Banca Generali S p A : Pillar III - Situation at 31st December 2020

PILLAR 3

DISCLOSURES

PILLAR 3

DISCLOSURES

Situation at 31.12.2020

This document has been translated from that issued in Italy, from the Italian into the English language, solely for the convenience of international readers. The Italian version remains the definitive version.

BANCA GENERALI S.P.A.

Contents

Key regulatory indicators	4
Foreword	5
1.	Risk Management Objectives and Policies	7
2.	Scope of application	21
3.	Own funds	22
	3.1 Common Equity Tier 1 - CET1	22
	3.2 Additional Tier 1 capital (AT1)	23
	3.3 Tier 2 capital (T2)	23
4.	Capital requirements	28
5.	Credit risk: General Information	31
6.	Credit risk: use of ECAIS	50
7.	Credit risk mitigation techniques	52
8.	Counterparty risk	56
9.	Securitisation	58
10.	Operating risk	59
11.	Capital instrument exposures not included in the trading book	61
12.	Exposure to interest rate risk on positions not included in the trading book	65
13.	Encumbered and unencumbered assets	66
14.	Leverage	68
15.	Remuneration policies	72
Declaration of the manager in charge of preparing the company's financial reports	73
Annex 1 - Own funds: Terms and conditions of Tier 1 and Tier 2 capital instruments	74
Annex 2 - Own funds: transitional own funds disclosure template	77
Annex 3 - Own funds: Overall reconciliation of CET1, Tier 2 elements, as well as filters
	and deductions applied to own funds and the corresponding balance sheet items	82

PILLAR 3 - DISCLOSURES		3