LegalizeCommission Implementing Regulation (EU) 2022/2453 of 30 November 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/637 as regards the disclosure of environmental, social and governance risks (Text with EEA relevance)
This is the act as published. Later amendments are not folded into the text below: each one is a separate act in this repository and an entry in this law's history.
| 19.12.2022 | EN | Official Journal of the European Union | L 324/1 |
THE EUROPEAN COMMISSION,
Having regard to the Treaty on the Functioning of the European Union,
Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and amending Regulation (EU) No 648/2012 1, and in particular Article 434a thereof,
Whereas:
- (1) Commission Implementing Regulation (EU) 2021/637 2 specifies uniform disclosure formats and associated instructions for the disclosures required under Titles II and III of Regulation (EU) No 575/2013. Regulation (EU) No 575/2013 was amended by Regulation (EU) 2019/876 3, inter alia to introduce a new Article 449a. That Article requires large institutions that have issued securities that are admitted to trading on a regulated market of any Member State to disclose, as from 28 June 2022, information on environmental, social and governance (ESG) risks, including physical risks and transition risks. That amendment to Regulation (EU) No 575/2013 should be reflected in Implementing Regulation (EU) 2021/637, which should set out, in addition to the existing uniform disclosure formats and associated instructions, additional uniform disclosure formats and associated instructions for the disclosures of ESG risks.
- (2) When laying down uniform disclosure formats, the complete materiality of the information to be disclosed should be taken into account. That means that disclosures by institutions should cover, on the one hand, the financial impact of ESG factors on the institutions’ economic and financial activities (outside-in perspective), and, on the other hand, the ESG factors that may be triggered by the institutions’ own activities, which in turn become financially material when they affect institutions’ stakeholders (inside-out perspective). As a result, the tables and templates used for those disclosures should convey sufficiently comprehensive and comparable information on ESG risks, thus enabling users of that information to assess the risk profile of institutions.
- (3) It is necessary to ensure coherence and consistency with other Union legislation in the area of ESG risks. Rules on the disclosure of ESG risks should therefore take into account the criteria, classifications and definitions laid down in that Union legislation. Those rules should in particular take into account the criteria for the identification and classification of environmentally sustainable economic activities, as laid down in Regulation (EU) 2020/852 of the European Parliament and of the Council 4 and in Commission Delegated Regulation (EU) 2020/1818 5. With regard to the disclosure of information on the energy performance of the real estate portfolio of institutions, the information provided by the energy performance certificate as defined in Article 2, point 12, of Directive 2010/31/EU of the European Parliament and of the Council 6, should be taken into account.
- (4) Articles 19a and 29a of Directive 2013/34/EU of the European Parliament and of the Council 7 require certain large undertakings that are public-interest entities, or public-interest entities which are parent undertakings of a large group, respectively, to include in their management report or in their consolidated management report information about the impact of their activity on environmental, social and employee matters, respect for human rights, anti-corruption and bribery matters. That obligation does not apply, however, to other undertakings. As a result, undertakings that are not subject to Articles 19a and 29a of Directive 2013/34/EU are not required to disclose such information and may be not able to provide such information to institutions. Those undertakings that are counterparties to institutions can thus only be expected to provide that information and data on a voluntary basis. Nevertheless, it is appropriate to provide those undertakings with guidance on the calculation of the percentage of the exposures to activities that are environmentally sustainable economic activities as referred to in Article 3 of Regulation (EU) 2020/852, so that that information and those data can be presented in a standardised and comparable format. Where that information and those data are not provided voluntarily, institutions should be able to calculate the percentage of taxonomy-aligned exposures by using estimates or proxies.
- (5) Article 449a of Regulation (EU) No 575/2013 requires that the information on ESG risks is disclosed as of 28 June 2022, on an annual basis for the first year and biannually thereafter. For those reasons, the first annual disclosure reference date should be set as of 31 December 2022.
- (6) This Regulation is based on the draft implementing technical standards submitted to the Commission by the European Banking Authority.
- (7) The European Banking Authority has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council 8.
- (8) Implementing Regulation (EU) 2021/637 should therefore be amended accordingly,
HAS ADOPTED THIS REGULATION:
Article 1
Amendments to Implementing Regulation (EU) 2021/637
Implementing Regulation (EU) 2021/637 is amended as follows:
- (1) the following Article 18a is inserted:
‘Article 18a
Disclosure of environmental, social and governance risks (ESG risks)
- Institutions shall disclose the information referred to in Article 449a of Regulation (EU) No 575/2013 as follows:
- (a) qualitative information on environmental, social and governance risks by using tables 1, 2 and 3 of Annex XXXIX to this Regulation and by following the instructions set out in Annex XL to this Regulation;
- (b) quantitative information on climate change transition risk by using Templates 1 to 4 of Annex XXXIX to this Regulation and by following the instructions set out in Annex XL to this Regulation;
- (c) quantitative information on climate change physical risks by using Template 5 of Annex XXXIX to this Regulation and by following the instructions set out in Annex XL to this Regulation;
- (d) quantitative information on mitigating actions associated with economic activities that qualify as environmentally sustainable under Articles 3 of Regulation (EU) 2020/852 of the European Parliament and of the Council[^ntr1-L_2022324EN.01000101-E0009] towards those counterparties that are subject to Articles 19a or 29a of Directive 2013/34/EU of the European Parliament and of the Council[^ntr2-L_2022324EN.01000101-E0010], towards households, and towards local governments as referred to in Part 1, point 42(b), of Annex V to Commission Implementing Regulation (EU) 2021/451[^ntr*3-L_2022324EN.01000101-E0011], by using Templates 6, 7 and 8 of Annex XXXIX to this Regulation and by following the instructions set out in Annex XL to this Regulation;
- (e) quantitative information on other mitigating actions and exposures to climate-change-related risks that do not qualify as environmentally sustainable economic activities under Article 3 of Regulation (EU) 2020/852 but support counterparties in the transition or adaptation process for the objectives of climate change mitigation and climate change adaptation, by using Template 10 of Annex XXXIX to this Regulation and by following the instructions set out in Annex XL to this Regulation.
- Institutions may choose to disclose quantitative information on mitigating actions and exposures on climate-change-related risks associated with economic activities that qualify as environmentally sustainable under Article 3 of Regulation (EU) 2020/852, towards counterparties that are non-financial corporations as referred to in Part 1, point 42(e) of Annex V to Implementing Regulation (EU) 2021/451, that are not subject to the disclosure obligations laid down in Articles 19a or 29a of Directive 2013/34/EU and that are not subject to the disclosure obligations laid down in Commission Implementing Regulation (EU) 2021/2178[^ntr*4-L_2022324EN.01000101-E0012], by using Template 9 of Annex XXXIX to this Regulation and by following the instructions set out in Annex XL to this Regulation.
For the calculation of the percentage of the exposures to activities that comply with the requirements laid down in Article 3 of Regulation (EU) 2020/852 (taxonomy-aligned exposures) towards those counterparties, institutions:
- (a) may, where available, use the information received from their counterparties on a voluntary and bilateral basis through the loan origination, and regular credit review and monitoring processes;
- (b) where the counterparty is not able or willing to provide the data concerned on a bilateral basis, may use internal estimates and proxies and explain in the narrative accompanying the template to what extent those internal estimates and proxies have been used, and which internal estimates and proxies have been applied;
- (c) where they are unable to collect on a bilateral basis the information concerned, or cannot use internal estimates and proxies, or cannot collect that information or use those estimates and proxies in a way that is not overly burdensome for them or their counterparties, may explain that inability in the narrative accompanying the template.
For the purposes of point (a), institutions shall inform their counterparties that the provision of such information is voluntary.
- Unless indicated otherwise in the instructions set out in Annex XL to this Regulation, institutions shall, as of 31 December 2022, disclose the information referred to in Article 449a of Regulation (EU) No 575/2013 on the following dates:
- (a) for annual disclosures: 31 December;
- (b) for semi-annual disclosures: 30 June and 31 December of each year.
[^ntr*1-L_2022324EN.01000101-E0009]: Regulation (EU) 2020/852 of the European Parliament and of the Council of 18 June 2020 on the establishment of a framework to facilitate sustainable investment, and amending Regulation (EU) 2019/2088 (OJ L 198, 22.6.2020, p. 13)."
[^ntr*2-L_2022324EN.01000101-E0010]: Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182 29.6.2013, p. 19)."
[^ntr*3-L_2022324EN.01000101-E0011]: Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (OJ L 97, 19.3.2021, p. 1)."
[^ntr*4-L_2022324EN.01000101-E0012]: Commission Delegated Regulation (EU) 2021/2178 of 6 July 2021 supplementing Regulation (EU) 2020/852 of the European Parliament and of the Council by specifying the content and presentation of information to be disclosed by undertakings subject to Articles 19a or 29a of Directive 2013/34/EU concerning environmentally sustainable economic activities, and specifying the methodology to comply with that disclosure obligation (OJ L 443, 10.12.2021, p. 9).’ "
- (2) the text set out in Annex I to this Regulation is added as Annex XXXIX;
- (3) the text set out in Annex II to this Regulation is added as Annex XL.
Article 2
Entry into force
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 30 November 2022.
For the Commission
The President
Ursula VON DER LEYEN
2
Commission Implementing Regulation (EU) 2021/637 of 15 March 2021 laying down implementing technical standards with regard to public disclosures by institutions of the information referred to in Titles II and III of Part Eight of Regulation (EU) No 575/2013 of the European Parliament and of the Council and repealing Commission Implementing Regulation (EU) No 1423/2013, Commission Delegated Regulation (EU) 2015/1555, Commission Implementing Regulation (EU) 2016/200 and Commission Delegated Regulation (EU) 2017/2295 (OJ L 136, 21.4.2021, p. 1).
3
Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) No 648/2012 (OJ L 150, 7.6.2019, p. 1).
4
Regulation (EU) 2020/852 of the European Parliament and of the Council of 18 June 2020 on the establishment of a framework to facilitate sustainable investment, and amending Regulation (EU) 2019/2088 (OJ L 198, 22.6.2020, p. 13).
5
Commission Delegated Regulation (EU) 2020/1818 of 17 July 2020 supplementing Regulation (EU) 2016/1011 of the European Parliament and of the Council as regards minimum standards for EU Climate Transition Benchmarks and EU Paris-aligned Benchmarks (OJ L 406, 3.12.2020, p. 17).
6
Directive 2010/31/EU of the European Parliament and of the Council of 19 May 2010 on the energy performance of buildings (OJ L 153, 18.6.2010, p. 13).
7
Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19).
8
Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12).
ANNEX I
‘ANNEX XXXIX
Prudential disclosures on ESG risks (Article 449a CRR)
| 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 |
Table 1 - Qualitative information on Environmental risk
in accordance with Article 449a CRR
| Row number | Qualitative information - Free format | 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 |
Table 2 - Qualitative information on Social risk
in accordance with Article 449a CRR
| Row number | Qualitative information - Free format | 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 |
Table 3 - Qualitative information on Governance risk
in accordance with Article 449a CRR
| Row number | Qualitative information - Free format | 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 |
Template 1: Banking book- Indicators of potential climate Change transition risk: Credit quality of exposures by sector, emissions and residual maturity
Image omitted; see official source
Template 2: Banking book - Indicators of potential climate change transition risk: Loans collateralised by immovable property - Energy efficiency of the collateral
Image omitted; see official source
Template 3: Banking book - Indicators of potential climate change transition risk: Alignment metrics
Image omitted; see official source
Template 4: Banking book - Indicators of potential climate change transition risk: Exposures to top 20 carbon-intensive firms
| a | b | c | d | e | |
| Gross carrying amount (aggregate) | Gross carrying amount towards the counterparties compared to total gross carrying amount (aggregate)9 | Of which environmentally sustainable (CCM) | Weighted average maturity | Number of top 20 polluting firms included | |
| 1 |
Template 5: Banking book - Indicators of potential climate change physical risk: Exposures subject to physical risk
Image omitted; see official source
Template 6. Summary of key performance indicators (KPIs) on the Taxonomy-aligned exposures
| KPI | KPI | KPI | % coverage (over total assets) 10 | |
| Climate change mitigation | Climate change adaptation | Total (Climate change mitigation + Climate change adaptation) | % coverage (over total assets) 10 | |
| GAR stock | ||||
| GAR flow |
Template 7 - Mitigating actions: Assets for the calculation of GAR
Image omitted; see official source
Template 8 - GAR (%)
Image omitted; see official source
Template 9 - Mitigating actions: BTAR
Template 9.1 - Mitigating actions: Assets for the calculation of BTAR
Image omitted; see official source
Template 9.2 - BTAR %
Image omitted; see official source
Template 9.3 - Summary table - BTAR %
Image omitted; see official source
Template 10 - Other climate change mitigating actions that are not covered in Regulation (EU) 2020/852
Image omitted; see official source
’
9
For counterparties among the top 20 carbon emitting companies in the world
10
% of assets covered by the KPI over banks’ total assets
ANNEX II
‘ANNEX XL
Instructions for disclosure of ESG risks
1.
Institutions shall disclose the information referred to in Article 449a of Regulation (EU) No 575/2013 by following the instructions provided in this Annex. The instructions are to be used to complete the tables and templates which are set out in Annex XXXIX to this Regulation.
2.
For the purposes of these instructions, the following terms shall be understood as follows:
- (a) ‘environmental, social or governance (ESG) risks’ means the risk of losses arising from any negative financial impact on the institution stemming from the current or prospective impacts of environmental, social or governance (ESG) factors on the institution’s counterparties or invested assets;
- (b) ‘environmental risk’ means the risk of losses arising from any negative financial impact on the institution stemming from the current or prospective impacts of environmental factors on the institution’s counterparties or invested assets, including factors related to the transition towards the following environmental objectives:
- (i) climate change mitigation;
- (ii) climate change adaptation;
- (iii) the sustainable use and protection of water and marine resources;
- (iv) the transition to a circular economy;
- (v) pollution prevention and control;
- (vi) the protection and restoration of biodiversity and ecosystems;
Environmental risk includes both physical risk and transition risk.
- (c) ‘physical risk’, as part of the overall environmental risk, means the risk of losses arising from any negative financial impact on the institution stemming from the current or prospective impacts of the physical effects of environmental factors on the institution’s counterparties or invested assets;
- (d) ‘transition risk’, as part of the overall environmental risk, means the risk of losses arising from any negative financial impact on the institution stemming from the current or prospective impacts of the transition to an environmentally sustainable economy on the institution’s counterparties or invested assets;
- (e) ‘social risk’ means the risk of losses arising from any negative financial impact on the institution stemming from the current or prospective impacts of social factors on the institution’s counterparties or invested assets;
- (f) ‘governance risk’ means the risk of losses arising from any negative financial impact on the institution stemming from the current or prospective impacts of governance factors on the institution’s counterparties or invested assets.
3.
References to the international and Union policy frameworks and available benchmarks throughout these instructions include: the Paris Agreement adopted under the United Nations Framework Convention on Climate Change 11 (the ‘Paris Agreement’), the Communication from the Commission on the European Green Deal 12, Directive 2013/34/EU of the European Parliament and of the Council 13, Directive 2014/95/EU of the European Parliament and of the Council 14, the Communication from the Commission – Guidelines on non-financial reporting: Supplement on reporting climate-related information 15, the guidance made available by the Task Force on Climate-related Financial Disclosures (TCFD) Recommendations 16, the United Nations Environment Programme Finance Initiative (UNEP FI) 17, the Global Reporting Initiative Sustainability Reporting Standards 18, and the United Nations’ Principles for Responsible Investment (UNPRI) 19.
Table 1 – Qualitative information on Environmental risk: Free format text boxes for disclosure of qualitative information in Annex XXXIX.
| 4. | Institutions shall use the following instructions to complete Table 1 – ‘Qualitative information on Environmental risk’ as set out in Annex XXXIX to this Regulation to describe the integration of environmental risks, including specific information on climate change risks and on other environmental risks, in their business strategy and processes, governance and risk management. This is for the purposes of Article 449a of Regulation (EU) No 575/2013, read in conjunction with Article 435 of that Regulation. 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: (a) the processes by which the institution identifies and monitors its activities and exposures which are sensitive and vulnerable to environmental risks, including any movable and immovable assets associated with such activities and exposures; (b) the processes by which the institution identifies and monitors environmental risks that are financially material or currently non-material with a prospect to become material in the future. 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 Council20 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. |
Table 2 – Qualitative information on Social risk: Free format text boxes for disclosure of qualitative information in Annex XXXVII
| 5. | Institutions shall use the following instructions to complete Table 2 – ‘Qualitative Information on Social risk’ set out in Annex XXXIX to this Regulation, in order to describe the integration of social risks in their business strategy and processes, governance and risk management, in accordance with Article 449a of Regulation (EU) No 575/2013 in conjunction with Article 435 of that Regulation. 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. |
Table 3 – Qualitative information on Governance risk: Free format text boxes for disclosure of qualitative information in Annex XXXVII
| 6. | Institutions shall use the following instructions to complete Table 3 – Qualitative information on Governance risk set out in Annex XXXIX to this Regulation in order to describe the integration of governance risks in their governance and risk management, in accordance with of Article 449a of Regulation (EU) No 575/2013, read in conjunction with Article 435 of that Regulation. 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: (a) ethical considerations, including integrity of conduct, values and ethics, anti-bribery and anti-corruption measures, accountability and rule of law; (b) strategy and risk management, including strategy implementation, operational execution and monitoring, internal controls and risk management policies and procedures; (c) inclusiveness; including, gender gap and representation of people from minority groups in the management, income gap; (d) transparency; including disclosures on discrimination, tax commitments and payments, disclosure on lobbying activities, and rules and practices; (e) management of conflict of interest, including processes for the highest governance body to ensure that any conflict of interest is avoided, managed and mitigated; and (f) internal communication on critical concerns, including how internal process of the counterparty operates for communicating critical concerns to the highest governance body. 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. |
Template 1 – Banking book – Indicators of potential climate change transition risk: Credit quality of exposures by sector, emissions and residual maturity. Fixed format.
| 1. | Institutions shall use the following instructions to complete template 1 set out in Annex XXXIX to this Regulation to provide information on the exposures that are more prone to the risks that institutions may face from the transition to a low-carbon and climate resilient economy. For the purposes of Article 449a of Regulation (EU) No 575/2013: (a) institutions shall disclose information on their exposures towards non-financial corporates operating in carbon-related sectors, and on the quality of those exposures, including non-performing status, stage 2 classification, and related provisions as well as maturity buckets; (b) institutions shall start disclosing information on scope 1, 2 and 3 emissions of their counterparties, if already available, including qualitative information in the narrative accompanying this template on the methodology and sources used for the calculation of those emissions. Where institutions are not yet estimating their counterparties’ emissions associated with their financing activities, including lending and investment activities, they shall disclose information on their plans to implement methodologies to estimate and disclose this information. Institutions shall start disclosing information in columns (i) to (k) of the template with first disclosure reference date as of 30 June 2024. | |
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| 2. | Institutions shall include in the narrative accompanying the template, explanations on the information disclosed and the changes compared to previous disclosure periods, as well as any implications that those exposures may have in terms of credit, market, operational, reputational and liquidity risks for the institutions. | |
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| 3. | Institutions shall include in the rows of the template the breakdown of the gross carrying amount of loans and advances, debt securities and equity instruments to non-financial corporations, other than those held for trading, by sector of economic activities using the Nomenclature of Economic Activities (NACE) codes, laid down in Regulation (EC) No 1893/2006 of the European Parliament and of the Council 21, based on the principal activity of the counterparty. They shall also include subtotals that aggregate the gross carrying amount of exposures towards sectors and subsectors that highly contribute to climate change. In particular, reference is made to the sectors listed in Sections A to H and Section L of Annex I to Regulation (EC) No 1893/2006, which include the oil, gas, mining and transportation sectors, as sectors that highly contribute to climate change, as specified in Recital 6 of Commission Delegated Regulation (EU) 2020/1818 22; and a subtotal of exposures towards “other sectors” not mentioned in that Recital. | |
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| 4. | The counterparty NACE sector allocation shall be based on the nature of the direct counterparty. Where the institutions’ counterparty is a holding company, institutions shall consider the NACE sector of the specific obligor under the holding company (if different from the holding company) which receives the funding (i.e. the specific subsidiary of the holding company in question) rather than that of the holding company, particularly in those cases where the obligor that is benefiting from the financing is a non-financial corporate. Similarly, when the direct counterparty of an institution (the obligor) is a special purpose vehicle (SPV), institutions shall disclose the relevant information under the NACE sector associated with the economic activity of the parent company of the SPV. The classification of the exposures incurred jointly by more than one obligor shall be based on the characteristics of the obligor that was the more relevant, or determinant, for the institution to grant the exposure. The distribution of jointly incurred exposures by NACE codes shall be driven by the characteristics of the more relevant or determinant obligor. Institutions shall disclose information by NACE codes with the level of granularity required in the rows of the template. 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/EEC23. 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 Financials24 (PCAF, of particular relevance for the TCFD), or the Carbon Disclosure Project25. 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: (a) reported emissions (emissions are collected from the borrower or investee company directly); (b) physical activity-based emissions (emissions are estimated by the reporting financial institution based on primary physical activity data collected from the borrower or investee); (c) economic activity-based emissions (emissions are estimated by the reporting financial institution based on economic activity data collected from the borrower or investee company). 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: (a) where the amount is repaid in instalments, the exposure shall be allocated in the maturity bucket corresponding to the last instalment; (b) where an exposure has no stated maturity for reasons other than the counterparty having the choice of the repayment date, or in the case of equity holdings, the amount of this exposure shall be disclosed in the largest maturity bucket ‘> 20 years’; (c) for the computation of the average maturity of the exposures, institutions shall weigh the maturity of each exposure by the gross carrying amount of the exposures. |
Template 2: Banking book – Indicators of potential climate change transition risk: Loans collateralised by immovable property – Energy efficiency of the collateral. Fixed format.
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