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)

ANNEX III

I 01.01 - OWN FUNDS COMPOSITION (I1.1)

I 02.03 - OWN FUNDS REQUIREMENTS (I2.3)

I 02.04 - CAPITAL RATIOS (I2.4)

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

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

I 09.01 - LIQUIDITY REQUIREMENTS (I9.1)

ANNEX IV

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

PART II:   TEMPLATE RELATED INSTRUCTIONS

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

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

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

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

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

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

2.   SMALL AND NON-INTERCONNECTED INVESTMENT FIRMS

3.   LIQUIDITY REQUIREMENTS

ANNEX V

Part I: Single Data Point Model

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

The single data point model shall meet the following criteria:

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

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

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

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

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

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

Part II: Validation rules

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

The validation rules shall meet the following criteria:

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

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

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

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

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

ANNEX VI

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

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

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

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

Flexible template.

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

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

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

ANNEX VII

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

1.Investment firms shall apply the instructions provided in this Annex in order to complete template EU I CC1 as presented in Annex VI according to Article 49(1), points (a), and (c), of Regulation (EU) 2019/2033.

2.Investment firms shall complete column (b) to explain the source of every major input, which is to be cross-referenced to the corresponding rows in Template EU I CC2.

3.Investment firms shall include in the narrative accompanying the template a description of all restrictions applied to the calculation of own funds in accordance with Article 49(1) point (c), of Regulation (EU) 2019/2033 and the instruments and deductions to which those restrictions apply. They shall also explain the main changes in the amounts disclosed compared with previous disclosure periods.

4.This template is fixed, and investment firms shall disclose it with exactly the same format provided in Annex VI.

5.Investment firms other than small and non-interconnected shall disclose the information on composition of own funds in accordance with Template EU I CC1.01 in Annex VI. Small and non-interconnected investment firms with Additional Tier 1 instruments issuances shall disclose the information on composition of own funds in accordance with Template EU I CC1.02 also in Annex VI.

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