Legal references and instructions

Row number

Explanation

Business strategy and processes

(a)

In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), points (a) and (e), of that Regulation, institutions shall provide an explanation of how their business model, strategy and processes, and their financial planning integrate the risks stemming from environmental factors (i.e. environmental risks) and how those risks may evolve over time given changing technology, policy framework, business environment, stakeholder preferences, and changes in the physical environment itself.

(b)

In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (a) and points (c) to (f) of that Regulation, institutions shall set out the objectives, the targets and the limits for the assessment and management of environmental risks. Institutions shall explain the processes they use to set out those objectives, targets and limits.

Institutions are to explain how those objectives, targets and limits are linked to the current international and Union policy framework, and to the available benchmarks.

(c)

In accordance with Article 449a of Regulation (EU) No 575/2013, institutions shall provide information on their current and future (planned) investment in environmentally sustainable activities and in activities and sectors aligned to the environmental objectives, including climate change objectives, set out in Article 9 of Regulation (EU) 2020/852.

Where that information depends on the institution’s own approach or is based on the institutions’ internal terms of reference, institutions shall include in their disclosures a description of those approaches and internal terms of reference.

(d)

In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (d), of that Regulation, institutions shall provide information on the measures taken to mitigate the risks associated to environmental factors. Institutions are to consider the counterparty’s capacity to manage environmental risks.

Governance

(e)

In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (b), and Article 435(2), points (a), (b) and (c), of that Regulation, institutions shall provide information on the involvement of their management body in the supervision and management of environmental risks. Institutions are to take into account the potential transmission channels of such environmental risks (including physical, transition and liability risks).

(f)

In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(2), point (d), of that Regulation, institutions shall provide information on how their management body integrates short-term, medium-term and long-term effects of environmental risks in the organisational structure of the institution for the purposes of risk management. Institutions are to explain how such exercise at management body’s level is then reflected in their business lines and internal control functions.

(g)

In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(2), points (a), (b) and (c), of that Regulation, institutions shall provide information on the organisation of their risk committees and on the allocation of tasks and responsibilities in the risk management framework to monitor and manage environmental risks, taking into account physical, transition and liability risk transmission channels.

(h)

In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(2), point (e), of that Regulation, institutions shall provide information on the ways in which they include environmental risks into their internal reporting framework and structure, as well as information on the frequency of their internal reporting and information exchange on such risks.

(i)

In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(2), point (e), of that Regulation, institutions shall provide information on whether environmental risks are included in their remuneration policy, and on the criteria and metrics used to determine the impact of environmental risk considerations on variable remunerations.

Risk management

(j)

In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (f), of that Regulation, institutions shall provide information on the integration of short-, medium- and long-term effects of environmental factors and risks in the risk tolerance framework. Institutions shall decide on the relevant time horizon in accordance with their own risk profile and exposures.

(k)

In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (a), of that Regulation, institutions shall provide information on the methods, definitions and standards used to identify and manage environmental factors and risks, as well as the framework on which those standards, definitions and methods are based.

Institutions shall explain how such methods, definitions and standards relate to the applicable international and Union policy framework and available benchmarks.

(l)

In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (a), of that Regulation, institutions shall disclose:

Activities, exposures and assets which are sensitive and vulnerable to environmental risks shall include those related to agriculture, fisheries, forestry, energy sectors in combination with their geographical location, reliance on water or other environmental factors and risks, which may be vulnerable to different factors, including flood, draught, fires, and loss of biodiversity. They shall also include concentration of the counterparty’s operations in endangered zones, and they shall be deemed to cover the entire value chain of the counterparty.

When disclosing the information referred to in this point, institutions shall indicate the materiality (including double materiality) which is to be understood in the sense set out in the definitions contained in the report referred to in Article 98(8) of Directive 2013/36/EU of the European Parliament and of the Council (*10) and shall cover the life-cycle of exposures, including loan origination together with creditworthiness assessment of the counterparty and monitoring.

Institutions shall explain the extent to which such assessment covers the relevant transmission channels, including (i) lower profitability, (ii) lower real estate value, lower household wealth, (iii) lower asset performance, (iv) increase cost of compliance, and (v) increase legal costs.

Institution that identify no environmental risks as material shall explain and substantiate why that is the case and describe the methods they used to reach such conclusion.

(m)

In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (d), of that Regulation, institutions shall provide information on the activities, commitments, and exposures they have put in place to mitigate environmental risks.

Institutions shall disclose the methods they use to identify risk mitigating measures and activities. In addition, they shall provide information on the extent to which those activities, commitments and exposures account for relevant transmission channels, including (i) lower profitability, (ii) lower real estate value, lower household wealth, (iii) lower asset performance, (iv) increase cost of compliance, and (v) increase legal costs.

(n)

In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), points (a) and (f), of that Regulation, institutions shall provide information on the implementation tools that they use to identify and manage environmental risks. Such tools include stress testing, sensitivity analysis or other forward-looking indicators, applied at exposure-level, portfolio-level, counterparty-level or sectoral-level, depending on the materiality of the risk.

The disclosed information shall indicate the assumptions and the methods underlying the relevant implementation tools. Institutions shall also indicate the time horizon used for the assessment of environmental risks on the basis of accounting and prudential metrics, that is short-term, medium-term or long-term time horizons.

(o)

In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), points (a) and (f), of that Regulation, institutions shall describe the outcome of the assessment from the risk tool used in accordance with point 14.

Institutions shall provide the estimated impact of environmental risk, including climate change risk, on the institution’s solvency, regulatory capital requirements and liquidity risk profile in the framework of internal capital adequacy assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP).

(p)

In accordance with Article 449a of Regulation (EU) No 575/2013, institutions shall provide information on the data and information available to them to carry out the risk management of environmental risks, the key data and information currently missing and measures they are taking to address the data gaps and to improve data quality and accuracy.

(q)

In accordance with Article 449a of Regulation (EU) No 575/2013 in conjunction with Article 435(1), point (f), of that Regulation, institutions shall provide information on the limits they set on financing projects or counterparties which significantly harm environmental objectives in line with their business strategy.

Those limits shall include limits set by the institutions at the point of origination and monitoring to avoid or mitigate environmental risks, and limits that indicate when a specific exposure would trigger corrective actions, further investigation, internal escalation, or exclusion from portfolio.

(r)

Institutions shall describe how they map and link the emergence of environmental risks on their balance sheet through credit risk, liquidity risk, market risk and operational risk.

Institutions are to explain how they assess and manage the impact of transition to a low-carbon and climate-resilient economy on the prudential risk categories including credit risk, liquidity risk, market risk and operational risk.

Legal references and instructions

Row number

Explanation

Business strategy and processes

(a)

In accordance with Article 449a of Regulation (EU) No 575/2013 in conjunction with Article 435(1), points (a) and (e), of that Regulation, institutions shall describe how their business model, strategy, processes and financial planning integrate risks stemming from social factors (i.e. social risks) and how those risk evolve over time given changing technology, policy framework, business environment and stakeholders’ preferences.

(b)

In accordance with Article 449a of Regulation (EU) No 575/2013 in conjunction with Article 435(1), point (a) and points (c) to (f), of that Regulation, institutions shall provide a description of their objectives, targets and limits for the assessment and management of social risks, and a description of the processes they use to set out those objectives, targets and limits.

Institutions are to explain the linkages of those objectives, targets and limits to the applicable international and Union policy framework and to available benchmarks.

Social aspects include human rights violation, labour rights, income inequality, lack of human rights, customer safety and protection, privacy, poverty and non-discrimination. Furthermore, climate change and transition to low carbon economy have social impacts that include changes to the job market. These include the decrease in the demand for certain jobs and skills, the emergence of new jobs and skills, consumers’ changing preferences, shareholders’ willingness to swiftly integrate climate, environmental and social changes in their companies, as set out in paragraph 78 of the EBA report adopted under Article 98(8) of Directive 2013/36/EU.

(c)

In accordance with Article 449a Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (d), of that Regulation, institutions shall describe how they take measures to mitigate risks associated with social factors, including understanding the counterparties’ capacity to manage social risks and entering into a dialogue with them to mitigate social risks.

Governance

(d)

In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (b), and Article 435(2), points (a), (b) and (c), of that Regulation, institutions shall describe how their management body is involved in the supervision and management of social risks. That information shall cover the rationale of the approach taken by the management body and take into account a number of social factors. Those factors include the institution’s engagement towards the community and society, its relationships with employees and compliance with labour standards, customer protection and product responsibility, and human rights.

(e)

In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(2), points (a), (b) and (c), of that Regulation, institutions shall describe how they organise their risk committees and how they allocate tasks and responsibilities in the risk management framework to monitor and manage social risks.

Institutions shall provide information on both their internal and external resources devoted to the assessment of social risks.

(f)

In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(2), point (e), of that Regulation, institutions shall describe how they include social risks into their internal reporting framework and structure, and set out the frequency of their internal reporting and information exchange on social risks.

(g)

In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(2), point (e), of that Regulation, institutions shall provide information on whether social risks are included in their remuneration policy, as well as on the criteria and metrics used to determine the impact of social risk considerations on variable remunerations.

Risk management

(h)

In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (a), of that Regulation, institutions shall provide information on what methods, definitions and standards they use for the identification and management of social factors and risks, as well as the framework on which those standards, definitions and methods are based.

Institutions are to explain how those methods, definitions and standards relate to the current international and Union policy framework and available benchmarks.

(i)

In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (a), of that Regulation, institutions shall provide information on the process by which they identify and monitor their activities and exposures, which are sensitive to social risks, including via their counterparties, investment or asset management activities, and including any movable and immovable assets associated with those activities and exposures.

Institutions shall provide information on the process by which they identify and monitor social risks that are financially material or currently non-material with a prospect to be material in the future.

Such activities, exposures and assets sensitive to social risks may be related to counterparties breaching labour law, human rights or other social laws or rights that may face legal dispute. More precisely, sectors with enhanced social risk may include those with migrant workers, low wages, poor labour standards or poor working conditions negatively affecting communities and having an enhanced chance of being under public and political scrutiny.

(j)

In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (a), of that Regulation, institutions shall provide information on the activities, commitments and assets that they have in place to mitigate social risks.

(k)

In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (a), of that Regulation, institutions shall provide information on the implementation tools that they use for identification and management of social risks. Such tools include the scenario analysis, applied at exposure-level, portfolio-level, counterparty-level or sectoral-level and cover factors including migration, demographic trends, change in labour force and technological change.

Social risks can also include change of consumer behaviour, issues around discrimination and social inclusiveness, scenario analysis on increasing inequality, social impact of climate change, climate change adaptation/mitigation and environmental degradation.

Institutions shall provide information about the assumptions and methods used to perform such scenario analysis. Institutions shall indicate the time horizon used for the assessment of the social risk on the accounting and prudential metrics, i.e. short-term, medium-term or long-term time horizon.

(l)

In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (f), of that Regulation, institutions shall provide information on the limits they set out in relation to financing projects or counterparties which significantly harm the social objectives of their business strategy.

Such limits shall include those set by institutions at the point of origination and monitoring to avoid or mitigate social risks as well as the limits that indicate when a specific exposure would trigger further investigation, internal escalation, corrective actions or exclusion from the portfolio.

(m)

In accordance with Article 449a of Regulation (EU) No 575/2013, institutions shall provide information on the ways in which they map and link the emergence of social risks on their balance sheet through credit risk, liquidity risk, market risk and operational risk.

Institutions are to provide information on the ways in which they assess and manage the impact of relevant socially harmful events on the prudential risks categories including credit risk, liquidity risk, market risk and operational risk.

Legal references and instructions

Row number

Explanation

Governance

(a)

In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(2) of that Regulation, institutions shall provide information on the ways in which they integrate the counterparty’s governance performance in their governance arrangements.

The considerations on the counterparty’s governance performance are to cover the necessary steps of the decision-making, supervision and management processes of the counterparty at all levels, including committees of the highest governance body and committees responsible for decision-making on economic, environmental, and social topics.

(b)

Institutions shall explain how they take into account the role of the counterparty’s top governing body in non-financial reporting, including the top committee or functional position that formally reviews and approves the organisation’s sustainability report and ensures that all material topics are covered.

(c)

In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(2) of that Regulation, institutions shall provide information on how they integrate their counterparties’ governance performance in their governance arrangements.

The considerations related to the governance performance of the institution’s counterparties are to cover all of the following:

Risk management

(d)

In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1) of that Regulation, institutions shall provide information on how they integrate in their risk management arrangements the governance performance of their counterparties considering aspects set out in row 3.

Columns

Instructions

a

Total gross carrying amount

Institutions shall disclose the gross carrying amount, referred to in Part 1 of Annex V to Implementing Regulation (EU) 2021/451, of those exposures towards non-financial corporates, including loans and advances, debt securities and equity instruments, classified in the accounting portfolios in the banking book in accordance with that Implementing Regulation, excluding financial assets held for trading or held for sale assets.

b

Of which exposures towards companies excluded from EU Paris-aligned Benchmarks

Institutions shall disclose the gross carrying amount of those exposures towards counterparties that are excluded from the EU Paris-aligned benchmarks as specified in Article 12(1), points (d) to (g) and Article 12(2) of Delegated Regulation (EU) 2020/1818.

c

Of which environmentally sustainable (CCM)

Institutions shall disclose exposures that qualify as environmentally sustainable because they are financing activities that contribute or enable the environmental objective of climate change mitigation in accordance with Articles 10 and 16 of Regulation (EU) 2020/852, as disclosed in template 7 of Annex XXXIX to this Regulation.

Institutions shall start disclosing that information in 2024, with first disclosure reference date as of 31 December 2023, for exposures included in the numerator of the GAR.

Institutions may start disclosing that information in 2025, with first disclosure reference date as of 31 December 2024, for those exposures included in the numerator of the BTAR but not in the numerator of the GAR.

d

Of which stage 2

Institutions applying the International Financial Reporting Standards (IFRS) shall disclose the gross carrying amount of ‘Stage 2’ instruments as referred to in IFRS 9.

The columns on ‘Of which stage 2’ shall not be disclosed by institutions that apply national generally accepted accounting principles based on Council Directive 86/635/EEC (*13).

e

Of which non-performing exposures

Institutions shall disclose non-performing exposures as defined in Article 47a(3) of Regulation (EU) No 575/2013.

f

Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions

Institutions shall disclose the amounts set out in Part 2, points 11, 69, 70, 71, 106 and 110, of Annex V to Implementing Regulation (EU) 2021/451.

g

Of which stage 2

Institutions shall disclose the accumulated impairment amount of stage 2 exposures.

Institutions applying IFRS are to disclose the gross carrying amount of ‘Stage 2’ instruments as set out in IFRS 9.

The columns on ‘Of which stage 2’ shall not be disclosed by institutions that apply national generally accepted accounting principles based on Directive 86/635/EEC.

h

Of which non-performing exposures

Institutions shall disclose non-performing exposures as referred to in Article 47a(3) Regulation (EU) No 575/2013.

i

GHG financed emissions (scope 1, scope 2 and scope 3 emissions of the counterparty) (in tons of CO2 equivalent)

Where the information is available, institutions shall disclose the estimates of the scope of their scope 3 GHG emissions in CO2 tonnes (TCO2) as part of column (i). The disclosure covers all sectors and subsectors that highly contribute to climate change, including the oil, gas, mining and transportation sectors, – as specified in recital 6 of Delegated Regulation (EU) 2020/1818 – included in rows 2 to 52 of the template.

Institutions shall base the estimation of scope 3 emissions on the information on emissions gathered from their counterparties and on the information on sector-average emissions intensity. The methods to compute the carbon emission of companies include the Global GHG Accounting and Reporting Standard for the Financial Industry, developed by the Partnership for Carbon Accounting Financials (*14) (PCAF, of particular relevance for the TCFD), or the Carbon Disclosure Project (*15).

Institutions shall estimate the scope 3 emissions per sector in a proportionate manner, including by taking into account their exposures (loans and advances, debt securities and equity holdings) towards the counterparty compared to the total liabilities (accounting liabilities and shareholders’ equity) of the counterparty.

In the narrative part accompanying the template, institutions shall provide detailed explanations of the data sources used and of the methodology that they have applied for the estimation of their scope 3 GHG emissions. In particular, institutions shall explain whether they are disclosing any of the following:

Where institutions are not yet estimating their counterparties’ emissions associated to their financing activities, including lending and investment activities, they shall disclose information on their plans to implement methods to estimate that information. Institutions shall disclose the information in columns (i), (j) and (k) of the template with first disclosure reference date as of 30 June 2024.

Institutions may decide to start disclosing this information earlier, i.e. with first disclosure reference date as of 31 December 2022.

j

Of which Scope 3 financed emissions

Institutions shall disclose their counterparties’ scope 3 emissions associated with institutions’ lending and investment activities. Where institutions are not yet estimating their scope 3 emissions, they shall leave column (j) blank and, in the narrative part accompanying the template, they shall disclose their plans to implement methods to estimate and disclose that information.

Institutions shall disclose their scope 3 emissions on a best effort basis, covering the most relevant sectors in line with PCAF approach and the phased-in approach for scope 3 emissions included in Article 5 of Delegated Regulation (EU) 2020/1818.

Institutions shall disclose information on scope 3 emissions of the counterparty for all sectors included in the template with first reference date as of 30 June 2024.

For sectors where data and methodological challenges exist, institutions shall follow the Greenhouse Gas Protocol and its 15 stages, both upstream and downstream.

In line with the TCFD guidance on metrics and targets, institutions shall be transparent about the challenges to collect that type of information and avoid double counting to the extent possible.

Institutions shall start disclosing information in column (j) of the template, with first disclosure reference date as of 30 June 2024.

Institutions may decide to start disclosing this information earlier, i.e. with first disclosure reference date as of 31 December 2022.

k

GHG emissions (column (i)): gross carrying amount percentage of the portfolio derived from company-specific reporting

Institutions shall indicate the percentage of the portfolio (gross carrying amount of the exposures) for which they have been able to estimate their counterparties’ scope 1, 2 and 3 emissions associated with institutions’ lending and investment activities based on information disclosed by their counterparties or reported to the institution on bilateral basis.

l – p

< = 5 years; > 5 year < = 10 years; > 10 year < = 20 years; > 20 years; Average weighted maturity

Institutions shall allocate the exposures to the relevant bucket depending on the remaining maturity of the financial instrument, taking into account the following:

Column

Instructions

a

Gross carrying amount (aggregate)

Gross carrying amount has the meaning referred to in Part 1 of Annex V to Implementing Regulation (EU) 2021/451. It includes loans and advances, debt securities and equity instruments, classified under the accounting portfolios in the banking book according to that Implementing Regulation, excluding financial assets held for trading and held for sale assets.

Institutions shall include the aggregate exposures towards up to 20 counterparties of the institution that are among the top 20 most carbon-intensive corporates worldwide.

b

Gross carrying amount towards the company compared to total gross carrying amount (aggregate)

Institutions shall disclose the percentage resulting from the aggregate gross carrying amount indicated in column (a), divided by the total gross carrying amount of the institutions’ exposures in the banking book, as referred to in Part 1 of Annex V to Implementing Regulation (EU) 2021/451, including loans and advances, debt securities and equity instruments in the banking book, classified under the accounting portfolios in the banking book in accordance with that Implementing Regulation, excluding financial assets held for trading and held for sale assets.

c

Of which environmentally sustainable (CCM)

Institutions shall disclose the aggregate gross carrying amount of environmentally sustainable exposures contributing to the objective of climate change mitigation. That amount shall be based on the purpose of the activity funded, for special purpose lending, or on the counterparty’s information on the level of alignment of its economic activities with Regulation (EU) 2020/852, for the objective of climate change mitigation (% of turnover contributing substantially to climate change mitigation).

Institutions shall start disclosing this information with first disclosure reference date as of 31 December 2023.

d

Average maturity

Institutions shall disclose the average maturity of the exposures considered in the computation weighted by the gross carrying amount of the exposure.

e

Number of top 20 polluting firms included

Institutions shall indicate the number of top polluting companies included in the calculation of the aggregate gross carrying amount.

Columns

Instructions

a

Geographical area subject to climate change acute and chronic events

Institutions shall cover geographical areas exposed to adverse impact from climate-change physical events. These geographical areas include the countries or other geographical or administrative regions where the counterparty’s activities or the collateral are located, and which are exposed to chronic or acute climate-change events. For geographical coverage of the exposures, institutions shall use the level of divisions indicated in Nomenclature of Territorial Units for Statistics (or NUTS), as appropriate.

b

Gross carrying amount

Institutions shall disclose the gross carrying amount as defined in Part 1 of Annex V to Implementing Regulation (EU) 2021/451 of those exposures towards non-financial corporates (including loans and advances, debt securities and equity instruments), classified under the accounting portfolios in the banking book in accordance with that Implementing Regulation, excluding financial assets held for trading and held for sale assets.

c – o

of which exposures sensitive to impact from climate change physical events

Institutions shall disclose the gross carrying amount of exposures prone to impact from climate change physical events. The gross carrying amount of exposures prone to impact from climate change physical events may be equal to the full exposure amount disclosed in column (b) of this template or may be a part of that exposure amount.

c – g

Breakdown by maturity bucket

Institutions shall allocate the exposures to the relevant bucket depending on the residual maturity of the financial instrument, taking into account the following:

h

of which exposures sensitive to impact from chronic climate change events

Institutions shall disclose the gross carrying amount of exposures sensitive to impact from chronic climate-change events only, including hazards relating to gradual changes in weather and climate and having a possible impact on economic output and productivity.

i

of which exposures sensitive to impact from acute climate change events

Institutions shall disclose the gross carrying amount of exposures sensitive to impact from acute climate change events only, including hazards that may cause sudden damage to properties, disruption of supply chains, and depreciation of assets.

j

of which exposures sensitive to impact both from chronic and acute climate change events

Institutions shall disclose the gross carrying amount subject to impact from both chronic and acute climate change events, referred to in columns (h) and (i).

k

Of which stage 2

Institutions applying IFRS shall disclose the gross carrying amount of ‘Stage 2’ instruments as defined in IFRS 9.

The columns on ‘Of which stage 2’ shall not be disclosed by institutions that apply national generally accepted accounting principles based on Directive 86/635/EEC.

l

Of which non-performing exposures

Institutions shall disclose the gross carrying amount of non-performing exposures as referred to in Article 47a(3) Regulation (EU) No 575/2013, which are prone to impact from climate change events.

m, n, o

Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions

Institutions shall disclose the amounts referred to in Part 2, points 11, 69, 70, 71, 106 and 110, of Annex V to Implementing Regulation (EU) 2021/451.

n

of which Stage 2 exposures

Column (m) shall contain the accumulated impairment amount of stage 2 exposures.

Institutions applying IFRS shall disclose the gross carrying amount of ‘Stage 2’ instruments as defined in IFRS 9.

The columns on ‘Of which stage 2’ shall not be disclosed by institutions that apply national generally accepted accounting principles based on Directive 86/635/EEC.

o

of which non-performing exposures

Institutions shall disclose the amount of the accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions attributable to non-performing exposures, as referred to in Article 47a(3) Regulation (EU) No 575/2013.

Columns

Instructions

a

Gross carrying amount

Institutions shall disclose the gross carrying amount as defined in Part 1 of Annex V to Implementing Regulation (EU) 2021/451.

b

Of which: towards taxonomy relevant sectors

Institutions shall disclose the gross carrying amount as defined in Part 1 of Annex V to Implementing Regulation (EU) 2021/451.

Institutions shall disclose the gross carrying amount of eligible exposures towards sectors (4 level NACE codes) relevant for the corresponding environmental objective according to the Taxonomy, as specified in Annex I to the Commission Delegated Regulation (EU) 2021/2139 (*22).

Institutions shall disclose exposures towards relevant sectors under the objective of climate change mitigation in accordance with Article 9, point (a), and Article 10 of Regulation (EU) 2020/852.

c

Of which: environmentally sustainable

Institutions shall disclose the gross carrying amount as defined in Part 1 of Annex V to Implementing Regulation (EU) 2021/451.

Institutions shall disclose the gross carrying amount of eligible exposures that are environmentally sustainable, as specified in the Annex I to Delegated Regulation (EU) 2021/2139.

Institutions shall disclose environmentally-sustainable exposures under the objective of climate-change mitigation in accordance with Article 9, point (a), and Article 10 of Regulation (EU) 2020/852.

When the use of proceeds is known (specialised lending, including project finance loans, as referred to in Annex V to Implementing Regulation (EU) 2021/451), institutions shall disclose the extent to which the exposure is environmentally-sustainable. Such disclosure is based on the extent which the funded project substantially contributes to climate change mitigation, in accordance with Article 10 of Regulation (EU) 2020/852, or is an enabling activity in accordance with Article 16 of that Regulation, and meets the criteria specified in Article 3 of that Regulation. When the use of proceeds is unknown, institutions shall disclose the extent to which the exposure is environmentally sustainable by using the information received from the counterparty, in accordance with Article 8 of Regulation (EU) 2020/852, on the proportion of the turnover derived from products or services associated with economic activities that qualify as environmentally sustainable under Article 3 of that Regulation.

Each exposure shall be considered only once and shall be allocated to only one environmental objective. Where the exposures are relevant for more than one environmental objective, the allocation shall be made to the most relevant objective.

d

Of which: specialised lending

Institutions shall disclose the gross carrying amount as defined in Part 1 of Annex V to Implementing Regulation (EU) 2021/451.

Specialised lending exposures shall be understood as referred to in Article 147(8) of Regulation (EU) No 575/2013. It includes exposures which are environmentally sustainable under the objective of climate-change mitigation in accordance with Article 9, point (a), and Article 10 of Regulation (EU) 2020/852.

When the use of proceeds is known, in the case of specialised lending institutions shall disclose the extent to which the exposure is environmentally sustainable based on the extent and proportion to which the specific project funded qualify as contributing substantially to climate change mitigation (project specific information), in accordance with Article 10 of Regulation (EU) 2020/852, or as enabling activity in accordance with Article 16, and meets the criteria specified in Article 3 of that Regulation. Institutions shall provide transparent information on the kind of economic activities that are being funded through specialised lending. Where the same specialised lending exposure is relevant to two environmental objectives, institutions shall allocate it to the most relevant one.

e

Of which: transitional

Article 10 of Regulation (EU) 2020/852.

f

Of which: enabling

Article 16 of Regulation (EU) 2020/852.

g

Of which: towards taxonomy relevant sectors

Institutions shall disclose the gross carrying amount as defined in Part 1 of Annex V to Implementing Regulation (EU) 2021/451.

Institutions shall disclose the gross carrying amount of eligible exposures towards sectors (4 level NACE codes) relevant for the corresponding environmental objective according to the Taxonomy, as specified in Annex II to Delegated Regulation (EU) 2021/2139.

Institutions shall disclose exposures towards relevant sectors under the objective of climate change adaptation in accordance with Article 9, point (b), and Article 11 of Regulation (EU) 2020/852.

h

Of which: environmentally sustainable

Institutions shall disclose the gross carrying amount as defined in Part 1 of Annex V to Implementing Regulation (EU) 2021/451.

Institutions shall disclose the gross carrying amount of eligible exposures that are environmentally sustainable, as specified in Annex II to Delegated Regulation (EU) 2021/2139.

Institutions shall disclose environmentally-sustainable exposures under the objective of climate change adaptation in accordance with Article 9, point (b), and Article 11 of Regulation (EU) 2020/852.

When the use of proceeds is known, in the case of specialised lending institutions shall disclose the extent to which the exposure is environmentally sustainable based on the extent and proportion to which the funded project qualifies as contributing substantially to climate change adaptation, in accordance with Article 11 of Regulation (EU) 2020/852, or as enabling activity in accordance with Article 16 of that Regulation, and meets the criteria specified in its Article 3 of that Regulation.

Where the use of proceeds is unknown, institutions shall disclose the extent to which the exposure is environmentally sustainable by using the information from the counterparty, in accordance with Article 8 of Regulation (EU) 2020/852, on the proportion of the turnover derived from products or services associated with economic activities that qualify as environmentally sustainable under Article 3 of that Regulation.

Each exposure shall be considered only once and shall be allocated to only one environmental objective. Where the exposures are relevant for more than one environmental objective, exposures shall be allocated to the most relevant objective.

i

Of which: specialised lending

Institutions are to disclose the gross carrying amount as defined in Part 1 of Annex V to Implementing Regulation (EU) 2021/451.

Specialised lending exposures shall be understood as referred to in Article 147(8) of Regulation (EU) No 575/2013.

Institutions shall disclose special lending exposures which are environmentally sustainable under the objective of climate change adaptation in accordance with Article 9, point (b), and Article 11 of Regulation (EU) 2020/852.

Institutions shall disclose the extent to which the exposure is environmentally sustainable by using the information from the counterparty.

When the use of proceeds is known, in the case of specialised lending institutions shall disclose the extent to which the exposure is environmentally sustainable based on the extent and proportion to which the specific funded project qualifies as contributing substantially to climate change adaptation (project specific information), in accordance with Article 11 of Regulation (EU) 2020/852, or as enabling activity in accordance with Article 16 of that Regulation, and meets the criteria specified in its Article 3 of that Regulation. Institutions shall provide transparent information on the kind of economic activities that are being funded through specialised lending. Where the same specialised lending exposure can be relevant for two environmental objectives, the exposure shall be allocated to the most relevant one.

j

Of which: adaptation

Article 11 of Regulation (EU) 2020/852. These activities shall cover those that are not enabling activities.

k

Of which: enabling

Article 16 of Regulation (EU) 2020/852.

l

Of which: towards taxonomy relevant sectors

Institutions shall disclose the gross carrying amount as defined in Part 1 of Annex V to Implementing Regulation (EU) 2021/451.

Institutions shall include the sum of column (b) and column (g) of this template.

m

Of which: environmentally sustainable

Institutions shall disclose the gross carrying amount as defined in Part 1 of Annex V to Implementing Regulation (EU) 2021/451.

Institutions shall include the sum of column (c) and column (h) of this template.

n

Of which: specialised lending

Institutions shall disclose the gross carrying amount as defined in Part 1 of Annex V to Implementing Regulation (EU) 2021/451.

Specialised lending exposures shall be understood as referred to in Article 147(8) of Regulation (EU) No 575/2013.

Institutions shall include the sum of column (d) and column (i) of this template.

o

Of which: transitional/adaptation

Article 10 and Article 11 of Regulation (EU) 2020/852.

Institutions shall include the sum of column (e) and column (j) of this template.

p

Of which: enabling

Article 16 of Regulation (EU) 2020/852.

Institutions shall include the sum of column (f) and column (k) of this template.

Rows

Instructions

GAR – Covered assets in both numerator and denominator

Eligible exposures shall be those that are related to the counterparties and asset classes covered in the scope of the disclosure requirements in accordance with Article 8 of Regulation (EU) 2020/852.

1

Loans and advances, debt securities and equity instruments not HfT eligible for GAR

Institutions shall disclose loans and advances, debt securities and equity instruments classified in the banking book, not held for trading and not held for sale as defined in Annex V to Implementing Regulation (EU) 2021/451.

2

Financial corporations

Institutions shall disclose the exposures referred to in Part 1, point 42, point (c) and point (d), of Annex V to Implementing Regulation (EU) 2021/451.

3

Credit institutions

Institutions shall disclose the exposures referred to in Part 1, point 42, letter (c), of Annex V to Implementing Regulation (EU) 2021/451.

4, 9, 13, 17, 21, 34, 40

Loans and advances

Institutions shall disclose the loans and advances referred to in Part 1, point 32, of Annex V to Implementing Regulation (EU) 2021/451.

5, 10, 14, 18, 22, 37, 41

Debt securities

Institutions shall disclose the debt securities as referred to in Part 1, point 31, of Annex V to Implementing Regulation (EU) 2021/451.

6, 11, 15, 19, 23, 38, 42

Equity instruments

Institutions shall disclose the equity instruments as referred to in Annex V to Implementing Regulation (EU) 2021/451. Equity instruments in the banking book include investments in associates, joint ventures and subsidiaries which are not fully or proportionally consolidated.

7

Other financial corporations

Institutions shall disclose the exposures to other financial corporations as referred to in Part 1, point 42, letter (d), of Annex V to Implementing Regulation (EU) 2021/451.

8

Of which: investment firms

Institutions shall disclose the exposures to investment firms as defined in Article 4, paragraph (1), point (2), of Regulation (EU) No 575/2013.

12

Of which: management companies

Institutions shall disclose the exposures to management companies as defined in Article 4(1), point (19), of Regulation (EU) No 575/2013.

16

Of which: insurance undertakings

Institutions shall disclose the exposures to insurance undertakings as defined in Article 4, paragraph (1), point (5), of Regulation (EU) No 575/2013

20

Non-financial corporations subject to NFRD disclosure obligations

Institutions shall disclose the exposures to non-financial corporation as referred to in Part 1, point 42, letter (e), of Annex V to Implementing Regulation (EU) 2021/451, which are subject to disclosure obligations under Directive 2014/95/EU.

28

Of which: commercial real estate loans

Institutions shall disclose the exposures referred to in Part 2, point 173, letter (a), and point 239ix of Annex V to Implementing Regulation (EU) 2021/451.

24

Households

Institutions shall disclose the loans and advances as referred to in Part 1, point 42, letter (f), of Annex V to Implementing Regulation (EU) 2021/451.

Institutions are to collect information from their counterparties bilaterally through the loan origination process, and the regular credit review and monitoring process.

25

Of which: loans collateralised by residential immovable property

Institutions shall disclose the loans and advances collateralised by residential immovable property as referred to in Part 2, point 173, letter (a), of Annex V to Implementing Regulation (EU) 2021/451.

The alignment of those exposures to Regulation (EU) 2020/852 shall only be assessed following a simplified approach for the objective of climate change mitigation in accordance with the technical screening criteria for buildings, namely renovation and acquisition and ownership in accordance with points 7.2., 7.3., 7.4., 7.5, 7.6., and 7.7. respectively, of Annex I to Delegated Regulation (EU) 2021/2139, based on the energy efficiency of the underlying collateral.

26

Of which: building renovation loans

Institutions shall disclose the loans that are granted to households with the purpose of renovating their house.

The alignment of these exposures to Regulation (EU) 2020/852 shall only be assessed following a simplified approach for the objective of climate change mitigation in accordance with the technical screening criteria for buildings, namely renovation and acquisition and ownership in accordance with points 7.2., 7.3., 7.4., 7.5, 7.6., and 7.7., respectively, of Annex I to Delegated Regulation (EU) 2021/2139, based on the energy efficiency of the underlying collateral.

27

Of which motor vehicle loans

Institutions shall disclose the motor vehicle loans as referred to in Part 2, point 173, letter (b)(ii), of Annex V to Implementing Regulation (EU) 2021/451 and other loans granted for the acquisition of a motor vehicle assessed following a simplified approach for the objective of climate change mitigation in accordance with the technical screening criteria for financing, renting, leasing of vehicles in accordance with Section 6.5 of Annex I to Delegated Regulation (EU) 2021/2139, based on the energy efficiency of the underlying vehicle.

28

Local governments financing

The addition of rows 29 and 30.

29

Housing financing

Institutions shall disclose the loans granted by institutions to local government with the aim of funding the acquisition of public housing.

30

Other local government financing

Institutions shall disclose the loans granted by institutions to local government with the aim of funding specialised lending exposures other than those resulting from the acquisition of public housing.

31

Collateral obtained by taking possession: residential and commercial immovable properties

Institutions shall disclose the collateral obtained by taking possession as referred to in Part 2, point 341, of Annex V to Implementing Regulation (EU) 2021/451.

32

Total GAR assets

This row shall be equal to row 1 of this template.

Assets excluded from the numerator for GAR calculation (covered in the denominator)

33

EU Non-financial corporations (not subject to NFRD disclosure obligations)

Institutions shall disclose exposures to non-financial corporation as defined in Part 1, point 42(e), of Annex V to Implementing Regulation (EU) 2021/451, which are located in the Union and not subject to disclosure obligations under Directive 2014/95/EU.

37

Non-EU Non-financial corporations (not subject to NFRD disclosure obligations)

Institutions shall disclose exposures to non-financial corporation as defined in Part 1, point 42(e) of Annex V to Implementing Regulation (EU) 2021/451, which are located outside the Union and not subject to disclosure obligations under Directive 2014/95/EU.

Assets excluded from the numerator for GAR (covered in the denominator)

41

Derivatives

Institutions shall disclose derivatives not held for trading as referred to in Part 1, Section 10, of Annex V to Implementing Regulation (EU) 2021/451.

42

On demand interbank loans

Institutions shall disclose ‘Other demand deposits’ as referred in to Part 2, point 3, of Annex V to Implementing Regulation (EU) 2021/451.

43

Cash and cash-related assets

Institutions shall disclose ‘Cash on hand’ as referred to in Part 2, point 1, of Annex V to Implementing Regulation (EU) 2021/451.

44

Other assets (including goodwill, commodities etc.)

Institutions shall disclose other assets in the balance-sheet of the institution not included in rows 41, 42 and 43 of this template.

45

Total assets in the denominator (GAR)

This row shall be the sum of rows 32, 33, 37 and 41 to 44 of this template.

Other assets excluded from both the numerator and denominator for GAR calculation

46

Sovereigns

Institutions shall disclose general governments as referred to in Part 1, point 42, of Annex V to Implementing Regulation (EU) 2021/451, excluding exposures included in rows 29 and 30 of this template.

47

Central bank exposures

Institutions shall disclose exposures towards central banks.

48

Trading book

Institutions shall disclose financial assets held for trading or trading financial assets as defined in the applicable accounting principles.

49

Total assets excluded from numerator and denominator

This row shall be the sum of rows 46, 47 and 48 of this template.

50

Total assets

This row shall be the sum of rows 45 and 49 of this template.

Columns

Instructions

a

Proportion of assets funding taxonomy relevant sectors

Institutions shall disclose the proportion of the stock of assets funding activities referred to in Regulation (EU) 2020/852 (i.e. eligible assets) in total stock of covered assets. This item shall be expressed as a percentage.

The numerator of the KPI shall be the gross carrying amount of eligible assets funding taxonomy-relevant sectors referred to in Regulation (EU) 2020/852 for the objective of climate change mitigation as referred to in the instructions corresponding to column (b) of Template 7.

The denominator of the KPI shall be the gross carrying amount of covered assets as defined in the instructions corresponding to column (a) of Template 7.

b

Of which: environmentally sustainable

Institutions shall disclose the proportion of the stock of assets funding environmentally sustainable activities (i.e., aligned assets) in the stock of eligible assets. The item shall be expressed in percentage terms.

The numerator of the KPI shall be the gross carrying amount of eligible assets funding environmentally sustainable activities for the objective of climate-change mitigation as referred to in the instructions corresponding to column (c) of Template 7.

The denominator of the KPI shall be the gross carrying amount of covered exposures as referred to in the instructions corresponding to column (a) of Template 7.

c

Of which: specialised lending

Institutions shall disclose the proportion of the stock of assets categorised as specialised lending funding environmentally sustainable activities for the objective of climate change mitigation in the stock of assets funding environmentally sustainable activities. The item shall be expressed as a percentage.

The numerator of the KPI shall be the gross carrying amount of assets as referred to in the instructions corresponding to column (d) of Template 7.

The denominator of the KPI shall be the gross carrying amount of covered assets as referred to in the instructions corresponding to column (a) of Template 7.

d

Of which: transitional

Article 10 of Regulation (EU) 2020/852.

Institutions shall disclose the proportion of the stock of assets related to transitional activities for the objective of climate change mitigation in the stock of assets funding environmentally sustainable activities. The item shall be expressed as a percentage.

The numerator of the KPI shall be the gross carrying amount of assets as referred to in the instructions corresponding to column (e) of Template 8.

The denominator of the KPI shall be the gross carrying amount of covered assets as referred to in the instructions corresponding to column (a) of Template 7.

e

Of which: enabling

Article 16 of Regulation (EU) 2020/852.

Institutions shall disclose the proportion of the stock of assets related to enabling activities for the objective of climate change mitigation in the stock of assets funding environmentally sustainable activities. The item shall be expressed as a percentage.

The numerator of the KPI shall be the gross carrying amount of assets as referred to in the instructions corresponding to column (f) of Template 7.

The denominator of the KPI shall be the gross carrying amount of covered assets as referred to in the instructions corresponding to column (a) of Template 7.

f

Proportion of assets funding taxonomy relevant sectors

Institutions shall disclose the proportion of the stock of assets funding taxonomy-relevant activities (i.e. eligible assets) in total stock of covered assets. The item shall be expressed as a percentage.

The numerator of the KPI shall be the gross carrying amount of eligible assets funding taxonomy-relevant sectors for the objective of climate change adaptation as referred to in the instructions corresponding to column (g) of Template 7.

The denominator of the KPI shall be the gross carrying amount of covered assets as referred to in the instructions corresponding to column (a) of Template 7.

g

Of which: environmentally sustainable

Institutions shall disclose the proportion of the stock of assets funding environmentally sustainable activities (i.e. aligned assets) in the stock of eligible assets. The item shall be expressed as a percentage.

The numerator of the KPI shall be the gross carrying amount of eligible assets funding environmentally sustainable activities for the objective of climate change adaptation as referred to in the instructions corresponding to column (h) of Template 7.

The denominator of the KPI shall be the gross carrying amount of covered exposures as referred to in the instructions corresponding to column (a) of Template 7.

h

Of which: specialised lending

Institutions shall disclose the proportion of the stock of assets categorised as specialised lending funding environmentally sustainable activities for the objective of climate change adaptation in the stock of assets funding environmentally sustainable activities. The item shall be expressed as a percentage.

The numerator of the KPI shall be the gross carrying amount of assets as referred to in the instructions corresponding to column (i) of Template 7.

The denominator of the KPI shall be the gross carrying amount of covered assets as referred to in the instructions corresponding to column (a) of Template 7.

i

Of which: adaptation

Article 11 of Regulation (EU) 2020/852.

Institutions shall disclose the proportion of the stock of assets related to adaptation activities for the objective of climate change adaptation in the stock of assets funding environmentally sustainable activities. The item shall be expressed as a percentage.

The numerator of the KPI shall be the gross carrying amount of assets as referred to in the instructions corresponding to column (j) of Template 7.

The denominator of the KPI shall be the gross carrying amount of covered assets as referred to in the instructions corresponding to column (a) of Template 7.

j

Of which: enabling

Article 16 of Regulation (EU) 2020/852.

Institutions shall disclose the proportion of the stock of assets related to enabling activities for the objective of climate change adaptation in the stock of assets funding environmentally sustainable activities. The item shall be expressed in percentage terms.

The numerator of the KPI shall be the gross carrying amount of assets as referred to in the instructions corresponding to column (k) of Template 7.

The denominator of the KPI shall be the gross carrying amount of covered assets as referred to in the instructions corresponding to column (a) of Template 7.

k

Proportion of assets funding taxonomy relevant sectors

Institutions shall disclose the proportion of the stock of assets funding taxonomy-relevant activities (i.e. eligible assets) for the objectives of climate change mitigation and climate change adaptation, compared to the total stock of covered assets. The item shall be expressed as a percentage.

The numerator of the KPI shall be the gross carrying amount of eligible assets funding taxonomy relevant sectors as referred to in the instructions corresponding to column (l) of Template 7.

The denominator of the KPI shall be the gross carrying amount of covered assets as referred to in the instructions corresponding to column (a) of Template 7.

l

Of which: environmentally sustainable

Institutions shall disclose the proportion of the stock of assets funding environmentally sustainable activities for the objectives of climate change mitigation and adaptation in the stock of eligible assets. The item shall be expressed as a percentage.

The numerator of the KPI shall be the gross carrying amount of eligible assets funding environmentally sustainable activities as referred to in the instructions corresponding to column (m) of Template 7.

The denominator of the KPI shall be the gross carrying amount of covered exposures as referred to in the instructions corresponding to column (a) of Template 7.

m

Of which: specialised lending

Institutions shall disclose the proportion of the stock of assets categorised as specialised lending funding environmentally-sustainable activities for the objectives of climate change mitigation and adaptation in the stock of assets funding environmentally sustainable activities. The item shall be expressed as a percentage.

The numerator of the KPI shall be the gross carrying amount of assets as referred to in the instructions corresponding to column (n) of Template 7.

The denominator of the KPI shall be the gross carrying amount of covered assets as referred to in the instructions corresponding to column (a) of Template 7.

n

Of which: transitional/adaptation

Articles 10 and 11 of Regulation (EU) 2020/852.

The percentage shall correspond to column (d) and column (i).

o

Of which: enabling

Article 16 of Regulation (EU) 2020/852.

The percentage shall correspond to column (e) and column (j).

p

Proportion of total assets covered

Institutions shall disclose the proportion of total assets covered by the GAR. The item shall be expressed in percentage terms.

The numerator of the KPI shall be the gross carrying amount of the stock of covered assets as referred to in the instructions corresponding to column (1) of Template 7.

The denominator of the KPI shall be the gross carrying amount of total assets on institutions’ balance sheet as referred to in the instructions corresponding to row 50 of Template 7.

q

Proportion of new assets funding taxonomy relevant sectors

Institutions shall disclose the proportion of new assets (i.e. assets originated within the current disclosure period) funding taxonomy-relevant activities (i.e. eligible assets) for the objective of climate change mitigation in total new eligible assets (i.e. eligible assets originated within the current disclosure period). New assets shall be calculated net of repayments and other reductions.

Tis item shall be expressed as in percentage terms.

The numerator of the KPI shall be the gross carrying amount of eligible new assets funding taxonomy relevant sectors as referred to in the instructions corresponding to column (b) of Template 7.

The denominator of the KPI shall be the gross carrying amount of new covered assets from those assets, as referred to in the instructions corresponding to column (a) of Template 7.

r

Of which: environmentally sustainable

Institutions shall disclose the proportion of new assets (i.e. assets originated within the current disclosure period) funding environmentally sustainable activities for the objective of climate change mitigation in total new eligible assets (i.e. eligible assets originated within the current disclosure period). New assets shall be calculated net of repayments and other reductions.

The item shall be expressed as a percentage.

The numerator of the KPI shall be the gross carrying amount of eligible new assets as referred to in the instructions corresponding to column (c) of Template 7.

The denominator of the KPI shall be the gross carrying amount of new covered assets from those assets, as referred to in the instructions corresponding to column (a) of Template 7.

s

Of which: specialised lending

Institutions shall disclose the proportion of new assets (i.e. assets originated within the current disclosure period) categorised as specialised lending funding environmentally sustainable activities for the objective of climate change mitigation in total new eligible assets (i.e. assets originated within the current disclosure period) funding environmentally sustainable activities. New eligible assets shall be calculated net of repayments and other reductions.

The item shall be expressed as a percentage.

The numerator of the KPI shall be the gross carrying amount of eligible new assets as referred to in the instructions corresponding to column (d) of Template 8.

The denominator of the KPI shall be the gross carrying amount of new covered assets from those assets, as referred to in the instructions corresponding to column (a) of Template 7.

t

Of which: transitional

Article 10 of Regulation (EU) 2020/852.

Institutions shall disclose the proportion of the new assets (i.e. assets originated within the current disclosure period) related to transitional activities for the objective of climate change mitigation in total new eligible assets (i.e. assets originated within the current disclosure period) funding environmentally sustainable activities. New eligible assets shall be calculated net of repayments and other reductions.

The item shall be expressed as a percentage.

The numerator of the KPI shall be the gross carrying amount of eligible new assets as referred to in the instructions corresponding to column (e) of Template 8.

The denominator of the KPI shall be the gross carrying amount of covered new assets from those assets, as referred to in the instructions corresponding to column (a) of Template 7.

u

Of which: enabling

Article 16 of Regulation (EU) 2020/852.

Institutions shall disclose the proportion of the new assets (i.e. assets originated within the current disclosure period) related to enabling activities for the objective of climate change mitigation in total new eligible assets (i.e. assets originated within the current disclosure period) funding environmentally sustainable activities. New eligible assets shall be calculated net of repayments and other reductions.

The item shall be expressed as a percentage.

The numerator of the KPI shall be the gross carrying amount of eligible new assets as referred to in the instructions corresponding to column (f) of Template 8.

The denominator of the KPI shall be the gross carrying amount of covered new assets from those assets, as referred to in the instructions corresponding to column (a) of Template 7.

v

Proportion of new assets funding taxonomy relevant sectors

Institutions shall disclose the proportion of new assets (i.e. assets originated within the current disclosure period) funding activities covered by Regulation (EU) 2020/852 for the objective of climate change adaptation in total new eligible assets (i.e. eligible assets originated within the current disclosure period). New assets shall be calculated net of repayments and other reductions.

This item shall be expressed as a percentage.

The numerator of the KPI shall be the gross carrying amount of eligible new assets funding taxonomy relevant sectors as referred to in the instructions corresponding to column (g) of Template 7.

The denominator of the KPI shall be the gross carrying amount of new covered assets from those assets, as referred to in the instructions corresponding to column (a) of Template 7.

w

Of which: environmentally sustainable

Institutions shall disclose the proportion of new assets (i.e. assets originated within the current disclosure period) funding environmentally sustainable activities for the objective of climate change adaptation in total new eligible assets (i.e. eligible assets originated within the current disclosure period). New assets shall be calculated net of repayments and other reductions.

This item shall be expressed in percentage terms.

The numerator of the KPI shall be the gross carrying amount of eligible new assets as referred to in the instructions corresponding to column (h) of Template 7.

The denominator of the KPI shall be the gross carrying amount of new covered assets from those assets, as referred to in the instructions corresponding to column (a) of Template 7.

x

Of which: specialised lending

Institutions shall disclose the proportion of new assets (i.e. assets originated within the current disclosure period) categorised as specialised lending funding environmentally sustainable activities for the objective of climate change adaptation in total new eligible assets (i.e. assets originated within the current disclosure period) funding environmentally sustainable activities. New eligible assets shall be calculated net of repayments and other reductions.

This item shall be expressed as a percentage.

The numerator of the KPI shall be the gross carrying amount of eligible new assets as referred to in the instructions corresponding to column (i) of Template 7.

The denominator of the KPI shall be the gross carrying amount of new covered assets from those assets, as referred to in the instructions corresponding to column (a) of Template 7.

y

Of which: adaptation

Article 11 of Regulation (EU) 2020/852.

Institutions shall disclose the proportion of the new assets (i.e. assets originated within the current disclosure period) related to transitional activities for the objective of climate change adaptation in total new eligible assets (i.e. assets originated within the current disclosure period) funding environmentally sustainable activities. New eligible assets shall be calculated net of repayments and other reductions.

This item shall be expressed in percentage terms.

The numerator of the KPI shall be the gross carrying amount of eligible new assets as referred to in the instructions corresponding to column (j) of Template 7.

The denominator of the KPI shall be the gross carrying amount of new covered assets from those assets, as referred to in the instructions corresponding to column (a) of Template 7.

z

Of which: enabling

Article 16 of Regulation (EU) 2020/852.

Institutions shall disclose the proportion of the new assets (i.e. assets originated within the current disclosure period) related to enabling activities for the objective of climate change adaptation in total new eligible assets (i.e. assets originated within the current disclosure period) funding environmentally sustainable activities. New eligible assets shall be calculated net of repayments and other reductions.

This item shall be expressed in percentage terms.

The numerator of the KPI shall be the gross carrying amount of eligible new assets as referred to in the instructions corresponding to column (k) of Template 7.

The denominator of the KPI shall be the gross carrying amount of new covered assets from those assets, as referred to in the instructions corresponding to column (a) of Template 7.

aa

Proportion of assets funding taxonomy relevant sectors

Institutions shall disclose the proportion of new assets (i.e. assets originated within the current disclosure period) funding activities covered by the objectives laid down in Regulation (EU) 2020/852 of climate change mitigation and climate change adaptation in total new eligible assets (i.e. eligible assets originated within the current disclosure period). New assets shall be calculated net of repayments and other reductions.

This item shall be expressed in percentage terms.

The numerator of the KPI shall be the gross carrying amount of eligible new assets funding taxonomy relevant sectors as referred to in the instructions corresponding to column (l) of Template 7.

The denominator of the KPI shall be the gross carrying amount of new covered assets from those assets, as referred to in the instructions corresponding to column (a) of Template 7.

ab

Of which: environmentally sustainable

Institutions shall disclose the proportion of new assets (i.e. assets originated within the current disclosure period) funding environmentally sustainable activities for the objective of climate change mitigation and climate change adaptation in total new eligible assets (i.e. eligible assets originated within the current disclosure period). New assets shall be calculated net of repayments and other reductions.

This item shall be expressed in percentage terms.

The numerator of the KPI shall be the gross carrying amount of eligible new assets as referred to in the instructions corresponding to column (m) of Template 7.

The denominator of the KPI shall be the gross carrying amount of new covered assets from those assets, as referred to in the instructions corresponding to column (a) of Template 7.

ac

Of which: specialised lending

Institutions shall disclose the proportion of new assets (i.e. assets originated within the current disclosure period) categorised as specialised lending funding environmentally sustainable activities for the objectives of climate change mitigation and climate change adaptation in total new assets (i.e. assets originated within the current disclosure period) funding environmentally sustainable activities. New assets shall be calculated net of repayments and other reductions.

This item shall be expressed in percentage terms.

The numerator of the KPI shall be the gross carrying amount of eligible new assets as referred to in the instructions corresponding to column (n) of Template 7.

The denominator of the KPI shall be the gross carrying amount of new covered assets from those assets, as referred to in the instructions corresponding to column (a) of Template 7.

ad

Of which: transitional/adaptation

Articles 10 and 11 of Regulation (EU) 2020/852.

The percentage shall correspond to column (t) and column (y).

ae

Of which: enabling

Article 16 of Regulation (EU) 2020/852.

The percentage shall correspond to column (u) and column (z).

af

Proportion of new total assets covered

Institutions shall disclose the proportion of new total assets covered by the GAR. New assets shall be calculated net of repayments and other reductions.

The item shall be expressed as a percentage.

The numerator of the KPI shall be the difference in the gross carrying amount of covered assets, as referred to in the instructions corresponding to row 1 of Template 7, between current disclosure period (t) and previous disclosure period (t-1).

The denominator of the KPI shall be the difference in the gross carrying amount of new total assets, as referred to in the instructions corresponding to row 53 of Template 7, between current disclosure period (t) and previous disclosure period (t-1).

Rows

Instructions

1

GAR as referred to in Delegated Regulation (EU) 2021/2178.

2

Loans and advances, debt securities and equity instruments not HfT eligible for GAR calculation

GAR % for exposures in row 1 of Template 7.

3

Financial corporations

GAR % for exposures in row 2 of Template 7.

4

Credit institutions

GAR % for exposures in row 3 of Template 7.

5

Other financial corporations

GAR % for exposures in row 7 of Template 7.

6

Of which: investment firms

GAR % for exposures in row 8 of Template 7.

7

Of which: management companies

GAR % for exposures in row 12 of Template 7.

8

Of which: insurance undertakings

GAR % for exposures in row 16 of Template 7.

9

NFCs subject to NFRD disclosure obligations

GAR % for exposures in row 20 of Template 7.

10

Households

GAR % for exposures in row 24 of Template 7.

11

Of which loans collateralised by residential immovable property

GAR % for exposures in row 25 of Template 7.

12

Of which building renovation loans

GAR % for exposures in row 26 of Template 7.

13

Of which motor vehicle loans

GAR % for exposures in row 27 of Template 7.

14

Local government financing

GAR % for exposures in row 28 of Template 7.

15

Housing financing

GAR % for exposures in row 29 of Template 7.

16

Other local government financing

GAR % for exposures in row 30 of Template 7.

17

Collateral obtained by taking possession: residential and commercial immovable properties

GAR % for exposures in row 31 of Template 7.

1

TOTAL GAR ASSETS

As disclosed in row 32 of template 7.

2

EU Non-financial corporations (not subject to NFRD disclosure obligations)

Institutions shall disclose exposures to non-financial corporation as defined in Part 1, point 42(e), of Annex V to Implementing Regulation (EU) 2021/451, which are located in the Union and which are not subject to disclosure obligations under Directive 2013/34/EU.

Where the counterparty is not subject to disclosures under Article 8 of Regulation (EU) 2020/852, for the calculation of the percentage of taxonomy-aligned exposures as referred to in Regulation (EU) 2020/852, institutions may, on a reasonable effort basis, collect information from their counterparties on a voluntary and bilateral basis through the loan origination, and regular credit review and monitoring process. Only where the counterparty is not able or willing to provide the relevant data, credit institutions shall make use of internal estimates and proxies and explain in the narrative accompanying the template the extend of use of those estimates and the kind of estimates applied. Where institutions are unable to collect on a voluntary and bilateral basis or estimate relevant information, or are unable to do it in a reasonable way that is not overly burdensome for them or their counterparties, they shall explain that fact in the narrative accompanying the template, explaining the reasons and counterparties affected.

For disclosures involving corporates not subject to disclosure obligations under Directive 2013/34/EU, including small and medium enterprises (SMEs), when assessing general purpose lending/financing with unknown use of proceeds, institutions shall follow a simplified approach and focus their assessment on the main economic activity of the corporate, that is, on their main source of turnover, in order to determine the overall alignment of the exposures with Regulation (EU) 2020/852. In the case of specialised lending, the assessment shall be based on the extent to which the specific project funded qualifies as contributing substantially to climate change mitigation or adaptation (project specific information).

4

Of which: loans collateralised by commercial immovable property

The exposures referred to in Part 2, point 173, letter (a), and point 239ix, of Annex V to Implementing Regulation (EU) 2021/451.

The taxonomy-alignment as referred to in Regulation (EU) 2020/852 of those exposures shall only be assessed following a simplified approach, for the objective of climate change mitigation in accordance with the technical screening criteria for buildings, namely renovation and acquisition and ownership in accordance with points 7.2., 7.3., 7.4., 7.5, 7.6., and 7.7. respectively, of Annex I to Delegated Regulation (EU) 2021/2139, based on the energy efficiency of the underlying collateral.

5

Of which: building renovation loans

Loans that are granted to SMEs and other non-financial corporations not subject to disclosure obligations under Directive 2014/95/EU with the purpose of renovating a building.

The taxonomy alignment as referred to in Regulation (EU) 2020/852 of these exposures shall only be assessed following a simplified approach, for the objective of climate change mitigation in accordance with the technical screening criteria for buildings, namely renovation and acquisition and ownership in accordance with points 7.2., 7.3., 7.4., 7.5, 7.6., and 7.7. respectively, of Annex I to Delegated Regulation (EU) 2021/2139, based on the energy efficiency of the underlying collateral.

8

Non-EU Non-financial corporations (not subject to NFRD disclosure obligations)

Exposures to non-financial corporation as referred to in Part 1, point 42, letter (e), of Annex V to Implementing Regulation (EU) 2021/451, which are located outside the Union and not subject to disclosure obligations under Directive 2014/95/EU.

Where institutions are providing that information in their disclosures under Article 8 of Regulation (EU) 2020/852 in accordance with Article 7(7) of Delegated Regulation (EU) 2021/2178, they shall disclose here the same information. Otherwise, institutions shall collect information from their counterparties on a bilateral basis through the loan origination, and regular credit review and monitoring process, or use the following proxies for the disclosure of information on non-EU exposures on a best-effort-basis:

Institutions are to explain in the narrative accompanying this template the sources used for the disclosure of this information. Where institutions are unable to collect on a bilateral basis or estimate relevant information or are unable to do it in a reasonable way that is not overly burdensome for them or their counterparties, they shall explain that fact in the narrative accompanying the template, explaining the reasons and counterparties affected.

For this type of counterparties, when assessing general purpose lending/financing with unknown use of proceeds, institutions shall follow a simplified approach and focus their assessment on the main economic activity of the corporate, that is, on their main source of turnover, in order to determine the overall alignment of the exposures with Regulation (EU) 2020/852. In the case of specialised lending, the assessment shall be based on the extent and proportion to which the specific project funded qualify as contributing substantially to climate change mitigation or adaptation (project specific information), and for the real estate portfolio the assessment shall be conducted for the objective of climate change mitigation based on the energy efficiency of the underlying collateral and their alignment with criteria specified for the relevant activities in Regulation (EU) 2020/852.

Row 12

TOTAL BTAR ASSETS

Sum of rows 1, 2 and 8

Rows 13 to 19

See definitions in template 7 (rows 41 to 50)

Columns

Instructions

a

Type of financial instrument

Institutions shall disclose the type of financial instrument as referred to in Annex V to Implementing Regulation (EU) 2021/451.

b

Type of counterparty

Institutions shall disclose the type of counterparty as referred to in Part 1, point 42, of Annex V to Implementing Regulation (EU) 2021/451.

c

Gross carrying amount (million EUR)

Institutions shall disclose the gross carrying amount as referred to in Part 1, point 34, of Annex V to Implementing Regulation (EU) 2021/451.

d

Type of risk mitigated (Climate change transition risk)

Institutions shall disclose the type of risk that is being mitigated with that action: climate change transition risk.

e

Type of risk mitigated (Climate change physical risk)

Institutions shall disclose the type of risk that is being mitigated with that action: climate change physical risk.

f

Qualitative information on the nature of the mitigating actions

Institutions shall describe the nature of the mitigating actions contributing to climate change mitigation referred to in Article 10 of Regulation (EU) 2020/852 and to climate-change adaptation referred to in Article 11 of that Regulation, and on the reasons why the exposures are not regarded as taxonomy-aligned for the purpose of the GAR.