from CREDIT COOPERATIF
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 |
This document, containing additional quantitative Pillar 3 disclosures, completes the information published in the Pillar 3 report of BNP Paribas Fortis for the year 2023. CONTENTS
Capital adequacy
Composition of regulatory own funds (EU CC1)
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 |
Reconciliation of regulatory own funds to balance sheet in the audited financial statements (EU CC2)
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 | ||||
Key metrics template (EU KM1)
In millions of euros | 31 December 2023 | 31 December 2022 |
Available own funds
Common Equity Tier 1 (CET1) capital Tier 1 capital Total capital | 20,947 | 21,084 |
21,715 | 21,820 | |
22,701 | 22,816 |
Risk-weighted exposure amounts
Total risk exposure amount
Capital ratios (as a percentage of risk-weighted exposure amount)
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 (as a percentage of riskweighted exposure amount)
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% |
Combined buffer and overall capital requirement (as a percentage of risk-weighted exposure amount)
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% |
Leverage ratio
Total exposure measure Leverage ratio (%) | 362,170 | 346,129 |
6.00% | 6.30% |
Additional own funds requirements to address the risk of excessive leverage (as a percentage of total exposure measure)
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% |
Liquidity Coverage Ratio
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% |
Net Stable Funding Ratio
Total available stable funding Total required stable funding NSFR ratio (%) | 166,769 | 169,096 142,242 118.88% |
155,461 | ||
107.27% |
Summary reconciliation of accounting assets and leverage ratio exposures (EU LR1 - LRSum)
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 |
Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures) (EU LR3 - LRSpl)
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 |
Credit risk
Performing and non-performing exposures and related provisions (EU CR1)
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 | |||||||||||
BNP PARIBAS FORTIS ADDITIONAL PILLAR 3 DISCLOSURE 2023 - 9 -
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 | - | ||||||||||||||||
Loans and advances 233,551 212,638 20,913 4,292 163 4,129 (756) (332) (424) (2,114) (2) (2,112) 162,146 1,680
Central banks 65 65 - - - - 0 0 - - - - 0 -
General governments 9,097 8,839 258 103 93 10 (6) (4) (2) (6) (1) (5) 4,415 89
Credit institutions | 5,050 | 5,010 |
39 69 - 69 (2) (1) 0 (66) - (66) 3,902 -
corporations
- -
General governments - - - - - - -
- - - - - - - - -
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 |
Central banks - - - - - - - - - - - - - -
BNP PARIBAS FORTIS ADDITIONAL PILLAR 3 DISCLOSURE 2023 - 10 -
CRM techniques overview - Disclosure of the use of credit risk mitigation techniques (EU CR3)
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 |
Loans and advances 278,015 111,307 163,825 134,791 29,035 -
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 - |
Standardised approach --- Credit risk exposure and CRM effects (EU CR4)
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% | |||||||||
Standardised approach --- Exposures by asset classes and risk weights (EU CR5)
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 |
(*) Exposures to counterparties without a credit rating from external rating agencies.
In millions of euros | 31 December 2022 | |||||||||||
EAD | ||||||||||||
0% | 20% | 35% | 50% | 75% | 100% | 150% | 370% | 1250% | Others | Total | Of which unrated (*) |
Central governments or central banks 5,992 1 - 6 - 2,097 - - - - 8,097 897
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 |
295
39
-
89
446
12,921
21,655
7,674
606
-
345
4,451 TOTAL 6,621 7,621 7,138 3,385 22,124 19,896 374 1 6 2,292 69,458 49,419
(*) Exposures to counterparties without a credit rating from external rating agencies.
IRB approach --- Disclosure of the extent of the use of CRM techniques (EU CR7-A)
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 |
SMEs
of which Retail – Qualifying revolving - - 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% - - of which Retail –other SMEs 8,684 7,390 4% 21% 21% 0% 0% 1% 0% 0% 0% 21% 0% 2,349 1,810 of which Retail – other non-SMEs 14,119 13,736 1% 10% 10% 0% 0% 1% 0% 0% 0% 1% 0% 3,708 3,708
TOTAL 287,297 257,220 1% 38% 37% 0% 0% 0% 0% 0% 0% 9% 0% 59,820 57,991
BNP PARIBAS FORTIS ADDITIONAL PILLAR 3 DISCLOSURE 2023 - 15 -
RWEA flow statements of credit risk exposures under the IRB approach (EU CR8)
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 |
BNP PARIBAS FORTIS ADDITIONAL PILLAR 3 DISCLOSURE 2023 - 16 -
Credit quality of performing and non-performing exposures by past due days (EU CQ3)
BNP PARIBAS FORTIS ADDITIONAL PILLAR 3 DISCLOSURE 2023 - 17 -
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 - |
Collateral obtained by taking possession and execution processes (EU CQ7)
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) | ||
Geographical distribution of credit exposures relevant for the calculation of the countercyclical buffer (EU CCyB1)
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% |
| |||||
(*) Buffer rates published on the ESRB website at 31st of December 2023.
BNP PARIBAS FORTIS ADDITIONAL PILLAR 3 DISCLOSURE 2023 - 20 -
Amount of institution-specific countercyclical capital buffer (EU CCyB2)
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 |
Counterparty credit risk
Standardised approach --- CCR exposures by regulatory exposure class and risk weights (EU CCR3)
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 |
Central governments or central banks - - 41 - - 41
Institutions - | 109 | - | - | 48 | 156 |
Corporates - | 0 | 0 | - | 136 | 136 |
Retail - | - | - | 27 | - | 27 |
TOTAL - | 109 | 41 | 27 | 183 | 361 |
RWEA flow statements of CCR exposures under the IMM (EU CCR7)
In millions of euros | RWEA - Counterparty credit risk | Capital Requirements - Counterparty credit risk |
Total | Total |
31 December 2022 593 47
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 |
Market risk
RWEA flow statements of market risk exposures under the IMA (EU MR2-B)
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 |
Liquidity risk
Quantitative information of LCR (EU LIQ1) *
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% |
(*) The data presented in this table are calculated as the rolling average over the twelve latest month-end values.
Net Stable Funding Ratio (EU LIQ2)
| 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 - | |||||||
Maturity of exposures (EU CR1-A)
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 | |||
Debt securities | - | 2,383 6,506 | 14,913 - 23,803 | |||
TOTAL | 7,906 | 60,893 106,000 | 94,077 - 268,876 | |||
In millions of euros | 31 December 2022 | |||||
Net exposure value | ||||||
On demand | <= 1 year | > 1 year <= 5 years | > 5 years | No stated maturity | Total | |
Loans and advances 7,606 60,640 87,806 78,867 - 234,918
Debt securities | - | 3,460 | 6,788 | 9,158 - | 19,407 |
TOTAL | 7,606 | 64,099 | 94,594 | 88,026 - | 254,325 |
BNP PARIBAS FORTIS ADDITIONAL PILLAR 3 DISCLOSURE 2023 | - 27 - |