Commission Implementing Regulation (EU) 2021/2284 on supervisory reporting and disclosures of investment firms

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

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

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

OJ L 458, 22.12.2021, pp. 48–172 (BG, ES, CS, DA, DE, ET, EL, EN, FR, GA, HR, IT, LV, LT, HU, MT, NL, PL, PT, RO, SK, SL, FI, SV)

In force: This act has been changed. Current consolidated version:

20/11/2025

ELI: http://data.europa.eu/eli/reg_impl/2021/2284/oj

Official Journal

Language 1

Language 2

Language 3

22.12.2021

EN

Official Journal of the European Union

L 458/48

COMMISSION IMPLEMENTING REGULATION (EU) 2021/2284

of 10 December 2021

laying down implementing technical standards for the application of Regulation (EU) 2019/2033 of the European Parliament and of the Council with regard to supervisory reporting and disclosures of investment firms

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

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

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

Whereas:

(1)

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

(2)

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

(3)

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

(4)

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

(5)

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

(6)

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

(7)

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

(8)

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

(9)

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

HAS ADOPTED THIS REGULATION:

CHAPTER I

SUPERVISORY REPORTING

Article 1

Reporting reference dates

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

(a)

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

(b)

annual reporting: 31 December.

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

Article 2

Reporting remittance dates

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

(a)

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

(b)

annual reporting: 11 February.

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

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

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

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

Article 3

Application of reporting requirements on an individual basis

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

Article 4

Application of reporting requirements on a consolidated basis

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

Article 5

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

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

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

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

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

Article 6

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

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

Article 7

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

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

Article 8

Data precision and information associated with submissions

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

(a)

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

(b)

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

(i)

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

(ii)

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

(iii)

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

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

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

(a)

reporting reference date and reference period;

(b)

reporting currency;

(c)

accounting standard;

(d)

Legal Entity Identifier (LEI) of the reporting institution;

(e)

scope of consolidation.

CHAPTER II

PUBLIC DISCLOSURE BY INVESTMENT FIRMS

Article 9

Disclosure principles

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

(a)

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

(b)

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

(c)

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

(d)

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

Article 10

Disclosure of own funds by investment firms

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

Article 11

General disclosure provisions

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

(a)

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

(b)

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

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

(a)

disclosure reference date and reference period;

(b)

disclosure currency;

(c)

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

(d)

where relevant, the accounting standard;

(e)

where relevant, the scope of consolidation.

CHAPTER III

FINAL PROVISIONS

Article 12

Entry into force

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

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 10 December 2021.

For the Commission

The President

Ursula VON DER LEYEN

( 1 )

OJ L 314, 5.12.2019, p. 1 .

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

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

ANNEX I

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

INVESTMENT FIRMS TEMPLATES

Template number

Template code

Name of the template /group of templates

Short name

OWN FUNDS: level, composition, requirements and calculation

1

I 01.00

Own funds

I1

2,1

I 02.01

Own funds requirements

I2.1

2,2

I 02.02

Capital ratios

I2.2

3

I 03.00

Fixed overheads requirements calculation

I3

4

I 04.00

Total K-Factor requirement calculations

I4

SMALL AND NON-INTERCONNECTED INVESTMENT FIRMS

5

I 05.00

Level of activity - Thresholds review

I5

K-FACTOR REQUIREMENTS - ADDITIONAL DETAILS

6,1

I 06.01

Assets under management - AUM additional detail

I6.1

6,2

I 06.02

Average value of total monthly AUM

I6.2

6,3

I 06.03

Client money held - CMH additional detail

I6.3

6,4

I 06.04

Average value of total daily CMH

I6.4

6,5

I 06.05

Assets safeguarded and administered - ASA additional detail

I6.5

6,6

I 06.06

Average value of total daily ASA

I6.6

6,7

I 06.07

Client orders handled - COH additional detail

I6.7

6,8

I 06.08

Average value of total daily COH

I6.8

6,9

I 06.09

K-Net position risk - K-NPR additional detail

I6.9

6,1

I 06.10

Clearing Margin given - CMG additional detail

I6.10

6,11

I 06.11

Trading counterparty default - TCD additional detail

I6.11

6,12

I 06.12

Daily trading flow - DTF additional detail

I6.12

6,13

I 06.13

Average value of total daily DTF

I6.13

CONCENTRATION RISK

7

I 07.00

K-CON - additional detail

I7

8,1

I 08.01

Level of concentration risk - Client money held

I8.1

8,2

I 08.02

Level of concentration risk - Assets seafeguarded and administered

I8.2

8,3

I 08.03

Level of concentration risk -Total own cash deposited

I8.3

8,4

I 08.04

Level of concentration risk - Total earnings

I8.4

8,5

I 08.05

Trading book exposures

I8.5

8,6

I 08.06

Non-trading book and off-balance sheet items

I8.6

LIQUIDITY REQUIREMENTS

9

I 09.00

Liquidity requirements

I9

I 01.00 - OWN FUNDS COMPOSITION (I1)

Rows

Item

Amount

0010

0010

OWN FUNDS

0020

TIER 1 CAPITAL

0030

COMMON EQUITY TIER 1 CAPITAL

0040

Fully paid up capital instruments

0050

Share premium

0060

Retained earnings

0070

Previous years retained earnings

0080

Profit eligible

0090

Accumulated other comprehensive income

0100

Other reserves

0110

Minority interest given recognition in CET1 capital

0120

Adjustments to CET1 due to prudential filters

0130

Other funds

0140

(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1

0150

(-) Own CET1 instruments

0160

(-) Direct holdings of CET1 instruments

0170

(-) Indirect holdings of CET1 instruments

0180

(-) Synthetic holdings of CET1 instruments

0190

(-) Losses for the current financial year

0200

(-) Goodwill

0210

(-) Other intangible assets

0220

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

0230

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

0240

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

0250

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

0260

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

0270

(-) Defined benefit pension fund assets

0280

(-) Other deductions

0290

CET1: Other capital elements, deductions and adjustments

0300

ADDITIONAL TIER 1 CAPITAL

0310

Fully paid up, directly issued capital instruments

0320

Share premium

0330

(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1

0340

(-) Own AT1 instruments

0350

(-) Direct holdings of AT1 instruments

0360

(-) Indirect holdings of AT1 instruments

0370

(-) Synthetic holdings of AT1 instruments

0380

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

0390

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

0400

(-) Other deductions

0410

Additional Tier 1: Other capital elements, deductions and adjustments

0420

TIER 2 CAPITAL

0430

Fully paid up, directly issued capital instruments

0440

Share premium

0450

(-) TOTAL DEDUCTIONS FROM TIER 2

0460

(-) Own T2 instruments

0470

(-) Direct holdings of T2 instruments

0480

(-) Indirect holdings of T2 instruments

0490

(-) Synthetic holdings of T2 instruments

0500

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

0510

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

0520

Tier 2: Other capital elements, deductions and adjustments

I 02.01 - OWN FUNDS REQUIREMENTS (I2.1)

Rows

Item

Amount

0010

0010

Own Funds requirement

0020

Permanent minimum capital requirement

0030

Fixed overhead requirement

0040

Total K-Factor Requirement

Transitional own funds requirements

0050

Transitional requirement based on CRR own funds requirements

0060

Transitional requirement based on fixed overhead requirements

0070

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

0080

Transitional requirement based on initial capital requirement at authorisation

0090

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

0100

Transitional requirement of at least 250 000 EUR

Memorandum items

0110

Additional own funds requirement

0120

Additional own funds guidance

0130

Total own funds requirement

IF 02.02 - CAPITAL RATIOS (IF2.2)

Rows

Item

Amount

0010

0010

CET 1 Ratio

0020

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

0030

Tier 1 Ratio

0040

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

0050

Own Funds Ratio

0060

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

I 03.00 - FIXED OVERHEADS REQUIREMENT CALCULATION (I3)

Amount

Rows

Item

0010

0010

Fixed Overhead Requirement

0020

Annual Fixed Overheads of the previous year after distribution of profits

0030

Total expenses of the previous year after distribution of profits

0040

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

0050

(-)Total deductions

0060

(-)Staff bonuses and other remuneration

0070

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

0080

(-)Other discretionary payments of profits and variable remuneration

0090

(-)Shared commission and fees payable

0100

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

0110

(-)Fees to tied agents

0120

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

0130

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

0140

(-)Expenditures from taxes

0150

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

0160

(-)Contract based profit and loss transfer agreements

0170

(-)Expenditure on raw materials

0180

(-)Payments into a fund for general banking risk

0190

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

0200

Projected fixed overheads of the current year

0210

Variation of fixed overheads (%)

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

Factor amount

K-factor requirement

Rows

Item

0010

0020

0010

TOTAL K-FACTOR REQUIREMENT

0020

Risk to client

0030

Assets under management

0040

Client money held - Segregated

0050

Client money held - Non - segregated

0060

Assets safeguarded and administered

0070

Client orders handled - Cash trades

0080

Client orders handled - Derivatives Trades

0090

Risk to market

0100

K-Net positions risk requirement

0110

Clearing margin given

0120

Risk to firm

0130

Trading counterparty default

0140

Daily trading flow - Cash trades

0150

Daily trading flow - Derivative trades

0160

K-Concentration risk requirement

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

Amount

Rows

Item

0010

0010

(Combined) assets under management

0020

(Combined) client orders handled - Cash trades

0030

(Combined) client orders handled - Derivatives

0040

Assets safeguarded and administered

0050

Client money held

0060

Daily trading flow - cash trades and derivative trades

0070

Net position risk

0080

Clearing margin given

0090

Trading counterparty default

0100

(Combined) on - and off-balance sheet total

0110

Combined total annual gross revenue

0120

Total annual gross revenue

0130

(-) Intragroup part of the annual gross revenue

0140

Of which: revenue from reception and transmission of orders

0150

Of which: revenue from execution of orders

0160

Of which: revenue from dealing on own account

0170

Of which: revenue from portfolio management

0180

Of which: revenue from investment advice

0190

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

0200

Of which: revenue from placing without a firm commitment basis

0210

Of which: revenue from operation of an MTF

0220

Of which: revenue from operation of an OTF

0230

Of which: revenue from safekeeping and administration of financial instruments

0240

Of which: revenue from granting credits or loans to investors

0250

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

0260

Of which: revenue from foreign exchange services

0270

Of which: investment research and financial analysis

0280

Of which: revenue from services related to underwriting

0290

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

I 06.00

K -Factor - additional details (I 06)

I 06.01

Assets under management - AUM additional details

Factor amount

Month t

Month t-1

Month t-2

0010

0020

0030

0010

Total AUM (average amounts)

0020

Of which: AUM - Discretionary portfolio management

0030

Of which: AUM formally delegated to another entity

0040

AUM - Ongoing non-discretionary advice

I 06.02

Monthly assets under management

End-of-month values

Month t-3

Month t-4

Month t-5

Month t-6

Month t-7

Month t-8

Month t-9

Month t-10

Month t-11

Month t-12

Month t-13

Month t-14

Month t-15

Month t-16

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0010

Total monthly assets under management

0020

Monthly assets under management - discretionary portfolio management

0030

of which: assets formally delegated to another entity

0040

Monthly assets under management - Ongoing non-discretionary advice

I 06.03

Client money held - CMH additional details

Factor amount

Month t

Month t-1

Month t-2

0010

0020

0030

0010

CMH - Segregated (average amounts)

0020

CMH - Non-segregated (average amounts)

I 06.04

Average value of total daily client money held

Monthly averages of total daily client money held values

Month t-3

Month t-4

Month t-5

Month t-6

Month t-7

Month t-8

Month t-9

Month t-10

0010

0020

0030

0040

0050

0060

0070

0080

0010

Total daily client money held - Segregated

0020

Total daily client money held - Non-segregated

I 06.05

Assets safeguarded and administered - ASA additional details

Factor amount

Month t

Month t-1

Month t-2

0010

0020

0030

0010

Total ASA (average amounts)

0020

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

0030

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

0040

Of which: assets formally delegated to another financial entity

0050

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

I 06.06

Average value of total daily assets safeguarded and administered

Monthly averages of total daily ASA values

Month t-3

Month t-4

Month t-5

Month t-6

Month t-7

Month t-8

Month t-9

Month t-10

0010

0020

0030

0040

0050

0060

0070

0080

0010

Assets safeguarded and administered

0020

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

0030

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

0040

Of which: assets formally delegated to another financial entity

0050

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

I 06.07

Client orders handled - COH additional details

Factor amount

Month t

Month t-1

Month t-2

0010

0020

0030

0010

COH - Cash trades (average amounts)

0020

Of which: Execution of client orders

0030

Of which: Reception and transmission of client orders

0040

COH - Derivative (average amounts)

0050

Of which: Execution of client orders

0060

Of which: Reception and transmission of client orders

I 06.08

Average value of total daily client orders handled

Monthly averages of total daily client orders handled values

Month t-3

Month t-4

Month t-5

Month t-6

Month t-7

0010

0020

0030

0040

0050

0010

Total daily client orders handled - Cash value

0020

Of which: Execution of client orders

0030

Of which: Reception and transmission of client orders

0040

Total daily client orders handled - Derivatives

0050

Of which: Execution of client orders

0060

Of which: Reception and transmission of client orders

I 06.09

K-Net position risk - K-NPR additional detail

K - factor requirement / amount

0010

0010

Total standardised approach

0020

Position risk

0030

Equity instruments

0040

Debt instruments

0050

Of which: securitisations

0055

Particular approach for position risk in CIUs

0060

Foreign exchange risk

0070

Commodities risk

0080

Internal model approach

I 06.10

Clearing Margin given - CMG additional detail

Clearing member

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

Name

Code

Type of code

the highest amount of total margin

the second highest amount of total margin

the third highest amount of total margin

0010

0020

0030

0040

0050

0060

I 06.11

Trading counterparty default - TCD additional details

K - factor requirement

Exposure value

Replacement cost (RC)

Potential future exposure (PFE)

Collateral (C)

0010

0020

0030

0040

0050

Breakdown by method for determining the exposure value

0010

Application of IFR: K-TCD

0020

Alternative approaches: Exposure value determined in accordance with CRR

0030

SA-CCR

0040

Simplified SA-CCR

0050

Original exposure method

0060

Alternative approaches: Full application of CRR framework

0070

Memorandum item: CVA component

0080

of which: calculated in accordance with CRR framework

Breakdown by type of counterparty

0090

Central governments, central banks and public sector entities

0100

Credit institutions and investment firms

0110

Other counterparties

I 06.12

Daily trading flow - DTF additional details

Factor amount

Month t

Month t-1

Month t-2

0010

0020

0030

0010

Total DTF - cash trades (average amounts)

0020

Total DTF - derivative trades (average amounts)

I 06.13

Average value of total daily trading flows

Monthly averages of total daily trading flow values

Month t-3

Month t-4

Month t-5

Month t-6

Month t-7

Month t-8

Month t-9

Month t-10

0010

0020

0030

0040

0050

0060

0070

0080

0010

Daily trading flow - cash trades

0020

Daily trading flow - derivative trades

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

Counterparty ID

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

Code

Type of code

Name

Group/Individual

Counterparty Type

Exposure Value (EV)

Exposure Value (as % of Own Funds)

Own Funds Requirement of total exposure (OFR)

Exposure Value Excess (EVE)

Duration of the Excess (in days)

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

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

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

I 08.01

Level of concentration risk - Client money held

Institutions

Total CMH at reporting date

Code

Type of code

Name

Group/Individual

Percentage of client money held at this institution

0010

0020

0030

0040

0050

0060

I 08.02

Level of concentration risk - Assets seafeguarded and administered

Institutions

Total ASA at reporting date

Code

Type of code

Name

Group/Individual

Percentage of client securities deposited at this institution

0010

0020

0030

0040

0050

0060

I 08.03

Level of concentration risk -Total own cash deposited

Institution

Firm's own cash deposited - Top 5 exposures

Code

Type of code

Name

Group/Individual

Amount of firm's cash deposits at the institution

Percentage of firm's own cash deposits at the institution

0010

0020

0030

0040

0050

0060

I 08.04

Level of concentration risk - Total earnings

Client

Earnings - Top 5 exposures

Code

Type of code

Name

Group/Individual

Total earnings from this client

Interest and dividend income

Fee and commission and other income

Amount generated from positions in the trading book

Amount generated from positions in the non-trading book

of which: amount generated from off-balance sheet items

Percentage of interest and dividend income from this client

Amount

Percentage of fee and commission and other income from this client

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

I 08.05

Trading book exposures

Counterparty

Top 5 trading book exposures

Code

Type of code

Name

Group/Individual

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

0010

0020

0030

0040

0050

I 08.06

Non-trading book and off-balance sheet items

Counterparty

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

Code

Type of code

Name

Group/Individual

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

0010

0020

0030

0040

0050

I 09.00 - LIQUIDITY REQUIREMENTS (I9)

Amount

Rows

Item

0010

0010

Liquidity Requirement

0020

Client guarantees

0030

Total liquid assets

0040

Unencumbered short term deposits

0050

Total eligible receivables due within 30 days

0060

Level 1 assets

0070

Coins and banknotes

0080

Withdrawable central bank reserves

0090

Central bank assets

0100

Central government assets

0110

Regional government/local authorities assets

0120

Public Sector Entity assets

0130

Recognisable domestic and foreign currency central government and central bank assets

0140

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

0150

Multilateral development bank and international organisations assets

0160

Extremely high quality covered bonds

0170

Level 2A assets

0180

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

0190

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

0200

High quality covered bonds (CQS2)

0210

High quality covered bonds (Third Country, CQS1)

0220

Corporate debt securities (CQS1)

0230

Level 2B assets

0240

Asset-backed securities

0250

Corporate debt securities

0260

Shares (major stock index)

0270

Restricted-use central bank committed liquidity facilities

0280

High quality covered bonds (RW35 %)

0290

Qualifying CIU shares/units

0300

Total other eligible financial instruments

ANNEX II

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

Table of contents

PART I:

GENERAL INSTRUCTIONS

68

Structure and conventions

68

1.1

Structure

68

1.2

Numbering convention

68

1.3

Sign convention

68

1.4

Prudential consolidation

68

PART II:

TEMPLATE RELATED INSTRUCTIONS

69

OWN FUNDS: LEVEL, COMPOSITION, REQUIREMENTS AND CALCULATION

69

1.1

General Remarks

69

1.2.

I 01.00 – OWN FUNDS COMPOSITION (I 1)

69

1.2.1.

Instructions concerning specific positions

69

1.3.

I 02.01 – OWN FUND REQUIREMENTS (I 2.1)

76

1.3.1.

Instructions concerning specific positions

76

1.4.

I 02.02 – CAPITAL RATIOS (I 2.2)

78

1.4.1.

Instructions concerning specific positions

78

1.5.

I 03.00 – FIXED OVERHEADS REQUIREMENT CALCULATION (I 3)

78

1.5.1.

Instructions concerning specific positions

78

1.6.

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

81

1.6.1.

Instructions concerning specific positions

81

SMALL AND NON-INTERCONNECTED INVESTMENT FIRMS

83

2.1.

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

83

2.1.1

Instructions concerning specific positions

83

K-FACTOR REQUIREMENTS – ADDITIONAL DETAILS

86

3.2.

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

86

3.2.1.

Instructions concerning specific positions

80

3.3.

I 06.02 – MONTHLY ASSETS UNDER MANAGEMENT (I 6.2)

86

3.3.1.

Instructions concerning specific positions

87

3.4.

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

87

3.4.1.

Instructions concerning specific positions

88

3.5.

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

89

3.5.1.

Instructions concerning specific positions

89

3.6.

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

89

3.6.1.

Instructions concerning specific positions

89

3.7.

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

90

3.7.1.

Instructions concerning specific positions

90

3.8.

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

91

3.8.1.

Instructions concerning specific positions

91

3.9.

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

93

3.9.1.

Instructions concerning specific positions

91

3.10.

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

93

3.10.1.

Instructions concerning specific positions

93

3.11.

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

94

3.11.1

Instructions concerning specific positions

94

3.12.

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

95

3.12.1.

Instructions concerning specific positions

95

3.13.

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

96

3.13.1.

Instructions concerning specific positions

96

3.14.

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

98

3.14.1.

Instructions concerning specific positions

98

CONCENTRATION RISK REPORTING

98

4.1.

General Remarks

98

4.2.

I 07.00 – K-CON ADDITIONAL DETAILS (I7)

99

4.2.1.

Instructions concerning specific positions

99

4.3.

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

99

4.3.1.

Instructions concerning specific columns

99

4.4.

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

101

4.4.1.

Instructions concerning specific columns

101

4.5.

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

101

4.5.1.

Instructions concerning specific columns

101

4.6.

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

102

4.6.1.

Instructions concerning specific columns

102

4.7.

I 08.05 – TRADING BOOK EXPOSURES (I 8.5)

103

4.7.1.

Instructions concerning specific columns

103

4.8.

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

104

4.8.1.

Instructions concerning specific columns

104

LIQUIDITY REQUIREMENTS

105

5.1

I 09.00 – LIQUIDITY REQUIREMENTS (I 9)

105

5.1.1.

Instructions concerning specific positions

106

PART I:

GENERAL INSTRUCTIONS

1. Structure and conventions

1.1 Structure

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

(a)

Own funds;

(b)

Own funds requirements calculations;

(c)

Fixed overheads requirements calculation;

(d)

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

(e)

K-factor requirements calculations;

(f)

Concentration risk requirements;

(g)

Liquidity requirements.

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

1.2 Numbering convention

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 Prudential consolidation

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

PART II:

TEMPLATE RELATED INSTRUCTIONS

OWN FUNDS: LEVEL, COMPOSITION, REQUIREMENTS AND CALCULATION

1.1 General Remarks

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

(a)

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

(b)

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

(c)

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

(d)

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

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

1.2. I 01.00 – OWN FUNDS COMPOSITION (I 1)

1.2.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

OWN FUNDS

Article 9(1) of Regulation (EU) 2019/2033.

The own funds of an investment firm shall consist of the sum of its Tier 1 capital and Tier 2 capital.

0020

TIER 1 CAPITAL

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

0030

COMMON EQUITY TIER 1 CAPITAL

Article 9(1) of Regulation (EU) 2019/2033.

Article 50 of Regulation (EU) No 575/2013.

0040

Fully paid up capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 26(1), point (a), and Articles 27 to 31 of Regulation (EU) No 575/2013.

Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of Regulation (EU) No 575/2013) shall be included.

The share premium related to the instruments shall not be included.

Capital instruments subscribed by public authorities in emergency situations shall be included if all conditions of Article 31 of Regulation (EU) No 575/2013 are fulfilled.

0050

Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 26(1), point (b), of Regulation (EU) No 575/2013.

Share premium has the same meaning as under the applicable accounting standard.

The amount to be reported in this item shall be the part related to the "Paid up capital instruments".

0060

Retained earnings

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 26(1), point (c), of Regulation (EU) No 575/2013.

Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits.

The total sum of rows 0070 and 0080 shall be reported.

0070

Previous years retained earnings

Article 4(1), point (123) and Article 26(1), point (c), of Regulation (EU) No 575/2013.

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

0080

Profit eligible

Article 4(1), point (121), and Article 26(2) of Regulation (EU) No 575/2013.

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

0090

Accumulated other comprehensive income

Article 9(1), point (i), of Regulation (EU) 2019/2033.

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

0100

Other reserves

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 4(1), point (117), and Article 26(1), point (e), of Regulation (EU) No 575/2013.

The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.

0110

Minority interest given recognition in CET1 capital

Articles 84(1), 85(1) and 87(1) of Regulation (EU) No 575/2013.

Sum of all the amounts of minority interests of subsidiaries that is included in consolidated CET1.

0120

Adjustments to CET1 due to prudential filters

Article 9(1) point (i), of Regulation (EU) 2019/2033.

Articles 32 to 35 of Regulation (EU) No 575/2013.

0130

Other funds

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

0140

(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1

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

0150

(-) Own CET1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013.

Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 of Regulation (EU) No 575/2013.

Holdings on shares included as "Capital instruments not eligible" shall not be reported in this row.

The amount to be reported shall include the share premium related to the own shares.

0160

(-) Direct holdings of CET1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013

Common Equity Tier 1 instruments held by the investment firm.

0170

(-) Indirect holdings of CET1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013.

Common Equity Tier 1 instruments held by the investment firm.

0180

(-) Synthetic holdings of CET1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

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

0190

(-) Losses for the current financial year

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

0200

(-) Goodwill

Article 9(1), point (i), of Regulation (EU) 2019/2033.

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

0210

(-) Other intangible assets

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 4(1), point (115), Article 36(1), point (b), and Article 37, point (a), of Regulation (EU) No 575/2013.

Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also pursuant to the applicable accounting standard.

0220

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

Article 9(2), point (a), of Regulation (EU) 2019/2033.

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

0230

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

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

0240

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

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

0250

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

Article 9(2), point (c), of Regulation (EU) 2019/2033.

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

0260

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

Article 9(2), point (d), of Regulation (EU) 2019/2033.

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

0270

(-)Defined benefit pension fund assets

Article 9(2), point (b), of Regulation (EU) 2019/2033.

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

0280

(-) Other deductions

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

0290

CET1: Other capital elements, deductions and adjustments

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

—

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

—

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

—

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

—

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

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

0300

ADDITIONAL TIER 1 CAPITAL

Article 9(1) of Regulation (EU) 2019/2033.

Article 61 of Regulation (EU) No 575/2013.

The total sum of rows 0310 – 0330 and 0410 shall be reported.

0310

Fully paid up, directly issued capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 51, point (a), and Articles 52, 53 and 54 of Regulation (EU) No 575/2013.

The amount to be reported shall not include the share premium related to the instruments

0320

Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 51, point (b), of Regulation (EU) No 575/2013.

Share premium has the same meaning as under the applicable accounting standard.

The amount to be reported in this item shall be the part related to the "Paid up capital instruments".

0330

(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1

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

The total sum of rows 0340 and 0380 – 0400 shall be reported.

0340

(-) Own AT1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 52(1), point (b), Article 56, point (a), and Article 57 of Regulation (EU) No 575/2013.

Own AT1 instruments held by the investment firm at the reporting date. Subject to exceptions in Article 57 of Regulation (EU) No 575/2013.

The amount to be reported shall include the share premium related to the own shares.

0350

(-) Direct holdings of AT1 instruments

Article 9(2), point (c), of Regulation (EU) 2019/2033.

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

0360

(-) Indirect holdings of AT1 instruments

Article 9(2), point (c), of Regulation (EU) 2019/2033.

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

0370

(-) Synthetic holdings of AT1 instruments

Article 9(2), point (c), of Regulation (EU) 2019/2033.

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

0380

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

Article 9(2), point (c), of Regulation (EU) 2019/2033.

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

0390

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

Article 9(2), point (c), of Regulation (EU) 2019/2033.

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

0400

(-) Other deductions

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

0410

Additional Tier 1: Other capital elements, deductions and adjustments

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

—

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

—

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

—

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

—

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

—

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

—

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

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

0420

TIER 2 CAPITAL

Article 9(1) of Regulation (EU) 2019/2033.

Article 71 of Regulation (EU) No 575/2013.

The total sum of rows 0430 to 0450 and 0520 shall be reported.

0430

Fully paid up, directly issued capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 62, point (a), and Articles 63 and 65 of Regulation (EU) No 575/2013.

The amount to be reported shall not include the share premium related to the instruments.

0440

Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 62, point (b), and Article 65 of Regulation (EU) No 575/2013.

Share premium has the same meaning as under the applicable accounting standard.

The amount to be reported in this item shall be the part related to the "Paid up capital instruments".

0450

(-) TOTAL DEDUCTIONS FROM TIER 2

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

0460

(-) Own T2 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

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

Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in Article 67 of Regulation (EU) No 575/2013.

Holdings on shares included as "Capital instruments not eligible" shall not be reported in this row.

The amount to be reported shall include the share premium related to the own shares.

0470

(-) Direct holdings of T2 instruments

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

0480

(-) Indirect holdings of T2 instruments

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

0490

(-) Synthetic holdings of T2 instruments

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

0500

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

Article 9(2), point (c), of Regulation (EU) 2019/2033.

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

0510

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

Article 4(1), point (27), Article 66, point (d), and Articles 68, 69 and 79 of Regulation (EU) No 575/2013.

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

0520

Tier 2: Other capital elements, deductions and adjustments

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

—

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

—

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

—

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

—

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

—

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

—

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

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

1.3. I 02.01 – OWN FUND REQUIREMENTS (I 2.1)

1.3.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

Own fund requirement

Article 11(1) of Regulation (EU) 2019/2033.

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

The amount to be reported in this row shall be the maximum amount reported in rows 0020, 0030 and 0040.

0020

Permanent minimum capital requirement

Article 14 of Regulation (EU) 2019/2033

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

0030

Fixed overhead requirement

Article 13 of Regulation (EU) 2019/2033.

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

0040

Total K-Factor Requirement

Article 15 of Regulation (EU) 2019/2033.

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

0050 – 0100

Transitional own funds requirements

0050

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

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

0060

Transitional requirement based on fixed overhead requirement

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

0070

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

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

0080

Transitional requirement based on initial capital requirement at authorisation

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

0090

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

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

0100

Transitional requirement of at least 250 000 EUR

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

0110 – 0130

Memorandum items

0110

Additional own funds requirement

Article 40 Directive (EU) 2019/2034.

Additional own funds required following the SREP.

0120

Additional own funds guidance

Article 41 of Directive (EU) 2019/2034.

Additional own funds required as additional own funds guidance.

0130

Total own funds requirement

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

1.4. I 02.02 – CAPITAL RATIOS (I 2.2)

1.4.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

CET 1 Ratio

Article 9(1), point (a), and Article 11(1) of Regulation (EU) 2019/2033.

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

This item is expressed as a percentage.

0020

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

This item shows the surplus or deficit of CET1 Capital relating to the requirement set in Article 9(1) of Regulation (EU) 2019/2033.

The transitional provisions of Article 57(3) and (4) of Regulation (EU) 2019/2033 shall not be considered for this item.

0030

Tier 1 Ratio

Article 9(1), point (b), and Article 11(1) of Regulation (EU) 2019/2033.

This item is expressed as a percentage.

0040

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

This item shows the surplus or deficit of Tier 1 Capital relating to the requirement set in Article 9(1) of Regulation (EU) 2019/2033.

The transitional provisions of Article 57(3) and (4) of Regulation (EU) 2019/2033 shall not be considered for this item.

0050

Own Funds Ratio

Article 9(1), point (c), and Article 11(1) of Regulation (EU) 2019/2033.

This item is expressed as a percentage.

0060

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

This item shows the surplus or deficit of own funds relating to the requirement set in Article 9(1) of Regulation (EU) 2019/2033.

The transitional provisions of Article 57(3) and (4) of Regulation (EU) 2019/2033 shall not be considered for this item.

1.5. I 03.00 – FIXED OVERHEADS REQUIREMENT CALCULATION (I 3)

1.5.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

Fixed Overhead Requirement

Article 13(1) of Regulation (EU) 2019/2033.

The amount reported shall be at least 25 % of the annual fixed overheads of the previous year (row 0020).

In the cases where there is a material change, the amount reported shall be the fixed overheads requirement imposed by the competent authority in accordance with Article 13(2) of Regulation (EU) 2019/2033.

In the cases specified in Article 13(3) of Regulation (EU) 2019/2033, the amount to be reported shall be the projected fixed overheads of the current year (row 0210).

0020

Annual fixed overheads of the previous year after distribution of profits

Article 13(1) of Regulation (EU) 2019/2033.

Investment firms shall report the fixed overheads of the previous year after the distribution of profits.

0030

Total expenses of the previous year after the distribution of profits

Article 13(1) of Regulation (EU) 2019/2033.

The amount to be reported shall be after the distribution of profits.

0040

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

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

0050

(-)Total deductions

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

(a)

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

(b)

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

(c)

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

(d)

losses from trading on own account in financial instruments;

(e)

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

(f)

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

(g)

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

0060

(-)Staff bonuses and other remuneration

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

Staff bonuses and other remuneration shall be considered to depend on the net profit of the investment firm in the respective year where both of the following conditions are met:

(h)

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

(i)

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

0070

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

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

Employees’, directors’ and partners’ shares in profits shall be calculated on the basis of the net profits.

0080

(-)Other discretionary payments of profits and variable remuneration

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

0090

(-)Shared commission and fees payable

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

0100

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

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

0110

(-)Fees to tied agents

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

0120

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

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

0130

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

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

0140

(-)Expenditures from taxes

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

0150

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

Losses due to trading on own account in financial instruments.

0160

(-)Contract based profit and loss transfer agreements

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

0170

(-)Expenditure on raw materials

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

0180

(-)Payments into a fund for general banking risk

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

0190

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

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

0200

Projected fixed overheads of the current year

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

0210

Variation of fixed overheads (%)

The amount shall be reported as the absolute value of:

[(Projected fixed overheads of the current year) – (Annual fixed overheads of the previous year)]/(Annual fixed overheads of the previous year).

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

1.6.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

TOTAL K-FACTOR REQUIREMENT

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

0020

Risk to client

Article 16 of Regulation (EU) 2019/2033.

The amount reported shall be the sum of rows 0030-0080.

0030

Assets under management

Article 15(2) and Article 17 of Regulation (EU) 2019/2033.

Assets under management shall contain the discretionary portfolio management and non-discretionary advisory arrangements.

0040

Client money held – Segregated

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

0050

Client money held – Non – segregated

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

0060

Assets safeguarded and administered

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

0070

Client orders handled – Cash trades

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

0080

Client orders handled – Derivatives Trades

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

0090

Risk to market

Article 21(1) of Regulation (EU) 2019/2033.

The amount reported shall be the sum of rows 0100 – 0110.

0100

K-Net positions risk requirement

Article 22 of Regulation (EU) 2019/2033.

0110

Clearing margin given

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

0120

Risk to firm

Article 24 of Regulation (EU) 2019/2033.

The amount reported shall be the sum of rows 0130 – 0160.

0130

Trading counterparty default

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

0140

Daily trading flow – Cash trades

For the purposes of K-factor requirement calculation, investment firms shall report by applying the coefficient of Article 15(2) of Regulation (EU) 2019/2033.

In the event of stressed market conditions, in accordance with Article 15(5), point (c), of Regulation (EU) 2019/2033, investment firms shall apply an adjusted coefficient as specified in Article 1(1), point (a), of the RTS to specify adjustments to the K-DTF coefficients.

The daily trading flow factor shall be calculated in accordance with Article 33(2), point (a), of Regulation (EU) 2019/2033.

0150

Daily trading flow – Derivative trades

For the purposes of the K-factor requirement calculation, investment firms shall report by applying the coefficient of Article 15(2) of Regulation (EU) 2019/2033.

In the event of stressed market conditions, in accordance with Article 15(5), point (c), of Regulation (EU) 2019/2033, investment firms shall apply an adjusted coefficient as specified in Article 1(1), point (b), of the RTS to specify adjustments to the K-DTF coefficients.

The daily trading flow factor shall be calculated in accordance with Article 33(2), point (b) of Regulation (EU) 2019/2033.

0160

K-Concentration risk requirement

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

Columns

Legal references and instructions

0010

Factor amount

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

0020

K-Factor requirement

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

SMALL AND NON-INTERCONNECTED INVESTMENT FIRMS

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

2.1.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

(Combined) assets under management

Article 12(1), point (a), of Regulation (EU) 2019/2033.

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

Investment firms shall include discretionary and non-discretionary assets under management.

The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.

0020

(Combined) client orders handled – Cash trades

Article 12(1), point (b)(i), of Regulation (EU) 2019/2033.

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

The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.

0030

(Combined) client orders handled – Derivatives

Article 12(1), point (b)(ii), of Regulation (EU) 2019/2033.

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

The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.

0040

Assets safeguarded and administered

Article 12(1), point (c), of Regulation (EU) 2019/2033.

The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.

0050

Client money held

Article 12(1), point (d), of Regulation (EU) 2019/2033.

The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.

0060

Daily trading flow – cash trades and derivative trades

Article 12(1), point (e), of Regulation (EU) 2019/2033.

The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.

0070

Net position risk

Article 12(1), point (f), of Regulation (EU) 2019/2033.

The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.

0080

Clearing margin given

Article 12(1), point (f), of Regulation (EU) 2019/2033.

The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.

0090

Trading counterparty default

Article 12(1), point (g), of Regulation (EU) 2019/2033.

The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.

0100

(Combined) on – and off-balance sheet total

Article 12(1), point (h), of Regulation (EU) 2019/2033.

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

0110

Combined total annual gross revenue

Article 12(1), point (i), of Regulation (EU) 2019/2033.

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

0120

Total annual gross revenue

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

0130

(-) Intragroup part of the annual gross revenue

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

0140

Of which: revenue from reception and transmission of orders

Article 54(1), point (d), of Regulation (EU) 2019/2033.

Article 4(1), point (2), of Directive 2014/65/EU.

0150

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

Article 54(1), point (d), of Regulation (EU) 2019/2033.

Article 4(1), point (2), of Directive 2014/65/EU.

0160

Of which: revenue from dealing on own account

Article 54(1), point (d), of Regulation (EU) 2019/2033.

Article 4(1), point (2), of Directive 2014/65/EU.

0170

Of which:revenue from portfolio management

Article 54(1), point (d), of Regulation (EU) 2019/2033.

Article 4(1), point (2), of Directive 2014/65/EU.

0180

Of which: revenue from investment advice

Article 54(1), point (d), of Regulation (EU) 2019/2033.

Article 4(1), point (2), of Directive 2014/65/EU.

0190

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

Article 54(1), point (d), of Regulation (EU) 2019/2033.

Article 4(1), point (2), of Directive 2014/65/EU.

0200

Of which: revenue from placing without a firm commitment basis

Article 54(1), point (d), of Regulation (EU) 2019/2033

Article 4(1), point (2), of Directive 2014/65/EU.

0210

Of which: revenue from operation of an MTF

Article 54(1), point (d), of Regulation (EU) 2019/2033.

Article 4(1), point (2), of Directive 2014/65/EU.

0220

Of which: revenue from operation of an OTF

Article 54(1), point (d), of Regulation (EU) 2019/2033.

Article 4(1), point (2), of Directive 2014/65/EU.

0230

Of which: revenue from safekeeping and administration of financial instruments

Article 54(1), point (d), of Regulation (EU) 2019/2033.

Article 4(1), point (3), of Directive 2014/65/EU.

0240

Of which: revenue from granting credits or loans to investors

Article 54(1), point (d), of Regulation (EU) 2019/2033.

Article 4(1), point (3), of Directive 2014/65/EU.

0250

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

Article 54(1), point (d), of Regulation (EU) 2019/2033.

Article 4(1), point (3), of Directive 2014/65/EU.

0260

Of which: revenue from foreign exchange services

Article 54(1), point (d), of Regulation (EU) 2019/2033.

Article 4(1), point (3), of Directive 2014/65/EU.

0270

Of which: investment research and financial analysis

Article 54(1), point (d), of Regulation (EU) 2019/2033.

Article 4(1), point (3), of Directive 2014/65/EU.

0280

Of which: revenue from services related to underwriting

Article 54(1), point (d), of Regulation (EU) 2019/2033.

Article 4(1), point (3), of Directive 2014/65/EU.

0290

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

Article 54(1), point (d), of Regulation (EU) 2019/2033.

Article 4(1), point (3), of Directive 2014/65/EU.

K-FACTOR REQUIREMENTS – ADDITIONAL DETAILS

3.1. General remarks

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

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

The second table contains detailed information necessary to calculate the Factor amount.

In case of AUM, this corresponds to the value of assets under management as of the last day of the month as specified in Article 17 of Regulation (EU) 2019/2033.

In the case of CMH, ASA, COH and DTF, the value reported shall correspond to the average of the daily value of the relevant indicator over the month.

3.2. I 06.01 – ASSETS UNDER MANAGEMENT – ADDITIONAL DETAILS (I 6.1)

3.2.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

Total AUM (average amounts)

Article 4(1), point (27), of Regulation (EU) 2019/2033.

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

0020

Of which: AUM – Discretionary portfolio management

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

0030

Of which: AUM formally delegated to another entity

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

0040

AUM – Ongoing non-discretionary advice

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

Columns

Legal references and instructions

0010

Factor amount – Month t

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

0020

Factor amount – Month t-1

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

0030

Factor amount – Month t-2

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

3.3. I 06.02 – MONTHLY ASSETS UNDER MANAGEMENT (I 6.2)

3.3.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

Total monthly assets under management

Article 4(1), point (27), of Regulation (EU) 2019/2033.

The total monthly assets under management as of the last business day of the relevant month as referred to in Article 17(1) of Regulation (EU) 2019/2033.

The amount reported in this row shall be the sum of rows 0020 and 0040.

0020

Monthly assets under management – discretionary portfolio management

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

0030

Of which: assets formally delegated to another entity

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

Monthly assets which management was formally delegated to another entity reported as of the last business day of the relevant month.

0040

Monthly assets under management – Ongoing non-discretionary advice

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

Columns

Legal references and instructions

0010-0140

End-of-month values

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

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

3.4.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

CMH – Segregated (average amounts)

Article 4(1), points (28) and (49), of Regulation (EU) 2019/2033 and Article 1 of the RTS on the definition of segregated account (Article 15(5), point (b), of Regulation (EU) 2019/2033).

The value reported shall be the arithmetic mean of the daily values of CMH where client money is held in segregated accounts in accordance with Article 18(1), first subparagraph of Regulation (EU) 2019/2033.

0020

CMH – Non-segregated (average amounts)

Article 4(1), points (28) and (49), of Regulation (EU) 2019/2033.

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

Columns

Legal references and instructions

0010

Factor amount – Month t

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

This amount is calculated as the arithmetic mean of daily amounts within the time period specified in Article 18(1) of Regulation (EU) 2019/2033.

0020

Factor amount – Month t-1

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

This amount is calculated as the arithmetic mean of daily amounts within the time period specified in Article 18(1) of Regulation (EU) 2019/2033.

0030

Factor amount – Month t-2

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

This amount is calculated as the arithmetic mean of daily amounts within the time period specified in Article 18(1) of Regulation (EU) 2019/2033.

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

3.5.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

Total daily client money held – Segregated

Article 4(1), points (28) and (49), of Regulation (EU) 2019/2033 and the RTS on the definition of segregated account (Article 15(5), point (b), of Regulation (EU) 2019/2033).

The value reported shall be the monthly average of the total daily client money held where client money is held in segregated accounts in accordance with Article 18(1) of Regulation (EU) 2019/2033.

0020

Total daily client money held – Non-segregated

Article 4(1), points (28) and (49), of Regulation (EU) 2019/2033

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

Columns

Legal references and instructions

0010-0080

Monthly averages of total daily client money held values

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

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

3.6.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

Total ASA (average amounts)

Article 4(1), point (29), of Regulation (EU) 2019/2033.

Article 5(1) of the RTS to specify the methods for measuring the K-factors (Article 15(5), point (a), of Regulation (EU) 2019/2033).

Total ASA value as a rolling average of the value of the total daily assets safeguarded and administered, measured at the end of each business day for the previous nine months, excluding the three most recent months in accordance with Article 19(1), first subparagraph of Regulation (EU) 2019/2033.

0020

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

Article 5(1), point (a), of the RTS to specify the methods for measuring the K-factors (Article 15(5), point (a), of Regulation (EU) 2019/2033).

Level 2 financial instruments valuated pursuant to IFRS 13.81.

0030

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

Article 5(1), point (a), of the RTS to specify the methods for measuring the K-factors (Article 15(5), point (a), of Regulation (EU) 2019/2033.

Valuation based on unobservable inputs using the best information available IFRS 13.86.

0040

Of which: assets formally delegated to another financial entity

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

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

0050

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

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

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

Columns

Legal references and instructions

0010

Factor amount – Month t

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

0020

Factor amount – Month t-1

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

0030

Factor amount – Month t-2

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

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

3.7.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

Assets safeguarded and administered

Article 4(1), point (29), of Regulation (EU) 2019/2033.

Article 5(1) of the RTS to specify the methods for measuring the K-factors (Article 15(5), point (a), of Regulation (EU) 2019/2033).

The value reported shall be the monthly average of the total daily assets safeguarded and administered in accordance with Article 19(1) of Regulation (EU) 2019/2033.

0020

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

Article 5(2) of the RTS to specify the methods for measuring the K-factors (Article 15(5), point (a), of Regulation (EU) 2019/2033.

Level 2 financial instruments valuated pursuant to IFRS 13.81.

0030

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

Article 5(1), point (a), of the RTS to specify the methods for measuring the K-factors (Article 15(5), point (a), of Regulation (EU) 2019/2033.

Valuation based on unobservable inputs using the best information available IFRS 13.86.

0040

Of which: assets formally delegated to another financial entity

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

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

0050

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

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

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

Columns

Legal references and instructions

0010-0080

Monthly averages of total daily assets safeguarded and administered values

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

3.8. I 06.07 – CLIENT ORDERS HANDLED – ADDITIONAL DETAILS (I 6.7)

3.8.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

COH – Cash trades (average amounts)

Value of COH – cash trades as defined in Article 4(1), point (30), of Regulation (EU) 2019/2033 and measured pursuant to Article 20(1) of Regulation (EU) 2019/2033.

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

0020

Of which: Execution of client orders

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

The arithmetic mean amount of COH value for the previous six months, excluding the three most recent months according with Article 20(1), first subparagraph of Regulation (EU) 2019/2033 shall be reported.

0030

Of which: Reception and transmission of client orders

COH for cash trades in relation to which the investment firm perform the service of reception and transmission of client orders.

The arithmetic mean amount of COH value for the previous six months, excluding the three most recent months according with Article 20(1), first subparagraph of Regulation (EU) 2019/2033 shall be reported.

0040

COH – Derivatives (average amounts)

Article 4(1), point (30), of Regulation (EU) 2019/2033.

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

0050

Of which: Execution of client orders

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

The arithmetic mean amount of COH value for the previous six months, excluding the three most recent months, pursuant to Article 20(1), first subparagraph of Regulation (EU) 2019/2033 shall be reported.

0060

Of which: Reception and transmission of client orders

COH for derivative trades in relation to which the investment firm perform the service of reception and transmission of client orders.

The arithmetic mean amount of COH value for the previous six months, excluding the three most recent months pursuant to Article 20(1), first subparagraph, of Regulation (EU) 2019/2033 shall be reported.

Columns

Legal references and instructions

0010

Factor amount – Month t

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

0020

Factor amount – Month t-1

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

0030

Factor amount – Month t-2

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

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

3.9.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

Total daily client orders handled – Cash trades

Article 4(1), point (30), of Regulation (EU) 2019/2033.

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

0020

Of which: Execution of client orders

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

0030

Of which: Reception and transmission of client orders

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

0040

Total daily client orders handled – Derivatives

Article 4(1), point (30), of Regulation (EU) 2019/2033.

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

0050

Of which: Execution of client orders

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

0060

Of which: Reception and transmission of client orders

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

Columns

Legal references and instructions

0010-0050

Monthly averages of total daily client orders handled values

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

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

3.10.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

Total standardised approach

Article 22 (a) of Regulation (EU) 2019/2033.

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

0020

Position risk

Article 22 (a) and 21(3) of Regulation (EU) 2019/2033.

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

0030

Equity instruments

Articles 22(a) and 21(3) of Regulation (EU) 2019/2033.

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

0040

Debt instruments

Articles 22(a) and 21(3) of Regulation (EU) 2019/2033.

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

0050

Of which: securitisations

Articles 22 (a) and 21(3) of Regulation (EU) 2019/2033.

Positions in securitisation instruments as referred to in Article 337 of Regulation (EU) No 575/2013 and positions in the correlation trading portfolio as referred to in Article 338 of Regulation (EU) No 575/2013.

0055

Particular approach for position risk in CIUs

Article 22 (a) and 21(3) of Regulation (EU) 2019/2033.

Total risk exposure amount for positions in CIUs if capital requirements are calculated in accordance with Article 348(1) of Regulation (EU) No 575/2013 either immediately or as a consequence of the cap defined in Article 350(3), point (c), of Regulation (EU) No 575/2013. Regulation (EU) No 575/2013 does not explicitly assign those positions to either the interest rate risk or the equity risk.

If the particular approach in accordance with the first sentence of Article 348(1) of Regulation (EU) No 575/2013 is applied, the amount to be reported is 32 % of the net position of the CIU exposure in question.

If the particular approach in accordance with the second sentence of Article 348(1) of Regulation (EU) No 575/2013 is applied, the amount to be reported is the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure.

0060

Foreign exchange risk

Article 22(a) and Article 21 paragraphs (3) and (4), of Regulation (EU) 2019/2033.

Positions subject to foreign exchange risk for which an own funds requirement is determined in accordance with Chapter 3 of Title IV of Part Three of Regulation (EU) No 575/2013.

0070

Commodities risk

Article 22(a) and Article 21 paragraphs (3) and (4), of Regulation (EU) 2019/2033.

Positions subject to commodities risk for which an own funds requirement is determined in accordance with Chapter 4 of Title IV of Part Three of Regulation (EU) No 575/2013.

0080

Internal model approach

Article 57(2) and Article 21, paragraphs (3) and (4) of Regulation (EU) 2019/2033.

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

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

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

3.11.1. Instructions concerning specific positions

Column

Legal references and instructions

0010 – 0030

Clearing member

0010

Name

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

0020

Code

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

0030

Type of code

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

0040 – 0060

Contribution to the total margin required on a daily basis

Investment firms shall report information for the three days of the preceding three months where the highest, second highest and third highest amount of total margin required on a daily basis, as referred to in Article 23(2) of Regulation (EU) 2019/2033, was calculated.

The investment firm shall include all clearing members in the template that were used on at least one of those days.

The contribution to the total margin required on a daily basis shall be reported as the amount before the multiplication with the factor of 1.3 referred to in Article 23(2) of Regulation (EU) 2019/2033.

0040

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

0050

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

0060

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

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

3.12.1. Instructions concerning specific positions

Row

Legal references and instructions

0010 – 0080

Breakdown by method for determining the exposure value

0010

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

Article 26 of Regulation (EU) 2019/2033.

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

0020

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

Article 25(4), first subparagraph of Regulation (EU) 2019/2033.

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

0030

SA-CCR

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

0040

Simplified SA-CCR

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

0050

Original exposure method

Article 282 of Regulation (EU) No 575/2013

0060

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

Article 25(4), second subparagraph, of Regulation (EU) 2019/2033.

Exposures for which the exposure value and the own funds requirements are determined in accordance with Regulation (EU) No 575/2013.

0070

Memorandum item: CVA component

Articles 25(5) and 26 of Regulation (EU) 2019/2033.

Where an institution applies the approach of Article 26 of Regulation (EU) 2019/2033 or applies the derogation of Article 26(5), first subparagraph, of Regulation of (EU) 2019/2033, the CVA component shall be determined as the difference between the relevant amount after the application of the CVA factor multiplier and the relevant amount before the application of the CVA factor multiplier.

Where an institutions applies the derogation of the Article 25(5), second subparagraph of Regulation (EU) 2019/2033, the CVA component shall be determined in accordance with Part Three, Title VI, of Regulation (EU) No 575/2013.

0080

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

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

0090 – 0110

Breakdown by type of counterparty

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

0090

Central governments, central banks and public sector entities

0100

Credit institutions and investment firms

0110

Other counterparties

Column

Legal references and instructions

0010

K – factor requirement

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

0020

Exposure value

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

0030

Replacement cost (RC)

Article 28 of Regulation (EU) 2019/2033.

0040

Potential future exposure (PFE)

Article 29 of Regulation (EU) 2019/2033.

0050

Collateral (C)

Article 30(2) and (3) of Regulation (EU) 2019/2033.

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

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

3.13.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

Total DTF – cash trades (average amounts)

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

The amount reported in this cell shall take into account Article 33(3) of Regulation (EU) 2019/2033.

0020

Total DTF – derivative trades (average amounts)

Article 33(2), point (b), of Regulation (EU) 2019/2033.

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

The amount reported in this cell shall take into account Article 33(3) of Regulation (EU) 2019/2033.

Columns

Legal references and instructions

0010

Average factor amount – Month t

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

0020

Average factor amount – Month t-1

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

0030

Average factor amount – Month t-2

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

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

3.14.1 Instructions concerning specific positions

Row

Legal references and instructions

0010

Daily trading flow – cash trades

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

0020

Daily trading flow – derivative trades

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

Columns

Legal references and instructions

0010-0080

Monthly averages of total daily trading flow values

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

CONCENTRATION RISK REPORTING

4.1. General Remarks

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

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.

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

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

4.2. I 07.00 – K-CON ADDITIONAL DETAILS (I7)

4.2.1. Instructions concerning specific positions

Columns

Legal references and instructions

0010-0060

Counterparty ID

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

0010

Code

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

0020

Type of code

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

The type of code shall always be reported.

0030

Name

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

0040

Group/individual

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

0050

Counterparty type

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

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

0060-0110

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

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

0060

Exposure Value (EV)

Article 36 of Regulation (EU) 2019/2033.

0070

Exposure Value (as % of Own Funds)

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

0080

Own Funds Requirement of total exposure (OFR)

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

0090

Exposure Value Excess (EVE)

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

0100

Duration of the Excess (in days)

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

0110

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

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

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

4.3.1. Instructions concerning specific columns

Columns

Legal references and instructions

0010-0060

Total CMH

Article 54(2), point (b), of Regulation (EU) 2019/2033.

The investment firm shall report the identification of the five, if available, counterparties or group of connected counterparties where the largest amounts of client money are held.

0010

Code

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

0020

Type of code

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

0030

Name

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

0040

Group/individual

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

0050

Total CMH at reporting date

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

0060

Percentage of client money held at this institution

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

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

4.4.1. Instructions concerning specific columns

Columns

Legal references and instructions

0010-0060

Total ASA

Article 54(2), point (c), of Regulation (EU) 2019/2033.

The firm shall report the identification of the five, if available, counterparties or group of connected counterparties where the largest amounts of client securities are deposited.

0010

Code

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

0020

Type of code

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

0030

Name

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

0040

Group/individual

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

0050

Total ASA at reporting date

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

0060

Percentage of client securities deposited at this institution

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

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

4.5.1. Instructions concerning specific columns

Columns

Legal references and instructions

0010-0060

Total Own Cash Deposited

Article 54(2), points (d) and (f), of Regulation (EU) 2019/2033.

The firm shall report the identification of the five, if available, counterparties or group of connected counterparties where the largest amounts of firm’s own cash are deposited.

0010

Code

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

0020

Type of code

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

0030

Name

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

0040

Group/individual

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

0050

Amount of firm’s cash deposits at the institution

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

0060

Percentage of firm’s own cash deposits at the institution

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

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

4.6.1. Instructions concerning specific columns

Columns

Legal references and instructions

0010-0080

Total Earnings

Article 54(2), points (e) and (f), of Regulation (EU) 2019/2033.

The firm shall report the identification of the five, if available, clients or group of connected clients from whom the largest amounts of firm’s earnings are derived.

0010

Code

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

0020

Type of code

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

0030

Name

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

0040

Group/individual

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

0050

Total earnings from this client

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

0060 – 0090

Interest and dividend income

0060

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

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

0070

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

0080

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

0090

Percentage of interest and dividend income from this client

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

0100 – 0110

Fee and commission and other income

0100

Fee and commission and other income – Amount

0110

Percentage of fee and commission and other income from this client

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

4.7. I 08.05 – TRADING BOOK EXPOSURES (I 8.5)

4.7.1. Instructions concerning specific columns

Columns

Legal references and instructions

0010-0050

Trading book exposures

Article 54(2), point (a), of Regulation (EU) 2019/2033.

The firm shall report information in relation to the five, if available, largest trading book exposures.

0010

Code

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

0020

Type of code

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

0030

Name

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

0040

Group/individual

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

0050

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

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

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

4.8.1. Instructions concerning specific columns

Columns

Legal references and instructions

0010-0050

Non-trading book and off-balance sheet items

Article 54(2), point (f), of Regulation (EU) 2019/2033.

The firm shall report information in relation to the five, if available, largest exposures calculated including assets not recorded in the trading book.

0010

Code

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

0020

Type of code

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

0030

Name

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

0040

Group/individual

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

0050

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

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

LIQUIDITY REQUIREMENTS

5.1 I 09.00 – LIQUIDITY REQUIREMENTS (I 9)

5.1.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

Liquidity Requirement

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

0020

Client guarantees

Article 45 of Regulation (EU) 2019/2033.

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

0030

Total liquid assets

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

Total liquid assets shall be reported after application of relevant haircuts.

This row is sum of rows 0040, 0050, 0060, 0170, 0230, 0290 and 0300.

0040

Unencumbered short term deposits

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

0050

Total eligible receivables due within 30 days

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

0060

Level 1 assets

Article 10 of Delegated Regulation (EU) 2015/61 and Article 43(2) of Regulation (EU) 2019/2033.

Total liquid assets shall be reported after application of relevant haircuts.

Sum of rows 0070 – 0160.

0070

Coins and banknotes

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

Total amount of cash arising from coins and banknotes.

0080

Withdrawable central bank reserves

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

0090

Central bank assets

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

0100

Central government assets

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

0110

Regional government/local authorities assets

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

0120

Public Sector Entity assets

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

0130

Recognisable domestic and foreign currency central government and central bank assets

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

0140

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

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

0150

Multilateral development bank and international organisations assets

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

0160

Extremely high quality covered bonds

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

0170

Level 2A assets

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

0180

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

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

0190

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

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

0200

High quality covered bonds (CQS2)

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

0210

High quality covered bonds (Third Country, CQS1)

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

0220

Corporate debt securities (CQS1)

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

0230

Level 2B assets

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

0240

Asset-backed securities

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

0250

Corporate debt securities

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

0260

Shares (major stock index)

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

0270

Restricted-use central bank committed liquidity facilities

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

0280

High quality covered bonds (RW35 %)

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

0290

Qualifying CIU shares/units

Article 15 of Delegated Regulation (EU) 2015/61.

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

0300

Total other eligible financial instruments

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

ANNEX III

REPORTING FOR SMALL AND NON-INTERCONNECTED INVESTMENT FIRMS

INVESTMENT FIRMS TEMPLATES

Template number

Template code

Name of the template /group of templates

Short name

OWN FUNDS: level, composition, requirements and calculation

1

I 01.01

Own funds

I1.1

2,3

I 02.03

Own funds requirements

I2.3

2,4

I 02.04

Capital ratios

I2.4

3,1

I 03.01

Fixed overheads requirements calculation

I3.1

SMALL AND NON-INTERCONNECTED INVESTMENT FIRMS

5

I 05.00

Level of activity - Thresholds review

I5.0

LIQUIDITY REQUIREMENTS

9,1

I 09.01

Liquidity requirements

I9.1

I 01.01 - OWN FUNDS COMPOSITION (I1.1)

Rows

Item

Amount

0010

0010

OWN FUNDS

0020

TIER 1 CAPITAL

0030

COMMON EQUITY TIER 1 CAPITAL

0040

Fully paid up capital instruments

0050

Share premium

0060

Retained earnings

0070

Previous years retained earnings

0080

Profit eligible

0090

Accumulated other comprehensive income

0100

Other reserves

0110

Minority interest given recognition in CET1 capital

0120

Adjustments to CET1 due to prudential filters

0130

Other funds

0140

(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1

0190

(-) Losses for the current financial year

0200

(-) Goodwill

0210

(-) Other intangible assets

0220

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

0230

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

0240

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

0285

(-) Other deductions

0290

CET1: Other capital elements, deductions and adjustments

0300

ADDITIONAL TIER 1 CAPITAL

0310

Fully paid up, directly issued capital instruments

0320

Share premium

0330

(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1

0410

Additional Tier 1: Other capital elements, deductions and adjustments

0420

TIER 2 CAPITAL

0430

Fully paid up, directly issued capital instruments

0440

Share premium

0450

(-) TOTAL DEDUCTIONS FROM TIER 2

0520

Tier 2: Other capital elements, deductions and adjustments

I 02.03 - OWN FUNDS REQUIREMENTS (I2.3)

Rows

Item

Amount

0010

0010

Own Fund requirement

0020

Permanent minimum capital requirement

0030

Fixed overhead requirement

Transitional own funds requirements

0050

Transitional requirement based on CRR own funds requirements

0060

Transitional requirement based on fixed overhead requirements

0070

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

0080

Transitional requirement based on initial capital requirement at authorisation

0090

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

Memorandum items

0110

Additional own funds requirement

0120

Total own funds requirement

I 02.04 - CAPITAL RATIOS (I2.4)

Amount

Rows

Item

0010

0010

CET 1 Ratio

0020

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

0030

Tier 1 Ratio

0040

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

0050

Own Funds Ratio

0060

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

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

Amount

Rows

Item

0010

0010

Fixed Overhead Requirement

0020

Annual Fixed Overheads of the previous year after distribution of profits

0030

Total expenses of the previous year after distribution of profits

0040

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

0050

(-)Total deductions

0060

(-)Staff bonuses and other remuneration

0070

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

0080

(-)Other discretionary payments of profits and variable remuneration

0090

(-)Shared commission and fees payable

0100

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

0110

(-)Fees to tied agents

0130

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

0140

(-)Expenditures from taxes

0150

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

0160

(-)Contract based profit and loss transfer agreements

0170

(-)Expenditure on raw materials

0180

(-)Payments into a fund for general banking risk

0190

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

0200

Projected fixed overheads of the current year

0210

Variation of fixed overheads (%)

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

Amount

Rows

Item

0010

0010

(Combined) assets under management

0020

(Combined) client orders handled - Cash trades

0030

(Combined) client orders handled - Derivatives

0040

Assets safeguarded and administered

0050

Client money held

0060

Daily trading flow - cash trades and derivative trades

0070

Net position risk

0080

Clearing margin given

0090

Trading counterparty default

0100

(Combined) on - and off-balance sheet total

0110

Combined total annual gross revenue

0120

Total annual gross revenue

0130

(-) Intragroup part of the annual gross revenue

0140

Of which: revenue from reception and transmission of orders

0150

Of which: revenue from execution of orders

0160

Of which: revenue from dealing on own account

0170

Of which: revenue from portfolio management

0180

Of which: revenue from investment advice

0190

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

0200

Of which: revenue from placing without a firm commitment basis

0210

Of which: revenue from operation of an MTF

0220

Of which: revenue from operation of an OTF

0230

Of which: revenue from safekeeping and administration of financial instruments

0240

Of which: revenue from granting credits or loans to investors

0250

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

0260

Of which: revenue from foreign exchange services

0270

Of which: investment research and financial analysis

0280

Of which: revenue from services related to underwriting

0290

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

I 09.01 - LIQUIDITY REQUIREMENTS (I9.1)

Amount

Rows

Item

0010

0010

Liquidity Requirement

0020

Client guarantees

0030

Total liquid assets

ANNEX IV

REPORTING FOR SMALL AND NON-INTERCONNECTED INVESTMENT FIRMS

Table of contents

PART I:

GENERAL INSTRUCTIONS

114

Structure and conventions

114

1.1

Structure

114

1.2

Numbering convention

115

1.3

Sign convention

115

1.4

Prudential consolidation

115

PART II:

TEMPLATE RELATED INSTRUCTIONS

115

OWN FUNDS: LEVEL, COMPOSITION, REQUIREMENTS AND CALCULATION

115

1.1

General Remarks

115

1.2.

I 01.01 – OWN FUNDS COMPOSITION (I 1.1)

115

1.2.1.

Instructions concerning specific positions

115

1.3

I 02.03 – OWN FUND REQUIREMENTS (I 2.3)

120

1.3.1.

Instructions concerning specific positions

120

1.4.

I 02.04 – CAPITAL RATIOS (I 2.4)

121

1.4.1.

Instructions concerning specific positions

121

1.5.

I 03.01 – FIXED OVERHEADS REQUIREMENT CALCULATION (I 3.1)

122

1.5.1.

Instructions concerning specific positions

122

SMALL AND NON-INTERCONNECTED INVESTMENT FIRMS

124

2.1.

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

124

2.1.1.

Instructions concerning specific positions

124

LIQUIDITY REQUIREMENTS

127

3.1

I 09.01 – LIQUIDITY REQUIREMENTS (I 9.1)

127

3.1.1.

Instructions concerning specific positions

127

PART I:

GENERAL INSTRUCTIONS

1. Structure and conventions

1.1 Structure

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

(a)

Own funds;

(b)

Own funds requirements calculations;

(c)

Fixed overheads requirements calculation;

(d)

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

(e)

Liquidity requirements.

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

1.2 Numbering convention

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 Prudential consolidation

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

PART II:

TEMPLATE RELATED INSTRUCTIONS

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)

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

(b)

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

(c)

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

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

1.2. I 01.01 – OWN FUNDS COMPOSITION (I 1.1)

1.2.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

OWN FUNDS

Article 9(1) Regulation (EU) 2019/2033.

The own funds of an investment firm shall consist of the sum of its Tier 1 capital and Tier 2 capital.

The total sum of rows (0020 and 0380) shall be reported.

0020

TIER 1 CAPITAL

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

0030

COMMON EQUITY TIER 1 CAPITAL

Article 9(1) of Regulation (EU) 2019/2033.

Article 50 of Regulation (EU) No 575/2013.

The total sum of rows (0040 to 0060, 0090 to 0140 and 0290) shall be reported.

0040

Fully paid up capital instruments

Article 9(1), point (i) of Regulation (EU) 2019/2033.

Article 26(1), point (a) and Articles 27 to 31 of Regulation (EU) No 575/2013.

Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of Regulation (EU) No 575/2013) shall be included.

The share premium related to the instruments shall not be included.

Capital instruments subscribed by public authorities in emergency situations shall be included if all conditions of Article 31 of Regulation (EU) No 575/2013 are fulfilled.

0050

Share premium

Article 9(1), point (i) of Regulation (EU) 2019/2033.

Article 26(1), point (b) of Regulation (EU) No 575/2013.

Share premium has the same meaning as under the applicable accounting standard.

The amount to be reported in this item shall be the part related to the "Paid up capital instruments".

0060

Retained earnings

Article 9(1), point (i) of Regulation (EU) 2019/2033.

Article 26(1), point (c) of Regulation (EU) No 575/2013.

Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits.

The total sum of rows 0070 and 0080 shall be reported.

0070

Previous years retained earnings

Article 4(1), point (123) and Article 26(1) point (c) of Regulation (EU) No 575/2013

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

0080

Profit eligible

Article 4(1), point (121), Article 26(2) and Article 36(1), point (a) of Regulation (EU) No 575/2013.

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

0090

Accumulated other comprehensive income

Article 9(1), point (i) of Regulation (EU) 2019/2033.

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

0100

Other reserves

Article 9(1), point (i) of Regulation (EU) 2019/2033.

Article 4(1), point (117) and Article 26(1) point (e) of Regulation (EU) No 575/2013.

The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.

0110

Minority interest given recognition in CET1 capital

Articles 84(1), 85(1) and 87(1) of Regulation (EU) No 575/2013.

Sum of all the amounts of minority interests of subsidiaries that is included in consolidated CET1.

0120

Adjustments to CET1 due to prudential filters

Article 9(1), point (i) of Regulation (EU) 2019/2033.

Articles 32 to 35 of Regulation (EU) No 575/2013.

0130

Other funds

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

0140

(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1

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

0190

(-) Losses for the current financial year

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

0200

(-) Goodwill

Article 9(1), point (i) of Regulation (EU) 2019/2033.

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

0210

(-) Other intangible assets

Article 9(1), point (i) of Regulation (EU) 2019/2033.

Article 4(1), point (115), Article 36(1), point (b) and Article 37 point (a) of Regulation (EU) No 575/2013.

Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.

0220

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

Article 9(2), point (a) of Regulation (EU) 2019/2033.

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

0230

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

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

0240

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

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

0285

(-) Other deductions

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

0290

CET1: Other capital elements, deductions and adjustments

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

—

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

—

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

—

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

—

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

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

0300

ADDITIONAL TIER 1 CAPITAL

Article 9(1) Regulation (EU) 2019/2033.

Article 61 Regulation (EU) No 575/2013.

The total sum of rows 0310 to 0410 shall be reported.

0310

Fully paid up, directly issued capital instruments

Article 9(1), point (i) of Regulation (EU) 2019/2033.

Article 51, point (a) and Articles 52, 53 and 54 of Regulation (EU) No 575/2013.

The amount to be reported shall not include the share premium related to the instruments.

0320

Share premium

Article 9(1), point (i) of Regulation (EU) 2019/2033.

Article 51, point (b) of Regulation (EU) No 575/2013.

Share premium has the same meaning as under the applicable accounting standard.

The amount to be reported in this item shall be the part related to the "Fully paid up, directly issued capital instruments".

0330

(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1

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

0410

Additional Tier 1: Other capital elements, deductions and adjustments

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

—

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

—

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

—

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

—

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

—

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

—

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

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

0420

TIER 2 CAPITAL

Article 9(1) of Regulation (EU) 2019/2033.

Article 71 of Regulation (EU) No 575/2013.

The total sum of rows 0430 to 0520 shall be reported.

0430

Fully paid up, directly issued capital instruments

Article 9(1), point (i) of Regulation (EU) 2019/2033.

Article 62, point (a), Articles 63 and 65 of Regulation (EU) No 575/2013.

The amount to be reported shall not include the share premium related to the instruments.

0440

Share premium

Article 9(1), point (i) of Regulation (EU) 2019/2033.

Article 62, point (b) and Article 65 of Regulation (EU) No 575/2013.

Share premium has the same meaning as under the applicable accounting standard.

The amount to be reported in this item shall be the part related to the "Fully paid up, directly issued capital instruments".

0450

(-) TOTAL DEDUCTIONS FROM TIER 2

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

0520

Tier 2: Other capital elements, deductions and adjustments

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

—

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

—

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

—

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

—

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

—

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

—

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

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

1.3 I 02.03 – OWN FUND REQUIREMENTS (I 2.3)

1.3.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

Own fund requirement

Article 11(1) and (2) of Regulation (EU) 2019/2033.

This item shall be maximum of rows 0020 and 0030.

0020

Permanent minimum capital requirement

Article 14 of Regulation (EU) 2019/2033.

0030

Fixed overhead requirement

Article 13 of Regulation (EU) 2019/2033.

0050 – 0090

Transitional own funds requirements

0050

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

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

0060

Transitional requirement based on fixed overhead requirements

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

0070

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

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

0080

Transitional requirement based on initial capital requirement at authorisation

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

0090

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

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

0110 – 0130

Memorandum items

0110

Additional own funds requirement

Article 40 of Directive (EU) 2019/2034.

Additional own funds required following the SREP.

0120

Total own funds requirement

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

1.4. I 02.04 – CAPITAL RATIOS (I 2.4)

1.4.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

CET 1 Ratio

Article 9(1), point (a) and Article 11(1) and (2) of Regulation (EU) 2019/2033.

This item is expressed as a percentage.

0020

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

This item shows the surplus or deficit of CET1 Capital relating to the requirement set in Article 9(1) Regulation (EU) 2019/2033.

The transitional provisions of Article 57(3) and (4) Regulation (EU) 2019/2033 shall not be considered for this item.

0030

Tier 1 Ratio

Article 9(1), point (b) and Article 11(1) and (2) of Regulation (EU) 2019/2033.

This item is expressed as a percentage.

0040

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

This item shows the surplus or deficit of Tier 1 Capital relating to the requirement set in Article 9(1) of Regulation (EU) 2019/2033.

The transitional provisions of Article 57(3) and (4) of Regulation (EU) 2019/2033 shall not be considered for this item.

0050

Own Funds Ratio

Article 9(1), point (c), Article 11(1) and (2) of Regulation (EU) 2019/2033.

This item is expressed as a percentage.

0060

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

This item shows the surplus or deficit of own funds relating to the requirement set in Article 9(1) of Regulation (EU) 2019/2033.

The transitional provisions of Article 57(3) and (4) of Regulation (EU) 2019/2033 shall not be considered for this item.

1.5. I 03.01 – FIXED OVERHEADS REQUIREMENT CALCULATION (I 3.1)

1.5.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

Fixed Overhead Requirement

Article 13(1) of Regulation (EU) 2019/2033.

The amount reported shall be at least 25 % of the annual fixed overheads of the previous year (row 0020).

In the cases where there is a material change as mentioned in Article 13(2) of Regulation (EU) 2019/2033, the amount reported shall be the fixed overheads requirement imposed by the competent authority in accordance with that Article.

In the cases specified in Article 13(3) of Regulation (EU) 2019/2033, the amount to be reported shall be the projected fixed overheads of the current year (row 0200).

0020

Annual fixed overheads of the previous year after distribution of profits

Article 13(1) Regulation (EU) 2019/2033.

Investment firms shall report the fixed overheads of the previous year after the distribution of profits.

0030

Total expenses of the previous year after distribution of profits

Article 13(1) of Regulation (EU) 2019/2033.

The amount to be reported shall be after the distribution of profits.

0040

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

Article 13 of Regulation (EU) 2019/2033.

0050

(-) Total deductions

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

(a)

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

(b)

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

(c)

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

(d)

losses from trading on own account in financial instruments;

(e)

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

(f)

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

(g)

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

0060

(-) Staff bonuses and other remuneration

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

Staff bonuses and other remuneration shall be considered to depend on the net profit of the investment firm in the respective year where both of the following conditions are met:

(h)

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

(i)

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

0070

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

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

Employees’, directors’ and partners’ shares in profits shall be calculated on the basis of the net profits.

0080

(-) Other discretionary payments of profits and variable remuneration

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

0090

(-) Shared commission and fees payable

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

0100

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

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

0110

(-) Fees to tied agents

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

0130

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

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

0140

(-) Expenditures from taxes

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

0150

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

Self-explanatory.

0160

(-) Contract based profit and loss transfer agreements

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

0170

(-) Expenditure on raw materials

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

0180

(-)Payments into a fund for general banking risk

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

0190

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

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

0200

Projected fixed overheads of the current year

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

0210

Variation of fixed overheads (%)

The amount shall be reported as the absolute value of:

[(Annual fixed overheads of the current year) – (Projected fixed overheads of the previous year)/(Annual fixed overheads of the previous year)]

SMALL AND NON-INTERCONNECTED INVESTMENT FIRMS

2.1. I 05.00 – LEVEL OF ACTIVITY – THRESHOLD REVIEW (I 5)

2.1.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

(Combined) assets under management

Article 12(1), point (a) of Regulation (EU) 2019/2033.

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

Investment firms shall include discretionary and non-discretionary assets under management.

The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.

0020

(Combined) client orders handled – Cash trades

Article 12(1), point (b) (i) of Regulation (EU) 2019/2033.

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

The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.

0030

(Combined) client orders handled – Derivatives

Article 12(1), point (b) (i) of Regulation (EU) 2019/2033.

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

The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.

0040

Assets safeguarded and administered

Article 12(1), point (c) of Regulation (EU) 2019/2033.

The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.

0050

Client money held

Article 12(1), point (d) of Regulation (EU) 2019/2033.

The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.

0060

Daily trading flow – cash trades and derivative trades

Article 12(1), point (e) of Regulation (EU) 2019/2033.

The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.

0070

Net position risk

Article 12(1), point (f) of Regulation (EU) 2019/2033.

The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.

0080

Clearing margin given

Article 12(1), point (f) of Regulation (EU) 2019/2033.

The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.

0090

Trading counterparty default

Article 12(1), point (g) of Regulation (EU) 2019/2033.

The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.

0100

(Combined) on – and off-balance sheet total

Article 12(1), point (h) of Regulation (EU) 2019/2033.

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

0110

Combined total annual gross revenue

Article 12(1), point (i) of Regulation (EU) 2019/2033.

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

The value reported shall be (row 0120 + row 0130).

0120

Total annual gross revenue

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

0130

(-) Intragroup part of the annual gross revenue

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

0140

Of which:revenue from reception and transmission of orders

Article 54(1), point (d) of Regulation (EU) 2019/2033.

Article 4(1), point (2) of Directive 2014/65/EU.

0150

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

Article 54(1), point (d) of Regulation (EU) 2019/2033.

Article 4(1), point (2) of Directive 2014/65/EU.

0160

Of which:revenue from dealing on own account

Article 54(1), point (d) of Regulation (EU) 2019/2033.

Article 4(1), point (2) of Directive 2014/65/EU.

0170

Of which:revenue from portfolio management

Article 54(1), point (d) of Regulation (EU) 2019/2033.

Article 4(1), point (2) of Directive 2014/65/EU.

0180

Of which: revenue from investment advice

Article 54(1), point (d) of Regulation (EU) 2019/2033.

Article 4(1), point (2) of Directive 2014/65/EU.

0190

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

Article 54(1), point (d) of Regulation (EU) 2019/2033.

Article 4(1), point (2) of Directive 2014/65/EU.

0200

Of which: revenue from placing without a firm commitment basis

Article 54(1), point (d) of Regulation (EU) 2019/2033.

Article 4(1), point (2) of Directive 2014/65/EU.

0210

Of which: revenue from operation of an MTF

Article 54(1), point (d) of Regulation (EU) 2019/2033.

Article 4(1), point (2) of Directive 2014/65/EU.

0220

Of which: revenue from operation of an OTF

Article 54(1), point (d) of Regulation (EU) 2019/2033.

Article 4(1), point (2) of Directive 2014/65/EU.

0230

Of which: revenue from safekeeping and administration of financial instruments

Article 54(1), point (d) of Regulation (EU) 2019/2033.

Article 4(1), point (3) of Directive 2014/65/EU.

0240

Of which: revenue from granting credits or loans to investors

Article 54(1), point (d) of Regulation (EU) 2019/2033.

Article 4(1), point (3) of Directive 2014/65/EU.

0250

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

Article 54(1), point (d) of Regulation (EU) 2019/2033.

Article 4(1), point (3) of Directive 2014/65/EU.

0260

Of which: revenue from foreign exchange services

Article 54(1), point (d) of Regulation (EU) 2019/2033.

Article 4(1), point (3) of Directive 2014/65/EU.

0270

Of which: investment research and financial analysis

Article 54(1), point (d) of Regulation (EU) 2019/2033.

Article 4(1), point (3) of Directive 2014/65/EU.

0280

Of which: revenue from services related to underwriting

Article 54(1), point (d) of Regulation (EU) 2019/2033.

Article 4(1), point (3) of Directive 2014/65/EU.

0290

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

Article 54(1), point (d) of Regulation (EU) 2019/2033.

Article 4(1), point (3) of Directive 2014/65/EU.

LIQUIDITY REQUIREMENTS

3.1 I 09.01 – LIQUIDITY REQUIREMENTS (I 9.1)

3.1.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

Liquidity Requirement

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

0020

Client guarantees

Article 45 of Regulation (EU) 2019/2033.

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

0030

Total liquid assets

Point (a) of Article 43(1) and Article 43(2) of Regulation (EU) 2019/2033.

Total liquid assets shall be reported after application of relevant haircuts.

ANNEX V

Part I: Single Data Point Model

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

The single data point model shall meet the following criteria:

(a)

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

(b)

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

(c)

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

(d)

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

(e)

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

(f)

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

Part II: Validation rules

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

The validation rules shall meet the following criteria:

(a)

they define the logical relationships between relevant data points;

(b)

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

(c)

they check the consistency of the reported data;

(d)

they check the accuracy of the reported data;

(e)

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

ANNEX VI

DISCLOSURE ON OWN FUNDS TEMPLATES

INVESTMENT FIRMS DISCLOSURE

Template number

Template code

Name

Legislative reference

OWN FUNDS

1

I CC1

COMPOSITION OF REGULATORY OWN FUNDS

Art 49(1)(c)

2

I CC2

OWN FUNDS RECONCILIATION WITH AUDITED FINANCIAL STATEMENTS

Art 49(1)(a)

3

I CCA

OWN FUNDS MAIN FEATURES

Art 49(1)(b)

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

(a)

(b)

Amounts

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

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

1

OWN FUNDS

2

TIER 1 CAPITAL

3

COMMON EQUITY TIER 1 CAPITAL

4

Fully paid up capital instruments

5

Share premium

6

Retained earnings

7

Accumulated other comprehensive income

8

Other reserves

9

Minority interest given recognition in CET1 capital

10

Adjustments to CET1 due to prudential filters

11

Other funds

12

(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1

13

(-) Own CET1 instruments

14

(-) Direct holdings of CET1 instruments

15

(-) Indirect holdings of CET1 instruments

16

(-) Synthetic holdings of CET1 instruments

17

(-) Losses for the current financial year

18

(-) Goodwill

19

(-) Other intangible assets

20

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

21

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

22

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

23

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

24

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

25

(-)Defined benefit pension fund assets

26

(-) Other deductions

27

CET1: Other capital elements, deductions and adjustments

28

ADDITIONAL TIER 1 CAPITAL

29

Fully paid up, directly issued capital instruments

30

Share premium

31

(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1

32

(-) Own AT1 instruments

33

(-) Direct holdings of AT1 instruments

34

(-) Indirect holdings of AT1 instruments

35

(-) Synthetic holdings of AT1 instruments

36

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

37

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

38

(-) Other deductions

39

Additional Tier 1: Other capital elements, deductions and adjustments

40

TIER 2 CAPITAL

41

Fully paid up, directly issued capital instruments

42

Share premium

43

(-) TOTAL DEDUCTIONS FROM TIER 2

44

(-) Own T2 instruments

45

(-) Direct holdings of T2 instruments

46

(-) Indirect holdings of T2 instruments

47

(-) Synthetic holdings of T2 instruments

48

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

49

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

50

Tier 2: Other capital elements, deductions and adjustments

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

(a)

(b)

Amounts

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

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

1

OWN FUNDS

2

TIER 1 CAPITAL

3

COMMON EQUITY TIER 1 CAPITAL

4

Fully paid up capital instruments

5

Share premium

6

Retained earnings

7

Accumulated other comprehensive income

8

Other reserves

9

Adjustments to CET1 due to prudential filters

10

Other funds

11

(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1

12

(-) Losses for the current financial year

13

(-) Goodwill

14

(-) Other intangible assets

15

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

16

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

17

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

18

(-) Other deductions

19

CET1: Other capital elements, deductions and adjustments

20

ADDITIONAL TIER 1 CAPITAL

21

Fully paid up, directly issued capital instruments

22

Share premium

23

(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1

24

Additional Tier 1: Other capital elements, deductions and adjustments

25

TIER 2 CAPITAL

26

Fully paid up, directly issued capital instruments

27

Share premium

28

(-) TOTAL DEDUCTIONS FROM TIER 2

29

Tier 2: Other capital elements, deductions and adjustments

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

(a)

(b)

Amounts

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

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

1

OWN FUNDS

2

TIER 1 CAPITAL

3

COMMON EQUITY TIER 1 CAPITAL

4

Fully paid up capital instruments

5

Share premium

6

Retained earnings

7

Previous years retained earnings

8

Profit or loss eligible

9

Accumulated other comprehensive income

10

Other reserves

11

Adjustments to CET1 due to prudential filters

12

Other funds

13

(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1

14

(-) Own CET1 instruments

15

(-) Losses for the current financial year

16

(-) Goodwill

17

(-) Other intangible assets

18

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

19

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

20

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

21

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

22

(-) Defined benefit pension fund assets

23

(-) Other deductions

24

CET1: Other capital elements, deductions and adjustments

25

ADDITIONAL TIER 1 CAPITAL

26

Fully paid up, directly issued capital instruments

27

Share premium

28

(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1

29

(-) Own AT1 instruments

30

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

31

(-) Other deductions

32

Additional Tier 1: Other capital elements, deductions and adjustments

33

TIER 2 CAPITAL

34

Fully paid up, directly issued capital instruments

35

Share premium

36

(-) TOTAL DEDUCTIONS FROM TIER 2

37

(-) Own T2 instruments

38

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

39

Tier 2: Other capital elements, deductions and adjustments

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

Flexible template.

Rows have to be reported in line with the balance sheet included in the audited financial statements of the investment firm.

Columns shall be kept fixed, unless the investment firm has the same accounting and regulatory scope of consolidation, in which case the volumes have to be entered in column (a) only.

a

b

c

Balance sheet as in published/audited financial statements

Under regulatory scope of consolidation

Cross reference to EU IF CC1

As at period end

As at period end

Assets -

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

1

2

3

4

5

xxx

Total Assets

Liabilities

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

1

2

3

4

xxx

Total Liabilities

Shareholders' Equity

1

2

3

xxx

Total Shareholders' equity

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

a

Free text

1

Issuer

2

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

3

Public or private placement

4

Governing law(s) of the instrument

5

Instrument type (types to be specified by each jurisdiction)

6

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

7

Nominal amount of instrument

8

Issue price

9

Redemption price

10

Accounting classification

11

Original date of issuance

12

Perpetual or dated

13

Original maturity date

14

Issuer call subject to prior supervisory approval

15

Optional call date, contingent call dates and redemption amount

16

Subsequent call dates, if applicable

Coupons / dividends

17

Fixed or floating dividend/coupon

18

Coupon rate and any related index

19

Existence of a dividend stopper

20

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

21

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

22

Existence of step up or other incentive to redeem

23

Noncumulative or cumulative

24

Convertible or non-convertible

25

If convertible, conversion trigger(s)

26

If convertible, fully or partially

27

If convertible, conversion rate

28

If convertible, mandatory or optional conversion

29

If convertible, specify instrument type convertible into

30

If convertible, specify issuer of instrument it converts into

31

Write-down features

32

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

33

If write-down, full or partial

34

If write-down, permanent or temporary

35

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

36

Non-compliant transitioned features

37

If yes, specify non-compliant features

38

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

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

ANNEX VII

INSTRUCTIONS FOR OWN FUNDS DISCLOSURE TEMPLATES

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

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

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

Investment firms shall include in the narrative accompanying the template a description of all restrictions applied to the calculation of own funds in accordance with Article 49(1) point (c), of Regulation (EU) 2019/2033 and the instruments and deductions to which those restrictions apply. They shall also explain the main changes in the amounts disclosed compared with previous disclosure periods.

This template is fixed, and investment firms shall disclose it with exactly the same format provided in Annex VI.

Investment firms other than small and non-interconnected shall disclose the information on composition of own funds in accordance with Template EU I CC1.01 in Annex VI. Small and non-interconnected investment firms with Additional Tier 1 instruments issuances shall disclose the information on composition of own funds in accordance with Template EU I CC1.02 also in Annex VI.

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

Legal references and instructions

Row

Legal references and instructions

1

Own funds

Article 9(1) of Regulation (EU) 2019/2033.

The own funds of an investment firm shall consist of the sum of its Common equity Tier 1 Capital, Additional Tier 1 Capital and Tier 2 Capital.

This row is the sum of rows 2 and 40.

2

Tier 1 capital

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

This row is the sum of rows 3 and 28.

3

Common Equity Tier 1 capital

Article 9(1) of Regulation (EU) 2019/2033.

Article 50 of Regulation (EU) No 575/2013.

The total sum of rows 4 to 12 and 27 shall be disclosed.

4

Fully paid up capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 26(1), point (a), and Articles 27 to 31 of Regulation (EU) No 575/2013

Capital instruments of mutual, cooperative societies or similar institutions Articles 27 and 29 of Regulation (EU) No 575/2013 shall be included.

The share premium related to the instruments shall not be included.

Capital instruments subscribed by public authorities in emergency situations shall be included if all conditions of Article 31 of Regulation (EU) No 575/2013 are fulfilled.

5

Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 26(1), point (b), of Regulation (EU) No 575/2013.

Share premium has the same meaning as under the applicable accounting standard.

The amount to be disclosed in this item shall be the part related to the "Paid up capital instruments".

6

Retained earnings

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 26(1), point (c), of Regulation (EU) No 575/2013.

Retained earnings shall include the previous year retained earnings plus the eligible interim or year-end profits

7

Accumulated other comprehensive income

Article 9(1), point (i), of Regulation (EU) 2019/2033.

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

8

Other reserves

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 4(1), point (117), and Article 26(1), point (e) of Regulation (EU) No 575/2013.

The amount to be disclosed shall be net of any tax charge foreseeable at the moment of the calculation.

9

Minority interest given recognition in CET1 capital

Sum of all the amounts of minority interests of subsidiaries included in consolidated CET1.

10

Adjustments to CET1 due to prudential filters

Article 9(1) point (i), of Regulation (EU) 2019/2033.

Articles 32 to 35 of Regulation (EU) No 575/2013.

11

Other funds

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

12

(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1

The total sum of row 13 and rows 17 to 26 shall be disclosed.

13

(-) Own CET1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013.

Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 of Regulation (EU) No 575/2013.

Holdings on shares included as "Capital instruments not eligible" shall not be disclosed in this row.

The amount to be disclosed shall include the share premium related to the own shares.

14

(-) Direct holdings of CET1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013.

Common Equity Tier 1 instruments held by the investment firm.

15

(-) Indirect holdings of CET1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013.

Common Equity Tier 1 instruments held by the investment firm.

16

(-) Synthetic holdings of CET1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

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

17

(-) Losses for the current financial year

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

18

(-) Goodwill

Article 9(1), point (i), of Regulation (EU) 2019/2033.

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

19

(-) Other intangible assets

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 4(1), point (115), Article 36(1), point (b), and Article 37 point (a), of Regulation (EU) No 575/2013.

Other intangible assets shall include intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.

20

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

Article 9(2), point (a), of Regulation (EU) 2019/2033.

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

21

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

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

22

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

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

23

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

Article 9(2), point (c), of Regulation (EU) 2019/2033.

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

24

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

Article 9(2), point (d), of Regulation (EU) 2019/2033.

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

25

(-)Defined benefit pension fund assets

Article 9(2), point (b), of Regulation (EU) 2019/2033.

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

26

(-) Other deductions

The sum of any other deductions listed in Article 36(1) of Regulation (EU) No 575/2013.

27

CET1: Other capital elements, deductions and adjustments

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

—

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

—

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

—

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

—

Other CET1 capital elements or deductions from a CET1 element that cannot be assigned to one of the rows 4 to 26.

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

28

ADDITIONAL TIER 1 CAPITAL

Article 9, point (1), of Regulation (EU) 2019/2033.

Article 61 of Regulation (EU) No 575/2013.

The total sum of rows 29 to 31 and 39 shall be disclosed.

29

Fully paid up, directly issued capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 51, point (a), of and Articles 52, 53, and 54 of Regulation (EU) No 575/2013.

The amount to be disclosed shall not include the share premium related to the instruments.

30

Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 51, point (b), of Regulation (EU) No 575/2013.

Share premium has the same meaning as under the applicable accounting standard.

The amount to be disclosed in this item shall be the part related to the "Paid up capital instruments".

31

(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1

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

The total sum of rows 32 and 36 to 38 shall be disclosed.

32

(-) Own AT1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 52(1), point (b), Article 56, point (a), and Article 57 of Regulation (EU) No 575/2013.

Own AT1 instruments held by the investment firm at the reporting date. Subject to exceptions in Article 57 of Regulation (EU) No 575/2013.

The amount to be disclosed shall include the share premium related to the own shares.

33

(-) Direct holdings of AT1 instruments

Article 9(2), point (c), of Regulation (EU) 2019/2033.

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

34

(-) Indirect holdings of AT1 instruments

Article 9(2), point (c), of Regulation (EU) 2019/2033.

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

35

(-) Synthetic holdings of AT1 instruments

Article 9(2), point (c), of Regulation (EU) 2019/2033.

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

36

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

Article 9(2), point (c), of Regulation (EU) 2019/2033.

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

37

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

Article 9(2), point (c), of Regulation (EU) 2019/2033.

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

38

(-) Other deductions

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

39

Additional Tier 1: Other capital elements, deductions and adjustments

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

—

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

—

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

—

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

—

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

—

Excess of deduction from AT1 items over AT1 Capital, deducted from CET1 in accordance with Article 36(1), point (j), of Regulation (EU) No 575/2013: Additional Tier 1 cannot be negative, but it is possible that the deductions from AT1 items exceed the amount of available AT1 items. Where this happens, this item represents the amount needed to increase the amount reported in row 28 to zero and equals the inverse of the excess of deductions from AT1 items over AT1 Capital included, among other deductions, in row 38.

—

Other AT1 capital elements or deductions from AT1 element that cannot be assigned to one of the rows 29 to 38.

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

40

TIER 2 CAPITAL

Article 9(2) of Regulation (EU) 2019/2033.

Article 71 of Regulation (EU) No 575/2013.

The total sum of rows 41 to 43 and 50 shall be disclosed.

41

Fully paid up, directly issued capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 62, point (a), Articles 63 and 65 of Regulation (EU) No 575/2013.

The amount to be disclosed shall not include the share premium related to the instruments.

42

Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 62, point (b), and Article 65 of Regulation (EU) No 575/2013.

Share premium has the same meaning as under the applicable accounting standard.

The amount to be disclosed in this item shall be the part related to the "Paid up capital instruments".

43

(-) TOTAL DEDUCTIONS FROM TIER 2

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

44

(-) Own T2 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

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

Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in Article 67 of Regulation (EU) No 575/2013.

Holdings on shares included as "Capital instruments not eligible" shall not be disclosed in this row.

The amount to be disclosed shall include the share premium related to the own shares.

45

(-) Direct holdings of T2 instruments

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

46

(-) Indirect holdings of T2 instruments

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

47

(-) Synthetic holdings of T2 instruments

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

48

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

Article 9(2), point (c), of Regulation (EU) 2019/2033.

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

49

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

Article 4(1), point (27), Article 66, point (d), Articles 68, 69 and Article 79 of Regulation (EU) No 575/2013.

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

50

Tier 2: Other capital elements, deductions and adjustments

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

—

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

—

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

—

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

—

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

—

Excess of deduction from T2 items over T2 Capital, deducted from AT1 in accordance with Article 56 of Regulation (EU) No 575/2013, point (e): Tier 2 cannot be negative, but it is possible that the deductions from T2 items exceed the amount of available T2 items. Where this happens, this item represents the amount needed to increase the amount reported in row 40 to zero.

—

Other T2 capital elements or deductions from a T2 element that cannot be assigned to one of the rows 41 to 49.

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

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

Legal references and instructions

Row

Legal references and instructions

1

Own funds

Article 9(1) of Regulation (EU) 2019/2033.

The own funds of an investment firm shall consist of the sum of its Common equity Tier 1 Capital, Additional Tier 1 Capital and Tier 2 Capital.

The total sum of rows 2 and 25 shall be disclosed.

2

Tier 1 capital

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

The total sum of rows 3 and 20 shall be disclosed.

3

Common Equity Tier 1 capital

Article 9(1) of Regulation (EU) 2019/2033.

Article 50 of Regulation (EU) No 575/2013.

The total sum of rows 4 to 11 and 19 shall be disclosed.

4

Fully paid up capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 26(1), point (a), and Articles 27 to 31 of Regulation (EU) No 575/2013.

Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of Regulation (EU) No 575/2013) shall be included.

The share premium related to the instruments shall not be included.

Capital instruments subscribed by public authorities in emergency situations shall be included if all conditions of Article 31 of Regulation (EU) No 575/2013 are fulfilled.

5

Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 26(1), point (b), of Regulation (EU) No 575/2013.

Share premium has the same meaning as under the applicable accounting standard.

The amount to be disclosed in this item shall be the part related to the "Paid up capital instruments".

6

Retained earnings

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 26(1), point (c), of Regulation (EU) No 575/2013.

Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits.

7

Accumulated other comprehensive income

Article 9(1), point (i), of Regulation (EU) 2019/2033.

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

8

Other reserves

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 4(1), point (117), and Article 26(1), point (e), of Regulation (EU) No 575/2013.

The amount to be disclosed shall be net of any tax charge foreseeable at the moment of the calculation.

9

Adjustments to CET1 due to prudential filters

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Articles 32 to 35 of Regulation (EU) No 575/2013.

10

Other funds

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

11

(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1

The total sum of rows 12 to 18 shall be disclosed.

12

(-) Losses for the current financial year

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

13

(-) Goodwill

Article 9(1), point (i), of Regulation (EU) 2019/2033.

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

14

(-) Other intangible assets

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 4(1), point (115), Article 36(1), point (b), and Article 37, point (a), of Regulation (EU) No 575/2013.

Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.

15

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

Article 9(2), point (a), of Regulation (EU) 2019/2033.

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

16

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

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

17

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

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

18

(-) Other deductions

The sum of any other deductions listed in Article 36(1) of Regulation (EU) No 575/2013.

19

CET1: Other capital elements, deductions and adjustments

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

—

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

—

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

—

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

—

Other CET1 capital elements or deductions from a CET1 element that cannot be assigned to one of the rows 4 to 18.

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

20

ADDITIONAL TIER 1 CAPITAL

Article 9(1) of Regulation (EU) 2019/2033.

Article 61 of Regulation (EU) No 575/2013.

The total sum of rows 21 to 24 shall be disclosed.

21

Fully paid up, directly issued capital

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 51, point (a), and Articles 52, 53 and 54 of Regulation (EU) No 575/2013.

The amount to be disclosed shall not include the share premium related to the instruments.

22

Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 51, point (b), of Regulation (EU) No 575/2013.

Share premium has the same meaning as under the applicable accounting standard.

The amount to be disclosed in this item shall be the part related to the "Paid up capital instruments".

23

(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1

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

24

Additional Tier 1: Other capital elements, deductions and adjustments

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

—

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

—

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

—

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

—

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

—

Excess of deduction from AT1 items over AT1 Capital, deducted from CET1 in accordance with Article 36(1), point (j), of Regulation (EU) No 575/2013: Additional Tier 1 cannot be negative, but it is possible that the deductions from AT1 items exceed the amount of available AT1 items. Where this happens, this item represents the amount needed to increase the amount reported in row 20 to zero and equals the inverse of the excess of deductions from AT1 items over AT1 Capital included, among other deductions, in row 18.

—

Other AT1 capital elements or deductions from an AT1 element that cannot be assigned to one of the rows 21 to 23.

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

25

TIER 2 CAPITAL

Article 9(1) of Regulation (EU) 2019/2033.

Article 71 of Regulation (EU) No 575/2013.

The total sum of rows 26 to 29 shall be disclosed.

26

Fully paid up, directly issued capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 62, point (a), Articles 63 and 65 of Regulation (EU) No 575/2013.

The amount to be disclosed shall not include the share premium related to the instruments.

27

Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 62, point (b) and Article 65 of Regulation (EU) No 575/2013.

Share premium has the same meaning as under the applicable accounting standard.

The amount to be disclosed in this item shall be the part related to the "Paid up capital instruments".

29

(-) TOTAL DEDUCTIONS FROM TIER 2

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

30

Tier 2: Other capital elements, deductions and adjustments

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

—

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

—

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

—

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

—

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

—

Excess of deduction from T2 items over T2 Capital, deducted from AT1 in accordance with Article 56, point (e), of Regulation (EU) No 575/2013: Tier 2 cannot be negative, but it is possible that the deductions from T2 items exceed the amount of available T2 items. Where this happens, this item represents the amount needed to increase the amount reported in row 25 to zero.

—

Other T2 capital elements or deductions from a T2 element that cannot be assigned to one of the rows 26 to 28.

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

Template EU I CC1.03 – Composition of regulatory own funds (Group capital test)

Entities referred to in Article 8(3) of Regulation (EU) 2019/2033 that are benefitting from the application of that same Article shall disclose the information on composition of own funds in accordance with template EU I CC1.03 and with the following instructions.

Row

Legal references and instructions

1

OWN FUNDS

Article 9(1) of Regulation (EU) 2019/2033.

The own funds of an investment firm shall consist of the sum of its Tier 1 capital and Tier 2 capital.

2

TIER 1 CAPITAL

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

3

COMMON EQUITY TIER 1 CAPITAL

Article 9(1) of Regulation (EU) 2019/2033.

Article 50 of Regulation (EU) No 575/2013.

4

Paid up capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033

Article 26(1), point (a), and Articles 27 to 31 of Regulation (EU) No 575/2013

Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of Regulation (EU) No 575/2013) shall be included.

The share premium related to the instruments shall not be included.

Capital instruments subscribed by public authorities in emergency situations shall be included if all conditions of Article 31 of Regulation (EU) No 575/2013 are fulfilled.

5

Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 26(1), point (b), of Regulation (EU) No 575/2013.

Share premium has the same meaning as under the applicable accounting standard.

The amount to be disclosed in this item shall be the part related to the "Paid up capital instruments".

6

Retained earnings

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 26(1), point (c), of Regulation (EU) No 575/2013.

Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits

7

Previous years retained earnings

Article 4(1), point (123), and Article 26(1), point (c), of Regulation (EU) No 575/2013.

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

8

Profit or loss eligible

Article 4(1), point (121), Article 26(2) and Article 36(1), point (a), of Regulation (EU) No 575/2013.

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

On the other hand, losses shall be deducted from CET1, as stated in Article 36(1), point (a), of Regulation (EU) No 575/2013.

9

Accumulated other comprehensive income

Article 9(1), point (i), of Regulation (EU) 2019/2033.

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

10

Other reserves

Article 9(1), point (i), of Regulation (EU) 2019/2033

Article 4(1), point (117), and Article 26(1), point (e), of Regulation (EU) No 575/2013.

The amount to be disclosed shall be net of any tax charge foreseeable at the moment of the calculation.

11

Adjustments to CET1 due to prudential filters

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Articles 32 to 35 of Regulation (EU) No 575/2013.

12

Other funds

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

13

(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1

The total sum of rows 14 – 23 shall be disclosed.

14

(-) Own CET1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 36(1), point (f), of and Article 42 of Regulation (EU) No 575/2013.

Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 of Regulation (EU) No 575/2013.

Holdings on shares included as "Capital instruments not eligible" shall not be reported in this row.

The amount to be disclosed shall include the share premium related to the own shares.

15

(-) Losses for the current financial year

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

16

(-) Goodwill

Article 9(1), point (i), of Regulation (EU) 2019/2033.

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

17

(-) Other intangible assets

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 4(1), point (115), Article 36(1), point (b), and Article 37, point (a), of Regulation (EU) No 575/2013.

Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also pursuant the applicable accounting standard.

18

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

Article 9(2), point (a), of Regulation (EU) 2019/2033.

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

19

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

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

20

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

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

21

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

Article 9(2), point (c), of Regulation (EU) 2019/2033.

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

22

(-)Defined benefit pension fund assets

Article 9(2), point (b) of Regulation (EU) 2019/2033.

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

23

(-) Other deductions

The sum of any other deductions listed in Article 36(1) of Regulation (EU) No 575/2013.

24

CET1: Other capital elements, deductions and adjustments

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

—

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

—

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

—

Other CET1 capital elements or deductions from a CET1 element that cannot be assigned to one of the rows 4 to 23.

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

25

ADDITIONAL TIER 1 CAPITAL

Article 9(1) of Regulation (EU) 2019/2033.

Article 61 of Regulation (EU) No 575/2013.

The total sum of rows 26 to 28 and 32 shall be disclosed.

26

Paid up capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 51, point (a), and Articles 52, 53 and 54 of Regulation (EU) No 575/2013.

The amount to be disclosed shall not include the share premium related to the instruments.

27

Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 51, point (b), of Regulation (EU) No 575/2013.

Share premium has the same meaning as under the applicable accounting standard.

The amount to be disclosed in this item shall be the part related to the "Paid up capital instruments".

28

(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1

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

The total sum of rows 29 – 31 shall be disclosed.

29

(-) Own AT1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 52(1), point (b), Article 56, point (a), and Article 57 of Regulation (EU) No 575/2013.

Own AT1 instruments held by the investment firm at the reporting date. Subject to exceptions in Article 57 Regulation (EU) No 575/2013.

The amount to be disclosed shall include the share premium related to the own shares.

30

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

Article 9(2), point (c), of Regulation (EU) 2019/2033.

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

31

(-) Other deductions

The sum of all other deductions in accordance with Article 56 of Regulation (EU) No 575/2013, with the exception of the deductions in accordance with Article 56 of Regulation (EU) No 575/2013, point (d), that are not included in any of the rows 0340 or 0380 above.

32

Additional Tier 1: Other capital elements, deductions and adjustments

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

—

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

—

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

—

Excess of deduction from AT1 items over AT1 Capital, deducted from CET1 in accordance with Article 36(1), point (j), of Regulation (EU) No 575/2013: Additional Tier 1 cannot be negative, but it is possible that the deductions from AT1 items exceed the amount of available AT1 items. Where this happens, this item represents the amount needed to increase the amount reported in row 0300 to zero and equals the inverse of the excess of deductions from AT1 items over AT1 Capital included, among other deductions, in row 23.

—

Other AT1 capital elements or deductions from AT1 element that cannot be assigned to one of the rows 26 to 31.

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

33

TIER 2 CAPITAL

Article 9(1) of Regulation (EU) 2019/2033.

Article 71 of Regulation (EU) No 575/2013.

The total sum of rows 34 to 36 and 39 shall be disclosed.

34

Fully paid up, directly issued capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 62, point (a), Articles 63 and 65 of Regulation (EU) No 575/2013.

The amount to be disclosed shall not include the share premium related to the instruments.

35

Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 62, point (b), and Article 65 of Regulation (EU) No 575/2013.

Share premium has the same meaning as under the applicable accounting standard.

The amount to be disclosed in this item shall be the part related to the "Paid up capital instruments".

36

(-) TOTAL DEDUCTIONS FROM TIER 2

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

37

(-) Own T2 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

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

Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in Article 67 of Regulation (EU) No 575/2013.

Holdings on shares included as "Capital instruments not eligible" shall not be disclosed in this row.

The amount to be disclosed shall include the share premium related to the own shares.

38

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

Article 9(2), point (c), of Regulation (EU) 2019/2033.

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

39

Tier 2: Other capital elements, deductions and adjustments

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

—

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

—

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

—

Excess of deduction from T2 items over T2 Capital, deducted from AT1 in accordance with Article 56, point (e), of Regulation (EU) No 575/2013: Tier 2 cannot be negative, but it is possible that the deductions from T2 items exceed the amount of available T2 items. Where this happens, this item represents the amount needed to increase the amount reported in row 33 to zero.

—

Other T2 capital elements or deductions from a T2 element that cannot be assigned to one of the rows 34 to 38.

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

Template EU I CC2 – Reconciliation of regulatory own funds to balance sheet in the audited financial statements

Investment firms shall apply the instructions provided in this Annex in order to complete template EU I CC2 as presented in Annex VI, in accordance with Article 49(1) point (a), of Regulation (EU) 2019/2033.

Investment firms shall disclose the balance sheet included in their published financial statements. Financial statements shall be the audited financial statements for the year-end disclosures.

The rows of the template are flexible and shall be disclosed by investment firms in line with their financial statements. Own funds items in the audited financial statements shall include all items that are components of or are deducted from regulatory own funds, including equity, liabilities such as debt, or other balance sheet lines that affect regulatory own funds such as intangible assets, goodwill, deferred tax assets. Investment firms shall expand the own funds items of the balance sheet as necessary in order to ensure that all of the components included in the composition of own funds disclosure template (template EU I CC1) appear separately. Investment firms shall only expand elements of the balance sheet up to the level of granularity that is necessary for deriving the components required by template EU I CC1. Disclosure shall be proportionate to the complexity of the investment firm’s balance sheet.

The columns are fixed and shall be disclosed as follows:

a.

Column a: Investment firms shall include the figures reported in the balance sheet included in their audited financial statements according to the accounting scope of consolidation.

b.

Column b: Investment firms shall report the figures corresponding to the regulatory scope of consolidation.

c.

Column c: Investment firms shall include the cross-reference between the own funds item in template EU I CC2 and the relevant items in the own funds disclosure template EU I CC1. The reference in column c of template EU I CC2 will be linked to the reference included in column b of template EU I CC1.

In the following cases where investment firms’ scope of accounting consolidation and its scope of regulatory consolidation are exactly the same, only column (a) shall be filled and this fact shall be clearly disclosed:

d.

Where investment firms comply with the obligations laid down in Part Six of Regulation (EU) 2019/2033 on the prudential requirements of investment firms on a consolidated basis but the scope of consolidation and the method for consolidation used for the balance sheet in the financial statements are identical to the scope of consolidation and the method for consolidation defined pursuant to Part One, Title II, Chapter 2 of Regulation (EU) 2019/2033, and investment firms clearly state the absence of differences between the respective scopes and methods for consolidation in accompanying narrative to the template.

e.

Where investment firms meet the obligations laid down in Part Six of Regulation (EU) 2019/2033 on an individual basis.

Table EU I CCA – Main features of own instruments issued by the firm.

Investment firms shall apply the instructions provided in this Annex in order to complete table EU I CCA as presented in Annex VI, according to Article 49(1) point (b), of Regulation (EU) 2019/2033.

Investment firms shall complete table EU I CCA for the following categories: Common Equity Tier 1 instruments, Additional Tier 1 instruments and Tier 2 instruments.

The tables shall comprise separate columns with the features of each regulatory own fund instruments. In cases where different instruments of a same category have identical features, investment firms may complete only one column disclosing these identical features and identify the issuances to which the identical features refer.

Instructions for completing the own funds instruments issued by the firm main features table

Row number

Explanation

1

Issuer

Identifies issuer legal entity.

Free text

2

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

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

Free text

3

Public or private placement

Specifies if the instrument has been publicly or privately placed.

Select from menu: [Public] [Private]

4

Governing law(s) of the instrument

Specifies the governing law(s) of the instrument.

Free text

5

Instrument type (types to be specified by each jurisdiction)

Specifies instrument type, varying by jurisdiction.

For CET1 instruments, select name of the instrument in the CET1 list published by the EBA.

For other instruments, select from: menu options to be provided to investment firms by each jurisdiction – legal references of Regulation (EU) 2019/2033 articles for each type of instrument to be inserted.

6

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

Specifies the amount recognised in regulatory own funds (total amount of the instrument recognised before transitional provisions for the relevant level of the disclosure – currency used for the reporting obligations).

Free text – specify in particular if some parts of the instruments are in different tiers of the regulatory own funds and if the amount recognised in regulatory own funds is different from the amount issued.

7

Nominal amount of instrument

Nominal amount of instrument (in currency of issuance and currency used for the reporting obligations).

Free text

8

Issue price

Issue price of instrument.

Free text

9

Redemption price

Redemption price of instrument.

Free text

10

Accounting classification

Specifies accounting classification.

Select from menu: [Shareholders’ equity] [Liability – amortised cost] [Liability – fair value option] [Non-controlling interest in consolidated subsidiary]

11

Original date of issuance

Specifies date of issuance.

Free text

12

Perpetual or dated

Specifies whether dated or perpetual.

Select from menu: [Perpetual] [Dated]

13

Original maturity date

For dated instrument, specifies original maturity date (day, month and year). For perpetual instrument put ‘no maturity’.

Free text

14

Issuer call subject to prior supervisory approval

Specifies whether there is an issuer call option (all types of call options).

Select from menu: [Yes] [No]

15

Optional call date, contingent call dates and redemption amount

For instrument with issuer call option, specifies first date of call if the instrument has a call option on a specific date (day, month and year) and, in addition, specifies whether the instrument has a tax and/or regulatory event call. Also specifies the redemption price. Helps to assess permanence.

Free text

16

Subsequent call dates, if applicable

Specifies the existence and frequency of subsequent call dates, if applicable. Helps to assess permanence.

Free text

17

Fixed or floating dividend/coupon

Specifies whether the coupon/dividend is: either fixed over the life of the instrument, or floating over the life of the instrument, or currently fixed but will move to a floating rate in the future, or currently floating but will move to a fixed rate in the future.

Select from menu: [Fixed], [Floating] [Fixed to floating], [Floating to fixed]

18

Coupon rate and any related index

Specifies the coupon rate of the instrument and any related index that the coupon/dividend rate references.

Free text

19

Existence of a dividend stopper

Specifies whether the non-payment of a coupon or dividend on the instrument prohibits the payment of dividends on common shares (i.e. whether there is a dividend stopper).

Select from menu: [yes], [no]

20

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

Specifies whether the issuer has full discretion, partial discretion or no discretion over whether a coupon/dividend is paid. If the institution has full discretion to cancel coupon/dividend payments under all circumstances it must select ‘fully discretionary’ (including when there is a dividend stopper that does not have the effect of preventing the institution from cancelling payments on the instrument). If there are conditions that must be met before payment can be cancelled (e.g. own funds below a certain threshold), the institution must select ‘partially discretionary’. If the institution is unable to cancel the payment outside of insolvency, the institution must select ‘mandatory’.

Select from menu: [Fully discretionary] [Partially discretionary] [Mandatory]

Free text (specify the reasons for discretion, existence of dividend pushers, dividend stoppers, ACSM – Alternative Coupon Satisfaction Mechanism)

21

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

Specifies whether the issuer has full discretion, partial discretion or no discretion over the amount of the coupon/dividend.

Select from menu: [Fully discretionary] [Partially discretionary] [Mandatory]

22

Existence of step up or other incentive to redeem

Specifies whether there is a step-up or other incentive to redeem.

Select from menu: [Yes] [No]

23

Non-cumulative or cumulative

Specifies whether dividends/coupons are cumulative or noncumulative.

Select from menu: [Noncumulative] [Cumulative] [ACSM]

24

Convertible or non-convertible

Specifies whether instrument is convertible or not.

Select from menu: [Convertible] [Nonconvertible]

25

If convertible, conversion trigger(s)

Specifies the conditions under which the instrument will convert, including point of non-viability. Where one or more authorities have the ability to trigger conversion, the authorities shall be listed. For each of the authorities it shall be stated whether it is the terms of the contract of the instrument that provide the legal basis for the authority to trigger conversion (a contractual approach) or whether the legal basis is provided by statutory means (a statutory approach).

Free text

26

If convertible, fully or partially

Specifies whether the instrument will always convert fully, may convert fully or partially, or will always convert partially.

Select from menu: [Always Fully] [Fully or Partially] [Always partially]

27

If convertible, conversion rate

Specifies rate of conversion into the more loss-absorbing instrument.

Free text

28

If convertible, mandatory or optional conversion

For convertible instruments, specifies whether conversion is mandatory or optional.

Select from menu: [Mandatory] [Optional] [NA] and [at the option of the holders] [at the option of the issuer] [at the option of both the holders and the issuer]

29

If convertible, specify instrument type convertible into

For convertible instruments, specifies instrument type convertible into.

Select from menu: [Common Equity Tier 1] [Additional Tier 1] [Tier 2] [Other]

30

If convertible, specify issuer of instrument it converts into

If convertible, specify issuer of instrument it converts into.

Free text

31

Write-down features

Specifies whether there is a write down feature.

Select from menu: [Yes] [No]

32

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

Specifies the triggers at which write-down occurs, including point of non-viability. Where one or more authorities have the ability to trigger write-down, the authorities shall be listed. For each of the authorities it shall be stated whether it is the terms of the contract of the instrument that provide the legal basis for the authority to trigger write-down (a contractual approach) or whether the legal basis is provided by statutory means (a statutory approach).

Free text

33

If write-down, full or partial

Specifies whether the instrument will always be written down fully, may be written down partially, or will always be written down partially. Helps assess the level of loss absorbency at write-down.

Select from menu: [Always Fully] [Fully or Partially] [Always partially]

34

If write-down, permanent or temporary

For write down instrument, specifies whether write down is permanent or temporary.

Select from menu: [Permanent] [Temporary] [NA]

35

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

Describes the write-up mechanism.

Free text

36

Non-compliant transitioned features

Specification if there are non-compliant features.

Select from [yes] or [no].

37

If yes, specify non-compliant features

If there are non-compliant features, institution shall specify which ones.

Free text

38

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

Investment firms shall include the hyperlink that gives access to the prospectus of the issuance, including all the terms and conditions of the instrument.

ANNEX VIII

REPORTING ON GROUP CAPITAL TEST

INVESTMENT FIRMS TEMPLATES

Template number

Template code

Name of the template /group of templates

Short name

GROUP CAPITAL TEST

11,1

I 11.01

OWN FUNDS COMPOSITION - GROUP CAPITAL TEST

I11.1

11,2

I 11.02

OWN FUND INSTRUMENTS - GROUP CAPITAL TEST

I11.2

11,3

I 11.03

INFORMATION ON SUBSIDIARIES UNDERTAKINGS

I11.3

I 11.01 - OWN FUNDS COMPOSITION - GROUP CAPITAL TEST (I11.1)

Rows

Item

Amount

0010

0010

OWN FUNDS

0020

TIER 1 CAPITAL

0030

COMMON EQUITY TIER 1 CAPITAL

0040

Fully paid up capital instruments

0050

Share premium

0060

Retained earnings

0070

Previous years retained earnings

0080

Profit eligible

0090

Accumulated other comprehensive income

0100

Other reserves

0120

Adjustments to CET1 due to prudential filters

0130

Other funds

0145

(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1

0150

(-) Own CET1 instruments

0190

(-) Losses for the current financial year

0200

(-) Goodwill

0210

(-) Other intangible assets

0220

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

0230

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

0240

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

0250

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

0270

(-) Defined benefit pension fund assets

0280

(-) Other deductions

0295

CET1: Other capital elements, deductions and adjustments

0300

ADDITIONAL TIER 1 CAPITAL

0310

Fully paid up, directly issued capital instruments

0320

Share premium

0335

(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1

0340

(-) Own AT1 instruments

0380

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

0400

(-) Other deductions

0415

Additional Tier 1: Other capital elements, deductions and adjustments

0420

TIER 2 CAPITAL

0430

Fully paid up, directly issued capital instruments

0440

Share premium

0455

(-) TOTAL DEDUCTIONS FROM TIER 2

0460

(-) Own T2 instruments

0500

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

0525

Tier 2: Other capital elements, deductions and adjustments

I 11.02 - OWN FUND INSTRUMENTS - GROUP CAPITAL TEST (I11.2)

Amount

Rows

Item

0010

0010

CET1 instruments of financial sector entities in the investment firm group where the parent undertaking has a significant investment in those entities

0020

AT1 instruments of financial sector entities in the investment firm group where the parent undertaking has a significant investment in those entities

0030

T2 instruments of financial sector entities in the investment firm group where the parent undertaking has a significant investment in those entities

0040

Holdings of financial sector entities in the investment firm group to the extent that they do not constitute own funds for the group entity the parent is invested in

0050

Subordinated claims of financial sector entities in the investment firm group

0060

Contingent liabilities in favour of entities in the investment firm group

0070

Total own fund requirements for the subsidiary undertakings

I 11.03: INFORMATION ON SUBSIDIARIES UNDERTAKINGS (I11.3)

Code

Type of code

Name of the undertaking

Parent / subsidiary

Country

Investments by the parent undertaking

Contingent liabilities of the parent in favour of the entity

Total own fund requirements

CET1

AT1

T2

Holdings

Subordinated claims

Permanent minimum capital

K-factor requirement

Fixed overhead requirements

Assets under management

Client money held - Segregated

Client money held - Non - segregated

Assets safeguarded and administered

Client orders handled - Cash trades

Client orders handled - Derivatives Trades

K-Net positions risk requirement

Clearing margin given

Trading counterparty default

Daily trading flow - Cash trades

Daily trading flow - Derivative trades

K-Concentration risk requirement

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0200

0210

0220

0230

0240

0250

0260

0270

ANNEX IX

REPORTING ON GROUP CAPITAL TEST

Table of contents

PART I:

GENERAL INSTRUCTIONS

162

Structure and conventions

162

1.1

Structure

162

1.2

Numbering convention

162

1.3

Sign convention

162

PART II:

TEMPLATE RELATED INSTRUCTIONS

163

OWN FUNDS: LEVEL, COMPOSITION, REQUIREMENTS AND CALCULATION

163

1.1

General Remarks

163

1.2.

IF 11.01 – OWN FUNDS COMPOSITION – GROUP CAPITAL TEST (IF11.1)

163

1.2.1.

Instructions concerning specific positions

163

1.3

IF 11.02 OWN FUNDS REQUIREMENTS – GROUP CAPITAL TEST (IF11.2)

169

1.3.1.

Instructions concerning specific positions

169

1.4

IF 11.03 INFORMATION ON SUBSIDIARIES UNDERTAKINGS (IF11.3)

170

1.4.1.

Instructions concerning specific positions

170

PART I:

GENERAL INSTRUCTIONS

1. Structure and conventions

1.1 Structure

Overall, group capital test reporting consists of 2 templates:

(a)

Own funds composition

(b)

Own fund instruments.

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

1.2 Numbering convention

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.

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)

Template I 11.01 contains the compositions of the own funds that an investment firm holds: Common Equity Tier 1 capital (CET1), Additional Tier 1 capital (AT1) and Tier 2 capital (T2).

(b)

Template I 11.02 contains information on the ‘own fund requirements’ in the context of the group capital test, i.e. intragroup holdings, contingent liabilities and total own funds requirements of the subsidiaries.

(c)

Template I 11.03 contains the relevant information on capital requirements, contingent liabilities, subordinated claims and holdings of financial sector entities at subsidiary level, broken down entity-by-entity.

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

1.2. I 11.01 – OWN FUNDS COMPOSITION – GROUP CAPITAL TEST (I11.1)

1.2.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

OWN FUNDS

Article 9(1) of Regulation (EU) 2019/2033.

The own funds of an investment firm shall consist of the sum of its Tier 1 capital and Tier 2 capital.

0020

TIER 1 CAPITAL

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

0030

COMMON EQUITY TIER 1 CAPITAL

Article 9(1) of Regulation (EU) 2019/2033.

Article 50 of Regulation (EU) No 575/2013.

0040

Fully paid up capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 26(1), point (a), and Articles 27 to 31 of Regulation (EU) No 575/2013.

Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of Regulation (EU) No 575/2013) shall be included.

The share premium related to the instruments shall not be included.

Capital instruments subscribed by public authorities in emergency situations shall be included if all conditions of Article 31 of Regulation (EU) No 575/2013 are fulfilled.

0050

Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 26(1), point (b), of Regulation (EU) No 575/2013.

Share premium has the same meaning as under the applicable accounting standard.

The amount to be reported in this item shall be the part related to the "Paid up capital instruments".

0060

Retained earnings

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 26(1), point (c), of Regulation (EU) No 575/2013.

Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits.

The sum of rows 0070 and 0080 shall be reported.

0070

Previous years retained earnings

Article 4(1), point (123), and Article 26(1), point (c), of Regulation (EU) No 575/2013.

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

0080

Profit eligible

Article 4(1), point (121), Article 26(2) and Article 36(1), point (a), of Regulation (EU) No 575/2013.

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

0090

Accumulated other comprehensive income

Article 9(1), point (i), of Regulation (EU) 2019/2033.

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

0100

Other reserves

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 4(1), point (117), and Article 26(1), point (e), of Regulation (EU) No 575/2013.

The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.

0120

Adjustments to CET1 due to prudential filters

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Articles 32 to 35 of Regulation (EU) No 575/2013.

0130

Other funds

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

0145

(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1

Article 8(2), point (a), of Regulation (EU) 2019/2033, Article 36(1) of Regulation (EU) No 575/2013 with the exception of point (i) of that paragraph.

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

0150

(-) Own CET1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013.

Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 of Regulation (EU) No 575/2013.

Holdings on shares included as "Capital instruments not eligible" shall not be reported in this row.

The amount to be reported shall include the share premium related to the own shares.

0190

(-) Losses for the current financial year

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

0200

(-) Goodwill

Article 9(1), point (i), of Regulation (EU) 2019/2033.

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

0210

(-) Other intangible assets

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 4(1), point (115), Article 36(1), point (b), and Article 37, point (a), of Regulation (EU) No 575/2013.

Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also pursuant the applicable accounting standard.

0220

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

Article 9(2), point (a), of Regulation (EU) 2019/2033.

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

0230

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

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

0240

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

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

0250

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

Article 9(2), point (c), of Regulation (EU) 2019/2033.

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

Union parent in this row means Union parent investment firms, Union parent investment holding companies, Union parent mixed financial holding or any other parent undertaking that is an investment firms, financial institution, ancillary services undertaking or tied agent

0270

(-)Defined benefit pension fund assets

Article 9(2), point (b), of Regulation (EU) 2019/2033.

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

0280

(-) Other deductions

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

0295

CET1: Other capital elements, deductions and adjustments

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

—

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

—

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

—

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

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

0300

ADDITIONAL TIER 1 CAPITAL

Article 9(1) of Regulation (EU) 2019/2033.

Article 61 of Regulation (EU) No 575/2013.

0310

Fully paid up, directly issued capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 51, point (a), and Articles 52, 53 and 54 of Regulation (EU) No 575/2013.

The amount to be reported shall not include the share premium related to the instruments.

0320

Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 51, point (b), of Regulation (EU) No 575/2013.

Share premium has the same meaning as under the applicable accounting standard.

The amount to be reported in this item shall be the part related to the "Paid up capital instruments".

0335

(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1

Article 56 of Regulation (EU) No 575/2013, with the exception of point (d) of that article.

The total sum of rows 0340, 0380 and 0400 shall be reported.

0340

(-) Own AT1 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 52(1), point (b), Article 56, point (a), and Article 57 of Regulation (EU) No 575/2013.

Own AT1 instruments held by the investment firm at the reporting date. Subject to exceptions in Article 57 of Regulation (EU) No 575/2013.

The amount to be reported shall include the share premium related to the own shares.

0380

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

Article 9(2), point (c), of Regulation (EU) 2019/2033.

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

Union parent in this row means Union parent investment firms, Union parent investment holding companies, Union parent mixed financial holdings or any other parent undertaking that is an investment firms, financial institution, ancillary services undertaking or tied agent.

0400

(-) Other deductions

The sum of all other deductions in accordance with Article 56 of Regulation (EU) No 575/2013, with the exception of the deductions in accordance with Article 56, point (d), of Regulation (EU) No 575/2013, that are not included in any of the rows 0340 or 0380 above.

0415

Additional Tier 1: Other capital elements, deductions and adjustments

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

—

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

—

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

—

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

—

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

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

0420

TIER 2 CAPITAL

Article 9(1) of Regulation (EU) 2019/2033.

Article 71 of Regulation (EU) No 575/2013.

The total sum of rows 0430 to 0455 and 0525 shall be reported.

0430

Fully paid up, directly issued capital instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 62, point (a), Articles 63 and 65 of Regulation (EU) No 575/2013.

The amount to be reported shall not include the share premium related to the instruments.

0440

Share premium

Article 9(1), point (i), of Regulation (EU) 2019/2033.

Article 62, point (b), and Article 65 of Regulation (EU) No 575/2013.

Share premium has the same meaning as under the applicable accounting standard.

The amount to be reported in this item shall be the part related to the "Paid up capital instruments".

0455

(-) TOTAL DEDUCTIONS FROM TIER 2

Article 66 of Regulation (EU) No 575/2013, with the exception of point (d) of that article.

0460

(-) Own T2 instruments

Article 9(1), point (i), of Regulation (EU) 2019/2033.

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

Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in Article 67 of Regulation (EU) No 575/2013.

Holdings on shares included as "Capital instruments not eligible" shall not be reported in this row.

The amount to be reported shall include the share premium related to the own shares.

0500

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

Article 9(2), point (c), of Regulation (EU) 2019/2033.

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

Union parent in this row means Union parent investment firms, Union parent investment holding companies, Union parent mixed financial holdings or any other parent undertaking that is an investment firms, financial institution, ancillary services undertaking or tied agent.

0525

Tier 2: Other capital elements, deductions and adjustments

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

—

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

—

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

—

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

—

Other T2 capital elements or deductions from a T2 element that cannot be assigned to one of the rows 0430 to 0500.

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

1.3 I 11.02 OWN FUNDS REQUIREMENTS – GROUP CAPITAL TEST (I11.2)

1.3.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

CET1 instruments of financial sector entities in the investment firm group where the parent undertaking has a significant investment in those entities

Article 8(3), point (a), of Regulation (EU) 2019/2033 in conjunction with Article 36(1), point (i), of Regulation (EU) No 575/2013.

0020

AT1 instruments of financial sector entities in the investment firm group where the parent undertaking has a significant investment in those entities

Article 8(3), point (a), of Regulation (EU) 2019/2033 in conjunction with of Article 56, point (d), of Regulation (EU) No 575/2013.

0030

T2 instruments of financial sector entities in the investment firm group where the parent undertaking has a significant investment in those entities

Article 8(3), point (a), in conjunction with Article 66, point (d), of Regulation (EU) No 575/2013.

0040

Holdings of financial sector entities in the investment firm group to the extent that they do not constitute own funds for the group entity the parent is invested in

Article 8(3), point (a), of Regulation (EU) 2019/2033.

This row shall include holdings of the parent to the extent that they do not constitute own funds for the group entity the parent is invested in.

0050

Subordinated claims of financial sector entities in the investment firm group

Article 8(3), point (a), of Regulation (EU) 2019/2033.

This row shall include subordinated claims of the parent to the extent that they do not constitute own funds for the group entity the parent is invested in.

0060

Contingent liabilities in favour of entities in the investment firm group

Article 8(3), point (b), of Regulation (EU) 2019/2033.

0070

Total own fund requirements for the subsidiary undertakings

In case of application of Article 8(4) of Regulation (EU) 2019/2033.

1.4 IF 11.03 INFORMATION ON SUBSIDIARIES UNDERTAKINGS (IF11.3)

All entities included in the scope of the group capital test shall be reported in this template. This shall also include the parent undertaking of the group itself.

1.4.1. Instructions concerning specific positions

Columns

Legal references and instructions

0010

Code

The code as part of a row identifier must be unique for each reported entity. For investment firms and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.

0020

Type of code

The reporting entity shall identify the type of code reported in column 0010 as a ‘LEI code type’ or ‘Nationalcode type’.

The type of code shall always be reported.

0030

Name of the undertaking

Name of the undertaking within the scope of consolidation.

0040

Parent/subsidiary

Indicates whether the entity reported in the row is the parent of the group or a subsidiary

0050

Country

The country where the subsidiary is located shall be reported.

0060 – 0100

Investments by the parent undertaking

Article 8(3), point (a), of Regulation (EU) 2019/2033.

In this section, the investments of the parent undertaking in the group entities shall be reported.

0060

CET1

Article 8(3), point (a), of Regulation (EU) 2019/2033 in conjunction with Article 36(1), point (i), of Regulation (EU) No 575/2013.

0070

AT1

Article 8(3), point (a), of Regulation (EU) 2019/2033 in conjunction with Article 56, point (d), of Regulation (EU) No 575/2013.

0080

T2

Article 8(3), point (a), of Regulation (EU) 2019/2033 in conjunction with Article 66, point (d), of Regulation (EU) No 575/2013.

0090

Holdings

Article 8(3), point (a), of Regulation (EU) 2019/2033.

This column shall include holdings of the parent to the extent that they do not constitute own funds for the group entity the parent is invested in.

0100

Subordinated claims

Article 8(3), point (a), of Regulation (EU) 2019/2033.

This column shall include subordinated claims of the parent to the extent that they do not constitute own funds for the group entity the parent is invested in.

0110

Contingent liabilities of the parent in favour of the entity

Article 8(3),point (b), of Regulation (EU) 2019/2033.

0120

Total own fund requirements for the subsidiary undertakings

Article 8(4) of Regulation (EU) 2019/2033.

0130

Permanent minimum capital

Article 14 of Regulation (EU) 2019/2033.

0140

K-factor requirement

Article 15 of Regulation (EU) 2019/2033.

0150

Assets under management

Article 15(2) and Article 17 of Regulation (EU) 2019/2033.

0160

Client money held – Segregated

Article 15(2) and Article 18 of Regulation (EU) 2019/2033.

0170

Client money held – Non – segregated

Article 15(2) and Article 18 of Regulation (EU) 2019/2033.

0180

Assets safeguarded and administered

Article 15(2) and Article 19 of Regulation (EU) 2019/2033.

0190

Client orders handled – Cash trades

Article 15(2) and article 20(1) and article 20(2), point (a), of Regulation (EU) 2019/2033.

0200

Client orders handled – Derivatives Trades

Article 15(2) and article 20(1) and article 20(2), point (b), of Regulation (EU) 2019/2033.

0210

K-Net positions risk requirement

Article 22 of Regulation (EU) 2019/2033.

0220

Clearing margin given

Article 23(2) of Regulation (EU) 2019/2033.

0230

Trading counterparty default

Article 26 and Article 24 of Regulation (EU) 2019/2033.

0240

Daily trading flow – Cash trades

For the purposes of K-factor requirement calculation, investment firms shall report by applying the coefficient of Article 15(2) of Regulation (EU) 2019/2033.

In the event of stressed market conditions, in accordance with Article 15(5), point (c), of Regulation (EU) 2019/2033, investment firms shall apply an adjusted coefficient as specified in that point.

Daily trading flow factor shall be calculated in accordance with Article 33(2), point (a), of Regulation (EU) 2019/2033.

0250

Daily trading flow – Derivative trades

For the purposes of K-factor requirement calculation, investment firms shall report by applying the coefficient of Article 15(2) of Regulation (EU) 2019/2033.

In the event of stressed market conditions, in accordance with Article 15(5), point (c), of Regulation (EU) 2019/2033, investment firms shall apply an adjusted coefficient as specified in that point.

Daily trading flow factor shall be calculated in accordance with Article 33(2), point (b), of Regulation (EU) 2019/2033.

0260

K-Concentration risk requirement

Article 37(2), 39 and Article 24 of Regulation (EU) 2019/2033.

0270

Fixed overhead requirements

Article 13 of Regulation (EU) 2019/2033.

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