INDEX - Prudential disclosures on ESG risks (Article 449a CRR)

Table 1 - Qualitative information on Environmental risk

Table 2 - Qualitative information on Social risk

Table 3 - Qualitative information on Governance risk

Template 1: Banking book- Indicators of potential climate Change transition risk: Credit quality of exposures by sector, emissions and residual maturity

Template 2: Banking book - Indicators of potential climate change transition risk: Loans collateralised by immovable property - Energy efficiency of the collateral

Template 3: Banking book - Indicators of potential climate change transition risk: Alignment metrics

Template 4: Banking book - Indicators of potential climate change transition risk: Exposures to top 20 carbon-intensive firms

Template 5: Banking book - Indicators of potential climate change physical risk: Exposures subject to physical risk

Template 6. Summary of key performance indicators (KPIs) on the Taxonomy-aligned exposures

Template 7 - Mitigating actions: Assets for the calculation of GAR

Template 8 - GAR (%)

Template 9 - Mitigating actions: BTAR

Template 10 - Other climate change mitigating actions that are not covered in Regulation (EU) 2020/852

Row number

Qualitative information - Free format

Business strategy and processes

(a)

Institution's business strategy to integrate environmental factors and risks, taking into account the impact of environmental factors and risks on institution's business environment, business model, strategy and financial planning

(b)

Objectives, targets and limits to assess and address environmental risk in short-, medium-, and long-term, and performance assessment against these objectives, targets and limits, including forward-looking information about the design of business strategy and processes

(c)

Current investment activities and (future) investment targets towards environmental objectives and EU Taxonomy-aligned activities

(d)

Policies and procedures relating to direct and indirect engagement with new or existing counterparties on their strategies to mitigate and reduce environmental risks

Governance

(e)

Responsibilities of the management body for setting the risk framework, supervising and managing the implementation of the objectives, strategy and policies in the context of environmental risk management covering relevant transmission channels

(f)

Management body's integration of short-, medium- and long-term effects of environmental factors and risks, organisational structure both within business lines and internal control functions

(g)

Integration of measures to manage environmental factors and risks in internal governance arrangements, including the role of committees, the allocation of tasks and responsibilities, and the feedback loop from risk management to the management body covering relevant transmission channels

(h)

Lines of reporting and frequency of reporting relating to environmental risk

(i)

Alignment of the remuneration policy with institution's environmental risk-related objectives

Risk management

(j)

Integration of short-, medium- and long-term effects of environmental factors and risks in the risk framework

(k)

Definitions, methodologies and international standards on which the environmental risk management framework is based

(l)

Processes to identify, measure and monitor activities and exposures (and collateral where applicable) sensitive to environmental risks, covering relevant transmission channels

(m)

Activities, commitments and exposures contributing to mitigate environmental risks

(n)

Implementation of tools for identification, measurement and management of environmental risks

(o)

Results and outcome of the risk tools implemented and the estimated impact of environmental risk on capital and liquidity risk profile

(p)

Data availability, quality and accuracy, and efforts to improve these aspects

(q)

Description of limits to environmental risks (as drivers of prudential risks) that are set, and triggering escalation and exclusion in the case of breaching these limits

(r)

Description of the link (transmission channels) between environmental risks with credit risk, liquidity and funding risk, market risk, operational risk and reputational risk in the risk management framework

Row number

Qualitative information - Free format

Business strategy and processes

(a)

Adjustment of the institution's business strategy to integrate social factors and risks taking into account the impact of social risk on the institution's business environment, business model, strategy and financial planning

(b)

Objectives, targets and limits to assess and address social risk in short-term, medium-term and long-term, and performance assessment against these objectives, targets and limits, including forward-looking information in the design of business strategy and processes

(c)

Policies and procedures relating to direct and indirect engagement with new or existing counterparties on their strategies to mitigate and reduce socially harmful activities

Governance

(d)

Responsibilities of the management body for setting the risk framework, supervising and managing the implementation of the objectives, strategy and policies in the context of social risk management covering counterparties' approaches to:

(i)

Activities towards the community and society

(ii)

Employee relationships and labour standards

(iii)

Customer protection and product responsibility

(iv)

Human rights

(e)

Integration of measures to manage social factors and risks in internal governance arrangements, including the role of committees, the allocation of tasks and responsibilities, and the feedback loop from risk management to the management body

(f)

Lines of reporting and frequency of reporting relating to social risk

(g)

Alignment of the remuneration policy in line with institution's social risk-related objectives

Risk management

(h)

Definitions, methodologies and international standards on which the social risk management framework is based

(i)

Processes to identify, measure and monitor activities and exposures (and collateral where applicable) sensitive to social risk, covering relevant transmission channels

(j)

Activities, commitments and assets contributing to mitigate social risk

(k)

Implementation of tools for identification and management of social risk

(l)

Description of setting limits to social risk and cases to trigger escalation and exclusion in the case of breaching these limits

(m)

Description of the link (transmission channels) between social risks with credit risk, liquidity and funding risk, market risk, operational risk and reputational risk in the risk management framework

Row number

Qualitative information - Free format

Governance

(a)

Institution's integration in their governance arrangements of the governance performance of the counterparty, including committees of the highest governance body, committees responsible for decision-making on economic, environmental, and social topics

(b)

Institution's accounting of the counterparty's highest governance body’s role in non-financial reporting

(c)

Institution's integration in governance arrangements of the governance performance of their counterparties including:

(i)

Ethical considerations

(ii)

Strategy and risk management

(iii)

Inclusiveness

(iv)

Transparency

(v)

Management of conflict of interest

(vi)

Internal communication on critical concerns

Risk management

(d)

Institution's integration in risk management arrangements the governance performance of their counterparties considering:

(i)

Ethical considerations

(ii)

Strategy and risk management

(iii)

Inclusiveness

(iv)

Transparency

(v)

Management of conflict of interest

(vi)

Internal communication on critical concerns

a

b

c

d

e

Gross carrying amount (aggregate)

Gross carrying amount towards the counterparties compared to total gross carrying amount (aggregate) (*1)

Of which environmentally sustainable (CCM)

Weighted average maturity

Number of top 20 polluting firms included

1

KPI

% coverage (over total assets) (*1)

Climate change mitigation

Climate change adaptation

Total (Climate change mitigation + Climate change adaptation)

GAR stock

GAR flow