft RTS on prudential consolidation under
IFR].
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 IFR
Article 11(3), point (a) of the [Draft RTS on prudential consolidation under
IFR].
0050 Client money held - Non - segregated
Article 15(2) and Article 18 IFR
Article 11(3), point (a) of the [Draft RTS on prudential consolidation under
IFR].
0060 Assets safeguarded and administered
Article 15(2) and Article 19 IFR
Article 11(3), point (a) of the [Draft RTS on prudential consolidation under
IFR].
0070 Client orders handled - Cash trades
Article 15(2) and article 20(1) and Article 20(2), point (a) of IFR
Article 11(3), point (a) of the [Draft RTS on prudential consolidation under
IFR].
0080 Client orders handled - Derivatives Trades
Article 15(2) and Article 20(1) and Article 20(2), point (b) of IFR.

17
Article 11(3), point (a) of the [Draft RTS on prudential consolidation under
IFR].
0090 Risk to market
Article 21(1) IFR
The amount reported shall be the sum of rows 0100 – 0110.
0100 K-Net positions risk requirement
Article 22 IFR
Article 11(3), point (d) of the [Draft RTS on prudential consolidation under
IFR].
0110 Clearing margin given
Article 23(2) IFR
Article 11(3), point (e) of the [Draft RTS on prudential consolidation under
IFR].
0120 Risk to firm
Article 24 IFR
The amount reported shall be the sum of rows 0130 – 0160.
0130 Trading counterparty default
Article 26 and Article 24 IFR
Article 11(3), point (d) of the [Draft RTS on prudential consolidation under
IFR].
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) IFR. In the event of stressed market conditions, in accordance with Article 15(5), point (c) of IFR, investment firms shall apply an adjusted coefficient as specified in Article 1(1), point (a) of [Draft RTS to specify adjustments to the K-DTF coefficients] Daily trading flow factor shall be calculated in accordance with Article 33(2), point (a) of IFR
Article 11(3), point (b) of the [Draft RTS on prudential consolidation under IFR]
0150 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) IFR In the event of stressed market conditions, in accordance with Article 15(5), point (c) of IFR, investment firms shall apply an adjusted coefficient as specified in Article 1(1), point (b) of [Draft RTS to specify adjustments to the K-DTF coefficients] Daily trading flow factor shall be calculated in accordance with Article 33(2), point (b) of IFR

18
Article 11(3), point (b) of the [Draft RTS on prudential consolidation under IFR]
0160 K-Concentration risk requirement
Article 37(2), 39 and Article 24 IFR
Article 11(3), point (f) of the [Draft RTS on prudential consolidation under
IFR].
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 IFR.
2. SMALL AND NON-INTERCONNECTED INVESTMENT FIRMS
2.1. IF 05.00 – LEVEL OF ACTIVITY – THRESHOLD REVIEW (IF 5)
2.1.1. Instructions concerning specific positions
Row Legal references and instructions
0010 (Combined) assets under management
Article 12(1), point (a) of IFR.
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) IFR. 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), subparagraph (i) of IFR.
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) IFR. 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), subparagraph (ii) of IFR.

19
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) IFR. 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 IFR
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 IFR
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 IFR
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 IFR
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 IFR
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 IFR
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 IFR.
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) IFR. 0110 Combined total annual gross revenue
Article 12(1), point (i) of IFR.

20
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) IFR. 0120 Total annual gross revenue The value of total annual gross revenue excluding the gross revenues generated within the group pursuant Article 12(2) IFR. 0130 (-) Intragroup part of the annual gross revenue The value of the gross revenues generated within the investment firm group pursuant Article 12(2) IFR. 0140 Of which: revenue from reception and transmission of orders
Article 54(1), point (d) of IFR
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 IFR
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 IFR
Article 4(1), point (2) of Directive 2014/65/EU
0170 Of which :revenue from portfolio management
Article 54(1), point (d) of IFR
Article 4(1), point (2) of Directive 2014/65/EU
0180 Of which: revenue from investment advice
Article 54(1), point (d) of IFR
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 IFR
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 IFR
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 IFR
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 IFR

21
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 IFR
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 IFR
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 IFR
Article 4(1) , point (3) of Directive 2014/65/EU
0260 Of which: revenue from foreign exchange services
Article 54(1), point (d) of IFR
Article 4(1), point (3) of Directive 2014/65/EU
0270 Of which: investment research and financial analysis
Article 54(1), point (d) of IFR
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 IFR
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 IFR
Article 4(1), point (3) of Directive 2014/65/EU
3. K-FACTOR REQUIREMENTS - ADDITIONAL DETAILS
3.1. General remarks
14. In IF 06.00 each of the K-factors AUM, ASA, CMH, COH and DTF have two
designated tables.
15. 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 calculation of each K-factor before applying the coefficient from Table 1 of Article 15(2) IFR.
16. 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 IFR.

22
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. IF 06.01 – ASSETS UNDER MANAGEMENT - ADDITIONAL DETAILS (IF 6.1)
3.2.1 Instructions concerning specific positions
Row Legal references and instructions
0010 Total AUM (average amounts)
Article 4(1), point (27) in IFR.
Total AUM value as an arithmetic mean in accordance with Article 17(1), first subparagraph of IFR. 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 point (8) of Article 4(1) of Directive 2014/65/EU and calculated in accordance with Article 17(1) IFR. 0030 Of which: AUM formally delegated to another entity
Article 17(2) IFR.
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. IF 06.02 – MONTHLY ASSETS UNDER MANAGEMENT (IF 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) in IFR.

23
The total monthly assets under management as of the last business day of the relevant month as referred to in Article 17(1) IFR. 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) IFR.
0030 Of which: assets formally delegated to another entity
Article 17(2) IFR.
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) IFR shall be reported.
3.4. IF 06.03 – CLIENT MONEY HELD- ADDITIONAL DETAIL (IF 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 IFR and Article 1 of [Draft RTS on the
definition of segregated account (Article 15(5), point (b) of the IFR)]. 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 the first subparagraph of Article 18(1) IFR. 0020 CMH - Non-segregated (average amounts)
Article 4(1), points (28) and (49) of IFR.
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 the first subparagraph of Article 18(1) IFR.

24
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) IFR. 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) IFR. 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) IFR.
3.5. IF 06.04 – AVERAGE VALUE OF TOTAL DAILY CLIENT MONEY HELD (IF 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 IFR and [Draft RTS on the definition of
segregated account (Article 15(5), point (b) of the IFR)] 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) IFR.
0020 Total daily client money held - Non-segregated
Article 4(1), points (28) and 49 of IFR
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) IFR.
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) IFR.

25
3.6. IF 06.05 – ASSETS SAFEGUARDED AND ADMINISTERED - ADDITIONAL
DETAIL (IF 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 IFR
Article 5(1) of [Draft RTS to specify the methods for measuring the K-factors
(Article 15(5), point (a) of the IFR)]
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 the first subparagraph of Article 19(1) IFR. 0020 Of which: Fair value of financial instruments (Level 2)
Article 5(1), point (a) of [Draft RTS to specify the methods for measuring the
K-factors (Article 15(5), point (a) of the IFR)] Level 2 financial instruments valuated pursuant IFRS 13.81. 0030 Of which: Fair value of financial instruments (Level 3)
Article 5(1), point (a) of [Draft RTS to specify the methods for measuring the
K-factors (Article 15(5), point (a) of the IFR)] 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) IFR
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 IFR.
0050 Of which: assets of another financial entity that has formally delegated to the investment firm
Article 19(2) IFR
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 the first subparagraph of Article 19(1) IFR. 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.

26
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. IF 06.06 – AVERAGE VALUE OF TOTAL DAILY ASSETS SAFEGUARDED AND
ADMINISTERED (IF 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 IFR
Article 5(1) of [Draft RTS to specify the methods for measuring the K-factors
(Article 15(5), point (a) of the IFR)]
The value reported shall be the monthly average of the total daily assets safeguarded and administered in accordance with Article 19(1) IFR. 0020 Of which: Fair value of financial instruments (Level 2)
Article 5(2) of [Draft RTS to specify the methods for measuring the K-factors
(Article 15(5), point (a) of the IFR)].
Level 2 financial instruments valuated pursuant IFRS 13.81.
0030 Of which: Fair value of financial instruments (Level 3)
Article 5(1), point (a) of [Draft RTS to specify the methods for measuring the
K-factors (Article 15(5), point (a) of the IFR)] 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) IFR
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) IFR. 0050 Of which: assets of another financial entity that has formally delegated to the investment firm
Article 19(2) IFR
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) IFR. Columns Legal references and instructions

27
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) IFR.
3.8. IF 06.07 – CLIENT ORDERS HANDLED - ADDITIONAL DETAILS (IF 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 IFR and measured pursuant Article 20(1) IFR. 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 the first subparagraph of Article 20(1) IFR and shall be measured pursuant Article 20(2), point (a) of IFR. 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 IFR 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 IFR shall be reported. 0040 COH - Derivatives (average amounts)
Article 4(1), point (30) in IFR
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 IFR and shall be measured pursuant Article 20(2), point (b) of IFR. 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 in point (5) of Article 4(1) of Directive 2014/65/EU.

28
The arithmetic mean amount of COH value for the previous six months, excluding the three most recent months, pursuant Article 20(1), first subparagraph of IFR 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 Article 20(1), first subparagraph of IFR 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. IF 06.08 – AVERAGE VALUE OF TOTAL DAILY CLIENT ORDERS HANDLED (IF
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) in IFR
The average value of the total daily client orders handled (cash trades) of the relevant month as referred to in Article 20(1) IFR and shall be measured pursuant Article 20(2), point (a) of IFR. 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.

29
0040 Total daily client orders handled - Derivatives
Article 4(1), point (30) in IFR
The average value of the total daily client orders handled (derivatives) of the relevant month as referred to in Article 20(1) IFR and shall be measured pursuant Article 20(2), point (b) of IFR. 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. IF 06.09 – K-NET POSITION RISK - ADDITIONAL DETAILS (IF 6.9)
3.10.1. Instructions concerning specific positions
Row Legal references and instructions
0010 Total standardised approach
Article 22 (a) IFR
Positions in for which an own funds requirement is determined in accordance with Chapters 2, 3 or 4 of Title IV of Part Three CRR 0020 Position risk
Article 22 (a) and 21(3) IFR
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 CRR 0030 Equity instruments Articles 22(a) and 21(3) IFR 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 CRR 0040 Debt instruments

30
Articles 22(a) and 21(3) IFR
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 CRR 0050 Of which: securitisations Articles 22 (a) and 21(3) IFR Positions in securitisation instruments as referred to in Article 337 CRR and positions in the correlation trading portfolio as referred to in Article 338 CRR. 0055 Particular approach for position risk in CIUs
Article 22 (a) and 21(3) IFR
Total risk exposure amount for positions in CIUs if capital requirements are calculated in accordance with Article 348(1) CRR either immediately or as a consequence of the cap defined in Article 350(3) point (c) of CRR. The CRR 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) CRR 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) CRR 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 IFR
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 CRR 0070 Commodities risk
Article 22(a) and Article 21 paragraphs (3) and (4) of IFR
Positions subject to commodities risk for which an own funds requirement is determined in accordance with Chapter 4 of Title IV of Part Three CRR. 0080 Internal model approach
Article 57(2) and Article 21, paragraphs (3) and (4) of IFR
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 CRR
3.11. IF 06.10 – CLEARING MARGIN GIVEN - ADDITIONAL DETAIL (IF 6.10)
17. 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.

31
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’ or ‘National code’. 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 2 of Article 23(2) of IFR, 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 IFR.
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. IF 06.11 – TRADING COUNTERPARTY DEFAULT- TCD ADDITIONAL
DETAILS (IF 6.11)
3.12.1. Instructions concerning specific positions
Row Legal references and instructions
0010 -
0080 Breakdown by method for determining the exposure value

32
0010 Application of IFR: K-TCD
Article 26 IFR
Exposures for which the own funds requirement is calculated as K-TCD in accordance with Article 26 IFR. 0020 Alternative approaches: Exposure value determined in accordance with CRR First subparagraph of Article 25(4) IFR Exposures for which the exposure value is determined in accordance with the CRR 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 IFR 0030 SA-CCR
Article 274 CRR
0040 Simplified SA-CCR
Article 281 CRR
0050 Original exposure method
Article 282 CRR
0060 Alternative approaches: Full application of CRR framework Second subparagraph of Article 25(4) IFR Exposures for which the exposure value and the own funds requirements are determined in accordance with the CRR 0070 Memorandum item: CVA component Articles 25(5) and 26 IFR. Where an institutions applies the approach of Article 26 IFR or applies the derogation of the first subparagraph of Article 26 (5) IFR, 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 26(5), second subparagraph of IFR, the CVA component shall be determined in accordance with Title VI of Part Three CRR. 0080 of which: calculated in accordance with CRR framework
Article 25(5), second subparagraph of IFR.
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 IFR. 0090 Central governments, central banks and public sector entities 0100 Credit institutions and investment firms

33
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 IFR or the applicable provisions of the CRR.
0020 Exposure value
The exposure value as calculated in accordance with Article 27 IFR or the applicable provisions of the CRR. 0030 Replacement cost (RC)
Article 28 IFR.
0040 Potential future exposure (PFE)
Article 29 IFR.
0050 Collateral (C)
Article 30(2) and (3) IFR.
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) IFR.
3.13. IF 06.12– DAILY TRADING FLOW- ADDITIONAL DETAILS (IF 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 the first subparagraph of
Article 33(1) IFR and shall be measured pursuant Article 33(2), point (a) of
IFR.
The amount reported in this cell shall take into account Article 33(3) IFR. 0020 Total DTF - derivative trades (average amounts)
Article 33(2), point (b) in IFR
Investment firms shall report the arithmetic mean amount of DTF – derivative trades for the remaining six months according with the first subparagraph of
Article 33(1) IFR and shall be measured pursuant Article 33(2), point (b) of
IFR.
The amount reported in this cell shall take into account Article 33(3) IFR.

34
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. IF 06.13– AVERAGE VALUE OF TOTAL DAILY TRADING FLOWS (IF 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) IFR and shall be measured pursuant
Article 33(2), point (a) of IFR.
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) IFR and shall be measured pursuant Article 33(2), point (b) of IFR. 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) IFR.
4. CONCENTRATION RISK REPORTING
4.1. General Remarks
18. 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)(31) IFR where:
‘concentration risk’ or ‘CON’ means the exposures in the trading book of an

35 investment firm to a client or a group of connected clients the value of which exceeds the limits in Article 37(1).
19. 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.
20. Although the wording in Article 54(2) IFR also refers to ‘concentration risk’, the
definition of this included in Article 4(1)(31) IFR and the limits set out Article 37(1) IFR are not compatible with the items described in Article 54(2), points (b) to (e) of IFR. 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.
21. Concentration risk reporting consists of the IF 07.00 and IF 08.00 templates and, in
accordance with Article 54(2) IFR, firms that meet the conditions for qualifying as a small and interconnected investment firm set out in Article 12(1) IFR are not required to report information in this regard.
4.2. IF 07.00 – K-CON ADDITIONAL DETAILS (IF7)
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) IFR. 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’ or ‘Non-LEI code’. The type of code shall always be reported. 0030 Name

36
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 counterparties 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:

a credit institution or a group of connected clients that includes a credit
institution;
an investment firm or a group of connected clients that includes an
investment firm;
other clients.
0060-0110 Trading Book Exposures exceeding the limits set in Article 37(1) IFR The investment firm shall report information on each exposure exceeding the limits set out in Article 37(1) IFR in accordance with Article 36 and 39 IFR. 0060 Exposure Value (EV)
Article 36 IFR.
0070 Exposure Value (as % of Own Funds)
Exposure calculated in accordance with Article 36 IFR 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, point (2), paragraph two IFR 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, point (2) IFR for the relevant exposure.
4.3. IF 08.01 – LEVEL OF CONCENTRATION RISK - CLIENT MONEY HELD (IF 8.1)
4.3.1. Instructions concerning specific columns
Columns Legal references and instructions

37
0010-0060 Total CMH
Article 54(2), point (b) IFR
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’ or ‘Non-LEI code’. 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 counterparties or "2" for the reporting of exposures to groups of connected counterparties. 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. IF 08.02 – LEVEL OF CONCENTRATION RISK - ASSETS SAFEGUARDED AND
ADMINISTERED (IF 8.2)
4.4.1. Instructions concerning specific columns
Columns Legal references and instructions
0010-0060 Total ASA
Article 54(2), point (c) IFR
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

38
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’ or ‘Non-LEI code’. 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 counterparties or "2" for the reporting of exposures to groups of connected counterparties. 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. IF 08.03 – LEVEL OF CONCENTRATION RISK -TOTAL OWN CASH DEPOSITED
(IF 8.3)
4.5.1. Instructions concerning specific columns
Columns Legal references and instructions
0010-0060 Total Own Cash Deposited
Article 54(2), point (d) and (f) IFR
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.

39
0020 Type of code
The investment firms shall identify the type of code reported in column 0010 as a ‘LEI code’ or ‘Non-LEI code’. 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 counterparties or "2" for the reporting of exposures to groups of connected counterparties. 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. IF 08.04 – LEVEL OF CONCENTRATION RISK - TOTAL EARNINGS (IF 8.4)
4.6.1. Instructions concerning specific columns
Columns Legal references and instructions
0010-0080 Total Earnings
Article 54(2), point (e) and (f) IFR.
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’ or ‘Non-LEI code’. 0030 Name

40
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 IFR 0070 Interest and dividend income – Amount generated from positions in the non-trading book 0080 Interest and dividend income – of which: amount generated from offbalance 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. IF 08.05 – TRADING BOOK EXPOSURES (IF 8.5)
4.7.1. Instructions concerning specific columns
Columns Legal references and instructions
0010-0050 Trading book exposures
Article 54(2), point (a) IFR.
The firm shall report information in relation to the five, if available, largest trading book exposures. 0010 Code

41
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’ or ‘Non-LEI code’. 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 counterparties or "2" for the reporting of exposures to groups of connected counterparties. 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. IF 08.06 – NON-TRADING BOOK AND OFF-BALANCE SHEET ITEMS (IF 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) IFR.
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’ or ‘Non-LEI code’. 0030 Name

42
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 counterparties or "2" for the reporting of exposures to groups of connected counterparties. 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 offbalance 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 IF 09.00 – LIQUIDITY REQUIREMENTS (IF 9)
5.1.1 Instructions concerning specific positions
Row Legal references and instructions
0010 Liquidity Requirement
Article 43(1) IFR.
0020 Client guarantees
Article 45 IFR.
The value reported shall be the 1,6 % of the total amount of guarantees provided to the clients pursuant Article 45 IFR. 0030 Total liquid assets
Article 43(1), point (a) and Article 43(2) IFR.
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) IFR.
0050 Total eligible receivables due within 30 days
Article 43(3) IFR and Article 43(2) IFR.
0060 Level 1 assets
Article 10 of Delegated Regulation (EU) 2015/61 and Article 43(2) IFR.
Total liquid assets shall be reported after application of relevant haircuts.

43
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), point (iii) of Delegated Regulation (EU) 2015/61.
0090 Central bank assets
Article 10(1), point (b), points (i) and (ii) of Delegated Regulation (EU)
2015/61.
0100 Central government assets
Article 10(1), point (c), points (i) and (ii) of Delegated Regulation (EU)
2015/61.
0110 Regional government/local authorities assets
Article 10(1), point (c), points (iii) and (iv) of Delegated Regulation (EU)
2015/61.
0120 Public Sector Entity assets
Article 10(1), point (c), points (v) and (vi) 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), points (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) IFR.
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.

44
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) IFR.
0240 Asset-backed securities
Article 12(1), point (a), Article 13(2),points (g),(i),(ii),(iii), (iv),(v) of article
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 IFR.
0300 Total other eligible financial instruments
Article 43(1), point (c) of IFR.

Annex II - Reporting for Class 2 investment firms

Lineage: In force