Pillar 3 Disclosures CaixaBank Group Corresponding to 31 December 2020 The Pillar 3 Report is originally published and prepared in Spanish. This English version is a translation of the Spanish report for infor- mational purposes only. In case of discrepancy, the original version 1 in Spanish will prevail. Pillar 3 2020 Disclosures On 17 September 2020, the Boards of Directors of CaixaBank, S.A. (Caixa- representing its share capital, and the FROB will have (through BFA Tene- The content and data Bank) and Bankia, S.A. (Bankia) agreed to approve and conclude the draft dora de Acciones, S.A.) a significant stake in CaixaBank of around 16%. merger by absorption of Bankia, S.A. by CaixaBank, with an exchange ratio of this report refer to of 0.6845 CaixaBank shares for each Bankia share. The exchange will be On 18 February 2021, the Board of Directors of CaixaBank proposed a new covered by newly issued CaixaBank shares1. Management Committee. This proposal will be submitted to the Board 31 December 2020 resulting from the merger with Bankia4. and do not reflect any The draft merger was approved at the Extraordinary General Shareholders’ Meetings of CaixaBank and Bankia, which were held at the beginning of On 26 March 2021, CaixaBank registered in the Mercantile Register of Va- organisational changes December 2020. The appointment of new directors post-merger was also lencia the notarial deed of the merger between CaixaBank and Bankia, resulting from the approved by the General Shareholders’ Meeting of CaixaBank2. which led to the takeover of Bankia by CaixaBank and the subsequent dissolution of the former. The operational integration between the two en- merger As a result of this operation: tities is expected to be executed before the end of 20215. • It is estimated to generate annual cost synergies of around EUR 770 The content and data of this report refer to 31 December 2020 and do not million and new annual revenues of around EUR 290 million before reflect any organisational changes resulting from the merger. tax. • The solvency targets of the bank establish a buffer of between 250 and 300 basis points above the SREP regulatory requirement and a CET1 ratio (not considering IFRS9 transitional adjustments) of be- tween 11.0% and 11.5%. This CET1 ratio (excluding transitory impacts of IFRS9) at 31 December 2020 pro-forma, including expected impacts of integration and regulatory aspects for the coming quarters would be above the upper limit of the target range (i.e. above 11.5%), with a buffer of over 305 basis points above the SREP3 requirement. With the execution of the merger, the stake in CaixaBank of Criteria Caixa, S.A.U. (and, indirectly, of the Fundación Bancaria Caja de Ahorros y Pen- siones de Barcelona “la Caixa”) would remain around 30% of the shares 1 See inside information published on 18 September 2020 “CaixaBank informs that its Board of Directors agreed to approve and conclude the draft merger by absorption of Bankia, S.A.” at https://www.caixabank.com/aplnr/informacioncaixabank/index_en.html?fecha=2020&t=5 2 See Other Relevant Information published on 3 December 2020 “CaixaBank communicates the approval of all items on the Agenda of the Call for the Extraordinary General Shareholders’ Meeting” at https://www.caixabank.com/aplnr/informacioncaixabank/index_en.html?fecha=2020&t=6 3 8.45% SREP requirement, assuming P2R equivalent to the P2R weighted average of CABK and Bankia (considering the benefit of Article 104a of CRR II) and a systemic buffer 0.50%. 4 See Other Relevant Information published on 18 February 2021 at https://www.caixabank.com/aplnr/informacioncaixabank/index_en.html?t=6 5 See Other Relevant Information published on 26 March 2021 at https://www.caixabank.com/aplnr/informacioncaixabank/index_en.html?t=6 1 Pillar 3 2020 Disclosures p. 4 0. p. 9 1. p. 11 2. p. 21 3. p. 49 4. p. 65 5. p. 177 6. p. 181 7. Declaration of CaixaBank CaixaBank Group Risk governance, Capital Credit risk and Actuarial risk Market Group Pillar 3 the Board of 2.1. Regulatory environment organisation and 4.1. Capital management impairment risk Directors management 5.1. Credit risk 6.1. Structure and organisation 7.1. Market risk 2.2. Scope 4.2. SREP and capital of the risk management management Governance and buffers 3.1. 5.1.1. Credit investment and fixed 2.3. Other general function organisation 7.2. Minimum capital information 4.3. Regulatory capital income 6.2. Risk management. requirements for 3.2. Strategic risk 4.4. Stress test 5.1.2. Counterparty risk Measurement and market risk 2.4. Description of the management processes consolidated group for 5.1.3. information systems 4.5. Economic capital Securitisations 7.3. Quantitative aspects regulatory purposes 3.3. Risk culture 6.3. Reporting 4.6. Recovery and 5.2. Risk of impairment of other 2.5. Accounting reconciliation 3.4. Internal control framework Resolution Plans assets 6.4. Hedging policies and between the financial mitigation techniques statements and regulatory 5.2.1. Equity portfolio statements 5.2.2. Risk of impairment of other assets p. 195 8. p. 209 9. p. 211 10. p. 223 11. p. 231 12. p. 233 13. p. 251 A. Operational Business return Liquidity Structural risk Reputational risk Remuneration Appendix risk risk risk 13.1. Remuneration Policy: A.I. Information on own funds composition and mandate 8.1. Operational risk 10.1. Liquidity risk 11.1. Management of interest of the remuneration A.II. IFRS 9-FL template: Comparison of instutition’s own management management rate risk in the banking committee funds and capital and leverage ratios with and without book the application of the transitional provisions of IFRS 9 8.2. Minimum capital 10.2. Quantitative aspects 13.2.Description of the Identified or similar ECL requirements 11.2. Management of exchange Staff rate risk in the banking A.III. Main features of Capital Instruments 8.3. Operational risk book 13.3.Qualitative information management mechanisms concerning remuneration A.IV. Information on leverage ratio 8.4. Connection with the Risk of the Identified Staff A.V. Holdings subject to regulatory limits for deduction Taxonomy 13.4.Quantitative information purposes 8.4.1. Conduct risk concerning remuneration A.VI. EU LI3 - Companies with differing prudential and of the Identified Staff accounting consolidation treatment 8.4.2. Legal and regulatory risk A.VII. Acronyms 8.4.3. IT risk A.VIII. EBA Guide tables 8.4.4. Financial information reliability risk A.IX. Map Part Eight Regulation (EU) No 575/2013 8.4.5. Model risk 8.4.6. Other operational risks 2 Pillar 3 2020 Disclosures Declaration of the Board of Directors 3 Pillar 3 2020 Disclosures Declaration of the Board of Directors On 28 May 2020, the Board of Directors of • This Pillar 3 Disclosures document has been With regard to the Pillar 3 Disclosures of 2020, CaixaBank approved the update of the Corpo- prepared in accordance with the Corpo- the Board of Directors declares that: rate policy on financial information reliabil- rate policy on financial information re- ity risk, which sets out the governance of infor- liability risk, approved by the Board on 28 mation that CaixaBank Group (hereinafter “the May 2020. Group”) discloses to the market. The Group maintains • The disclosures published are truthful a medium-low risk This policy stipulates that this document on Pillar and accurately reflect the Group’s risk pro- 3 Disclosures will be subject to the same degree file. profile, withsolvency, of verification as the management report. This leverage and liquidity is in accordance with the EBA guidelines of 4 • The risk management systems implement- August 2017 on disclosure requirements, pursu- ed by the Group are deemed appropriate levels consistent with ant to part eight of the CRR1, articles 431(1) and in relation to the approved risk appetite. 434(1). the business model and The departments comprising the second line risk appetite outlined by At its meeting on 30 March 2021, the Board of of defence3 have participated in the review and Directors approved this Pillar 3 Disclosures doc- verification of the information presented in this the Board of Directors of ument for the 2020 financial year (hereinafter, report, as well as in ensuring that this informa- CaixaBank 2020 P3D), having been previously verified by tion complies with the control and/or verification the Audit and Control Committee, in response procedures established in the Corporate policy to the provisions of article 435(1)(e)(f) of the CRR. on financial information reliability risk. The risk management systems implemented are The Board of Directors, in its supervisory duty2 appropriate for the approved risk profile and risk with regard to the Group’s disclosure process Prior to the approval of this Declaration by the appetite and comprise the following elements: and its risk profile,states that: Governing Bodies of CaixaBank, Internal Audit, as a third line of defence, has reviewed the con- tent of the 2020 P3D and its compliance with the regulatory requirements, as well as the control structures that have been implemented. 1 Section 3. Governance, organisation and risk management and the successive risk sections provide more details on risk management policies and objectives. 2 For further details of the functions and responsibilities of the Board of Directors, see the Regulations of the Board of Directors of CaixaBank: https://www.caixabank.com/en/shareholders-investors/corporate-governance/regulation-board-directors.html, especially articles 4 and 36. 3 Generally speaking, the second line of defence includes the Risk Management function and the Compliance function, as established in the EBA’s Guidelines on Internal Governance of 26 September 2017.