2014 EU-wide Stress Test · 2019. 10. 17. · Bank Name FR - BNP Paribas LEI Code...

Bank Name FR - BNP Paribas

LEI Code R0MUWSFPU8MPRO8K5P83

FR

NUK_WL_NR_XX

version

1809014

No restructuring

2014 EU-wide Stress Test

Actual figures as of 31 December 2013 mln EUR, % Actual figures as of 31 December 2013 mln EUR, %

Operating profit before impairments 11,993 Operating profit before impairments 11,993

Impairment losses on financial and non-financial assets in the banking book 6,430 Impairment losses on financial and non-financial assets in the banking book 6,430

Common Equity Tier 1 capital (1) 65,508 Common Equity Tier 1 capital (1) 65,508

Total Risk Exposure (1) 622,205 Total Risk Exposure (1) 622,205

Common Equity Tier 1 ratio, % (1) 10.5% Common Equity Tier 1 ratio, % (1) 10.5%

Outcome of the adverse scenario as of 31 December 2016 mln EUR, % Outcome of the baseline scenario as of 31 December 2016 mln EUR, %

3 yr cumulative operating profit before impairments 12,375 3 yr cumulative operating profit before impairments 18,758

3 yr cumulative impairment losses on financial and non-financial assets in the banking book 25,228 3 yr cumulative impairment losses on financial and non-financial assets in the banking book 14,307

3 yr cumulative losses from the stress in the trading book 6,788 3 yr cumulative losses from the stress in the trading book 4,815

Valuation losses due to sovereign shock after tax and prudential filters 676 Common Equity Tier 1 capital (1) 67,704

Common Equity Tier 1 capital (1) 55,249 Total Risk Exposure (1) 642,161

Total Risk Exposure (1) 684,617 Common Equity Tier 1 ratio, % (1) 10.5%

Common Equity Tier 1 ratio, % (1) 8.1%

Memorandum items mln EUR

Memorandum items mln EUR Common EU wide CET1 Threshold (8.0%) 51,373

Common EU wide CET1 Threshold (5.5%) 37,654

Total amount of instruments with mandatory conversion into ordinary shares upon a fixed date in

the 2014 -2016 period (cumulative conversions) (2)0

Total Additional Tier 1 and Tier 2 instruments eligible as regulatory capital under the CRR provisions

that convert into Common Equity Tier 1 or are written down upon a trigger event (3)0

Of which: eligible instruments whose trigger is above CET1 capital ratio in the adverse

scenario (3)0

(2) Conversions not considered for CET1 computation

(3) Excluding instruments with mandatory conversion into ordinary shares upon a fixed date in the 2014 -2016 period

(1) According to CRR/CRD4 definition transitional arrangements as per reporting date. Figures as of 31/12/2013 computed as of first day of application:

01/01/2014.

2014 EU-wide Stress Test 2014 EU-wide Stress TestSummary Baseline Scenario

FR - BNP Paribas

(1) According to CRR/CRD4 definition transitional arrangements as per reporting date. Figures as of 31/12/2013 computed as of first day of application:

01/01/2014.

Summary Adverse Scenario

FR - BNP Paribas

2014 EU-wide Stress TestCredit Risk

(mln EUR, %)

Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Impairment

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Central banks and central governments 0 0 200,733 327 25,453 14 0 0 3,993 1 3,152 21 0 0 43 3 40 2 0.03% 221 22.91% 0.02% 255 20.26% 0.02% 287 18.84% 0.18% 449 36.39% 0.17% 693 37.52% 0.15% 912 38.04%

Institutions 0 0 92,563 743 63,163 362 0 0 17,300 64 9,765 536 0 0 16 340 41 67 0.13% 690 33.26% 0.12% 877 32.57% 0.11% 1,044 32.17% 0.18% 771 33.01% 0.21% 1,105 32.23% 0.18% 1,393 31.81%

Corporates 0 0 330,205 18,719 86,952 4,396 0 0 150,435 9,645 82,041 5,034 0 0 1,374 8,038 721 4,279 0.40% 17,887 44.07% 0.35% 19,615 42.79% 0.30% 21,087 41.86% 0.52% 18,863 45.01% 0.63% 22,338 44.30% 0.59% 25,475 43.90%

Corporates - Of Which: Specialised Lending 0 0 41,624 1,804 130 0 0 0 13,428 607 130 0 0 0 173 464 10 1 - 0 - - 0 - - 0 - - 0 - - 0 - - 0 -

Corporates - Of Which: SME 0 0 19,645 4,345 5,617 540 0 0 11,229 4,468 4,770 604 0 0 254 1,660 53 520 - 0 - - 0 - - 0 - - 0 - - 0 - - 0 -

Retail 0 0 182,668 8,108 134,203 5,363 0 0 33,317 2,327 73,543 5,633 0 0 622 3,890 907 6,838 0.82% 14,978 46.62% 0.73% 17,235 43.64% 0.64% 19,177 41.87% 1.05% 15,891 46.91% 1.18% 19,586 43.87% 1.17% 23,060 42.05%

Retail - Secured on real estate property 0.0% 0 0 100,341 1,588 62,674 2,363 0 0 11,623 559 22,801 2,372 0 0 11 209 50 1,316 0.18% 1,930 24.42% 0.17% 2,207 22.36% 0.15% 2,446 21.09% 0.23% 2,072 24.58% 0.35% 2,639 22.69% 0.40% 3,263 21.91%

Retail - Secured on real estate property - Of

Which: SME0.0% 0 0 12 0 704 43 0 0 2 0 354 44 0 0 0 0 5 24 0.53% 33 32.19% 0.51% 36 30.23% 0.47% 39 29.00% 0.57% 35 34.24% 0.68% 40 31.65% 0.78% 45 30.21%


Which: non-SME0.0% 0 0 100,329 1,587 61,970 2,320 0 0 11,622 559 22,447 2,328 0 0 11 209 46 1,292 0.18% 1,897 24.33% 0.17% 2,171 22.27% 0.15% 2,407 21.00% 0.23% 2,038 24.47% 0.35% 2,600 22.60% 0.40% 3,218 21.83%

Retail - Qualifying Revolving 0 0 14,704 1,596 2,738 58 0 0 4,961 402 2,053 59 0 0 205 968 108 254 2.14% 1,912 58.75% 1.73% 2,202 56.56% 1.50% 2,443 55.33% 2.89% 2,042 59.04% 2.74% 2,495 56.82% 2.55% 2,893 55.61%

Retail - Other Retail 0 0 67,623 4,925 68,791 2,942 0 0 16,733 1,367 48,689 3,203 0 0 407 2,713 748 5,267 1.42% 11,137 53.78% 1.28% 12,827 50.42% 1.15% 14,288 48.48% 1.78% 11,776 54.22% 2.00% 14,451 51.05% 1.97% 16,904 49.14%

Retail - Other Retail - Of Which: SME 0 0 27,172 2,124 15,173 1,068 0 0 6,352 748 8,526 1,160 0 0 60 1,034 133 1,234 1.08% 2,974 45.79% 0.94% 3,357 42.33% 0.80% 3,674 40.15% 1.33% 3,228 48.31% 1.65% 3,961 46.22% 1.70% 4,619 44.41%

Retail - Other Retail - Of Which: non-SME 0 0 40,451 2,801 53,618 1,873 0 0 10,381 619 40,163 2,042 0 0 347 1,680 615 4,034 1.57% 8,162 57.66% 1.44% 9,469 54.28% 1.30% 10,614 52.39% 1.98% 8,548 57.02% 2.16% 10,491 53.25% 2.10% 12,285 51.28%

Equity 13,269 0 0 0 5,324 0 43,277 0 0 0 7,184 0 0 0 0 0 0 0 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 -

Securitisation 12,302 350 9,606 36 1,215 29 10,535 1,590 2,015 438 972 23 93 100 0 0 43 7

Other non-credit obligation assets 0 0 134 0 92,774 13 0 0 132 0 72,820 13 0 0 0 0 0 0

TOTAL 25,571 350 815,909 27,933 409,083 10,177 53,812 1,590 207,192 12,474 249,477 11,261 93 100 2,056 12,272 1,752 11,193 0.43% 33,776 44.67% 0.37% 37,982 42.61% 0.33% 41,594 41.27% 0.57% 35,974 45.35% 0.65% 43,722 43.56% 0.63% 50,840 42.47%

Securitisation and re-securitisations positions deducted from capital * 0 0 0 0 0 0 0 0 0 0 0 0

(mln EUR, %)Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted Non-defaulted Defaulted

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Central banks and central governments 0 0 45,004 0 920 0 0 0 434 0 1 0 0 0 14 0 9 0 0.00% 23 2.74% 0.00% 23 2.70% 0.00% 23 2.76% 0.02% 28 33.08% 0.02% 33 32.58% 0.02% 38 32.94%

Institutions 0 0 21,663 1 32,986 8 0 0 3,314 0 2,449 8 0 0 1 1 13 39 0.04% 76 52.15% 0.04% 99 44.31% 0.04% 121 40.84% 0.10% 107 42.57% 0.11% 169 37.15% 0.10% 225 35.25%

Corporates 0 0 76,540 2,288 15,924 452 0 0 43,401 291 13,886 564 0 0 429 1,226 81 186 0.36% 2,743 41.08% 0.34% 3,125 39.96% 0.32% 3,478 39.19% 0.50% 2,894 41.63% 0.60% 3,625 41.70% 0.72% 4,458 41.66%

Corporates - Of Which: Specialised Lending 0 0 3,094 211 0 0 0 0 1,607 10 0 0 0 0 18 13 0 0 - 0 - - 0 - - 0 - - 0 - - 0 - - 0 -

Corporates - Of Which: SME 0 0 783 22 67 9 0 0 601 1 48 10 0 0 82 20 2 6 - 0 - - 0 - - 0 - - 0 - - 0 - - 0 -

Retail 0 0 108,856 5,311 29,525 1,039 0 0 15,375 2,327 16,249 1,099 0 0 291 2,576 201 1,375 0.42% 5,030 42.40% 0.35% 5,501 38.01% 0.30% 5,902 35.29% 0.62% 5,303 42.06% 0.69% 6,234 37.68% 0.68% 7,124 34.90%

Retail - Secured on real estate property 0.0% 0 0 57,582 646 16,785 483 0 0 3,727 559 7,517 492 0 0 0 122 0 243 0.05% 401 19.81% 0.05% 437 16.38% 0.05% 472 14.36% 0.07% 417 19.03% 0.13% 515 16.06% 0.18% 644 14.77%


Which: SME0.0% 0 0 3 0 220 2 0 0 0 0 112 2 0 0 0 0 0 1 0.10% 2 21.69% 0.08% 2 16.79% 0.07% 2 14.54% 0.12% 2 20.76% 0.17% 2 15.89% 0.17% 2 14.04%


Which: non-SME0.0% 0 0 57,579 646 16,565 480 0 0 3,727 559 7,405 490 0 0 0 122 0 242 0.05% 400 19.80% 0.05% 435 16.37% 0.05% 470 14.36% 0.07% 415 19.03% 0.13% 513 16.06% 0.18% 641 14.77%

Retail - Qualifying Revolving 0 0 9,832 1,145 502 0 0 0 2,385 402 377 0 0 0 103 613 0 0 1.64% 886 50.11% 1.25% 1,010 48.59% 1.04% 1,110 47.70% 2.32% 956 51.38% 2.19% 1,171 50.39% 1.97% 1,355 49.84%

Retail - Other Retail 0 0 41,442 3,520 12,237 556 0 0 9,263 1,367 8,355 607 0 0 188 1,841 201 1,131 0.71% 3,743 47.13% 0.60% 4,054 42.41% 0.53% 4,320 39.58% 1.06% 3,930 46.66% 1.20% 4,548 41.95% 1.17% 5,126 39.03%

Retail - Other Retail - Of Which: SME 0 0 15,694 1,737 4,363 167 0 0 4,323 748 2,476 187 0 0 4 945 21 194 0.68% 1,300 46.37% 0.62% 1,420 41.98% 0.56% 1,527 39.19% 1.08% 1,380 46.55% 1.43% 1,655 43.33% 1.39% 1,912 40.62%

Retail - Other Retail - Of Which: non-SME 0 0 25,748 1,783 7,874 389 0 0 4,940 619 5,880 420 0 0 184 896 180 938 0.73% 2,443 47.60% 0.59% 2,634 42.68% 0.51% 2,794 39.83% 1.04% 2,549 46.73% 1.07% 2,893 41.11% 1.04% 3,214 38.05%

Equity 8,132 0 0 0 2,580 0 26,782 0 0 0 2,375 0 0 0 0 0 0 0 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 -

Securitisation 3 0 2,911 36 0 0 39 0 496 438 0 0 0 0 0 0 0 0


TOTAL 8,135 0 254,975 7,636 107,034 1,506 26,821 0 63,020 3,056 75,011 1,677 0 0 735 3,804 304 1,599 0.29% 7,872 42.03% 0.25% 8,748 38.69% 0.22% 9,524 36.60% 0.42% 8,332 41.92% 0.48% 10,060 38.94% 0.50% 11,845 37.08%



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Central banks and central governments 0 0 42,423 0 11,004 0 0 0 35 0 0 0 0 0 0 0 7 0 0.00% 7 3.07% 0.00% 7 3.05% 0.00% 7 3.03% 0.00% 7 6.15% 0.00% 7 5.62% 0.00% 8 6.03%

Institutions 0 0 10,571 96 10,474 0 0 0 1,344 36 935 0 0 0 0 41 3 0 0.03% 51 42.84% 0.02% 56 42.16% 0.02% 60 41.50% 0.04% 54 42.13% 0.05% 67 40.09% 0.03% 74 39.16%

Corporates 0 0 33,119 1,869 26,748 255 0 0 11,100 60 26,272 376 0 0 64 623 108 21 0.21% 1,107 31.20% 0.19% 1,250 28.92% 0.18% 1,376 27.46% 0.33% 1,190 31.79% 0.47% 1,569 31.18% 0.34% 1,847 30.06%


Corporates - Of Which: SME 0 0 332 128 3,118 25 0 0 110 0 2,602 35 0 0 0 27 6 4 - 0 - - 0 - - 0 - - 0 - - 0 - - 0 -

Retail 0 0 1 0 19,743 55 0 0 0 0 12,347 55 0 0 0 0 213 77 0.62% 413 48.93% 0.58% 527 47.04% 0.53% 629 46.11% 1.43% 576 52.15% 1.40% 847 51.19% 1.13% 1,059 50.60%

Retail - Secured on real estate property 0.0% 0 0 0 0 6,241 54 0 0 0 0 2,227 54 0 0 0 0 17 54 0.43% 98 41.63% 0.46% 126 38.55% 0.42% 152 36.88% 0.63% 110 42.05% 1.07% 176 41.01% 1.15% 244 40.84%


Which: SME0.0% 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0.35% 0 39.22% 0.37% 0 47.74% 0.35% 0 51.11% 0.48% 0 43.30% 0.77% 0 52.22% 0.83% 0 55.04%


Which: non-SME0.0% 0 0 0 0 6,241 54 0 0 0 0 2,227 54 0 0 0 0 17 54 0.43% 98 41.63% 0.46% 126 38.55% 0.42% 152 36.88% 0.63% 110 42.05% 1.07% 176 41.01% 1.15% 244 40.84%

Retail - Qualifying Revolving 0 0 0 0 463 0 0 0 0 0 347 0 0 0 0 0 67 1 5.16% 95 60.03% 4.65% 118 60.02% 4.24% 137 60.01% 12.19% 132 60.01% 10.31% 176 60.01% 7.45% 202 60.01%

Retail - Other Retail 0 0 1 0 13,040 0 0 0 0 0 9,773 0 0 0 0 0 129 22 0.52% 220 54.38% 0.48% 283 51.49% 0.45% 341 50.35% 1.38% 334 55.97% 1.26% 495 54.71% 0.94% 613 54.33%

Retail - Other Retail - Of Which: SME 0 0 1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0.34% 0 54.33% 0.31% 0 53.90% 0.27% 0 53.61% 0.41% 0 53.31% 0.48% 0 51.67% 0.42% 0 50.55%

Retail - Other Retail - Of Which: non-SME 0 0 0 0 13,040 0 0 0 0 0 9,773 0 0 0 0 0 129 22 0.52% 220 54.38% 0.48% 283 51.49% 0.45% 341 50.35% 1.38% 334 55.97% 1.26% 495 54.71% 0.94% 613 54.33%

Equity 367 0 0 0 173 0 1,031 0 0 0 254 0 0 0 0 0 0 0 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 -

Securitisation 6,452 45 2,681 0 472 6 7,281 86 256 0 177 0 12 9 0 0 0 6


TOTAL 6,819 45 88,794 1,965 80,246 316 8,312 86 12,735 96 44,297 431 12 9 64 664 331 103 0.18% 1,578 33.63% 0.17% 1,840 31.97% 0.15% 2,073 30.92% 0.34% 1,827 35.64% 0.39% 2,490 35.62% 0.30% 2,987 34.89%



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Central banks and central governments 0 0 24,194 0 3,415 0 0 0 120 0 6 0 0 0 0 0 2 0 0.00% 2 3.90% 0.00% 2 3.86% 0.00% 2 3.84% 0.06% 7 39.98% 0.06% 13 39.96% 0.06% 19 39.95%

Institutions 0 0 8,068 17 784 0 0 0 1,012 0 48 0 0 0 1 11 0 0 0.06% 18 44.87% 0.05% 23 38.08% 0.05% 28 35.02% 0.08% 20 41.55% 0.13% 33 32.45% 0.13% 45 29.58%

Corporates 0 0 36,302 1,998 885 1 0 0 15,921 54 335 1 0 0 108 1,083 1 12 0.34% 1,413 48.34% 0.30% 1,560 44.91% 0.26% 1,683 42.81% 0.44% 1,464 47.66% 0.68% 1,796 43.09% 0.65% 2,141 41.52%

Corporates - Of Which: Specialised Lending 0 0 2,480 0 0 0 0 0 674 0 0 0 0 0 3 0 0 0 - 0 - - 0 - - 0 - - 0 - - 0 - - 0 -

Corporates - Of Which: SME 0 0 6,373 869 0 0 0 0 2,290 25 0 0 0 0 27 415 0 0 - 0 - - 0 - - 0 - - 0 - - 0 - - 0 -

Retail 0 0 57,703 1,305 1,109 117 0 0 11,235 0 825 146 0 0 93 162 3 56 0.21% 437 14.29% 0.17% 535 14.43% 0.14% 615 14.48% 0.24% 454 13.83% 0.27% 608 13.94% 0.25% 748 14.17%

Retail - Secured on real estate property 0.0% 0 0 38,396 843 0 0 0 0 7,147 0 0 0 0 0 8 69 0 0 0.01% 81 5.70% 0.01% 83 4.85% 0.00% 84 4.33% 0.03% 87 5.51% 0.08% 118 5.42% 0.09% 150 5.63%


Which: SME0.0% 0 0 9 0 0 0 0 0 1 0 0 0 0 0 0 0 0 0 0.06% 0 0.67% 0.05% 0 0.89% 0.04% 0 1.00% 0.09% 0 0.97% 0.20% 0 2.13% 0.22% 0 2.91%


Which: non-SME0.0% 0 0 38,387 843 0 0 0 0 7,146 0 0 0 0 0 8 69 0 0 0.01% 81 5.71% 0.01% 83 4.86% 0.00% 84 4.33% 0.03% 87 5.51% 0.08% 118 5.42% 0.09% 150 5.63%

Retail - Qualifying Revolving 0 0 236 0 170 9 0 0 89 0 127 9 0 0 1 0 0 8 2.29% 19 47.00% 1.97% 26 46.83% 1.76% 33 46.78% 2.57% 20 47.52% 2.55% 30 47.73% 2.43% 38 47.83%

Retail - Other Retail 0 0 19,071 462 939 108 0 0 3,999 0 698 137 0 0 83 93 3 48 0.56% 338 23.22% 0.45% 426 23.32% 0.38% 498 23.40% 0.60% 347 23.39% 0.58% 460 23.52% 0.52% 560 23.59%

Retail - Other Retail - Of Which: SME 0 0 11,260 370 37 1 0 0 1,970 0 21 1 0 0 55 75 0 1 0.41% 177 17.96% 0.34% 214 17.23% 0.29% 245 16.88% 0.44% 179 17.95% 0.46% 230 17.26% 0.42% 274 16.94%

Retail - Other Retail - Of Which: non-SME 0 0 7,810 93 902 107 0 0 2,028 0 677 136 0 0 29 18 3 48 0.74% 161 31.99% 0.59% 211 33.97% 0.49% 253 35.03% 0.81% 168 32.32% 0.73% 230 34.54% 0.66% 285 35.70%

Equity 1,410 0 0 0 133 0 5,184 0 0 0 280 0 0 0 0 0 0 0 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 -

Securitisation 248 0 0 0 0 0 23 0 0 0 0 0 0 0 0 0 0 0


TOTAL 1,657 0 126,380 3,321 17,007 118 5,207 0 28,401 55 10,582 148 0 0 202 1,256 5 68 0.22% 1,870 32.27% 0.19% 2,120 30.05% 0.16% 2,328 28.74% 0.27% 1,946 31.48% 0.37% 2,450 28.96% 0.35% 2,953 28.24%



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Institutions 0 0 2,148 0 5,910 310 0 0 369 0 3,667 463 0 0 0 0 4 9 1.19% 109 16.42% 1.14% 198 20.71% 1.09% 279 22.78% 1.23% 112 16.60% 1.35% 216 21.26% 1.48% 325 23.57%

Corporates 0 0 33,649 5,941 11,181 2,968 0 0 22,754 6,582 10,227 3,212 0 0 306 2,283 135 3,072 1.06% 6,848 44.86% 0.87% 7,279 43.77% 0.72% 7,624 42.92% 1.13% 7,159 46.86% 1.28% 7,889 46.83% 1.46% 8,588 46.90%


Corporates - Of Which: SME 0 0 9,001 2,829 1,487 487 0 0 6,775 4,167 1,298 537 0 0 117 971 33 458 - 0 - - 0 - - 0 - - 0 - - 0 - - 0 -

Retail 0 0 0 0 42,080 3,005 0 0 0 0 22,568 3,152 0 0 0 0 294 3,524 1.79% 4,675 51.29% 1.67% 5,350 49.18% 1.53% 5,942 47.74% 1.89% 4,923 53.76% 2.23% 5,886 52.29% 2.57% 6,869 51.25%

Retail - Secured on real estate property 0.0% 0 0 0 0 19,604 1,285 0 0 0 0 7,090 1,285 0 0 0 0 5 677 0.45% 813 31.54% 0.43% 895 29.64% 0.40% 970 28.34% 0.47% 878 33.93% 0.57% 986 31.48% 0.68% 1,113 29.94%


Which: SME0.0% 0 0 0 0 475 40 0 0 0 0 238 40 0 0 0 0 5 23 0.71% 30 33.51% 0.69% 34 32.04% 0.65% 37 31.03% 0.75% 33 35.98% 0.89% 37 34.01% 1.05% 41 32.80%


Which: non-SME0.0% 0 0 0 0 19,128 1,244 0 0 0 0 6,852 1,244 0 0 0 0 0 654 0.44% 782 31.47% 0.42% 861 29.56% 0.40% 933 28.25% 0.46% 845 33.86% 0.56% 950 31.40% 0.67% 1,071 29.84%

Retail - Qualifying Revolving 0 0 0 0 1,603 49 0 0 0 0 1,202 50 0 0 0 0 41 245 3.56% 345 77.53% 3.57% 400 74.20% 3.50% 451 72.08% 3.71% 347 77.34% 4.35% 414 73.52% 5.00% 486 70.95%

Retail - Other Retail 0 0 0 0 20,874 1,671 0 0 0 0 14,276 1,818 0 0 0 0 249 2,602 2.89% 3,518 57.96% 2.72% 4,056 55.56% 2.51% 4,521 53.97% 3.06% 3,698 60.65% 3.67% 4,486 59.49% 4.30% 5,271 58.66%

Retail - Other Retail - Of Which: SME 0 0 0 0 6,916 805 0 0 0 0 3,825 860 0 0 0 0 88 925 3.21% 1,295 52.19% 2.82% 1,476 49.60% 2.40% 1,619 47.77% 3.42% 1,454 58.73% 4.18% 1,786 58.98% 4.96% 2,077 58.57%

Retail - Other Retail - Of Which: non-SME 0 0 0 0 13,958 866 0 0 0 0 10,451 958 0 0 0 0 161 1,676 2.73% 2,223 61.97% 2.68% 2,580 59.68% 2.56% 2,903 58.18% 2.88% 2,244 61.97% 3.43% 2,699 59.84% 3.98% 3,194 58.72%

Equity 222 0 0 0 113 0 789 0 0 0 155 0 0 0 0 0 0 0 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 -

Securitisation 413 27 400 0 83 1 48 3 29 0 62 0 1 0 0 0 0 1


TOTAL 635 27 54,099 5,941 69,358 6,297 837 3 23,275 6,582 45,900 6,847 1 0 307 2,283 434 6,607 1.31% 11,637 46.36% 1.17% 12,832 44.96% 1.04% 13,850 43.94% 1.43% 12,240 48.46% 1.65% 14,080 47.93% 1.87% 15,913 47.56%



Impairment

rate

Stock of

Provisions

Coverage Ratio -

Default Stock

Impairment

rate

Stock of

Provisions

Coverage

Ratio - Default

Stock

Impairment

rate

Stock of

Provisions

Coverage

Ratio - Default

Stock


Provisions

Coverage

Ratio - Default

Stock

Impairment

rate

Stock of

Provisions

Coverage

Ratio - Default

Stock

Impairment

rate

Stock of

Provisions

Coverage

Ratio - Default

Stock


Institutions 0 0 7,607 0 4,189 0 0 0 767 0 293 0 0 0 0 0 0 3 0.02% 6 47.80% 0.02% 8 41.21% 0.02% 10 38.10% 0.03% 7 42.82% 0.04% 12 36.35% 0.03% 16 34.13%

Corporates 0 0 33,317 765 1,297 14 0 0 9,676 70 1,274 16 0 0 90 428 1 10 0.13% 621 55.28% 0.11% 673 54.22% 0.10% 717 53.28% 0.16% 640 54.77% 0.18% 735 53.29% 0.16% 820 52.63%



Retail 0 0 12 0 1,617 29 0 0 6 0 916 31 0 0 0 0 1 40 0.88% 56 53.19% 0.81% 69 50.83% 0.71% 80 49.55% 1.11% 60 53.69% 1.42% 82 52.20% 1.33% 103 51.08%

Retail - Secured on real estate property 0.0% 0 0 0 0 147 1 0 0 0 0 52 1 0 0 0 0 0 0 0.30% 0 12.08% 0.27% 1 14.36% 0.22% 1 15.27% 0.37% 1 13.83% 0.61% 1 19.72% 0.65% 2 22.32%


Which: SME0.0% 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 - 0 0.00% - 0 0.00% - 0 0.00% - 0 0.00% - 0 0.00% - 0 0.00%


Which: non-SME0.0% 0 0 0 0 147 1 0 0 0 0 52 1 0 0 0 0 0 0 0.30% 0 12.11% 0.27% 1 14.38% 0.22% 1 15.28% 0.37% 1 13.86% 0.61% 1 19.75% 0.65% 2 22.34%

Retail - Qualifying Revolving 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 - 0 - - 0 - - 0 - - 0 - - 0 - - 0 -

Retail - Other Retail 0 0 12 0 1,470 28 0 0 6 0 864 30 0 0 0 0 1 40 0.94% 56 54.71% 0.86% 68 52.49% 0.76% 79 51.25% 1.18% 59 55.19% 1.50% 81 53.79% 1.40% 101 52.69%

Retail - Other Retail - Of Which: SME 0 0 0 0 1,335 8 0 0 0 0 763 10 0 0 0 0 0 32 0.72% 41 65.01% 0.65% 50 58.83% 0.57% 57 55.56% 0.94% 44 65.00% 1.26% 61 59.45% 1.15% 75 56.28%

Retail - Other Retail - Of Which: non-SME 0 0 12 0 135 20 0 0 6 0 101 20 0 0 0 0 1 9 2.92% 14 36.31% 2.78% 18 39.79% 2.60% 22 42.07% 3.33% 15 36.93% 3.78% 20 41.15% 3.82% 25 43.84%

Equity 457 0 0 0 261 0 1,215 0 0 0 412 0 0 0 0 0 0 0 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 -

Securitisation 987 71 206 0 119 6 207 208 144 0 41 1 12 21 0 0 0 0


TOTAL 1,445 71 47,128 765 30,737 50 1,423 208 10,598 70 5,047 49 12 21 90 428 3 53 0.11% 683 54.98% 0.09% 750 53.62% 0.09% 808 52.52% 0.14% 707 54.47% 0.16% 829 52.75% 0.15% 939 51.90%


as of 31/12/2016 as of 31/12/2014 as of 31/12/2015 as of 31/12/2016

United Kingdom

F-IRB A-IRB STA as of 31/12/2014 as of 31/12/2015LTV % (as of

31/12/2013)

Exposure values (as of 31/12/2013) Risk exposure amounts (as of 31/12/2013) Value adjustments and provisions (as of 31/12/2013) Baseline Scenario Adverse Scenario

F-IRB A-IRB STA F-IRB A-IRB STA

LTV % (as of

31/12/2013)


F-IRB A-IRB STA F-IRB A-IRB STA F-IRB as of 31/12/2014 as of 31/12/2015 as of 31/12/2016A-IRB STA as of 31/12/2014 as of 31/12/2015 as of 31/12/2016

LTV % (as of

31/12/2013)


F-IRB A-IRB STA F-IRB A-IRB STA F-IRB A-IRB as of 31/12/2015 as of 31/12/2016STA as of 31/12/2014 as of 31/12/2015 as of 31/12/2016 as of 31/12/2014

Risk exposure amounts (as of 31/12/2013)

Baseline Scenario Adverse Scenario

F-IRB A-IRB STA F-IRB A-IRB STA F-IRB A-IRB STA as of 31/12/2014 as of 31/12/2015 as of 31/12/2016 as of 31/12/2014 as of 31/12/2015 as of 31/12/2016

as of 31/12/2016

France

LTV % (as of

31/12/2013)

Exposure values (as of 31/12/2013) Risk exposure amounts (as of 31/12/2013) Value adjustments and provisions (as of 31/12/2013)

Adverse Scenario

F-IRB A-IRB STA F-IRB A-IRB STA F-IRB A-IRB STA as of 31/12/2014 as of 31/12/2015 as of 31/12/2016 as of 31/12/2014 as of 31/12/2015 as of 31/12/2016LTV % (as of

31/12/2013)

Exposure values (as of 31/12/2013)

FR - BNP Paribas

(*) Refers to the part of Securitization exposure that is deducted from capital and is not included in RWA

Value adjustments and provisions (as of 31/12/2013) Baseline Scenario

LTV % (as of

31/12/2013)

Exposure values (as of 31/12/2013) Risk exposure amounts (as of 31/12/2013) Value adjustments and provisions (as of 31/12/2013) Adverse Scenario

F-IRB A-IRB STA F-IRB A-IRB STA F-IRB A-IRB STA

Baseline Scenario

as of 31/12/2014 as of 31/12/2015 as of 31/12/2016 as of 31/12/2014 as of 31/12/2015






United States

Belgium

Italy

2014 EU-wide Stress TestCredit Risk

LTV % (as of

31/12/2013)

Exposure values (as of 31/12/2013) Risk exposure amounts (as of 31/12/2013) Value adjustments and provisions (as of 31/12/2013) Adverse ScenarioBaseline Scenario


Impairment

rate

Stock of

Provisions

Coverage Ratio -

Default Stock

Impairment

rate

Stock of

Provisions

Coverage

Ratio - Default

Stock

Impairment

rate

Stock of

Provisions

Coverage

Ratio - Default

Stock


Provisions

Coverage

Ratio - Default

Stock

Impairment

rate

Stock of

Provisions

Coverage

Ratio - Default

Stock

Impairment

rate

Stock of

Provisions

Coverage

Ratio - Default

Stock


Institutions 0 0 4,447 0 319 0 0 0 491 0 73 0 0 0 0 0 1 0 0.03% 3 29.47% 0.02% 4 29.00% 0.02% 5 28.74% 0.05% 4 31.21% 0.06% 6 30.63% 0.05% 9 30.39%

Corporates 0 0 8,520 154 620 2 0 0 4,628 67 606 3 0 0 44 79 2 2 0.27% 172 55.54% 0.23% 199 54.94% 0.21% 222 54.48% 0.35% 185 55.11% 0.39% 237 54.87% 0.36% 282 55.18%

Corporates - Of Which: Specialised Lending 0 0 356 0 0 0 0 0 215 0 0 0 0 0 7 0 0 0 - 0 - - 0 - - 0 - - 0 - - 0 - - 0 -


Retail 0 0 4,742 345 3,150 80 0 0 2,844 0 2,105 94 0 0 75 212 19 75 1.77% 521 48.37% 1.57% 639 45.26% 1.40% 740 43.70% 1.99% 539 48.29% 2.29% 710 45.17% 2.40% 879 43.56%



Which: SME0.0% 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 - 0 - - 0 - - 0 - - 0 - - 0 - - 0 -


Which: non-SME0.0% 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0.15% 0 4.04% 0.14% 0 5.99% 0.11% 0 7.06% 0.17% 0 4.40% 0.22% 0 7.01% 0.24% 0 8.45%

Retail - Qualifying Revolving 0 0 1,462 111 0 0 0 0 1,103 0 0 0 0 0 37 60 0 0 2.88% 140 52.31% 2.60% 176 51.73% 2.35% 206 51.43% 3.10% 143 52.33% 3.56% 192 51.74% 3.98% 242 51.43%

Retail - Other Retail 0 0 3,280 234 3,150 80 0 0 1,740 0 2,105 94 0 0 38 152 19 75 1.52% 381 47.25% 1.34% 464 43.43% 1.19% 534 41.49% 1.74% 396 47.16% 2.01% 518 43.34% 2.05% 637 41.32%

Retail - Other Retail - Of Which: SME 0 0 0 0 1,442 25 0 0 0 0 824 35 0 0 0 0 3 8 0.96% 25 31.50% 0.88% 38 33.43% 0.77% 48 34.32% 1.27% 30 34.58% 1.72% 54 39.41% 1.57% 75 40.71%

Retail - Other Retail - Of Which: non-SME 0 0 3,280 234 1,708 54 0 0 1,740 0 1,281 59 0 0 38 152 16 67 1.68% 356 49.06% 1.48% 426 44.67% 1.32% 486 42.43% 1.88% 366 48.68% 2.09% 465 43.88% 2.19% 562 41.41%

Equity 5 0 0 0 32 0 17 0 0 0 76 0 0 0 0 0 0 0 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 -

Securitisation 145 40 1,015 0 0 0 173 339 146 0 0 0 10 13 0 0 0 0

Other non-credit obligation assets 0 0 0 0 1,345 4 0 0 0 0 790 4 0 0 0 0 0 0

TOTAL 150 40 34,465 500 5,700 86 190 339 8,190 67 3,657 101 10 13 120 291 22 77 0.48% 696 49.66% 0.41% 843 46.87% 0.36% 968 45.40% 0.56% 728 49.59% 0.62% 955 46.92% 0.61% 1,172 45.56%



Impairment

rate

Stock of

Provisions

Coverage Ratio -

Default Stock

Impairment

rate

Stock of

Provisions

Coverage

Ratio - Default

Stock

Impairment

rate

Stock of

Provisions

Coverage

Ratio - Default

Stock


Provisions

Coverage

Ratio - Default

Stock

Impairment

rate

Stock of

Provisions

Coverage

Ratio - Default

Stock

Impairment

rate

Stock of

Provisions

Coverage

Ratio - Default

Stock


Institutions 0 0 2,227 0 237 0 0 0 258 0 75 0 0 0 0 0 0 0 0.03% 1 29.00% 0.03% 2 29.10% 0.03% 2 29.07% 0.05% 1 28.53% 0.06% 3 28.45% 0.04% 4 28.32%

Corporates 0 0 9,880 239 743 30 0 0 4,530 235 733 30 0 0 8 19 6 25 0.07% 101 21.80% 0.05% 113 21.79% 0.05% 122 21.63% 0.09% 113 23.30% 0.10% 140 23.60% 0.08% 162 24.00%



Retail 0 0 1 0 11,106 39 0 0 0 0 2,866 44 0 0 0 0 6 23 0.66% 103 28.65% 0.58% 165 27.92% 0.44% 212 28.23% 0.92% 132 29.06% 1.29% 270 30.59% 1.41% 415 31.34%



Which: SME0.0% 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1.71% 0 9.42% 1.63% 0 9.85% 1.49% 0 10.00% 1.92% 0 9.53% 2.18% 0 9.96% 2.14% 0 10.10%


Which: non-SME0.0% 0 0 0 0 10,190 23 0 0 0 0 2,179 23 0 0 0 0 2 11 0.33% 46 20.17% 0.27% 72 19.16% 0.16% 88 18.87% 0.50% 63 21.34% 0.79% 142 23.85% 0.91% 230 25.16%


Retail - Other Retail 0 0 1 0 916 16 0 0 0 0 687 20 0 0 0 0 4 13 4.39% 57 43.92% 4.31% 93 43.93% 4.16% 124 43.93% 5.58% 68 44.64% 7.36% 128 45.13% 8.59% 186 45.31%


Retail - Other Retail - Of Which: non-SME 0 0 0 0 916 16 0 0 0 0 687 20 0 0 0 0 4 13 4.39% 57 43.96% 4.31% 93 43.98% 4.16% 124 43.98% 5.58% 68 44.68% 7.37% 128 45.18% 8.60% 186 45.36%

Equity 100 0 0 0 94 0 346 0 0 0 169 0 0 0 0 0 0 0 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 -

Securitisation 322 31 0 0 1 6 139 40 0 0 0 12 0 3 0 0 0 1

Other non-credit obligation assets 0 0 0 0 752 0 0 0 0 0 725 0 0 0 0 0 0 0

TOTAL 422 31 17,426 239 12,959 75 485 40 4,799 235 4,568 85 0 3 8 19 12 50 0.31% 205 25.14% 0.26% 280 25.38% 0.20% 337 25.72% 0.44% 247 26.39% 0.59% 413 28.14% 0.62% 582 29.18%



Impairment

rate

Stock of

Provisions

Coverage Ratio -

Default Stock

Impairment

rate

Stock of

Provisions

Coverage

Ratio - Default

Stock

Impairment

rate

Stock of

Provisions

Coverage

Ratio - Default

Stock


Provisions

Coverage

Ratio - Default

Stock

Impairment

rate

Stock of

Provisions

Coverage

Ratio - Default

Stock

Impairment

rate

Stock of

Provisions

Coverage

Ratio - Default

Stock


Institutions 0 0 1,482 0 246 0 0 0 450 0 176 0 0 0 0 0 0 0 0.05% 1 31.38% 0.04% 2 29.24% 0.04% 3 28.48% 0.07% 2 29.22% 0.09% 4 27.59% 0.07% 5 27.31%

Corporates 0 0 6,668 1,455 635 55 0 0 3,593 1,195 632 81 0 0 47 437 0 10 0.30% 668 38.44% 0.22% 693 38.46% 0.18% 711 38.41% 0.39% 722 41.17% 0.41% 768 41.21% 0.33% 805 41.31%



Retail 0 0 4,388 793 6,084 426 0 0 1,988 0 2,584 427 0 0 121 721 14 352 1.54% 1,370 60.14% 1.13% 1,484 55.87% 0.94% 1,575 53.22% 1.92% 1,409 59.30% 2.02% 1,610 54.38% 1.97% 1,794 51.43%



Which: SME0.0% 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 - 0 - - 0 - - 0 - - 0 - - 0 - - 0 -


Which: non-SME0.0% 0 0 0 0 5,699 416 0 0 0 0 2,308 416 0 0 0 0 13 257 0.99% 326 34.75% 0.92% 377 32.80% 0.80% 419 31.66% 1.18% 337 34.92% 1.80% 435 34.07% 1.93% 534 33.79%

Retail - Qualifying Revolving 0 0 2,362 257 0 0 0 0 918 0 0 0 0 0 48 230 0 0 1.89% 322 77.30% 1.11% 347 72.74% 0.86% 366 70.00% 2.47% 336 74.77% 1.96% 380 68.39% 1.70% 416 64.72%

Retail - Other Retail 0 0 2,025 536 384 10 0 0 1,071 0 275 11 0 0 74 491 1 95 2.52% 722 81.29% 1.69% 760 76.81% 1.38% 789 73.95% 3.14% 736 79.28% 2.64% 795 73.03% 2.34% 843 69.13%


Retail - Other Retail - Of Which: non-SME 0 0 2,025 536 311 10 0 0 1,071 0 233 10 0 0 74 491 1 92 2.57% 718 81.30% 1.72% 755 76.83% 1.41% 785 73.98% 3.20% 732 79.28% 2.68% 790 73.04% 2.38% 837 69.14%

Equity 46 0 0 0 124 0 156 0 0 0 309 0 0 0 0 0 0 0 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 -

Securitisation 309 27 50 0 427 1 285 70 344 0 291 0 12 13 0 0 14 0


TOTAL 355 27 16,226 2,248 9,203 484 441 70 6,902 1,195 5,734 510 12 13 168 1,158 28 363 0.90% 2,041 50.53% 0.65% 2,180 48.62% 0.53% 2,290 47.30% 1.18% 2,143 51.36% 1.22% 2,401 49.07% 1.15% 2,633 47.59%



Impairment

rate

Stock of

Provisions

Coverage Ratio -

Default Stock

Impairment

rate

Stock of

Provisions

Coverage

Ratio - Default

Stock

Impairment

rate

Stock of

Provisions

Coverage

Ratio - Default

Stock


Provisions

Coverage

Ratio - Default

Stock

Impairment

rate

Stock of

Provisions

Coverage

Ratio - Default

Stock

Impairment

rate

Stock of

Provisions

Coverage

Ratio - Default

Stock

Central banks and central governments 0 0 171 0 3,739 0 0 0 39 0 1,019 0 0 0 0 0 14 0 0.37% 22 28.82% 0.37% 31 28.82% 0.37% 39 28.82% 1.39% 46 40.00% 1.39% 77 40.00% 1.39% 107 40.00%

Institutions 0 0 1,000 0 1,317 0 0 0 400 0 1,078 0 0 0 3 0 5 0 0.96% 31 29.06% 0.96% 52 29.20% 0.97% 73 29.29% 1.10% 34 28.77% 1.23% 62 28.87% 1.32% 90 28.98%

Corporates 0 0 3,032 2 8,936 23 0 0 1,026 0 8,936 24 0 0 6 2 43 76 0.81% 226 62.56% 0.92% 350 62.86% 0.89% 468 63.20% 1.03% 252 60.98% 1.33% 441 63.37% 1.11% 604 65.22%



Retail 0 0 0 0 8,723 96 0 0 0 0 6,163 96 0 0 0 0 47 191 1.83% 399 61.90% 2.07% 575 60.34% 2.01% 739 59.61% 2.36% 445 61.51% 2.97% 695 60.07% 2.48% 893 59.49%



Which: SME0.0% 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 - 0 - - 0 - - 0 - - 0 - - 0 - - 0 -


Which: non-SME0.0% 0 0 0 0 948 2 0 0 0 0 332 1 0 0 0 0 6 4 1.11% 21 40.48% 1.31% 33 38.51% 1.25% 44 37.71% 1.54% 25 41.88% 2.10% 44 41.34% 1.66% 59 40.52%


Retail - Other Retail 0 0 0 0 7,774 95 0 0 0 0 5,831 95 0 0 0 0 41 187 1.92% 378 63.38% 2.16% 542 62.23% 2.10% 695 61.69% 2.46% 420 62.99% 3.08% 651 61.82% 2.58% 835 61.39%

Retail - Other Retail - Of Which: SME 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 - 0 - - 0 - - 0 - - 0 - - 0 - - 0 -

Retail - Other Retail - Of Which: non-SME 0 0 0 0 7,774 95 0 0 0 0 5,831 95 0 0 0 0 41 187 1.92% 378 63.38% 2.16% 542 62.23% 2.10% 695 61.69% 2.46% 420 62.99% 3.08% 651 61.82% 2.58% 835 61.39%

Equity 4 0 0 0 0 0 16 0 0 0 0 0 0 0 0 0 0 0 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 -

Securitisation 4 0 0 0 0 0 3 0 0 0 0 0 0 0 0 0 0 0

Other non-credit obligation assets 0 0 0 0 765 0 0 0 0 0 770 0 0 0 0 0 0 0

TOTAL 9 0 4,202 2 23,480 120 19 0 1,465 0 17,966 120 0 0 9 2 109 267 1.14% 678 58.42% 1.27% 1,008 56.91% 1.22% 1,320 56.29% 1.53% 777 57.32% 1.89% 1,275 56.70% 1.62% 1,694 56.53%



Impairment

rate

Stock of

Provisions

Coverage Ratio -

Default Stock

Impairment

rate

Stock of

Provisions

Coverage

Ratio - Default

Stock

Impairment

rate

Stock of

Provisions

Coverage

Ratio - Default

Stock


Provisions

Coverage

Ratio - Default

Stock

Impairment

rate

Stock of

Provisions

Coverage

Ratio - Default

Stock

Impairment

rate

Stock of

Provisions

Coverage

Ratio - Default

Stock


Institutions 0 0 3,018 0 2,161 0 0 0 203 0 71 0 0 0 0 0 0 0 0.02% 1 24.32% 0.01% 1 24.80% 0.01% 2 25.15% 0.04% 2 23.36% 0.05% 5 23.53% 0.03% 6 23.64%

Corporates 0 0 2,790 4 1 0 0 0 764 0 1 0 0 0 2 4 0 0 0.04% 8 52.00% 0.03% 9 46.03% 0.02% 10 43.49% 0.11% 10 43.20% 0.16% 17 42.55% 0.10% 22 43.95%



Retail 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0.02% 0 60.00% 0.02% 0 60.00% 0.02% 0 60.00% 0.04% 0 60.00% 0.06% 0 60.17% 0.03% 0 60.00%

Retail - Secured on real estate property 0.0% 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 - 0 - - 0 - - 0 - - 0 - - 0 - - 0 -


Which: SME0.0% 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 - 0 - - 0 - - 0 - - 0 - - 0 - - 0 -


Which: non-SME0.0% 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 - 0 - - 0 - - 0 - - 0 - - 0 - - 0 -


Retail - Other Retail 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0.02% 0 60.00% 0.02% 0 60.00% 0.02% 0 60.00% 0.04% 0 60.00% 0.06% 0 60.17% 0.03% 0 60.00%


Retail - Other Retail - Of Which: non-SME 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 - 0 - - 0 - - 0 - - 0 - - 0 - - 0 -

Equity 5 0 0 0 1 0 19 0 0 0 1 0 0 0 0 0 0 0 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 - 0.00% 0 -

Securitisation 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Other non-credit obligation assets 0 0 0 0 1,011 0 0 0 0 0 202 0 0 0 0 0 0 0

TOTAL 5 0 20,719 4 3,887 0 19 0 991 0 274 0 0 0 2 4 0 0 0.01% 9 43.00% 0.01% 10 37.80% 0.00% 12 35.72% 0.02% 12 33.87% 0.03% 22 32.14% 0.02% 29 32.87%


LTV % (as of

31/12/2013)


F-IRB A-IRB STA F-IRB A-IRB STA as of 31/12/2016 as of 31/12/2014 as of 31/12/2015 as of 31/12/2016F-IRB A-IRB STA as of 31/12/2014 as of 31/12/2015

LTV % (as of

31/12/2013)


F-IRB A-IRB STA F-IRB A-IRB STA F-IRB as of 31/12/2014 as of 31/12/2015 as of 31/12/2016A-IRB STA as of 31/12/2014 as of 31/12/2015 as of 31/12/2016

LTV % (as of

31/12/2013)


F-IRB A-IRB STA F-IRB A-IRB STA F-IRB A-IRB as of 31/12/2015 as of 31/12/2016STA as of 31/12/2014 as of 31/12/2015 as of 31/12/2016 as of 31/12/2014

Adverse Scenario


31/12/2013)

Exposure values (as of 31/12/2013) Risk exposure amounts (as of 31/12/2013) Value adjustments and provisions (as of 31/12/2013)

Adverse Scenario


31/12/2013)

Exposure values (as of 31/12/2013) Risk exposure amounts (as of 31/12/2013)

Baseline Scenario

Value adjustments and provisions (as of 31/12/2013) Baseline Scenario






Germany

Netherlands

Spain

Japan

Turkey

2014 EU-wide Stress Test P&L

(mln EUR) 31/12/2014 31/12/2015 31/12/2016 31/12/2014 31/12/2015 31/12/2016

Net interest income 19,801 18,801 17,305 16,313 17,676 16,345 15,450

Net trading income 1,715 2,678 3,159 728 2,086 2,764

of which trading losses from stress scenarios -2,407 -1,444 -963 -3,394 -2,036 -1,358

Other operating income 1,862 1,199 1,198 1,201 1,087 1,066 1,048

Operating profit before impairments 11,993 6,773 6,244 5,741 4,211 4,198 3,967

Impairment of financial assets (-) -6,157 -5,811 -4,506 -3,980 -8,118 -8,246 -7,598

Impairment of financial assets other than instruments designated at fair value

through P&L (-)-5,582 -5,810 -4,505 -3,980 -8,033 -8,193 -7,556

Impairment Financial assets designated at fair value through P&L (-) -575 -1 0 0 -85 -53 -42

Impairment on non financial assets (-) -273 -6 -2 -2 -629 -384 -252

Operating profit after impairments from stress scenarios 5,562 956 1,736 1,759 -4,537 -4,433 -3,883

Other Income and expenses 1,044 225 240 254 195 212 226

Pre-Tax profit 6,606 1,181 1,976 2,013 -4,342 -4,221 -3,657

Tax -2,017 -354 -593 -604 1,303 1,266 1,097

Net income 4,589 827 1,383 1,409 -3,039 -2,954 -2,560

Attributable to owners of the parent 3,994 779 1,310 1,335 -2,896 -2,815 -2,441

of which carried over to capital through retained earnings 1,878 231 504 512 -3,121 -3,044 -2,684

of which distributed as dividends 2,116 549 806 823 225 229 243

In the figures above, the original (official published) 2013 P&L figures may have been adjusted as part of the ECB Comprehensive Assessment join-up calculation.

31/12/2013



RWA

(mln EUR)as of 31/12/2013 as of 31/12/2014 as of 31/12/2015 as of 31/12/2016 as of 31/12/2014 as of 31/12/2015 as of 31/12/2016

Risk exposure amount for credit risk 536,627 543,601 548,614 553,851 561,575 573,308 575,892

Risk exposure amount Securitisation and re-securitisations 16,394 21,440 24,642 27,243 30,472 39,082 44,388

Risk exposure amount Other credit risk 520,233 522,161 523,972 526,608 531,103 534,225 531,504

Risk exposure amount for market risk 34,318 36,838 36,951 37,049 56,059 57,004 57,464

Risk exposure amount for operational risk 50,363 50,363 50,363 50,363 50,363 50,363 50,363

Transitional floors for Risk exposure amount 0 0 0 0 0 0 0

AQR adjustments (for SSM countries only) 898 898 898 898 898 898 898

Total Risk exposure amount 622,205 631,699 636,826 642,161 668,895 681,572 684,617


(mln EUR) as of 31/12/2013 31/12/2014 31/12/2015 31/12/2016 31/12/2014 31/12/2015 31/12/2016

Banking Book 23,537

Trading Book (excl. correlation trading positions under CRM) 821

Correlation Trading Portfolio (CRM) 1,395

Total 25,754

Banking Book 15,574 20,361 23,409 25,923 29,087 37,359 42,466

Trading Book (excl. correlation trading positions under CRM) 819 1,079 1,233 1,320 1,385 1,723 1,922

Total 16,394 21,440 24,642 27,243 30,472 39,082 44,388

Hold to Maturity porfolio 241 530 825 1,188 554 995 1,428

Available for Sale porfolio 4 8 12 17 9 14 18

Held for trading portfolio

Total 245 538 837 1,205 563 1,009 1,446


Impairments

Baseline scenario Adverse scenario

Exposure values

Risk exposure values

Securitisation

2014 EU-wide Stress Test - Sovereign Exposure

(mln EUR)

[ 0 - 3M [ 0 0 0 0 0 0 0 0 0 0 50 0 -45 0

[ 3M - 1Y [ 0 0 0 0 0 0 891 11 0 0 77 1 -133 -1

[ 1Y - 2Y [ 4 0 4 0 0 4 0 0 0 0 352 5 -428 -6

[ 2Y - 3Y [ 15 0 15 13 0 2 0 0 0 0 365 8 -270 -6

[3Y - 5Y [ 402 0 357 253 0 104 0 0 0 0 508 16 -1,104 -37

[5Y - 10Y [ 529 0 434 162 0 272 0 0 0 0 183 6 -143 -5

[10Y - more 429 0 237 25 0 212 75 10 0 0 0 0 0 0

Tot 1,379 0 1,049 453 0 596 966 21 0 0 1,535 37 -2,124 -56

[ 0 - 3M [ 1,207 0 1,202 1,129 0 73 99 6 0 0 -26 2 -68 0

[ 3M - 1Y [ 541 0 353 192 0 161 0 0 0 0 158 1 -150 -1

[ 1Y - 2Y [ 1,475 0 1,206 1,297 0 -91 272 3 0 0 480 8 -564 -9

[ 2Y - 3Y [ 6,402 2,001 6,139 4,320 0 -182 850 88 25 -2 1,962 42 -1,778 -40

[3Y - 5Y [ 4,276 0 4,194 4,059 0 135 753 19 50 -7 945 27 -254 -47

[5Y - 10Y [ 5,008 0 4,262 4,263 0 -1 681 46 930 -33 197 7 -184 -3

[10Y - more 1,677 0 990 1,479 0 -489 781 96 3,733 -41 0 0 0 0

Tot 20,586 2,001 18,347 16,739 0 -393 3,435 259 4,739 -84 3,716 87 -2,999 -100

[ 0 - 3M [ 1 0 1 1 0 0 0 0 0 0 40 0 -29 0

[ 3M - 1Y [ 0 0 0 0 0 0 0 0 0 0 32 1 -17 0

[ 1Y - 2Y [ 0 0 0 0 0 0 0 0 0 0 53 1 -55 -1

[ 2Y - 3Y [ 0 0 0 0 0 0 0 0 0 0 29 0 -76 -1

[3Y - 5Y [ 0 0 0 0 0 0 0 0 0 0 65 1 2 -1

[5Y - 10Y [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[10Y - more 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Tot 1 0 1 1 0 0 0 0 0 0 219 3 -175 -3

[ 0 - 3M [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[ 3M - 1Y [ 8 0 8 8 0 0 0 0 0 0 0 0 0 0

[ 1Y - 2Y [ 0 0 0 0 0 0 0 0 0 0 -11 1 0 0

[ 2Y - 3Y [ 0 0 0 0 0 0 0 0 0 0 -18 3 4 -1

[3Y - 5Y [ 0 0 0 0 0 0 0 0 0 0 -26 5 51 -10

[5Y - 10Y [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[10Y - more 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Tot 8 0 8 8 0 0 0 0 0 0 -55 10 54 -11

[ 0 - 3M [ 2 0 2 0 0 2 0 0 0 0 18 0 -9 0

[ 3M - 1Y [ 100 0 100 100 0 0 0 0 0 0 26 0 -32 0

[ 1Y - 2Y [ 0 0 0 0 0 0 0 0 0 0 16 0 -66 -1

[ 2Y - 3Y [ 1 0 1 0 0 1 0 0 0 0 133 2 -175 -3

[3Y - 5Y [ 63 0 63 59 0 4 0 0 0 0 118 2 -35 -1

[5Y - 10Y [ 5 0 -2 0 0 -2 0 0 0 0 46 1 -24 -2

[10Y - more 6 0 6 0 0 6 0 0 0 0 0 0 0 0

Tot 178 0 171 159 0 12 0 0 0 0 358 6 -341 -7

[ 0 - 3M [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[ 3M - 1Y [ 23 0 23 0 0 23 0 0 0 0 18 0 -18 0

[ 1Y - 2Y [ 40 0 3 0 0 3 0 0 127 -7 46 0 -60 0

[ 2Y - 3Y [ 12 0 12 0 0 12 0 0 121 -12 125 1 -130 -2

[3Y - 5Y [ 0 0 -86 0 0 -86 0 0 100 -15 171 2 -180 -1

[5Y - 10Y [ 95 0 76 0 0 76 0 0 250 -34 0 0 18 0

[10Y - more 1 0 -13 0 0 -13 0 0 0 0 0 0 0 0

Tot 171 0 15 0 0 15 0 0 597 -68 361 3 -370 -3

[ 0 - 3M [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[ 3M - 1Y [ 0 0 0 0 0 0 0 0 0 0 0 0 -3 0

[ 1Y - 2Y [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[ 2Y - 3Y [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[3Y - 5Y [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[5Y - 10Y [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[10Y - more 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Tot 0 0 0 0 0 0 0 0 0 0 0 0 -3 0

[ 0 - 3M [ 0 0 0 0 0 0 -145 3 0 0 6 0 -7 0

[ 3M - 1Y [ 0 0 -10 0 0 -10 678 21 0 0 109 0 -145 0

[ 1Y - 2Y [ 189 0 189 183 0 6 418 15 0 0 252 1 -381 -1

[ 2Y - 3Y [ 38 0 38 0 0 38 138 10 4,500 -130 215 2 -360 -2

[3Y - 5Y [ 78 0 69 0 0 69 681 48 4,350 -339 288 2 -165 -1

[5Y - 10Y [ 139 0 78 11 0 67 4,085 268 0 0 5 0 -23 0

[10Y - more 44 0 22 0 0 22 12 1 340 -6 0 0 0 0

Tot 488 0 386 194 0 192 5,868 365 9,190 -475 874 5 -1,080 -5

[ 0 - 3M [ 364 0 298 0 0 298 236 6 0 0 3 0 -3 0

[ 3M - 1Y [ 2,152 0 1,743 1,849 0 -106 -57 1 436 -69 0 0 -44 0

[ 1Y - 2Y [ 1,006 0 893 419 0 474 42 2 204 -41 94 0 -106 0

[ 2Y - 3Y [ 1,139 459 691 605 0 -373 19 1 346 -50 -79 0 82 0

[3Y - 5Y [ 4,085 0 2,964 1,451 0 1,513 -16 5 191 -20 3 0 46 0

[5Y - 10Y [ 10,395 121 4,047 5,488 0 -1,562 20 2 20 -1 -33 1 22 0

[10Y - more 1,478 228 -1,576 190 0 -1,994 128 4 20 -3 0 0 1,199 -238

Tot 20,619 808 9,059 10,002 0 -1,751 373 21 1,216 -182 -11 1 1,197 -240

Residual Maturity Country / Region

GROSS DIRECT LONG

EXPOSURES (accounting value gross

of provisions)

(1)

NET DIRECT POSITIONS (gross exposures (long) net of cash short

positions of sovereign debt to other counterpaties only where there

is a maturity matching)

(1)

DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES (1)

of which: loans

and advances

of which: AFS

banking book

of which: FVO

(designated at fair

value through

profit&loss)

banking book

of which: Financial

assets held for

trading

(2)

Derivatives with positive fair value at

31/12/2013

Derivatives with negative fair value at

31/12/2013

Derivatives with positive fair value

at 31/12/2013

Derivatives with negative fair

value at 31/12/2013

VALUES AS OF 31/12/2013 VALUES AS OF 31/12/2013 VALUES AS OF 31/12/2013

INDIRECT SOVEREIGN EXPOSURES (3) (on and off balance sheet)

Fair-value at

31/12/2013 (+)Notional value

Fair-value at

31/12/2013 (-)Notional value

Fair-value at


Fair-value at 31/12/2013

(-)

Austria

Belgium

Bulgaria

Cyprus

Notional value

Czech Republic

Denmark

Estonia

Finland

France


(mln EUR)


GROSS DIRECT LONG


of provisions)

(1)




(1)


of which: loans

and advances

of which: AFS

banking book

of which: FVO

(designated at fair

value through

profit&loss)

banking book

of which: Financial

assets held for

trading

(2)


31/12/2013


31/12/2013


at 31/12/2013


value at 31/12/2013



Fair-value at


Fair-value at


Fair-value at



(-)

Austria

Notional value

[ 0 - 3M [ 7 0 -119 0 0 -119 0 0 0 0 67 0 -119 0

[ 3M - 1Y [ 1,187 0 1,163 0 0 1,163 100 4 305 -33 322 1 -447 -1

[ 1Y - 2Y [ 3,113 0 2,518 903 0 1,615 230 9 863 -41 874 3 -983 -3

[ 2Y - 3Y [ 1,510 0 421 1,357 0 -937 150 12 400 0 1,418 6 -980 -4

[3Y - 5Y [ 1,143 0 -183 145 0 -328 725 62 163 -57 980 14 -976 -17

[5Y - 10Y [ 6,495 0 831 110 0 721 607 67 275 -11 -257 3 488 -7

[10Y - more 3,092 0 1,730 0 0 1,730 675 86 839 -109 0 0 0 0

Tot 16,547 0 6,361 2,515 0 3,845 2,487 241 2,845 -251 3,403 27 -3,017 -32

[ 0 - 3M [ 0 0 0 0 0 0 0 0 0 0 18 0 -15 0

[ 3M - 1Y [ 2 0 2 0 0 2 0 0 0 0 -20 0 9 0

[ 1Y - 2Y [ 11 0 11 0 0 11 0 0 0 0 -48 1 69 -1

[ 2Y - 3Y [ 0 0 0 0 0 0 0 0 0 0 -51 2 62 -3

[3Y - 5Y [ 0 0 0 0 0 0 0 0 0 0 -260 21 305 -24

[5Y - 10Y [ 1 0 -2 0 0 -2 0 0 0 0 -85 14 76 -12

[10Y - more 2 0 -5 0 0 -5 73 8 0 0 0 0 0 0

Tot 16 0 6 0 0 6 73 8 0 0 -447 38 507 -41

[ 0 - 3M [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[ 3M - 1Y [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[ 1Y - 2Y [ 0 0 0 0 0 0 1,088 80 0 0 0 0 0 0

[ 2Y - 3Y [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[3Y - 5Y [ 0 0 0 0 0 0 500 55 0 0 0 0 0 0

[5Y - 10Y [ 1 0 1 0 0 1 0 0 150 -5 0 0 0 0

[10Y - more 30 0 28 0 0 28 800 57 0 0 0 0 0 0

Tot 30 0 29 0 0 29 2,388 191 150 -5 0 0 0 0

[ 0 - 3M [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[ 3M - 1Y [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[ 1Y - 2Y [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[ 2Y - 3Y [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[3Y - 5Y [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[5Y - 10Y [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[10Y - more 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Tot 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[ 0 - 3M [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[ 3M - 1Y [ 0 0 0 0 0 0 0 0 0 0 26 1 -12 0

[ 1Y - 2Y [ 0 0 0 0 0 0 0 0 0 0 23 1 -62 -3

[ 2Y - 3Y [ 17 0 17 0 0 17 0 0 0 0 47 1 18 -2

[3Y - 5Y [ 0 0 0 0 0 0 0 0 0 0 -44 1 19 -5

[5Y - 10Y [ 6 0 6 0 0 6 0 0 0 0 0 0 0 0

[10Y - more 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Tot 24 0 24 0 0 24 0 0 0 0 52 4 -36 -10

[ 0 - 3M [ 3 3 2 0 0 -1 1,255 1 0 0 40 0 -39 0

[ 3M - 1Y [ 0 0 0 0 0 0 0 0 0 0 119 1 -137 -1

[ 1Y - 2Y [ 62 0 51 62 0 -11 0 0 0 0 298 3 -269 -3

[ 2Y - 3Y [ 41 20 26 21 0 -15 63 16 0 0 264 3 -265 -3

[3Y - 5Y [ 100 100 91 0 0 -9 2,343 23 0 0 93 10 -110 -11

[5Y - 10Y [ 126 82 12 0 0 -70 1,816 30 0 0 -69 1 72 -2

[10Y - more 46 0 46 0 0 46 0 0 0 0 0 0 0 0

Tot 378 205 229 83 0 -59 5,477 70 0 0 745 18 -748 -20

[ 0 - 3M [ 360 0 -84 0 0 -84 0 0 0 0 257 1 -324 -1

[ 3M - 1Y [ 2,866 0 1,702 172 0 1,530 43 0 1 0 864 5 -758 -5

[ 1Y - 2Y [ 1,097 0 -197 0 0 -197 7,874 990 0 0 2,493 12 -2,637 -13

[ 2Y - 3Y [ 822 444 261 2 0 -185 3,026 610 0 0 -2,039 27 2,187 -23

[3Y - 5Y [ 3,598 117 3,034 2,733 0 184 3,953 238 7 0 -3,905 61 4,474 -75

[5Y - 10Y [ 7,170 0 5,763 5,722 0 41 1,032 78 304 -14 -3,245 175 3,170 -168

[10Y - more 3,037 0 2,504 2,842 0 -338 9,015 1,455 23 0 -966 131 1,015 -130

Tot 18,949 561 12,983 11,471 0 951 24,943 3,371 334 -14 -6,541 411 7,128 -414

[ 0 - 3M [ 0 0 0 0 0 0 0 0 0 0 7 0 -15 -1

[ 3M - 1Y [ 0 0 0 0 0 0 0 0 0 0 4 0 -19 0

[ 1Y - 2Y [ 0 0 0 0 0 0 0 0 0 0 25 1 -5 0

[ 2Y - 3Y [ 0 0 0 0 0 0 0 0 0 0 17 0 9 0

[3Y - 5Y [ 0 0 -2 0 0 -2 0 0 0 0 65 3 -60 -5

[5Y - 10Y [ 2 0 1 0 0 1 0 0 0 0 -6 0 1 -1

[10Y - more 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Tot 2 0 -1 0 0 -1 0 0 0 0 112 5 -89 -8

[ 0 - 3M [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[ 3M - 1Y [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[ 1Y - 2Y [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[ 2Y - 3Y [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[3Y - 5Y [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[5Y - 10Y [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[10Y - more 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Tot 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Latvia

Germany

Greece

Hungary

Iceland

Ireland

Italy

Croatia

Liechtenstein


(mln EUR)


GROSS DIRECT LONG


of provisions)

(1)




(1)


of which: loans

and advances

of which: AFS

banking book

of which: FVO

(designated at fair

value through

profit&loss)

banking book

of which: Financial

assets held for

trading

(2)


31/12/2013


31/12/2013


at 31/12/2013


value at 31/12/2013



Fair-value at


Fair-value at


Fair-value at



(-)

Austria

Notional value

[ 0 - 3M [ 0 0 0 0 0 0 0 0 0 0 22 1 -17 -1

[ 3M - 1Y [ 0 0 0 0 0 0 0 0 0 0 22 1 -7 0

[ 1Y - 2Y [ 10 0 10 0 0 10 0 0 0 0 95 1 -56 -1

[ 2Y - 3Y [ 0 0 0 0 0 0 0 0 0 0 19 0 -58 -1

[3Y - 5Y [ 9 0 9 9 0 0 0 0 0 0 84 1 -69 -1

[5Y - 10Y [ 8 0 6 0 0 6 73 14 0 0 -13 0 21 0

[10Y - more 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Tot 27 0 25 9 0 16 73 14 0 0 228 4 -186 -3

[ 0 - 3M [ 0 0 0 0 0 0 0 0 0 0 193 1 -141 -2

[ 3M - 1Y [ 0 0 0 0 0 0 0 0 0 0 211 3 -164 -2

[ 1Y - 2Y [ 0 0 0 0 0 0 0 0 0 0 -162 5 104 -2

[ 2Y - 3Y [ 5 0 5 5 0 0 0 0 0 0 -168 12 164 -9

[3Y - 5Y [ 0 0 0 0 0 0 0 0 0 0 -327 16 405 -18

[5Y - 10Y [ 421 0 421 80 0 341 0 0 0 0 -18 3 12 -2

[10Y - more 49 0 49 49 0 0 0 0 0 0 0 0 0 0

Tot 475 0 475 134 0 341 0 0 0 0 -271 38 379 -35

[ 0 - 3M [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[ 3M - 1Y [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[ 1Y - 2Y [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[ 2Y - 3Y [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[3Y - 5Y [ 0 0 0 0 0 0 0 0 0 0 -7 0 7 0

[5Y - 10Y [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[10Y - more 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Tot 0 0 0 0 0 0 0 0 0 0 -7 0 7 0

[ 0 - 3M [ 111 0 61 0 0 61 265 6 0 0 40 0 -43 0

[ 3M - 1Y [ 10 0 -55 8 0 -63 4,822 155 0 0 64 0 -64 0

[ 1Y - 2Y [ 244 0 153 0 0 153 14,714 322 0 0 158 0 -155 0

[ 2Y - 3Y [ 1,070 1,000 917 0 0 -83 12,600 258 0 0 443 2 -312 -1

[3Y - 5Y [ 3,533 0 3,501 3,200 0 301 0 0 17,927 -449 298 2 -135 -2

[5Y - 10Y [ 608 0 -96 99 0 -195 0 0 6,312 -1,045 -107 2 116 -2

[10Y - more 385 0 -240 82 0 -322 0 0 4,559 -1,276 0 0 211 -4

Tot 5,960 1,000 4,240 3,389 0 -149 32,401 742 28,798 -2,770 897 6 -382 -9

[ 0 - 3M [ 24 0 24 24 0 0 0 0 0 0 18 0 -25 0

[ 3M - 1Y [ 36 0 36 36 0 0 0 0 0 0 8 0 -13 0

[ 1Y - 2Y [ 14 0 14 0 0 14 0 0 0 0 11 0 -36 0

[ 2Y - 3Y [ 0 0 0 0 0 0 0 0 0 0 52 1 -53 -1

[3Y - 5Y [ 6 0 6 0 0 6 0 0 0 0 84 1 -84 -1

[5Y - 10Y [ 57 0 39 0 0 39 0 0 0 0 12 0 -20 0

[10Y - more 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Tot 138 0 119 60 0 59 0 0 0 0 185 2 -231 -1

[ 0 - 3M [ 20 0 20 5 0 15 0 0 0 0 19 0 -9 0

[ 3M - 1Y [ 24 0 24 2 0 22 0 0 0 0 188 2 -125 -1

[ 1Y - 2Y [ 406 0 368 369 0 -1 180 0 0 0 268 4 -304 -5

[ 2Y - 3Y [ 22 0 -96 0 0 -96 0 0 0 0 311 6 -285 -6

[3Y - 5Y [ 698 0 634 388 0 246 0 0 0 0 427 8 -458 -8

[5Y - 10Y [ 175 0 161 76 0 85 0 0 0 0 -39 2 33 -1

[10Y - more 32 0 24 0 0 24 0 0 0 0 0 0 0 0

Tot 1,378 0 1,135 840 0 295 180 0 0 0 1,174 22 -1,148 -22

[ 0 - 3M [ 2 0 1 0 0 1 0 0 0 0 49 0 -58 0

[ 3M - 1Y [ 150 150 146 0 0 -4 0 0 0 0 -84 0 78 0

[ 1Y - 2Y [ 75 72 22 0 0 -50 0 0 0 0 -564 8 565 -8

[ 2Y - 3Y [ 74 56 73 0 0 17 0 0 0 0 -579 21 549 -21

[3Y - 5Y [ 261 223 242 0 0 19 0 0 0 0 -677 56 744 -58

[5Y - 10Y [ 140 49 89 0 0 40 378 29 0 0 -169 27 181 -25

[10Y - more 64 56 58 0 0 2 0 0 0 0 0 0 0 0

Tot 766 606 631 0 0 25 378 29 0 0 -2,023 113 2,059 -112

[ 0 - 3M [ 0 0 0 0 0 0 0 0 0 0 21 0 -11 0

[ 3M - 1Y [ 3 0 3 0 0 3 0 0 0 0 40 0 -48 0

[ 1Y - 2Y [ 28 0 28 0 0 28 0 0 0 0 103 1 -78 -1

[ 2Y - 3Y [ 39 36 39 0 0 3 0 0 0 0 -70 1 19 0

[3Y - 5Y [ 3 0 3 0 0 3 0 0 0 0 -143 3 196 -4

[5Y - 10Y [ 3 0 2 0 0 2 0 0 0 0 0 0 0 0

[10Y - more 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Tot 76 36 75 0 0 39 0 0 0 0 -48 6 77 -6

[ 0 - 3M [ 0 0 0 0 0 0 0 0 0 0 15 0 -15 0

[ 3M - 1Y [ 13 0 13 13 0 0 0 0 0 0 0 0 0 0

[ 1Y - 2Y [ 0 0 0 0 0 0 0 0 0 0 22 0 -29 0

[ 2Y - 3Y [ 0 0 -2 0 0 -2 178 23 0 0 330 6 -482 -9

[3Y - 5Y [ 19 0 19 11 0 8 0 0 0 0 25 0 -62 -1

[5Y - 10Y [ 5 0 5 5 0 0 235 4 0 0 -10 0 29 -1

[10Y - more 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Tot 37 0 35 29 0 6 412 26 0 0 381 7 -558 -12

Lithuania

Luxembourg

Malta

Netherlands

Norway

Poland

Portugal

Romania

Slovakia


(mln EUR)


GROSS DIRECT LONG


of provisions)

(1)




(1)


of which: loans

and advances

of which: AFS

banking book

of which: FVO

(designated at fair

value through

profit&loss)

banking book

of which: Financial

assets held for

trading

(2)


31/12/2013


31/12/2013


at 31/12/2013


value at 31/12/2013



Fair-value at


Fair-value at


Fair-value at



(-)

Austria

Notional value

[ 0 - 3M [ 0 0 0 0 0 0 0 0 0 0 18 0 -15 0

[ 3M - 1Y [ 53 0 53 0 0 53 0 0 0 0 18 0 -47 0

[ 1Y - 2Y [ 2 0 2 0 0 2 0 0 0 0 -63 1 47 0

[ 2Y - 3Y [ 6 0 6 0 0 6 0 0 0 0 -765 8 591 -7

[3Y - 5Y [ 0 0 -4 0 0 -4 0 0 0 0 -133 5 227 -9

[5Y - 10Y [ 23 0 18 5 0 13 363 59 0 0 0 0 7 -1

[10Y - more 5 0 5 0 0 5 0 0 0 0 0 0 0 0

Tot 88 0 79 5 0 74 363 59 0 0 -925 15 812 -17

[ 0 - 3M [ 56 0 25 0 0 25 100 5 433 -13 85 0 -75 0

[ 3M - 1Y [ 94 0 36 0 0 36 23 0 112 -21 371 2 -348 -1

[ 1Y - 2Y [ 54 0 -51 0 0 -51 281 34 0 0 1,529 7 -1,190 -6

[ 2Y - 3Y [ 2,126 31 1,916 1,745 0 140 0 0 850 -60 2,199 8 -2,512 -9

[3Y - 5Y [ 439 0 146 307 0 -161 0 0 241 -8 -4,600 57 4,555 -57

[5Y - 10Y [ 633 0 425 40 0 385 80 5 0 0 -675 34 492 -23

[10Y - more 522 0 406 475 0 -69 100 19 0 0 0 0 0 0

Tot 3,923 31 2,903 2,567 0 306 584 63 1,637 -102 -1,092 107 922 -96

[ 0 - 3M [ 0 0 0 0 0 0 23 0 2 -1 59 0 -68 0

[ 3M - 1Y [ 32 0 32 0 0 32 194 5 28 -1 62 0 -67 0

[ 1Y - 2Y [ 34 0 34 0 0 34 1 0 56 -4 116 1 -120 0

[ 2Y - 3Y [ 0 0 -10 0 0 -10 97 0 113 -10 114 1 -122 -1

[3Y - 5Y [ 11 0 -4 0 0 -4 0 0 153 -11 131 1 -133 -1

[5Y - 10Y [ 65 0 -15 0 0 -15 0 0 113 -10 59 2 -56 -1

[10Y - more 0 0 -1 0 0 -1 0 0 0 0 0 0 0 0

Tot 142 0 36 0 0 36 315 5 465 -36 541 6 -565 -4

[ 0 - 3M [ 10 0 -369 10 0 -379 0 0 -6 0 47 0 -48 0

[ 3M - 1Y [ 0 0 -45 0 0 -45 0 0 -3 0 250 2 -246 -2

[ 1Y - 2Y [ 0 0 -22 0 0 -22 0 0 -15 -1 914 13 -901 -13

[ 2Y - 3Y [ 715 0 646 0 616 29 0 0 -12 -1 757 19 -735 -18

[3Y - 5Y [ 39 0 -38 0 0 -38 0 0 0 0 864 26 -777 -24

[5Y - 10Y [ 213 0 175 0 0 175 0 0 0 0 143 6 -160 -7

[10Y - more 183 0 -28 0 0 -28 0 0 0 0 0 0 0 0

Tot 1,160 0 319 10 616 -307 0 0 -37 -2 2,975 67 -2,868 -64

[ 0 - 3M [ 0 0 0 0 0 0 0 0 0 0 1 0 -23 0

[ 3M - 1Y [ 92 0 92 0 0 92 220 5 0 0 64 0 -62 -1

[ 1Y - 2Y [ 26 0 12 0 0 12 0 0 0 0 60 1 -109 -2

[ 2Y - 3Y [ 1,091 194 1,089 782 0 112 0 0 0 0 78 2 -73 -2

[3Y - 5Y [ 398 0 -379 0 0 -379 0 0 0 0 312 9 -198 -6

[5Y - 10Y [ 105 0 97 0 0 97 0 0 0 0 0 0 -58 -2

[10Y - more 96 0 -156 0 0 -156 0 0 0 0 0 0 0 0

Tot 1,809 194 755 782 0 -222 220 5 0 0 516 12 -522 -11

[ 0 - 3M [ 529 0 529 454 0 75 0 0 1,165 -10 0 0 0 0

[ 3M - 1Y [ 359 0 357 153 0 204 0 0 1,487 -20 0 0 0 0

[ 1Y - 2Y [ 3 0 -1 0 0 -1 2 0 1,061 -46 0 0 0 0

[ 2Y - 3Y [ 442 0 436 442 0 -5 2,024 29 297 -3 0 0 0 0

[3Y - 5Y [ 139 0 119 0 0 119 1,054 9 204 -26 0 0 0 0

[5Y - 10Y [ 18 0 -1 0 0 -1 2,720 85 629 -57 0 0 0 0

[10Y - more 0 0 -2 0 0 -2 0 0 0 0 0 0 0 0

Tot 1,490 0 1,437 1,049 0 389 5,800 124 4,842 -162 0 0 0 0

[ 0 - 3M [ 1,625 0 988 1,367 0 -379 0 0 311 -22 20 0 0 0

[ 3M - 1Y [ 170 0 113 83 0 30 0 0 0 0 30 0 -22 0

[ 1Y - 2Y [ 7 0 -43 0 0 -43 0 0 0 0 18 0 -27 0

[ 2Y - 3Y [ 167 0 131 0 0 131 0 0 0 0 22 0 -22 0

[3Y - 5Y [ 247 0 239 0 0 239 0 0 0 0 0 0 0 0

[5Y - 10Y [ 172 0 129 0 0 129 0 0 75 -3 0 0 0 0

[10Y - more 1 0 -21 0 0 -21 0 0 75 -3 0 0 0 0

Tot 2,389 0 1,537 1,450 0 87 0 0 461 -28 90 1 -71 -1

[ 0 - 3M [ 1,311 0 1,311 108 0 1,203 207 1 0 0 132 0 -176 0

[ 3M - 1Y [ 1,217 0 1,217 1,139 0 78 0 0 0 0 309 2 -256 -1

[ 1Y - 2Y [ 1,181 0 1,175 1,061 0 114 0 0 0 0 363 5 -342 -4

[ 2Y - 3Y [ 357 0 -200 0 0 -200 0 0 0 0 330 7 -278 -8

[3Y - 5Y [ 768 0 249 6 0 243 0 0 0 0 1,565 46 -1,440 -44

[5Y - 10Y [ 5,126 0 1,705 0 0 1,705 138 7 0 0 314 8 -214 -6

[10Y - more 1,950 0 -727 0 0 -727 0 0 0 0 -99 4 0 0

Tot 11,911 0 4,730 2,314 0 2,416 345 8 0 0 2,913 72 -2,705 -63

[ 0 - 3M [ 1,242 0 1,239 1,202 0 37 65 1 0 0 -28 0 26 0

[ 3M - 1Y [ 2,477 0 2,393 1,730 0 663 0 0 117 -3 -468 1 576 -2

[ 1Y - 2Y [ 3,618 0 2,868 1,918 0 950 0 0 0 0 -220 0 75 0

[ 2Y - 3Y [ 2,366 360 270 1,100 0 -1,191 0 0 0 0 -604 0 459 -1

[3Y - 5Y [ 6,010 0 3,495 2,176 0 1,319 0 0 0 0 -849 1 891 -1

[5Y - 10Y [ 1,618 0 -2,099 0 0 -2,099 0 0 0 0 -93 1 86 0

[10Y - more 3,291 0 2,142 0 0 2,142 0 0 0 0 -9 1 0 0

Tot 20,623 360 10,307 8,126 0 1,821 65 1 117 -3 -2,270 4 2,114 -4

Spain

Slovenia

Sweden

United Kingdom

Australia

Canada

Hong Kong

Japan

U.S.


(mln EUR)


GROSS DIRECT LONG


of provisions)

(1)




(1)


of which: loans

and advances

of which: AFS

banking book

of which: FVO

(designated at fair

value through

profit&loss)

banking book

of which: Financial

assets held for

trading

(2)


31/12/2013


31/12/2013


at 31/12/2013


value at 31/12/2013



Fair-value at


Fair-value at


Fair-value at



(-)

Austria

Notional value

[ 0 - 3M [ 104 0 104 0 0 104 0 0 0 0 43 0 -16 0

[ 3M - 1Y [ 155 0 155 5 0 150 0 0 0 0 85 1 -69 -6

[ 1Y - 2Y [ 13 0 13 6 0 7 0 0 0 0 273 4 -305 -4

[ 2Y - 3Y [ 50 0 50 0 0 50 0 0 0 0 205 4 -269 -5

[3Y - 5Y [ 132 0 132 118 0 14 0 0 0 0 1,114 19 -1,159 -17

[5Y - 10Y [ 176 0 176 0 0 176 0 0 0 0 257 4 15 -1

[10Y - more 6 0 6 0 0 6 0 0 0 0 0 0 0 0

Tot 636 0 636 129 0 507 0 0 0 0 1,978 31 -1,802 -34

[ 0 - 3M [ 20 0 20 20 0 0 -77 12 0 0 0 0 0 0

[ 3M - 1Y [ 0 0 0 0 0 0 0 0 0 0 0 0 0 0

[ 1Y - 2Y [ 0 0 0 0 0 0 -15 2 0 0 0 0 0 0

[ 2Y - 3Y [ 412 0 412 412 0 0 0 0 0 0 0 0 0 0

[3Y - 5Y [ 311 0 311 280 0 31 0 0 0 0 0 0 0 0

[5Y - 10Y [ 55 0 39 36 0 3 0 0 0 0 0 0 0 0

[10Y - more 1 0 -6 0 0 -6 0 0 0 0 0 0 0 0

Tot 799 0 777 748 0 29 -92 14 0 0 0 0 0 0

[ 0 - 3M [ 1,091 0 1,091 1,053 0 38 0 0 -2,810 -21 195 1 -212 -1

[ 3M - 1Y [ 1,724 0 1,724 1,261 0 463 0 0 252 -8 766 6 -590 -4

[ 1Y - 2Y [ 385 0 360 208 0 152 0 0 0 0 971 16 -1,092 -10

[ 2Y - 3Y [ 130 15 82 1 0 66 0 0 0 0 734 19 -664 -20

[3Y - 5Y [ 78 0 32 0 0 32 0 0 0 0 1,709 61 -1,515 -54

[5Y - 10Y [ 156 0 76 0 0 76 0 0 0 0 662 25 -298 -16

[10Y - more 46 0 12 0 0 12 0 0 0 0 0 0 0 0

Tot 3,611 15 3,377 2,523 0 839 0 0 -2,558 -29 5,037 129 -4,371 -106

[ 0 - 3M [ 686 0 686 200 0 486 0 0 0 0 -71 3 -679 -4

[ 3M - 1Y [ 324 0 324 317 0 7 0 0 0 0 55 4 -108 -4

[ 1Y - 2Y [ 772 0 772 482 0 290 0 0 0 0 -374 19 -99 -7

[ 2Y - 3Y [ 372 173 371 65 0 133 0 0 0 0 -1,066 27 676 -14

[3Y - 5Y [ 421 0 400 164 0 236 0 0 0 0 -3,429 180 3,871 -161

[5Y - 10Y [ 471 96 324 206 0 22 0 0 0 0 -950 84 1,085 -88

[10Y - more 114 7 28 0 0 21 0 0 0 0 0 0 0 0

Tot 3,159 276 2,905 1,434 0 1,195 0 0 0 0 -5,835 318 4,747 -278

[ 0 - 3M [ 70 0 70 70 0 0 216 1 0 0 87 2 -81 -2

[ 3M - 1Y [ 20 0 20 20 0 0 0 0 0 0 57 1 -87 -1

[ 1Y - 2Y [ 1 0 1 0 0 1 0 0 0 0 153 6 -151 -5

[ 2Y - 3Y [ 179 179 179 0 0 0 86 1 0 0 342 12 -309 -12

[3Y - 5Y [ 10 0 10 10 0 0 0 0 0 0 765 26 -495 -17

[5Y - 10Y [ 4 0 4 0 0 4 0 0 0 0 98 1 -71 -1

[10Y - more 1 0 1 0 0 1 0 0 0 0 0 0 0 0

Tot 286 179 286 100 0 7 302 3 0 0 1,503 48 -1,194 -37

[ 0 - 3M [ 878 0 432 24 0 408 0 0 0 0 1,095 14 -1,006 -11

[ 3M - 1Y [ 1,381 0 1,258 0 0 1,258 0 0 0 0 2,278 38 -1,951 -36

[ 1Y - 2Y [ 434 0 427 314 0 113 178 4 0 0 2,074 98 -2,037 -78

[ 2Y - 3Y [ 899 811 899 0 0 88 0 0 0 0 269 157 -334 -143

[3Y - 5Y [ 21 0 21 0 0 21 217 6 0 0 -2,755 577 2,812 -560

[5Y - 10Y [ 25 0 25 13 0 12 0 0 0 0 -876 118 1,049 -128

[10Y - more 23 0 1 0 0 1 0 0 0 0 0 0 0 0

Tot 3,661 811 3,062 351 0 1,900 395 10 0 0 2,085 1,001 -1,467 -956

[ 0 - 3M [ 75 0 75 36 0 39 0 0 0 0 33 0 -94 -1

[ 3M - 1Y [ 182 0 182 157 0 25 0 0 0 0 148 1 -49 -1

[ 1Y - 2Y [ 119 0 119 113 0 6 0 0 0 0 -60 3 -44 -2

[ 2Y - 3Y [ 442 308 442 123 0 11 0 0 0 0 -301 7 215 -5

[3Y - 5Y [ 132 0 99 105 0 -6 0 0 0 0 -1,194 43 1,243 -44

[5Y - 10Y [ 58 0 -7 35 0 -42 0 0 0 0 -1,246 130 1,420 -138

[10Y - more 33 0 -58 0 0 -58 0 0 0 0 0 0 0 0

Tot 1,041 308 852 569 0 -25 0 0 0 0 -2,621 184 2,690 -189

[ 0 - 3M [ 524 0 524 372 0 152 0 0 0 0 33 1 -81 -1

[ 3M - 1Y [ 539 0 539 462 0 77 0 0 0 0 120 1 -104 -2

[ 1Y - 2Y [ 201 0 201 194 0 7 0 0 0 0 81 7 -230 -3

[ 2Y - 3Y [ 1,485 1,265 1,485 145 0 75 0 0 0 0 50 5 -61 -4

[3Y - 5Y [ 254 0 254 213 0 41 0 0 0 0 154 15 -50 -10

[5Y - 10Y [ 145 0 134 142 0 -8 145 9 0 0 -101 5 98 -4

[10Y - more 13 0 6 0 0 6 0 0 0 0 0 0 0 0Tot 3,161 1,265 3,143 1,528 0 350 145 9 0 0 338 34 -428 -25

Notes and definitions

(1) The exposures reported cover only exposures to central, regional and local governments on immediate borrower basis, and do not include exposures to other counterparts with full or partial government guarantees

(2) The banks disclose the exposures in the "Financial assets held for trading" portfolio after offsetting the cash short positions having the same maturities. (3) The exposures reported include the positions towards counterparts (other than sovereign) on sovereign credit risk (i.e. CDS, financial guarantees) booked in all the accounting portfolio (on-off balance sheet). 'Irrespective of the denomination and or accounting classification of the positions the economic substance over the form must be used as a criteria for the identification of the exposures to be included in this column. This item does not include exposures to counterparts (other than sovereign) with full or partial government guarantees by central, regional and local governments

Latin America and the

Caribbean

Africa

Others

Middle East

China

Switzerland

Other advanced economies

non EEA

Other Central and eastern

Europe countries non EEA

2014 EU-wide Stress TestCapital

(mln EUR) CRR / CRDIV DEFINITION OF CAPITAL As of 31/12/2013 As of 31/12/2014 As of 31/12/2015 As of 31/12/2016 As of 31/12/2014 As of 31/12/2015 As of 31/12/2016 COREP CODE REGULATION

A OWN FUNDS 77,072 76,815 77,928 77,490 74,491 70,282 65,015 CA1 {1} Articles 4(118) and 72 of CRR

A.1COMMON EQUITY TIER 1 CAPITAL (net of deductions and after applying

transitional adjustments)65,508 65,252 67,174 67,704 62,927 59,528 55,249 CA1 {1.1.1} Article 50 of CRR

A.1.1Capital instruments eligible as CET1 Capital (including share premium and net own

capital instruments)26,784 26,784 26,784 26,784 26,784 26,784 26,784 CA1 {1.1.1.1}

Articles 26(1) points (a) and (b), 27 to 29, 36(1) point (f)

and 42 of CRR

A.1.1.1 Of which: CET1 instruments subscribed by Government 0 0 0 0 0 0 0 - -

A.1.2 Retained earnings 49,292 49,523 50,027 50,540 46,171 43,127 40,443 CA1 {1.1.1.2}Articles 26(1) point (c), 26(2) and 36 (1) points (a) and (l)

of CRR

A.1.3 Accumulated other comprehensive income 1,942 1,837 1,774 1,732 -718 -329 -1,069 CA1 {1.1.1.3} Articles 4(100), 26(1) point (d) and 36 (1) point (l) of CRR

A.1.3.1 Of which: arising from unrealised gains/losses from Sovereign exposure in AFS

portfolio-295 -295 -295 -295 -1,866 -823 -1,127 - -

A.1.3.2 Of which: arising from unrealised gains/losses from the rest of AFS portfolio 2,037 1,932 1,869 1,827 947 294 -142 - -

A.1.4 Other Reserves 373 408 485 510 681 672 683 CA1 {1.1.1.4} Articles 4(117) and 26(1) point (e) of CRR

A.1.5 Funds for general banking risk 0 0 0 0 0 0 0 CA1 {1.1.1.5} Articles 4(112), 26(1) point (f) and 36 (1) point (l) of CRR

A.1.6 Minority interest given recognition in CET1 capital 1,233 1,233 1,233 1,233 1,233 1,233 1,233 CA1 {1.1.1.7} Article 84 of CRR

A.1.7Adjustments to CET1 due to prudential filters excluding those from unrealised

gains/losses from AFS portfolio-792 -792 -591 -391 -792 -591 -391 CA1 {1.1.1.9} Articles 32 to 35 of and 36 (1) point (l) of CRR

A.1.8Adjustments to CET1 due to prudential filters from unrealised gains/losses from

Sovereign Exposure in AFS portfolio236 236 177 118 1,492 494 451 -

A.1.9 (-) Intangible assets (including Goodwill) -12,655 -12,655 -12,655 -12,655 -12,048 -11,684 -11,441CA1 {1.1.1.10 +

1.1.1.11}

Articles 4(113), 36(1) point (b) and 37 of CRR. Articles

4(115), 36(1) point (b) and 37 point (a) of CCR

A.1.10(-) DTAs that rely on future profitability and do not arise from temporary

differences net of associated DTLs -1,614 -1,494 -1,383 -1,278 -2,755 -3,789 -4,583 CA1 {1.1.1.12} Articles 36(1) point (c) and 38 of CRR

A.1.11 (-) IRB shortfall of credit risk adjustments to expected losses -504 -1,050 -51 0 -319 -77 0 CA1 {1.1.1.13} Articles 36(1) point (d), 40 and 159 of CRR

A.1.12 (-) Defined benefit pension fund assets -55 -55 -55 -55 -55 -55 -55 CA1 {1.1.1.14} Articles 4(109), 36(1) point (e) and 41 of CRR

A.1.13 (-) Reciprocal cross holdings in CET1 Capital 0 0 0 0 0 0 0 CA1 {1.1.1.15} Articles 4(122), 36(1) point (g) and 44 of CRR

A.1.14 (-) Excess deduction from AT1 items over AT1 Capital 0 0 0 0 0 0 0 CA1 {1.1.1.16} Article 36(1) point (j) of CRR

A.1.15(-) Deductions related to assets which can alternatively be subject to a 1.250% risk

weight0 0 0 0 0 0 0

CA1 {1.1.1.17 to

1.1.1.21}

Articles 4(36), 36(1) point (k) (i) and 89 to 91 of CRR;

Articles 36(1) point (k) (ii), 243(1) point (b), 244(1) point

(b) and 258 of CRR; Articles 36(1) point k) (iii) and 379(3)

of CRR; Articles 36(1) point k) (iv) and 153(8) of CRR and

A.1.15.1 Of which: from securitisation positions (-) 0 0 0 0 0 0 0 CA1 {1.1.1.18.1}Articles 36(1) point (k) (ii), 243(1) point (b), 244(1) point

(b) and 258 of CRR

A.1.16(-) Holdings of CET1 capital instruments of financial sector entities where the

institiution does not have a significant investment0 0 0 0 0 0 0 CA1 {1.1.1.22}

Articles 4(27), 36(1) point (h); 43 to 46, 49 (2) and (3) and

79 of CRR

A.1.17(-) Deductible DTAs that rely on future profitability and arise from temporary

differences0 0 0 0 0 0 0 CA1 {1.1.1.23}

Articles 36(1) point (c) and 38; Articles 48(1) point (a) and

48(2) of CRR

A.1.18(-) Holdings of CET1 capital instruments of financial sector entities where the

institiution has a significant investment0 0 0 0 0 0 0 CA1 {1.1.1.24}

Articles 4(27); 36(1) point (i); 43, 45; 47; 48(1) point (b);

49(1) to (3) and 79 of CRR

A.1.19 (-) Amount exceding the 17.65% threshold 0 0 0 0 0 0 0 CA1 {1.1.1.25} Article 470 of CRR

A.1.20 Transitional adjustments 1,269 1,278 1,429 1,167 3,254 3,745 3,195CA1 {1.1.1.6 + 1.1.8 +

1.1.26}-

A.1.20.1 Transitional adjustments due to grandfathered CET1 Capital instruments (+/-) 0 0 0 0 0 0 0 CA1 {1.1.1.6}

Articles 483(1) to (3), and 484 to 487 of CRR

A.1.20.2 Transitional adjustments due to additional minority interests (+/-) 1,386 1,409 1,084 741 1,368 943 581 CA1 {1.1.1.8}

Articles 479 and 480 of CRR

A.1.20.3Other transitional adjustments to CET1 Capital excl. adjustments for Sovereign

exposure in AFS (+/-)-117 -132 345 426 1,886 2,802 2,614 CA1 {1.1.1.26}

Articles 469 to 472, 478 and 481 of CRR

A.2ADDITIONAL TIER 1 CAPITAL (net of deductions and after transitional

adjustments)6,535 6,535 6,153 5,541 6,535 6,153 5,541 CA1 {1.1.2} Article 61 of CRR

A.2.1 Of which: (+) Other existing support government measures 0 0 0 0 0 0 0 - -

A.3 TIER 1 CAPITAL (net of deductions and after transitional adjustments) 72,043 71,786 73,327 73,245 69,462 65,680 60,790 CA1 {1.1} Article 25 of CRR

A.4 TIER 2 CAPITAL (net of deductions and after transitional adjustments) 5,029 5,029 4,601 4,245 5,029 4,601 4,225 CA1 {1.2} Article 71 of CRR

B TOTAL RISK EXPOSURE AMOUNT 622,205 631,699 636,826 642,161 668,895 681,572 684,617 CA2 {1} Articles 92(3), 95, 96 and 98 of CRR

B.1of which: stemming from exposures that fall below the 10% / 15% limits for

CET1 deduction (+)17,193 0 0 0 0 0 0

Articles 36(1) points (a) and (i); Article 38 and Article 48 of

CRR

B.2 of which: stemming from from CVA capital requirements (+) 3,929 0 0 0 0 0 0 Article 381 to 386 of CRR

B.3of which: stemming from higher asset correlation parameter against exposures

to large financial institutions under IRB the IRB approaches to credit risk (+)5,271 0 0 0 0 0 0 Articles 153(2) of CRR

B.4of which: stemming from the application of the supporting factor to increase

lending to SMEs (-)-6,616 0 0 0 0 0 0 Recital (44) of CRR

B.5

of which: stemming from the effect of exposures that were previously part of

Risk Exposure amount and receive a deduction treatment under CRR/CRDIV (-

)

-7,931 0 0 0 0 0 0 -

B.6 of which: others subject to the discretion of National Competent Authorities 0 0 0 0 0 0 0 Article 124 to 164 of CRR

C.1 Common Equity Tier 1 Capital ratio 10.53% 10.33% 10.55% 10.54% 9.41% 8.73% 8.07% CA3 {1} -

C.2 Tier 1 Capital ratio 11.58% 11.36% 11.51% 11.41% 10.38% 9.64% 8.88% CA3 {3} -

C.3 Total Capital ratio 12.39% 12.16% 12.24% 12.07% 11.14% 10.31% 9.50% CA3 {5} -

D Common Equity Tier 1 Capital Threshold 50,536 50,946 51,373 36,789 37,486 37,654

ETotal amount of instruments with mandatory conversion into ordinary shares upon

a fixed date in the 2014 -2016 period (cumulative conversions) (1)0 0 0 0 0 0

F

Total Additional Tier 1 and Tier 2 instruments eligible as regulatory capital under

the CRR provisions that convert into Common Equity Tier 1 or are written down

upon a trigger event (2)

0 0 0

F.1Of which: eligible instruments whose trigger is above CET1 capital ratio in the

adverse scenario (2)0 0 0

G Fully Loaded Common Equity Tier 1 Capital ratio (3) 10.36% 7.60%

(1) Conversions not considered for CET1 computation(2) Excluding instruments included in E(3) Memorandum item based on a fully implemented CRR/CRD IV definition of Common Equity Tier 1 capital including 60% of unrealised gains/losses from Sovereign Exposure in AFS portfolio

Memorandum items


OWN FUNDS

OWN FUNDS

REQUIREMENTS

CAPITAL RATIOS (%) -

Transitional period

2014 EU-wide Stress Test - Restructuring scenarios

(mln EUR)

2013 0 0

2014 0 0 0 0

2015 0 0 0 0

2016 0 0 0 0

Total 0 0 0 0

Effects of mandatory restructuring plans publicly announced before 31 December 2013 and formally agreed with the European Commission.

Baseline scenario Adverse scenarioNarrative description of the transactions. (type, date of

completion/commitment, portfolios, subsidiaries, branches) CET1 impact

Risk exposure

amount impactCET1 impact

Risk exposure

amount impact


Outcome of the Stress Test based on the Restructuring plan for banks whose plan was formally agreed with the European Commission after 31 December 2013

(mln EUR)

As of

31/12/2013

As of

31/12/2014

As of

31/12/2015

As of

31/12/2016

As of

31/12/2014

As of

31/12/2015

As of

31/12/2016

COMMON EQUITY TIER 1 CAPITAL (net of deductions and after applying transitional adjustments)

TOTAL RISK EXPOSURE AMOUNT

COMMON EQUITY TIER 1 RATIO #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0!

Baseline scenario Adverse scenario


Impact on Common

Equity Tier 1

Million EUR

Raising of capital instruments eligible as CET1 capital (+) 50

Repayment of CET1 capital, buybacks (-) -64

Conversion to CET1 of hybrid instruments becoming effective between 1 January and 30 September 2014 (+) 0

Impact on Additional

Tier 1 and Tier 2

Million EUR

Net issuance of Additional Tier 1 and T2 Instruments with a trigger at or above bank's post stress test CET1 ratio in the adverse

scenario during the stress test horizon (+/-)0

Net issuance of Additional Tier 1 and T2 Instrument with a trigger below bank's post stress test CET1 ratio in the adverse

scenario during the stress test horizon (+/-)0

Million EUR

Realized fines/litigation costs from 1 January to 30 September 2014 (net of provisions) (-) -5,750

Other material losses and provisions from 1 January to 30 September 2014 (-) 0

Major Capital Measures from 1 January to 30 September 2014

Losses

Net issuance of Additional Tier 1 and T2 Instruments

Issuance of CET 1 Instruments

Major Capital Measures Impacting Tier 1 and Tier 2 Eligible Capital from 1 January 2014 to 30 September 2014

2014 EU-wide Stress Test · 2019. 10. 17. · Bank Name FR - BNP Paribas LEI Code...

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