Annex

^.6.4 Key contents of plans

Key words or elements of the Examples of qualitative and quantitative out- References to other EU required key content puts and their potential supporting metrics frameworks

Clarifications and reference to Potential Output Potential Output Pillar 3 CSRD / ESRS the Guidelines (Qualitative) (Quantitative)

How to read this tool?

Direct extract from section 6.4, paragraph 109 of the Guidelines

Clarifying guidance Quantitative description Links towards Pillar 3 and ESRS Key with reference to the Qualitative description of potential output re- requirements that institutions, words or relevant section(s) or of potential output re- lated to this Guidelines' where applicable, should con-sub-ele-paragraph(s) of the lated to this Guide- requirement: sider to ensure consistency and ment Guidelines lines' requirement: - With examples or interconnections and rely to the - With examples or ‘warnings’ in using met- extent possible on materially ‘do not forgets’, rics and targets, identical or significantly compa-Clarifying guidance Key - For example, narra- - For example, recalling rable relevant information. with reference to the words or tives characteristics. the different angles a KPI relevant section(s) or sub-ele- could cover. References to Pillar 3 and ESRS paragraph(s) of the ment All examples are for il- All examples of KPIs / may need to be updated to re-Guidelines lustration only. KRIs are for illustration flect future regulatory develop-only. ments.

6.4 Key contents of plans

Key words or elements of the required key Examples of qualitative and quantitative out- References to other EU content puts and their potential supporting metrics frameworks

Clarifications and reference to the Guide- Potential Output (Qual- Potential Output Pillar 3 CSRD / ESRS lines itative) (Quantitative)

a. Strategic objectives a

nd roadmap of the plan

i. High-level overarching stra-tegic objective to address ESG risks in the short, medium and long term, in line with overall business strategy and risk appe-tite.

This pertains to the overarch- # Qualitative description ing strategic objective institu- of strategies to ensure the tions seek to accomplish con- compatibility of business cerning ESG risks, in line with models with the transition Overarching the incorporation of ESG risks to a climate-neutral and objective: # Overarching objec-in business and risk strategies sustainable economy, par-tives could be linked to and risk appetite in accord- ticularly when subject to Qualitative: selected KPI or KRI tar-ance with section 5.2 and sec- CSDDD and/or CSRD re- Table 1 gets ESRS-E1-1 tion 5.3. quirements, and how (a) (b) ESRS 2 - BP1 these strategies affect the Table 2 # Cross-reference to ESRS-E1-MDR-P direction and priorities for (a) (b) other parts of the plan ESRS-E1-2 ESG risk management ini- Table 3 This pertains to how the stra- may be considered e.g. tiatives (c) (d) Short, me- tegic objective applies across towards part a(ii) or # High-level approaches dium and long the different time horizons part b to manage ESG risks iden-term: considered in accordance with tified as most material section 6.3.2. given the institution's scope of activities and ma-teriality assessment

ii. Comprehensive set of long-term goals with intermediate milestones to ensure resilience of the business model towards ESG risks, including consistency of business structure and reve-nues with such milestones.

Long term goals that support # Long-term goals to ad- Qualitative: # Financial exposure to the realisation of the over- dress risks stemming from Table 1 ESRS-E1-1 different economic arching objective over a time the EU objective to (b) (j) Long term sectors horizon of at least 10 years in achieve net-zero GHG Table 2 GHG reduction goals: # Portfolio alignment accordance with the CRD and emissions by 2050, with (b) (k) (l) targets: ESRS-metrics paragraph 99 of the Guide- intermediate milestone in Table 3 E1-4 # Profitability metrics: lines. 2030 considering the EU (c) (d)

Intermediate milestones objective to reduce emis- return and risk ad- measuring progress towards sions by 55% compared to justed return indica- Quantita-Intermediate long-term goals, in accordance the 1990 level tors across relevant tive: milestones: with paragraph 100 of the # Long-term goals and in- breakdowns (e.g. sec- Template 1 Guidelines. termediate milestones to tors, portfolios, prod- Template 3 address risks stemming ucts...) from EU objectives re- # Business strategy lated to deforestation or metrics: forward look-Consistency of nature restoration ing KPIs describing the How the institution will ensure business # How the institution en- institution's strategy in its ability to generate ade-structure and sures that its business terms of pricing, capi-quate profitability along the revenues with structure and revenue tal, liquidity, balance path. milestones: streams are aligned with sheet allocation its long-term goals and in- # Percentage of ESG termediate milestones milestones achieved on time

iii. Key assumptions, inputs and background information rel-evant to the understanding of in-stitutions’ objectives and tar-gets, including selection of cen-tral or reference scenario(s) and institutions’ conclusions stem-ming from the outcomes of ma-teriality assessments of ESG risks, portfolio alignment assess-ments and other scenario anal-yses.

This pertains to the documen-Key assump- tation of key methodological # Degree of alignment tions and se- criteria and assumptions in ac-or misalignment com-lection of ref- cordance with paragraph 108, # Identification of and jus-pared to climate-re-erence sce- including reference scenario(s) tification for scenario(s) Qualitative: lated pathways and/or nario(s): selected by the institution in selected e.g. from na- Table 1 benchmark scenarios line with section 6.3.1. tional environmental (j) (k) (l) for selected sectors agencies, Joint Research Table 2 and/or counterparties Center of the EU Commis- (h) (i) (j) ESRS-E1-SBM3 Outcomes of sion, IEA, NGFS, IPCC Table 3 ESRS-E1-IRO # Quantitative materiality as- Key findings and conclusions (d) ESRS-E1-9 measures of environ-sessment, from materiality assessment, # Qualitative description mental risk impacts on portfolio portfolio alignment methods of material environmental Quantita-financial risk categories alignment as- and scenario analyses, con- transition and physical tive: sessments and ducted in accordance with sec- risks faced by the institu- Template 3 # Quantitative out-scenario anal- tion 4. t ion comes of the material-y ses: ity assessment of ESG r isks

b. Targets and metrics

i. Quantitative targets set to address ESG risks, including those stemming from the pro-cess of adjustment towards the legal and regulatory sustainabil-ity objectives of the jurisdictions where the institution operates and broader transition trends to-wards a sustainable economy, and metrics used to monitor ESG risks and the progress in achiev-ing the targets.

# Exposures towards Targets to ad- This pertains to the metrics high-risk sectors or dress ESG risks and targets used by institu-counterparties and monitor- tions in accordance with sec-# Portfolio alignment ing metrics: tion 5.7 and section 6.3.4. metrics and targets # Financed emissions across relevant break-downs Qualitative: # Progress achieved in Table 1 key financing strate- (b) (c) ESRS-E1-1 This pertains to the specific gies Table 2 Risks stem- metrics and targets to monitor # Real estate portfolios (b) ming from the N/A GHG reduction and address ESG risks arising with certain level of en- process of ad- targets: ESRS-from the transition and pro- ergy efficiency Quantita-justment to- E1-4 cess of adjustment to the rele- # Energy supply bank- tive: wards regula-vant regulatory objectives, ing ratio All tem-tory sustaina-such as those included in the # Level of physical risk plates bility objec-EU climate law in accordance the institution is ex-tives: with Article 76(2) CRD posed to # Information on the riskiness of the portfo-lio across relevant breakdowns (e.g. non-performing exposures)

ii. Portfolios, sectors, asset classes, business lines and where applicable economic activities (i.e. individual technologies) cov-ered by targets and monitoring metrics, ensuring that the scope of targets and metrics suffi-ciently reflects the nature, size and complexity of institution’s activity and its ESG risks materi-ality assessment.

# Percentage of identi-# For each target, what fied ESG risks that are are the activities, asset actively monitored and classes, sectors and busi-managed ness lines covered # Percentage of busi-# Institution-level targets ness units with ESG broken down into more ESRS-E1-1 risk-related targets in-specific sectoral targets ESRS 2 - MDR-T tegrated into their op-# Targets applied to spe- This pertains to information erational plans cific portfolios, exposures, Current reve-related to the scope of targets # Percentage of opera-Scope of cov- groups of assets or invest- nues by sectors: and metrics and its signifi- tions in different re-erage: ments that share similar ESRS 2 - SBM -1 cance from both a risk and fi- gions that have ESG characteristics or risks nancial perspective. risk-related targets and Qualitative: # Specific, actionable tar- GHG reduction initiatives in place Table 1 gets for particular pro- targets: ESRS-# Percentage of sectors (b) (c) (j) jects, technologies, or E1-4 that have developed Table 2 business activities specific action plans (h) (i) # On- and off-balance aligned with group- sheet activities captured level ESG risks targets. Quantita-# Exclusion in coverage # Achievement of sec- tive: and planned coverage toral targets All tem-

iii. Time horizons over which targets and metrics apply.

plates

# Qualitative description of the set of targets and This pertains to the short, me- metrics applied for the # Evolution e.g. in-ESRS-E1.IRO-dium or long-term time hori- short, medium and long crease/decrease in the 1_10_ AR 12a Time horizons: zons with which metrics and term level of target(s) to be ESRS-E4-1_04 targets are associated in line achieved across differ-13d with section 6.3.2. # Justification of short- ent time horizons term increases in metrics and targets, if applicable

c. Governance

i. Governance structure for the plans including roles and re-sponsibilities for the formula-tion, validation, implementation, monitoring and updating of the plan, including escalation steps in case of deviation from targets.

The governance structure for # Frequency of board Governance the plan in accordance with meetings dedicated to # Roles and responsibili-structure: section 6.2.1, section 6.2.2. the plan ties of the management and section 6.5. # Delays in approval of Qualitative: body, any sub-committee the plan Table 1 and three lines of defence # Number of internal (e) (g) (h) audits conducted on (q) ESRS 2 GOV-1 # Escalation protocol that Governance arrangements for the plan Table 2 _AR 4 defines the process for ad-Deviation and decision-taking on remedial # Percentage of audit (d) (f) dressing deviations, in-escalation actions in case of significant recommendations im- Table 3 cluding who should be no-procedure: deviations in line with para- plemented (a) tified and the steps to be graphs 80 and 89. # Number of escala-taken. tions processed and/or unresolved escalations

ii. Capacity and resources-re-lated actions to ensure appropri-ate knowledge, skills and exper-tise for effective implementation of the plan, including ESG risk-related trainings and internal culture.

# ESG risks-related The capacity and resources re- training completion # Training and develop-lated actions for the effective rate ment programs for ESG execution of the plan, based # Identified gaps in ESG risks ESRS 2-GOV-1 - on an initial assessment by the risk-related skills and Qualitative: Capacity and # Hiring and recruitment para 23 institution of the potential knowledge Table 1 resources: plans ESRS G1 GOV-1 gaps and needs as regards in- # Frequency and qual- (f) (m) # Knowledge sharing and - para 5b ternal culture and capabilities ity of internal commu-collaboration platforms for ESG risks in line with sec- nications regarding # Leadership commitment tion 5.4. ESG risk-related objec-tives and progress

iii. Remuneration policies and practices to promote sound management of ESG risks in line with the institution’s objectives and risk appetite.

# Metrics used to em-# Qualitative description Qualitative: This pertains to how the insti- bed the risk appetite of how remuneration pol- Table 1 tution takes into account its related to ESG risks in Remuneration icies and practices have (i) ESRS 2-GOV-2 - risk appetite in relation to ESG remuneration policies policies and been, are or will be ad- Table 2 para 29 risks as part of its remunera- # Proportion of staff practices: justed to align with the (g) ESRS-E1-GOV-3 tion policies and practices in with ESG risk-related overarching strategic ob- Table 3 line with Article 74(1)e of CRD. metrics included in re-jective to address ESG (a) muneration

risks and with the risk ap- # Weighting of ESG-risk petite related metrics in the overall remuneration

iii. Data and systems used for the transition planning process

ESRS 1 Appen-# Data inventory with an # Percentage of rele- dix B This pertains to the data and identification of all rele-vant data points col- ESRS 2 AR 2 systems used for the formula- vant ESG risk data points lected and available Qualitative: ESRS 2 SBM-Data and sys- tion, implementation and and assessment of their Table 1 1_42a tems: monitoring of plans in accord- availability and quality # Percentage of sys- (p) ance with section 4.2.2 and tems and processes ESRS-E2-4_30c paragraph 93. # Policies and procedures that integrate ESG data ESRS-S1-6_50d to ensure data quality ESRS-S1-7_55b

d. Implementation strat

egy

i. Overview of short-, me-dium-, and long-term actions taken or planned in core banking activities and processes to achieve the plan’s targets, in-cluding how the institution em-beds the plan’s objectives into its decision-making process and its regular risk management framework, complemented by information on the observed ef-fectiveness or estimated contri-bution of each action to the rele-vant target(s).

Actions taken This pertains to how the insti-or planned in tution will implement its ob- Key actions: # Implementation of new core banking jectives and targets through ERSR-E1-1_16b tools for assessing ESG # Percentage of activi-activities: its core activity. risks in current portfolios ties affected by imple-ESRS-E1 MDR-A mentation actions Qualitative: ESRS 2 MDR-A # Integration of ESG risk- Table 1 This pertains to how the insti- ESRS-E1-2 related objectives into the # Percentage of busi- (n) tution will embed its targets ESRS-E1-3 Changes to medium and long-term ness decisions that aim Table 2 into the mix of existing risk ------------------- the regular strategic planning and de- at implementing the (a) management tools (e.g. ESRS-E2-E5 risk manage- cision-making processes plan's targets Table 3 ICAAP, ILAAP, RAS, risk limits, ESRS-S1-S4 ment frame- (c) capital/portfolio allocation, ESRS-G1 MDR-A work: # Incorporating ESG risks # Adoption rate of ESG budgeting process, strategic ESRS-E3 MDR-A into the risk management risk management tools plan, funding plan, etc), in line ESRS-E4 MDR-A framework with section 5. ESRS-E5 MDR-A

ii. Adaptations to policies and procedures on financial risk cate-gories and to lending and invest-ment policies and conditions on key economic activities, sectors and locations.

Policies and Policies and the conditions # A list of current policies conditions on that govern them, including and original ESG risk sta-activities, sec- updates to existing policies tus # Policy adoption rate, tors, loca- and newly created policies, in # A roadmap detailing e.g. percentage of tions: line with paragraph 46(b-c). which policies & condi-branches or depart-tions, and their scope, will ments that have be updated or created, adopted new ESG risks how, when and by whom ESRS-E1-1_16b policies # For each policy, the fol- ESRS-E1-2 lowing aspects may be in- ESRS-E1-3 # Number of times ESG Qualitative: cluded: risk policies are re- Table 1 . Goal: how it reflects the viewed and updated (d) (o) strategic objective, risk Activities re-within a given period Table 2 strategy and supports the lated to sites Policies and This pertains to the adapta- (c) (e) implementation of the in/near biodi-procedures on tions made to policies and pro- # Percentage of opera- Table 3 plan versity-sensitive financial risk cedures in accordance with tions in compliance ( c) (d) . Scope: precise iteration areas: categories: section 5.6. with updated ESG risk of business, location, sec- ESRS E4.IRO-policies tor etc that are governed 1_19a and impacted # Outcomes of internal . Conditions: clear criteria and external audits fo-ensuring ease of applica-cused on ESG risk man-bility and tracking agement framework . Exclusions: any exclu-sions in line with risk ap-petite

iii. Changes introduced to the mix and pricing of services and products to support the imple-mentation of the plan.

# Risk-based pricing: ad-This pertains to how the insti-justing pricing based on # Frequency and extent Qualitative: tution will adapt its mix of ser- Activities in-the ESG risk profile of the of pricing adjustments Table 1 vices and products and their compatible with Mix and pric- borrower or project based on ESG risk pro- (r) pricing based on ESG risk-rele- transition: ing of services # Incentives for risk miti- files Table 2 vant criteria and the institu- ESRS-E1.IRO-1 and products: gation: offering incentives # Number of clients (j) tion’s risk strategy and inter- AR12 for clients who implement taking advantage of in- Table 3 nal capital policy, in line with effective ESG risk mitiga- centive pricing (d) paragraph 46b. tion strategies

iv. Investments and strategic portfolio allocation supporting the institution’s business strat-

# Growth in sustaina-ble financing: year-to-The types of financial instru-Sustainability- year growth in the vol-ments (green and sustainabil- # Strategy, policies and related and ume and proportion of ity-linked loans, bonds, mort- criteria on green or transi-transition-re- sustainable financing gages, funds…) and advisory tion or ESG-linked mort-lated products # Default rate on green services offered or managed gages, loans and bonds and services: or transition or ESG-by the institution. linked mortgages or Qualitative: loans ESRS-E1-3 Table 1

egy and risk appetite in relation to ESG risks, including infor-mation on sustainability-related and transition-related products and services, and how any changes in strategic financing choices are accompanied by commensurate risk management procedures.

# Diversification of lend- ESRS-E4-1 AR 1 (m) (r) ing and investments port- # Proportion of new fi- e Table 2 folios based on ESG risk- nanced projects that (e) relevant criteria e.g. in undergo a comprehen- Outcomes for This pertains to how the insti- terms of economic sectors sive ESG risk assess- affected com-Consistency of Quantita-tution will ensure, when it de- or geographical areas ment munities: strategic fi- tive: cides to adapt its business mix # Credit risk policies on # Percentage of credit ESRS-S3-4 AR 34 nancing Templates and strategy, that those green loans and mort- decisions that explicitly b choices with 0 6>10 changes fit the risk manage- gages consider ESG risks risk manage-ment arrangements to have in # How an institution that # Profit margins on ment proce-place in accordance with sec- finances renewable en- ESG-related products: dures: tion 5. ergy projects ensures that comparison of profit the projects comply with margins between ESG-environmental regula- related products and tions to avoid legal and traditional products reputational risks

e. Engagement strategy

i. Policies for engaging with counterparties, including information on the frequency, scope and objectives of engage-ment, types of potential actions and escalation processes or cri-teria.

# The percentage of counterparties with Clear policies that the institu-# Purpose and overall ob- which dialogue has tion will follow to engage jective e.g. understanding been pursued or is Qualitative: identified counterparties to of risk profile and/or planned to be pursued Table 1 achieve its strategic and risk checking consistency with # The percentage of (d) (o) Engagement management objectives, tak-risk appetite and targets counterparties for Table 2 ESRS 2-SBM 2 policies: ing into account outcomes of # Available solutions to which an assessment (c) the materiality assessment counterparty of ESG risks has been Table 3 and risk measurement meth-# Escalation and valida- performed (b) (c) ods, in line with paragraph tion process # Proportion of sectors, 46a. products and business lines captured

ii. Processes, methodolo-gies and metrics used for collect-ing and assessing information re-lated to counterparties’ expo-sure to ESG risks and alignment towards the institution’s objec-tives and risk appetite.

# The percentage of counterparties under-going ESG risk due dili-# Due diligence screening gence to identify high-risk coun-# Changes in the credit terparties based on pre-ratings of counterpar-Process, This relates to the institution's defined criteria Qualitative: ties given impact of ESRS-E1.IRO-1 methods and application of exposure-based, # ESG risks reflected in in- Table 1 ESG risks metrics for as- sector-based, portfolio-based ternal or external scores (k) (l) # Concentration of ex- ESRS-E4-1.AR-sessing ESG and portfolio alignment meth- and/or ratings Table 2 posures within specific 1a risks: ods in line with section 4.2.3. # Methods for measuring ( i) (k) sectors subject to ele-alignment of select coun-vated transition or terparties against climate physical risks pathways # Involvement in ESG-related controversies or incidents

iii. Outcomes of engage-ment practices, including an overview of counterparties’ adaptability and resilience to the transition towards a more sus-tainable economy.

# Criteria used to identify counterparties with signif-icant ESG risks that may require immediate atten-tion # Positive (or any sub-# Adjustment of credit classification within terms, such as interest that category) or nega-rates or collateral require-tive (or any sub-classifi-ments, based on ESG risk This relates to the outcomes of cation within that cate- Qualitative assessments engagement, allowing for a gory) assessments of Table 1 # Enhanced due diligence, meaningful interpretation of these counterparties’ (o) ESRS-E1 e.g. implementing more Outcomes: the risk profile of the counter- resilience and align- Table 2 ESRS 2 -SBM-rigorous due diligence parties and actions taken by ment against the insti- (m) 2_45a AR 16 processes for high-risk the institution, in line with tution’s targets and Table 3 counterparties paragraph 81e(ii). risk appetite (c) (d) # (More) targeted engage-ment, e.g. developing spe-# Number and types of cific engagement plans to follow-up actions address identified ESG taken by the institution risks, such as setting im-provement targets or of-fering new financial prod-ucts that cater to the needs of counterparties