LegalizeCommission Implementing Regulation (EU) 2021/2284 of 10 December 2021 laying down implementing technical standards for the application of Regulation (EU) 2019/2033 of the European Parliament and of the Council with regard to supervisory reporting and disclosures of investment firms (Text with EEA relevance)
COMMISSION IMPLEMENTING REGULATION (EU) 2021/2284 of 10 December 2021 laying down implementing technical standards for the application of Regulation (EU) 2019/2033 of the European Parliament and of the Council with regard to supervisory reporting and disclosures of investment firms (Text with EEA relevance)
CHAPTER I
SUPERVISORY REPORTING
Article 1
Reporting reference dates
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.
Article 2
Reporting remittance dates
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.
By way of derogation from the first subparagraph, investment firms other than small and non-interconnected investment firms shall submit the information set out in template C 25.01 of Annex I to Commission Implementing Regulation (EU) 2024/3117 (1) for any reference dates between January and April 2026 by 30 June 2026 at the latest.
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
Article 6
Format and frequency of reporting by small and non-interconnected investment firms
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
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 ten 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.
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
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
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.
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.
ANNEX I
| INVESTMENT FIRMS TEMPLATES | |||
|---|---|---|---|
| Template number | Template code | Name of the template /group of templates | Short name |
| OWN FUNDS: level, composition, requirements and calculation | |||
| 1 | I 01.00 | Own funds | I1 |
| 2,1 | I 02.01 | Own funds requirements | I2.1 |
| 2,2 | I 02.02 | Capital ratios | I2.2 |
| 3 | I 03.00 | Fixed overheads requirements calculation | I3 |
| 4 | I 04.00 | Total K-Factor requirement calculations | I4 |
| SMALL AND NON-INTERCONNECTED INVESTMENT FIRMS | |||
| 5 | I 05.00 | Level of activity - Thresholds review | I5 |
| K-FACTOR REQUIREMENTS - ADDITIONAL DETAILS | |||
| 6,1 | I 06.01 | Assets under management - AUM additional detail | I6.1 |
| 6,2 | I 06.02 | Average value of total monthly AUM | I6.2 |
| 6,3 | I 06.03 | Client money held - CMH additional detail | I6.3 |
| 6,4 | I 06.04 | Average value of total daily CMH | I6.4 |
| 6,5 | I 06.05 | Assets safeguarded and administered - ASA additional detail | I6.5 |
| 6,6 | I 06.06 | Average value of total daily ASA | I6.6 |
| 6,7 | I 06.07 | Client orders handled - COH additional detail | I6.7 |
| 6,8 | I 06.08 | Average value of total daily COH | I6.8 |
| 6,9 | I 06.09 | K-Net position risk - K-NPR additional detail | I6.9 |
| 6,1 | I 06.10 | Clearing Margin given - CMG additional detail | I6.10 |
| 6,11 | I 06.11 | Trading counterparty default - TCD additional detail | I6.11 |
| 6,12 | I 06.12 | Daily trading flow - DTF additional detail | I6.12 |
| 6,13 | I 06.13 | Average value of total daily DTF | I6.13 |
| CONCENTRATION RISK | |||
| 7 | I 07.00 | K-CON - additional detail | I7 |
| 8,1 | I 08.01 | Level of concentration risk - Client money held | I8.1 |
| 8,2 | I 08.02 | Level of concentration risk - Assets seafeguarded and administered | I8.2 |
| 8,3 | I 08.03 | Level of concentration risk -Total own cash deposited | I8.3 |
| 8,4 | I 08.04 | Level of concentration risk - Total earnings | I8.4 |
| 8,5 | I 08.05 | Trading book exposures | I8.5 |
| 8,6 | I 08.06 | Non-trading book and off-balance sheet items | I8.6 |
| LIQUIDITY REQUIREMENTS | |||
| 9 | I 09.00 | Liquidity requirements | I9 |
I 01.00 - OWN FUNDS COMPOSITION (I1)
| Rows | Item | Amount |
|---|---|---|
| 0010 | ||
| 0010 | OWN FUNDS | |
| 0020 | TIER 1 CAPITAL | |
| 0030 | COMMON EQUITY TIER 1 CAPITAL | |
| 0040 | Fully paid up capital instruments | |
| 0050 | Share premium | |
| 0060 | Retained earnings | |
| 0070 | Previous years retained earnings | |
| 0080 | Profit eligible | |
| 0090 | Accumulated other comprehensive income | |
| 0100 | Other reserves | |
| 0110 | Minority interest given recognition in CET1 capital | |
| 0120 | Adjustments to CET1 due to prudential filters | |
| 0130 | Other funds | |
| 0140 | (-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1 | |
| 0150 | (-) Own CET1 instruments | |
| 0160 | (-) Direct holdings of CET1 instruments | |
| 0170 | (-) Indirect holdings of CET1 instruments | |
| 0180 | (-) Synthetic holdings of CET1 instruments | |
| 0190 | (-) Losses for the current financial year | |
| 0200 | (-) Goodwill | |
| 0210 | (-) Other intangible assets | |
| 0220 | (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities | |
| 0230 | (-) Qualifying holding outside the financial sector which exceeds 15% of own funds | |
| 0240 | (-) Total qualifying holdings in undertaking other than financial sector entities which exceeds 60% of its own funds | |
| 0250 | (-) CET1 instruments of financial sector entites where the investment firm does not have a significant investment | |
| 0260 | (-) CET1 instruments of financial sector entities where the investment firm has a significant investment | |
| 0270 | (-) Defined benefit pension fund assets | |
| 0280 | (-) Other deductions | |
| 0290 | CET1: Other capital elements, deductions and adjustments | |
| 0300 | ADDITIONAL TIER 1 CAPITAL | |
| 0310 | Fully paid up, directly issued capital instruments | |
| 0320 | Share premium | |
| 0330 | (-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1 | |
| 0340 | (-) Own AT1 instruments | |
| 0350 | (-) Direct holdings of AT1 instruments | |
| 0360 | (-) Indirect holdings of AT1 instruments | |
| 0370 | (-) Synthetic holdings of AT1 instruments | |
| 0380 | (-) AT1 instruments of financial sector entities where the investment firm does not have a significant investment | |
| 0390 | (-) AT1 instruments of financial sector entities where the investment firm has a significant investment | |
| 0400 | (-) Other deductions | |
| 0410 | Additional Tier 1: Other capital elements, deductions and adjustments | |
| 0420 | TIER 2 CAPITAL | |
| 0430 | Fully paid up, directly issued capital instruments | |
| 0440 | Share premium | |
| 0450 | (-) TOTAL DEDUCTIONS FROM TIER 2 | |
| 0460 | (-) Own T2 instruments | |
| 0470 | (-) Direct holdings of T2 instruments | |
| 0480 | (-) Indirect holdings of T2 instruments | |
| 0490 | (-) Synthetic holdings of T2 instruments | |
| 0500 | (-) T2 instruments of financial sector entities where the investment firm does not have a significant investment | |
| 0510 | (-) T2 instruments of financial sector entities where the investment firm has a significant investment | |
| 0520 | Tier 2: Other capital elements, deductions and adjustments |
I 02.01 - OWN FUNDS REQUIREMENTS (I2.1)
| Rows | Item | Amount |
|---|---|---|
| 0010 | ||
| 0010 | Own Funds requirement | |
| 0020 | Permanent minimum capital requirement | |
| 0030 | Fixed overhead requirement | |
| 0040 | Total K-Factor Requirement | |
| Transitional own funds requirements | ||
| 0050 | Transitional requirement based on CRR own funds requirements | |
| 0060 | Transitional requirement based on fixed overhead requirements | |
| 0070 | Transitional requirement for investment firms previously subject only to an initial capital requirement | |
| 0080 | Transitional requirement based on initial capital requirement at authorisation | |
| 0090 | Transitional requirement for investment firms that are not authorised to provide certain services | |
| 0100 | Transitional requirement of at least 250 000 EUR | |
| Memorandum items | ||
| 0110 | Additional own funds requirement | |
| 0120 | Additional own funds guidance | |
| 0130 | Total own funds requirement |
IF 02.02 - CAPITAL RATIOS (IF2.2)
| Rows | Item | Amount |
|---|---|---|
| 0010 | ||
| 0010 | CET 1 Ratio | |
| 0020 | Surplus(+)/Deficit(-) of CET 1 Capital | |
| 0030 | Tier 1 Ratio | |
| 0040 | Surplus(+)/Deficit(-) of Tier 1 Capital | |
| 0050 | Own Funds Ratio | |
| 0060 | Surplus(+)/Deficit(-) of Total capital |
I 03.00 - FIXED OVERHEADS REQUIREMENT CALCULATION (I3)
| Amount | ||
|---|---|---|
| Rows | Item | 0010 |
| 0010 | Fixed Overhead Requirement | |
| 0020 | Annual Fixed Overheads of the previous year after distribution of profits | |
| 0030 | Total expenses of the previous year after distribution of profits | |
| 0040 | Of which: Fixed expenses incurred on behalf of the investment firms by third parties | |
| 0050 | (-)Total deductions | |
| 0060 | (-)Staff bonuses and other remuneration | |
| 0070 | (-)Employees', directors' and partners' shares in net profits | |
| 0080 | (-)Other discretionary payments of profits and variable remuneration | |
| 0090 | (-)Shared commission and fees payable | |
| 0100 | (-)Fees, brokerage and other charges paid to CCPs that are charged to customers | |
| 0110 | (-)Fees to tied agents | |
| 0120 | (-)Interest paid to customers on client money where this is at the firm's discretion | |
| 0130 | (-)Non-recurring expenses from non-ordinary activities | |
| 0140 | (-)Expenditures from taxes | |
| 0150 | (-)Losses from trading on own account in financial instruments | |
| 0160 | (-)Contract based profit and loss transfer agreements | |
| 0170 | (-)Expenditure on raw materials | |
| 0180 | (-)Payments into a fund for general banking risk | |
| 0190 | (-)Expenses related to items that have already been deducted from own funds | |
| 0200 | Projected fixed overheads of the current year | |
| 0210 | Variation of fixed overheads (%) |
I 04.00 - TOTAL K-FACTOR REQUIREMENT CALCULATIONS (I4)
| Factor amount | K-factor requirement | ||
|---|---|---|---|
| Rows | Item | 0010 | 0020 |
| 0010 | TOTAL K-FACTOR REQUIREMENT | ||
| 0020 | Risk to client | ||
| 0030 | Assets under management | ||
| 0040 | Client money held - Segregated | ||
| 0050 | Client money held - Non - segregated | ||
| 0060 | Assets safeguarded and administered | ||
| 0070 | Client orders handled - Cash trades | ||
| 0080 | Client orders handled - Derivatives Trades | ||
| 0090 | Risk to market | ||
| 0100 | K-Net positions risk requirement | ||
| 0110 | Clearing margin given | ||
| 0120 | Risk to firm | ||
| 0130 | Trading counterparty default | ||
| 0140 | Daily trading flow - Cash trades | ||
| 0150 | Daily trading flow - Derivative trades | ||
| 0160 | K-Concentration risk requirement |
I 05.00 - LEVEL OF ACTIVITY - THRESHOLDS REVIEW (I5)
| Amount | ||
|---|---|---|
| Rows | Item | 0010 |
| 0010 | (Combined) assets under management | |
| 0020 | (Combined) client orders handled - Cash trades | |
| 0030 | (Combined) client orders handled - Derivatives | |
| 0040 | Assets safeguarded and administered | |
| 0050 | Client money held | |
| 0060 | Daily trading flow - cash trades and derivative trades | |
| 0070 | Net position risk | |
| 0080 | Clearing margin given | |
| 0090 | Trading counterparty default | |
| 0100 | (Combined) on - and off-balance sheet total | |
| 0110 | Combined total annual gross revenue | |
| 0120 | Total annual gross revenue | |
| 0130 | (-) Intragroup part of the annual gross revenue | |
| 0140 | Of which: revenue from reception and transmission of orders | |
| 0150 | Of which: revenue from execution of orders | |
| 0160 | Of which: revenue from dealing on own account | |
| 0170 | Of which: revenue from portfolio management | |
| 0180 | Of which: revenue from investment advice | |
| 0190 | Of which: revenue from underwriting of financial instruments/placing on a firm commitment basis | |
| 0200 | Of which: revenue from placing without a firm commitment basis | |
| 0210 | Of which: revenue from operation of an MTF | |
| 0220 | Of which: revenue from operation of an OTF | |
| 0230 | Of which: revenue from safekeeping and administration of financial instruments | |
| 0240 | Of which: revenue from granting credits or loans to investors | |
| 0250 | Of which: revenue from advice to undertakings on capital structure, industrial strategy and related matters and advice and services relating to mergers and the purchase of undertakings | |
| 0260 | Of which: revenue from foreign exchange services | |
| 0270 | Of which: investment research and financial analysis | |
| 0280 | Of which: revenue from services related to underwriting | |
| 0290 | Of which: investment services and ancillary activities related with the underlying of derivatives |
I 06.00 K -Factor - additional details (I 06)
I 06.01 Assets under management - AUM additional details
| Factor amount | ||||
|---|---|---|---|---|
| Month t | Month t-1 | Month t-2 | ||
| 0010 | 0020 | 0030 | ||
| 0010 | Total AUM (average amounts) | |||
| 0020 | Of which: AUM - Discretionary portfolio management | |||
| 0030 | Of which: AUM formally delegated to another entity | |||
| 0040 | AUM - Ongoing non-discretionary advice |
I 06.02 Monthly assets under management
| End-of-month values | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Month t-3 | Month t-4 | Month t-5 | Month t-6 | Month t-7 | Month t-8 | Month t-9 | Month t-10 | Month t-11 | Month t-12 | Month t-13 | Month t-14 | Month t-15 | Month t-16 | ||
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 0110 | 0120 | 0130 | 0140 | ||
| 0010 | Total monthly assets under management | ||||||||||||||
| 0020 | Monthly assets under management - discretionary portfolio management | ||||||||||||||
| 0030 | of which: assets formally delegated to another entity | ||||||||||||||
| 0040 | Monthly assets under management - Ongoing non-discretionary advice |
I 06.03 Client money held - CMH additional details
| Factor amount | ||||
|---|---|---|---|---|
| Month t | Month t-1 | Month t-2 | ||
| 0010 | 0020 | 0030 | ||
| 0010 | CMH - Segregated (average amounts) | |||
| 0020 | CMH - Non-segregated (average amounts) |
I 06.04 Average value of total daily client money held
| Monthly averages of total daily client money held values | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Month t-3 | Month t-4 | Month t-5 | Month t-6 | Month t-7 | Month t-8 | Month t-9 | Month t-10 | ||
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | ||
| 0010 | Total daily client money held - Segregated | ||||||||
| 0020 | Total daily client money held - Non-segregated |
I 06.05 Assets safeguarded and administered - ASA additional details
| Factor amount | ||||
|---|---|---|---|---|
| Month t | Month t-1 | Month t-2 | ||
| 0010 | 0020 | 0030 | ||
| 0010 | Total ASA (average amounts) | |||
| 0020 | Of which: Fair value of financial instruments (Level 2) | |||
| 0030 | Of which: Fair value of financial instruments (Level 3) | |||
| 0040 | Of which: assets formally delegated to another financial entity | |||
| 0050 | Of which: assets of another financial entity that has formally delegated to the investment firm |
I 06.06 Average value of total daily assets safeguarded and administered
| Monthly averages of total daily ASA values | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Month t-3 | Month t-4 | Month t-5 | Month t-6 | Month t-7 | Month t-8 | Month t-9 | Month t-10 | ||
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | ||
| 0010 | Assets safeguarded and administered | ||||||||
| 0020 | Of which: Fair value of financial instruments (Level 2) | ||||||||
| 0030 | Of which: Fair value of financial instruments (Level 3) | ||||||||
| 0040 | Of which: assets formally delegated to another financial entity | ||||||||
| 0050 | Of which: assets of another financial entity that has formally delegated to the investment firm |
I 06.07 Client orders handled - COH additional details
| Factor amount | ||||
|---|---|---|---|---|
| Month t | Month t-1 | Month t-2 | ||
| 0010 | 0020 | 0030 | ||
| 0010 | COH - Cash trades (average amounts) | |||
| 0020 | Of which: Execution of client orders | |||
| 0030 | Of which: Reception and transmission of client orders | |||
| 0040 | COH - Derivative (average amounts) | |||
| 0050 | Of which: Execution of client orders | |||
| 0060 | Of which: Reception and transmission of client orders |
I 06.08 Average value of total daily client orders handled
| Monthly averages of total daily client orders handled values | ||||||
|---|---|---|---|---|---|---|
| Month t-3 | Month t-4 | Month t-5 | Month t-6 | Month t-7 | ||
| 0010 | 0020 | 0030 | 0040 | 0050 | ||
| 0010 | Total daily client orders handled - Cash value | |||||
| 0020 | Of which: Execution of client orders | |||||
| 0030 | Of which: Reception and transmission of client orders | |||||
| 0040 | Total daily client orders handled - Derivatives | |||||
| 0050 | Of which: Execution of client orders | |||||
| 0060 | Of which: Reception and transmission of client orders |
I 06.09 K-Net position risk - K-NPR additional detail
| K - factor requirement / amount | ||
|---|---|---|
| 0010 | ||
| 0010 | Total standardised approach | |
| 0020 | Position risk | |
| 0030 | Equity instruments | |
| 0040 | Debt instruments | |
| 0050 | Of which: securitisations | |
| 0055 | Particular approach for position risk in CIUs | |
| 0060 | Foreign exchange risk | |
| 0070 | Commodities risk | |
| 0080 | Internal model approach |
I 06.10 Clearing Margin given - CMG additional detail
| Clearing member | Contribution to the total margin required on a daily basis on the day of | ||||
|---|---|---|---|---|---|
| Name | Code | Type of code | the highest amount of total margin | the second highest amount of total margin | the third highest amount of total margin |
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 |
I 06.11 Trading counterparty default - TCD additional details
| K - factor requirement | Exposure value | Replacement cost (RC) | Potential future exposure (PFE) | Collateral (C) | ||
|---|---|---|---|---|---|---|
| 0010 | 0020 | 0030 | 0040 | 0050 | ||
| Breakdown by method for determining the exposure value | ||||||
| 0010 | Application of IFR: K-TCD | |||||
| 0020 | Alternative approaches: Exposure value determined in accordance with CRR | |||||
| 0030 | SA-CCR | |||||
| 0040 | Simplified SA-CCR | |||||
| 0050 | Original exposure method | |||||
| 0060 | Alternative approaches: Full application of CRR framework | |||||
| 0070 | Memorandum item: CVA component | |||||
| 0080 | of which: calculated in accordance with CRR framework | |||||
| Breakdown by type of counterparty | ||||||
| 0090 | Central governments, central banks and public sector entities | |||||
| 0100 | Credit institutions and investment firms | |||||
| 0110 | Other counterparties |
I 06.12 Daily trading flow - DTF additional details
| Factor amount | ||||
|---|---|---|---|---|
| Month t | Month t-1 | Month t-2 | ||
| 0010 | 0020 | 0030 | ||
| 0010 | Total DTF - cash trades (average amounts) | |||
| 0020 | Total DTF - derivative trades (average amounts) |
I 06.13 Average value of total daily trading flows
| Monthly averages of total daily trading flow values | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Month t-3 | Month t-4 | Month t-5 | Month t-6 | Month t-7 | Month t-8 | Month t-9 | Month t-10 | ||
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | ||
| 0010 | Daily trading flow - cash trades | ||||||||
| 0020 | Daily trading flow - derivative trades |
I 07.00 - K-CON - additional detail (I7)
| Counterparty ID | Trading Book Exposures exceeding the limits set in Article 37(1) of IFR | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Code | Type of code | Name | Group/Individual | Counterparty Type | Exposure Value (EV) | Exposure Value (as % of Own Funds) | Own Funds Requirement of total exposure (OFR) | Exposure Value Excess (EVE) | Duration of the Excess (in days) | K-CON Own Funds Requirement for the Excess (OFRE) |
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 0110 |
I 08.00 - CONCENTRATION RISK - Article 54 IFR (I8)
I 08.01 Level of concentration risk - Client money held
| Institutions | Total CMH at reporting date | ||||
|---|---|---|---|---|---|
| Code | Type of code | Name | Group/Individual | Percentage of client money held at this institution | |
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 |
I 08.02 Level of concentration risk - Assets seafeguarded and administered
| Institutions | Total ASA at reporting date | ||||
|---|---|---|---|---|---|
| Code | Type of code | Name | Group/Individual | Percentage of client securities deposited at this institution | |
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 |
I 08.03 Level of concentration risk -Total own cash deposited
| Institution | Firm's own cash deposited - Top 5 exposures | ||||
|---|---|---|---|---|---|
| Code | Type of code | Name | Group/Individual | Amount of firm's cash deposits at the institution | Percentage of firm's own cash deposits at the institution |
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 |
I 08.04 Level of concentration risk - Total earnings
| Client | Earnings - Top 5 exposures | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Code | Type of code | Name | Group/Individual | Total earnings from this client | Interest and dividend income | Fee and commission and other income | ||||
| Amount generated from positions in the trading book | Amount generated from positions in the non-trading book | of which: amount generated from off-balance sheet items | Percentage of interest and dividend income from this client | Amount | Percentage of fee and commission and other income from this client | |||||
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 0110 |
I 08.05 Trading book exposures
| Counterparty | Top 5 trading book exposures | |||
|---|---|---|---|---|
| Code | Type of code | Name | Group/Individual | Percentage of exposure to this counterparty with respect to firm's own funds (trading book positions only) |
| 0010 | 0020 | 0030 | 0040 | 0050 |
I 08.06 Non-trading book and off-balance sheet items
| Counterparty | Top 5 total exposures (including non-trading book and off-balance sheet items) | |||
|---|---|---|---|---|
| Code | Type of code | Name | Group/Individual | Percentage of exposure with respect to firm's own funds (including off-balance sheet assets and non-trading book items) |
| 0010 | 0020 | 0030 | 0040 | 0050 |
I 09.00 - LIQUIDITY REQUIREMENTS (I9)
| Amount | ||
|---|---|---|
| Rows | Item | 0010 |
| 0010 | Liquidity Requirement | |
| 0020 | Client guarantees | |
| 0030 | Total liquid assets | |
| 0040 | Unencumbered short term deposits | |
| 0050 | Total eligible receivables due within 30 days | |
| 0060 | Level 1 assets | |
| 0070 | Coins and banknotes | |
| 0080 | Withdrawable central bank reserves | |
| 0090 | Central bank assets | |
| 0100 | Central government assets | |
| 0110 | Regional government/local authorities assets | |
| 0120 | Public Sector Entity assets | |
| 0130 | Recognisable domestic and foreign currency central government and central bank assets | |
| 0140 | Credit institution (protected by Member State government, promotional lender) assets | |
| 0150 | Multilateral development bank and international organisations assets | |
| 0160 | Extremely high quality covered bonds | |
| 0170 | Level 2A assets | |
| 0180 | Regional government/local authorities or Public Sector Entities assets (Member State, RW20 %) | |
| 0190 | Central bank or central/regional government or local authorities or Public Sector Entities assets (Third Country, RW20 %) | |
| 0200 | High quality covered bonds (CQS2) | |
| 0210 | High quality covered bonds (Third Country, CQS1) | |
| 0220 | Corporate debt securities (CQS1) | |
| 0230 | Level 2B assets | |
| 0240 | Asset-backed securities | |
| 0250 | Corporate debt securities | |
| 0260 | Shares (major stock index) | |
| 0270 | Restricted-use central bank committed liquidity facilities | |
| 0280 | High quality covered bonds (RW35 %) | |
| 0290 | Qualifying CIU shares/units | |
| 0300 | Total other eligible financial instruments |
ANNEX II
PART I: GENERAL INSTRUCTIONS
1. Structure and conventions
1.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.
2.For each template legal references are provided. Further detailed information regarding more general aspects of the reporting of each block of templates, instructions concerning specific positions as well as validation rules are included in this part of this Regulation.
3.The document follows the labelling convention set in points 4 to 7, when referring to the columns, rows and cells of the templates. Those numerical codes are extensively used in the validation rules.
4.The following general notation is followed in the instructions: {Template; Row; Column}.
5.In the case of validations inside a template, in which only data points of that template are used, notations do not refer to a template: {Row; Column}.
6.In the case of templates with only one column, only rows are referred to. {Template; Row}
7.An asterisk sign is used to express that the validation is done for the rows or columns specified before.
8.Any amount that increases the own funds or own funds requirements, or the liquidity requirements, shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or own funds requirements shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item no positive figure is expected to be reported of that item.
9.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
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).
Reading this document does not replace reading the official text published in the Official Journal of the European Union. We assume no responsibility for any inaccuracies arising from the conversion of the original to this format.
This text is published under EUR-Lex's own terms of reuse, not a Legalize or public-domain licence.
EUR-Lex
Creative Commons Attribution 4.0 International (CC BY 4.0)
© European Union, https://eur-lex.europa.eu — Source: EUR-Lex (Publications Office of the European Union). Reused under the Creative Commons Attribution 4.0 International (CC BY 4.0) licence. Only EU legislation published in the printed Official Journal of the European Union is deemed authentic; consolidated texts are reproduced here for documentation purposes and have been reformatted to Markdown.