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 firmsText with EEA relevance.

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 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 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 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 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 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 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

RowLegal references and instructions0010

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 – 0100Transitional own funds requirements0050

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 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

RowLegal references and instructions0010

CET 1 Ratio

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

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 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 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.

ColumnsLegal references and instructions0010

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.

1. 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

RowLegal references and instructions0010

(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 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.

1. K-FACTOR REQUIREMENTS – ADDITIONAL DETAILS

3.1.

General remarks

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

1. 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.

1. 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

RowLegal references and instructions0010

Total AUM (average amounts)

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.

ColumnsLegal references and instructions0010

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

RowLegal references and instructions0010

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.

ColumnsLegal references and instructions0010-0140

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

RowLegal references and instructions0010

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 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 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 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 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 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.

ColumnsLegal references and instructions0010

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

RowLegal references and instructions0010

Total daily client orders handled – Cash trades

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 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)

1. 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

ColumnLegal references and instructions0010 – 0030Clearing member0010

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.

0040Contribution to the total margin required on a daily basis – on the day of the highest amount of total margin required0050Contribution to the total margin required on a daily basis – on the day of the second highest amount of total margin required0060Contribution 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

RowLegal references and instructions0010 – 0080Breakdown by method for determining the exposure value0010

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 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

RowLegal references and instructions0010

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.

ColumnsLegal references and instructions0010

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

RowLegal references and instructions0010

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.

ColumnsLegal references and instructions0010-0080

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.

1. CONCENTRATION RISK REPORTING

4.1.

General Remarks

1. 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).

1. Concentration risk reporting also includes information about the following:

i.

Client money

ii.

Client assets

iii.

Firm’s own cash

iv.

Earnings from clients

v.

Trading book positions

vi.

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

1. 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.

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

ColumnsLegal references and instructions0010-0060

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

ColumnsLegal references and instructions0010-0060

Total ASA

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

0240

Asset-backed securities

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

0290

Qualifying CIU shares/units

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

0300

Total other eligible financial instruments

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 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 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 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 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

RowLegal references and instructions0010

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 – 0090Transitional own funds requirements0050

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 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

RowLegal references and instructions0010

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 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 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 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.

1. LIQUIDITY REQUIREMENTS

3.1

I 09.01 – LIQUIDITY REQUIREMENTS (I 9.1)

3.1.1.

Instructions concerning specific positions

RowLegal references and instructions0010

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

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

ANNEX VI

DISCLOSURE ON OWN FUNDS TEMPLATES

INVESTMENT FIRMS DISCLOSURETemplate numberTemplate codeNameLegislative referenceOWN FUNDS1I CC1COMPOSITION OF REGULATORY OWN FUNDSArt 49(1)(c)2I CC2OWN FUNDS RECONCILIATION WITH AUDITED FINANCIAL STATEMENTSArt 49(1)(a)3I CCAOWN FUNDS MAIN FEATURESArt 49(1)(b)

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

(a)(b)AmountsSource based on reference numbers/letters of the balance sheet in the audited financial statementsCommon Equity Tier 1 (CET1) capital: instruments and reserves1OWN FUNDS2TIER 1 CAPITAL3COMMON EQUITY TIER 1 CAPITAL4Fully paid up capital instruments5Share premium6Retained earnings7Accumulated other comprehensive income8Other reserves9Minority interest given recognition in CET1 capital10Adjustments to CET1 due to prudential filters11Other funds12(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 113(-) Own CET1 instruments14(-) Direct holdings of CET1 instruments15(-) Indirect holdings of CET1 instruments16(-) Synthetic holdings of CET1 instruments17(-) Losses for the current financial year18(-) Goodwill19(-) Other intangible assets20(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities21(-) Qualifying holding outside the financial sector which exceeds 15% of own funds22(-) Total qualifying holdings in undertaking other than financial sector entities which exceeds 60% of its own funds23(-) CET1 instruments of financial sector entites where the institution does not have a significant investment24(-) CET1 instruments of financial sector entities where the institution has a significant investment25(-)Defined benefit pension fund assets

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

The own funds of an investment firm shall consist of the sum of its Common equity Tier 1 Capital, Additional Tier 1 Capital and Tier 2 Capital.

This row is the sum of rows 2 and 40.

2

Tier 1 capital

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

This row is the sum of rows 3 and 28.

3

Common Equity Tier 1 capital

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

The total sum of rows 4 to 12 and 27 shall be disclosed.

4

Fully paid up capital instruments

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

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

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

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

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

5

Share premium

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

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

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

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

6

Retained earnings

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

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

Retained earnings shall include the previous year retained earnings plus the eligible interim or year-end profits

7

Accumulated other comprehensive income

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

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

8

Other reserves

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

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

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

9

Minority interest given recognition in CET1 capital

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

10

Adjustments to CET1 due to prudential filters

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

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

11

Other funds

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

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

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

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

14

(-) Direct holdings of CET1 instruments

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

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

Common Equity Tier 1 instruments held by the investment firm.

15

(-) Indirect holdings of CET1 instruments

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

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

Common Equity Tier 1 instruments held by the investment firm.

16

(-) Synthetic holdings of CET1 instruments

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

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

17

(-) Losses for the current financial year

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

18

(-) Goodwill

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

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

19

(-) Other intangible assets

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

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

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

20

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

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

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

21

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

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

22

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

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

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

24

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

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

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

25

(-)Defined benefit pension fund assets

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

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

26

(-) Other deductions

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

27

CET1: Other capital elements, deductions and adjustments

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

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

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

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

Other CET1 capital elements or deductions from a CET1 element that cannot be assigned to one of the rows 4 to 26.

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

28

ADDITIONAL TIER 1 CAPITAL

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

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

The total sum of rows 29 to 31 and 39 shall be disclosed.

29

Fully paid up, directly issued capital instruments

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

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

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

30

Share premium

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

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

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

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

31

(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1

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

The total sum of rows 32 and 36 to 38 shall be disclosed.

32

(-) Own AT1 instruments

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

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

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

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

33

(-) Direct holdings of AT1 instruments

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

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

34

(-) Indirect holdings of AT1 instruments

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

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

35

(-) Synthetic holdings of AT1 instruments

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

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

36

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

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

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

37

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

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

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

38

(-) Other deductions

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

39

Additional Tier 1: Other capital elements, deductions and adjustments

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

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

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

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

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

Excess of deduction from AT1 items over AT1 Capital, deducted from CET1 in accordance with Article 36(1), point (j), of Regulation (EU) No 575/2013: Additional Tier 1 cannot be negative, but it is possible that the deductions from AT1 items exceed the amount of available AT1 items. Where this happens, this item represents the amount needed to increase the amount reported in row 28 to zero and equals the inverse of the excess of deductions from AT1 items over AT1 Capital included, among other deductions, in row 38.

Other AT1 capital elements or deductions from AT1 element that cannot be assigned to one of the rows 29 to 38.

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

40

TIER 2 CAPITAL

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

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

The total sum of rows 41 to 43 and 50 shall be disclosed.

41

Fully paid up, directly issued capital instruments

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

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

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

42

Share premium

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

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

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

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

43

(-) TOTAL DEDUCTIONS FROM TIER 2

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

44

(-) Own T2 instruments

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

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

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

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

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

45

(-) Direct holdings of T2 instruments

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

47

(-) Synthetic holdings of T2 instruments

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

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

49

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

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

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

50

Tier 2: Other capital elements, deductions and adjustments

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

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

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

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

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

Excess of deduction from T2 items over T2 Capital, deducted from AT1 in accordance with Article 56 of Regulation (EU) No 575/2013, point (e): Tier 2 cannot be negative, but it is possible that the deductions from T2 items exceed the amount of available T2 items. Where this happens, this item represents the amount needed to increase the amount reported in row 40 to zero.

Other T2 capital elements or deductions from a T2 element that cannot be assigned to one of the rows 41 to 49.

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

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

Legal references and instructionsRowLegal references and instructions1

Own funds

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

The own funds of an investment firm shall consist of the sum of its Common equity Tier 1 Capital, Additional Tier 1 Capital and Tier 2 Capital.

The total sum of rows 2 and 25 shall be disclosed.

2

Tier 1 capital

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

The total sum of rows 3 and 20 shall be disclosed.

3

Common Equity Tier 1 capital

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

The total sum of rows 4 to 11 and 19 shall be disclosed.

4

Fully paid up capital instruments

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

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

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

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

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

5

Share premium

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

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

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

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