When opening SQL Server Management Studio, I noticed that the Reports menu item was disabled:
I first thought it had to do something with my rights but I was serveradmin on this specific instance.
The problem wasn’t related to security but to the fact that I was using an older SQL Server Management Studio version (2012) to a newer SQL Server Database (2016). After installing SQL Server Management Studio 2016 (or later), the menu item was enabled.
Problem solved!