BNP Paribas Fortis : Additional Pillar 3 disclosure – 2022

BNP PARIBAS FORTIS SA/NV

Additional Pillar 3 disclosure for the year 2022

The bank for a changing world

This document, containing additional quantitative Pillar 3 disclosures, completes the information published in the Pillar 3 report of BNP Paribas Fortis for the year 2022.

CONTENTS

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	8
	- LRSpl)

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)	16
12.	Credit quality of performing and non-performing exposures by past due days (EU CQ3)	17
13.	Collateral obtained by taking possession and execution processes (EU CQ7)	19
14.	Geographical distribution of credit exposures relevant for the calculation of the countercyclical buffer	20
	(EU CCyB1)
15.	Amount of institution-specific countercyclical capital buffer (EU CCyB2)	21

Counterparty credit risk	22
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

BNP PARIBAS FORTIS ADDITIONAL PILLAR 3 DISCLOSURE 2022

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Capital adequacy

Composition of regulatory own funds (EU CC1)

In millions of euros	31 December 2022	31 December 2021
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	12 491	12 327
Accumulated other comprehensive income (and other reserves)	(2 654)	(1 417)
Minority interests (amount allowed in consolidated CET1)	1 651	1 387
Common Equity Tier 1 (CET1) capital before regulatory adjustments	23 393	24 203
Common Equity Tier 1 (CET1) capital: regulatory adjustments
Additional value adjustments (negative amount)	(67)	(90)
Intangible assets (net of related tax liability) (negative amount)	(1 863)	(1 732)
Deferred tax assets that rely on future profitability excluding those arising from temporary differences	(79)	(187)
(net of related tax liability where the conditions in Article 38 (3) CRR are met) (negative amount)
Fair value reserves related to gains or losses on cash flow hedges of financial instruments that are not	(32)	46
valued at fair value
Negative amounts resulting from the calculation of expected loss amounts	(136)	(163)
Gains or losses on liabilities valued at fair value resulting from changes in own credit standing	(5)	16
Defined-benefit pension fund assets (negative amount)	(16)	(20)
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	-	(364)
and net of eligible short positions) (negative amount)
Other regulatory adjustments	(111)	(3)
Total regulatory adjustments to Common Equity Tier 1 (CET1)	(2 309)	(2 499)
Common Equity Tier 1 (CET1) capital	21 084	21 704
Additional Tier 1 (AT1) capital: instruments

Capital instruments and the related share premium accounts

of which: classified as equity under applicable accounting standards

of which: classified as liabilities under applicable accounting standards

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

Additional Tier 1 (AT1) capital before regulatory adjustments

Additional Tier 1 (AT1) capital

Tier 1 capital (T1 = CET1 + AT1)

Tier 2 (T2) capital: instruments

500500

• -

500500

• 205

236	250
736	956
736	956
21 820	22 660

Capital instruments and the related share premium accounts

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

Tier 2 (T2) capital before regulatory adjustments

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)

Total regulatory adjustments to Tier 2 (T2) capital

Tier 2 (T2) capital

Total capital (TC = T1 + T2)

Total Risk exposure amount

Capital ratios and requirements including buffers

Common Equity Tier 1 capital

Tier 1 capital

Total capital

Institution CET1 overall capital requirements

of which: capital conservation buffer requirement

of which: countercyclical capital buffer requirement

of which: systemic risk buffer requirement

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

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

1 000

1 000

• 30

279	284
1 279	1 314

1. (240)

1. (240)

996	1 074
22 816	23 734
122 520	120 884
17,21%	17,95%
17,81%	18,75%
18,62%	19,63%
9,79%	9,25%
2,50%	2,50%
0,12%	0,05%
0,46%	0,00%
1,50%	1,50%
0,70%	0,70%

BNP PARIBAS FORTIS ADDITIONAL PILLAR 3 DISCLOSURE 2022

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

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)

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)

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)

9,37%	10,38%
196	356
1 392	2 207
964	962

BNP PARIBAS FORTIS ADDITIONAL PILLAR 3 DISCLOSURE 2022

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

In millions of euros

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

	31 December 2022		31 December 2021
Balance sheet as in	Under regulatory	Balance sheet as in	Under regulatory
published financial	scope of	published financial	scope of
statements	consolidation	statements	consolidation
39 009	39 009	61 263	61 891
12 315	12 144	13 634	13 542
1 376	1 365	1 317	1 307
2 558	2 558	4 282	4 282
8 381	8 221	8 035	7 953
6 499	6 633	1 982	1 969
5 877	5 877	7 861	7 861
5 739	5 739	7 547	7 547
138	138	314	314
241 156	250 200	213 208	230 728
11 220	7 210	7 394	6 112
216 785	229 839	194 102	211 577
13 151	13 151	11 712	13 039
(907)	(907)	1 812	1 855
266	-	248	-
1 241	1 093	1 342	1 230
11 467	9 404	9 188	7 694
2 572	5 848	3 809	6 239
29 581	1 838	26 144	1 961
468	351	390	306
848	240	767	244
-	-	-	-
350 392	331 730	341 648	335 520
2 363	2 363	426	426
18 520	18 360	22 372	22 283
603	603	159	159
7 562	7 562	13 060	13 060
2 388	2 388	3 028	3 021
7 967	7 807	6 125	6 043
9 692	9 751	3 215	3 342
277 522	262 804	270 821	267 474
46 295	36 027	56 610	49 002
212 692	213 678	199 037	205 254
16 252	10 906	12 878	11 012
2 283	2 193	2 296	2 206
(5 216)	(5 216)	472	472
1 083	474	768	381
11 405	8 749	8 012	5 955
190	-	156	-
3 782	3 394	4 209	3 990
-	-	-	-
319 341	300 679	310 451	304 323
24 898	24 879	24 735	24 716
3 161	3 161	2 593	2 593
28 059	28 040	27 328	27 309
(2 673)	(2 654)	(1 436)	(1 416)
(333)	(314)	(78)	(59)
(2 340)	(2 340)	(1 358)	(1 357)
25 386	25 386	25 892	25 893
6 414	6 414	6 276	6 275
(749)	(749)	(971)	(971)
5 665	5 665	5 305	5 304
31 051	31 051	31 197	31 197

BNP PARIBAS FORTIS ADDITIONAL PILLAR 3 DISCLOSURE 2022

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