BNP Paribas Fortis SA Pillar 3 disclosures for the year 2023 a Additional

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BNP PARIBAS FORTIS SA/NV | ANNUAL REPORT 2023

Pillar 3

disclosure for

the year 2023

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.

1. 2. 3. 4.	Capital adequacy Composition of regulatory own funds (EU CC1) Reconciliation of regulatory own funds to balance sheet in the audited financial statements (EU CC2) Key metrics template (EU KM1) Summary reconciliation of accounting assets and leverage ratio exposures (EU LR1 - LRSum)	3 3 5 6 7
5.	Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures) (EU LR3 - LRSpl)	8
	Credit risk	9
6. 7. 8. 9.	Performing and non-performing exposures and related provisions (EU CR1) CRM techniques overview - Disclosure of the use of credit risk mitigation techniques (EU CR3) Standardised approach – Credit risk exposure and CRM effects (EU CR4) Standardised approach – Exposures by asset classes and risk weights (EU CR5) 10. IRB approach – Disclosure of the extent of the use of CRM techniques (EU CR7-A) 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) 14. Geographical distribution of credit exposures relevant for the calculation of the countercyclical buffer (EU CCyB1)	9 11 12 13 14 16 17 19 20
	15. Amount of institution-specific countercyclical capital buffer (EU CCyB2)	21
	Counterparty credit risk 16. Standardised approach – CCR exposures by regulatory exposure class and risk weights (EU CCR3) 17. RWEA flow statements of CCR exposures under the IMM (EU CCR7)	22 22 23
	Market Risk 18. RWEA flow statements of market risk exposures under the IMA (EU MR2-B)	24 24
	Liquidity risk 19. Quantitative information of LCR (EU LIQ1) 20. Net Stable Funding Ratio (EU LIQ2) 21. Maturity of exposures (EU CR1-A)	25 25 26 27

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%

BNP PARIBAS FORTIS ADDITIONAL PILLAR 3 DISCLOSURE 2023 - 3 -

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)

	31 December 2023		31 December 2022
	Balance sheet as in published	Under regulatory	Balance sheet as in published	Under regulatory
	financial	scope of	financial	scope of
In millions of euros	statements	consolidation	statements	consolidation
Assets
Cash and balances at central banks	38,467	38,467	39,009	39,009
Financial instruments at fair value through profit or loss	9,419	9,349	12,315	12,144
of which Securities	1,604	1,604	1,376	1,365
of which Loans and repurchase agreements	1,674	1,674	2,558	2,558
of which Derivative financial instruments	6,141	6,071	8,381	8,221
Derivatives used for hedging purposes	5,418	5,471	6,499	6,633
Financial assets at fair value through equity	10,802	10,802	5,877	5,877
of which Debt securities	10,651	10,651	5,739	5,739
of which Equity securities Financial assets at amortised cost	151 250,926	151 259,495	138 241,156	138 250,200
of which Loans and advances to credit institutions	19,116	16,083	11,220	7,210
of which Loans and advances to customers	219,303	230,905	216,785	229,839
of which Debt securities	12,507	12,507	13,151	13,151
Remeasurement adjustment on interest-rate risk
hedged portfolios	(804)	(804)	(907)	(907)
Financial investments of insurance activities	342	-	266	-
Current and deferred tax assets	1,064	914	1,241	1,093
Accrued income and other assets	13,668	10,594	11,467	9,404
Equity-method investments	2,631	6,527	2,572	5,848
Property, plant and equipment and Investment property	36,475	1,710	29,581	1,838
Intangible assets	571	428	468	351
Goodwill	872	239	848	240
Non-current assets held for sale	4,029	4,029	-	-
TOTAL ASSETS	373,880	347,220	350,392	331,730
Liabilities
Deposits from central banks	1,971	1,971	2,363	2,363
Financial instruments at fair value through profit or loss	21,347	21,276	18,520	18,360
of which Securities	697	697	603	603
of which Deposits and repurchase agreements	11,788	11,788	7,562	7,562
of which Issued debt securities	2,721	2,721	2,388	2,388
of which Derivative financial instruments	6,141	6,070	7,967	7,807
Derivatives used for hedging purposes	8,271	8,229	9,692	9,751
Financial liabilities at amortised cost	292,812	271,306	277,522	262,804
of which Deposits from credit institutions	62,845	49,387	46,295	36,027
of which Deposits from customers of which Debt securities	203,931 23,801	204,837 14,935	212,692 16,252	213,678 10,906
of which Subordinated debt	2,235	2,147	2,283	2,193
Remeasurement adjustment on interest-rate risk
hedged portfolios	(3,895)	(3,895)	(5,216)	(5,216)
Current and deferred tax liabilities	1,362	537	1,083	474
Accrued expenses and other liabilities	12,251	9,212	11,405	8,749
Technical reserves and other insurance liabilities	246	-	190	-
Provisions for contingencies and charges	4,325	3,394	3,782	3,394
Liabilities associated with non-current assets held for
sale	4,011	4,011	-	-
TOTAL LIABILITIES	342,701	316,041	319,341	300,679
Shareholders' Equity
Share capital, additional paid-in capital and retained
earnings	25,029	25,010	24,898	24,879
Net income for the period attributable to shareholders	3,095	3,095	3,161	3,161
Total capital, retained earnings and net income for the
period attributable to shareholders	28,124	28,105	28,059	28,040
Changes in assets and liabilities recognised directly in
equity	(2,711)	(2,692)	(2,673)	(2,654)
Unrealised gains or losses on non-recyclable items
through profit or loss	(237)	(218)	(333)	(314)
Unrealised or deferred gains or losses on recyclable items through profit or loss	(2,474)	(2,474)	(2,340)	(2,340)
Shareholders' equity	25,413	25,413	25,386	25,386
Retained earnings and net income for the period
attributable to minority interests	6,459	6,459	6,414	6,414
Change in assets and liabilities recognised directly in
equity	(693)	(693)	(749)	(749)
Minority interests	5,766	5,766	5,665	5,665
TOTAL SHAREHOLDERS' EQUITY	31,179	31,179	31,051	31,051

Key metrics template (EU KM1)

In millions of euros	31 December 2023	31 December 2022
Available own funds
Common Equity Tier 1 (CET1) capital	20,947	21,084
Tier 1 capital	21,715	21,820
Total capital	22,701	22,816
Risk-weighted exposure amounts
Total risk exposure amount	128,972	122,520
Capital ratios (as a percentage of risk-weighted exposure amount)
Common Equity Tier 1 ratio (%)	16.24%	17.21%
Tier 1 ratio (%)	16.84%	17.81%
Total capital ratio (%)	17.60%	18.62%
Additional own funds requirements to address risks other than the risk of excessive leverage (as a percentage of risk
weighted exposure amount)
Additional own funds requirements to address risks other than the risk of excessive	1.50%	1.25%
leverage (%)
of which: to be made up of CET1 capital	0.84%	0.70%
of which: to be made up of Tier 1 capital	1.13%	0.94%
Total SREP own funds requirements (%)	9.50%	9.25%
Combined buffer and overall capital requirement (as a percentage of risk-weighted exposure amount)
Capital conservation buffer (%)	2.50%	2.50%
Institution specific countercyclical capital buffer (%)	0.35%	0.12%
Systemic risk buffer (%)	0.46%	0.46%
Global Systemically Important Institution buffer (%)	0.00%	0.00%
Other Systemically Important Institution buffer (%)	1.50%	1.50%
Combined buffer requirement (%)	4.81%	4.58%
Overall capital requirements (%)	14.31%	13.83%
CET1 available after meeting the total SREP own funds requirements (%)	8.10%	9.37%
Leverage ratio
Total exposure measure	362,170	346,129
Leverage ratio (%)	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%
Total SREP leverage ratio requirements (%)	3.00%	3.00%
Leverage ratio buffer and overall leverage ratio requirement (as a percentage of total exposure measure)
Leverage ratio buffer requirement (%)	0.00%	0.00%
Overall leverage ratio requirement (%)	3.00%	3.00%
Liquidity Coverage Ratio
Total high-quality liquid assets (HQLA) (Weighted value -average)	38,174	44,008
Cash outflows - Total weighted value	40,744	35,498
Cash inflows - Total weighted value	10,301	7,774
Total net cash outflows (adjusted value)	30,443	27,724
Liquidity coverage ratio (%)	125.83%	158.52%
Net Stable Funding Ratio
Total available stable funding	166,769	169,096
Total required stable funding	155,461	142,242
NSFR ratio (%)	107.27%	118.88%

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	347,293	331,730
Adjustment for entities which are consolidated for accounting purposes but are outside the scope of prudential consolidation	-	-
(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	(7,152)	(9,952)
Adjustment for securities financing transactions (SFTs)	54	292
Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off balance sheet exposures)	24,474	26,369
(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	(2,440)	(2,242)
Total exposure measure	362,170	346,129

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)

														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
In millions of euros		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	On performing exposures	On non performing exposures
Cash balances at central banks and other demand deposits	39,585	39,580	5	0	-	0	(18)	(18)	0	-	-	-	23	-
Loans and advances	243,549	224,806	18,743	4,598	95	4,503	(799)	(350)	(449)	(2,198)	(1)	(2,197)	174,390	1,894
Central banks	1	1	-	-	-	-	0	0	-	-	-	-	0	-
General governments	9,693	9,271	422	141	85	56	(4)	(3)	(2)	(10)	(1)	(9)	5,002	115
Credit institutions	14,202	14,085	117	67	-	67	(1)	(1)	(1)	(55)	-	(55)	13,166	0
Other financial corporations	7,815	6,645	1,171	402	0	402	(33)	(14)	(18)	(238)	-	(238)	4,227	134
Non-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
Of which SMEs	45,701	40,633	5,068	1,225	3	1,222	(225)	(108)	(117)	(598)	0	(598)	34,137	584
Households	93,857	89,862	3,995	1,344	6	1,337	(290)	(119)	(171)	(455)	0	(455)	75,649	548
Debt securities	23,356	23,142	215	14	-	14	(19)	(7)	(12)	(6)	-	(6)	1,795	-
General governments	18,262	18,262	-	-	-	-	(7)	(7)	-	-	-	-	-	-
Credit institutions	3,800	3,800	-	-	-	-	0	0	-	-	-	-	1,795	-
Other financial corporations	1,181	988	193	12	-	12	(12)	0	(12)	(5)	-	(5)	-	-
Non-financial corporations	114	93	21	1	-	1	(1)	0	(1)	(1)	-	(1)	-	-
Off-balance-sheet exposures	77,227	71,194	6,033	332	-	332	(132)	(62)	(70)	(79)	-	(79)	18,782	128
Central banks	-	-	-	-	-	-	-	-	-	-	-	-	-	-
General governments	1,853	1,653	200	47	-	47	0	0	0	-	-	-	687	42
Credit institutions	2,718	2,559	159	2	-	2	(12)	(4)	(8)	-	-	-	218	-
Other financial corporations	9,743	9,494	249	11	-	11	(7)	(4)	(2)	(2)	-	(2)	891	0
Non-financial corporations	47,775	42,814	4,961	231	-	231	(89)	(40)	(49)	(77)	-	(77)	14,966	85
Households	15,137	14,673	464	41	-	41	(24)	(14)	(10)	(1)	-	(1)	2,019	1
TOTAL	383,717	358,722	24,995	4,943	95	4,848	(968)	(437)	(531)	(2,284)	(1)	(2,282)	194,990	2,022

														31 December 2022
											Accumulated impairment, accumulated negative changes in fair value due to credit			Collaterals and financial
	Gross carrying amount										risk and provisions	guarantees received
		of which:	Performing exposures of which:		Non-performing exposures of which:	of which:		of which:	Performing exposures of which:		Non-performing exposures of which:	of which:	On performing	On non performing
In millions of euros		stage 1	stage 2		stage 1 & 2	stage 3		stage 1	stage 2		stage 1 & 2	stage 3	exposures	exposures
Cash balances at central banks and other demand	40,171	40,168	3	1	1	-	(14)	(14)	0	-	-	-	0	-
deposits
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	-
Other financial corporations	8,926	8,362	564	379	-	379	(46)	(25)	(21)	(209)	-	(209)	6,718	121
Non-financial corporations	121,834	105,185	16,649	2,744	70	2,675	(518)	(231)	(287)	(1,531)	0	(1,530)	73,077	1,032
Of which SMEs	47,867	42,362	5,505	1,128	22	1,106	(277)	(124)	(153)	(583)	0	(583)	32,048	482
Households	88,578	85,176	3,403	997	1	996	(184)	(71)	(113)	(302)	-	(302)	74,033	438
Debt securities	19,140	18,991	149	18	-	18	(26)	(10)	(16)	(7)	-	(7)	1,102	-
General governments	14,985	14,985	-	-	-	-	(10)	(10)	-	-	-	-	-	-
Credit institutions	2,775	2,775	-	-	-	-	0	0	-	-	-	-	1,102	-
Other financial corporations	1,260	1,115	145	16	-	16	(16)	0	(16)	(6)	-	(6)	-	-
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	-	-	-	-	-	-	-	-	-	-	-	-	-	-
General governments	1,904	1,772	132	0	-	0	0	0	0	-	-	-	726	-
Credit institutions	2,809	2,594	215	1	-	1	(6)	(4)	(2)	0	-	0	265	-
Other financial corporations	9,395	9,111	284	11	-	11	(8)	(6)	(2)	(2)	-	(2)	1,022	-
Non-financial corporations	47,564	41,599	5,964	283	-	283	(135)	(55)	(81)	(87)	-	(87)	14,040	99
Households	9,275	9,023	252	11	-	11	(12)	(8)	(4)	(1)	-	(1)	2,828	1
TOTAL	363,809	335,897	27,912	4,618	164	4,454	(959)	(430)	(529)	(2,211)	(2)	(2,210)	182,130	1,780

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

	31 December 2023
					Secured carrying amount
						Of which secured by financial guarantees
In millions of euros	Gross carrying amount	Unsecured carrying amount		Of which secured by collateral		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	-

	31 December 2022
						Secured carrying amount
						Of which secured by financial guarantees
In millions of euros	Gross carrying amount	Unsecured carrying amount		Of which secured by collateral		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)

		31 December 2023
		Gross exposure		Exposure net of provisions			EAD
In millions of euros	Balance sheet	Off-balance sheet	Balance sheet	Off-balance sheet	Balance sheet	Off-balance sheet	RWEA	RWEA density
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	10,151	606	10,106	605	8,611	294	3,313	37%
Exposures in default	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%

								31 December 2022
		Gross exposure		Exposure net of provisions		EAD
In millions of euros	Balance sheet	Off-balance sheet	Balance sheet	Off-balance sheet	Balance sheet	Off-balance sheet	RWEA	RWEA density
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	9,216	731	9,171	728	7,594	354	2,984	38%
Exposures in default	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)

												31 December 2023
												EAD
In millions of euros	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	-	-	8,103	239	480	83	-	-	-	-	8,906	8,684
Exposures in default	-	-	-	-	-	541	211	-	-	-	751	718
Covered bonds	-	-	-	3	-	-	-	-	-	-	3	-
Units or shares in collective investment undertakings	-	-	-	-	-	-	-	-	-	373	373	-
Equity exposures	-	-	-	-	-	-	-	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.

												31 December 2022
												EAD
												Of which
In millions of euros	0%	20%	35%	50%	75%	100%	150%	370%	1250%	Others	Total	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	295
Public sector entities	20	135	-	7	-	54	-	-	-	-	216	39
Multilateral development banks	-	0	-	0	-	-	-	-	-	-	0	-
International organisations	166	-	-	-	-	-	-	-	-	-	166	89
Institutions	-	1,440	-	1,919	-	565	14	-	-	-	3,938	446
Corporates	-	5,057	12	1,170	-	13,834	165	-	-	-	20,237	12,921
Retail exposures	-	-	0	-	21,678	-	-	-	-	-	21,678	21,655
Exposures secured by mortgages on immovable property	-	-	7,126	275	447	100	-	-	-	-	7,948	7,674
Exposures in default	-	-	-	-	-	442	195	-	-	-	636	606
Covered bonds	-	-	-	4	-	-	-	-	-	-	4	-
Equity exposures	-	-	-	-	-	-	-	1	6	337	345	345
Other items	83	30	-	1	-	2,739	-	-	-	1,955	4,808	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.

															31 December 2023
				Credit risk Mitigation techniques											Credit Risk
											Funded credit		Unfunded credit
											Protection (FCP)		Protection (UFCP)
					Part of exposures covered by Other eligible						Part of exposures covered by Other funded
					Part of		collaterals (%) Part of				credit protection (%) Part of
			Part of		exposures		exposures			Part of	exposures		Part of
			exposures		covered by	Part of	covered by		Part of	exposures	covered by	Part of	exposures
			covered by		Immovable	exposures	Other		exposures	covered by	Instruments	exposures	covered by
	Total gross	Total net	Financial Collaterals		property Collaterals	covered by Receivables	physical collateral		covered by Cash on	Life insurance	held by a third party	covered by Guarantees	Credit Derivatives	RWEA without substitution	RWEA with substitution
In millions of euros	exposures	exposures	(%)		(%)	(%)	(%)		deposit (%)	policies (%)	(%)	(%)	(%)	effects	effects
Central governments and central banks	51,291	51,300	0%	0%	0%	0%	0%	0%	0%	0%	0%	2%	0%	174	174
Institutions	12,913	11,686	0%	4%	4%	0%	0%	0%	0%	0%	0%	28%	0%	1,519	1,519
Corporates	131,333	104,122	3%	25%	23%	1%	1%	1%	0%	0%	0%	17%	0%	42,197	41,460
of which Corporates – SMEs	12,084	10,925	5%	43%	42%	1%	0%	1%	0%	0%	0%	15%	0%	5,386	4,986
of which Corporates – Specialised lending	22,234	18,843	0%	24%	19%	0%	5%	0%	0%	0%	0%	36%	0%	6,928	6,591
of which Corporates – Other	97,015	74,354	3%	23%	22%	1%	0%	1%	1%	0%	0%	13%	0%	29,883	29,883
Retail	93,971	91,945	1%	78%	78%	0%	0%	0%	0%	0%	0%	2%	0%	15,712	14,760
of which Retail – Immovable property SMEs	7,192	6,761	0%	87%	87%	0%	0%	0%	0%	0%	0%	3%	0%	1,862	1,463
of which Retail – Immovable property non SMEs	64,317	64,330	0%	98%	98%	0%	0%	0%	0%	0%	0%	0%	0%	7,769	7,735
of which Retail – Qualifying revolving	0	0	0%	0%	0%	0%	0%	0%	0%	0%	0%	0%	0%	0	0
of which Retail –other SMEs	8,069	6,786	4%	20%	20%	0%	0%	1%	1%	0%	0%	22%	0%	2,264	1,746
of which Retail – other non-SMEs	14,393	14,067	1%	9%	9%	0%	0%	1%	0%	0%	0%	1%	0%	3,817	3,817
TOTAL	289,509	259,052	1%	38%	37%	0%	0%	0%	0%	0%	0%	9%	0%	59,602	57,914

															31 December 2022
												Credit risk Mitigation techniques		Credit Risk
											Funded credit		Unfunded credit
											Protection (FCP)		Protection (UFCP)
							Part of exposures covered by Other eligible		Part of exposures covered by Other funded
							collaterals (%)				credit protection (%)
					Part of		Part of				Part of
			Part of		exposures		exposures			Part of	exposures		Part of
			exposures covered by		covered by Immovable	Part of exposures	covered by Other		Part of exposures	exposures covered by	covered by Instruments	Part of exposures	exposures covered by	RWEA
			Financial		property	covered by	physical		covered by	Life	held by a	covered by	Credit	without	RWEA with
	Total gross	Total net	Collaterals		Collaterals	Receivables	collateral		Cash on	insurance	third party	Guarantees	Derivatives	substitution	substitution
In millions of euros	exposures	exposures	(%)		(%)	(%)	(%)		deposit (%)	policies (%)	(%)	(%)	(%)	effects	effects
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 SMEs	64,917	64,948	0%	98%	98%	0%	0%	0%	0%	0%	0%	0%	0%	7,450	7,418
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

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

	RWEA
In millions of euros	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 (+/-)	260
31 December 2023	57,914

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

												31 December 2023
			Performing exposures		Non-performing exposures
In millions of euros		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
Cash balances at central banks and other demand deposits	39,585	39,585	-	0	0	-	-	-	-	-	-	0
Loans and advances	243,549	242,498	1,052	4,598	1,836	419	401	770	607	104	460	4,503
Central banks	1	1	-	-	-	-	-	-	-	-	-	-
General governments	9,693	9,689	4	141	3	0	6	46	83	0	3	56
Credit institutions	14,202	14,202	0	67	0	-	0	2	-	-	65	67
Other financial corporations	7,815	7,796	19	402	279	6	3	8	76	0	30	402
Non-financial corporations	117,981	117,235	746	2,644	1,309	175	157	399	229	59	316	2,640
Of which SMEs	45,701	45,265	436	1,225	495	111	133	222	166	36	62	1,222
Households	93,857	93,574	282	1,344	245	237	236	315	220	45	46	1,337
Debt Securities	23,356	23,356	-	14	6	-	-	-	-	-	7	14
Central banks	-	-	-	-	-	-	-	-	-	-	-	-
General governments	18,262	18,262	-	-	-	-	-	-	-	-	-	-
Credit institutions	3,800	3,800	-	-	-	-	-	-	-	-	-	-
Other financial corporations	1,181	1,181	-	12	6	-	-	-	-	-	6	12
Non-financial corporations	114	114	-	1	-	-	-	-	-	-	1	1
Off-balance sheet exposures	77,227			332								332
Central banks	-			-								-
General governments	1,853			47								47
Credit institutions	2,718			2								2
Other financial corporations	9,743			11								11
Non-financial corporations	47,775			231								231
Households	15,137			41								41
TOTAL	383,717	305,439	1,052	4,943	1,842	419	401	770	607	104	467	4,848

												31 December 2022
			Performing exposures									Non-performing exposures
In millions of euros		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
Cash balances at central banks and other demand deposits	40,171	40,171	-	1	-	-	-	-	-	-	1	-
Loans and advances	233,551	232,704	847	4,292	1,758	354	338	672	626	88	456	4,129
Central banks	65	65	-	-	-	-	-	-	-	-	-	-
General governments	9,097	9,097	1	103	5	3	1	32	59	0	3	10
Credit institutions	5,050	5,050	0	69	0	-	-	3	-	-	67	69
Other financial corporations	8,926	8,897	30	379	263	1	4	35	74	0	2	379
Non-financial corporations	121,834	121,221	613	2,744	1,291	192	162	372	315	60	352	2,675
Of which SMEs	47,867	47,448	419	1,128	406	101	119	173	202	47	81	1,106
Households	88,578	88,374	204	997	200	159	170	231	179	27	31	996
Debt securities	19,140	19,140	-	18	9	-	-	-	-	-	10	18
Central banks	-	-	-	-	-	-	-	-	-	-	-	-
General governments	14,985	14,985	-	-	-	-	-	-	-	-	-	-
Credit institutions	2,775	2,775	-	-	-	-	-	-	-	-	-	-
Other financial corporations	1,260	1,260	-	16	9	-	-	-	-	-	8	16
Non-financial corporations	119	119	-	2	-	-	-	-	-	-	2	2
Off-balance-sheet exposures	70,947			307								307
Central banks	-			-								-
General governments	1,904			0								0
Credit institutions	2,809			1								1
Other financial corporations	9,395			11								11
Non-financial corporations	47,564			283								283
Households	9,275			11								11
TOTAL	363,809	292,015	847	4,618	1,767	354	338	672	626	88	466	4,454

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

	Value at initial	31 December 2023 Collateral obtained by taking possession Accumulated negative	Value at initial	31 December 2022 Collateral obtained by taking possession Accumulated negative
In millions of euros	recognition	changes	recognition	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)

											31 December 2023	31 December 2023
				Relevant credit exposures – Market
In millions of euros	Exposure value under the standardised approach	General credit exposures Exposure value under the IRB approach	Sum of long and short positions of trading book exposures for SA	risk Value of trading book exposures for internal models	Securitisation exposures Exposure value for non-trading book	Relevant credit risk exposures - Credit risk	Relevant credit exposures – Market risk	Relevant credit exposures – Securitisation positions in the non-trading book	Own fund requirements Total	Own funds requirements (%)	Countercyclical buffer rate (%)	Countercyclical buffer rate (%) forecast*
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.

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)

	31 December 2023
		Risk weight
In millions of euros	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

						31 December 2022
		Risk weight
In millions of euros	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)

			Capital Requirements -
		RWEA - Counterparty credit risk	Counterparty credit risk

	In millions of euros	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) *

				Unweighted value				Weighted value
In millions of euros		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

In millions of euros	No maturity	< 6 months	Unweighted value by residual maturity 6 months to < 1yr		≥ 1yr Weighted value
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%

Maturity of exposures (EU CR1-A)

						31 December 2023
						Net exposure value
In millions of euros	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

						31 December 2022
						Net exposure value
In millions of euros	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

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