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

INVESTMENT FIRMS TEMPLATES

Template number

Template code

Name of the template /group of templates

Short name

OWN FUNDS: level, composition, requirements and calculation

1

I 01.00

Own funds

I1

2,1

I 02.01

Own funds requirements

I2.1

2,2

I 02.02

Capital ratios

I2.2

3

I 03.00

Fixed overheads requirements calculation

I3

4

I 04.00

Total K-Factor requirement calculations

I4

SMALL AND NON-INTERCONNECTED INVESTMENT FIRMS

5

I 05.00

Level of activity - Thresholds review

I5

K-FACTOR REQUIREMENTS - ADDITIONAL DETAILS

6,1

I 06.01

Assets under management - AUM additional detail

I6.1

6,2

I 06.02

Average value of total monthly AUM

I6.2

6,3

I 06.03

Client money held - CMH additional detail

I6.3

6,4

I 06.04

Average value of total daily CMH

I6.4

6,5

I 06.05

Assets safeguarded and administered - ASA additional detail

I6.5

6,6

I 06.06

Average value of total daily ASA

I6.6

6,7

I 06.07

Client orders handled - COH additional detail

I6.7

6,8

I 06.08

Average value of total daily COH

I6.8

6,9

I 06.09

K-Net position risk - K-NPR additional detail

I6.9

6,1

I 06.10

Clearing Margin given - CMG additional detail

I6.10

6,11

I 06.11

Trading counterparty default - TCD additional detail

I6.11

6,12

I 06.12

Daily trading flow - DTF additional detail

I6.12

6,13

I 06.13

Average value of total daily DTF

I6.13

CONCENTRATION RISK

7

I 07.00

K-CON - additional detail

I7

8,1

I 08.01

Level of concentration risk - Client money held

I8.1

8,2

I 08.02

Level of concentration risk - Assets seafeguarded and administered

I8.2

8,3

I 08.03

Level of concentration risk -Total own cash deposited

I8.3

8,4

I 08.04

Level of concentration risk - Total earnings

I8.4

8,5

I 08.05

Trading book exposures

I8.5

8,6

I 08.06

Non-trading book and off-balance sheet items

I8.6

LIQUIDITY REQUIREMENTS

9

I 09.00

Liquidity requirements

I9

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

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

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

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 (%)

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

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

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

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

Factor amount

Month t

Month t-1

Month t-2

0010

0020

0030

0010

CMH - Segregated (average amounts)

0020

CMH - Non-segregated (average amounts)

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

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

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

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

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

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

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

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

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)

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

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

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

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

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

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

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

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

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