FinecoBank S p A : Group public disclosure - Pillar III as at 31 March 2024

FINECOBANK GROUP PUBLIC DISCLOSURE

- PILLAR III

AS AT 31 MARCH 2024

Contents

Introduction	3
Key metrics	7
Own funds requirements and risk-weighted exposure amounts	9
Liquidity requirements	13
Declaration of the nominated official in charge of drawing up company accounts	19
Statement of compliance with formal policy and internal processes, systems and controls	21

"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

FinecoBank · Public disclosure 1

Indice

2 Public disclosure · FinecoBank

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 is 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" or "Regulation" 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, 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 along 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 (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 quarterly basis has been published in this Public Disclosure as of 31 March 2024.

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 above-mentioned European Union regulations, 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 in the CRR, the Regulations of the European Commission whose preparation may be delegated to the EBA (European Banking Authority) and 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 Commission Implementing Regulation (EU) 2021/763 of 23 April 2021 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council and Directive 2014/59/EU of the European

FinecoBank · Public disclosure 3

Introduction

Parliament and of the Council with regard to the supervisory reporting and public disclosure of the minimum requirement for own funds and eligible liabilities;

1. 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);

1. guidelines on uniform disclosures under Article 473a of Regulation (EU) No 575/2013 as regards the transitional period for mitigating the impact of the introduction of IFRS 9 on own funds (EBA/GL/2018/01);

1. guidelines amending Guidelines EBA/GL/2018/01 on uniform disclosures under Article 473a of Regulation (EU) No 575/2013 (CRR) on the transitional period for mitigating the impact of the introduction of IFRS 9 on own funds to ensure compliance with the CRR 'quick fix' in response to the COVID-19 pandemic (EBA/GL/2020/12).

With regard to the initiatives put in place in 2020, which are still in force, please also note Regulation (EU) 873/2020 ("CRR "Quick-fix") of the EU Parliament and Council published on 26 June 2020, amending Regulation (EU) 575/2013 ("CRR") and Regulation (EU) 876/2019 ("CRR II"), which made a number of adjustments to the prudential framework in light of the Covid-19 health emergency, allowing credit institutions to apply specific transitional provisions, with the aim of providing capital support to enable credit institutions to continue to support the real economy in the context of the Covid-19 pandemic. This Regulation also anticipated the application of certain measures contained in CRR II, which are therefore valid until the latter enters into force on 28 June 2021. Among the main measures still in force is the extension until 31 December 2024 of the transitional regime that allows to reduce the potential impact on CET1 deriving from the increase in provisions for expected losses on receivables calculated according to the IFRS 9 impairment model, through the gradual inclusion in CET1 ("Temporary treatment to mitigate the impact of the introduction of IFRS 9 on own funds"). It is envisaged that banks that had previously decided to make use or not to make use of the transitional provisions can revoke their decision at any time during the new transitional period. As of 31 March 2024, the Group did not make use of the option to apply the temporary treatment.

With regard to the public disclosure requirements related to the provisions contained in Regulation 873/2020, the Bank of Italy, with a communication dated 8 September 2020, implemented the EBA Guidelines providing clarifications and guidance on the compilation of the supervisory reporting formats and public disclosures (EBA Guidelines 2020/12). The EBA Guidelines 2020/12 amend EBA/GL/2018/01 to take account of the impact on capital of the changes regarding the extension of the IFRS9 transitional provisions. The main changes concern the extension of the disclosure period due to the extension of the transitional arrangements for IFRS 9 and the introduction of additional qualitative disclosure requirements aimed at covering decisions taken as part of the discretions provided for in article 473a CRR, as amended by the CRR Quick-fix.

With reference to the abovementioned transitional provisions introduced by the CRR Quick-fix, since the Group, as at 31 March 2024, did not make use of the option to apply the "Temporary treatment to mitigate the impact of the introduction of IFRS 9 on own funds" own funds and capital already reflect the full impact of the above component and, consequently, the disclosure requirements specified in EBA Guidelines 2020/12 do not apply.

Please note that the disclosure of the Group is prepared in accordance with a formal policy (Internal Regulation) adopted in the application of the CRR Article 431 (3) that sets out the internal controls and procedures.

The key elements of this policy are:

• identification of roles and responsibilities of the corporate bodies, departments and Legal Entities involved in the process of producing the disclosure;
• identification of the information to be published (in accordance with EBA GL/2014/14 and CRR Article 432 and 433 in relation with the requirements applicable as of 31 March 2024);
• approval by the Board of Directors;
• publication on the FinecoBank website.

This document has been prepared in accordance with the indications of the EBA guidelines in compliance with the proportionality principle and publishing only information that is material and not exclusive or confidential in accordance with Article 432 of the CRR. Finally, for the publication of qualitative and quantitative information, FinecoBank has adopted, firstly, the models provided by the EU Regulations or by the applicable EBA Guidelines mentioned above, secondly, free models. In this regard, the tables below report references to the location, in this document, of the required information.

Any discrepancies between data disclosed in this document are due to the effect of rounding. All amounts, unless otherwise specified, are expressed in thousands of euros.

4 Public disclosure · FinecoBank

Introduction

Reference to regulatory reporting requirements on a quarterly basis: Implementing Regulation (EU) 637/2021 and subsequent amendments

The table below shows the templates required on quarterly basis, applicable to FinecoBank Group:

TABLE	TOPIC	CHAPTER
EU OV1	Overview of total risk exposure amounts	Own funds requirements and risk-weighted
exposure amounts
EUKM1	Key metrics	Key metrics
EU LIQ1	Quantitative information on LCR	Liquidity requirements
EU LIQB	Qualitative information on LCR, which complements template	Liquidity requirements
EU LIQ1

Reference to the EBA/GL/2020/12

Please note that the "Template IFRS9/Article 468-FL: Comparison of institutions' own funds and capital and leverage ratios with and without the application of transitional arrangements for IFRS 9 or analogous ECLs is not subject to publication because, as previously mentioned, the Group did not make use of the option to apply the "Temporary treatment to mitigate the impact of the introduction of IFRS 9 on own funds". Therefore, FinecoBank Group's capital and own funds as of March 31, 2024 already reflect the full impact of this item.

Reference to the information required by the Part Eight of CRR

The table shows the information required, on a quarterly basis, by Regulation (EU) n.575/2013 and subsequent amendments.

ARTICLE	TOPIC	CHAPTER
438	Disclosure of own funds requirements and risk-weighted	Own funds requirements and risk-weighted
letters d) e h)	exposure amounts	exposure amounts; Key metrics
447	Disclosure of key metrics	Key metrics
451a par. 2	Disclosure of liquidity requirements	Liquidity requirements

It should be noted that the information referred to in the sections of the articles listed above for which a quarterly frequency is required, as detailed in 433a of the CRR, is subject to publication in this document.

FinecoBank · Public disclosure 5

Introduction

6 Public disclosure · FinecoBank

Key metrics

Below is reported the EU KM1 table on key metrics, the details and qualitative information of which are reported within the document in the specific dedicated sections.

The following table EU KM1 reports information required by article 447 of CRR, in particular:

• the composition of own funds and own funds requirements;
• the total amount of risk exposure;
• the amount and composition of additional own funds that institutions are required to hold;
• the combined buffer requirement that institutions are required to hold;
• the leverage ratio and exposure measure;
• information in relation to liquidity coverage ratio;
• information in relation to net stable funding requirement.

All minimum requirements applicable to the FinecoBank Group as of March 31, 2024 are met.

The calculation of Own Funds, and in particular of CET1 capital, on 31 March 2024 took into account the net profit for the period from which foreseeable dividends and charges have been deducted in the total amount of 109,687 euro thousand, assuming the conditions of Article 26(2) of the CRR are met.

EU KM1 - Key metrics

													(Amounts in € thousand)
						a	b		c		d		e
						03.31.2024	12.31.2023		09.30.2023		06.30.2023		03.31.2023
				Available own funds (amounts)
1			Common Equity Tier 1 (CET1) capital	1,186,759	1,151,527		1,107,584		1,070,245		1,026,693
2			Tier 1 capital	1,686,759	1,651,527		1,607,584		1,570,245		1,526,693
3			Total capital	1,686,759	1,651,527		1,607,584		1,570,245		1,526,693
				Risk-weighted exposure amounts
4			Total risk exposure amount	4,693,517	4,731,105		4,478,275		4,612,719		4,710,681
				Capital ratios (as a percentage of risk-weighted exposure amount)
5			Common Equity Tier 1 ratio (%)	25.29%	24.34%		24.73%		23.20%		21.80%
6			Tier 1 ratio (%)	35.94%	34.91%		35.90%		34.04%		32.41%
7			Total capital ratio (%)	35.94%	34.91%		35.90%		34.04%		32.41%
				Additional own funds requirements to address risks other than the risk of excessive leverage (as a percentage of risk-weighted exposure amount)
	EU		Additional own funds requirements to address risks other than the risk	2.00%	1.75%		1.75%		1.75%		1.75%
	7a		of excessive leverage (%)
	EU		of which: to be made up of CET1 capital (percentage points)	1.13%	0.98%		0.98%		0.98%		0.98%
	7b
	EU		of which: to be made up of Tier 1 capital (percentage points)	1.50%	1.31%		1.31%		1.31%		1.31%
	7c
	EU		Total SREP own funds requirements (%)	10.00%	9.75%		9.75%		9.75%		9.75%
	7d
				Combined buffer and overall capital requirement (as a percentage of risk-weighted exposure amount)
8			Capital conservation buffer (%)	2.50%	2.50%		2.50%		2.50%		2.50%
	EU		Conservation buffer due to macro-prudential or systemic risk identified	0.00%	0.00%		0.00%		0.00%		0.00%
	8a		at the level of a Member State (%)
9			Institution specific countercyclical capital buffer (%)	0.11%	0.10%		0.07%		0.06%		0.04%
	EU		Systemic risk buffer (%)	0.00%	0.00%		0.00%		0.00%		0.00%
	9a
10			Global Systemically Important Institution buffer (%)	0.00%	0.00%		0.00%		0.00%		0.00%
	EU		Other Systemically Important Institution buffer (%)	0.00%	0.00%		0.00%		0.00%		0.00%
	10a
11			Combined buffer requirement (%)	2.61%	2.60%		2.57%		2.56%		2.54%
	EU		Overall capital requirements (%)	12.61%	12.35%		12.32%		12.31%		12.29%
	11a
12			CET1 available after meeting the total SREP own funds requirements	19.66%	18.86%		19.25%		17.72%		16.31%
	(%)

FinecoBank · Public disclosure 7

Key metrics

continued EU KM1 - Key metrics

													(Amounts in € thousand)
					a		b		c		d		e
					03.31.2024		12.31.2023		09.30.2023		06.30.2023		03.31.2023
			Leverage ratio
13		Total exposure measure	32,719,690		33,356,370		32,428,372		33,556,310		36,282,598
14		Leverage ratio (%)	5.16%		4.95%		4.96%		4.68%		4.21%
			Additional own funds requirements to address the risk of excessive leverage (as a percentage of total exposure measure)
	EU		Additional own funds requirements to address the risk of excessive	0.00%		0.00%		0.00%		0.00%		0.00%
	14a		leverage (%)
	EU		of which: to be made up of CET1 capital (percentage points)	0.00%		0.00%		0.00%		0.00%		0.00%
	14b
	EU		Total SREP leverage ratio requirements (%)	3.00%		3.00%		3.00%		3.00%		3.00%
	14c
			Leverage ratio buffer and overall leverage ratio requirement (as a percentage of total exposure measure)
	EU		Leverage ratio buffer requirement (%)	0.00%		0.00%		0.00%		0.00%		0.00%
	14d
	EU		Overall leverage ratio requirement (%)	3.00%		3.00%		3.00%		3.00%		3.00%
	14e
			Liquidity Coverage Ratio
15		Total high-quality liquid assets (HQLA) (Weighted value -average)	19,832,980		19,456,617		19,376,097		19,378,197		19,391,544
	EU		Cash outflows - Total weighted value	3,744,080		3,821,536		3,925,592		3,995,043		4,058,401
	16a
	EU		Cash inflows - Total weighted value	1,415,183		1,437,394		1,503,984		1,506,506		1,605,535
	16b
16		Total net cash outflows (adjusted value)	2,328,897		2,384,142		2,421,608		2,488,537		2,452,866
17		Liquidity coverage ratio (%)	864.19%		822.92%		807.83%		785.34%		802.90%
			Net Stable Funding Ratio
18		Total available stable funding	28,351,817		29,032,005		28,414,272		28,992,476		29,792,570
19		Total required stable funding	7,674,795		7,689,734		7,307,468		7,545,924		7,910,090
20		NSFR ratio (%)	369.41%		377.54%		388.84%		384.21%		376.64%

Please note that the information on the Liquidity Coverage Ratio refers to the weighted average values, consistent with the representation provided in the EU LIQ1 template.

With regard to Additional Tier 1 instruments, please note that in March 2024, following the authorisation granted by the European Central Bank, Fineco announced the tender offer on the Additional Tier 1 bond with a nominal amount of 300 euro million issued in July 2019 and the issuance of a new Additional Tier 1 bond with a nominal amount of 500 euro million eligible for inclusion in Own Funds. The nominal amount of the bonds validly tendered was 168 euro million, with settlement date on 13 March 2024. Considering Fineco's intention to call at the earliest scheduled date both the remaining amount of the AT1 issued in July 2019 (call date 3 December 2024) and the entire amount of the 200 euro million AT1 private placement issued in January 2018 (call date 3 June 2024), as at the reference date of 31 March 2024, the aforementioned instruments are no longer included in Own Funds, in line with the provisions of Article 28 of EU Regulation 241/2014. The total amount of AT1 instruments included in Own Funds therefore remains unchanged at 500 euro million.

8 Public disclosure · FinecoBank