Contents
- 1. Institutions shall disclose the information referred to in…
- 2. For the purposes of these instructions, the following term…
- 3. References to the international and Union policy framework…
- Table 1 – Qualitative information on Environmental risk: Free format text boxes for disclosure of qualitative information in Annex XXXIX.
- Table 2 – Qualitative information on Social risk: Free format text boxes for disclosure of qualitative information in Annex XXXVII
- Table 3 – Qualitative information on Governance risk: Free format text boxes for disclosure of qualitative information in Annex XXXVII
- Template 1 – Banking book – Indicators of potential climate change transition risk: Credit quality of exposures by sector, emissions and residual maturity. Fixed format.
- Template 2: Banking book – Indicators of potential climate change transition risk: Loans collateralised by immovable property – Energy efficiency of the collateral. Fixed format.
- Template 3: Banking book – Indicators of potential climate change transition risk: Alignment metrics. Flexible format (fixed columns, flexible rows).
- Template 4 – Banking book – Indicators of potential climate change transition risk: Exposures to top 20 carbon-intensive firms. Fixed format
- Template 5 – Banking book – Indicators of potential climate change physical risk: Exposures subject to physical risk. Fixed format.
- Template 6 – Summary of key performance indicators (KPIs) on the Taxonomy-aligned exposures. Fixed format.
- Template 7 – Mitigating actions: Assets for the calculation of GAR. Fixed format
- Template 8 – GAR (%)
- Template 9 – Mitigating actions: BTAR
- Template 9.1 – Mitigating actions: Assets for the calculation of BTAR
- Template 9.2 – BTAR %
- Template 9.3 – BTAR %
- Template 10 – Other climate change mitigating actions that are not covered in Regulation (EU) 2020/852
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.notenotenoteColumnsInstructionsaTotal gross carrying amountInstitutions 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.bOf which exposures towards companies excluded from EU Paris-aligned BenchmarksInstitutions 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.cOf 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.dOf which stage 2Institutions 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/EECnote.eOf which non-performing exposuresInstitutions shall disclose non-performing exposures as defined in Article 47a(3) of Regulation (EU) No 575/2013.fAccumulated impairment, accumulated negative changes in fair value due to credit risk and provisionsInstitutions 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.gOf which stage 2Institutions 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.hOf which non-performing exposuresInstitutions shall disclose non-performing exposures as referred to in Article 47a(3) Regulation (EU) No 575/2013.iGHG 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 Financialsnote (PCAF, of particular relevance for the TCFD), or the Carbon Disclosure Projectnote.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);
(a)where the amount is repaid in instalments, the exposure shall be allocated in the maturity bucket corresponding to the last instalment;
(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);
(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)economic activity-based emissions (emissions are estimated by the reporting financial institution based on economic activity data collected from the borrower or investee company).
(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.
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.jOf which Scope 3 financed emissionsInstitutions 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.kGHG emissions (column (i)): gross carrying amount percentage of the portfolio derived from company-specific reportingInstitutions 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 maturityInstitutions shall allocate the exposures to the relevant bucket depending on the remaining maturity of the financial instrument, taking into account the following:
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