BNP Paribas Fortis

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Additional Pillar 3 disclosure

2024

Additional Pillar 3 disclosure

2024

READY FOR YOUR 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 2024.

CONTENTS

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)

Internal loss absorbing capacity (EU ILAC1)

Creditor ranking – Entity that is not a resolution entity (EU TLAC2b)

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

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

Credit risk

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)

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

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

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

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

Geographical distribution of credit exposures relevant for the calculation of the countercyclical buffer (EU CCyB1)

Amount of institution-specific countercyclical capital buffer (EU CCyB2)

Counterparty credit risk

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

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

Market Risk

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

Liquidity risk

Quantitative information of LCR (EU LIQ1)

Net Stable Funding Ratio (EU LIQ2)

Maturity of exposures (EU CR1-A)

Capital adequacy

Composition of regulatory own funds (EU CC1)

In millions of euros

31 December 2024

31 December 2023

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

Capital instruments and the related share premium accounts

11,905

of which: Instrument type 1

11,905

Retained earnings

12,913

12,473

Accumulated other comprehensive income (and other reserves)

(2,447)

(2,692)

Minority interests (amount allowed in consolidated CET1)

1,873

1,760

Common Equity Tier 1 (CET1) capital before regulatory adjustments

27,107

23,445

Common Equity Tier 1 (CET1) capital: regulatory adjustments

Additional value adjustments (negative amount)

(58)

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

(2,055)

(1,927)

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)

(9)

(39)

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

(29)

Negative amounts resulting from the calculation of expected loss amounts

(470)

(246)

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

(6)

(14)

Defined-benefit pension fund assets (negative amount)

(28)

(6)

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

(213)

(164)

Total regulatory adjustments to Common Equity Tier 1 (CET1)

(2,880)

(2,498)

Common Equity Tier 1 (CET1) capital

24,227

20,947

Additional Tier 1 (AT1) capital: instruments

Capital instruments and the related share premium accounts

3,500

500

of which: classified as equity under applicable accounting standards

of which: classified as liabilities under applicable accounting standards

3,500

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

169

268

Additional Tier 1 (AT1) capital before regulatory adjustments

3,669

768

Additional Tier 1 (AT1) capital

3,669

768

Tier 1 capital (T1 = CET1 + AT1)

27,895

21,715

Tier 2 (T2) capital: instruments

Capital instruments and the related share premium accounts

4,750

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

239

269

Tier 2 (T2) capital before regulatory adjustments

4,989

1,269

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)

(183)

(283)

Total regulatory adjustments to Tier 2 (T2) capital

(183)

(283)

Tier 2 (T2) capital

4,806

986

Total capital (TC = T1 + T2)

32,701

22,701

Total Risk exposure amount

172,505

128,972

Capital ratios and requirements including buffers

Common Equity Tier 1 capital

14.04%

16.24%

Tier 1 capital

16.17%

16.84%

Total capital

18.96%

17.60%

Institution CET1 overall capital requirements

10.42%

10.15%

of which: capital conservation buffer requirement

2.50%

of which: countercyclical capital buffer requirement

0.84%

0.35%

of which: systemic risk buffer requirement

0.23%

0.46%

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

1.50%

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

0.84%

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

8.70%

8.10%

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)

250

211

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)

2,293

1,571

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)

636

776

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

In millions of euros

31 December 2024

31 December 2023

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

26,538

38,467

Financial instruments at fair value through profit or loss

11,017

9,419

9,349

of which Securities

1,764

1,604

of which Loans and repurchase agreements

2,943

1,674

of which Derivative financial instruments

6,310

6,141

6,071

Derivatives used for hedging purposes

4,414

5,418

5,471

Financial assets at fair value through equity

13,033

10,802

of which Debt securities

12,863

10,651

of which Equity securities

170

151

Financial assets at amortised cost

264,018

264,023

250,926

259,495

of which Loans and advances to credit institutions

19,897

19,899

19,116

16,083

of which Loans and advances to customers

228,838

228,842

219,303

230,905

of which Debt securities

15,283

15,282

12,507

Remeasurement adjustment on interest-rate risk hedged portfolios

(468)

(804)

Financial investments of insurance activities

459

342

Current and deferred tax assets

831

1,064

914

Accrued income and other assets

13,450

13,454

13,668

10,594

Equity-method investments

3,081

3,250

2,631

6,527

Property, plant and equipment and Investment property

41,971

36,475

1,710

Intangible assets

622

571

428

Goodwill

880

872

239

Non-current assets held for sale

4,029

TOTAL ASSETS

379,846

379,565

373,880

347,220

Liabilities

Deposits from central banks

2,020

1,971

Financial instruments at fair value through profit or loss

18,866

21,347

21,276

of which Securities

786

697

of which Deposits and repurchase agreements

7,844

11,788

of which Issued debt securities

4,170

2,721

of which Derivative financial instruments

6,066

6,141

6,070

Derivatives used for hedging purposes

7,318

8,271

8,229

Financial liabilities at amortised cost

303,933

303,935

292,812

271,306

of which Deposits from credit institutions

63,292

62,845

49,387

of which Deposits from customers

212,937

212,936

203,931

204,837

of which Debt securities

20,758

20,761

23,801

14,935

of which Subordinated debt

6,946

2,235

2,147

Remeasurement adjustment on interest-rate risk hedged portfolios

(2,996)

(3,895)

Current and deferred tax liabilities

1,471

1,362

537

Accrued expenses and other liabilities

10,518

10,513

12,251

9,212

Technical reserves and other insurance liabilities

279

246

Provisions for contingencies and charges

3,630

3,631

4,325

3,394

Liabilities associated with non-current assets held for sale

4,011

TOTAL LIABILITIES

345,039

344,758

342,701

316,041

Shareholders' Equity

Share capital, additional paid-in capital and retained earnings

28,285

25,029

25,010

Net income for the period attributable to shareholders

2,919

3,095

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

31,204

28,124

28,105

Changes in assets and liabilities recognised directly in equity

(2,447)

(2,711)

(2,692)

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

(90)

(237)

(218)

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

(2,357)

(2,474)

Shareholders' equity

28,757

25,413

Retained earnings and net income for the period attributable to minority interests

6,549

6,459

Change in assets and liabilities recognised directly in equity

(499)

(693)

Minority interests

6,050

5,766

TOTAL SHAREHOLDERS' EQUITY

34,807

31,179

Key metrics template (EU KM1)

In millions of euros

31 December 2024

31 December 2023

Available own funds

Common Equity Tier 1 (CET1) capital

24,227

20,947

Tier 1 capital

27,895

21,715

Total capital

32,701

22,701

Risk-weighted exposure amounts

Total risk exposure amount

172,505

128,972

Capital ratios (as a percentage of risk-weighted exposure amount)

Common Equity Tier 1 ratio (%)

14.04%

16.24%

Tier 1 ratio (%)

16.17%

16.84%

Total capital ratio (%)

18.96%

17.60%

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 leverage (%)

1.50%

of which: to be made up of CET1 capital

0.84%

of which: to be made up of Tier 1 capital

1.13%

Total SREP own funds requirements (%)

9.50%

Combined buffer and overall capital requirement (as a percentage of risk-weighted exposure amount)

Capital conservation buffer (%)

2.50%

Institution specific countercyclical capital buffer (%)

0.84%

0.35%

Systemic risk buffer (%)

0.23%

0.46%

Global Systemically Important Institution buffer (%)

0.00%

Other Systemically Important Institution buffer (%)

1.50%

Combined buffer requirement (%)

5.07%

4.81%

Overall capital requirements (%)

14.57%

14.31%

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

8.70%

8.10%

Leverage ratio

Total exposure measure

398,417

362,170

Leverage ratio (%)

7.00%

6.00%

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%

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 (%)

0.00%

Overall leverage ratio requirement (%)

3.00%

Liquidity Coverage Ratio

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

33,646

38,174

Cash outflows - Total weighted value

38,192

40,744

Cash inflows - Total weighted value

10,270

10,301

Total net cash outflows (adjusted value)

27,922

30,443

Liquidity coverage ratio (%)

121.57%

125.83%

Net Stable Funding Ratio

Total available stable funding

189,061

166,769

Total required stable funding

168,787

155,461

NSFR ratio (%)

112.01%

107.27%

Internal loss absorbing capacity (EU ILAC1)

31 December 2024

In millions of euros

Minimum requirement for own funds and eligible liabilities (internal MREL)

Non-EU G-SII requirement for own funds and eligible liabilities (internal TLAC)

Qualitative information

Applicable requirement and level of application

EU-1

Is the entity subject to a non-EU G-SII requirement for own funds and eligible liabilities? (Y/N)

EU-2

If EU-1 is answered by 'Yes', is the requirement applicable on a consolidated or individual basis? (C/I)

EU-2a

Is the entity subject to an internal MREL? (Y/N)

EU-2b

If EU-2a is answered by 'Yes', is the requirement applicable on a consolidated or individual basis? (C/I)

Own funds and eligible liabilities

EU-3

Common Equity Tier 1 capital (CET1)

17,136

EU-4

Eligible Additional Tier 1 capital

3,500

EU-5

Eligible Tier 2 capital

4,750

EU-6

Eligible own funds

25,386

EU-7

Eligible liabilities

3,745

EU-8

of which permitted guarantees

EU-9a

(Adjustments)

(3,180)

EU-9b

Own funds and eligible liabilities items after adjustments

25,951

Total risk exposure amount and total exposure measure

EU-10

Total risk exposure amount (TREA)

80,730

EU-11

Total exposure measure (TEM)

295,282

Ratio of own funds and eligible liabilities

EU-12

Own funds and eligible liabilities as a percentage of the TREA

32.15%

EU-13

of which permitted guarantees

0.00%

EU-14

Own funds and eligible liabilities as a percentage of the TEM

8.79%

EU-15

of which permitted guarantees

0.00%

EU-16

CET1 (as a percentage of the TREA) available after meeting the entity’s requirements

13.62%

EU-17

Institution-specific combined buffer requirement

5.47%

Requirements

EU-18

Requirement expressed as a percentage of the TREA

18.53%

EU-19

of which part of the requirement that may be met with a guarantee

0.00%

EU-20

Requirement expressed as percentage of the TEM

5.90%

EU-21

of which part of the requirement that may be met with a guarantee

0.00%

Memorandum items

EU-22

Total amount of excluded liabilities referred to in Article 72a(2) of Regulation (EU) No 575/2013

133,350

Creditor ranking – Entity that is not a resolution entity (EU TLAC2b)

31 December 2024

In millions of euros

Insolvency ranking

Sum of 1 to 5

(most junior)

(most senior)

Resolution entity

Other

Resolution entity

Description of insolvency rank

Common Equity Tier 1

Subordinated Additional Tier 1

Subordinated Tier 2

Other instruments ranking senior to Subordinated Tier 2 but junior to ordinary claims

Non-preferred senior claims

Own funds and eligible liabilities for the purpose of internal MREL

17,125

3,500

4,750

1,245

2,500

29,131

of which residual maturity ≥ 1 year < 2 years

of which residual maturity ≥ 2 year < 5 years

1,245

of which residual maturity ≥ 5 years < 10 years

4,750

2,500

7,250

of which residual maturity ≥ 10 years, but excluding perpetual securities

of which perpetual securities

17,125

3,500

20,636

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

In millions of euros

31 December 2024

31 December 2023

Total assets as per published financial statements

374,316

347,293

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

(5,469)

(7,152)

Adjustment for securities financing transactions (SFTs)

Adjustment for off-balance sheet items (ie conversion to credit equivalent amounts of off-balance sheet exposures)

32,453

24,474

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

(58)

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

Other adjustments

(2,825)

(2,440)

Total exposure measure

398,417

362,170

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

In millions of euros

31 December 2024

31 December 2023

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

344,248

319,755

Trading book exposures

529

536

Banking book exposures, of which:

343,719

319,220

Covered bonds

Exposures treated as sovereigns

48,087

55,611

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

12,864

11,637

Institutions

6,935

6,237

Secured by mortgages of immovable properties

95,854

79,973

Retail exposures

46,499

48,750

Corporates

84,681

90,216

Exposures in default

3,902

2,670

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

44,897

24,125

Credit risk

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

In millions of euros

31 December 2024

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

28,967

28,957

(14)

Loans and advances

243,312

227,398

15,913

5,855

5,817

(685)

(353)

(332)

(2,563)

(1)

(2,562)

171,785

2,421

Central banks

General governments

9,338

8,919

418

(7)

(3)

(4)

(15)

(1)

(14)

4,527

Credit institutions

16,898

16,885

(2)

(1)

(59)

16,192

Other financial corporations

8,258

7,558

701

418

(17)

(10)

(7)

(266)

3,207

110

Non-financial corporations

108,987

97,926

11,061

3,596

3,593

(332)

(171)

(161)

(1,624)

68,537

1,587

      Of which SMEs

48,205

44,672

3,532

1,778

1,776

(167)

(97)

(71)

(737)

32,156

856

Households

99,831

96,111

3,719

1,688

1,687

(327)

(167)

(160)

(598)

79,322

665

Debt securities

28,335

28,108

227

(18)

(7)

(11)

(6)

2,035

General governments

22,587

(7)

Credit institutions

5,158

5,097

(1)

2,035

Other financial corporations

569

402

167

(10)

(5)

Non-financial corporations

Off-balance-sheet exposures

81,339

76,708

4,632

422

(79)

(47)

(31)

(74)

17,849

151

Central banks

General governments

1,703

1,539

163

557

Credit institutions

5,406

5,325

(5)

(1)

164

Other financial corporations

7,137

6,943

194

(3)

(2)

(1)

(2)

914

Non-financial corporations

49,495

45,598

3,897

354

(46)

(23)

(22)

(71)

14,287

147

Households

17,599

17,302

296

(24)

(17)

(7)

(1)

1,928

TOTAL

381,953

361,171

20,782

6,289

6,252

(796)

(421)

(375)

(2,643)

(1)

(2,642)

191,686

2,572

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

(18)

Loans and advances

243,549

224,806

18,743

4,598

4,503

(799)

(350)

(449)

(2,198)

(1)

(2,197)

174,390

1,894

Central banks

General governments

9,693

9,271

422

141

(4)

(3)

(2)

(10)

(1)

(9)

5,002

115

Credit institutions

14,202

14,085

117

(1)

(55)

13,166

Other financial corporations

7,815

6,645

1,171

402

(33)

(14)

(18)

(238)

4,227

134

Non-financial corporations

117,981

104,943

13,038

2,644

2,640

(471)

(213)

(257)

(1,441)

(1,440)

76,346

1,097

      Of which SMEs

45,701

40,633

5,068

1,225

1,222

(225)

(108)

(117)

(598)

34,137

584

Households

93,857

89,862

3,995

1,344

1,337

(290)

(119)

(171)

(455)

75,649

548

Debt securities

23,356

23,142

215

(19)

(7)

(12)

(6)

1,795

General governments

18,262

(7)

Credit institutions

3,800

1,795

Other financial corporations

1,181

988

193

(12)

(5)

Non-financial corporations

114

(1)

Off-balance-sheet exposures

77,227

71,194

6,033

332

(132)

(62)

(70)

(79)

18,782

128

Central banks

General governments

1,853

1,653

200

687

Credit institutions

2,718

2,559

159

(12)

(4)

(8)

218

Other financial corporations

9,743

9,494

249

(7)

(4)

(2)

891

Non-financial corporations

47,775

42,814

4,961

231

(89)

(40)

(49)

(77)

14,966

Households

15,137

14,673

464

(24)

(14)

(10)

(1)

2,019

TOTAL

383,717

358,722

24,995

4,943

4,848

(968)

(437)

(531)

(2,284)

(1)

(2,282)

194,990

2,022

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

In millions of euros

31 December 2024

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

278,134

100,665

174,207

151,396

22,811

Debt securities

28,348

26,289

2,035

TOTAL

306,481

126,954

176,242

153,430

22,811

of which non-performing exposures

5,868

878

2,421

1,960

462

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

TOTAL

311,102

129,982

178,080

151,754

26,325

of which non-performing exposures

4,611

513

1,894

1,559

336

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

In millions of euros

31 December 2024

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

7,271

7,251

8,763

2,135

24%

Regional government or local authorities

692

282

690

282

682

141

368

45%

Public sector entities

200

199

196

39%

Multilateral development banks

International organisations

118

Institutions

4,789

1,648

4,784

1,648

4,784

701

2,898

53%

Corporates

29,242

5,282

29,163

5,270

29,565

3,324

29,189

89%

Retail

28,945

10,072

28,678

10,053

28,207

1,109

19,067

65%

Secured by mortgages on immovable property

11,838

954

11,798

949

10,380

464

4,702

43%

Exposures in default

2,683

1,677

1,579

1,838

115%

Covered bonds

Collective investment undertakings

351

251

351

251

351

125

895

188%

Equity

606%

Other items

33,903

2,911

33,903

2,911

33,901

2,809

23,061

63%

TOTAL

120,033

21,527

118,613

21,477

118,528

8,700

84,260

66%

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

1,839

1,863

343

18%

Public sector entities

330

329

287

100

35%

Multilateral development banks

International organisations

197

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

750

729

857

114%

Covered bonds

50%

Equity

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%

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

In millions of euros

31 December 2024

EAD

20%

35%

50%

75%

100%

150%

370%

1250%

Others

Total

Of which unrated (*)

Central governments or central banks

6,584

2,114

8,767

2,106

Regional government or local authorities

135

299

227

162

823

361

Public sector entities

122

198

Multilateral development banks

International organisations

118

Institutions

2,265

1,549

1,670

5,484

330

Corporates

3,300

1,084

28,099

405

32,889

26,986

Retail exposures

29,316

Exposures secured by mortgages on immovable property

7,802

864

1,708

368

102

10,845

9,553

Exposures in default

1,109

486

1,595

1,574

Covered bonds

Units or shares in collective investment undertakings

444

476

450

Equity exposures

Other items

881

790

6,666

14,859

13,514

36,711

36,074

TOTAL

7,736

6,823

7,802

10,201

31,024

48,522

892

14,223

127,228

106,803

(*) Exposures to counterparties without a credit rating from external rating agencies.

In millions of euros

31 December 2023

EAD

20%

35%

50%

75%

100%

150%

370%

1250%

Others

Total

Of which unrated (*)

Central governments or central banks

6,199

2,301

8,511

2,100

Regional government or local authorities

681

1,040

123

1,868

669

Public sector entities

124

289

Multilateral development banks

International organisations

198

Institutions

1,298

1,785

857

3,969

396

Corporates

5,620

1,012

13,768

171

20,579

12,834

Retail exposures

24,849

24,850

24,818

Exposures secured by mortgages on immovable property

8,103

239

480

8,906

8,684

Exposures in default

541

211

751

718

Covered bonds

Equity exposures

383

Other items

2,700

2,164

4,975

4,604

TOTAL

7,182

8,162

8,112

3,120

25,329

20,420

411

2,538

75,284

55,356

(*) 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 2024

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

45,650

45,546

108

Institutions

13,722

12,495

31%

2,249

Corporates

122,501

94,414

26%

24%

17%

44,502

43,365

of which Corporates – SMEs

10,370

9,056

54%

53%

3,634

3,194

of which Corporates – Specialised lending

22,157

18,986

20%

19%

38%

8,865

8,169

of which Corporates – Other

89,974

66,372

25%

24%

20%

32,003

Retail

95,510

93,702

78%

15,848

14,940

of which Retail – Immovable property SMEs

7,367

6,934

87%

2,005

1,584

of which Retail – Immovable property non-SMEs

65,438

65,449

98%

7,718

7,687

of which Retail – Qualifying revolving

of which Retail –other SMEs

7,923

6,819

19%

29%

2,110

1,655

of which Retail – other non-SMEs

14,782

14,500

4,014

TOTAL

277,383

246,157

40%

12%

62,706

60,662

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

51,291

51,300

174

Institutions

12,913

11,686

28%

1,519

Corporates

131,333

104,122

25%

23%

17%

42,197

41,460

of which Corporates – SMEs

12,084

10,925

43%

42%

15%

5,386

4,986

of which Corporates – Specialised lending

22,234

18,843

24%

19%

36%

6,928

6,591

of which Corporates – Other

97,015

74,354

23%

22%

13%

29,883

Retail

93,971

91,945

78%

15,712

14,760

of which Retail – Immovable property SMEs

7,192

6,761

87%

1,862

1,463

of which Retail – Immovable property non-SMEs

64,317

64,330

98%

7,769

7,735

of which Retail – Qualifying revolving

of which Retail –other SMEs

8,069

6,786

20%

22%

2,264

1,746

of which Retail – other non-SMEs

14,393

14,067

3,817

TOTAL

289,509

259,052

38%

37%

59,602

57,914

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

In millions of euros

RWEA

Total

31 December 2023

57,914

Asset size (+/-)

991

Asset quality (+/-)

(743)

Model updates (+/-)

1,924

Methodology and policy (+/-)

Acquisitions and disposals (+/-)

Foreign exchange movements (+/-)

328

Other (+/-)

249

31 December 2024

60,662

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

In millions of euros

31 December 2024

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

Cash balances at central banks and other demand deposits

28,967

Loans and advances

243,312

241,749

1,562

5,855

2,554

487

718

902

752

144

299

5,815

 Central banks

 General governments

9,338

9,330

 Credit institutions

16,898

 Other financial corporations

8,258

8,221

418

288

418

 Non-financial corporations

108,987

108,128

859

3,596

1,836

226

459

510

336

152

3,590

  Of which SMEs

48,205

47,798

406

1,778

828

175

204

260

212

1,774

 Households

99,831

99,173

657

1,688

428

244

251

370

281

1,687

Debt Securities

28,335

 Central banks

 General governments

22,587

 Credit institutions

5,158

 Other financial corporations

569

 Non-financial corporations

Off-balance sheet exposures

81,339

422

 Central banks

 General governments

1,703

 Credit institutions

5,406

 Other financial corporations

7,137

 Non-financial corporations

49,495

354

 Households

17,599

TOTAL

381,953

299,051

1,562

6,289

2,560

487

718

902

752

144

305

6,249

In millions of euros

31 December 2023

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

Cash balances at central banks and other demand deposits

39,585

Loans and advances

243,549

242,498

1,052

4,598

1,836

419

401

770

607

104

460

4,503

Central banks

General governments

9,693

9,689

141

Credit institutions

14,202

Other financial corporations

7,815

7,796

402

279

402

Non-financial corporations

117,981

117,235

746

2,644

1,309

175

157

399

229

316

2,640

  Of which SMEs

45,701

45,265

436

1,225

495

111

133

222

166

1,222

Households

93,857

93,574

282

1,344

245

237

236

315

220

1,337

Debt securities

23,356

Central banks

General governments

18,262

Credit institutions

3,800

Other financial corporations

1,181

Non-financial corporations

114

Off-balance-sheet exposures

77,227

332

Central banks

General governments

1,853

Credit institutions

2,718

Other financial corporations

9,743

Non-financial corporations

47,775

231

Households

15,137

TOTAL

383,717

305,439

1,052

4,943

1,842

419

401

770

607

104

467

4,848

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

In millions of euros

31 December 2024

31 December 2023

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

 Residential immovable property

 Commercial Immovable property

 Movable property (auto, shipping, etc.)

 Equity and debt instruments

 Other

TOTAL

Geographical distribution of credit exposures relevant for the calculation of the countercyclical buffer (EU CCyB1)

In millions of euros

31 December 2024

31 December 2025

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

99,632

186,320

2,732

10,493

10,589

88.9%

of which Germany

9,154

4,401

633

5.3%

0.8%

of which Belgium

23,126

135,077

2,645

4,127

4,160

34.9%

1.0%

of which Bulgaria

0.0%

2.0%

of which Cyprus

257

0.1%

1.0%

of which Croatia

0.0%

1.5%

of which Denmark

339

2,265

0.6%

2.5%

of which Estonia

0.0%

1.5%

of which France

15,895

3,000

1,055

1,118

9.4%

1.0%

of which Hungary

200

343

0.2%

0.5%

1.0%

of which Ireland

193

494

0.4%

1.5%

of which Iceland

0.0%

2.5%

of which Latvia

0.0%

0.5%

1.0%

of which Lithuania

0.0%

1.0%

of which Luxembourg

2,208

20,507

832

7.0%

0.5%

of which Norway

425

464

0.4%

2.5%

of which The Netherlands

5,154

4,319

452

3.8%

2.0%

of which Romania

943

0.4%

1.0%

of which Czech Republic

873

0.4%

1.3%

of which United Kingdom

14,134

7,327

1,164

9.8%

2.0%

of which Slovakia

304

0.1%

1.5%

of which Slovenia

0.0%

0.5%

1.0%

of which Sweden

599

1,035

0.5%

2.0%

North America

2,769

276

103

130

1.1%

Asia Pacific

170

1,322

0.7%

of which Australia

0.0%

1.0%

of which Hong Kong

0.0%

0.5%

of which Republic of South Korea

0.0%

1.0%

of which Chile

149

0.1%

0.5%

of which Armenia

0.0%

1.5%

Rest of the World

14,641

4,505

1,087

1,099

9.2%

TOTAL

114,467

194,917

3,008

11,771

11,906

100.0%

Amount of institution-specific countercyclical capital buffer (EU CCyB2)

In millions of euros

31 December 2024

Total risk exposure amount

172,505

Institution specific countercyclical capital buffer rate

0.84%

Institution specific countercyclical capital buffer requirement

1,457

Counterparty credit risk

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

In millions of euros

31 December 2024

Risk weight

20%

50%

75%

100%

Total exposure value

Central governments or central banks

Institutions

131

133

Corporates

100

Retail

TOTAL

230

235

In millions of euros

31 December 2023

Risk weight

20%

50%

75%

100%

Total exposure value

Central governments or central banks

Institutions

307

313

Corporates

Retail

TOTAL

307

419

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

31 December 2023

679

Asset size

Credit quality of counterparties

(72)

(6)

Model updates (IMM only)

116

Methodology and policy (IMM only)

Acquisitions and disposals

Foreign exchange movements

Other

(31)

(2)

31 December 2024

767

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 2023

154

518

752

Regulatory adjustment

133

Movement in risk levels

(54)

(38)

(13)

(1)

Model update

Methodology and policy

(11)

(65)

(10)

(86)

(7)

Acquisitions and disposals

Foreign exchange movements

Regulatory adjustment

(15)

(8)

(7)

(1)

31 December 2024

158

566

778

Liquidity risk

Quantitative information of LCR (EU LIQ1) *

In millions of euros

Unweighted value

Weighted value

31 December 2024

30 September 2024

30 June 2024

31 March 2024

31 December 2024

30 September 2024

30 June 2024

31 March 2024

Number of data points used in the calculation of averages

HIGH-QUALITY LIQUID ASSETS (HQLA)

TOTAL HIGH-QUALITY LIQUID ASSETS (HQLA)

33,646

33,597

34,521

36,847

CASH - OUTFLOWS

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

130,756

126,824

124,382

123,090

7,628

7,541

7,663

7,866

Stable deposits

81,778

80,272

79,370

78,879

4,089

4,014

3,968

3,944

Less stable deposits

48,978

46,553

45,012

44,211

3,539

3,527

3,695

3,922

Unsecured wholesale funding

32,067

31,791

30,480

30,141

15,816

15,492

13,887

13,221

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

9,854

9,858

9,787

9,685

2,307

2,309

2,295

2,273

Non-operational deposits (all counterparties)

21,661

21,447

20,201

19,979

12,958

12,697

11,100

10,472

Unsecured debt

551

486

492

477

551

486

492

477

Secured wholesale funding

4,657

5,318

7,507

9,069

Additional requirements

34,299

34,679

35,193

35,643

5,774

5,879

6,060

6,101

Outflows related to derivative exposures and other collateral requirements

1,732

1,817

1,818

1,847

1,732

1,817

1,845

1,874

Outflows related to loss of funding on debt products

Credit and liquidity facilities

32,566

32,862

33,374

33,796

4,042

4,061

4,215

4,228

Other contractual funding obligations

4,060

3,943

3,980

4,010

4,060

3,943

3,980

4,010

Other contingent funding obligations

16,590

16,671

16,612

16,463

257

265

262

254

TOTAL CASH OUTFLOWS

38,192

38,437

39,360

40,522

CASH - INFLOWS

Secured lending (e.g. reverse repos)

5,027

4,991

3,990

3,843

172

123

120

215

Inflows from fully performing exposures

12,658

12,496

12,859

12,758

10,099

9,887

10,284

10,176

Other cash inflows

TOTAL CASH INFLOWS

17,686

17,487

16,849

16,601

10,270

10,010

10,404

10,391

Inflows subject to 75% cap

17,686

17,487

16,849

16,601

10,270

10,010

10,404

10,391

LIQUIDITY BUFFER

33,646

33,597

34,521

36,847

TOTAL NET CASH OUTFLOWS

27,922

28,427

28,956

30,131

LIQUIDITY COVERAGE RATIO

122%

119%

120%

123%

(*) 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 2024

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

29,666

Own funds

28,870

Other capital instruments

796

Retail deposits

123,133

4,452

6,903

125,949

Stable deposits

83,388

983

1,256

81,408

Less stable deposits

39,745

3,469

5,647

44,540

Wholesale funding:

68,859

3,416

7,525

23,596

Operational deposits

11,936

5,968

Other wholesale funding

56,923

3,416

7,525

17,628

Interdependent liabilities

Other liabilities:

6,231

2,227

8,737

9,850

NSFR derivative liabilities

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

6,231

2,227

8,737

9,850

Total available stable funding (ASF)

189,061

Required stable funding (RSF) Items

Total high-quality liquid assets (HQLA)

228

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

2,930

2,491

Deposits held at other financial institutions for operational purposes

1,684

Performing loans and securities:

29,939

18,345

151,796

140,706

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

3,963

541

346

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

10,488

5,209

12,022

15,596

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

15,282

12,595

77,716

79,997

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

Performing residential mortgages, of which:

51,461

34,165

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

51,461

34,165

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

200

10,572

10,602

Interdependent assets

Other assets:

Physical traded commodities

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

NSFR derivative assets

4,185

217

NSFR derivative liabilities before deduction of variation margin posted

297

1,969

All other assets not included in the above categories

1,832

436

18,747

20,500

Off-balance sheet items

41,115

239

7,958

2,593

Total RSF

168,787

Net Stable Funding Ratio (%)

112%

Maturity of exposures (EU CR1-A)

In millions of euros

31 December 2024

Net exposure value

On demand

<= 1 year

1 year <= 5 years

5 years

No stated maturity

Total

Loans and advances

8,479

66,487

91,967

78,760

245,693

Debt securities

170

2,449

6,776

19,457

28,853

TOTAL

8,649

68,936

98,743

98,217

274,546

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

Printed on 100% recycled paper - BNP Paribas Fortis SA/NV - Montagne du Parc/Warandeberg 3, B-1000 Brussels

VAT BE 0403.199.702, RPM/RPR Brussels - R.E. : M. Verboven | 03.2025

Printed on 100% recycled paper - BNP Paribas Fortis SA/NV - Montagne du Parc/Warandeberg 3, B-1000 Brussels

VAT BE 0403.199.702, RPM/RPR Brussels - R.E. : M. Verboven | 03.2025EASY BANKING APP

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