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Document 32021R2284

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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)

OJ L 458, 22.12.2021, p. 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)

Legal status of the document In force

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

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Official Journal

22.12.2021

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
Rows	Item	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
Rows	Item	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
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 03.00 - 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	Total CMH at reporting date	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	Total ASA at reporting date	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
Code	Type of code	Name	Group/Individual	Total earnings from this client	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

Structure and conventions

1.1

Structure

1.2

Numbering convention

1.3

Sign convention

1.4

Prudential consolidation

PART II:

TEMPLATE RELATED INSTRUCTIONS

OWN FUNDS: LEVEL, COMPOSITION, REQUIREMENTS AND CALCULATION

1.1

General Remarks

1.2.

I 01.00 – OWN FUNDS COMPOSITION (I 1)

1.2.1.

Instructions concerning specific positions

1.3.

I 02.01 – OWN FUND REQUIREMENTS (I 2.1)

1.3.1.

Instructions concerning specific positions

1.4.

I 02.02 – CAPITAL RATIOS (I 2.2)

1.4.1.

Instructions concerning specific positions

1.5.

I 03.00 – FIXED OVERHEADS REQUIREMENT CALCULATION (I 3)

1.5.1.

Instructions concerning specific positions

1.6.

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

1.6.1.

Instructions concerning specific positions

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

K-FACTOR REQUIREMENTS – ADDITIONAL DETAILS

3.2.

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

3.2.1.

Instructions concerning specific positions

3.3.

I 06.02 – MONTHLY ASSETS UNDER MANAGEMENT (I 6.2)

3.3.1.

Instructions concerning specific positions

3.4.

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

3.4.1.

Instructions concerning specific positions

3.5.

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

3.5.1.

Instructions concerning specific positions

3.6.

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

3.6.1.

Instructions concerning specific positions

3.7.

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

3.7.1.

Instructions concerning specific positions

3.8.

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

3.8.1.

Instructions concerning specific positions

3.9.

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

3.9.1.

Instructions concerning specific positions

3.10.

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

3.10.1.

Instructions concerning specific positions

3.11.

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

3.11.1

Instructions concerning specific positions

3.12.

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

3.12.1.

Instructions concerning specific positions

3.13.

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

3.13.1.

Instructions concerning specific positions

3.14.

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

3.14.1.

Instructions concerning specific positions

CONCENTRATION RISK REPORTING

4.1.

General Remarks

4.2.

I 07.00 – K-CON ADDITIONAL DETAILS (I7)

4.2.1.

Instructions concerning specific positions

4.3.

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

4.3.1.

Instructions concerning specific columns

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

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

1.1 General Remarks

10.

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

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

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

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

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

11.

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

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

1.2.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

OWN FUNDS

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

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

0020

TIER 1 CAPITAL

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

0030

COMMON EQUITY TIER 1 CAPITAL

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

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

0040

Fully paid up capital instruments

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

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

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

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

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

0050

Share premium

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

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

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

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

0060

Retained earnings

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

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

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

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

0070

Previous years retained earnings

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

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

0080

Profit eligible

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

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

0090

Accumulated other comprehensive income

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

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

0100

Other reserves

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

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

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

0110

Minority interest given recognition in CET1 capital

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

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

0120

Adjustments to CET1 due to prudential filters

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

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

0130

Other funds

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

0140

(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1

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

0150

(-) Own CET1 instruments

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

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

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

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

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

0160

(-) Direct holdings of CET1 instruments

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

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

Common Equity Tier 1 instruments held by the investment firm.

0170

(-) Indirect holdings of CET1 instruments

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

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

Common Equity Tier 1 instruments held by the investment firm.

0180

(-) Synthetic holdings of CET1 instruments

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

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

0190

(-) Losses for the current financial year

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

0200

(-) Goodwill

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

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

0210

(-) Other intangible assets

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

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

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

0220

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

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

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

0230

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

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

0240

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

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

0250

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

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

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

0260

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

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

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

0270

(-)Defined benefit pension fund assets

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

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

0280

(-) Other deductions

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

0290

CET1: Other capital elements, deductions and adjustments

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

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

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

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

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

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

0300

ADDITIONAL TIER 1 CAPITAL

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

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

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

0310

Fully paid up, directly issued capital instruments

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

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

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

0320

Share premium

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

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

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

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

0330

(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1

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

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

0340

(-) Own AT1 instruments

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

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

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

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

0350

(-) Direct holdings of AT1 instruments

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

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

0360

(-) Indirect holdings of AT1 instruments

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

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

0370

(-) Synthetic holdings of AT1 instruments

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

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

0380

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

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

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

0390

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

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

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

0400

(-) Other deductions

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

0410

Additional Tier 1: Other capital elements, deductions and adjustments

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

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

—

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

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

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

—

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

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

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

0420

TIER 2 CAPITAL

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

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

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

0430

Fully paid up, directly issued capital instruments

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

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

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

0440

Share premium

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

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

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

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

0450

(-) TOTAL DEDUCTIONS FROM TIER 2

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

0460

(-) Own T2 instruments

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

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

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

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

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

0470

(-) Direct holdings of T2 instruments

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

0480

(-) Indirect holdings of T2 instruments

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

0490

(-) Synthetic holdings of T2 instruments

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

0500

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

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

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

0510

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

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

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

0520

Tier 2: Other capital elements, deductions and adjustments

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

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

—

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

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

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

—

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

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

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

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

1.3.1. Instructions concerning specific positions

Row	Legal references and instructions
0010	Own fund requirement Article 11(1) of Regulation (EU) 2019/2033. The amount shall be the amount without application of Article 57(3), (4) or (6) of Regulation (EU) 2019/2033. The amount to be reported in this row shall be the maximum amount reported in rows 0020, 0030 and 0040.
0020	Permanent minimum capital requirement Article 14 of Regulation (EU) 2019/2033 The amount shall be the amount without application of Article 57(3), (4) or (6) of Regulation (EU) 2019/2033.
0030	Fixed overhead requirement Article 13 of Regulation (EU) 2019/2033. The amount shall be the amount without application of Article 57(3), (4) or (6) of Regulation (EU) 2019/2033.
0040	Total K-Factor Requirement Article 15 of Regulation (EU) 2019/2033. The amount shall be the amount without application of Article 57(3), (4) or (6) of Regulation (EU) 2019/2033.
0050 – 0100	Transitional own funds requirements
0050	Transitional requirement based on Regulation (EU) No 575/2013 own funds requirements Article 57(3), point (a), of Regulation (EU) 2019/2033.
0060	Transitional requirement based on fixed overhead requirement Article 57(3), point (b), of Regulation (EU) 2019/2033.
0070	Transitional requirement for investment firms previously subject only to an initial capital requirement Article 57(4), point (a), of Regulation (EU) 2019/2033.
0080	Transitional requirement based on initial capital requirement at authorisation Article 57(4), point (b), of Regulation (EU) 2019/2033.
0090	Transitional requirement for investment firms that are not authorised to provide certain services Article 57(4), point (c), of Regulation (EU) 2019/2033.
0100	Transitional requirement of at least 250 000 EUR Article 57(6) of Regulation (EU) 2019/2033.
0110 – 0130	Memorandum items
0110	Additional own funds requirement Article 40 Directive (EU) 2019/2034. Additional own funds required following the SREP.
0120	Additional own funds guidance Article 41 of Directive (EU) 2019/2034. Additional own funds required as additional own funds guidance.
0130	Total own funds requirement The total own funds requirement of an investment firm shall consist of the sum of its own funds requirements applicable at the reference date, the additional own funds requirement as reported in row 0110 and the additional own funds guidance as reported in row 0120.

1.4. I 02.02 – CAPITAL RATIOS (I 2.2)

1.4.1. Instructions concerning specific positions

Row	Legal references and instructions
0010	CET 1 Ratio Article 9(1), point (a), and Article 11(1) of Regulation (EU) 2019/2033. Article 9(4) of Regulation (EU) 2019/2033. This item is expressed as a percentage.
0020	Surplus(+)/Deficit(-) of CET 1 Capital This item shows the surplus or deficit of CET1 Capital relating to the requirement set in Article 9(1) of Regulation (EU) 2019/2033. The transitional provisions of Article 57(3) and (4) of Regulation (EU) 2019/2033 shall not be considered for this item.
0030	Tier 1 Ratio Article 9(1), point (b), and Article 11(1) of Regulation (EU) 2019/2033. This item is expressed as a percentage.
0040	Surplus(+)/Deficit(-) of Tier 1 Capital This item shows the surplus or deficit of Tier 1 Capital relating to the requirement set in Article 9(1) of Regulation (EU) 2019/2033. The transitional provisions of Article 57(3) and (4) of Regulation (EU) 2019/2033 shall not be considered for this item.
0050	Own Funds Ratio Article 9(1), point (c), and Article 11(1) of Regulation (EU) 2019/2033. This item is expressed as a percentage.
0060	Surplus(+)/Deficit(-) of Total capital This item shows the surplus or deficit of own funds relating to the requirement set in Article 9(1) of Regulation (EU) 2019/2033. The transitional provisions of Article 57(3) and (4) of Regulation (EU) 2019/2033 shall not be considered for this item.

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

1.5.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

Fixed Overhead Requirement

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

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

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

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

0020

Annual fixed overheads of the previous year after distribution of profits

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

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

0030

Total expenses of the previous year after the distribution of profits

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

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

0040

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

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

0050

(-)Total deductions

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

(a)

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

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

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

(d)	losses from trading on own account in financial instruments;

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

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

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

0060

(-)Staff bonuses and other remuneration

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

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

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

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

0070

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

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

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

0080

(-)Other discretionary payments of profits and variable remuneration

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

0090

(-)Shared commission and fees payable

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

0100

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

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

0110

(-)Fees to tied agents

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

0120

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

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

0130

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

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

0140

(-)Expenditures from taxes

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

0150

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

Losses due to trading on own account in financial instruments.

0160

(-)Contract based profit and loss transfer agreements

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

0170

(-)Expenditure on raw materials

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

0180

(-)Payments into a fund for general banking risk

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

0190

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

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

0200

Projected fixed overheads of the current year

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

0210

Variation of fixed overheads (%)

The amount shall be reported as the absolute value of:

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

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

1.6.1. Instructions concerning specific positions

Row	Legal references and instructions
0010	TOTAL K-FACTOR REQUIREMENT Article 15(1) of Regulation (EU) 2019/2033.
0020	Risk to client Article 16 of Regulation (EU) 2019/2033. The amount reported shall be the sum of rows 0030-0080.
0030	Assets under management Article 15(2) and Article 17 of Regulation (EU) 2019/2033. Assets under management shall contain the discretionary portfolio management and non-discretionary advisory arrangements.
0040	Client money held – Segregated Article 15(2) and Article 18 of Regulation (EU) 2019/2033.
0050	Client money held – Non – segregated Article 15(2) and Article 18 of Regulation (EU) 2019/2033.
0060	Assets safeguarded and administered Article 15(2) and Article 19 of Regulation (EU) 2019/2033.
0070	Client orders handled – Cash trades Article 15(2) and article 20(1) and Article 20(2), point (a), of Regulation (EU) 2019/2033.
0080	Client orders handled – Derivatives Trades Article 15(2) and Article 20(1) and Article 20(2), point (b), of Regulation (EU) 2019/2033.
0090	Risk to market Article 21(1) of Regulation (EU) 2019/2033. The amount reported shall be the sum of rows 0100 – 0110.
0100	K-Net positions risk requirement Article 22 of Regulation (EU) 2019/2033.
0110	Clearing margin given Article 23(2) of Regulation (EU) 2019/2033.
0120	Risk to firm Article 24 of Regulation (EU) 2019/2033. The amount reported shall be the sum of rows 0130 – 0160.
0130	Trading counterparty default Article 26 and Article 24 of Regulation (EU) 2019/2033.
0140	Daily trading flow – Cash trades For the purposes of K-factor requirement calculation, investment firms shall report by applying the coefficient of Article 15(2) of Regulation (EU) 2019/2033. In the event of stressed market conditions, in accordance with Article 15(5), point (c), of Regulation (EU) 2019/2033, investment firms shall apply an adjusted coefficient as specified in Article 1(1), point (a), of the RTS to specify adjustments to the K-DTF coefficients. The daily trading flow factor shall be calculated in accordance with Article 33(2), point (a), of Regulation (EU) 2019/2033.
0150	Daily trading flow – Derivative trades For the purposes of the K-factor requirement calculation, investment firms shall report by applying the coefficient of Article 15(2) of Regulation (EU) 2019/2033. In the event of stressed market conditions, in accordance with Article 15(5), point (c), of Regulation (EU) 2019/2033, investment firms shall apply an adjusted coefficient as specified in Article 1(1), point (b), of the RTS to specify adjustments to the K-DTF coefficients. The daily trading flow factor shall be calculated in accordance with Article 33(2), point (b) of Regulation (EU) 2019/2033.
0160	K-Concentration risk requirement Article 37(2), Article 39 and Article 24 of Regulation (EU) 2019/2033.

Columns

Legal references and instructions

0010

Factor amount

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

0020

K-Factor requirement

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

2. SMALL AND NON-INTERCONNECTED INVESTMENT FIRMS

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

2.1.1. Instructions concerning specific positions

Row	Legal references and instructions
0010	(Combined) assets under management Article 12(1), point (a), of Regulation (EU) 2019/2033. Where the reporting investment firm is part of a group, the value reported shall be determined on a combined basis for all investment firms that are part of a group pursuant to Article 12(2) of Regulation (EU) 2019/2033. Investment firms shall include discretionary and non-discretionary assets under management. The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.
0020	(Combined) client orders handled – Cash trades Article 12(1), point (b)(i), of Regulation (EU) 2019/2033. Where the reporting investment firm is part of a group, the value reported shall be determined on a combined basis for all investment firms that are part of a group pursuant to Article 12(2) of Regulation (EU) 2019/2033. The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.
0030	(Combined) client orders handled – Derivatives Article 12(1), point (b)(ii), of Regulation (EU) 2019/2033. Where the reporting investment firm is part of a group, the value reported shall be determined on a combined basis for all investment firms that are part of a group pursuant to Article 12(2) of Regulation (EU) 2019/2033. The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.
0040	Assets safeguarded and administered Article 12(1), point (c), of Regulation (EU) 2019/2033. The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.
0050	Client money held Article 12(1), point (d), of Regulation (EU) 2019/2033. The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.
0060	Daily trading flow – cash trades and derivative trades Article 12(1), point (e), of Regulation (EU) 2019/2033. The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.
0070	Net position risk Article 12(1), point (f), of Regulation (EU) 2019/2033. The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.
0080	Clearing margin given Article 12(1), point (f), of Regulation (EU) 2019/2033. The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.
0090	Trading counterparty default Article 12(1), point (g), of Regulation (EU) 2019/2033. The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.
0100	(Combined) on – and off-balance sheet total Article 12(1), point (h), of Regulation (EU) 2019/2033. Where the reporting investment firm is part of a group, the value reported shall be determined on a combined basis for all investment firms that are part of a group pursuant to Article 12(2) of Regulation (EU) 2019/2033.
0110	Combined total annual gross revenue Article 12(1), point (i), of Regulation (EU) 2019/2033. Where the reporting investment firm is part of a group, the value reported shall be determined on a combined basis for all investment firms that are part of a group pursuant to Article 12(2) of Regulation (EU) 2019/2033.
0120	Total annual gross revenue The value of total annual gross revenue excluding the gross revenues generated within the group pursuant to Article 12(2) of Regulation (EU) 2019/2033.
0130	(-) Intragroup part of the annual gross revenue The value of the gross revenues generated within the investment firm group pursuant to Article 12(2) of Regulation (EU) 2019/2033.
0140	Of which: revenue from reception and transmission of orders Article 54(1), point (d), of Regulation (EU) 2019/2033. Article 4(1), point (2), of Directive 2014/65/EU.
0150	Of which: revenue from execution of orders on behalf of clients Article 54(1), point (d), of Regulation (EU) 2019/2033. Article 4(1), point (2), of Directive 2014/65/EU.
0160	Of which: revenue from dealing on own account Article 54(1), point (d), of Regulation (EU) 2019/2033. Article 4(1), point (2), of Directive 2014/65/EU.
0170	Of which:revenue from portfolio management Article 54(1), point (d), of Regulation (EU) 2019/2033. Article 4(1), point (2), of Directive 2014/65/EU.
0180	Of which: revenue from investment advice Article 54(1), point (d), of Regulation (EU) 2019/2033. Article 4(1), point (2), of Directive 2014/65/EU.
0190	Of which: revenue from underwriting of financial instruments/placing on a firm commitment basis Article 54(1), point (d), of Regulation (EU) 2019/2033. Article 4(1), point (2), of Directive 2014/65/EU.
0200	Of which: revenue from placing without a firm commitment basis Article 54(1), point (d), of Regulation (EU) 2019/2033 Article 4(1), point (2), of Directive 2014/65/EU.
0210	Of which: revenue from operation of an MTF Article 54(1), point (d), of Regulation (EU) 2019/2033. Article 4(1), point (2), of Directive 2014/65/EU.
0220	Of which: revenue from operation of an OTF Article 54(1), point (d), of Regulation (EU) 2019/2033. Article 4(1), point (2), of Directive 2014/65/EU.
0230	Of which: revenue from safekeeping and administration of financial instruments Article 54(1), point (d), of Regulation (EU) 2019/2033. Article 4(1), point (3), of Directive 2014/65/EU.
0240	Of which: revenue from granting credits or loans to investors Article 54(1), point (d), of Regulation (EU) 2019/2033. Article 4(1), point (3), of Directive 2014/65/EU.
0250	Of which: revenue from advice to undertakings on capital structure, industrial strategy and related matters and advice and services relating to mergers and the purchase of undertakings Article 54(1), point (d), of Regulation (EU) 2019/2033. Article 4(1), point (3), of Directive 2014/65/EU.
0260	Of which: revenue from foreign exchange services Article 54(1), point (d), of Regulation (EU) 2019/2033. Article 4(1), point (3), of Directive 2014/65/EU.
0270	Of which: investment research and financial analysis Article 54(1), point (d), of Regulation (EU) 2019/2033. Article 4(1), point (3), of Directive 2014/65/EU.
0280	Of which: revenue from services related to underwriting Article 54(1), point (d), of Regulation (EU) 2019/2033. Article 4(1), point (3), of Directive 2014/65/EU.
0290	Of which: investment services and ancillary activities related with the underlying of derivatives Article 54(1), point (d), of Regulation (EU) 2019/2033. Article 4(1), point (3), of Directive 2014/65/EU.

3. K-FACTOR REQUIREMENTS – ADDITIONAL DETAILS

3.1. General remarks

12.

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

13.

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

14.

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

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

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

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

3.2.1. Instructions concerning specific positions

Row	Legal references and instructions
0010	Total AUM (average amounts) Article 4(1), point (27), of Regulation (EU) 2019/2033. Total AUM value as an arithmetic mean in accordance with Article 17(1), first subparagraph, of Regulation (EU) 2019/2033. The value reported shall be the sum of rows 0020 and 0040.
0020	Of which: AUM – Discretionary portfolio management Total amount of assets in relation to which the investment firm performs the service of portfolio management as defined in Article 4(1), point (8), of Directive 2014/65/EU and calculated in accordance with Article 17(1) of Regulation (EU) 2019/2033.
0030	Of which: AUM formally delegated to another entity Article 17(2) of Regulation (EU) 2019/2033.
0040	AUM – Ongoing non-discretionary advice Total amount of assets in relation to which the investment firm performs the service of investment advice as defined in Article 4(1), point (4), of Directive 2014/65/EU on an ongoing and non-discretionary basis.

Columns	Legal references and instructions
0010	Factor amount – Month t AUM for the end of the third month (i.e. the most recent) of the quarter the report refers to.
0020	Factor amount – Month t-1 AUM for the second month of the quarter the report refers to.
0030	Factor amount – Month t-2 AUM for the first month of the quarter the report refers to.

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

3.3.1. Instructions concerning specific positions

Row	Legal references and instructions
0010	Total monthly assets under management Article 4(1), point (27), of Regulation (EU) 2019/2033. The total monthly assets under management as of the last business day of the relevant month as referred to in Article 17(1) of Regulation (EU) 2019/2033. The amount reported in this row shall be the sum of rows 0020 and 0040.
0020	Monthly assets under management – discretionary portfolio management The amount reported shall be the monthly assets in relation to which the investment firm performs the service of portfolio management as defined in Article 4(1), point (8), of Directive 2014/65/EU as of the last business day of the relevant month as referred to in Article 17(1) of Regulation (EU) 2019/2033.
0030	Of which: assets formally delegated to another entity Article 17(2) of Regulation (EU) 2019/2033. Monthly assets which management was formally delegated to another entity reported as of the last business day of the relevant month.
0040	Monthly assets under management – Ongoing non-discretionary advice Total amount of assets in relation to which the investment firm performs the service of investment advice as defined in Article 4(1), point (4), of Directive 2014/65/EU on an ongoing and non-discretionary basis reported as of the last business day of the relevant month.

Columns

Legal references and instructions

0010-0140

End-of-month values

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

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

3.4.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

CMH – Segregated (average amounts)

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

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

0020

CMH – Non-segregated (average amounts)

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

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

Columns	Legal references and instructions
0010	Factor amount – Month t CMH for the end of the third month (i.e. the most recent) of the quarter the report refers to. This amount is calculated as the arithmetic mean of daily amounts within the time period specified in Article 18(1) of Regulation (EU) 2019/2033.
0020	Factor amount – Month t-1 CMH for the end of the second month of the quarter the report refers to. This amount is calculated as the arithmetic mean of daily amounts within the time period specified in Article 18(1) of Regulation (EU) 2019/2033.
0030	Factor amount – Month t-2 CMH for the end of the first month of the quarter the report refers to. This amount is calculated as the arithmetic mean of daily amounts within the time period specified in Article 18(1) of Regulation (EU) 2019/2033.

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

3.5.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

Total daily client money held – Segregated

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

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

0020

Total daily client money held – Non-segregated

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

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

Columns

Legal references and instructions

0010-0080

Monthly averages of total daily client money held values

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

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

3.6.1. Instructions concerning specific positions

Row	Legal references and instructions
0010	Total ASA (average amounts) Article 4(1), point (29), of Regulation (EU) 2019/2033. Article 5(1) of the RTS to specify the methods for measuring the K-factors (Article 15(5), point (a), of Regulation (EU) 2019/2033). Total ASA value as a rolling average of the value of the total daily assets safeguarded and administered, measured at the end of each business day for the previous nine months, excluding the three most recent months in accordance with Article 19(1), first subparagraph of Regulation (EU) 2019/2033.
0020	Of which: Fair value of financial instruments (Level 2) Article 5(1), point (a), of the RTS to specify the methods for measuring the K-factors (Article 15(5), point (a), of Regulation (EU) 2019/2033). Level 2 financial instruments valuated pursuant to IFRS 13.81.
0030	Of which: Fair value of financial instruments (Level 3) Article 5(1), point (a), of the RTS to specify the methods for measuring the K-factors (Article 15(5), point (a), of Regulation (EU) 2019/2033. Valuation based on unobservable inputs using the best information available IFRS 13.86.
0040	Of which: assets formally delegated to another financial entity Article 19(2) of Regulation (EU) 2019/2033. Value of assets which safeguarding and administration was formally delegated to another financial entity as an arithmetic mean in accordance with Article 19(1), first subparagraph of Regulation (EU) 2019/2033.
0050	Of which: assets of another financial entity that has formally delegated to the investment firm Article 19(2) of Regulation (EU) 2019/2033. Value of assets of another financial entity that has formally delegated safeguarding and administration to the investment firm as an arithmetic mean in accordance with Article 19(1), first subparagraph of Regulation (EU) 2019/2033.

Columns	Legal references and instructions
0010	Factor amount – Month t ASA for the end of the third month (i.e. the most recent) of the quarter the report refers to.
0020	Factor amount – Month t-1 ASA for the end of the second month of the quarter the report refers to.
0030	Factor amount – Month t-2 ASA for the end of the first month of the quarter the report refers to.

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

3.7.1. Instructions concerning specific positions

Row	Legal references and instructions
0010	Assets safeguarded and administered Article 4(1), point (29), of Regulation (EU) 2019/2033. Article 5(1) of the RTS to specify the methods for measuring the K-factors (Article 15(5), point (a), of Regulation (EU) 2019/2033). The value reported shall be the monthly average of the total daily assets safeguarded and administered in accordance with Article 19(1) of Regulation (EU) 2019/2033.
0020	Of which: Fair value of financial instruments (Level 2) Article 5(2) of the RTS to specify the methods for measuring the K-factors (Article 15(5), point (a), of Regulation (EU) 2019/2033. Level 2 financial instruments valuated pursuant to IFRS 13.81.
0030	Of which: Fair value of financial instruments (Level 3) Article 5(1), point (a), of the RTS to specify the methods for measuring the K-factors (Article 15(5), point (a), of Regulation (EU) 2019/2033. Valuation based on unobservable inputs using the best information available IFRS 13.86.
0040	Of which: assets formally delegated to another financial entity Article 19(2) of Regulation (EU) 2019/2033. The value reported shall be the monthly average of the total daily assets which safeguarding and administration was formally delegated to another financial entity in accordance with Article 19(1) of Regulation (EU) 2019/2033.
0050	Of which: assets of another financial entity that has formally delegated to the investment firm Article 19(2) of Regulation (EU) 2019/2033. The value reported shall be the monthly average of the total daily assets of another financial entity that has formally delegated safeguarding and administration to the investment firm in accordance with Article 19(1) of Regulation (EU) 2019/2033.

Columns

Legal references and instructions

0010-0080

Monthly averages of total daily assets safeguarded and administered values

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

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

3.8.1. Instructions concerning specific positions

Row	Legal references and instructions
0010	COH – Cash trades (average amounts) Value of COH – cash trades as defined in Article 4(1), point (30), of Regulation (EU) 2019/2033 and measured pursuant to Article 20(1) of Regulation (EU) 2019/2033. Investment firms shall report the arithmetic mean amount of COH – cash trades for the previous six months, excluding the three most recent months according with Article 20(1), first subparagraph of Regulation (EU) 2019/2033 and shall be measured pursuant to Article 20(2), point (a), of Regulation (EU) 2019/2033.
0020	Of which: Execution of client orders COH for cash trades in relation to which the investment firm perform the service of execution of client orders in client’s name as defined in Article 4(1), point (5), of Directive 2014/65/EU. The arithmetic mean amount of COH value for the previous six months, excluding the three most recent months according with Article 20(1), first subparagraph of Regulation (EU) 2019/2033 shall be reported.
0030	Of which: Reception and transmission of client orders COH for cash trades in relation to which the investment firm perform the service of reception and transmission of client orders. The arithmetic mean amount of COH value for the previous six months, excluding the three most recent months according with Article 20(1), first subparagraph of Regulation (EU) 2019/2033 shall be reported.
0040	COH – Derivatives (average amounts) Article 4(1), point (30), of Regulation (EU) 2019/2033. Investment firms shall report the arithmetic mean amount of COH – derivatives for the previous six months, excluding the three most recent months according with Article 20(1), first subparagraph of Regulation (EU) 2019/2033 and shall be measured pursuant to Article 20(2), point (b), of Regulation (EU) 2019/2033.
0050	Of which: Execution of client orders COH for derivative trades in relation to which the investment firm perform the service of execution of client orders in client’s name as defined in Article 4(1), point (5), of Directive 2014/65/EU. The arithmetic mean amount of COH value for the previous six months, excluding the three most recent months, pursuant to Article 20(1), first subparagraph of Regulation (EU) 2019/2033 shall be reported.
0060	Of which: Reception and transmission of client orders COH for derivative trades in relation to which the investment firm perform the service of reception and transmission of client orders. The arithmetic mean amount of COH value for the previous six months, excluding the three most recent months pursuant to Article 20(1), first subparagraph, of Regulation (EU) 2019/2033 shall be reported.

Columns	Legal references and instructions
0010	Factor amount – Month t Value of COH as of the end of the third month (i.e. the most recent) of the quarter the report refers to.
0020	Factor amount – Month t-1 Value of COH as of the end of the second month of the quarter the report refers to.
0030	Factor amount – Month t-2 Value of COH as of the end of the first month of the quarter the report refers to.

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

3.9.1. Instructions concerning specific positions

Row	Legal references and instructions
0010	Total daily client orders handled – Cash trades Article 4(1), point (30), of Regulation (EU) 2019/2033. The average value of the total daily client orders handled (cash trades) of the relevant month as referred to in Article 20(1) of Regulation (EU) 2019/2033 and shall be measured pursuant to Article 20(2), point (a), of Regulation (EU) 2019/2033.
0020	Of which: Execution of client orders The average value of the total daily client orders handled for cash trades in relation to which the investment firm perform the service of execution of client orders in client’s name as defined in Article 4(1), point (5), of Directive 2014/65/EU.
0030	Of which: Reception and transmission of client orders The average value of the total daily client orders handled for cash trades in relation to which the investment firm perform the service of reception and transmission of client orders.
0040	Total daily client orders handled – Derivatives Article 4(1), point (30), of Regulation (EU) 2019/2033. The average value of the total daily client orders handled (derivatives) of the relevant month as referred to in Article 20(1) of Regulation (EU) 2019/2033 and shall be measured pursuant to Article 20(2), point (b), of Regulation (EU) 2019/2033.
0050	Of which: Execution of client orders The average value of the total daily client orders handled for derivative trades in relation to which the investment firm perform the service of execution of client orders in client’s name as defined in Article 4(1), point (5), of Directive 2014/65/EU.
0060	Of which: Reception and transmission of client orders The average value of the total daily client orders handled for derivative trades in relation to which the investment firm perform the service of reception and transmission of client orders.

Columns

Legal references and instructions

0010-0050

Monthly averages of total daily client orders handled values

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

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

3.10.1. Instructions concerning specific positions

Row	Legal references and instructions
0010	Total standardised approach Article 22 (a) of Regulation (EU) 2019/2033. Positions in for which an own funds requirement is determined in accordance with Chapters 2, 3 or 4 of Title IV of Part Three of Regulation (EU) No 575/2013.
0020	Position risk Article 22 (a) and 21(3) of Regulation (EU) 2019/2033. Trading book positions in for which an own funds requirement for position risk is determined in accordance with Chapter 2 of Title IV of Part Three of Regulation (EU) No 575/2013.
0030	Equity instruments Articles 22(a) and 21(3) of Regulation (EU) 2019/2033. Trading book positions in equity instruments for which an own funds requirement is determined in accordance with Section 3 of Chapter 2 of Title IV of Part Three of Regulation (EU) No 575/2013.
0040	Debt instruments Articles 22(a) and 21(3) of Regulation (EU) 2019/2033. Trading book positions in debt instruments for which an own funds requirement is determined in accordance with Section 2 of Chapter 2 of Title IV of Part Three of Regulation (EU) No 575/2013.
0050	Of which: securitisations Articles 22 (a) and 21(3) of Regulation (EU) 2019/2033. Positions in securitisation instruments as referred to in Article 337 of Regulation (EU) No 575/2013 and positions in the correlation trading portfolio as referred to in Article 338 of Regulation (EU) No 575/2013.
0055	Particular approach for position risk in CIUs Article 22 (a) and 21(3) of Regulation (EU) 2019/2033. Total risk exposure amount for positions in CIUs if capital requirements are calculated in accordance with Article 348(1) of Regulation (EU) No 575/2013 either immediately or as a consequence of the cap defined in Article 350(3), point (c), of Regulation (EU) No 575/2013. Regulation (EU) No 575/2013 does not explicitly assign those positions to either the interest rate risk or the equity risk. If the particular approach in accordance with the first sentence of Article 348(1) of Regulation (EU) No 575/2013 is applied, the amount to be reported is 32 % of the net position of the CIU exposure in question. If the particular approach in accordance with the second sentence of Article 348(1) of Regulation (EU) No 575/2013 is applied, the amount to be reported is the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure.
0060	Foreign exchange risk Article 22(a) and Article 21 paragraphs (3) and (4), of Regulation (EU) 2019/2033. Positions subject to foreign exchange risk for which an own funds requirement is determined in accordance with Chapter 3 of Title IV of Part Three of Regulation (EU) No 575/2013.
0070	Commodities risk Article 22(a) and Article 21 paragraphs (3) and (4), of Regulation (EU) 2019/2033. Positions subject to commodities risk for which an own funds requirement is determined in accordance with Chapter 4 of Title IV of Part Three of Regulation (EU) No 575/2013.
0080	Internal model approach Article 57(2) and Article 21, paragraphs (3) and (4) of Regulation (EU) 2019/2033. Trading book positions and positions in the non-trading book that are subject to foreign exchange or commodities risk for which the own funds requirement is determined in accordance with Chapter 5 of Title IV of Part Three of Regulation (EU) No 575/2013.

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

15.

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

3.11.1. Instructions concerning specific positions

Column	Legal references and instructions
0010 – 0030	Clearing member
0010	Name Investment firms shall report the name of any clearing member of qualifying central counterparties under whose responsibility the execution and settlement of transactions of the firm dealing on its own account takes place.
0020	Code The code as part of a row identifier must be unique for each reported entity. For investment firms the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.
0030	Type of code The type of code reported in column 0020 shall be identified as a ‘LEI code type’ or ‘National code type’.
0040 – 0060	Contribution to the total margin required on a daily basis Investment firms shall report information for the three days of the preceding three months where the highest, second highest and third highest amount of total margin required on a daily basis, as referred to in Article 23(2) of Regulation (EU) 2019/2033, was calculated. The investment firm shall include all clearing members in the template that were used on at least one of those days. The contribution to the total margin required on a daily basis shall be reported as the amount before the multiplication with the factor of 1.3 referred to in Article 23(2) of Regulation (EU) 2019/2033.
0040	Contribution to the total margin required on a daily basis – on the day of the highest amount of total margin required
0050	Contribution to the total margin required on a daily basis – on the day of the second highest amount of total margin required
0060	Contribution to the total margin required on a daily basis – on the day of the third highest amount of total margin required

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

3.12.1. Instructions concerning specific positions

Row	Legal references and instructions
0010 – 0080	Breakdown by method for determining the exposure value
0010	Application Regulation (EU) 2019/2033: K-TCD Article 26 of Regulation (EU) 2019/2033. Exposures for which the own funds requirement is calculated as K-TCD in accordance with Article 26 of Regulation (EU) 2019/2033.
0020	Alternative approaches: Exposure value determined in accordance with Regulation (EU) No 575/2013 Article 25(4), first subparagraph of Regulation (EU) 2019/2033. Exposures for which the exposure value is determined in accordance with Regulation (EU) No 575/2013 and the related own funds requirements of which are calculated by multiplying the exposure value by the risk factor set out in Table 2 in Article 26 of Regulation (EU) 2019/2033.
0030	SA-CCR Article 274 of Regulation (EU) No 575/2013.
0040	Simplified SA-CCR Article 281 of Regulation (EU) No 575/2013.
0050	Original exposure method Article 282 of Regulation (EU) No 575/2013
0060	Alternative approaches: Full application of Regulation (EU) No 575/2013 framework Article 25(4), second subparagraph, of Regulation (EU) 2019/2033. Exposures for which the exposure value and the own funds requirements are determined in accordance with Regulation (EU) No 575/2013.
0070	Memorandum item: CVA component Articles 25(5) and 26 of Regulation (EU) 2019/2033. Where an institution applies the approach of Article 26 of Regulation (EU) 2019/2033 or applies the derogation of Article 26(5), first subparagraph, of Regulation of (EU) 2019/2033, the CVA component shall be determined as the difference between the relevant amount after the application of the CVA factor multiplier and the relevant amount before the application of the CVA factor multiplier. Where an institutions applies the derogation of the Article 25(5), second subparagraph of Regulation (EU) 2019/2033, the CVA component shall be determined in accordance with Part Three, Title VI, of Regulation (EU) No 575/2013.
0080	of which: calculated in accordance with Regulation (EU) No 575/2013 framework Article 25(5), second subparagraph of Regulation (EU) 2019/2033.
0090 – 0110	Breakdown by type of counterparty The counterparty breakdown shall be based on the types of counterparties referred to in Table 2 in Article 26 of Regulation (EU) 2019/2033.
0090	Central governments, central banks and public sector entities
0100	Credit institutions and investment firms
0110	Other counterparties

Column	Legal references and instructions
0010	K – factor requirement The own funds requirement shall be reported as calculated in accordance with Article 26 of Regulation (EU) 2019/2033 or the applicable provisions of Regulation (EU) No 575/2013.
0020	Exposure value The exposure value as calculated in accordance with Article 27 of Regulation (EU) 2019/2033 or the applicable provisions of Regulation (EU) No 575/2013.
0030	Replacement cost (RC) Article 28 of Regulation (EU) 2019/2033.
0040	Potential future exposure (PFE) Article 29 of Regulation (EU) 2019/2033.
0050	Collateral (C) Article 30(2) and (3) of Regulation (EU) 2019/2033. The value reported shall be the value of the collateral as used for the calculation of the exposure value and therefore, where applicable, the value after the application of the volatility adjustment and the currency mismatch volatility adjustment of Articles 30(1) and (3) of Regulation (EU) 2019/2033.

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

3.13.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

Total DTF – cash trades (average amounts)

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

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

0020

Total DTF – derivative trades (average amounts)

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

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

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

Columns	Legal references and instructions
0010	Average factor amount – Month t Value of DTF as of the end of the third month (i.e. the most recent) of the quarter the report refers to.
0020	Average factor amount – Month t-1 Value of DTF as of the end of the second month of the quarter the report refers to.
0030	Average factor amount – Month t-2 Value of DTF as of the end of the first month of the quarter the report refers to.

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

3.14.1 Instructions concerning specific positions

Row

Legal references and instructions

0010

Daily trading flow – cash trades

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

0020

Daily trading flow – derivative trades

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

Columns

Legal references and instructions

0010-0080

Monthly averages of total daily trading flow values

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

4. CONCENTRATION RISK REPORTING

4.1. General Remarks

16.

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

17.

Concentration risk reporting also includes information about the following:

i.	Client money

ii.	Client assets

iii.	Firm’s own cash

iv.	Earnings from clients

v.	Trading book positions

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

18.

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

19.

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

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

4.2.1. Instructions concerning specific positions

Columns

Legal references and instructions

0010-0060

Counterparty ID

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

0010

Code

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

0020

Type of code

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

The type of code shall always be reported.

0030

Name

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

0040

Group/individual

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

0050

Counterparty type

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

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

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

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

0060-0110

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

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

0060

Exposure Value (EV)

Article 36 of Regulation (EU) 2019/2033.

0070

Exposure Value (as % of Own Funds)

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

0080

Own Funds Requirement of total exposure (OFR)

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

0090

Exposure Value Excess (EVE)

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

0100

Duration of the Excess (in days)

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

0110

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

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

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

4.3.1. Instructions concerning specific columns

Columns	Legal references and instructions
0010-0060	Total CMH Article 54(2), point (b), of Regulation (EU) 2019/2033. The investment firm shall report the identification of the five, if available, counterparties or group of connected counterparties where the largest amounts of client money are held.
0010	Code The code as part of a row identifier must be unique for each reported entity. For investment firms and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.
0020	Type of code The investment firms shall identify the type of code reported in column 0010 as a ‘LEI code type’ or ‘National code type’.
0030	Name The name shall correspond to the name of the parent company whenever a group of connected counterparties is reported. In any other case, the name shall correspond to the individual counterparty.
0040	Group/individual The firm shall report "1" for the reporting of exposures to individual clients or "2" for the reporting of exposures to groups of connected clients.
0050	Total CMH at reporting date The firm shall report the total amount of client money at reporting date.
0060	Percentage of client money held at this institution The firm shall report the amount of client money held at reporting date with each of the counterparties or groups of connected counterparties for which reporting is made, expressed as a percentage of the total (reported in column 0050).

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

4.4.1. Instructions concerning specific columns

Columns	Legal references and instructions
0010-0060	Total ASA Article 54(2), point (c), of Regulation (EU) 2019/2033. The firm shall report the identification of the five, if available, counterparties or group of connected counterparties where the largest amounts of client securities are deposited.
0010	Code The code as part of a row identifier must be unique for each reported entity. For investment firms and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.
0020	Type of code The investment firms shall identify the type of code reported in column 0010 as a ‘LEI code type’ or ‘National code type’.
0030	Name The name shall correspond to the name of the parent company whenever a group of connected counterparties is reported. In any other case, the name shall correspond to the individual counterparty.
0040	Group/individual The firm shall report "1" for the reporting of exposures to individual clients or "2" for the reporting of exposures to groups of connected clients.
0050	Total ASA at reporting date The firm shall report the total amount of client securities deposited at each institution at reporting date.
0060	Percentage of client securities deposited at this institution The firm shall report the amount of client securities deposited at reporting date with each of the counterparties or groups of connected counterparties for which reporting is made, expressed as a percentage of the total (reported in column 0050).

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

4.5.1. Instructions concerning specific columns

Columns	Legal references and instructions
0010-0060	Total Own Cash Deposited Article 54(2), points (d) and (f), of Regulation (EU) 2019/2033. The firm shall report the identification of the five, if available, counterparties or group of connected counterparties where the largest amounts of firm’s own cash are deposited.
0010	Code The code as part of a row identifier must be unique for each reported entity. For investment firms and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.
0020	Type of code The investment firms shall identify the type of code reported in column 0010 as a ‘LEI code type’ or ‘National code type’.
0030	Name The name shall correspond to the name of the parent company whenever a group of connected counterparties is reported. In any other case, the name shall correspond to the individual counterparty.
0040	Group/individual The firm shall report "1" for the reporting of exposures to individual clients or "2" for the reporting of exposures to groups of connected clients.
0050	Amount of firm’s cash deposits at the institution The firm shall report the total amount of own cash held at each institution at the reference date.
0060	Percentage of firm’s own cash deposits at the institution The firm shall report the amount of own cash deposited at reporting date with each of the counterparties or groups of connected counterparties for which reporting is made, expressed as a percentage of the total own cash of the investment firm.

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

4.6.1. Instructions concerning specific columns

Columns	Legal references and instructions
0010-0080	Total Earnings Article 54(2), points (e) and (f), of Regulation (EU) 2019/2033. The firm shall report the identification of the five, if available, clients or group of connected clients from whom the largest amounts of firm’s earnings are derived.
0010	Code The code as part of a row identifier must be unique for each reported entity. For investment firms and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.
0020	Type of code The investment firms shall identify the type of code reported in column 0010 as a ‘LEI code type’ or ‘National code type’.
0030	Name The name shall correspond to the name of the parent company whenever a group of connected clients is reported. In any other case, the name shall correspond to the individual client.
0040	Group/individual The firm shall report "1" for the reporting of exposures to individual clients or "2" for the reporting of exposures to groups of connected clients.
0050	Total earnings from this client The firm shall report the total earnings per client or group of connected clients generated since the beginning of the accounting year. The earnings shall be broken down by interest and dividend income on one hand and fee and commission income and other income on the other hand.
0060 – 0090	Interest and dividend income
0060	Interest and dividend income – Amount generated from positions in the trading book Trading book as defined in Article 4(1), point (54), of Regulation (EU) 2019/2033.
0070	Interest and dividend income – Amount generated from positions in the non-trading book
0080	Interest and dividend income – of which: amount generated from off-balance sheet items
0090	Percentage of interest and dividend income from this client The firm shall report the interest and dividend income generated from each of the clients or groups of connected clients, expressed as a percentage of the total interest and dividend income of the investment firm.
0100 – 0110	Fee and commission and other income
0100	Fee and commission and other income – Amount
0110	Percentage of fee and commission and other income from this client The firm shall report the fee and commission and other income generated from each of the clients or groups of connected clients, expressed as a percentage of the total fee and commission and other income of the investment firm.

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

4.7.1. Instructions concerning specific columns

Columns	Legal references and instructions
0010-0050	Trading book exposures Article 54(2), point (a), of Regulation (EU) 2019/2033. The firm shall report information in relation to the five, if available, largest trading book exposures.
0010	Code The code as part of a row identifier must be unique for each reported entity. For investment firms and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.
0020	Type of code The investment firms shall identify the type of code reported in column 0010 as a ‘LEI code type’ or ‘National code type’.
0030	Name The name shall correspond to the name of the parent company whenever a group of connected counterparties is reported. In any other case, the name shall correspond to the individual counterparty.
0040	Group/individual The firm shall report "1" for the reporting of exposures to individual clients or "2" for the reporting of exposures to groups of connected clients.
0050	Percentage of exposure to this counterparty with respect to firm’s own funds (trading book positions only) The firm shall report the trading book exposures at reporting date to each of the counterparties or groups of connected counterparties for which reporting is made expressed as a percentage of own funds.

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

4.8.1. Instructions concerning specific columns

Columns	Legal references and instructions
0010-0050	Non-trading book and off-balance sheet items Article 54(2), point (f), of Regulation (EU) 2019/2033. The firm shall report information in relation to the five, if available, largest exposures calculated including assets not recorded in the trading book.
0010	Code The code as part of a row identifier must be unique for each reported entity. For investment firms and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.
0020	Type of code The investment firms shall identify the type of code reported in column 0010 as a ‘LEI code type’ or ‘National code type’.
0030	Name The name shall correspond to the name of the parent company whenever a group of connected counterparties is reported. In any other case, the name shall correspond to the individual counterparty.
0040	Group/individual The firm shall report "1" for the reporting of exposures to individual clients or "2" for the reporting of exposures to groups of connected clients.
0050	Percentage of exposure with respect to firm’s own funds (including off balance sheet assets and non-trading book items) The firm shall report exposures, calculated taking into account assets and off-balance sheet items not recorded in the trading book in addition to trading book positions, at reporting date to each of the counterparties or groups of connected counterparties for which reporting is made expressed as a percentage of eligible capital.

5. LIQUIDITY REQUIREMENTS

5.1 I 09.00 – LIQUIDITY REQUIREMENTS (I 9)

5.1.1. Instructions concerning specific positions

Row	Legal references and instructions
0010	Liquidity Requirement Article 43(1) of Regulation (EU) 2019/2033.
0020	Client guarantees Article 45 of Regulation (EU) 2019/2033. The value reported shall be the 1,6 % of the total amount of guarantees provided to the clients pursuant to Article 45 of Regulation (EU) 2019/2033.
0030	Total liquid assets Article 43(1), point (a), and Article 43(2) of Regulation (EU) 2019/2033. Total liquid assets shall be reported after application of relevant haircuts. This row is sum of rows 0040, 0050, 0060, 0170, 0230, 0290 and 0300.
0040	Unencumbered short term deposits Article 43(1), point (d), and Article 43(2) of Regulation (EU) 2019/2033.
0050	Total eligible receivables due within 30 days Article 43(3) of Regulation (EU) 2019/2033 and Article 43(2) of Regulation (EU) 2019/2033.
0060	Level 1 assets Article 10 of Delegated Regulation (EU) 2015/61 and Article 43(2) of Regulation (EU) 2019/2033. Total liquid assets shall be reported after application of relevant haircuts. Sum of rows 0070 – 0160.
0070	Coins and banknotes Article 10(1), point (a), of Delegated Regulation (EU) 2015/61. Total amount of cash arising from coins and banknotes.
0080	Withdrawable central bank reserves Article 10(1), point (b) (iii), of Delegated Regulation (EU) 2015/61.
0090	Central bank assets Article 10(1), point (b)(i) and (ii), of Delegated Regulation (EU) 2015/61.
0100	Central government assets Article 10(1), point (c)(i) and (ii), of Delegated Regulation (EU) 2015/61.
0110	Regional government/local authorities assets Article 10(1), point (c)(iii) and (iv), of Delegated Regulation (EU) 2015/61.
0120	Public Sector Entity assets Article 10(1), point (c)(v), of Delegated Regulation (EU) 2015/61.
0130	Recognisable domestic and foreign currency central government and central bank assets Article 10(1), point (d), of Delegated Regulation (EU) 2015/61.
0140	Credit institution (protected by Member State government, promotional lender) assets Article 10(1), point (e)(i) and (ii), of Delegated Regulation (EU) 2015/61.
0150	Multilateral development bank and international organisations assets Article 10(1), point (g), of Delegated Regulation (EU) 2015/61.
0160	Extremely high quality covered bonds Article 10(1), point (f), of Delegated Regulation (EU) 2015/61.
0170	Level 2A assets Article 11 of Delegated Regulation (EU) 2015/61 and Article 43(2) of Regulation (EU) 2019/2033.
0180	Regional government/local authorities or Public Sector Entities assets (Member State, RW20 %) Article 11(1), point (a), of Delegated Regulation (EU) 2015/61.
0190	Central bank or central/regional government or local authorities or Public Sector Entities assets (Third Country, RW20 %) Article 11(1), point (b), of Delegated Regulation (EU) 2015/61.
0200	High quality covered bonds (CQS2) Article 11(1), point (c), of Delegated Regulation (EU) 2015/61.
0210	High quality covered bonds (Third Country, CQS1) Article 11(1), point (d), of Delegated Regulation (EU) 2015/61.
0220	Corporate debt securities (CQS1) Article 11(1), point (e), of Delegated Regulation (EU) 2015/61.
0230	Level 2B assets Article 12 of Delegated Regulation (EU) 2015/61 and Article 43(2) of Regulation (EU) 2019/2033.
0240	Asset-backed securities Article 12(1), point (a), and Article 13(2), point (g), of Delegated Regulation (EU) 2015/61.
0250	Corporate debt securities Article 12(1), point (b), of Delegated Regulation (EU) 2015/61.
0260	Shares (major stock index) Article 12(1), point (c), of Delegated Regulation (EU) 2015/61.
0270	Restricted-use central bank committed liquidity facilities Article 12(1), point (d), of Delegated Regulation (EU) 2015/61.
0280	High quality covered bonds (RW35 %) Article 15(2), point (f), of Delegated Regulation (EU) 2015/61.
0290	Qualifying CIU shares/units Article 15 of Delegated Regulation (EU) 2015/61. Article 43(1), point (b), of Regulation (EU) 2019/2033.
0300	Total other eligible financial instruments Article 43(1), point (c), of Regulation (EU) 2019/2033.

ANNEX III

REPORTING FOR SMALL AND NON-INTERCONNECTED INVESTMENT FIRMS

INVESTMENT FIRMS TEMPLATES
Template number	Template code	Name of the template /group of templates	Short name
		OWN FUNDS: level, composition, requirements and calculation
1	I 01.01	Own funds	I1.1
2,3	I 02.03	Own funds requirements	I2.3
2,4	I 02.04	Capital ratios	I2.4
3,1	I 03.01	Fixed overheads requirements calculation	I3.1
		SMALL AND NON-INTERCONNECTED INVESTMENT FIRMS
5	I 05.00	Level of activity - Thresholds review	I5.0
		LIQUIDITY REQUIREMENTS
9,1	I 09.01	Liquidity requirements	I9.1

I 01.01 - OWN FUNDS COMPOSITION (I1.1)

Rows	Item	Amount
Rows	Item	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
Rows	Item	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

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

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

1.1 General Remarks

10.

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

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

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

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

11.

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

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

1.2.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

OWN FUNDS

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

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

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

0020

TIER 1 CAPITAL

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

0030

COMMON EQUITY TIER 1 CAPITAL

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

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

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

0040

Fully paid up capital instruments

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

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

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

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

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

0050

Share premium

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

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

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

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

0060

Retained earnings

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

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

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

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

0070

Previous years retained earnings

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

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

0080

Profit eligible

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

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

0090

Accumulated other comprehensive income

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

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

0100

Other reserves

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

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

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

0110

Minority interest given recognition in CET1 capital

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

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

0120

Adjustments to CET1 due to prudential filters

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

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

0130

Other funds

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

0140

(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1

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

0190

(-) Losses for the current financial year

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

0200

(-) Goodwill

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

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

0210

(-) Other intangible assets

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

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

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

0220

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

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

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

0230

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

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

0240

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

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

0285

(-) Other deductions

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

0290

CET1: Other capital elements, deductions and adjustments

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

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

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

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

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

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

0300

ADDITIONAL TIER 1 CAPITAL

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

Article 61 Regulation (EU) No 575/2013.

The total sum of rows 0310 to 0410 shall be reported.

0310

Fully paid up, directly issued capital instruments

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

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

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

0320

Share premium

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

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

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

The amount to be reported in this item shall be the part related to the "Fully paid up, directly issued capital instruments".

0330

(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1

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

0410

Additional Tier 1: Other capital elements, deductions and adjustments

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

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

—

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

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

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

—

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

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

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

0420

TIER 2 CAPITAL

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

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

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

0430

Fully paid up, directly issued capital instruments

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

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

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

0440

Share premium

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

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

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

The amount to be reported in this item shall be the part related to the "Fully paid up, directly issued capital instruments".

0450

(-) TOTAL DEDUCTIONS FROM TIER 2

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

0520

Tier 2: Other capital elements, deductions and adjustments

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

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

—

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

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

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

—

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

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

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

1.3 I 02.03 – OWN FUND REQUIREMENTS (I 2.3)

1.3.1. Instructions concerning specific positions

Row	Legal references and instructions
0010	Own fund requirement Article 11(1) and (2) of Regulation (EU) 2019/2033. This item shall be maximum of rows 0020 and 0030.
0020	Permanent minimum capital requirement Article 14 of Regulation (EU) 2019/2033.
0030	Fixed overhead requirement Article 13 of Regulation (EU) 2019/2033.
0050 – 0090	Transitional own funds requirements
0050	Transitional requirement based on Regulation (EU) No 575/2013 own funds requirements Article 57(3), point (a) of Regulation (EU) 2019/2033.
0060	Transitional requirement based on fixed overhead requirements Article 57(3), point (b) of Regulation (EU) 2019/2033.
0070	Transitional requirement for investment firms previously subject only to an initial capital requirement Article 57(4), point (a) of Regulation (EU) 2019/2033
0080	Transitional requirement based on initial capital requirement at authorisation Article 57(4), point (b) of Regulation (EU) 2019/2033.
0090	Transitional requirement for investment firms that are not authorised to provide certain services Article 57(4), point (c) of Regulation (EU) 2019/2033.
0110 – 0130	Memorandum items
0110	Additional own funds requirement Article 40 of Directive (EU) 2019/2034. Additional own funds required following the SREP.
0120	Total own funds requirement The total own funds requirement of an investment firm shall consist of the sum of its own funds requirements applicable at the reference date, the additional own funds requirement as reported in row 0110 and the additional own funds guidance as reported in row 0120.

1.4. I 02.04 – CAPITAL RATIOS (I 2.4)

1.4.1. Instructions concerning specific positions

Row	Legal references and instructions
0010	CET 1 Ratio Article 9(1), point (a) and Article 11(1) and (2) of Regulation (EU) 2019/2033. This item is expressed as a percentage.
0020	Surplus(+)/Deficit(-) of CET 1 Capital This item shows the surplus or deficit of CET1 Capital relating to the requirement set in Article 9(1) Regulation (EU) 2019/2033. The transitional provisions of Article 57(3) and (4) Regulation (EU) 2019/2033 shall not be considered for this item.
0030	Tier 1 Ratio Article 9(1), point (b) and Article 11(1) and (2) of Regulation (EU) 2019/2033. This item is expressed as a percentage.
0040	Surplus(+)/Deficit(-) of Tier 1 Capital This item shows the surplus or deficit of Tier 1 Capital relating to the requirement set in Article 9(1) of Regulation (EU) 2019/2033. The transitional provisions of Article 57(3) and (4) of Regulation (EU) 2019/2033 shall not be considered for this item.
0050	Own Funds Ratio Article 9(1), point (c), Article 11(1) and (2) of Regulation (EU) 2019/2033. This item is expressed as a percentage.
0060	Surplus(+)/Deficit(-) of Total capital This item shows the surplus or deficit of own funds relating to the requirement set in Article 9(1) of Regulation (EU) 2019/2033. The transitional provisions of Article 57(3) and (4) of Regulation (EU) 2019/2033 shall not be considered for this item.

1.5. I 03.01 – FIXED OVERHEADS REQUIREMENT CALCULATION (I 3.1)

1.5.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

Fixed Overhead Requirement

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

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

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

In the cases specified in Article 13(3) of Regulation (EU) 2019/2033, the amount to be reported shall be the projected fixed overheads of the current year (row 0200).

0020

Annual fixed overheads of the previous year after distribution of profits

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

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

0030

Total expenses of the previous year after distribution of profits

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

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

0040

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

Article 13 of Regulation (EU) 2019/2033.

0050

(-) Total deductions

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

(a)

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

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

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

(d)	losses from trading on own account in financial instruments;

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

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

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

0060

(-) Staff bonuses and other remuneration

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

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

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

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

0070

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

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

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

0080

(-) Other discretionary payments of profits and variable remuneration

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

0090

(-) Shared commission and fees payable

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

0100

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

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

0110

(-) Fees to tied agents

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

0130

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

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

0140

(-) Expenditures from taxes

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

0150

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

Self-explanatory.

0160

(-) Contract based profit and loss transfer agreements

0170

(-) Expenditure on raw materials

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

0180

(-)Payments into a fund for general banking risk

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

0190

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

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

0200

Projected fixed overheads of the current year

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

0210

Variation of fixed overheads (%)

The amount shall be reported as the absolute value of:

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

2. SMALL AND NON-INTERCONNECTED INVESTMENT FIRMS

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

2.1.1. Instructions concerning specific positions

Row	Legal references and instructions
0010	(Combined) assets under management Article 12(1), point (a) of Regulation (EU) 2019/2033. Where the reporting investment firm is part of a group, the value reported shall be determined on a combined basis for all investment firms that are part of a group pursuant Article 12(2) of Regulation (EU) 2019/2033. Investment firms shall include discretionary and non-discretionary assets under management. The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.
0020	(Combined) client orders handled – Cash trades Article 12(1), point (b) (i) of Regulation (EU) 2019/2033. Where the reporting investment firm is part of a group, the value reported shall be determined on a combined basis for all investment firms that are part of a group pursuant Article 12(2) of Regulation (EU) 2019/2033. The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.
0030	(Combined) client orders handled – Derivatives Article 12(1), point (b) (i) of Regulation (EU) 2019/2033. Where the reporting investment firm is part of a group, the value reported shall be determined on a combined basis for all investment firms that are part of a group pursuant Article 12(2) Regulation (EU) 2019/2033. The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.
0040	Assets safeguarded and administered Article 12(1), point (c) of Regulation (EU) 2019/2033. The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.
0050	Client money held Article 12(1), point (d) of Regulation (EU) 2019/2033. The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.
0060	Daily trading flow – cash trades and derivative trades Article 12(1), point (e) of Regulation (EU) 2019/2033. The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.
0070	Net position risk Article 12(1), point (f) of Regulation (EU) 2019/2033. The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.
0080	Clearing margin given Article 12(1), point (f) of Regulation (EU) 2019/2033. The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.
0090	Trading counterparty default Article 12(1), point (g) of Regulation (EU) 2019/2033. The amount reported shall be the amount that would be used for calculation of K-factors before application of relevant coefficients.
0100	(Combined) on – and off-balance sheet total Article 12(1), point (h) of Regulation (EU) 2019/2033. Where the reporting investment firm is part of a group, the value reported shall be determined on a combined basis for all investment firms that are part of a group pursuant Article 12(2) of Regulation (EU) 2019/2033.
0110	Combined total annual gross revenue Article 12(1), point (i) of Regulation (EU) 2019/2033. Where the reporting investment firm is part of a group, the value reported shall be determined on a combined basis for all investment firms that are part of a group pursuant Article 12(2) of Regulation (EU) 2019/2033. The value reported shall be (row 0120 + row 0130).
0120	Total annual gross revenue The value of total annual gross revenue excluding the gross revenues generated within the group pursuant Article 12(2) of Regulation (EU) 2019/2033.
0130	(-) Intragroup part of the annual gross revenue The value of the gross revenues generated within the investment firm group pursuant Article 12(2) of Regulation (EU) 2019/2033.
0140	Of which:revenue from reception and transmission of orders Article 54(1), point (d) of Regulation (EU) 2019/2033. Article 4(1), point (2) of Directive 2014/65/EU.
0150	Of which:revenue from execution of orders on behalf of clients Article 54(1), point (d) of Regulation (EU) 2019/2033. Article 4(1), point (2) of Directive 2014/65/EU.
0160	Of which:revenue from dealing on own account Article 54(1), point (d) of Regulation (EU) 2019/2033. Article 4(1), point (2) of Directive 2014/65/EU.
0170	Of which:revenue from portfolio management Article 54(1), point (d) of Regulation (EU) 2019/2033. Article 4(1), point (2) of Directive 2014/65/EU.
0180	Of which: revenue from investment advice Article 54(1), point (d) of Regulation (EU) 2019/2033. Article 4(1), point (2) of Directive 2014/65/EU.
0190	Of which: revenue from underwriting of financial instruments/placing on a firm commitment basis Article 54(1), point (d) of Regulation (EU) 2019/2033. Article 4(1), point (2) of Directive 2014/65/EU.
0200	Of which: revenue from placing without a firm commitment basis Article 54(1), point (d) of Regulation (EU) 2019/2033. Article 4(1), point (2) of Directive 2014/65/EU.
0210	Of which: revenue from operation of an MTF Article 54(1), point (d) of Regulation (EU) 2019/2033. Article 4(1), point (2) of Directive 2014/65/EU.
0220	Of which: revenue from operation of an OTF Article 54(1), point (d) of Regulation (EU) 2019/2033. Article 4(1), point (2) of Directive 2014/65/EU.
0230	Of which: revenue from safekeeping and administration of financial instruments Article 54(1), point (d) of Regulation (EU) 2019/2033. Article 4(1), point (3) of Directive 2014/65/EU.
0240	Of which: revenue from granting credits or loans to investors Article 54(1), point (d) of Regulation (EU) 2019/2033. Article 4(1), point (3) of Directive 2014/65/EU.
0250	Of which: revenue from advice to undertakings on capital structure, industrial strategy and related matters and advice and services relating to mergers and the purchase of undertakings Article 54(1), point (d) of Regulation (EU) 2019/2033. Article 4(1), point (3) of Directive 2014/65/EU.
0260	Of which: revenue from foreign exchange services Article 54(1), point (d) of Regulation (EU) 2019/2033. Article 4(1), point (3) of Directive 2014/65/EU.
0270	Of which: investment research and financial analysis Article 54(1), point (d) of Regulation (EU) 2019/2033. Article 4(1), point (3) of Directive 2014/65/EU.
0280	Of which: revenue from services related to underwriting Article 54(1), point (d) of Regulation (EU) 2019/2033. Article 4(1), point (3) of Directive 2014/65/EU.
0290	Of which: investment services and ancillary activities related with the underlying of derivatives Article 54(1), point (d) of Regulation (EU) 2019/2033. Article 4(1), point (3) of Directive 2014/65/EU.

3. LIQUIDITY REQUIREMENTS

3.1 I 09.01 – LIQUIDITY REQUIREMENTS (I 9.1)

3.1.1. Instructions concerning specific positions

Row	Legal references and instructions
0010	Liquidity Requirement Article 43(1) of Regulation (EU) 2019/2033.
0020	Client guarantees Article 45 of Regulation (EU) 2019/2033. The value reported shall be the 1,6 % of the total amount of guarantees provided to the clients pursuant Article 45 of Regulation (EU) 2019/2033.
0030	Total liquid assets Point (a) of Article 43(1) and Article 43(2) of Regulation (EU) 2019/2033. Total liquid assets shall be reported after application of relevant haircuts.

ANNEX V

Part I: Single Data Point Model

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

The single data point model shall meet the following criteria:

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

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

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

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

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

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

Part II: Validation rules

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

The validation rules shall meet the following criteria:

(a)	they define the logical relationships between relevant data points;

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

(c)	they check the consistency of the reported data;

(d)	they check the accuracy of the reported data;

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

ANNEX VI

DISCLOSURE ON OWN FUNDS TEMPLATES

INVESTMENT FIRMS DISCLOSURE
Template number	Template code	Name	Legislative reference
		OWN FUNDS
1	I CC1	COMPOSITION OF REGULATORY OWN FUNDS	Art 49(1)(c)
2	I CC2	OWN FUNDS RECONCILIATION WITH AUDITED FINANCIAL STATEMENTS	Art 49(1)(a)
3	I CCA	OWN FUNDS MAIN FEATURES	Art 49(1)(b)

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

		(a)	(b)
		Amounts	Source based on reference numbers/letters of the balance sheet in the audited financial statements
Common Equity Tier 1 (CET1) capital: instruments and reserves
1	OWN FUNDS
2	TIER 1 CAPITAL
3	COMMON EQUITY TIER 1 CAPITAL
4	Fully paid up capital instruments
5	Share premium
6	Retained earnings
7	Accumulated other comprehensive income
8	Other reserves
9	Minority interest given recognition in CET1 capital
10	Adjustments to CET1 due to prudential filters
11	Other funds
12	(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1
13	(-) Own CET1 instruments
14	(-) Direct holdings of CET1 instruments
15	(-) Indirect holdings of CET1 instruments
16	(-) Synthetic holdings of CET1 instruments
17	(-) Losses for the current financial year
18	(-) Goodwill
19	(-) Other intangible assets
20	(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities
21	(-) Qualifying holding outside the financial sector which exceeds 15% of own funds
22	(-) Total qualifying holdings in undertaking other than financial sector entities which exceeds 60% of its own funds
23	(-) CET1 instruments of financial sector entites where the institution does not have a significant investment
24	(-) CET1 instruments of financial sector entities where the institution has a significant investment
25	(-)Defined benefit pension fund assets
26	(-) Other deductions
27	CET1: Other capital elements, deductions and adjustments
28	ADDITIONAL TIER 1 CAPITAL
29	Fully paid up, directly issued capital instruments
30	Share premium
31	(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1
32	(-) Own AT1 instruments
33	(-) Direct holdings of AT1 instruments
34	(-) Indirect holdings of AT1 instruments
35	(-) Synthetic holdings of AT1 instruments
36	(-) AT1 instruments of financial sector entities where the institution does not have a significant investment
37	(-) AT1 instruments of financial sector entities where the institution has a significant investment
38	(-) Other deductions
39	Additional Tier 1: Other capital elements, deductions and adjustments
40	TIER 2 CAPITAL
41	Fully paid up, directly issued capital instruments
42	Share premium
43	(-) TOTAL DEDUCTIONS FROM TIER 2
44	(-) Own T2 instruments
45	(-) Direct holdings of T2 instruments
46	(-) Indirect holdings of T2 instruments
47	(-) Synthetic holdings of T2 instruments
48	(-) T2 instruments of financial sector entities where the institution does not have a significant investment
49	(-) T2 instruments of financial sector entities where the institution has a significant investment
50	Tier 2: Other capital elements, deductions and adjustments

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

		(a)	(b)
		Amounts	Source based on reference numbers/letters of the balance sheet in the audited financial statements
Common Equity Tier 1 (CET1) capital: instruments and reserves
1	OWN FUNDS
2	TIER 1 CAPITAL
3	COMMON EQUITY TIER 1 CAPITAL
4	Fully paid up capital instruments
5	Share premium
6	Retained earnings
7	Accumulated other comprehensive income
8	Other reserves
9	Adjustments to CET1 due to prudential filters
10	Other funds
11	(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1
12	(-) Losses for the current financial year
13	(-) Goodwill
14	(-) Other intangible assets
15	(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities
16	(-) Qualifying holding outside the financial sector which exceeds 15% of own funds
17	(-) Total qualifying holdings in undertaking other than financial sector entities which exceeds 60% of its own funds
18	(-) Other deductions
19	CET1: Other capital elements, deductions and adjustments
20	ADDITIONAL TIER 1 CAPITAL
21	Fully paid up, directly issued capital instruments
22	Share premium
23	(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1
24	Additional Tier 1: Other capital elements, deductions and adjustments
25	TIER 2 CAPITAL
26	Fully paid up, directly issued capital instruments
27	Share premium
28	(-) TOTAL DEDUCTIONS FROM TIER 2
29	Tier 2: Other capital elements, deductions and adjustments

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

		(a)	(b)
		Amounts	Source based on reference numbers/letters of the balance sheet in the audited financial statements
Common Equity Tier 1 (CET1) capital: instruments and reserves
1	OWN FUNDS
2	TIER 1 CAPITAL
3	COMMON EQUITY TIER 1 CAPITAL
4	Fully paid up capital instruments
5	Share premium
6	Retained earnings
7	Previous years retained earnings
8	Profit or loss eligible
9	Accumulated other comprehensive income
10	Other reserves
11	Adjustments to CET1 due to prudential filters
12	Other funds
13	(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1
14	(-) Own CET1 instruments
15	(-) Losses for the current financial year
16	(-) Goodwill
17	(-) Other intangible assets
18	(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities
19	(-) Qualifying holding outside the financial sector which exceeds 15% of own funds
20	(-) Total qualifying holdings in undertaking other than financial sector entities which exceeds 60% of its own funds
21	(-) CET1 instruments of financial sector entites where the institution does not have a significant investment
22	(-) Defined benefit pension fund assets
23	(-) Other deductions
24	CET1: Other capital elements, deductions and adjustments
25	ADDITIONAL TIER 1 CAPITAL
26	Fully paid up, directly issued capital instruments
27	Share premium
28	(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1
29	(-) Own AT1 instruments
30	(-) AT1 instruments of financial sector entities where the institution does not have a significant investment
31	(-) Other deductions
32	Additional Tier 1: Other capital elements, deductions and adjustments
33	TIER 2 CAPITAL
34	Fully paid up, directly issued capital instruments
35	Share premium
36	(-) TOTAL DEDUCTIONS FROM TIER 2
37	(-) Own T2 instruments
38	(-) T2 instruments of financial sector entities where the institution does not have a significant investment
39	Tier 2: Other capital elements, deductions and adjustments

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

Flexible template.

Rows have to be reported in line with the balance sheet included in the audited financial statements of the investment firm.

Columns shall be kept fixed, unless the investment firm has the same accounting and regulatory scope of consolidation, in which case the volumes have to be entered in column (a) only.

		a	b	c
		Balance sheet as in published/audited financial statements	Under regulatory scope of consolidation	Cross reference to EU IF CC1
		As at period end	As at period end
Assets - Breakdown by asset classes according to the balance sheet in the published/audited financial statements
1
2
3
4
5




xxx	Total Assets
Liabilities - Breakdown by liability classes according to the balance sheet in the published/auditied financial statements
1
2
3
4




xxx	Total Liabilities
Shareholders' Equity
1
2
3

xxx	Total Shareholders' equity

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

		a
		Free text
1	Issuer
2	Unique identifier (e.g. CUSIP, ISIN or Bloomberg identifier for private placement)
3	Public or private placement
4	Governing law(s) of the instrument
5	Instrument type (types to be specified by each jurisdiction)
6	Amount recognised in regulatory capital (Currency in million, as of most recent reporting date)
7	Nominal amount of instrument
8	Issue price
9	Redemption price
10	Accounting classification
11	Original date of issuance
12	Perpetual or dated
13	Original maturity date
14	Issuer call subject to prior supervisory approval
15	Optional call date, contingent call dates and redemption amount
16	Subsequent call dates, if applicable
	Coupons / dividends
17	Fixed or floating dividend/coupon
18	Coupon rate and any related index
19	Existence of a dividend stopper
20	Fully discretionary, partially discretionary or mandatory (in terms of timing)
21	Fully discretionary, partially discretionary or mandatory (in terms of amount)
22	Existence of step up or other incentive to redeem
23	Noncumulative or cumulative
24	Convertible or non-convertible
25	If convertible, conversion trigger(s)
26	If convertible, fully or partially
27	If convertible, conversion rate
28	If convertible, mandatory or optional conversion
29	If convertible, specify instrument type convertible into
30	If convertible, specify issuer of instrument it converts into
31	Write-down features
32	If write-down, write-down trigger(s)
33	If write-down, full or partial
34	If write-down, permanent or temporary
35	If temporary write-down, description of write-up mechanism
36	Non-compliant transitioned features
37	If yes, specify non-compliant features
38	Link to the full term and conditions of the intrument (signposting)
(1) Insert ‘N/A’ if the question is not applicable

ANNEX VII

INSTRUCTIONS FOR OWN FUNDS DISCLOSURE TEMPLATES

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

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

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.

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.

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.

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.

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".

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

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.

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.

Minority interest given recognition in CET1 capital

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

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.

Other funds

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

(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1

The total sum of row 13 and rows 17 to 26 shall be disclosed.

(-) 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.

(-) 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.

(-) 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.

(-) 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.

(-) Losses for the current financial year

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

(-) 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.

(-) 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.

(-) 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.

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

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

(-) 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.

(-) 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.

(-) 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.

(-)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.

(-) Other deductions

The sum of any other deductions listed in Article 36(1) of Regulation (EU) No 575/2013.

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.

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.

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.

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".

(-) 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.

(-) 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.

(-) 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.

(-) 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.

(-) 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.

(-) 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.

(-) 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.

(-) 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.

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).

—

—	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.

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.

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.

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".

(-) TOTAL DEDUCTIONS FROM TIER 2

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

(-) 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.

(-) Direct holdings of T2 instruments

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

(-) 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.

(-) 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.

(-) 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.

(-) 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.

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

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.

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.

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.

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.

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".

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.

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.

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.

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.

Other funds

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

(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1

The total sum of rows 12 to 18 shall be disclosed.

(-) Losses for the current financial year

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

(-) 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.

(-) 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.

(-) 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.

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

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

(-) 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.

(-) Other deductions

The sum of any other deductions listed in Article 36(1) of Regulation (EU) No 575/2013.

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.

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.

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.

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".

(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1

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

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).

—

—	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.

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.

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.

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".

(-) TOTAL DEDUCTIONS FROM TIER 2

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

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).

—

—	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

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.

TIER 1 CAPITAL

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

COMMON EQUITY TIER 1 CAPITAL

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

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

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.

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".

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

Previous years retained earnings

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

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.

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.

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.

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.

Other funds

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

(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1

The total sum of rows 14 – 23 shall be disclosed.

(-) 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.

(-) Losses for the current financial year

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

(-) 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.

(-) 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.

(-) 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.

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

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

(-)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.

(-) 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.

(-)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.

(-) Other deductions

The sum of any other deductions listed in Article 36(1) of Regulation (EU) No 575/2013.

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.

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.

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.

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".

(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1

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

The total sum of rows 29 – 31 shall be disclosed.

(-) 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.

(-) 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.

(-) 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.

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.

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.

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.

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".

(-) TOTAL DEDUCTIONS FROM TIER 2

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

(-) 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.

(-) 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.

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.

—

—	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.

10.

The columns are fixed and shall be disclosed as follows:

a.	Column a: Investment firms shall include the figures reported in the balance sheet included in their audited financial statements according to the accounting scope of consolidation.

b.	Column b: Investment firms shall report the figures corresponding to the regulatory scope of consolidation.

Column c: Investment firms shall include the cross-reference between the own funds item in template EU I CC2 and the relevant items in the own funds disclosure template EU I CC1. The reference in column c of template EU I CC2 will be linked to the reference included in column b of template EU I CC1.

11.

In the following cases where investment firms’ scope of accounting consolidation and its scope of regulatory consolidation are exactly the same, only column (a) shall be filled and this fact shall be clearly disclosed:

Where investment firms comply with the obligations laid down in Part Six of Regulation (EU) 2019/2033 on the prudential requirements of investment firms on a consolidated basis but the scope of consolidation and the method for consolidation used for the balance sheet in the financial statements are identical to the scope of consolidation and the method for consolidation defined pursuant to Part One, Title II, Chapter 2 of Regulation (EU) 2019/2033, and investment firms clearly state the absence of differences between the respective scopes and methods for consolidation in accompanying narrative to the template.

e.	Where investment firms meet the obligations laid down in Part Six of Regulation (EU) 2019/2033 on an individual basis.

Table EU I CCA – Main features of own instruments issued by the firm.

12.

Investment firms shall apply the instructions provided in this Annex in order to complete table EU I CCA as presented in Annex VI, according to Article 49(1) point (b), of Regulation (EU) 2019/2033.

13.

Investment firms shall complete table EU I CCA for the following categories: Common Equity Tier 1 instruments, Additional Tier 1 instruments and Tier 2 instruments.

14.

The tables shall comprise separate columns with the features of each regulatory own fund instruments. In cases where different instruments of a same category have identical features, investment firms may complete only one column disclosing these identical features and identify the issuances to which the identical features refer.

Instructions for completing the own funds instruments issued by the firm main features table
Row number	Explanation
1	Issuer Identifies issuer legal entity. Free text
2	Unique identifier (e.g. CUSIP, ISIN or Bloomberg identifier for private placement) Unique identifier (e.g. CUSIP, ISIN or Bloomberg identifier for private placement). Free text
3	Public or private placement Specifies if the instrument has been publicly or privately placed. Select from menu: [Public] [Private]
4	Governing law(s) of the instrument Specifies the governing law(s) of the instrument. Free text
5	Instrument type (types to be specified by each jurisdiction) Specifies instrument type, varying by jurisdiction. For CET1 instruments, select name of the instrument in the CET1 list published by the EBA. For other instruments, select from: menu options to be provided to investment firms by each jurisdiction – legal references of Regulation (EU) 2019/2033 articles for each type of instrument to be inserted.
6	Amount recognised in regulatory capital (Currency in million, as of most recent reporting date) Specifies the amount recognised in regulatory own funds (total amount of the instrument recognised before transitional provisions for the relevant level of the disclosure – currency used for the reporting obligations). Free text – specify in particular if some parts of the instruments are in different tiers of the regulatory own funds and if the amount recognised in regulatory own funds is different from the amount issued.
7	Nominal amount of instrument Nominal amount of instrument (in currency of issuance and currency used for the reporting obligations). Free text
8	Issue price Issue price of instrument. Free text
9	Redemption price Redemption price of instrument. Free text
10	Accounting classification Specifies accounting classification. Select from menu: [Shareholders’ equity] [Liability – amortised cost] [Liability – fair value option] [Non-controlling interest in consolidated subsidiary]
11	Original date of issuance Specifies date of issuance. Free text
12	Perpetual or dated Specifies whether dated or perpetual. Select from menu: [Perpetual] [Dated]
13	Original maturity date For dated instrument, specifies original maturity date (day, month and year). For perpetual instrument put ‘no maturity’. Free text
14	Issuer call subject to prior supervisory approval Specifies whether there is an issuer call option (all types of call options). Select from menu: [Yes] [No]
15	Optional call date, contingent call dates and redemption amount For instrument with issuer call option, specifies first date of call if the instrument has a call option on a specific date (day, month and year) and, in addition, specifies whether the instrument has a tax and/or regulatory event call. Also specifies the redemption price. Helps to assess permanence. Free text
16	Subsequent call dates, if applicable Specifies the existence and frequency of subsequent call dates, if applicable. Helps to assess permanence. Free text
17	Fixed or floating dividend/coupon Specifies whether the coupon/dividend is: either fixed over the life of the instrument, or floating over the life of the instrument, or currently fixed but will move to a floating rate in the future, or currently floating but will move to a fixed rate in the future. Select from menu: [Fixed], [Floating] [Fixed to floating], [Floating to fixed]
18	Coupon rate and any related index Specifies the coupon rate of the instrument and any related index that the coupon/dividend rate references. Free text
19	Existence of a dividend stopper Specifies whether the non-payment of a coupon or dividend on the instrument prohibits the payment of dividends on common shares (i.e. whether there is a dividend stopper). Select from menu: [yes], [no]
20	Fully discretionary, partially discretionary or mandatory (in terms of timing) Specifies whether the issuer has full discretion, partial discretion or no discretion over whether a coupon/dividend is paid. If the institution has full discretion to cancel coupon/dividend payments under all circumstances it must select ‘fully discretionary’ (including when there is a dividend stopper that does not have the effect of preventing the institution from cancelling payments on the instrument). If there are conditions that must be met before payment can be cancelled (e.g. own funds below a certain threshold), the institution must select ‘partially discretionary’. If the institution is unable to cancel the payment outside of insolvency, the institution must select ‘mandatory’. Select from menu: [Fully discretionary] [Partially discretionary] [Mandatory] Free text (specify the reasons for discretion, existence of dividend pushers, dividend stoppers, ACSM – Alternative Coupon Satisfaction Mechanism)
21	Fully discretionary, partially discretionary or mandatory (in terms of amount) Specifies whether the issuer has full discretion, partial discretion or no discretion over the amount of the coupon/dividend. Select from menu: [Fully discretionary] [Partially discretionary] [Mandatory]
22	Existence of step up or other incentive to redeem Specifies whether there is a step-up or other incentive to redeem. Select from menu: [Yes] [No]
23	Non-cumulative or cumulative Specifies whether dividends/coupons are cumulative or noncumulative. Select from menu: [Noncumulative] [Cumulative] [ACSM]
24	Convertible or non-convertible Specifies whether instrument is convertible or not. Select from menu: [Convertible] [Nonconvertible]
25	If convertible, conversion trigger(s) Specifies the conditions under which the instrument will convert, including point of non-viability. Where one or more authorities have the ability to trigger conversion, the authorities shall be listed. For each of the authorities it shall be stated whether it is the terms of the contract of the instrument that provide the legal basis for the authority to trigger conversion (a contractual approach) or whether the legal basis is provided by statutory means (a statutory approach). Free text
26	If convertible, fully or partially Specifies whether the instrument will always convert fully, may convert fully or partially, or will always convert partially. Select from menu: [Always Fully] [Fully or Partially] [Always partially]
27	If convertible, conversion rate Specifies rate of conversion into the more loss-absorbing instrument. Free text
28	If convertible, mandatory or optional conversion For convertible instruments, specifies whether conversion is mandatory or optional. Select from menu: [Mandatory] [Optional] [NA] and [at the option of the holders] [at the option of the issuer] [at the option of both the holders and the issuer]
29	If convertible, specify instrument type convertible into For convertible instruments, specifies instrument type convertible into. Select from menu: [Common Equity Tier 1] [Additional Tier 1] [Tier 2] [Other]
30	If convertible, specify issuer of instrument it converts into If convertible, specify issuer of instrument it converts into. Free text
31	Write-down features Specifies whether there is a write down feature. Select from menu: [Yes] [No]
32	If write-down, write-down trigger(s) Specifies the triggers at which write-down occurs, including point of non-viability. Where one or more authorities have the ability to trigger write-down, the authorities shall be listed. For each of the authorities it shall be stated whether it is the terms of the contract of the instrument that provide the legal basis for the authority to trigger write-down (a contractual approach) or whether the legal basis is provided by statutory means (a statutory approach). Free text
33	If write-down, full or partial Specifies whether the instrument will always be written down fully, may be written down partially, or will always be written down partially. Helps assess the level of loss absorbency at write-down. Select from menu: [Always Fully] [Fully or Partially] [Always partially]
34	If write-down, permanent or temporary For write down instrument, specifies whether write down is permanent or temporary. Select from menu: [Permanent] [Temporary] [NA]
35	If temporary write-down, description of write-up mechanism Describes the write-up mechanism. Free text
36	Non-compliant transitioned features Specification if there are non-compliant features. Select from [yes] or [no].
37	If yes, specify non-compliant features If there are non-compliant features, institution shall specify which ones. Free text
38	Link to the full term and conditions of the instrument (signposting) Investment firms shall include the hyperlink that gives access to the prospectus of the issuance, including all the terms and conditions of the instrument.

ANNEX VIII

REPORTING ON GROUP CAPITAL TEST

INVESTMENT FIRMS TEMPLATES
Template number	Template code	Name of the template /group of templates	Short name
		GROUP CAPITAL TEST
11,1	I 11.01	OWN FUNDS COMPOSITION - GROUP CAPITAL TEST	I11.1
11,2	I 11.02	OWN FUND INSTRUMENTS - GROUP CAPITAL TEST	I11.2
11,3	I 11.03	INFORMATION ON SUBSIDIARIES UNDERTAKINGS	I11.3

I 11.01 - OWN FUNDS COMPOSITION - GROUP CAPITAL TEST (I11.1)

Rows	Item	Amount
Rows	Item	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
					CET1	AT1	T2	Holdings	Subordinated claims			Permanent minimum capital		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	Fixed overhead requirements
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.

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

PART II: TEMPLATE RELATED INSTRUCTIONS

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

1.1 General Remarks

10.

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

(a)	Template I 11.01 contains the compositions of the own funds that an investment firm holds: Common Equity Tier 1 capital (CET1), Additional Tier 1 capital (AT1) and Tier 2 capital (T2).

(b)	Template I 11.02 contains information on the ‘own fund requirements’ in the context of the group capital test, i.e. intragroup holdings, contingent liabilities and total own funds requirements of the subsidiaries.

(c)	Template I 11.03 contains the relevant information on capital requirements, contingent liabilities, subordinated claims and holdings of financial sector entities at subsidiary level, broken down entity-by-entity.

11.

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

1.2. I 11.01 – OWN FUNDS COMPOSITION – GROUP CAPITAL TEST (I11.1)

1.2.1. Instructions concerning specific positions

Row

Legal references and instructions

0010

OWN FUNDS

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

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

0020

TIER 1 CAPITAL

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

0030

COMMON EQUITY TIER 1 CAPITAL

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

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

0040

Fully paid up capital instruments

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

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

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

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

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

0050

Share premium

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

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

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

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

0060

Retained earnings

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

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

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

The sum of rows 0070 and 0080 shall be reported.

0070

Previous years retained earnings

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

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.

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

—

—	Other T2 capital elements or deductions from a T2 element that cannot be assigned to one of the rows 0430 to 0500.

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

1.3 I 11.02 OWN FUNDS REQUIREMENTS – GROUP CAPITAL TEST (I11.2)

1.3.1. Instructions concerning specific positions

Row	Legal references and instructions
0010	CET1 instruments of financial sector entities in the investment firm group where the parent undertaking has a significant investment in those entities Article 8(3), point (a), of Regulation (EU) 2019/2033 in conjunction with Article 36(1), point (i), of Regulation (EU) No 575/2013.
0020	AT1 instruments of financial sector entities in the investment firm group where the parent undertaking has a significant investment in those entities Article 8(3), point (a), of Regulation (EU) 2019/2033 in conjunction with of Article 56, point (d), of Regulation (EU) No 575/2013.
0030	T2 instruments of financial sector entities in the investment firm group where the parent undertaking has a significant investment in those entities Article 8(3), point (a), in conjunction with Article 66, point (d), of Regulation (EU) No 575/2013.
0040	Holdings of financial sector entities in the investment firm group to the extent that they do not constitute own funds for the group entity the parent is invested in Article 8(3), point (a), of Regulation (EU) 2019/2033. This row shall include holdings of the parent to the extent that they do not constitute own funds for the group entity the parent is invested in.
0050	Subordinated claims of financial sector entities in the investment firm group Article 8(3), point (a), of Regulation (EU) 2019/2033. This row shall include subordinated claims of the parent to the extent that they do not constitute own funds for the group entity the parent is invested in.
0060	Contingent liabilities in favour of entities in the investment firm group Article 8(3), point (b), of Regulation (EU) 2019/2033.
0070	Total own fund requirements for the subsidiary undertakings In case of application of Article 8(4) of Regulation (EU) 2019/2033.

1.4 IF 11.03 INFORMATION ON SUBSIDIARIES UNDERTAKINGS (IF11.3)

10.

All entities included in the scope of the group capital test shall be reported in this template. This shall also include the parent undertaking of the group itself.

1.4.1. Instructions concerning specific positions

Columns	Legal references and instructions
0010	Code The code as part of a row identifier must be unique for each reported entity. For investment firms and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.
0020	Type of code The reporting entity shall identify the type of code reported in column 0010 as a ‘LEI code type’ or ‘Nationalcode type’. The type of code shall always be reported.
0030	Name of the undertaking Name of the undertaking within the scope of consolidation.
0040	Parent/subsidiary Indicates whether the entity reported in the row is the parent of the group or a subsidiary
0050	Country The country where the subsidiary is located shall be reported.
0060 – 0100	Investments by the parent undertaking Article 8(3), point (a), of Regulation (EU) 2019/2033. In this section, the investments of the parent undertaking in the group entities shall be reported.
0060	CET1 Article 8(3), point (a), of Regulation (EU) 2019/2033 in conjunction with Article 36(1), point (i), of Regulation (EU) No 575/2013.
0070	AT1 Article 8(3), point (a), of Regulation (EU) 2019/2033 in conjunction with Article 56, point (d), of Regulation (EU) No 575/2013.
0080	T2 Article 8(3), point (a), of Regulation (EU) 2019/2033 in conjunction with Article 66, point (d), of Regulation (EU) No 575/2013.
0090	Holdings Article 8(3), point (a), of Regulation (EU) 2019/2033. This column shall include holdings of the parent to the extent that they do not constitute own funds for the group entity the parent is invested in.
0100	Subordinated claims Article 8(3), point (a), of Regulation (EU) 2019/2033. This column shall include subordinated claims of the parent to the extent that they do not constitute own funds for the group entity the parent is invested in.
0110	Contingent liabilities of the parent in favour of the entity Article 8(3),point (b), of Regulation (EU) 2019/2033.
0120	Total own fund requirements for the subsidiary undertakings Article 8(4) of Regulation (EU) 2019/2033.
0130	Permanent minimum capital Article 14 of Regulation (EU) 2019/2033.
0140	K-factor requirement Article 15 of Regulation (EU) 2019/2033.
0150	Assets under management Article 15(2) and Article 17 of Regulation (EU) 2019/2033.
0160	Client money held – Segregated Article 15(2) and Article 18 of Regulation (EU) 2019/2033.
0170	Client money held – Non – segregated Article 15(2) and Article 18 of Regulation (EU) 2019/2033.
0180	Assets safeguarded and administered Article 15(2) and Article 19 of Regulation (EU) 2019/2033.
0190	Client orders handled – Cash trades Article 15(2) and article 20(1) and article 20(2), point (a), of Regulation (EU) 2019/2033.
0200	Client orders handled – Derivatives Trades Article 15(2) and article 20(1) and article 20(2), point (b), of Regulation (EU) 2019/2033.
0210	K-Net positions risk requirement Article 22 of Regulation (EU) 2019/2033.
0220	Clearing margin given Article 23(2) of Regulation (EU) 2019/2033.
0230	Trading counterparty default Article 26 and Article 24 of Regulation (EU) 2019/2033.
0240	Daily trading flow – Cash trades For the purposes of K-factor requirement calculation, investment firms shall report by applying the coefficient of Article 15(2) of Regulation (EU) 2019/2033. In the event of stressed market conditions, in accordance with Article 15(5), point (c), of Regulation (EU) 2019/2033, investment firms shall apply an adjusted coefficient as specified in that point. Daily trading flow factor shall be calculated in accordance with Article 33(2), point (a), of Regulation (EU) 2019/2033.
0250	Daily trading flow – Derivative trades For the purposes of K-factor requirement calculation, investment firms shall report by applying the coefficient of Article 15(2) of Regulation (EU) 2019/2033. In the event of stressed market conditions, in accordance with Article 15(5), point (c), of Regulation (EU) 2019/2033, investment firms shall apply an adjusted coefficient as specified in that point. Daily trading flow factor shall be calculated in accordance with Article 33(2), point (b), of Regulation (EU) 2019/2033.
0260	K-Concentration risk requirement Article 37(2), 39 and Article 24 of Regulation (EU) 2019/2033.
0270	Fixed overhead requirements Article 13 of Regulation (EU) 2019/2033.

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