FinecoBank S p A : Group public disclosure - Pillar III as at 30 June 2023

FINECOBANK GROUP PUBLIC DISCLOSURE

- PILLAR III

AS AT 30 JUNE 2023

Contents

Introduction	3
Key metrics	9
Own Funds	11
Own funds requirements and risk-weighted exposure amounts	21
Countercyclical capital buffers	25
Exposures to credit risk and dilution risk	29
Disclosure of the use of the Standardised Approach	35
Disclosure of the use of credit risk mitigation techniques	39
Exposures to counterparty credit risk	41
Market risk	45
Exposures to interest rate risk on positions not held in the trading book	47
Liquidity requirements	49
Leverage	57
Disclosure of environmental, social and governance risks	63
Glossary	85
Declaration of the nominated official in charge of drawing up company accounts	91
Statement of compliance with formal policy and internal processes, systems and controls	93

"FinecoBank Banca Fineco S.p.A."

in abbreviated form "FinecoBank S.p.A.", or "Banca Fineco S.p.A." or "Fineco Banca S.p.A.".

Bank enrolled in the Register of Banks and Parent Company of the FinecoBank Banking Group - enrolled in the Register of Banking Groups at No. 3015, Member of the National Guarantee Fund and National Interbank Deposit Guarantee Fund.

Tax Code and Milan-Monza-Brianza-Lodi Companies Register no. 01392970404 - R.E.A. (Economic and Administrative Index) no. 1598155, VAT No. 12962340159

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Introduction

The Group FinecoBank public disclosure Pillar III - (hereafter "Disclosure") has been prepared in accordance with the prudential rules for banks and investment firms, which came into force on January 1, 2014 and are contained in Directive 2013/36/EU (Capital Requirements Directive, CRD IV) and in Regulation 575/2013/EU (Capital Requirements Regulation, CRR), and subsequent Directives and Regulations amending its content, including, in particular, the Directive (EU) 2019/878 (so called CRD V), the Regulation (EU) 2019/876 of the European Parliament and of the Council (so-called CRR II) and the Regulation (EU) 2020/873 of the European Parliament and of the Council (so called CRR Quick-fix). In the rest of this document, the term "CRR" refers to Regulation no. 575/2013/EU as subsequently amended, while the term "Directive" refers to the Capital Requirements Directive as subsequently amended.

The Directive and the Regulation transpose into European Union legislation the framework known as Basel III, defined by the Basel Committee on Banking Supervision in order to strengthen banks' ability to absorb shocks arising from financial and economic tensions, regardless of their origin, to improve risk management and governance of banks, as well as to strengthen their transparency and disclosure. The new EU rules were collated and implemented by the Bank of Italy through the "Supervisory Regulations for Banks" (Circular 285 of December 17, 2013 and subsequent update).

In order to rationalize and homogenize the disclosures to be provided periodically to the market, the EBA, responding to the mandate given to it by Article 434a "Disclosure templates" of CRR II, in June 2020 published the implementing technical standards (EBA/ITS/2020/04), intended for all institutions subject to the disclosure requirements of Part eight of CRR. These implementing technical standards were transposed by 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 Titles II and III of Part Eight, of Regulation (EU) No 575/2013, and subsequent Regulations amending its contents, in particular the Commission Implementing Regulation (EU) 2022/631 of 13 April 2022, which contains the templates and instructions for fulfilling public disclosure of the interest rate risk exposures on positions not held in the trading book (IRRBB - Interest Rate Risk in the Banking Book) requested by Article 448 of the CRR and Implementing Regulation (EU) 2022/2453 of 30 November 2022 which contains templates and instructions regarding environmental, social and governance risks required by Article 449a of the CRR. The latter Regulation transposes the implementing technical standards (EBA/ITS/2022/01) on the prudential disclosure of environmental, social and governance published in January 2022, according to which Large institutions that have issued securities traded on a regulated market of any Member State are required to provide the first disclosure as of 31 December 2022 and semi-annually thereafter, with phased-in disclosure requirements depending on the specific models (phase-in period from December 2022 to December 2024).

The CRR requires Institutions to publish the information set out in Title II and III of Part Eight in conjunction with the financial statements. The purpose of this disclosure requirement is to integrate the minimum capital requirements (Pillar 1) and the prudential control process (Pillar 2), by identifying a set of disclosure transparency requirements that allow market participants to have relevant, complete and reliable information about capital adequacy, risk exposure and the general characteristics of the systems in place to identify, measure and manage those risks.

FinecoBank S.p.A. (hereinafter also FinecoBank or Fineco or Bank) qualifies as a "Large Institution" under Part Eight of the CRR and, therefore, all information required to them on a semi-annual basis has been published in this Public Disclosure as at 30 June 2023.

In line with the CRR, FinecoBank S.p.A., as the Parent Company of the FinecoBank Banking Group (hereinafter the "Group"), publishes its Public Disclosure at a consolidated level.

In addition to the European Union regulations before mentioned, there are also the provisions issued by the Bank of Italy, in particular with Circular no. 285 "Supervisory provisions for banks" of December 17, 2013 (and subsequent updates), which in Chapter 13 of Part Two (public disclosure) governs the matter. The aforementioned circular does not lay down specific rules for the preparation and publication of Pillar III but refers to the provisions for this purpose provided for by CRR, by the Regulations of the European Commission whose preparation may be delegated to the EBA (European Banking Authority) and by the EBA Guidelines.

The subject is therefore regulated:

• by the Part Eight of CRR, "Disclosure by institutions" (art. 431 - 455);
• by the Regulations of the European Commission, the preparation of which may be delegated to the EBA, containing the regulatory or implementing technical standards to govern the uniform models for publishing the various types of information. In particular, reference is made to the following guidelines and regulations:
  o 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 (EBA/RTS/2020/20 implemented by the Implementing Regulation 2021/637);
  o Commission Implementing Regulation (EU) 2022/631 of 13 April 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/637 as regards disclosure of interest rate risk exposures on positions not held in the trading book and transposing the EBA/ITS/2021/07;
  o Commission Implementing Regulation (EU) 2022/2453 of 30 November 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/637 with regard to the disclosure of environmental, social and governance risks and transposing the EBA/ITS/2022/01;
  o guidelines on materiality, proprietary and confidentiality and on disclosure frequency under Articles 432(1), 432(2) and 433 of Regulation (EU) No 575/2013 (EBA/GL/2014/14);

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