Annex IX - Reporting on group capital test

EN
ANNEX IX
“ANNEX IX
REPORTING ON GROUP CAPITAL TEST
Table of contents
PART I: GENERAL INSTRUCTIONS ............................................................................................. 2
1. Structure and conventions............................................................................................................... 2
1.1 Structure........................................................................................................................................ 2
1.2 Numbering convention.................................................................................................................. 2
1.3 Sign convention ............................................................................................................................ 2
1.4 Abbreviations................................................................................................................................ 2
PART II: TEMPLATE RELATED INSTRUCTIONS.......................................................................3
1. OWN FUNDS: LEVEL, COMPOSITION, REQUIREMENTS AND CALCULATION......3
1.1 General Remarks........................................................................................................................... 3
1.2. IF 11.01 - OWN FUNDS COMPOSITION - GROUP CAPITAL TEST (IF11.1)......................3
1.2.1. Instructions concerning specific positions..........................................................................3
1.3 IF 11.02 OWN FUNDS REQUIREMENTS - GROUP CAPITAL TEST (IF11.2) .....................8
1.3.1. Instructions concerning specific positions..........................................................................8
1.4 IF 11.03 INFORMATION ON SUBSIDIARIES UNDERTAKINGS (IF11.3)...........................9
1.4.1. Instructions concerning specific positions..........................................................................9

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 Implementing 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 Abbreviations
9. 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’.

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 IF 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 IF 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 IF 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. IF 11.01 - OWN FUNDS COMPOSITION - GROUP CAPITAL TEST (IF11.1)
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 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
Article 26(1), point (a) 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 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), Article 26(2) and Article 36(1),point (a) of CRR
Article 26(2) CRR 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 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
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 IFR
Articles 32 to 35 CRR
0130 Other funds
Article 9(4) IFR
0145 (-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1
Article 8(2), point (a) of IFR, Article 36(1) CRR 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 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. 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
Article 9(1), point (i) of IFR
Article 4(1), point (115), Article 36(1), point (b) 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 parent does not have a significant investment
Article 9(2), point (c) of IFR
Article 36(1), point (h) of CRR
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 IFR
Article 36(1), point (e) of CRR
0280 (-) Other deductions
The sum of all other deductions in accordance with Article 36(1) CRR, with the exception of deductions in accordance with Article 36(1), point (i) of CRR, 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
  (Paragraphs 1, 2 and 3 of Article 483 and Articles 484 to 487 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
  Article 61 CRR
  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". 0335 (-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1
  Article 56 CRR, 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 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. 0380 (-) AT1 instruments of financial sector entities where the parent does not have a significant investment
  Article 9(2), point (c) of IFR
  Article 56, point (c) of CRR
  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 CRR, with the exception of the deductions in accordance with point (d) of Article 56 CRR, 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 CRR)
• 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 Article 36(1), point (j) of 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 0455 and 0525 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". 0455 (-) TOTAL DEDUCTIONS FROM TIER 2
  Article 66 CRR, with the exception of point (d) of that article
  0460 (-) Own T2 instruments
  Article 9(1), point (i) of IFR
  Point (b)(i) of Article 63, point (a) of Article 66, 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.

0500 (-) T2 instruments of financial sector entities where the parent does not have a significant investment
Article 9(2), point (c) of IFR
Article 66, point (c) of CRR
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 CRR)
• 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, point (e) of CRR: 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 the IFR or CRR into the calculation of the solvency ratios.
  1.3 IF 11.02 OWN FUNDS REQUIREMENTS - GROUP CAPITAL TEST (IF11.2)
  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 to the extent the parent is invested in
  Article 8(3), point (a) of IFR in conjunction with Article 36(1), point (i) CRR.
  0020 AT1 instruments of financial sector entities in the investment firm group where the parent undertaking has a significant investment in those entities to the extent the parent is invested in
  Article 8(3), point (a) of IFR in conjunction with of Article 56 point (d) CRR.
  0030 T2 instruments of financial sector entities in the investment firm group where the parent undertaking has a significant investment in those entities to the extent the parent is invested in
  Article 8(3), point (a) in conjunction with Article 66, point (d) of CRR.
  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 IFR.

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 IFR
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 IFR
0070 Total own fund requirements for the subsidiary undertakings In case of application of Article 8(4) IFR
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’ or ‘Non-LEI code’. 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. Investments by the parent undertaking
Article 8(3), point (a) of IFR
In this section, the investments of the parent undertaking in the group entities shall be reported. 0060 CET1

Article 8(3), point (a) of IFR in conjunction with Article 36(1), point (i) of CRR.
0070 AT1
Article 8(3), point (a) of IFR in conjunction with Article 56, point (d) of CRR.
0080 T2
Article 8(3), point (a) IFR in conjunction with Article 66, point (d) of CRR.
0090 Holdings
Article 8(3), point (a) of IFR.
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 IFR.
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 IFR
0120 Total own fund requirements for the subsidiary undertakings
Article 8(4) IFR
0130 Permanent minimum capital
Article 14 IFR
0140 K-factor requirement
Article 15 IFR
0150 Assets under management
Article 15(2) and Article 17 IFR
0160 Client money held - Segregated
Article 15(2) and Article 18 IFR
0170 Client money held - Non – segregated
Article 15(2) and Article 18 IFR
0180 Assets safeguarded and administered
Article 15(2) and Article 19 IFR
0190 Client orders handled - Cash trades
Article 15(2) and article 20(1) and article 20(2), point (a) of IFR
0200 Client orders handled - Derivatives Trades
Article 15(2) and article 20(1) and article 20(2), point (b) of IFR
0210 K-Net positions risk requirement
Article 22 IFR
0220 Clearing margin given
Article 23(2) IFR

0230 Trading counterparty default
Article 26 and Article 24 IFR
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) IFR. In the event of stressed market conditions, in accordance with point (c) of
Article 15(5) IFR, investment firms shall apply an adjusted coefficient as
specified in point (a) of Article 1(1) of [Draft RTS to specify adjustments to the K-DTF coefficients] Daily trading flow factor shall be calculated in accordance with point (a) of
Article 33(2) IFR
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) IFR In the event of stressed market conditions, in accordance with point (c) of
Article 15(5) IFR, investment firms shall apply an adjusted coefficient as
specified in point (b) of Article 1(1) of [Draft RTS to specify adjustments to the K-DTF coefficients] Daily trading flow factor shall be calculated in accordance with point (b) of
article 33(2) IFR
0260 K-Concentration risk requirement
Article 37(2), 39 and Article 24 IFR
0270 Fixed overhead requirements
Article 13 IFR