Template 1 - exposures towards companies excluded from EU Paris-aligned Benchmarks

In column b of Template 1 in Annex XXXIX of Regulation (EU) 2021/637, following the instructions provided for Template 1 in Annex XL of the same Regulation, institutions should disclose the gross carrying amount of those exposures to the direct counterparties or specific obligor that are excluded from the PAB, i.e., at entity level. If the direct counterparty or obligor is not an institutional unit (independent legal entity), then the disclosure should be done at consolidated group level. In Example 1, if the counterparty is a subsidiary which is an institutional unit (i.e., an economic entity characterised by decision-making autonomy in the exercise of its principal function), the exclusion criteria is applied at entity level. Since the subsidiary is not excluded from PAB, then the exposure towards to this subsidiary is not excluded from PAB. If the subsidiary is not an institutional unit and cannot act independently of its parent, is treated as part of the parent and the exposure is excluded from PAB. In Example 2, similar to Example 1, the exclusion is considered at entity level and the exposure towards subsidiary Z is considered excluded from PAB.