Allfunds : Pillar III Disclosures Report 2023

EXECUTIVE SUMMARY	3
1.	General Overview	10
2.	Global Risk Management and Control	30
3.	Capital	56
4.	Credit Risk and Counterparty Credit Risk	70
5.	Market Risk	85
6.	Operational Risk	88
7.	ICT Risk	97
8.	Structural Interest Rate Risk	102
9.	Liquidity and Funding Risk	108
10.	Other Risks	122
11.	Remuneration Policy	134
ANNEX 1. Profile of Allfunds Bank's Directors	152
ANNEX 2. List of Tables and Figures	157
ANNEX 3. Acronyms	160
ANNEX 4. CRR Mapping	162

2

Executive Summary

Our

Corporate

Structure

Our

Business

Model

This report provides information on the Allfunds Group's market strategy, risk control, internal organization, and the financial situation regarding the minimum capital requirements under solvency regulation, including the AFB Banking Group, that is to say Allfunds Bank S.A.U. and each of its subsidiaries, together with Liberty Partners, S.L.U., which is the EU parent financial holding company of the AFB Banking Group.

We are one of the world's leading B2B WealthTech companies.

With around EUR 1.4 trillion, we connect Fund Houses and Distributors to match supply and demand for asset management products, offering one of the largest variety of funds globally, across active and passive strategies. These include equity funds, fixed income funds, multi-asset funds, alternative funds and also ETFs.

Our business model mainly focuses on providing investment services and banking services related to the access and distribution of investment funds to different financial service providers in an open architecture environment.

At Allfunds we establish connections between financial institutions along the complete fund distribution value chain. We provide digital solutions to Fund Houses and Distributors -solutions that are designed to streamline, enhance efficiency and foster collaboration.

Our goal is to evolve into the most comprehensive one-stop shop for all our partners, striving to provide them with a full range of functionalities that address their needs. These include dealing services to facilitate transactions, technology solutions to drive innovation and tools to enhance productivity. All in a single ecosystem to provide a smooth experience.

Our evolving ecosystem covers the entire fund distribution value chain and investment cycle, making it the only fully integrated one- stop shop in the industry.

3

We believe that by providing a comprehensive suite of services and tools, we can empower our clients to navigate the fund distribution landscape and succeed in this dynamic industry. It is our commitment to continuous improvement and innovation for our clients that ensures we stay at the forefront of the industry.

Allfunds believes that it has a simple and attractive business model.

A. Distributors benefit from a buy-free model of core services related to trading, dealing, custody, settlement and administration while paying for other value-added services.

1. Fund Houses benefit from an attractive value-for-money proposition in which they pay a fee to Allfunds for the intermediated and distributed AuA plus other value-added services.

4

Our Results

Our

Risk

Profile

Fund Houses and Distributors gain access to industry leading functionality through Allfunds Connect. Through different application programming interfaces, Allfunds Connect is able to develop bespoke solutions that are fully integrated into Fund Houses' and Distributors' IT systems, providing them with an end-to-end solution to suit their needs.

The AFB Banking Group 2023 results stand as follows:

We follow a risk management framework based on the three lines of defence model.

This framework is designed to ensure effective and independent oversight of the Group's activities.

We are not exposed to high-risk assets.

The Group wishes to maintain a low risk profile through remaining in the distribution activity, avoiding incorporating proprietary positions in financial assets into the balance sheet that might generate risks that the Group is not willing to assume.

We do not participate in active lending.

The Group does not carry out the normal activity of a commercial bank in the sense that loans are not granted, and do not need external funding to support our business activity. Our clients may open cash accounts for settlement purposes in relation to their operative in mutual funds in a more efficient and transparent way.

Given Allfunds' business activity, we dedicate strong attention to the management of operational risk and technology risk.

The Group carries out ongoing risk management activities to provide all areas with adequate resources for an optimal risk control with a special focus on risk management and mitigation mechanisms for operational and technology risks.

5

Our

Solvency

Position

We keep strong solvency levels, comfortably above applicable regulatory requirements.

As of 31 December 2023, the Group had to comply with Overall Capital Requirements (OCR) of 18.13%. The AFB Banking Group's CET1 ratio stood at 22.44%, comfortably above the levels required by regulations and above its risk appetite.

The CET1 ratio as of end-2023 remained at high levels thanks to a strong increase in own funds that have counterbalanced the increase in RWA derived from the business growth.

Figure 1. Capital distribution constraints and qualifying own funds (EUR thousand)

The change in CET1 ratio in 2023 is mainly explained by two factors:

CET1 increased thanks to the application of lower deductions from intangible assets generated in previous years, as acquisitions of new entities have been designed to be neutral in terms of solvency (capital increase is neutral due to the increase in goodwill deductions), and RWA slightly increased due to higher operational risk capital requirement and higher credit risk exposures.

Figure 2. CET1 ratio evolution

6

Our

Liquidity

Position

Minimal adjustments in capital requirements for Pillar I risks.

Slight increase in Pillar I RWA in absolute terms due to Operational risk, after the update of the Basic Indicator with the Gross Margin of 2023. Nevertheless, in relative terms figures remain similar to the previous year with Credit Risk and Operational Risk as the main contributors to Pillar I RWA. Market risk remained at low levels.

Figure 3. Distribution of capital requirements

We have a comfortable liquidity position that is sustained over time.

The liquidity metrics of the Group as of 31 December 2023 remained comfortably above the minimum requirements (LCR 750.42% and NSFR 128.10%). These high levels in the ratios are explained by a strong liquidity buffer composed of high-quality liquid assets that consist of reserves in EU central banks, EU-public debt denominated in euros, and investments in UCIs (Undertakings for the Collective Investment) composed of high credit quality money market financial assets.

Figure 4. Liquidity ratios evolution

1000% 904.69%

800%

600%

400%

750.42%

Dec. 22

Dec. 23

200%

122.10%

128.10%

0%

LCRNSFR

Our main source of funding comes from our own funds.

The Bank does not apply active policies to attract deposits from the public. The funding received is purely linked to our clients' trading activity. Funding is only allocated to highly liquid investments, mainly

7

Our

Key

Indicators

current accounts in credit institutions; interbank deposits that can be cancelled at any time at the request of Allfunds, and other investments that allow total liquidity (immediate or up to 72 hours).

The main key indicators of Allfunds Banking Group show a strong financial position.

Table 1. KM1 - Key Metrics (EUR thousand)

	31-12-202330-09-202330-06-202331-03-2023	31-12-2022
Available own funds (amounts)
Common Equity Tier 1 (CET1) capital	485,627	504,974	489,289	471,308	444,623
Tier 1 capital	485,627	504,974	489,289	471,308	444,623
Total capital	485,627	504,974	489,289	471,308	444,623
Risk-weighted exposure amounts
Total risk-weighted exposure amount	2,163,635	1,910,034	1,930,259	2,036,290	1,941,483
Capital ratios (as a percentage of risk-weighted exposure amount)
Common Equity Tier 1 ratio (%)	22.44%	26.44%	25.35%	23.15%	22.90%
Tier 1 ratio (%)	22.44%	26.44%	25.35%	23.15%	22.90%
Total capital ratio (%)	22.44%	26.44%	25.35%	23.15%	22.90%
Additional own funds requirements based on SREP (as a percentage of risk-weighted exposure amount)
Additional own funds requirements to address
risks other than the risk of excessive leverage	7.00%	7.00%	7.00%	7.00%	7.00%
(%)
of which: to be made up of CET1 capital	3.94%	3.94%	3.94%	3.94%	3.94%
of which: to be made up of Tier 1 capital	5.25%	5.25%	5.25%	5.25%	5.25%
Total SREP own funds requirements (%)	15.00%	15.00%	15.00%	15.00%	15.00%
Combined buffer requirement (as a percentage of risk-weighted exposure amount)
Capital conservation buffer (%)	2.50%	2.50%	2.50%	2.50%	2.50%
Conservation buffer due to macro-prudential or
systemic risk identified at the level of a	-	-	-	-	-
Member State (%)
Institution specific countercyclical capital	0.63%	0.62%	0.51%	0.43%	0.42%
buffer (%)
Systemic risk buffer (%)	-	-	-	-	-
Global Systemically Important Institution buffer
(%)
Other Systemically Important Institution buffer	-	-	-	-	-
Combined buffer requirement (%)	3.13%	3.12%	3.01%	2.93%	2.92%
Overall capital requirements (%)	18.13%	18.12%	18.01%	17.93%	1.,92%
CET1 available after meeting the total SREP	7.44%	11.44%	9.81%	8.15%	7.90%
own funds requirements (%)

8

Leverage ratio
Leverage ratio total exposure measure	3,162,379	3,299,649	3,762,788	3,023,408	2,861,204
Leverage ratio	15.36%	15.30%	13.00%	15.59%	15.54%

Additional own funds requirements to address risks of excessive leverage (as a percentage of leverage ratio total exposure amount)

Additional own funds requirements to address	-	-	-	-	-
the risk of excessive leverage (%)
of which: to be made up of CET1 capital	-	-	-	-	-
(percentage points)
Total SREP leverage ratio requirements (%)	3.00%	3.00%	3.00%	3.00%	3.00%
Leverage ratio buffer requirement (%)	-	-	-	-	-
Overall leverage ratio requirements (%)	3.00%	3.00%	3.00%	3.00%	3.00%
Liquidity Coverage Ratio
Total high-quality liquid assets (HQLA)	1,349,761	1,428,279	1,841,320	1,141,627	1,349,761
(Weighted value -average)
Cash outflows - Total weighted value	518,619	533,840	659,605	455,293	421,411
Cash inflows - Total weighted value	338,752	293,854	427,643	576,252	457,985
Total net cash outflows (adjusted value)	179,867	239,986	231,962	113,823	105,353
Liquidity coverage ratio (%)	750.42%	595.15%	793.80%	1002.98%	904.69%
Net Stable Funding Ratio
Total available stable funding	4,235,509	4,138,800	4,388,194	3,826,739	3,933,323
Total required stable funding	3,306,419	3,181,358	3,226,242	3,221,649	3,221,480
NSFR ratio (%)	128.10%	130.10%	136.02%	118.78%	122.10%

9