The Automated COREP Return

Transcription

1 The Automated COREP Return 1. Introduction 1.1 This Manual provides detailed instructions on how to fill in the Automated COREP Return. It then provides an explanation of how Licence Holders are to complete a number of worksheets in the Return namely: Section 1 Standard Templates Section 2 COREP Templates Section 3 Fixed Overhead Template Input Sheet Capital Adequacy Fixed Overhead Requirement Income Statement Group Solvency Balance Sheet Statement Credit Risk Validation Check Operational Risk Financial Details Market Risk Representations Large Exposures Leverage 2. Instructions for using the Automated COREP Return 2.1 This Manual also provides guidance for Licence Holders when compiling the automated COREP Interim Financial Return ( IFR ), the automated COREP Annual Financial Return ( AFR ), and the automated COREP Annual Audited Financial Return ( AAFR ). 2.2 The Return is compiled via an MS Excel File. The file has been optimised to work on Microsoft Excel Some functions may not work if converted for use with other software or later version of Excel. This MS Excel file must be saved in the following format: Microsoft Excel Macro-Enabled Worksheet (.xlsm). 2.3 To select a worksheet, go to INDEX sheet and click on the icon next to the required sheet. 2.4 The worksheets are password protected. 2.5 In instances where the cells are linked, only the values need to be inputted once. 2.6 Subtotals are calculated automatically. 2.7 A number of worksheets require manual intervention. The user will be prompted to execute a function or to input a value. Any computer prompted instructions are to be followed carefully. Page 1 of 20

2 2.8 Licence Holders are to provide additional details where required. This is required at the bottom of the Income Statement and Balance Sheet Statement sheets. It is preferable that entries do not exceed the space provided for this purpose. 2.9 The compilation of the automated COREP Return should start from the first worksheet (that is, the COVER SHEET ). Details are to be inserted (as and where appropriate) starting from top and moving to the end of each worksheet The following is an outline of all the applicable sheets: Sheet Sheet title Applicable to Input Sheet Input Sheet Category 2/3 Income Statement Income Statement Category 2/3 Balance Sheet Balance Sheet Category 2/3 Validation Check Validation Check Category 2/3 Financial Details Financial Details Category 2/3 Representations Representations Category 2/3 CA1 Own Funds Category 2/3 CA2 Own Funds Requirement Category 2/3 CA 3 Capital Ratios Category 2/3 CA 4 Memorandum Items Category 2/3 CA 5 Transitional Provisions Category 2/3 GS Group Solvency Category 2/3 CRSA Credit and Counterparty Credit Risk and Category 3 Free Deliveries: Standardised Approach To Capital Requirements CRGB Geographical Breakdown Category 3 CR SETT Settlement/Delivery Risk Category 3 Operational Risk Operational Risk Working Category 3 Working OPR Operational Risk Category 3 MKR SA TDI Market Risk for traded debt instruments Category 3 in Traded Debt Instruments MKR SA EQU Market Risk: Standardised Approach for Category 3 Position Risk in Equities MKR SA FX MKR SA FX Working Category 2/3 Working MKR SA FX Market Risk: Standardised Approaches Category 3 for Foreign Exchange Risk MKR SA COM MKR SA COM Category 3 MKR IM MKR IM Category 3 Page 2 of 20

3 CVA Credit Value Adjustment Risk Category 3 LE LIMITS Large LE LIMITS Large Exposures Limits Category 3 Exposures Limits LE Large LE Category 3 Exposures Leverage Leverage Category 3 Fixed overhead Fixed-Overhead Requirement Category Users should not key in 0 or whenever a value is nil but should leave the cell empty. 3. The Cover Sheet 3.1 All cells in items 1 to 11 which are highlighted in blue are to be completed. 3.2 Item 1: Select document type either Annual or Interim Financial Return from the drop down list depending on the period for which the return is being compiled. 3.3 Returns are to be prepared in the currency in which the Audited Annual Financial Returns are compiled. The reporting currency of the accounts should be inserted in ISO Code. 3.4 Irrespective of the reporting currency, the relevant Middle Exchange Rate converting EUR to the reporting currency is to be inserted in Item Upon satisfactory completion of items 1 11, click on the button which leads directly to the Index Sheet When this sheet is completed click here to go to Index page Page 3 of 20

4 4. The Index Sheet 4.1 The Index sheet is mainly divided into three sections as follows: SECTION 1 STANDARD TEMPLATES SECTION 2 COREP TEMPLATES SECTION 3 FIXED OVERHEAD TEMPLATE 4.2 In order to access a specific sheet, the relative icon to the left of the sheet s title must be selected. 4.3 Sheets filled in either manually or by way of automation will be marked in (RED, BOLD & UNDERLINED) in the INDEX SHEET. 5. The Input Sheet Click on this icon to go the Input Sheet 5.1 Click on the icon on the left of the sheet s title to access the INPUT SHEET 5.2 The input sheet has a similar structure to a Trial Balance. All amounts on the credit (mainly items of income and liabilities) are to have a negative figure, by inserting a sign before the figure. On the other hand, all amounts on the debit (mainly assets and expense should be indicated as positive. If a negative amount is filled in a cell representing an asset, the program will prompt the Licence holder to insert a positive amount. In general, the Licence Holder will not be allowed to insert a negative amount in a cell representing an asset or an expense. Similarly such Licence Holder will not be allowed to insert a positive amount in a cell representing an item of income or a liability. For convenience, some cells have an automated pop-up window explaining what must be inserted. 5.3 The INPUT SHEET is mainly divided into six sections as follows: 1. Income 2. Expenditure 3. Assets 4. Liabilities 5. Capital & Reserves 6. Other Page 4 of 20

5 Steps to be followed for the completion of certain items in the Input Sheet: 5.4 Other Comprehensive Income 5.5 Assets If the Licence Holder is required to report an amount in Fair value movements on Intangible assets or Gain/Loss on revaluation of property, then Item a or c in Statement of Other Comprehensive Income section must be filled in. Once the input cell has been filled in, a pop-up will appear, prompting the Licence Holder to qualify the item as a P/L or OCI item. i. If the Licence Holder requires reporting an amount in Goodwill then item (a) i) in the Assets section must be filled in. Once the input cell has been filled in, a pop-up will appear, prompting the Licence Holder to qualify the item as a Goodwill item accounted for as intangible asset or Goodwill item included in the valuation of significant investments. The amount will feature in the CA1 Template according to the selected category. ii. If the Licence holder needs to report any Amounts due from Group Companies and/or Amounts due from other connected persons, the credit quality step of the central government in which the amount is due from must be specified. These items are considered as exposures to corporates which are unrated and thus shall be assigned the risk weight of exposures to the central government of the jurisdiction in which the corporate is established. A credit assessment of 1 to 5 and an unrated credit assessment will risk weight the amount at 100%, while a credit assessment of 6 will risk weight the amount at 150%. iii. Trade Receivables and Other Receivables must be classified according to the Exposure Type. The three exposure types available are Exposures to Institutions ; Exposures to Corporates ; and Other Exposures. If the reporting amount is classified as an Exposures to Corporates, these items are considered as unrated and thus shall be assigned the risk weight of exposures to the central government of the jurisdiction in which the corporate is established. A credit assessment of 1 to 5 and an unrated credit assessment will risk weight the amount at 100%, while a credit assessment of 6 will risk weight the amount at 150%. 5.6 Liabilities If the Licence holder needs to report any Subordinated Loan as at 31/12/2013 and/or any Subordinated Loan as from 01/01/2014, the issue date and maturity date must be specified in the adjacent cells. Page 5 of 20

6 5.7 Other i. If the Licence Holder holds assets/ liabilities denominated in a currency other than the reporting currency then item a in Section 6 of the INPUT SHEET must be answered Yes. If the answer to the Question is Yes a pop-up will appear indicating Please input the relevant exposure in MKR SA FX Working Sheet. The MKR SA FX Working Sheet can be accessed through the Index Sheet. ii. iii. iv. If the Licence Holder holds Investments in Own CET 1, AT1 or T2 Instruments then item d in Section 6 of the INPUT SHEET must be answered Yes. If the answer to the Question is Yes a pop-up will appear prompting the Licence Holder to input the Capital Type, Holding Type and Amount. The amount will feature in the CA1 Template according to the selected Capital Type. If the Licence Holder holds Instruments of financial sector entities where the institution has a significant investment and/or exposures to any Securitisation Positions, then item e and/or o of Section 6 of the INPUT SHEET is answered Yes. If the answer to the question is Yes a pop-up will appear indicating Please Inform MFSA. The MFSA will then guide the Licence Holder accordingly. If the Licence Holder holds Instruments of financial sector entities where the institution does not have a significant investment, the amount must be specified in Item f of Section 6 of the INPUT SHEET. A pop-up will immediately appear prompting the Licence Holder to input the Capital Type. The amount will feature in the CA1 Template according to the selected Capital Type. v. If the Licence Holder is involved in any Credit Risk Mitigation Techniques and/or is subject to any Off-balance sheet exposures then Question l and/or m in Section 6 of the INPUT SHEET must be answered Yes. If the answer to the Question is Yes a pop-up will appear indicating Please Inform MFSA. The MFSA will then guide the Licence Holder accordingly. vi. If the Licence Holder holds exposures secured by mortgages on immovable property then Question n in Section 6 of the INPUT SHEET must be answered Yes. If the answer to the Question is Yes a pop-up will appear indicating Please input the relevant exposure in CR SA - Secured by Mortgages on Immovable Property. 6. The Income Statement 6.1 This sheet is fully automated except for Item The space provided in item 8.0 ( Details of Other ISA related revenue and/or Any other details or comments is to be used to explain Item 5.0 ( Other ISA related revenue ). Page 6 of 20

7 7. The Balance Sheet Statement 7.1 This sheet is fully automated except for item The space provided in Item 8.0 ( Details of 'Amounts due to/ from other connected persons' and/or **'Amounts due to/ from group Companies' and/or Any other details or comments : ) should provide explanations to Item 2.0 (f) ( Amounts due from group companies** ) and item 2.0 (g) ( Amounts due from other connected persons* ). 8. COREP Structure 8.1 Overall the framework consists of 6 set of templates: [i] Capital Adequacy; [ii] Credit Risk; [iii] Market Risk; [iv] Operational Risk; [v] Large Exposures Risk; and [vi] Leverage. A description of these templates is provided in the following sections. 8.2 Category 3 Licence Holders are required to complete all the COREP Templates that are included within the Automated COREP Return, as long as these are applicable to them, depending on the type of investment services activities that they provide. In addition, certain reporting templates are only required to be completed if they exceed the reporting thresholds on two consecutive reporting reference dates. Licence Holders should refer to Article 4 of EBA s draft ITS on supervisory reporting for the purpose of complying with the entry and exit criteria for reporting thresholds. 8.3 Category 2 Licence Holders are only required to complete the Capital Adequacy Templates. Given that these templates contain certain information which require the calculation of the risk components and the fixed overhead requirement, Category 2 Licence Holders are required to complete the following sheets in addition to the Capital Adequacy Templates: [i] Input Sheet; [ii] Income Statement; [iii] Balance Sheet; [iv] Financial Details; [v] Representations; [vi] the MKR SA FX Working (Foreign Exchange Working) Sheet; and [vii] Fixed Overhead Requirement. This will ensure the automatic calculation of the risk components and the fixed overhead calculation in the Capital Adequacy Templates. 9. The Capital Adequacy (CA) Templates 9.1 These templates mainly contain summary information about the own funds (numerator) and the own funds requirement (denominator) of the Licence Holder, Page 7 of 20

8 resulting in the calculation of the capital adequacy ratio. They are divided into five sub-templates: i. The CA1 Template provides details about the Licence Holder s Common Equity Tier 1 Capital (CET 1), Additional Tier 1 Capital and Tier 2 Capital. This sheet is partly automated via the INPUT SHEET. Where applicable, cells marked in blue are to be filled in. ii. The CA2 Template establishes the Licence Holder s capital requirement based on risk-weighted credit and counterparty credit risk component, the market risk component, the operational risk component, the CVA OTC derivative instrument risk component and where applicable the large exposures risk and the Fixed Overhead Requirement. iii. The CA3 Template calculates the Licence Holder s CET1 capital ratio, the Tier 1 capital ratio and the total capital ratio. iv. The CA4 Template contains memorandum items such as [a] deferred tax assets; [b] thresholds for CET 1 deductions; [c] investments in the capital of financial sector entities where the institution does not have a significant investment; [d] investments in the capital of financial sector entities where the institution has a significant investment; [e] Pillar II requirements; and [f] additional information for investment firms and for the calculation of the reporting thresholds. v. The CA5 Template is structured as follows: The CA5.1 (Transitional Provisions) Template includes items which are covered under the transitional provisions, hence will be phased out in due course. The CA5.2 (Grandfathered Instruments) Template provides further details on the calculation of grandfathered instruments which do not constitute state aid. 9.2 Any amount that increases the own funds or the own funds requirement will be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the own funds requirement will 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 for that item. A detailed account of what information needs to be inputted in every row of the CA Templates is available from EBA s Instructions on Own Funds. Page 8 of 20

9 10. The Group Solvency (GS) Template This template requires different information on entities (including the Licence Holder) which form part of a consolidated group. It consists of four parts: [i] Entities within the scope of consolidation This introductory part requires basic details on the individual entities including (the Licence Holder) which form part of a consolidated group. [ii] Information on individual entities subject to own funds requirements The second part of this template (columns 070 to 240), is designed to gather information about the particular solvency requirements of each entity which forms part of a consolidated group on an individual basis. [iii] Information relating to the contribution of entities to solvency of the group The objective of the third part of this template is to identify which entities within the group generate the risks and raise own funds from the market as reported in columns 250 to 400. [iv] Capital buffers In this part information on capital buffers is provided. A detailed account of what information needs to be inputted in every column of the GS Template is available from EBA s Instructions on Own Funds. 11. The Credit and Counterparty Credit Risk and Free Deliveries: Standardised Approach for Own funds Requirements (CR SA Templates) 11.1 The CR SA templates provide the necessary information on the calculation of the credit risk component according to the Standardised Approach. In particular, they provide detailed information on: i. the classification of the exposure values according to the different exposure types, risk weights and exposure classes; and ii. the amount and type of credit risk mitigation techniques Each SA exposure shall be assigned to one of the 16 SA exposure classes listed below in order to calculate the own funds requirements via the INPUT SHEET Page 9 of 20

10 i. Exposures to central governments or central banks; ii. Exposures to regional governments or local authorities; iii. Exposures to public sector entities; iv. Exposures to multilateral development banks; v. Exposures to international organisations; vi. Exposures to institutions; vii. Exposures to corporates; viii. Retail exposures; ix. Exposures secured by mortgages on immovable property; x. Exposures in default; xi. Exposures associated with particularly high risk; xii. Exposures in the form of covered bonds; xiii. Exposures to institutions and corporates with a short-term credit assessment; xiv. Exposures in the form of units or shares in collective investment undertakings (CIUs); xv. Equity exposures; and xvi. Other items Once the exposure has been categorised under one of the exposure classes referred to above, a description of that exposure must be inserted Immediately after a description of the exposure has been inserted, a number of cells will turn red. These red cells are required to be filled in The Licence Holder must input the balance sheet value and the market value of the exposure in the adjacent columns The Licence Holder must qualify the asset as a non-trading book business asset exposure by choosing No from the drop down list which is available in the column titled Held with trading intent? A number of these exposure classes apply the Credit Quality Steps Approach ( CQSA ). In terms of CQSA, the individual risk weighting of non-trading book asset exposures is to be assigned a risk weighting depending on their credit quality assessment rating. Steps to use the CQSA: i. Check whether the relevant non-trading book business asset exposure is rated by one of the following rating agencies: Fitch Rating, Moody s, and Standard and Poor s; ii. Obtain from the rating agency, the rating of the relevant non-trading book business asset exposure; Page 10 of 20

11 iii. Apply the following mapping table to categorise the non-trading book business asset exposure in one of the credit quality steps: 11.8 Where the risk weighting of the exposure is determined through the CQSA, depending on the category of exposure, the Licence Holder must choose the applicable option from the drop down list which is available in the column titled Credit Quality Assessment Certain exposures may be classified as Unrated when determining the CQSA. When this classification is chosen, another adjacent cell turns red, prompting input. These exposures include: i. Exposures to Regional Governments or Local Authorities (treated as Institutions); ii. Exposures to Public Sector Entities; iii. Exposures to Multilateral Development Banks; and iv. Exposures in the form of Covered Bonds. Page 11 of 20

12 11.10 The information of each exposure class are reported in separate templates. The information in the CR SA template is gathered individually for each of the exposure classes as defined for the standardised approach by means of the INPUT SHEET The CR SA TOTAL template is automatically completed via the individual CR SA exposure classes If the Licence Holder needs to report the counterparty credit risk of derivative instruments, this must be done by qualifying the exposure according to the relevant exposures classes. Once the exposure has been classified, the exposure value is to be inputted in Row 060, Column 010 of that CR SA Template. 12. The Settlement/Delivery Risk (CR SETT) Template 12.1 This template requests information on both the trading and non-trading book transactions which are not settled after their due delivery dates, for purpose of calculating the settlement risk component. Licence Holders report in the CR SETT template information on the settlement/delivery risk in connection with debt instruments, equities, foreign currencies and commodities held in their trading or non-trading book. Note that own funds requirements for free deliveries are not within the scope of the CR SETT template; the latter shall be reported in the credit risk templates (CR SA template) Steps to be followed in the Input Sheet of the Return i. identify those financial instruments which have been delivered by the Licence Holder but for which payment is still due after delivery date; ii. iii. iv. identify the cash amounts which have been settled by the Licence Holder in respect of undelivered financial instruments; determine whether the instruments qualify as a trading book position or a non-trading book position; categorise in section 3 (g) (i) of the Input Sheet the unsettled securities transactions, identified in (i) and (ii) above, under one of the available headings: Page 12 of 20

13 v. enter the balance sheet value of the amount due to the Licence Holder in column (D). If the instrument is qualified as trading book business input the value in column (F), if the instrument is qualified as nontrading book business input the value in column (G). In the adjacent columns include the current market value, depending whether the instrument qualifies as trading book or non-trading book business. 13. The Geographical Breakdown (CR GB) Template 13.1 Licence Holders are only required to complete this template where the non-domestic exposures in all non-domestic countries in all exposure classes, as reported in row 850 of template CA4, are equal to or higher than 10% of total domestic and nondomestic original exposures as reported in row 860 of the same template. For this purpose, exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located. Licence Holders should refer to Article 4 of EBA s draft ITS on supervisory reporting for the purpose of complying with the entry and exit criteria for reporting thresholds Steps to be followed in the Input Sheet of the Return: If the Licence Holder holds any non-domestic original exposures in all 'non domestic countries then the amount must be filled in Section 6(g) of the INPUT SHEET. The 10% threshold described above will automatically be computed. If the threshold is reached, a pop-up will appear indicating Kindly fill in the CR GB Template in accordance with the Entry & Exit criteria of Article 4 of the ITS on Supervisory Reporting. Licence Holders which require reporting the geographical distribution of exposures by country, should report the numbers by accessing the CR GB Template. A separate CR GB Template must be filled in for every country of residence of the immediate obligor. The automated COREP Return caters for 3 countries A detailed account of what information needs to be inputted in every column of the GS Template is available from EBA s instructions on Own Funds. Page 13 of 20

14 14. The Operational Risk (OPR) Template 14.1 This template provides information on the calculation of the operational risk component for Operational Risk under the Basic Indicator Approach (BIA), the Standardised Approach (TSA), the Alternative Standardised Approach (ASA) and the Advanced Measurement Approaches (AMA). N.B. This Manual caters for the Basic Indicator Approach Licence Holders using the BIA shall calculate their operational risk component, based on the information at financial year end. When audited figures are not available, the Licence Holder may use business estimates. If audited figures are available the Licence Holder should report these figures, which will then remain unchanged Under the BIA, the operational risk component is equal to 15% of the average over three years of the relevant indicator. Licence Holders shall include each element of the relevant indicator in the sum with its positive or negative sign. This working needs to be inputted within the Operational Risk Working sheet which feeds in the OPR Template. The OPR TEMPLATE is fully automated. 15. The Market Risk: Standardised Approach for Position Risks in Traded Debt Instruments (MKR SA TDI) Template 15.1 This template calculates position risk component on traded debt instruments under the standardised approach The template is to be filled out separately for the Total, plus a static, pre-defined list of following currencies: all European Union currencies and USD, CHF, JPY, RUB, TRY, RSD, ALL, UAH, MKD, EGP, NOK, ISK and one residual dimension for all other currencies. Page 14 of 20

15 15.3 Steps to be followed in the Input Sheet of the Return: i. identify those financial instruments which fall within the traded debt instruments category and which qualify as trading book business asset exposures; ii. iii. iv. input a description in section 3(f) of the relevant trading book business asset exposure; immediately after a description of the exposure has been inputted, a number of cells will turn red. These red cells are required to be filled in; input the balance sheet value and the market value of the trading book business asset exposure in the adjacent columns; v. qualify the asset as a trading book business asset exposure by choosing YES from the drop down list which is available in the column titled Held with trading intent ; vi. vii. In the case of financial instruments which can be classified as either Debt or Equity instruments, qualify the asset as a Debt instrument by choosing Debt from the drop down list which is available in the column titled Type of Instrument ; choose the currency the instrument is being traded in from the drop down list which is available in the column titled Currency ; viii. input the number of months to maturity in the adjacent column; ix. where the risk weighting of the trading book business asset exposure is determined through the CQSA, depending on the category of asset, choose the applicable option from the drop down list which is available in the column titled Credit Quality Assessment ; x. input the coupon rate in the final column; xi. the return will automatically compute both the specific risk and the general risk component for traded instruments in the currency sheet respectively. N.B. The Return does not cater for the specific risk factor of: [i] traded debt instruments that are securitisation positions; and [ii] traded debt instruments that are positions in the correlation trading portfolio. Page 15 of 20

16 16. The Market Risk: Standardised Approach for Position Risks in Equities (MKR SA EQU) Templates 16.1 These templates request information on the positions and the corresponding own funds requirements for position risk in equities held in the trading book and treated under the standardised approach. The templates have to be filled out separately for the Total, plus a static, predefined list of following markets: Austria, Belgium, Bulgaria, Cyprus, Czech Republic, Denmark, Estonia, Finland, France, Germany, Greece, Hungary, Ireland, Italy, Latvia, Lithuania, Liechtenstein, Luxembourg, Malta, Netherlands, Norway, Poland, Portugal, Romania, Slovakia, Slovenia, Spain, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, Russian Federation, Serbia, Switzerland, Turkey, Ukraine, USA plus one residual template for all other markets. 17. The Market Risk: Standardised Approaches for Foreign Exchange Risk (MKR SA FX) Template 17.1 This template requests information on the positions in each currency (reporting currency included). Gold is also treated as a foreign currency Steps to be followed in the Return: All positions, both short and long, have to be converted in the reporting currency, before being reported in the MKR SA FX WORKING. The amounts inputted in the MKR SA FX WORKING sheet are in turn fed into the MKR SA FX Template. The MKR SA FX Template is fully automated. All values both short and long have to be inputted in positive figures. i. The MKR SA FX WORKING sheet facilitates the calculation of the net long and net short positions for each currency, by deducting the total of short positions from the total of long positions. ii. iii. iv. Identify those foreign exchange positions which fall either within the long currency position or the short currency position. Input the relevant amount in the applicable Category, according to the Currency the position is held in. All calculations are fully automated and linked to the COREP MKR SA FX Template. Page 16 of 20

17 18. The Market Risk: Standardised Approach for Commodities (MKR SA COM) Template As Licence Holders rarely invest in commodities or commodity derivatives, the MFSA has not automated the MKR SA COM template. Licence holders which invest in commodities or commodity derivatives should refer to EBA s Instructions on Own Funds to complete the MKR SA COM Template. 19. The Market Risk Internal Risk Models (MKR IM) Template Licence Holders which are permitted to have an internal risk measurement model should refer to EBA s Instructions on Own Funds to complete the MKR IM Template. 20. The Large Exposures (LE) Templates 20.1 LE Limits Template The Large Exposure Limits are fully automated in the LE Limits Template and are reported as follows: i. The large exposures limit for non institutions is equivalent to 25% of the eligible capital, which is reported in the CA4 Template, Row 220. ii. The large exposure limit for institutions is the higher of the 25% of the eligible capital or EUR 150 million. The term eligible capital is defined in Article 4(71) of the CRR and is reported in the CA4 Template, Row Large Exposures in the Non-Trading and Trading Book (The LE Templates) i. Every large exposure which falls within the definition of Article 392 of the CRR, including large exposures that need not be considered for the large exposures limits (explained in Section 20.1 above), should be reported to the MFSA. ii. Section 6(p) of the Input Sheet reports every large exposure which exceeds 10% of the eligible capital. If the exposure exceeds 10% of eligible capital, then the LE1 and LE2 templates need to be filled in accordingly. Page 17 of 20

18 10% of eligible capital 21. The Leverage Ratio (LR) Templates Where applicable, Category 3 Licence Holders are required to complete the Leverage Ratio Templates by making reference to EBA s Instructions on Own Funds. 22. The Fixed Overhead Requirement 22.1 The fixed overhead requirement is calculated by taking at least one quarter of the preceding year s fixed overheads as follows: i. Deducting the items of previous year s expenditure outlined in point (iv) below from the previous year s total expenditure to obtain the relevant fixed expenditure figure; ii. Taking one quarter of the annual relevant fixed expenditure; iii. Multiplying the figure obtained in point (ii) by 12.5; iv. The following items of the expenditure are to be deducted from the total expenditure reported in the previous year s Income Statement: a. fully discretionary staff bonuses; b. employees', directors' and partners' shares in profits, to the extent that they are fully discretionary; c. other appropriations of profits, to the extent that they are fully discretionary; d. shared commission and fees which are directly related to commission and fees receivable, which are included within total revenue, and where the payment of the commission and Page 18 of 20

19 fees payable is contingent upon the actual receipt of the commission and fees receivable; e. fees, brokerage and other charges paid to clearing houses, exchanges and intermediate brokers for the purposes of executing, registering or clearing transactions; f. fees to tied agents; g. interest paid to customers on clients' money; h. extraordinary non-recurring expenses Input the items of expenditure in the fixed overhead requirement working If the Licence Holder makes use of tied agents, then Question 6 in the Fixed Overhead Requirement Working must be answered Yes. If the answer to the Question is Yes, a pop-up will appear indicating Input 35% of costs related to tied agent. The amount must be inputted in the corresponding cell The return will automatically calculate the fixed overhead requirement and link the value to the CA 2 Template. Licence Holders are to note that the calculation of the Fixed Overhead Requirement has been based on the methodology laid down on EBA s draft regulatory technical standards on fixed overheads. 23. Financial Details 23.1 Where applicable, all the cells marked in blue are to be inputted Some cells enable the user to select a reply from a drop down menu The Licence Holder should only mark as Yes questions 1, 4 and 6 of this Sheet if the particular investment services activities are allowed by its investment services licence granted in terms of the Investment Services Act, Where the Return is being compiled as an Audited Annual Financial Return and where applicable, the total amount in the equivalent local currency of the number of clients assets held under nominee and the number of clients (beneficial owners) provided with discretionary portfolio management and/or fund management services is to be inputted in items 2 and 3 respectively The Licence Holder may add further details/comments in item 7 of this sheet. Page 19 of 20

20 24. Representations 24.1 Items 1 to 3 of this sheet must be filled in by the Licence Holder Where the Return is being compiled as an Audited Annual Financial Return, the Licence Holder is required to input in Item 4 the: (i) names of shareholders / members possessing qualifying holdings; and (ii) the respective size of their holdings The Licence Holder should also indicate whether any complaints were received during the reporting period in Item 5. If in the affirmative, the Licence Holder is to include: (i) the number of complaints received and (ii) those which are still pending at the end of the reporting period Any breaches to the Investment Services Act, 1994 and/or to the standard licence conditions, are to be filled in Item The date when the Licence Holder approved the Return is to be inputted in item In cases where the Licence Holder is a sole trader, only the owner is required to sign the Return. Otherwise the Return is to be signed by two Directors or other authorised signatories. When the Return is signed by the latter, the Licence Holder should provide a certified true copy of the Board of Directors Resolution authorising the individual to sign the Return on behalf of the Directors Where the Return is being compiled as an Audited Annual Financial Return, items 8 and 9 of the Return are to be completed. Furthermore, it must also be signed by the auditor of the Licence Holder. 25. Validation Sheet Prior to submitting the Automated COREP Return to the MFSA, the Licence Holder must ensure that all Validations are marked OK. Where the validation is marked ERROR, the Licence Holder should check and correct the relevant sheet accordingly. Page 20 of 20