ANNEX IX
REPORTING ON GROUP CAPITAL TEST
Table of contents
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PART I: |
GENERAL INSTRUCTIONS | 162 |
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1. |
Structure and conventions | 162 |
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1.1 |
Structure | 162 |
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1.2 |
Numbering convention | 162 |
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1.3 |
Sign convention | 162 |
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PART II: |
TEMPLATE RELATED INSTRUCTIONS | 163 |
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1. |
OWN FUNDS: LEVEL, COMPOSITION, REQUIREMENTS AND CALCULATION | 163 |
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1.1 |
General Remarks | 163 |
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1.2. |
IF 11.01 – OWN FUNDS COMPOSITION – GROUP CAPITAL TEST (IF11.1) | 163 |
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1.2.1. |
Instructions concerning specific positions | 163 |
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1.3 |
IF 11.02 OWN FUNDS REQUIREMENTS – GROUP CAPITAL TEST (IF11.2) | 169 |
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1.3.1. |
Instructions concerning specific positions | 169 |
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1.4 |
IF 11.03 INFORMATION ON SUBSIDIARIES UNDERTAKINGS (IF11.3) | 170 |
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1.4.1. |
Instructions concerning specific positions | 170 |
PART I: GENERAL INSTRUCTIONS
1. Structure and conventions
1.1 Structure
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1. |
Overall, group capital test reporting consists of 2 templates:
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|
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. |
1.2 Numbering convention
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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. |
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4. |
The following general notation is followed in the instructions: {Template; Row; Column}. |
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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}. |
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6. |
In the case of templates with only one column, only rows are referred to. {Template; Row} |
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7. |
An asterisk sign is used to express that the validation is done for the rows or columns specified before. |
1.3 Sign convention
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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. |
PART II: TEMPLATE RELATED INSTRUCTIONS
1. OWN FUNDS: LEVEL, COMPOSITION, REQUIREMENTS AND CALCULATION
1.1 General Remarks
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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:
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11. |
The items in these templates are gross of transitional adjustments. This means that the figures (except where the transitional own funds requirement is specifically stated) are calculated according to the final provisions (i.e. as if there were no transitional provisions). |
1.2. I 11.01 – OWN FUNDS COMPOSITION – GROUP CAPITAL TEST (I11.1)
1.2.1. Instructions concerning specific positions
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Row |
Legal references and instructions |
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0010 |
OWN FUNDS Article 9(1) of Regulation (EU) 2019/2033. The own funds of an investment firm shall consist of the sum of its Tier 1 capital and Tier 2 capital. |
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0020 |
TIER 1 CAPITAL The Tier 1 capital is the sum of Common Equity Tier 1 Capital and Additional Tier 1 capital. |
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0030 |
COMMON EQUITY TIER 1 CAPITAL |
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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. |
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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". |
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0060 |
Retained earnings Article 9(1), point (i), of Regulation (EU) 2019/2033. Article 26(1), point (c), of Regulation (EU) No 575/2013. Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits. The sum of rows 0070 and 0080 shall be reported. |
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0070 |
Previous years retained earnings Article 4(1), point (123), and Article 26(1), point (c), of Regulation (EU) No 575/2013. Article 4(1), point (123), of Regulation (EU) No 575/2013 defines retained earnings as "Profit and losses brought forward as a result of the final application of profit or loss under the applicable accounting framework". |
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0080 |
Profit eligible Article 4(1), point (121), Article 26(2) and Article 36(1), point (a), of Regulation (EU) No 575/2013. Article 26(2) of Regulation (EU) No 575/2013 allows including as retained earnings interim or year-end profits, with the prior consent of the competent authorities, if some conditions are met. |
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0090 |
Accumulated other comprehensive income |
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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. |
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0120 |
Adjustments to CET1 due to prudential filters |
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0130 |
Other funds |
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0145 |
(-)TOTAL DEDUCTIONS FROM COMMON EQUITY TIER 1 Article 8(2), point (a), of Regulation (EU) 2019/2033, Article 36(1) of Regulation (EU) No 575/2013 with the exception of point (i) of that paragraph. The sum of rows 0150 and 0190-0280 shall be reported. |
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0150 |
(-) Own CET1 instruments Article 9(1), point (i), of Regulation (EU) 2019/2033. Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013. Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 of Regulation (EU) No 575/2013. Holdings on shares included as "Capital instruments not eligible" shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. |
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0190 |
(-) Losses for the current financial year |
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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. |
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0210 |
(-) Other intangible assets Article 9(1), point (i), of Regulation (EU) 2019/2033. Article 4(1), point (115), Article 36(1), point (b), and Article 37, point (a), of Regulation (EU) No 575/2013. Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also pursuant the applicable accounting standard. |
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0220 |
(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities |
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0230 |
(-) Qualifying holding outside the financial sector which exceeds 15 % of own funds |
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0240 |
(-)Total qualifying holdings in undertaking other than financial sector entities which exceeds 60 % of its own funds |
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0250 |
(-) CET1 instruments of financial sector entities where the parent does not have a significant investment Article 9(2), point (c), of Regulation (EU) 2019/2033. Article 36(1), point (h), of Regulation (EU) No 575/2013. Union parent in this row means Union parent investment firms, Union parent investment holding companies, Union parent mixed financial holding or any other parent undertaking that is an investment firms, financial institution, ancillary services undertaking or tied agent |
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0270 |
(-)Defined benefit pension fund assets |
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0280 |
(-) Other deductions The sum of all other deductions in accordance with Article 36(1) of Regulation (EU) No 575/2013, with the exception of deductions in accordance with Article 36(1), point (i), of Regulation (EU) No 575/2013, that are not included in any of the rows 0150 to 0270 above. |
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0295 |
CET1: Other capital elements, deductions and adjustments This row shall include the sum of the following items, where applicable:
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. |
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0300 |
ADDITIONAL TIER 1 CAPITAL |
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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. |
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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". |
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0335 |
(-) TOTAL DEDUCTIONS FROM ADDITIONAL TIER 1 Article 56 of Regulation (EU) No 575/2013, with the exception of point (d) of that article. The total sum of rows 0340, 0380 and 0400 shall be reported. |
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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. |
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0380 |
(-) AT1 instruments of financial sector entities where the parent does not have a significant investment Article 9(2), point (c), of Regulation (EU) 2019/2033. Article 56, point (c), of Regulation (EU) No 575/2013. Union parent in this row means Union parent investment firms, Union parent investment holding companies, Union parent mixed financial holdings or any other parent undertaking that is an investment firms, financial institution, ancillary services undertaking or tied agent. |
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0400 |
(-) Other deductions The sum of all other deductions in accordance with Article 56 of Regulation (EU) No 575/2013, with the exception of the deductions in accordance with Article 56, point (d), of Regulation (EU) No 575/2013, that are not included in any of the rows 0340 or 0380 above. |
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0415 |
Additional Tier 1: Other capital elements, deductions and adjustments This row shall include the sum of the following items, where applicable:
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. |
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0420 |
TIER 2 CAPITAL Article 9(1) of Regulation (EU) 2019/2033. Article 71 of Regulation (EU) No 575/2013. The total sum of rows 0430 to 0455 and 0525 shall be reported. |
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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. |
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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". |
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0455 |
(-) TOTAL DEDUCTIONS FROM TIER 2 Article 66 of Regulation (EU) No 575/2013, with the exception of point (d) of that article. |
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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. |
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0500 |
(-) T2 instruments of financial sector entities where the parent does not have a significant investment Article 9(2), point (c), of Regulation (EU) 2019/2033. Article 66, point (c), of Regulation (EU) No 575/2013. Union parent in this row means Union parent investment firms, Union parent investment holding companies, Union parent mixed financial holdings or any other parent undertaking that is an investment firms, financial institution, ancillary services undertaking or tied agent. |
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0525 |
Tier 2: Other capital elements, deductions and adjustments This row shall include the sum of the following items, where applicable:
This row shall not be used to include capital items or deductions which are not covered by Regulation (EU) 2019/2033 or Regulation (EU) No 575/2013 into the calculation of the solvency ratios. |
1.3 I 11.02 OWN FUNDS REQUIREMENTS – GROUP CAPITAL TEST (I11.2)
1.3.1. Instructions concerning specific positions
|
Row |
Legal references and instructions |
|
0010 |
CET1 instruments of financial sector entities in the investment firm group where the parent undertaking has a significant investment in those entities Article 8(3), point (a), of Regulation (EU) 2019/2033 in conjunction with Article 36(1), point (i), of Regulation (EU) No 575/2013. |
|
0020 |
AT1 instruments of financial sector entities in the investment firm group where the parent undertaking has a significant investment in those entities Article 8(3), point (a), of Regulation (EU) 2019/2033 in conjunction with of Article 56, point (d), of Regulation (EU) No 575/2013. |
|
0030 |
T2 instruments of financial sector entities in the investment firm group where the parent undertaking has a significant investment in those entities Article 8(3), point (a), in conjunction with Article 66, point (d), of Regulation (EU) No 575/2013. |
|
0040 |
Holdings of financial sector entities in the investment firm group to the extent that they do not constitute own funds for the group entity the parent is invested in Article 8(3), point (a), of Regulation (EU) 2019/2033. This row shall include holdings of the parent to the extent that they do not constitute own funds for the group entity the parent is invested in. |
|
0050 |
Subordinated claims of financial sector entities in the investment firm group Article 8(3), point (a), of Regulation (EU) 2019/2033. This row shall include subordinated claims of the parent to the extent that they do not constitute own funds for the group entity the parent is invested in. |
|
0060 |
Contingent liabilities in favour of entities in the investment firm group |
|
0070 |
Total own fund requirements for the subsidiary undertakings In case of application of Article 8(4) of Regulation (EU) 2019/2033. |
1.4 IF 11.03 INFORMATION ON SUBSIDIARIES UNDERTAKINGS (IF11.3)
|
10. |
All entities included in the scope of the group capital test shall be reported in this template. This shall also include the parent undertaking of the group itself. |
1.4.1. Instructions concerning specific positions
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Columns |
Legal references and instructions |
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0010 |
Code The code as part of a row identifier must be unique for each reported entity. For investment firms and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value. |
|
0020 |
Type of code The reporting entity shall identify the type of code reported in column 0010 as a ‘LEI code type’ or ‘Nationalcode type’. The type of code shall always be reported. |
|
0030 |
Name of the undertaking Name of the undertaking within the scope of consolidation. |
|
0040 |
Parent/subsidiary Indicates whether the entity reported in the row is the parent of the group or a subsidiary |
|
0050 |
Country The country where the subsidiary is located shall be reported. |
|
0060 – 0100 |
Investments by the parent undertaking Article 8(3), point (a), of Regulation (EU) 2019/2033. In this section, the investments of the parent undertaking in the group entities shall be reported. |
|
0060 |
CET1 Article 8(3), point (a), of Regulation (EU) 2019/2033 in conjunction with Article 36(1), point (i), of Regulation (EU) No 575/2013. |
|
0070 |
AT1 Article 8(3), point (a), of Regulation (EU) 2019/2033 in conjunction with Article 56, point (d), of Regulation (EU) No 575/2013. |
|
0080 |
T2 Article 8(3), point (a), of Regulation (EU) 2019/2033 in conjunction with Article 66, point (d), of Regulation (EU) No 575/2013. |
|
0090 |
Holdings Article 8(3), point (a), of Regulation (EU) 2019/2033. This column shall include holdings of the parent to the extent that they do not constitute own funds for the group entity the parent is invested in. |
|
0100 |
Subordinated claims Article 8(3), point (a), of Regulation (EU) 2019/2033. This column shall include subordinated claims of the parent to the extent that they do not constitute own funds for the group entity the parent is invested in. |
|
0110 |
Contingent liabilities of the parent in favour of the entity |
|
0120 |
Total own fund requirements for the subsidiary undertakings |
|
0130 |
Permanent minimum capital |
|
0140 |
K-factor requirement |
|
0150 |
Assets under management |
|
0160 |
Client money held – Segregated |
|
0170 |
Client money held – Non – segregated |
|
0180 |
Assets safeguarded and administered |
|
0190 |
Client orders handled – Cash trades Article 15(2) and article 20(1) and article 20(2), point (a), of Regulation (EU) 2019/2033. |
|
0200 |
Client orders handled – Derivatives Trades Article 15(2) and article 20(1) and article 20(2), point (b), of Regulation (EU) 2019/2033. |
|
0210 |
K-Net positions risk requirement |
|
0220 |
Clearing margin given |
|
0230 |
Trading counterparty default |
|
0240 |
Daily trading flow – Cash trades For the purposes of K-factor requirement calculation, investment firms shall report by applying the coefficient of Article 15(2) of Regulation (EU) 2019/2033. In the event of stressed market conditions, in accordance with Article 15(5), point (c), of Regulation (EU) 2019/2033, investment firms shall apply an adjusted coefficient as specified in that point. Daily trading flow factor shall be calculated in accordance with Article 33(2), point (a), of Regulation (EU) 2019/2033. |
|
0250 |
Daily trading flow – Derivative trades For the purposes of K-factor requirement calculation, investment firms shall report by applying the coefficient of Article 15(2) of Regulation (EU) 2019/2033. In the event of stressed market conditions, in accordance with Article 15(5), point (c), of Regulation (EU) 2019/2033, investment firms shall apply an adjusted coefficient as specified in that point. Daily trading flow factor shall be calculated in accordance with Article 33(2), point (b), of Regulation (EU) 2019/2033. |
|
0260 |
K-Concentration risk requirement Article 37(2), 39 and Article 24 of Regulation (EU) 2019/2033. |
|
0270 |
Fixed overhead requirements |