ANNEX V

KPIs OF CREDIT INSTITUTIONS

1. Content of KPIs to be disclosed by credit institutions

1.1. Scope of the KPIs

1.1.1. Consolidation

Credit institutions shall disclose relevant KPIs on the basis of the scope of their prudential consolidation determined in accordance with Regulation (EU) No 575/2013, Title II, Chapter 2, Section 2.

1.1.2. Total covered Assets

The calculation of the green asset ratio (GAR) for on-balance sheet exposures shall cover the following accounting categories of financial assets, including loans and advances, debt securities, equity holdings and repossessed collaterals:

(a) financial assets at amortised cost;

(b) financial assets at fair value through other comprehensive income;

(c) investments in subsidiaries;

(d) joint ventures and associates;

(e) financial assets designated at fair value through profit or loss and non-trading financial assets mandatorily at fair value through profit or loss;

(f) real estate collaterals obtained by credit institutions by taking possession in exchange for the cancellation of debts.

The exposures referred to in Article 7(1) of this Regulation shall be excluded from the coverage of the GAR.

The following assets shall be excluded from the numerator of the GAR:

(a) financial assets held for trading;

(b) on-demand interbank loans;

(c) exposures to undertakings that are not obliged to publish non-financial information pursuant to Article 19a or 29a of Directive 2013/34/EU.

The calculation of KPIs for off-balance sheet exposures shall consider financial guarantees granted by the credit institution and assets under management for guarantee and investee non-financial undertakings. Other off-balance sheet exposures such as commitments shall be excluded from that calculation.

1.2. Content of the KPIs and methodology

1.2.1. Green asset ratio (GAR)

The GAR shall show the proportion of the of credit institution’s assets financing and invested in taxonomy-aligned economic activities as a proportion of total covered assets in accordance with point 1.1.2 of this Annex.

The GAR shall be based on the exposures and balance sheet according to the scope of prudential consolidation in accordance with Regulation (EU) No 575/2013, Title II, Chapter 2, Section 2 for the types of assets and accounting portfolios specified in point 1.1.2 of this Annex, including information on stock and flows, on transitional and enabling activities, and on specialised and general purpose lending.

Credit institutions shall disclose all of the following:

(a) the aggregate GAR for covered on-balance sheet assets;

(b) the breakdown by environmental objective and by type of counterparty.

The definition of the KPIs shall be based on the following components:

(a) the numerator, which shall cover the loans and advances, debt securities, equities and repossessed collaterals, financing Taxonomy-aligned economic activities based on turnover KPI and CapEx KPI of underlying assets;

(b) the denominator, which shall cover the total loans and advances, total debt securities, total equities and total repossessed collaterals and all other covered on-balance sheet assets.

In addition to GAR, credit institutions shall disclose the percentage of their total assets that are excluded from the numerator of the GAR in accordance with Article 7(2) of this Regulation and point1.1.2 of this Annex.

1.2.1.1. GAR applying to exposures to non-financial undertakings

Credit institutions shall disclose the GAR for the stock of loans, debt securities and equity holdings and the flow for new lending. Credit institutions shall follow the following steps to calculate the GAR for each environmental objective.

Environmental objectives First step Second step Green asset ratio (GAR) Climate change mitigation Proportion of loans and advances/debt securities/equity instruments financing taxonomy-eligible economic activities for the objective of climate change mitigation as compared to total loans to/debt securities/equity instruments of non-financial undertakings and all other covered on-balance sheet assets Proportion of loans and advances/debt securities/equity instruments financing taxonomy-aligned economic activities for the objective of climate change mitigation, compared to loans and advances/debt securities/equity instruments financing economic activities in sectors covered by the taxonomy for the objective of climate change mitigation. Proportion of loans and advances/debt securities/equity instruments financing taxonomy-aligned economic activities for the objective of climate change mitigation, compared to total loans and advances/debt securities/equity instruments of non-financial undertakings and all other on-balance sheet assets Of which: enabling activities Of which: enabling activities Of which transitional activities Of which transitional activities Stock and flow Climate change adaptation Proportion of loans and advances/debt securities/equity instruments financing Taxonomy-eligible economic activities for the objective of climate change adaptation compared to total loans to/debt securities/equity instruments of non-financial undertakings and all other covered on-balance sheet assets Proportion of loans and advances/debt securities/equity instruments financing taxonomy-aligned economic activities for the objective of climate change adaptation compared to loans and advances/debt securities/equity instruments financing economic activities in sectors covered by the taxonomy for the objective of climate change adaptation Proportion of loans and advances/debt securities/equity instruments financing taxonomy-aligned economic activities for the objective of climate change adaptation compared to total loans and advances/debt securities/equity instruments of non-financial undertakings and all other covered on-balance sheet assets Of which: enabling activities Of which enabling activities Of which adaptation activities Of which transitional activities Stock and flow Other environmental activities Same ratios for each of the other four environmental objectives should be disclosed, once the screening criteria are defined. That is: the sustainable use and protection of water and marine resources; the transition to a circular economy; pollution prevention and control; the protection and restoration of biodiversity and ecosystems.

(i) GAR for lending activities to equity holdings of non-financial undertakings for loans and advances (GAR L&A)

Credit institutions shall use and disclose the following items for the calculation of the GAR for this type of exposures:

(1)(a) total loans and advances to non-financial undertakings, including loans and advances recognised under the accounting categories referred to in point 1.2 of this Annex, that is the gross carrying amount of: (i) loans and advances at amortised cost and at fair value through other comprehensive income; (ii) loans and advances not held for trading at fair value through profit or loss.

(1)(b) loans and advances to non-financial undertakings financing Taxonomy-eligible economic activities for each environmental objective, including the gross carrying amount of loans and advances in the relevant accounting categories towards companies carrying out taxonomy-eligible economic activities (where available, 4 level Nomenclature of Economic Activities (NACE) codes) relevant for each environmental objective.

(1)(c) loans and advances to non-financial undertakings financing taxonomy-aligned economic activities for each environmental objective, including all loans and advances financing taxonomy-aligned economic activities, including subsets of transitional and enabling economic activities.

The amount for the purpose of (1)(c) shall be calculated by using the following formula 1(c) = (1)(c)(1) + (1)(c)(2) where:

(1)(c)(1) represents loans and advances where the use of proceeds is known, including specialised lending – project finance loans as referred to in Annex V to Commission Implementing Regulation (EU) No 680/2014 (1);

(1)(c)(2) represents loans and advances where the use of proceeds is unknown (general loans).

For the purposes of point (1)(c)(1), credit institutions shall consider the gross carrying amount of the project finance exposures to the non-financial undertaking to the extent and proportion that the project funded finances a taxonomy-aligned economic activity. The assessment of whether that requirement has been complied with shall be based on information provided by the counterparty on the project or activities to which the proceeds will be applied. Credit institutions shall provide information on the type of economic activity that is funded. Double counting shall not be allowed. Where the same specialised lending exposure is relevant for two environmental objectives, credit institutions shall allocate it to the most relevant objective.

For the purposes of point (1)(c)(2), credit institutions shall rely on the CapEx and turnover KPI that the counterparty shall disclose for each environmental objective in accordance with this Regulation. The amount of loans and advances to non-financial undertakings shall be the sum of the gross carrying amount of the total loans and advances with unknown use of proceeds to non-financial undertakings weighted by the proportion of taxonomy-aligned economic activities with a breakdown for transition and enabling activities for each counterparty.

Credit institutions shall calculate the KPIs for those type of exposures as follows:

First step = (1)(b)/(1)(a).

Second step = (1)(c)/(1)(b). Credit institutions shall disclose separately the part of the KPI that refers to enabling activities, when relevant.

GAR L&A (for each environmental objective) = (1)(c)/(1)(a). Credit institutions shall disclose the GAR based on turnover KPI and separately the part of the KPI that refers to enabling and transitional activities, where relevant.

The following aspects of the KPIs shall be disclosed:

(a) in terms of stock, based on the total gross carrying amount of loans and advances as of the disclosure reference date;

(b) in terms of flow, based on the gross carrying amount of new loans and advances during the year prior to the disclosure reference date;

(c) with a separate breakdown for enabling and for transitional and adaptation activities, and for specialised lending.

(ii) GAR for debt securities to non-financial undertakings (‘GAR DS’)

Credit institutions shall calculate and disclose the following items for the calculation of the GAR for this type of exposures:

(2)(a) Total debt securities of non-financial undertakings, including the gross carrying amount of debt securities at amortised cost and at fair value through other comprehensive income, and debt securities not held for trading at fair value through profit or loss;

(2)(b) Debt securities of non-financial undertakings financing Taxonomy-eligible economic activities for each environmental objective, including the gross carrying amount of debt securities in the relevant accounting categories towards companies carrying out taxonomy-eligible economic activities (where available 4 level NACE codes)

(2)(c) Debt securities to relevant entities financing taxonomy-aligned economic activities, including all debt securities financing taxonomy-aligned economic activities, including transitional and enabling activities.

The amount for the purposes of (2)(c) shall be calculated by using the following formula:

2(c) = (2)(c)(1) + (2)(c)(2) where: (2)(c)(1) represents debt securities where the use of proceeds is known; (2)(c)(2) represents debt securities where the use of proceeds is not known.

For the purposes of point 2(c)(1), credit institutions shall consider the following:

(2)(c)(1)(a) Credit institutions shall consider the total gross carrying amount of exposures to environmentally sustainable bonds issued in accordance with Union legislation. Current bond issuances qualified as green bonds by issuers whose use of proceeds have to be invested in taxonomy-eligible economic activities shall be assessed depending on the level of taxonomy-alignment of economic activities in accordance with Regulation (EU) 2020/852 or of projects funded, based on specific information provided by the issuer for an issuance. Credit institutions shall provide transparency on the kind of economic activity that is being funded. Double counting is not allowed. Where the same green bond can be relevant for two environmental objectives, credit institutions shall allocate it to the most relevant objective.

(2)(c)(1)(b) Credit institutions shall consider the gross carrying amount of debt securities invested in project finance exposures, to the extent that the activities of the project funded are taxonomy-aligned economic activities. The assessment shall be based on specific information provided by the issuer for that issuance. Double counting is not allowed. Where the same specialised lending exposure can be relevant for two environmental objectives, credit institutions shall allocate it to the most relevant objective. Credit institutions shall provide transparency on the type of economic activity that is funded.

For the purposes of point (2)(c)(2), credit institutions shall rely on the turnover KPI and CapEx KPI that the counterparty shall disclose in accordance with Article 2 of this Regulation. The amount of debt securities to non-financial undertakings shall be the sum of the gross carrying amount of the total debt securities with unknown use of proceeds weighted by the proportion of taxonomy-aligned economic activities with a breakdown for transition and enabling activities for each counterparty.

Credit institutions shall calculate the KPIs proposed according to the following formula for this type of exposures:

First step = (2)(b)/(2)(a).

Second step = (2)(c)/(2)(b); credit institutions shall disclose separately the part of the KPI that refers to enabling and transitional activities, when relevant.

GAR DS = (2)(c)/(2)(a) based on turnover KPI; (2)(c)/(2)(a) based on CapEx KPI.

The following aspects of KPIs shall be disclosed:

(a) in terms of stock, based on the total gross carrying amount of debt securities as of the disclosure reference date;

(b) in terms of flow, based on the gross carrying amount of new debt securities during the year prior to the disclosure reference date;

(c) with separate breakdown for enabling and transitional activities, and for specialised lending.

(iii) Green asset ratio for equity holdings of credit institutions in non-financial undertakings (‘GAR EH’)

Credit institutions shall calculate and disclose:

(a) the proportion of equity holdings in non-financial undertakings performing taxonomy-eligible economic activities compared to total equity holdings in non-financial undertakings. The numerator shall cover the gross carrying amount of the equity holdings not held for trading that comprise financial assets at fair value through other comprehensive income and financial assets not held for trading at fair value through profit or loss and investments in subsidiaries, joint ventures and associates, of non-financial undertakings performing taxonomy-eligible economic activities. The denominator shall cover the total gross carrying amount of the equity holdings not held for trading that comprise financial assets at fair value through other comprehensive income and financial assets not held for trading at fair value through profit or loss and investments in subsidiaries, joint ventures and associates, of non-financial undertakings.

(b) the proportion of equity holdings in non-financial undertakings performing taxonomy-aligned economic activities compared to equity holdings in those non-financial undertakings performing taxonomy-eligible economic activities. The numerator equals to the gross carrying amount of the equity holdings not held for trading based on the turnover KPI and CapEx KPI related to taxonomy-aligned economic activities of the non-financial undertaking to which the equity instruments belongs. The denominator shall include the gross carrying amount of the equity holdings not held for trading based on the turnover KPI of the non-financial undertakings performing taxonomy-eligible economic activities.

(c) GAR EH = Proportion of equity holdings in non-financial undertakings financing taxonomy-aligned economic activities compared to total equity holdings in non-financial undertakings. The numerator shall equals to the gross carrying amount of the equity holdings not held for trading weighted by the turnover and CapEx KPI related to taxonomy-aligned economic activities as disclosed by the non-financial undertaking to which the equity instruments belongs. The denominator shall include the total gross carrying amount of the equity holdings not held for trading of non-financial undertakings.

The followings aspects of ratios shall be disclosed:

(a) in terms of stock, based on the total gross carrying amount of equity holdings as of the disclosure reference date;

(b) in terms of flow, based on the gross carrying amount of equity holdings during the year prior to the disclosure reference date;

(c) with separate breakdown for enabling and for transitional activities.

(iv) GAR on total financing in non-financial undertakings (lending plus equity holdings)

The three ratios for each environmental objective shall be disclosed based on turnover KPI and, for debt securities and equity holdings, based on turnover KPI and CapEx KPI of underlying assets at an aggregate level for all financing on-balance sheet instruments, including equity holdings, in non-financial undertakings.

The numerator and denominator of the ratios shall contain the gross carrying amount of loans and advances, debt securities and equity holdings relevant in each case.

1.2.1.2. Green asset ratio for lending activities to and equity holdings of financial undertakings

GAR for lending activities to equity holdings of financial undertakings shall be calculated as a proportion of loans and advances, debt securities and equity holdings of relevant accounting portfolios financing taxonomy-aligned economic activities for each environmental objective, compared to total loans and advances, debt securities and equity holdings of financial undertakings.

This GAR shall contain disclosures for climate change mitigation and climate change adaptation, with a breakdown for enabling activities. For the climate change mitigation, the GAR shall also contain disclosures of transitional activities and adaptation activities. For those activities contributing to the climate change mitigation and adaptation and other environmental objectives, credit institutions shall also provide disclosures of stock and flow.

The numerator of the GAR for financial undertakings shall be calculated based on the counterparties’ KPIs calculated under this Regulation. The amount of loans and advances, debt securities and equity holdings of relevant accounting portfolios to financial undertakings to be considered in the numerator of the ratio shall be the sum of their gross carrying amount, weighted by the proportion of taxonomy-aligned economic activities with breakdown for transition, adaptation and enabling activities for each counterparty.

Where the counterparty is another credit institution, the turnover-based and CapEx based KPIs used shall be the gross carrying amount of debt securities, loans and advances and equity holdings of relevant accounting portfolios weighted by the ‘Total GAR of the counterparty as defined in section’, that is gross carrying amount multiplied by ‘Total GAR’ of the counterparty.

Where the counterparty is an investment firm, the following calculation of the KPI shall apply based on the proportion of the services in the income of the investment firm:

(a) for investment firms dealing on own account in accordance with Section A of Annex I to Directive 2014/65/EU of the European Parliament and of the Council (2), the gross carrying amount of debt securities, loans and advances and equity holdings shall be weighted by the turnover based and CapEx based GAR disclosed by the investment firms, that is the gross carrying amount is multiplied by ‘the value of assets invested (debt securities, equity instruments, cash equivalents and derivatives) in taxonomy-aligned economic activities as a proportion of the value of total assets invested’.

(b) for investment firms other than dealing on own account in accordance with Section A of Annex I to Directive 2014/65/EU, the gross carrying amount of debt securities, loans and advances and equity holdings shall be weighted by the turnover based and CapEx based KPI on revenues, that is fees, commissions and other monetary benefits, disclosed by the investment firms, that is gross carrying amount is multiplied by ‘fees, commissions and other monetary benefits from services and activities into taxonomy-aligned economic activities as a proportion of the total fees, commission income and other monetary benefits from all services and activities’.

Where the counterparty is asset manager, the turnover based and CapEx based KPIs shall be the gross carrying amount of debt securities, loans and advances and equity holdings weighted by the ratio of the counterparty’s investments that are in taxonomy-aligned economic activities, as specified in Annex III and IV to this Regulation, that is the gross carrying amount is multiplied by the asset manager’s ratio of total investments.

In the case of investees that are insurance or reinsurance undertakings, the benchmark shall be investments, gross premiums written or, as applicable, total insurance revenue, as resulting from the calculation either of the turnover-based and CapEx based investment KPI or of the underwriting KPI of the investee in accordance with Annexes XI and X to this Regulation.

The denominator shall be the total gross carrying amount of loans and advances, debt securities and equity holdings of relevant accounting portfolios in financial undertakings.

1.2.1.3. Green asset ratio for retail exposures

GAR for retail exposures to residential real estate or house renovation loans shall be calculated as a proportion of loans to households collateralised by residential immovable property or granted for house renovation purposes that is taxonomy-aligned in accordance with the technical screening criteria for buildings, namely renovation and acquisition and ownership in accordance with points 7.2, 7.3, 7.4, 7.5, 7.6, and 7.7 respectively, of Annex I to Climate Delegated Act, compared to total loans to households collateralised by residential immovable property or granted for house renovation purposes. This GAR shall include disclosures of transitional activities, and disclosures of stock and flow. This GAR shall apply only to investments relevant for climate change mitigation.

GAR for retail exposures to credit consumption loans for car loans shall be calculated as the proportion of loans financing cars complying with the technical screening criteria as laid down in Section 6.5 of Annex I to Climate Delegated Act. This GAR shall include disclosures of transitional activities, and disclosures of stock of loans only for loans granted after [the date of application of this Regulation] and flow of loans. This GAR shall apply only to investments relevant for climate change mitigation.

KPIs on retail exposures financing taxonomy-aligned economic activities shall only apply for the objective of climate change mitigation.

(i) Residential real estate lending

Credit institutions’ KPI disclosure shall cover the retail lending portfolio, in particular the mortgage lending portfolio. This KPI shall be disclosed by taking into account compliance with the technical screening criteria for buildings as laid down in Sections 7.2, 7.3, 7.4, 7.5, 7.6 and 7.7 of Annex I to Climate Delegated Act.

Credit institutions shall disclose the KPI for their residential real estate lending portfolio as a proportion of loans to households collateralised by residential immovable property contributing to the environmental objective of climate change mitigation as laid down Sections 7.2, 7.3, 7.4, 7.5, 7.6 and 7.7 of Annex I to Climate Delegated Act, compared to total loans to households collateralised by residential immovable property.

Credit institutions shall disclose information for the stock of loans as of the disclosure reference date, and information on the flows of new lending during the disclosure period.

The numerator of the ratio shall include the gross carrying amount of residential real estate loans compliant with the technical screening criteria in Section 7.7 of Annex I to Climate Delegated Act.

In the numerator of the ratio credit institutions shall also consider those loans granted for the renovation of a building or of a house in accordance with the technical screening criteria for buildings in accordance with Section 7.2, 7.3, 7.4, 7.5 and 7.6 of Annex I to Climate Delegated Act.

The denominator shall include the total gross carrying amount of loans to households collateralised by residential property plus the total gross carrying amount of house renovation loans to households, avoiding double counting of loans in case that the latter are collateralised loans.

(ii) Retail – Credits consumptions loans for cars

Credit institutions shall disclose a KPI for loans granted to households for the acquisition of a motor vehicle (car loans). A KPI shall be the proportion of loans associated with cars complying with the technical screening criteria in accordance with Section 6.5 of Annex I to Climate Delegated Act.

Credit institutions shall consider those car loans granted from the date of application of the disclosure requirements, both for the KPI on stock and on new loans. Update on the stock of loans granted before the application date shall not be considered.

1.2.1.4. GAR for loans and advances financing public housing and other specialised lending to public authorities

Where credit institutions have a business model based to a great extent on financing public housing, they shall disclose a KPI concerning the proportion of compliance with the technical screening criteria in accordance with Section 7.7 of Annex I to Climate Delegated Act of buildings whose purchase the credit institution is financing. This GAR shall be estimated and disclosed by the credit institution as a proportion of loans to municipalities financing public housing compliant with the technical screening criteria in accordance with Section 7.7 of Annex I to Climate Delegated Act compared to total loans to municipalities financing public housing. The credit institution shall include disclosures of stock and flow.

The methodology for the computation of the numerator and denominator shall be the same as the methodology for residential real estate lending.

For the financing of other activities and assets than public housing, credit institutions shall consider the gross carrying amount of the project finance exposures to the public authority to the extent and proportion that the project funded finances a Taxonomy-aligned economic activity. The assessment of whether that requirement has been complied with shall be based on information provided by the public authority on the project or activities to which the proceeds will be applied. Credit institutions shall provide information on the type of economic activity that is funded. Double counting shall not be allowed. Where the same specialised lending exposure is relevant for two environmental objectives, credit institutions shall allocate it to the most relevant objective.

1.2.1.5. Other on-balance sheet exposures – Repossessed real estate collaterals

Credit institutions shall disclose the KPI for the proportion of compliance with the technical screening criteria in Section 7.7 of Annex I to Climate Delegated Act of their commercial and residential repossessed real estate collateral held-for-sale portfolio for the environmental objective of climate change mitigation as a proportion of commercial and residential repossessed real estate collateral complying with the technical screening criteria in Section 7.7 of Annex I to Climate Delegated Act, compared to total commercial and residential repossessed real estate collateral.

Credit institutions shall disclose information for the stock of loans as of the disclosure reference date, and information on the flows of new assets during the disclosure period.

The numerator of the ratio shall include the gross carrying amount of commercial and residential repossessed real estate collaterals compliant with the technical screening criteria for buildings in Section 7.7 of Annex I to Climate Delegated Act.

The denominator shall include the total gross carrying amount of held-for-sale commercial and residential real estate collaterals repossessed by the credit institution.

Credit institutions shall disclose information for the stock of loans as of the disclosure reference date, and information on the flows of new lending during the disclosure period.

1.2.1.6. Total GAR

Credit institutions shall disclose information on the Total GAR. This shall reflect the cumulative value of the exposure-based KPIs, by including in the denominator the total on-balance assets without exposures referred to in Article 7(1) and by adding in the total numerator the numerators of environmentally sustainable exposures of the exposure-based KPIs:

(a) total GAR for financing activities directed at financial undertakings, for all the environmental objectives.

(b) total GAR for financing activities directed at non-financial undertakings, for all the environmental objectives.

(c) GAR for residential real estate exposures, including house renovation loans, for the objective of climate change mitigation.

(d) GAR for retail car loans, for the objective of climate change mitigation.

(e) GAR for loans to local governments for house financing and other specialised lending.

(f) GAR for commercial and residential repossessed real estate collateral held for sale.

Together with the total GAR, credit institutions shall disclose the percentage of assets that are excluded from the numerator of the GAR in accordance with Article 7(2) and (3) and Section 1.1.2 of this Annex.

1.2.2. KPIs for off-balance sheet exposures

Credit institutions shall disclose a complementary ratio on the level of association with Taxonomy-aligned economic activities of off-balance sheet exposures that credit institutions manage and channel or contribute to channel capital flows towards economic activities whose environmental sustainability can be assessed in accordance with Regulation (EU) 2020/852:

(a) financial guarantees backing loans and advances and other debt instruments towards undertakings; and

(b) assets under management.

1.2.2.1. Green ratio for financial guarantees to financial and non-financial undertakings (FinGuar KPI)

The green ratio for financial guarantees to undertakings shall be defined as a proportion of financial guarantees supporting debt instruments financing Taxonomy-aligned economic activities compared to all financial guarantees supporting debt securities to undertakings. This shall include disclosures of stock and flow. For climate change mitigation, this shall also include disclosures of which are enabling and transitional activities. For climate change adaptation, this shall include disclosures of which are enabling and adaptation activities.

The methodology for the computation of the KPI on financial guarantees shall be the same as the methodology specified for the KPIs on loans and advances and/or debt securities towards undertakings, but applied to the underlying loans and advances/debt securities that the credit institution supports.

1.2.2.2. Green ratio for assets under management (AuM KPI)

The green ratio for assets under management shall be the proportion of assets under management (equity and debt instruments) from undertakings financing Taxonomy-aligned economic activities, compared to total assets under management (equity and debt instruments). This shall include disclosures of stock and flow. For climate change mitigation, this shall also include disclosures of which are enabling and transitional activities. For climate change adaptation, this shall include disclosures of which are enabling and adaptation activities.

The methodology for the computation of the AuM KPI shall be the same as the methodology for asset managers in accordance with Annex III of this Regulation.

1.2.3. KPIs on services other than lending – Fees and Commissions (F&C KPI)

The KPI for fees and commission income linked to services associated with Taxonomy-aligned economic activities of undertakings, shall be defined as a proportion of the credit institution’s fees and commission income from undertakings, derived from products or services other than lending associated with Taxonomy-aligned economic activities, compared to the total fees and commission income from undertakings from products or services other than lending.

Credit institutions shall disclose the fees and commission income linked to services provided other than lending and asset management, including the following services (as reported by institutions in accordance with template 22.1 ‘Fee and commission income and expenses by activity’ set out in Implementing Regulation (EU) No 680/2014):

(a) issuance or other services related to third party securities;

(b) reception, transmission and execution on behalf of customers of orders to buy or sell securities;

(c) merger and acquisition undertakings advisory services;

(d) undertakings finance services related to capital market advisory for undertakings clients or other;

(e) private banking related fees;

(f) clearing and settlement services;

(g) custody and other related services;

(h) payment services;

(i) fee and commission income for distribution of products issued by entities outside the prudential group to its current customers;

(j) loan servicing activities;

(k) foreign exchange services and international transactions.

The numerator of the KPI shall include the fees and commissions income as specified in Implementing Regulation (EU) No 680/2014, Annex V, paragraph 284 from services other than lending and asset management provided to undertakings, associated with Taxonomy-aligned economic activities. This shall be estimated by weighting the fees and commission income from each counterparty with the proportion of turnover and CapEx associated with Taxonomy-aligned economic activities of the undertaking contributing to the relevant environmental objective as disclosed by the undertaking in accordance with Article 8 of Regulation (EU) 2020/852. For financial undertakings, the ratio for the counterparty to be applied shall be the same as for the KPIs for these undertakings.

The denominator shall be the total amount of fees and commission income from undertakings from products or services other than lending and asset management.

1.2.4. Other disclosures in the GAR: GAR for the trading portfolio

The trading portfolio shall be excluded from the denominator and coverage of the total GAR.

Credit institutions shall provide explanations on the investment policy regarding their trading portfolio, overall composition, and on any trend in terms of predominant sectors and their association with Taxonomy-aligned economic activities. They shall also explain potential limits in terms of climate and environmental risks in terms of the level of association with Taxonomy-aligned economic activities and how they manage the environmental risks that may impact the value of the portfolio.

Where a trading portfolio plays an important role in the business model of the credit institution, in particular where credit institutions do not meet the conditions set out in Article 94(1) of Regulation (EU) No 575/2013 or the conditions set out in Article 325a(1) of that Regulation, credit institutions shall disclose quantitative information and KPIs that show to what extent the institution is trading with environmentally sustainable assets and to what extent it is contributing to promoting the trading of this type of assets.

Credit institutions shall disclose the following information:

(a) total trading during the disclosure period in Taxonomy-aligned instruments, including absolute purchases plus absolute sales of environmentally sustainable securities;

(b) total trading during the disclosure period of securities, including total absolute purchases plus total absolute sales of securities.

Absolute purchases plus absolute sales of environmentally sustainable securities shall be included in the numerator of the specific GAR for the trading Portfolio of the credit institution. Total absolute purchases plus total absolute sales of securities shall be included in the denominator of the GAR for the trading Portfolio.

The part of the GAR numerator for trading portfolio shall be estimated by weighting the gross carrying amount of debt securities and equity instruments purchased and/or sold from each counterparty with the proportion of turnover and CapEx associated with Taxonomy-aligned economic activities of the undertaking contributing to the relevant environmental objective as disclosed by that undertaking in accordance with Article 8 of Regulation (EU) 2020/852 and this Regulation. For financial undertakings, the ratio for the counterparty to be applied shall be the same as for the relevant KPIs for these counterparties.

(1) Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 191, 28.6.2014, p. 1).

(2) Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Directive 2002/92/EC and Directive 2011/61/EU (OJ L 173, 12.6.2014, p. 349).