Pillar 3 additional disclosures - 2023

Capital adequacy

3

1. Composition of regulatory own funds (EU CC1)

3

2. Reconciliation of regulatory own funds to balance sheet in the audited financial statements (EU CC2)

5

3. Key metrics template (EU KM1)

6

4. Summary reconciliation of accounting assets and leverage ratio exposures (EU LR1 - LRSum)

7

5. Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures) (EU LR3

- LRSpl)

8

 Credit risk

 9

6. Performing and non-performing exposures and related provisions (EU CR1)

9

7. CRM techniques overview -  Disclosure of the use of credit risk mitigation techniques (EU CR3)

11

8. Standardised approach – Credit risk exposure and CRM effects (EU CR4)

12

9. Standardised approach – Exposures by asset classes and risk weights (EU CR5)

13

10. IRB approach – Disclosure of the extent of the use of CRM techniques (EU CR7-A)

14

11.    RWEA flow statements of credit risk exposures under the IRB approach (EU CR8)

12.    Credit quality of performing and non-performing exposures by past due days (EU CQ3)       

13.    Collateral obtained by taking possession and execution processes (EU CQ7)

16

17  

19

14. Geographical distribution of credit exposures relevant for the calculation of the countercyclical buffer

(EU CCyB1)

20

 Counterparty credit risk15. Amount of institution -specific countercyclical capital buffer (EU CCyB2)

 2122 

16. Standardised approach – CCR exposures by regulatory exposure class and risk weights (EU CCR3)

22

17. RWEA flow statements of CCR exposures under the IMM (EU CCR7)

23

 Market Risk

 24

18. RWEA flow statements of market risk exposures under the IMA (EU MR2-B)

24

 Liquidity risk  

 25

19. Quantitative information of LCR (EU LIQ1)

25

20. Net Stable Funding Ratio (EU LIQ2)

26

21. Maturity of exposures (EU CR1-A)

27

In millions of euros

31 December 2023

31 December 2022

Common Equity Tier 1 (CET1) capital:  instruments and reserves          

Capital instruments and the related share premium accounts

11,905

                         11,905

of which: Instrument type 1

11,905

                         11,905

Retained earnings 

12,473

                        12,491

Accumulated other comprehensive income (and other reserves)

(2,692)

                        (2,654)

Minority interests (amount allowed in consolidated CET1)

1,760

                          1,651

Common Equity Tier 1 (CET1) capital before regulatory adjustments

23,445

                        23,393

Common Equity Tier 1 (CET1) capital: regulatory adjustments 

Additional value adjustments (negative amount)

(58)

                             (67)

Intangible assets (net of related tax liability) (negative amount)

(1,927)

                        (1,863)

Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability where the conditions in Article 38 (3) CRR are met) (negative amount)

(39)

                             (79)

Fair value reserves related to gains or losses on cash flow hedges of financial instruments that are not valued at fair value

(29)

                             (32)

Negative amounts resulting from the calculation of expected loss amounts 

(246)

                           (136)

Gains or losses on liabilities valued at fair value resulting from changes in own credit standing

(14)

                               (5)

Defined-benefit pension fund assets (negative amount)

(6)

                             (16)

Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount)

-

                                  -

Other regulatory adjustments

(164)

                           (111)

Total regulatory adjustments to Common Equity Tier 1 (CET1)

(2,498)

                        (2,309)

Common Equity Tier 1 (CET1) capital 

20,947

                        21,084

Additional Tier 1 (AT1) capital: instruments

Capital instruments and the related share premium accounts

500

                             500

of which: classified as equity under applicable accounting standards

-

                                  -

of which: classified as liabilities under applicable accounting standards

500

                             500

Amount of qualifying items referred to in Article 484 (4) CRR and the related share premium accounts subject to phase out from AT1

-

                                  -

Qualifying Tier 1 capital included in consolidated AT1 capital (including minority interests not included in row 5) issued by subsidiaries and held by third parties 

268

                             236

Additional Tier 1 (AT1) capital before regulatory adjustments

768

                             736

Additional Tier 1 (AT1) capital 

768

                             736

Tier 1 capital (T1 = CET1 + AT1)

21,715

                        21,820

Tier 2 (T2) capital: instruments

Capital instruments and the related share premium accounts

1,000

                          1,000

Amount of qualifying  items referred to in Article 484(5) CRR and the related share premium accounts subject to phase out from T2 as described in Article 486(4) CRR

-

                                  -

Qualifying own funds instruments included in consolidated T2 capital (including minority interests and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties 

                                269

                             279

Tier 2 (T2) capital before regulatory adjustments

1,269

                          1,279

Tier 2 (T2) capital: regulatory adjustments

Direct, indirect and synthetic holdings by the institution of the T2 instruments and subordinated loans of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) (negative amount)

(283)

                           (283)

Total regulatory adjustments to Tier 2 (T2) capital

(283)

                           (283)

Tier 2 (T2) capital 

986

                             996

Total capital (TC = T1 + T2)

22,701

                        22,816

Total Risk exposure amount

128,972

                      122,520

Capital ratios and requirements including buffers

Common Equity Tier 1 capital

16.24%

                       17.21%

Tier 1 capital

16.84%

                       17.81%

Total capital

17.60%

                       18.62%

Institution CET1 overall capital requirements

10.15%

                         9.79%

of which: capital conservation buffer requirement 

2.50%

                         2.50%

of which: countercyclical capital buffer requirement 

0.35%

                         0.12%

of which: systemic risk buffer requirement 

0.46%

                         0.46%

of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer requirement

1.50%

                         1.50%

of which: additional own funds requirements to address the risks other than the risk of excessive leverage

0.84%

                         0.70%

Common Equity Tier 1 capital (as a percentage of risk exposure amount) available after meeting the minimum capital requirements

8.10%

                         9.37%

Amounts below the thresholds for deduction (before risk weighting)

Direct and indirect holdings of own funds and  eligible liabilities of financial sector entities where the institution does not have a significant investment in those entities (amount below 10% threshold and net of eligible short positions)   

211

                             196

Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount below 17.65% thresholds and net of eligible short positions) 

1,571

                          1,392

Deferred tax assets arising from temporary differences (amount below 17,65% threshold, net of related tax liability where the conditions in Article 38 (3) CRR are met)

776

                             964

In millions of euros

31 December 2023

                                31 December 2022

Balance sheet as in published financial   statements

Under regulatory scope of

       consolidation

Balance sheet as in published financial statements

Under regulatory scope of

consolidation

Assets

Cash and balances at central banks

Financial instruments at fair value through profit or loss    of which Securities

   of which Loans and repurchase agreements    of which Derivative financial instruments

Derivatives used for hedging purposes

Financial assets at fair value through equity    of which Debt securities    of which Equity securities Financial assets at amortised cost

   of which Loans and advances to credit institutions of which Loans and advances to customers

   of which Debt securities

Remeasurement adjustment on interest-rate risk hedged portfolios

Financial investments of insurance activities

Current and deferred tax assets

Accrued income and other assets

Equity-method investments

Property, plant and equipment and Investment property

Intangible assets

Goodwill

Non-current assets held for sale

TOTAL ASSETS

Liabilities

Deposits from central banks

Financial instruments at fair value through profit or loss    of which Securities

   of which Deposits and repurchase agreements

   of which Issued debt securities

   of which Derivative financial instruments

Derivatives used for hedging purposes Financial liabilities at amortised cost    of which Deposits from credit institutions    of which Deposits from customers

   of which Debt securities    of which Subordinated debt

Remeasurement adjustment on interest-rate risk hedged portfolios

Current and deferred tax liabilities

Accrued expenses and other liabilities

Technical reserves and other insurance liabilities

Provisions for contingencies and charges

Liabilities associated with non-current assets held for sale

TOTAL LIABILITIES

Shareholders' Equity

Share capital, additional paid-in capital and retained earnings

Net income for the period attributable to shareholders Total capital, retained earnings and net income for the period attributable to shareholders

Changes in assets and liabilities recognised directly in equity

Unrealised gains or losses on non-recyclable items through profit or loss

Unrealised or deferred gains or losses on recyclable items through profit or loss

Shareholders' equity

Retained earnings and net income for the period

attributable to minority interests

Change in assets and liabilities recognised directly in equity

Minority interests

TOTAL SHAREHOLDERS' EQUITY

                     39,009                    39,009

12,315 12,144 1,376          1,365

                       2,558                      2,558

                       8,381                      8,221

                       6,499                      6,633

                       5,877                      5,877

                       5,739                      5,739

                          138                          138

241,156 250,200 11,220              7,210 216,785 229,839 13,151 13,151

                     38,467                    38,467

                       9,419                      9,349

                       1,604                      1,604

                       1,674                      1,674

                       6,141                      6,071

                       5,418                      5,471

                     10,802                    10,802

                     10,651                    10,651

                          151                          151

                   250,926                   259,495

                     19,116                     16,083

                   219,303                   230,905

                     12,507                    12,507

                       (804)                       (804)

(907)

                       (907)

                              -

                       1,093

                       9,404

                       5,848

                       1,838

                          351

                          240

                              -

                   331,730

                2,363                  18,360

                          603

                       7,562

                       2,388

                       7,807

                       9,751

                262,804                  36,027                  213,678                  10,906                  2,193

                    (5,216)

                          474

                       8,749

                              -

                       3,394

                              -

                   300,679

                24,879                  3,161

                     28,040

                    (2,654)

                       (314)

                (2,340)                  25,386

                       6,414

                (749)                  5,665                  31,051

                          342                              -

266

1,241

11,467

2,572

29,581 468

848

-

350,392

2,363

18,520

603 7,562

2,388

7,967

9,692

277,522

46,295

212,692

16,252 2,283

                       1,064                         914

                     13,668                    10,594

                       2,631                      6,527

                     36,475                      1,710

                          571                          428

                          872                          239

                       4,029                      4,029

                   373,880                   347,220

                       1,971                      1,971

                     21,347                    21,276

                          697                          697

                     11,788                     11,788

                       2,721                      2,721

                       6,141                      6,070

                       8,271                      8,229

                   292,812                   271,306

                     62,845                    49,387

                   203,931                   204,837

                     23,801                    14,935

                       2,235                      2,147

                    (3,895)                    (3,895)

(5,216)

                       1,362                         537

1,083

11,405

190 3,782

                     12,251                      9,212

                          246                              -

                       4,325                      3,394

                       4,011                       4,011

-

                   342,701                   316,041

319,341

                     25,029                    25,010

24,898

                       3,095                      3,095

3,161

                     28,124                    28,105

28,059

                    (2,711)                    (2,692)

(2,673)

                       (237)                       (218)

(333)

                    (2,474)                    (2,474)

(2,340)

                     25,413                    25,413

25,386

                       6,459                      6,459

6,414

                       (693)                       (693)

(749)

                       5,766                      5,766

5,665

31,051

                     31,179                    31,179

In millions of euros

31 December 2023

     31 December 2022

Common Equity Tier 1 (CET1) capital 

Tier 1 capital 

Total capital 

20,947

21,084

21,715

21,820

22,701

22,816

Common Equity Tier 1 ratio (%)

Tier 1 ratio (%)

Total capital ratio (%)

16.24%

                         17.21%

16.84%

                         17.81%

17.60%

                         18.62%

Additional own funds requirements to address risks other than the risk of excessive leverage (%) 

1.50%

                           1.25%

of which: to be made up of CET1 capital of which: to be made up of Tier 1 capital

Total SREP own funds requirements (%)

0.84%

                           0.70%

1.13%

                           0.94%

9.50%

                           9.25%

Capital conservation buffer (%)

Institution specific countercyclical capital buffer (%)

2.50%

                           2.50%

0.35%

                           0.12%

Systemic risk buffer (%)

Global Systemically Important Institution buffer (%)

Other Systemically Important Institution buffer (%)

Combined buffer requirement (%)

Overall capital requirements (%)

CET1 available after meeting the total SREP own funds requirements (%)

0.46%

                           0.46%

0.00%

                           0.00%

1.50%

                           1.50%

4.81%

                           4.58%

14.31%

                         13.83%

8.10%

                           9.37%

Total exposure measure

Leverage ratio (%)

362,170

346,129

6.00%

                           6.30%

Additional own funds requirements to address the risk of excessive leverage (%) 

0.00%

0.00%

3.00%

Total SREP leverage ratio requirements (%)

3.00%

Leverage ratio buffer and overall leverage ratio requirement (as a percentage of total exposure measure)

Leverage ratio buffer requirement (%)

Overall leverage ratio requirement (%)

0.00%

0.00%

3.00%

3.00%

Total high-quality liquid assets (HQLA) (Weighted value -average)

Cash outflows - Total weighted value 

Cash inflows - Total weighted value 

Total net cash outflows (adjusted value)

Liquidity coverage ratio (%)

38,174

44,008

35,498

7,774

27,724

                       158.52%

40,744

10,301

30,443

125.83%

Total available stable funding

Total required stable funding

NSFR ratio (%)

166,769

169,096

142,242

                       118.88%

155,461

107.27%

In millions of euros

31 December 2023

31 December 2022

Total assets as per published financial statements

Adjustment for entities which are consolidated for accounting purposes but are outside the scope of prudential consolidation

347,293

331,730

-

-

(Adjustment for securitised exposures that meet the operational requirements for the recognition of risk transference)

-

-

(Adjustment for temporary exemption of exposures to central banks (if applicable))

Adjustment for derivative financial instruments

Adjustment for securities financing transactions (SFTs)

Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of offbalance sheet exposures)

-

-

(9,952)

292 26,369

(7,152)

54

24,474

(Adjustment for prudent valuation adjustments and specific and general provisions which have reduced Tier 1 capital)

(58)

(67)

(Adjustment for exposures excluded from the total exposure measure in accordance with point (j) of Article 429a(1) CRR)

-

-

Other adjustments

Total exposure measure

(2,440)

(2,242)

346,129

362,170

In millions of euros

31 December 2023

31 December 2022

Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which:

319,755

310,451

Trading book exposures

536

387

Banking book exposures, of which:

319,220

310,064

Covered bonds

-

-

Exposures treated as sovereigns

55,611

53,377

Exposures to regional governments, MDB, international organisations and PSE, not treated as sovereigns

11,637

10,103

Institutions

6,237

6,792

Secured by mortgages of immovable properties

79,973

78,765

Retail exposures

48,750

45,215

Corporates

90,216

92,164

Exposures in default

2,670

2,192

Other exposures (eg equity, securitisations, and other non-credit obligation assets)

24,125

21,457

In millions of euros

31 December 2023

Gross carrying amount

Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions

Collaterals and financial  guarantees received

Performing exposures

                 Non-performing exposures

                           Performing exposures

                 Non-performing exposures

On

  performing  exposures

         On non-

performing  exposures

of which:  stage 1

                of which:  stage 2

of which:

   stage 1 & 2

                of which: stage 3

of which: stage 1

                of which:  stage 2

of which:

   stage 1 & 2

                of which: stage 3

Cash balances at central banks and other demand deposits

39,585

           39,580                 5

                   0                    -                   0               (18)               (18)                   0                    -                    -      -

                 23                    -

Loans and advances

Central banks

General governments

Credit institutions Other financial corporations

243,549

          224,806         18,743

             4,598                 95             4,503             (799)              (350)             (449)           (2,198)                 (1)            (2,197)

         174,390             1,894

1

                   1                 -

                    -                    -                    -                   0                   0                    -                    -                    -      -

                   0                   -

9,693

             9,271             422

                141                 85                 56                 (4)                 (3)                 (2)               (10)                 (1)   (9)

             5,002                115

14,202

           14,085              117

                 67                    -                 67                 (1)                 (1)                 (1)               (55)                    - (55)

           13,166                   0

7,815

             6,645           1,171

                402                   0               402               (33)               (14)               (18)             (238)                    -               (238)

             4,227                134

Non-financial corporations

          Of which SMEs

Households

Debt securities

General governments

Credit institutions Other financial corporations

117,981

          104,943         13,038

             2,644                   4             2,640             (471)              (213)             (257)           (1,441)                   0            (1,440)

           76,346             1,097

45,701

           40,633           5,068

             1,225                   3             1,222             (225)              (108)              (117)              (598)                   0             (598)

           34,137               584

93,857

           89,862           3,995

             1,344                   6             1,337             (290)              (119)             (171)              (455)                   0             (455)

           75,649               548

23,356

           23,142             215

                 14                    -                 14               (19)                 (7)               (12)                 (6)                    -   (6)

             1,795                    -

18,262

           18,262                  -

                    -                    -                    -                 (7)                 (7)                    -                    -                    -      -

                    -                   -

3,800

             3,800                  -

                    -                    -                    -                   0                   0                    -                    -                    -      -

             1,795                    -

1,181

                988             193

                 12                    -                 12               (12)                   0               (12)                 (5)                    -   (5)

                    -                   -

Non-financial corporations Off-balance-sheet exposures

114

                 93               21

                   1                    -                   1                 (1)                   0                 (1)                 (1)                    -   (1)

                    -                   -

77,227

           71,194           6,033

                332                    -               332             (132)               (62)               (70)               (79)                    - (79)

           18,782               128

Central banks

General governments

Credit institutions Other financial corporations

-

                    -                 -

                    -                    -                    -                    -                    -                    -                    -                    -      -

                    -                   -

1,853

             1,653             200

                 47                    -                 47                   0                   0                   0                    -                    -      -

               687                 42

2,718

             2,559             159

                   2                    -                   2               (12)                 (4)                 (8)                    -                    -      -

               218                    -

9,743

             9,494             249

                  11                    -                 11                 (7)                 (4)                 (2)                 (2)                    -   (2)

               891                   0

Non-financial corporations

Households

TOTAL

47,775

           42,814           4,961

                231                    -               231               (89)               (40)               (49)               (77)                    - (77)

           14,966                 85

15,137

           14,673             464

                 41                    -                 41               (24)               (14)               (10)                 (1)                    -   (1)

             2,019                   1

383,717

          358,722         24,995

             4,943                 95             4,848             (968)              (437)             (531)           (2,284)                 (1)            (2,282)

         194,990             2,022

In millions of euros

31 December 2022

Gross carrying amount

Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions

Collaterals and financial  guarantees received

                            Performing exposures

                  Non-performing exposures

                           Performing exposures

                  Non-performing exposures

                On  performing  exposures

         On non-

performing  exposures

of which:  stage 1

                of which:  stage 2

of which:

  stage 1 & 2

                of which: stage 3

of which: stage 1

                of which:  stage 2

of which:

  stage 1 & 2

                of which: stage 3

Cash balances at central

banks and other demand deposits

40,171

40,168

3

1

1

-

(14)

(14)

0

-

-

-

0

-

Credit institutions

5,050

5,010

Non-financial corporations

119

116

4

    2                    -

2

(1)

0

0

(1)                      -

(1)

         -                   -

Off-balance-sheet exposures

70,947

64,099

6,848

307                    -

307

(162)

(74)

(89)

(91)                    -

(91)

18,882               100

In millions of euros

31 December 2023

Gross carrying   amount

Unsecured carrying amount

Secured carrying amount

Of which secured by collateral

Of which secured by financial guarantees

Of which secured by credit derivatives

Loans and advances

                      287,732               108,433

            176,284               149,959

                   26,325                        -

Debt securities 

                        23,370                 21,549

                1,795                   1,795

-

TOTAL

                      311,102               129,982

            178,080               151,754

                   26,325                        -

   of which non-performing exposures

                         4,611                      513

                1,894                   1,559

                       336                        -

In millions of euros

31 December 2022

Gross carrying   amount

Unsecured carrying amount

Secured carrying amount

Of which secured by collateral

Of which secured by financial guarantees

Of which secured by credit derivatives

Debt securities 

19,158

18,023

1,102

1,102

-

TOTAL

297,173

129,330

164,927

135,893

29,035                        -

   of which non-performing exposures

4,312

512

1,680

1,400

     280                       -

In millions of euros

31 December 2023

Gross exposure

Exposure net of

provisions

EAD

RWEA

RWEA

density

Balance sheet

Off-balance  sheet

Balance  sheet

Off-balance sheet

Balance  sheet

Off-balance  sheet

Central governments or central banks

           6,847              270

           6,823             270

           8,382              129

           2,303            27%

Regional government or local authorities

           1,840                11

           1,839               11

           1,863                 5

              343            18%

Public sector entities

              330                 4

              329                 4

              287                 2

              100            35%

Multilateral development banks

                 0                 2

                 0                 2

                 0                 1

                 0              4%

International organisations

              197                 1

              197                 1

              197                 0

                  -              0%

Institutions

           3,507              907

           3,506             900

           3,510              459

           2,053            52%

Corporates

          18,887           2,665

          18,796           2,650

          19,505           1,074

          14,921            73%

Retail

          25,047          10,022

          24,764         10,004

          23,855              995

          15,649            63%

Secured by mortgages on immovable property

Exposures in default

          10,151              606

          10,106             605

           8,611              294

           3,313            37%

           1,443                59

              750               53

              729                23

              857           114%

Covered bonds

                 3                  -

                 3                 -

                 3                  -

                 2            50%

Collective investment undertakings

              265              216

              265             216

              265              108

              715          192%

Equity

                 6                 9

                 6                 9

                 6                 5

              101          999%

Other items

           4,855              120

           4,855             120

           4,855              120

           3,669            74%

TOTAL

          73,378          14,892

          72,238         14,845

          72,069           3,215

          44,026            58%

In millions of euros

31 December 2022

Gross exposure

Exposure net of  provisions

EAD

RWEA

RWEA

density

Balance sheet

Off-balance  sheet

Balance  sheet

Off-balance sheet

Balance  sheet

Off-balance  sheet

Central governments or central banks

6,383

271

6,360

271

7,967

130

2,100

26%

Regional government or local authorities

1,340

39

1,338

39

1,376

11

259

19%

Public sector entities

256

26

254

26

209

7

84

39%

Multilateral development banks

0

0

0

0

0

0

0

23%

International organisations

166

1

166

1

166

0

-

0%

Institutions

3,640

583

3,638

582

3,644

294

1,833

47%

Corporates

18,400

3,135

18,248

3,112

19,043

1,194

15,029

74%

Retail

21,165

4,660

20,962

4,653

19,962

1,716

13,286

61%

Secured by mortgages on immovable property

Exposures in default

9,216

731

9,171

728

7,594

354

2,984

38%

1,220

39

632

31

621

15

734

115%

Covered bonds

4

-

4

-

4

-

2

50%

Equity

230

230

230

230

230

115

731

212%

Other items

4,715

93

4,715

93

4,715

93

3,650

76%

TOTAL

66,733

9,809

65,717

9,767

65,529

3,929

40,693

59%

In millions of euros

31 December 2023

EAD

0%

       20%

       35%

       50%

75%

     100%

     150%

     370%

1250%

 Others

      Total

Of which unrated

            (*)

Central governments or central banks

6,199

          11

-

           0

-

     2,301

            -

            -

-

            -     8,511        2,100

Regional government or local authorities

681

     1,040

-

          24

-

        123

            -

            -

-

            -     1,868           669

Public sector entities

62

        124

-

          57

-

          47

            -

            -

-

            -        289            68

Multilateral development banks

1

            -

-

           0

-

            -

            -

            -

-

            -           1              -

International organisations

198

            -

-

            -

-

            -

            -

            -

-

            -        198            81

Institutions

-

     1,298

-

     1,785

-

        857

          29

            -

-

            -     3,969           396

Corporates

-

     5,620

8

     1,012

-

    13,768

        171

            -

-

            -   20,579      12,834

Retail exposures

-

            -

0

            -

24,849

            -

            -

            -

-

            -   24,850      24,818

Exposures secured by mortgages on immovable property Exposures in default

-

            -

8,103

        239

480

          83

            -

            -

-

            -     8,906        8,684

-

            -

-

            -

-

        541

        211

            -

-

            -        751           718

Covered bonds

-

            -

-

           3

-

            -

            -

            -

-

            -           3              -

Units or shares in collective investment undertakings Equity exposures

-

            -

-

            -

-

            -

            -

            -

-

        373        373               -

-

            -

-

            -

-

            -

            -

           3

7

            -         10           383

Other items

41

          70

-

           0

-

     2,700

            -

            -

-

     2,164     4,975        4,604

TOTAL

7,182

     8,162

8,112

     3,120

25,329

    20,420

        411

           3

7

     2,538    75,284      55,356

In millions of euros

31 December 2022

EAD

0%

       20%

       35%

       50%

75%

     100%

     150%

     370%

1250%

 Others

      Total

Of which unrated

            (*)

Regional government or local authorities

360

958

-

3

-

66

    -            -            -

-

1,387

Public sector entities

20

135

-

7

-

54

    -            -            -

-

216

Multilateral development banks

-

0

-

0

-

-

    -            -            -

-

0

International organisations

166

-

-

-

-

-

    -            -            -

-

166

Institutions

-

1,440

-

1,919

-

565

14              -            -

-

3,938

Corporates

-

5,057

12

1,170

-

13,834

165            -            -

-

20,237

Retail exposures

-

-

0

-

21,678

-

    -            -            -

-

21,678

Exposures secured by mortgages on immovable property

-

-

7,126

275

447

100

    -            -            -

-

7,948

Exposures in default

-

-

-

-

-

442

195            -            -

-

636

Covered bonds

-

-

-

4

-

-

    -            -            -

-

4

Equity exposures

-

-

-

-

-

-

    -           1           6

337

345

Other items

83

30

-

1

-

2,739

    -            -            -

1,955

4,808

In millions of euros

31 December 2023

Total gross exposures

Total net exposures

Credit risk Mitigation techniques

                            Credit Risk

Funded credit

Protection (FCP)

Unfunded credit

Protection (UFCP)

RWEA without substitution  effects

RWEA with substitution effects

Part of exposures covered by

Financial

Collaterals (%)

Part of exposures covered by Other eligible collaterals (%)

Part of exposures covered by Other funded credit protection (%)

Part of exposures covered by

Guarantees

(%)

Part of exposures covered by

Credit

Derivatives

              (%)

Part of exposures covered by

Immovable property

Collaterals (%)

Part of exposures covered by

Receivables (%)

Part of exposures covered by

Other physical collateral

(%)

Part of exposures covered by

Cash on deposit (%)

Part of exposures covered by

Life insurance  policies (%)

Part of exposures covered by

Instruments held by a third party (%)

Central governments and central banks

Institutions Corporates

   of which Corporates – SMEs    of which Corporates – Specialised lending

51,291

           51,300              0%         0%              0%              0%              0%

         0%              0%              0%              0%              2%              0%                 174                 174

12,913

           11,686              0%         4%              4%              0%              0%

         0%              0%              0%              0%            28%              0%               1,519               1,519

131,333

         104,122              3%       25%            23%              1%              1%

         1%              0%              0%              0%            17%              0%             42,197             41,460

12,084

           10,925              5%       43%            42%              1%              0%

         1%              0%              0%              0%            15%              0%               5,386               4,986

22,234

           18,843              0%       24%            19%              0%              5%

         0%              0%              0%              0%            36%              0%               6,928               6,591

   of which Corporates – Other Retail

   of which Retail –  Immovable property SMEs    of which Retail – Immovable property non-

SMEs

97,015

           74,354              3%       23%            22%              1%              0%

         1%              1%              0%              0%            13%              0%             29,883             29,883

93,971

           91,945              1%       78%            78%              0%              0%

         0%              0%              0%              0%              2%              0%             15,712             14,760

7,192

            6,761              0%       87%            87%              0%              0%

         0%              0%              0%              0%              3%              0%               1,862               1,463

64,317

           64,330              0%       98%            98%              0%              0%

         0%              0%              0%              0%              0%              0%               7,769               7,735

   of which Retail – Qualifying revolving    of which Retail –other SMEs    of which Retail – other non-SMEs

TOTAL

0

                  0              0%         0%              0%              0%              0%

         0%              0%              0%              0%              0%              0%                     0                    0

8,069

            6,786              4%       20%            20%              0%              0%

         1%              1%              0%              0%            22%              0%               2,264               1,746

14,393

           14,067              1%         9%              9%              0%              0%

         1%              0%              0%              0%              1%              0%               3,817               3,817

289,509

         259,052              1%       38%            37%              0%              0%

         0%              0%              0%              0%              9%              0%             59,602             57,914

 BNP PARIBAS FORTIS ADDITIONAL PILLAR 3 DISCLOSURE  2023

- 14 -

In millions of euros

31 December 2022

Total gross exposures

Total net exposures

Credit risk Mitigation techniques

                         Credit Risk

Funded credit

Protection (FCP)

Unfunded credit

Protection (UFCP)

RWEA without substitution  effects

RWEA with substitution effects

Part of exposures covered by

Financial

Collaterals (%)

Part of exposures covered by Other eligible collaterals (%)

Part of exposures covered by Other funded credit protection (%)

Part of exposures covered by

Guarantees

(%)

Part of exposures covered by

Credit

Derivatives

              (%)

Part of exposures covered by

Immovable property

Collaterals (%)

Part of exposures covered by

Receivables (%)

Part of exposures covered by

Other physical collateral

(%)

Part of exposures covered by

Cash on deposit (%)

Part of exposures covered by

Life insurance  policies (%)

Part of exposures covered by

Instruments held by a third party (%)

Central governments and central banks

47,386

47,176

0%

0%

0%

0%

0%

0%

0%

0%

0%

2%

0%

171

171

Institutions

12,903

11,676

0%

3%

3%

0%

0%

0%

0%

0%

0%

28%

0%

1,531

1,531

Corporates

131,313

104,814

3%

24%

22%

1%

1%

1%

1%

0%

0%

16%

0%

42,581

41,763

   of which Corporates – SMEs

11,149

9,889

6%

59%

56%

3%

0%

1%

1%

0%

0%

6%

0%

3,671

3,185

   of which Corporates – Specialised lending

21,391

18,208

0%

24%

19%

0%

5%

0%

0%

0%

0%

32%

0%

6,072

5,739

   of which Corporates – Other

98,774

76,717

3%

19%

18%

1%

0%

1%

1%

1%

0%

14%

0%

32,839

32,839

Retail

95,696

93,553

0%

78%

78%

0%

0%

0%

0%

0%

0%

2%

0%

15,536

14,526

   of which Retail –  Immovable property SMEs

7,975

7,479

0%

87%

87%

0%

0%

0%

0%

0%

0%

3%

0%

2,029

1,589

   of which Retail – Immovable property non-

64,917

64,948

0%

98%

98%

0%

0%

0%

0%

0%

0%

0%

0%

7,450

7,418

In millions of euros

RWEA

Total

31 December 2022

57,992

Asset size (+/-)

1,142

Asset quality (+/-)

(2,440)

Model updates (+/-)

780

Methodology and policy (+/-)

-

Acquisitions and disposals (+/-)

235

Foreign exchange movements (+/-)

(56)

Other (+/-)

31 December 2023

260

57,914

In millions of euros

31 December 2022

Performing exposures

Non-performing exposures

Not past due or past due ≤ 30 days

 Past due > 30 days ≤

                           90 days

Unlikely to pay that are not past due or are past due ≤ 90 days

Past due

> 90 days

≤ 180 days

Past due

> 180 days

≤ 1 year

                 Past due

 > 1 year ≤ 2 years

Past due      > 2 years ≤ 5  years

                 Past due

                        > 5 years ≤ 7  years

                        Past due > 7  years

                        Of which   defaulted

 BNP PARIBAS FORTIS ADDITIONAL PILLAR 3 DISCLOSURE  2023

- 18 -

In millions of euros

31 December 2023

                                        31 December 2022

Collateral obtained by taking possession

Collateral obtained by taking possession

Value at initial recognition

Accumulated negative  changes

Value at initial recognition

Accumulated negative changes

Property Plant and Equipment (PP&E)

                                 -                                -

                                 -                                -

Other than Property Plant and Equipment

                                3                              (0)

                                6                              (0)

     Residential immovable property

                                1                              (0)

                                2                              (0)

     Commercial Immovable property

                                1                              (0)

                                3                              (0)

     Movable property (auto, shipping, etc.)

                                 -                                -

                                 -                                -

     Equity and debt instruments

                                0                                -

                                0                                -

     Other

                                 -                                -

                                 -                                -

TOTAL

                                3                              (0)

                                6                              (0)

In millions of euros

31 December 2023

                   31 December 2023

General credit exposures

Relevant credit exposures – Market  risk

Securitisation exposures   Exposure value for  non-trading book

Own fund requirements

Own funds requirements (%)

  Countercyclical  buffer rate (%)

 Countercyclical buffer rate

                             (%) forecast*

Exposure value under the standardised   approach

  Exposure value  under the IRB  approach

Sum of long and  short positions of  trading book  exposures for SA

                        Value of trading book exposures  for internal models

Relevant credit  risk exposures Credit risk

  Relevant credit  exposures –  Market risk

Relevant credit exposures –

Securitisation positions in the non-trading book

Total

Breakdown by country

Europe

                 52,911                       194,455

                           3,887

                            7,815

                                 60

                                52                           7,927              89.4%

of which Germany

                  6,021                           4,226

                                  0

                               401

                                   0

                                   0                              401                            4.5%                           0.8%

                                            0.8%

of which Bulgaria

                       0                                20

                                  0

                                   1

                                   0

                                   0                                  1                            0.0%                           2.0%

                                            2.0%

of which Cyprus

                       0                                42

                                  0

                                   1

                                   0

                                   0                                  1                            0.0%                           0.5%

                                            1.0%

of which Croatia

                       0                                62

                                  0

                                   2

                                   0

                                   0                                  2                            0.0%                           1.0%

                                            1.5%

of which Denmark

                    112                               600

                                  0

                                 28

                                   0

                                   0                                28                            0.3%                           2.5%

                                            2.5%

of which Estonia

                       0                                50

                                  0

                                   3

                                   0

                                   0                                  3                            0.0%                           1.5%

                                            1.5%

of which France

                  6,328                         14,102

                                68

                            1,103

                                   0

                                   1                           1,104                         12.5%                           0.5%

                                            1.0%

of which Ireland

                       4                              804

                                  0

                                 20

                                   0

                                   0                                20                            0.2%                           1.0%

                                            1.5%

of which Iceland

                       0                                  1

                                  0

                                   0

                                   0

                                   0                                  0                            0.0%                           2.0%

                                            2.5%

of which Lithuania

                       0                                  5

                                  0

                                   0

                                   0

                                   0                                  0                            0.0%                           1.0%

                                            1.0%

of which Luxembourg

                  1,236                         21,263

                                  0

                               799

                                   0

                                   0                              799                            9.0%                           0.5%

                                            0.5%

of which Norway

                    270                              713

                                  0

                                 38

                                   0

                                   0                                38                            0.4%                           2.5%

                                            2.5%

of which The Netherlands

                  2,282                           3,956

                                  8

                               257

                                   0

                                   0                              257                            2.9%                           1.0%

                                            2.0%

of which Romania

                    505                                78

                                  0

                                 30

                                   0

                                   0                                30                            0.3%                           1.0%

                                            1.0%

of which Czech Republic

                       7                                52

                                  0

                                   4

                                   0

                                   0                                  4                            0.0%                           2.0%

                                            2.0%

of which United Kingdom

                  8,009                           5,440

                                27

                               639

                                   0

                                   0                              639                            7.2%                           2.0%

                                            2.0%

of which Slovakia

                       8                                36

                                  0

                                   3

                                   0

                                   0                                  3                            0.0%                           1.5%

                                            1.5%

of which Slovenia

                       1                                10

                                  0

                                   1

                                   0

                                   0                                  1                            0.0%                           0.5%

                                            1.0%

of which Sweden

                    139                              825

                                  0

                                 39

                                   0

                                   0                                39                            0.4%                           2.0%

                                            2.0%

North America 

                     85                            3,088

                              344

                                 94

                                   0

                                25                              119                1.3%

Asia Pacific

                     27                            1,325

                                  0

                                 61

                                   0

                                   0                                61                0.7%

of which Australia

                       4                                30

                                  0

                                   2

                                   0

                                   0                                  2                            0.0%                           1.0%

                                            1.0%

of which Hong Kong

                       3                                98

                                  0

                                   6

                                   0

                                   0                                  6                            0.1%                           1.0%

                                            1.0%

Rest of the World

                  9,024                           4,836

                                  0

                               754

                                   9

                                   0                              763                8.6%

TOTAL

                62,047                       203,703

                           4,231

                            8,723

                                 70

                                77                           8,870            100.0%

In millions of euros

                  31 December 2023

Total risk exposure amount

128,972

Institution specific countercyclical capital buffer rate

0.35%

Institution specific countercyclical capital buffer requirement

452

In millions of euros

31 December 2023

Risk weight

0%

20%

50%

75%

100%

Total exposure value

Central governments or central banks 

-

-

23

-

               -                 23

Institutions

-

307

-

-

               6                313

Corporates

-

-

0

-

             81                 81

Retail

-

-

-

2

               -                   2

TOTAL

-

307

23

2

             87                419

In millions of euros

31 December 2022

Risk weight

0%

20%

50%

75%

100%

Total exposure value

Institutions                                                               -

109

-

-

48

156

Corporates                                                              -

0

0

-

136

136

Retail                                                                      -

-

-

27

-

27

TOTAL                                                                    -

109

41

27

183

361

In millions of euros

RWEA - Counterparty credit risk

Capital Requirements -

Counterparty credit risk

                                 Total

Total

Asset size

100

8

Credit quality of counterparties

(1)

0

Model updates (IMM only)

-

-

Methodology and policy (IMM only)

(10)

(1)

Acquisitions and disposals

-

-

Foreign exchange movements

-

-

Other

(3)

0

31 December 2023

679

54

In millions of euros

                     VaR

            SVaR

              IRC

CRM

Other

Standardised approach

Total RWEAs

Total own funds requirements

31 December 2022

329

360

67

-

-

-

756

60

Regulatory adjustment

(57)

              (46)

                  6

-

-

-

(97)

                             (8)

Movement in risk levels 

9

199

26

-

-

-

235

19

Model update

(23)

                (7)

                   -

-

-

-

(30)

                             (2)

Methodology and policy

(21)

                33

9

-

-

-

21

2

Acquisitions and disposals 

-

-

-

-

-

-

-

-

Foreign exchange movements 

-

-

-

-

-

-

-

-

Regulatory adjustment

(83)

              (21)

              (29)

-

-

-

(133)

                           (11)

31 December 2023

154

518

81

-

-

-

752

60

 BNP PARIBAS FORTIS ADDITIONAL PILLAR 3 DISCLOSURE  2023

- 25 -

In millions of euros

Unweighted value

Weighted value

     31 December 2023

 30 September 2023

30 June 2023

31 March 2023

   31 December 2023

 30 September 2023

           30 June 2023

         31 March 2023

Number of data points used in the calculation of averages

12

12

                           12

                           12

12

                           12

                           12

12

HIGH-QUALITY LIQUID ASSETS (HQLA)

TOTAL HIGH-QUALITY LIQUID ASSETS (HQLA)

38,174

                     39,407

                     39,967

41,402

CASH - OUTFLOWS

Retail deposits and deposits from small business customers, of which:

121,221

121,588

                    121,081

                    119,801

8,079

                       8,367

                       8,428

8,407

Stable deposits

78,205

78,763

                     78,678

                     78,195

3,910

                       3,938

                       3,934

3,910

Less stable deposits

43,015

42,825

                     42,403

                     41,605

4,169

                       4,429

                       4,495

4,497

Unsecured wholesale funding

31,216

32,023

                     33,673

                     35,568

13,709

                     13,861

                     14,552

15,847

Operational deposits (all counterparties) and deposits in networks of cooperative banks

9,724

9,912

                     10,494

                     10,944

2,283

                       2,327

                       2,469

2,580

Non-operational deposits (all counterparties)

20,866

21,569

                     22,472

                     23,799

10,801

                     10,992

                      11,376

12,441

Unsecured debt

625

542

                          707

                          825

625

                          542

                          707

825

Secured wholesale funding

9,087

                       8,215

                       5,265

3,226

Additional requirements

35,436

35,330

                     35,510

                     36,061

6,093

                       5,954

                       5,847

5,734

Outflows related to derivative exposures and other collateral requirements

1,835

1,787

                       1,765

                       1,611

1,874

                       1,826

                       1,777

1,623

Outflows related to loss of funding on debt products

-

-

                              -

                              -

-

                              -

                              -

-

Credit and liquidity facilities

33,601

33,542

                     33,746

                     34,450

4,219

                       4,128

                       4,071

4,111

Other contractual funding obligations

3,532

3,199

                       3,139

                       3,013

3,532

                       3,199

                       3,139

3,013

Other contingent funding obligations

16,283

16,184

                     16,306

                     16,471

244

                          237

                          235

235

TOTAL CASH OUTFLOWS

40,744

                     39,833

                     37,467

36,461

CASH - INFLOWS

Secured lending (e.g. reverse repos)

3,220

3,347

                       3,386

                       3,107

211

                          275

                          256

197

Inflows from fully performing exposures

12,596

12,250

                      11,467

                     10,633

10,091

                       9,809

                       9,100

8,285

Other cash inflows

-

-

                              -

                              -

-

                              -

                              -

-

TOTAL CASH INFLOWS

15,816

15,597

                     14,853

                     13,740

10,301

                     10,084

                       9,356

8,482

Inflows subject to 75% cap

15,816

15,597

                     14,853

                     13,740

10,301

                     10,084

                       9,356

8,482

LIQUIDITY BUFFER

38,174

                     39,407

                     39,967

41,402

TOTAL NET CASH OUTFLOWS

30,443

                     29,750

                     28,111

27,979

LIQUIDITY COVERAGE RATIO

126%

                       135%

                       144%

149%

31 December 2023

Unweighted value by residual maturity

 Weighted value

In millions of euros

No maturity

         < 6 months

    6 months to < 1yr

                  ≥ 1yr

Available stable funding (ASF) Items

Capital items and instruments

-

                  1,000                             -                20,193                20,193

Own funds

-

                  1,000                             -                19,478                19,478

Other capital instruments

                         -                             -                    715                    715

Retail deposits

              112,786                      2,025                  3,981               111,116

Stable deposits

                75,762                         367                      53                72,375

Less stable deposits

                37,024                      1,658                  3,928                38,742

Wholesale funding:

                76,685                      3,931                  8,735                24,076

Operational deposits

                10,481                           12                         -                 5,246

Other wholesale funding

                66,204                      3,919                  8,735                18,829

Interdependent liabilities

                         -                             -                        -                        -

Other liabilities: 

-

                  9,533                      1,734                10,517                11,384

NSFR derivative liabilities 

-

All other liabilities and capital instruments not included in the above categories

                  9,533                      1,734                10,517                11,384

Total available stable funding (ASF)

166,769

Required stable funding (RSF) Items

Total high-quality liquid assets (HQLA)

                    298

Assets encumbered for a residual maturity of one year or more in a cover pool

                         -                             -                 3,606                 3,065

Deposits held at other financial institutions for operational purposes

                  1,542                             -                        -                        -

Performing loans and securities:

                30,692                     16,812              138,457              130,811

Performing securities financing transactions with financial customers collateralised by Level 1 HQLA subject to 0% haircut

                  3,011                         411                    106                    331

Performing securities financing transactions with financial customer collateralised by other assets and loans and advances to financial institutions

                12,945                      4,399                12,568                16,052

Performing loans to non- financial corporate clients, loans to retail and small business customers, and loans to sovereigns, and PSEs, of which:

                14,714                     11,998                74,353                76,494

With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk

                         -                             -                        -                       0

Performing residential mortgages, of which: 

                         -                             -                40,461                27,019

With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk

                         -                             -                40,461                27,019

Other loans and securities that are not in default and do not qualify as HQLA, including exchange-traded equities and trade finance on-balance sheet products

                      22                             4                10,969                10,915

Interdependent assets

                         -                             -                        -                        -

Other assets: 

Physical traded commodities

                         -                        -

Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs

                      19                             -                        -                     16

NSFR derivative assets 

                  4,991                             -                        -                    250

NSFR derivative liabilities before deduction of variation margin posted 

                         -                             -                    958                    926

All other assets not included in the above categories

                  1,468                         218                16,295                17,541

Off-balance sheet items

                40,188                             -                 7,873                 2,554

Total RSF

155,461

Net Stable Funding Ratio (%)

107%

 BNP PARIBAS FORTIS ADDITIONAL PILLAR 3 DISCLOSURE  2023

- 26 -

In millions of euros

31 December 2023

Net exposure value

On demand

                <= 1 year

 > 1 year <= 5 years

> 5 years

No stated maturity

Total

Loans and advances

7,906

                    58,510                    99,493

                    79,164                             -                  245,073