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   "value": "The Board of directors of BNP Paribas approved the Group consolidated \ufb01nancial statements on 6 February 2023. The consolidated \ufb01nancial statements of the BNP Paribas Group are presented for the years ended 31 December 2022 and 31 December 2021. In accordance with Annex I of European Delegated Regulation (EU) 2019/980, the consolidated \ufb01nancial statements for the year ended 31 December 2020 are provided in the Universal registration document \ufb01led with the Autorit\u00e9 des March\u00e9s Financiers on 15 March 2022 under number D.22-0098. On 18 December 2021, the Group concluded an agreement with BMO Financial Group for the sale of 100% of its retail and commercial banking activities in the United States operated by the BancWest cash-generating unit. The terms of this transaction fall within the scope of application of IFRS 5 relating to groups of assets and liabilities held for sale (see note 7.d Discontinued activities) leading to isolate the \u201cNet income from discontinued activities\u201d on a separate line. A similar reclassi\ufb01cation is made in the statement of net income and changes in assets and liabilities recognised directly in equity and in the cash \ufb02ow statement. The effect of this reclassi\ufb01cation on the aggregates of the pro\ufb01t and loss statement is presented in note 3 Segment Information. Following the receipt of regulatory approvals, the transaction was \ufb01nalised on 1 February 2023. ",
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   "value": "The Board of directors of BNP Paribas approved the Group consolidated \ufb01nancial statements on 6 February 2023. The consolidated \ufb01nancial statements of the BNP Paribas Group are presented for the years ended 31 December 2022 and 31 December 2021. In accordance with Annex I of European Delegated Regulation (EU) 2019/980, the consolidated \ufb01nancial statements for the year ended 31 December 2020 are provided in the Universal registration document \ufb01led with the Autorit\u00e9 des March\u00e9s Financiers on 15 March 2022 under number D.22-0098. On 18 December 2021, the Group concluded an agreement with BMO Financial Group for the sale of 100% of its retail and commercial banking activities in the United States operated by the BancWest cash-generating unit. The terms of this transaction fall within the scope of application of IFRS 5 relating to groups of assets and liabilities held for sale (see note 7.d Discontinued activities) leading to isolate the \u201cNet income from discontinued activities\u201d on a separate line. A similar reclassi\ufb01cation is made in the statement of net income and changes in assets and liabilities recognised directly in equity and in the cash \ufb02ow statement. The effect of this reclassi\ufb01cation on the aggregates of the pro\ufb01t and loss statement is presented in note 3 Segment Information. Following the receipt of regulatory approvals, the transaction was \ufb01nalised on 1 February 2023. 4.6 Notes to the \ufb01nancial statements prepared in accordance with IFRS as adopted by the European Union Note 1 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES APPLIED BY THE GROUP 1.a ACCOUNTING STANDARDS 1.a.1 Applicable accounting standards The consolidated \ufb01nancial statements of the BNP Paribas Group have been prepared in accordance with international accounting standards (International Financial Reporting Standards \u2013 IFRS), as adopted for use in the European Union (1) . Accordingly, certain provisions of IAS 39 on hedge accounting have been excluded. Information on the nature and extent of risks relating to \ufb01nancial instruments as required by IFRS 7 \u201cFinancial Instruments: Disclosures\u201d and to insurance contracts as required by IFRS 4 \u201cInsurance Contracts\u201d, along with information on regulatory capital required by IAS 1 \u201cPresentation of Financial Statements\u201d are presented in chapter 5 of the Universal registration document. This information, which is an integral part of the notes to the consolidated \ufb01nancial statements of the BNP Paribas Group at 31 December 2022, is covered by the opinion of the Statutory Auditors on the \ufb01nancial statements and is identi\ufb01ed in the management report by the word \u201cAudited\u201d. Section 4 of chapter 5, paragraph Exposures, provisions and cost of risk provides, in particular, IFRS 7 information on credit risk exposures and related impairment broken down according to whether the underlying loans are performing or non-performing, by geographic area and by industry, as well as details of loans and advances subject to moratoria or to public guarantee schemes in response to the health crisis. \u25a0 In relation to the IBOR and Eonia rates reform, at the end of 2018 the Group launched a global programme, involving all business lines and functions. The aim of the programme is to manage and implement the transition from the old benchmark interest rates to the new ones in major jurisdictions and currencies (euro, pound sterling, US dollar, Swiss franc and Japanese yen), while reducing the risks associated with this transition and meeting the deadlines set by the competent authorities. The Group contributed to market-wide workshops with central banks and \ufb01nancial regulators. The announcements by public authorities in the United Kingdom and the United States and by the Libor rates administrator (ICE BA) at the end of November 2020 changed the transition phase, which was initially scheduled to be completed by the end of 2021. For the GBP and JPY Libor, synthetic Libor have been published beyond the end of 2021 for use in certain contracts known as \u201ctough legacy\u201d contracts, i.e. contracts that have not switched from Libor to a replacement index. Publication of GBP and JPY synthetic Libor was discontinued at the end of 2022. In the United States, the decision was taken to continue publishing the USD Libor until mid-2023, and a legislative solution was passed at the Federal level in the \ufb01rst quarter of 2022 to address legacy contracts. In addition, the United Kingdom\u2019s Financial Conduct Authority (FCA) launched a consultation during summer 2022 regarding a potential publication of synthetic USD Libor, which would be applicable for contracts governed by UK law. For contracts referencing the CHF Libor which could not be renegotiated before it was phased out at the end of 2021, the European Commission has provided a legislative solution replacing this rate with a daily capitalised Swiss Average Rate Overnight (SARON), plus a spread aimed at ensuring the economic neutrality of this change. In Europe, the Eonia-\u20acSTR transition, which is purely technical given the \ufb01xed link between these two indices, was \ufb01nalised at the end of December 2021 while the maintenance of Euribor on a sine die basis was con\ufb01rmed. Based on the progress made to date, notably with the de\ufb01nition of a detailed plan and its execution, the Bank is con\ufb01dent in its operational capacity to manage the transition process of large volumes of transactions to the new benchmark rates. The reform of IBOR rates exposes the Bank to various risks that the programme aims to manage closely, including in particular: \u25a0 change management risks, but also litigation and conduct risks linked to negotiations with customers and market counterparties to amend existing contracts; \u25a0 operational risks related to changes in the Bank\u2019s IT systems and processes; \u25a0 economic risks in the event of \ufb01nancial market disturbances linked to the various transitions brought about by the IBOR reform; \u25a0 valuation risks in a scenario of reduced liquidity during the transition in certain derivative market segments. In September 2019, the IASB published \u201cPhase 1\u201d amendments to IAS 39 and IFRS 7, amending the hedge accounting requirements so that hedges affected by the benchmark interest rate reform could continue despite the uncertainty during the transition of the hedged items or hedging instruments (1) The full set of standards adopted for use in the European Union can be found on the website of the European Commission at: https://ec.europa.eu/info/business-economy-euro/ company-reporting-and-auditing/company-reporting_en 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 183 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements to the reformed benchmark rates. These amendments, endorsed by the European Commission on 15 January 2020, have been applied by the Group since 31 December 2019. In August 2020, the IASB published \u201cPhase 2\u201d amendments to IFRS 9, IAS 39, IFRS 7, IFRS 4 and IFRS 16 introducing several changes applicable during the effective transition to the new benchmark interest rates. These amendments allow for changes in the contractual cash \ufb02ows of \ufb01nancial instruments resulting from the IBOR rates reform to be treated as a simple reset of their variable interest rate, provided, however, that such changes are made on an economically equivalent basis. They also allow the continuation of hedging relationships, subject to amendments to their documentation to re\ufb02ect changes in hedged instruments, hedging instruments, hedged risk, and/or the method for measuring effectiveness during the transition to the new benchmark rates. The measures introduced in this framework also include: \u25a0 the possibility of documenting an interest rate as a hedged risk component even if this rate is not immediately separately identi\ufb01able, provided that it can reasonably be expected to become so within 24 months; \u25a0 the possibility of resetting cumulative fair value changes to zero in the hedge ineffectiveness test; and \u25a0 the obligation, in the framework of portfolio hedges, to isolate in subgroups instruments referring to the new risk-free rates (RFR). These amendments, adopted by the European Commission in December 2020, have been applied by the Group since 31 December 2020 to maintain its existing hedging relationships which have been modi\ufb01ed as a result of the transition to the new RFRs. The Group has documented hedging relationships in respect of the benchmark interest rates in the scope of the reform, mainly Eonia and Libor. For these hedging relationships, the hedged items and hedging instruments are progressively amended, where necessary, to incorporate the new rates. The \u201cPhase 1\u201d amendments to IAS 39 and IFRS 7 are applicable when the contractual terms of the hedged instruments or of the hedging instruments have not yet been amended (i.e. with the inclusion of a \u201cfallback\u201d clause), or, if they have been amended, when the terms and the date of the transition to the new benchmark interest rates have not been clearly stipulated. Conversely, the \u201cPhase 2\u201d amendments are applicable when the contractual terms of the hedged instruments or of the hedging instruments have been amended, and the terms and date of transition to the new benchmark interest rates have been clearly stipulated. The notional amounts of hedging instruments documented in the hedging relationships impacted by the benchmark interest rate reform are presented in note 4.b Derivative instruments used for hedging purposes. At 31 December 2022, 56,808 contracts remain backed by USD Libor, including 50,478 derivative contracts. At 31 December 2021, 112,405 contracts remain backed by USD Libor, including 72,867 contracts with a maturity date beyond 30 June 2023, including 54,628 derivative contracts. \u25a0 On 16 March 2022, the International Practices Task Force (IPTF) of the Center for Audit Quality (CAQ) included T\u00fcrkiye in its list of hyperin\ufb02ationary economies, the cumulative in\ufb02ation rate over three years having reached 100.6% at the end of February 2022. Consequently, the Group applies IAS 29 \u201cFinancial Reporting in Hyperin\ufb02ationary Economies\u201d for the presentation of the \ufb01nancial statements of its consolidated subsidiaries in T\u00fcrkiye. Accordingly, for these subsidiaries, all non-monetary assets and liabilities, including shareholders\u2019 equity, and all line items in the income statement, are revalued according to the change in of the Consumer Price Index (CPI). This revaluation between 1 January and the closing date resulted in the recognition of a gain or loss on the net monetary position, recorded under \u201cNet gains on non-current assets\u201d (see note 2.i). The \ufb01nancial statements of these subsidiaries were converted into euros at the closing rate, in accordance with the speci\ufb01c provisions of IAS 21 \u201cThe Effects of Changes in Foreign Exchange Rates\u201d applicable to the translation of the \ufb01nancial statements of entities located in hyperin\ufb02ationary economies. In accordance with the provisions of the IFRIC decision of March 2020 on the classi\ufb01cation of the effects of the indexation and conversion of the \ufb01nancial statements of subsidiaries in hyperin\ufb02ationary economies, the Group has opted to present these effects (including the effect on the net monetary position of the date of \ufb01rst application of IAS 29) as changes in assets and liabilities recognised directly in equity relative to exchange differences. At 1 January 2022, the \ufb01rst-time application of IAS 29 resulted in a EUR 174 million increase in equity, of which EUR 227 million was recorded in \u201cChanges in assets and liabilities recognised directly in equity \u2013 exchange differences\u201d. The introduction of other standards, amendments and interpretations that are mandatory as from 1 January 2022 had no effect on the Group\u2019s \ufb01nancial statements at 31 December 2022. The Group did not early adopt any of the new standards, amendments, and interpretations adopted by the European Union, when the application in 2022 was optional.1.a.2 New major accounting standards, published but not yet applicable IFRS 17 \u201cInsurance Contracts\u201d, issued in May 2017 and amended in June 2020 will replace IFRS 4 \u201cInsurance Contracts\u201d. It was adopted by the European Union in November 2021, accompanied by an optional exemption from the application of the annual cohort grouping requirement for participating contracts based on intergenerational mutualisation of returns on the underlying assets of the technical commitments. It will be mandatory for \ufb01nancial periods beginning on or after 1 January 2023. The transition date for IFRS 17 will therefore be 1 January 2022 for the purposes of the opening balance sheet of the comparative period required by the standard. As the Group has deferred the application of IFRS 9 for its insurance entities until the entry into force of IFRS 17, it will apply this standard from 1 January 2023. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 184 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The amendment to IFRS 17 relating to the presentation of the IFRS 9 and IFRS 17 comparative information, published by the IASB in December 2021, was adopted by the European Union on 8 September 2022 (1) and will also be applied by the Group. Scope IFRS 17 applies to insurance contracts issued, reinsurance contracts issued and held and investment contracts with discretionary participation features issued (if the entity also issues insurance contracts). The de\ufb01nition of an insurance contract is unchanged from IFRS 4, with the exception of the assessment of the risk of loss for the insurer which must be performed on a present value basis. Accounting and measurement Insurance contracts are accounted and measured by groups of contracts within portfolios of contracts covering similar risks and managed together. Groups of contracts are determined according to their expected pro\ufb01tability at inception: onerous contracts, pro\ufb01table contracts with a low risk of becoming onerous, and others. A group of contracts may contain only contracts issued no more than one year apart (corresponding to an annual \u201ccohort\u201d), except where the optional exemption provided for in the European regulation applies. General measurement model (Building Block Approach \u2013 BBA) The general model for the measurement of insurance contracts is the best estimate of the future cash \ufb02ows to be paid or received necessary to meet contractual obligations. This estimate should re\ufb02ect the different possible scenarios and the effect of the options and guarantees included in the contracts on the limit or \u201ccontract boundary\u201d determined according to the standard. Cash \ufb02ows are discounted to re\ufb02ect the time value of money. They correspond only to cash \ufb02ows attributable to insurance contracts either directly or through allocation methods: premiums, acquisition and contract management costs, claims and bene\ufb01ts, indirect costs, taxes and depreciation of tangible and intangible assets. The cash \ufb02ows estimate is supplemented by an explicit risk adjustment to cover the uncertainty for non-\ufb01nancial risk. These two elements constitute the ful\ufb01lment cash \ufb02ows of the contracts. A contractual service margin is added representing the expected gain or loss on future services related to a group of contracts. If the contractual service margin is positive, it is shown on the balance sheet within the insurance contract\u2019s measurement and amortised as the services are rendered; if negative, it is recognised immediately in the income statement and then reversed over the life of the contracts or when the contracts become pro\ufb01table again. Acquisition costs paid prior to the initial recognition of a group of contracts are initially recognised in the balance sheet (and presented as a decrease in insurance liabilities or increase in insurance assets depending on the overall position of the portfolio) and then deducted from the contractual service margin of the group of contracts to which they relate at the time of initial recognition. At each reporting date, the carrying amount of a group of insurance contracts is the sum of the liabilities for the remaining coverage (which include the ful\ufb01lment cash \ufb02ows related to future services and the contractual service margin remaining at that date) and liabilities for incurred claims (which include only the ful\ufb01lment cash \ufb02ows for claims incurred, without any contractual service margin). The assumptions used to estimate future cash \ufb02ows and the non-\ufb01nancial risk adjustment are updated, as well as the discount rate, to re\ufb02ect the situation at the reporting date. The contractual service margin is adjusted for changes in the estimates of non-\ufb01nancial assumptions related to future services and then amortised in the income statement for services rendered over the period. The release of the expected contractual cash \ufb02ows for the period and changes in the estimates for past services are recorded in the income statement. The effect of unwinding the discount on the liabilities related to the passage of time is recorded in the income statement as well as the effect of the change in the discount rate. The latter effect may, however, be recognised in equity as an option. Measurement model for contracts with direct participation features (Variable Fee Approach \u2013 VFA) In the case of direct participating contracts, where the insurer has to pay the policyholder an amount corresponding to the market or model value of clearly identi\ufb01ed underlying assets, less a variable compensation, a speci\ufb01c model (called the \u201cVariable Fee Approach\u201d) has been developed by adapting the general model. At each reporting date, the liabilities related to these contracts are adjusted for the return earned and changes in the market or model value of the underlying assets: the policyholders\u2019 share is recorded in the contract ful\ufb01lment cash \ufb02ows against the pro\ufb01t or loss and the insurer\u2019s share is included in the contractual service margin. The gain or loss of these contracts is therefore essentially represented by the release of the ful\ufb01lment cash \ufb02ows and the amortisation of the contractual service margin. When the underlying assets fully match the liabilities and are measured at market value through pro\ufb01t or loss, the \ufb01nancial gain or loss of these contracts should be zero. If certain underlying assets are not measured at market value through pro\ufb01t or loss, the insurer may choose to reclassify the change in liabilities related to these assets to equity. Simplified measurement model (Premium Allocation Approach \u2013 PAA) Short-term contracts (less than one year) may be measured using a simpli\ufb01ed approach known as the Premium Allocation Approach, also applicable to longer-term contracts if it leads to results similar to those of the general model in terms of liability for the remaining coverage. For pro\ufb01table contracts, the liability for the remaining coverage is measured based on the deferral of premiums collected according to a logic similar to that used under IFRS 4. Onerous contracts and liabilities for incurred claims are valued according to the general model. Liabilities for incurred claims are discounted if the expected settlement of claims takes place one year after the date of occurrence. In this case, the option of classifying the effect of changes in the discount rate in equity is also applicable. At each reporting date, the adjustment of liabilities for remaining coverage and for incurred claims is recognised in pro\ufb01t or loss. (1) EU Regulation n\u00b02022/1491 of 8 September 2022. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 185 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Treatment of the reinsurance Accepted reinsurance is treated as insurance contracts issued, either in the general model or in simpli\ufb01ed model. The reinsurance ceded is also treated under the general model or simpli\ufb01ed model, but the contractual service margin representing the expected reinsurance pro\ufb01t or loss may be negative, and the ful\ufb01lment cash \ufb02ows includes the reinsurer\u2019s non-performance risk. Presentation in the balance sheet and in the profit and loss Pursuant to changes in IAS 1 resulting from IFRS 17: \u25a0 insurance (and reinsurance) contracts issued, and reinsurance contracts held are shown in the balance sheet as assets or liabilities according to the overall position of the portfolios to which they belong; \u25a0 the various income and expenses of insurance and reinsurance contracts are broken down in the pro\ufb01t and loss into: \u25a0 insurance revenues: release of ful\ufb01lment cash \ufb02ows for the expected amount over the period (excluding investment components (1) ), change in the risk adjustment, amortisation of the contractual service margin for services rendered, amount allocated for the amortisation of acquisition cost, adjustments arising from premiums received, \u25a0 insurance service expenses: actual charges attributable to insurance contracts incurred over the period (excluding repayments of investment components) and changes related to past service, amortisation of acquisition costs, and loss component on the initial recognition of onerous contracts as well as its amortisation, \u25a0 insurance \ufb01nancial income or expenses: change in the carrying amount of insurance contracts resulting from the effect of the time value of money and the \ufb01nancial risk including changes in \ufb01nancial assumptions (except for those adjusting the contractual service margin in the case of direct participating contracts), for the portion that the Group has chosen not to include directly in equity; \u25a0 regarding the elements recognised in equity: \u25a0 for contracts valued according to the general model or the simpli\ufb01ed approach, the effects of changes in \ufb01nancial variables (in particular the discount rate) can be presented separately between the pro\ufb01t and loss account and changes in fair value recognised directly in equity that may be reclassi\ufb01ed in pro\ufb01t or loss. This option can be exercised by portfolio, \u25a0 for contracts valued using the variable fee method, the option to present separately \ufb01nancial income or expense between the income statement and shareholders\u2019 equity may be used to avoid an accounting mismatch with the income or expense recognised in the pro\ufb01t and loss account in respect of the underlying assets held. Terms of application and main accounting options used by the Group for the transition The main contracts in the scope of IFRS 17 issued by the Group are contracts covering risks related to persons or property and life savings contracts. Creditor protection insurance (CPI), personal protection insurance and other non-life risks will be measured either according to the general model or, if the conditions are met, using the simpli\ufb01ed approach. For the constitution of portfolios of similar contracts, BNP Paribas takes into account the following discriminatory criteria: legal entity, nature of risks and distribution partner. The discount rate is based on the risk-free rate adjusted for the illiquidity of the liabilities. The risk adjustment is determined using the quantile method. The coverage unit used to amortise the contractual service margin is derived from the risk premium earned during the period. Life and savings contracts consist of single and \u201cmulti-support\u201d contracts, with or without insurance risk, including a discretionary participation component backed by euro or foreign currency funds (generally \ufb01nancial and real estate assets), and unit-linked contracts with a minimum coverage in the event of death. These different types of contracts meet the de\ufb01nition of direct participating contracts and will therefore be valued using the variable fee approach. Where such contracts include a surrender value, this meets the de\ufb01nition of a non-distinct investment component. BNP Paribas takes into account the following criteria for life and savings portfolios: legal entity, product, and underlying asset. Savings and retirement activities have been classi\ufb01ed in separate portfolios (including for the period prior to transition). The discount rate is based on the risk-free rate, extrapolated over a period exceeding the observable data and adjusted by a liquidity premium based on the underlying assets. The risk adjustment is determined using the cost of capital method. The coverage unit used to amortise the contractual service margin is the change in savings due to policyholders (determined at present value), adjusted to take into account the impact of the real return on \ufb01nancial assets compared to the actuarial neutral risk projection. The Group has chosen to apply the option introduced by the European Regulation not to divide by annual cohort the portfolios of participating contracts based on intergenerational mutualisation. This option should apply to insurance contracts and investment contracts with discretionary participation eligible for the variable fee approach, euro single or \u201cmulti-supports\u201d including a euro fund, for which the policyholders\u2019 participation in the returns is pooled among the different generations of policyholders in France, Italy and Luxembourg. Financial income or expense from issued insurance contracts will be presented separately between the pro\ufb01t and loss account and shareholders\u2019 equity for portfolios for which this breakdown has been deemed relevant, as allowed by the standard. For the Protection contracts measured under the general model and for the liabilities for incurred claims arising from contracts measured under the simpli\ufb01ed model, the choice of portfolios was made by taking into account both the effects in the pro\ufb01t and loss account of the discount of the liabilities and the accounting treatment of the assets backing them. For contracts measured using the Variable Fee Approach, the choice was made to offset any accounting mismatch that may exist in the (1) A non-distinct investment component corresponds to the amount that would be paid to the policyholder in all cases, whether or not the covered event occurs. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 186 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements pro\ufb01t and loss account between the effect of changes in fair value on insurance or investment liabilities and that on the underlying assets when these are not recognised at fair value through pro\ufb01t or loss. The Group has chosen to present its \ufb01nancial statements in the format proposed by the Autorit\u00e9 des Normes Comptables recommendation n\u00b02022-01 of 8 April 2022. Under the option introduced by the recommendation, the Group intends to present the insurance activity investments and the related income separately from the banking activity \ufb01nancial assets and liabilities. Insurance contracts may be distributed and managed by non-insurance entities of the Group that are remunerated as such by commissions paid by insurance entities. The new model for valuing insurance contracts requires projecting into the contract ful\ufb01lment cash \ufb02ows the acquisition and management costs that will be paid in the future and presenting in the pro\ufb01t and loss account, the release of the estimated costs for the period on the one hand, and on the other, the actual costs. For commissions between consolidated companies of the Group, in accordance with the recommendations of ESMA (32-63-1320) and the AMF (DOC-2022-06), the Group will restate the internal margin on the balance sheet (1) and pro\ufb01t and loss account (in the breakdown of insurance liabilities and the related results between the ful\ufb01lment cash \ufb02ows and contract services margin) by presenting as insurance service expenses the portion of the general expenses of banking entities that can be attributable to insurance activity. The restated internal margin is determined from normalised management data of each of the distribution networks. Expected transition impacts IFRS 17 Launched in 2017, the IFRS 17 implementation project comes to an end with the date of \ufb01rst application of the standard. The deployment of the new modelling and reporting tools took place according to the de\ufb01ned timetable. Some options remain likely to evolve in the future, depending on the normative interpretations that may occur, in particular at the level of IFRIC. The transition from IFRS 4 to IFRS 17 will result in the offsetting in equity of assets and liabilities of insurance contracts recognised in accordance with the previous standard net of deferred taxes effects: insurance liabilities and reinsurance assets held, deferred policyholders\u2019 participation arising from \u201cshadow accounting\u201d and intangible assets speci\ufb01c to insurance contracts when recognised. Receivables and liabilities related to insurance or reinsurance contracts must be included in the new valuation of insurance asset and liabilities. IFRS 17 applies retroactively to all contracts outstanding at the transition date, i.e. 1 January 2022 due to the mandatory comparative period. Three transition methods may be used: a full retrospective approach and, if this cannot be implemented, a modi\ufb01ed retrospective approach or an approach based on the market or model value of the contracts at the transition date. The majority of entities controlled by the Group applied the modi\ufb01ed retrospective approach and, more marginally, for some portfolios, an approach based on the market or model value of contracts at the transition date. As a matter of fact, all the necessary information was not available or was not suf\ufb01ciently granular, in particular due to systems migration and data retention requirements, to allow a full retrospective approach. This is the case for historical cash \ufb02ows, discount rates and changes in assumptions and estimates that would have occurred in the period prior to the transition, especially changes in projection models occurred during this period. Moreover, the full retrospective approach would have required reconstituting management\u2019s assumptions or intentions in previous periods. The objective of the modi\ufb01ed retrospective approach is to achieve a result that is as close as possible to the result that would have been obtained by the retrospective application of the standard, based on reasonable and justi\ufb01able information that can be obtained without incurring excessive costs or effort. The transitional provisions of IFRS 17 under this approach allow for different simpli\ufb01cations in the grouping of contracts, the reconstitution of contract valuations at initial recognition, the measurement of the contractual service margin (or loss element) and for \ufb01nancial products or insurance charges (for the part recorded in equity). Thus, the concerned entities applied the modi\ufb01ed retrospective approach to most portfolios of existing contracts, whether in Protection or Life/Savings. Simpli\ufb01cations used depended on the valuation models and the availability of the necessary information on the related portfolios. For protection contracts valued according to the general model, the principle of the modi\ufb01ed retrospective approach consists in reconstituting liabilities at the initial recognition date from their valuation at the transition date, by retroactively reconstituting movements between the two dates with simpli\ufb01cations: \u25a0 cash \ufb02ows at inception are estimated by adding to the amount at the transition date the effective cash \ufb02ows recorded between the two dates; \u25a0 the original discount rate can be determined with interest rate curves simulating those at the date of \ufb01rst recognition; \u25a0 the changes in the adjustment for non-\ufb01nancial risk between the inception date and the transition date can be estimated based on release pattern observed on similar contracts. For liabilities for remaining coverage that are reconstituted in this way at the inception date, the contractual service margin at inception (if any), less any acquisition costs paid in the interim period, is amortised based on the services provided in the period prior to the transition, in order to determine the amount of the remaining contractual service margin at that date, less any remaining acquisition costs. When contracts are grouped into a single group on the transition date, the discount rate on that date can be used. When the option to disaggregate \ufb01nancial changes between pro\ufb01t and loss and shareholders\u2019 equity has been elected, it requires the amount taken to shareholders\u2019 equity at the transition date to be recalculated from the inception rate for the liability for remaining coverage and from the rate at the date of claims occurrence for the liability for incurred claims. Where such reconstitution is not possible, the amount shown in equity shall be zero. (1) This restatement was taken into account for the balance sheet at the transition date at 1 January 2022. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 187 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements For the purposes of this reconstitution, the simpli\ufb01cations mainly covered the following: \u25a0 reconstitution of the annual cohorts or consolidation into a single group of contracts at the transition date according to available data; \u25a0 the reconstitution of ful\ufb01lment cash \ufb02ows and unamortised acquisition costs; \u25a0 the release of the risk adjustment between the date of issuance of the contracts and the transition date; \u25a0 discount rates (the rate at inception in the case of a reconstitution by annual cohorts or an average rate in the case of a consolidation into a single group of contracts at the transition date); \u25a0 the amount transferred to changes in equity that may be reclassi\ufb01ed to pro\ufb01t or loss at the transition date in respect of changes in the discount rate, that has been reconstituted based on historical rates or reset to zero if such a reconstitution is not achievable. For protection contracts valued according to the simplified method, the reserves for remaining coverage were generally determined at transition from the previous reserves for unearned premiums, net of acquisition costs. The incurred claims reserves arising from these contracts consist of expected cash \ufb02ows and risk adjustments for non-\ufb01nancial risks at the transition date. When cash \ufb02ows were discounted and for portfolios for which the disaggregation option of \ufb01nancial changes between pro\ufb01t and loss account and shareholders\u2019 equity has been chosen, the amount carried in changes in equity that may be reclassi\ufb01ed to pro\ufb01t or loss at the transition date in relation to changes in the discount rate was reconstituted based on the historical rates or set to zero if such a reconstitution was not achievable. For Life/Savings contracts valued under the variable fees model, the modi\ufb01ed retrospective approach consists in reconstituting the liability at the original date from the liability at the transition date. However, for these contracts, the standard provides that the contractual services margin at the transition date is determined using the following approach: \u25a0 the realisable value of the underlying assets at the transition date is \ufb01rst diminished by the ful\ufb01lment cash \ufb02ows (discounted cash \ufb02ows and risk adjustment) at that date; \u25a0 to this amount are added the income paid by the policyholders, changes in the risk adjustment and are deducted the acquisition costs paid during the interim period; \u25a0 the contractual service margin net of the acquisition costs initially reconstituted in this way is then amortised until the transition date to re\ufb02ect the services provided on that date, as well as the remaining acquisition costs to be amortised. The main simpli\ufb01cations in implementing this approach were as follows: \u25a0 existing contracts have been grouped according to the planned post-transition segmentation, without annual cohorts breakdown, in line with the election of the exception provided for by the European regulation; \u25a0 for general funds common to participating and non-participating contracts and to equity, the underlying assets have been de\ufb01ned on the basis of the breakdown used in the statutory accounts to calculate policyholders\u2019 participation; \u25a0 the contractual services margin at the transition date has been reconstituted: \u25a0 from the realisable value of the underlying assets (see above) less ful\ufb01lment cash \ufb02ows on the transition date, \u25a0 by adding the historical margins (obtained from accounting or management information), the total being amortised up to the transition date (using the same approach, taking into account the \u201cover-performance on assets\u201d, as used after the transition), and \u25a0 deducting any remaining acquisition costs; \u25a0 the amount recorded in changes in equity that may be reclassi\ufb01ed to pro\ufb01t or loss at the transition date as an adjustment for accounting mismatch was determined using the realisable value of the underlying assets recognised in equity at the transition date, in accordance with the standard. Finally, under the market value method, the contractual service margin at the transition date is determined as the difference at the transition date between the realisable value (\u201cfair value, determined without taking into account the amount payable on demand\u201d) and the ful\ufb01lment cash \ufb02ows. This approach was used on some non-material portfolios when the modi\ufb01ed retrospective approach could not be implemented. For these portfolios, the fair value has been estimated based on a Solvency 2 valuation and, in the particular case of a recent business combination dating from 2018, based on the amount allocated to the contracts during the acquisition price allocation process. IFRS 9 The IFRS 9 implementation project at the level of the Insurance activity built widely on the experience of other business lines in the Group already applying this standard, in particular to ensure consistency in classi\ufb01cation. Financial assets and liabilities of insurance entities are managed by portfolios corresponding to the insurance liabilities they back up or to the own funds. The business models were therefore determined according to these portfolios at the transition date to IFRS 9. In accordance with the criteria of the business model and of the contractual cash \ufb02ows, debt instruments will largely be classi\ufb01ed under the \u201cheld to collect and sell\u201d model, with the exception of those representing unit-linked contracts and debt instruments held by consolidated UCITS and managed at net asset value, which will be classi\ufb01ed at fair value through pro\ufb01t or loss. Certain speci\ufb01c assets will be classi\ufb01ed as at fair value on option. The majority of equity instruments will be measured at fair value through pro\ufb01t or loss, except in the case of certain assets backing up own funds and non- participating contracts portfolios, which will be measured at fair value through equity. Non-consolidated funds classi\ufb01ed as available for sale under 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 188 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements IAS 39 will be reclassi\ufb01ed at fair value through pro\ufb01t or loss. The treatment of derivatives remains unchanged, including hedge accounting as IAS 39 rules have been maintained by the Group. Since the beginning of 2022, \ufb01nancial assets have been monitored according to both IAS 39 and IFRS 9. The Group is planning to use the optional \u201coverlay classi\ufb01cation\u201d approach introduced by the amendment to IFRS 17 relating to the presentation of IFRS 9 \u2013 IFRS 17 comparisons, which allows \ufb01nancial assets to be presented in the 2022 comparative as if IFRS 9 had been applicable at that date. This choice would apply to all \ufb01nancial instruments, including those derecognised in 2022, in terms of both classi\ufb01cation and valuation (including impairment). Amendments to other standards The Group is also planning to apply the amendments to IAS 40 and IAS 16 resulting from IFRS 17, leading to the valuation at fair value through pro\ufb01t or loss of the buildings held as underlying components of direct participating contracts. The amendments to IAS 32 and IFRS 9 are expected to be applied, enabling the \ufb01nancial assets issued by the Group that are held as underlying items of direct participating contracts and are measured at fair value through pro\ufb01t or loss to be maintained in the balance sheet. Impacts estimated at 1 January 2022 Regarding insurance contracts, a full valuation exercise was realised during 2022 to establish the opening balance sheet at 1 January 2022 and prepare the 2022 comparative period. Based on this work, at 1 January 2022, the estimated impact on Group\u2019s shareholders\u2019 equity (1) of the application of IFRS 17 and IFRS 9 and of the various amendments to other standards amounted to -EUR 1.6 billion. This impact consists of EUR 0.5 billion related to the transition from IAS 39 to IFRS 9 and -EUR 2.1 billion related to the transition from IFRS 4 to IFRS 17 (2) . At 1 January 2022, for controlled entities, liabilities related to insurance contracts, net of insurance portfolios in assets, amounted to EUR 239.3 billion, and consist of the following: \u25a0 EUR 219.2 billion for the best estimate of future cash \ufb02ows; \u25a0 EUR 1.5 billion for the risk adjustment; \u25a0 EUR 18.6 billion for the contractual service margin.1.b CONSOLIDATION 1.b.1 Scope of consolidation The consolidated \ufb01nancial statements of BNP Paribas include entities that are controlled by the Group, jointly controlled, and under signi\ufb01cant in\ufb02uence, with the exception of those entities whose consolidation is regarded as immaterial to the Group. Companies that hold shares in consolidated companies are also consolidated. Subsidiaries are consolidated from the date on which the Group obtains effective control. Entities under temporary control are included in the consolidated \ufb01nancial statements until the date of disposal.1.b.2 Consolidation methods Exclusive control Controlled enterprises are fully consolidated. The Group controls a subsidiary when it is exposed, or has rights, to variable returns from its involvement with the entity and has the ability to affect those returns through its power over the entity. For entities governed by voting rights, the Group generally controls the entity if it holds, directly or indirectly, the majority of the voting rights (and if there are no contractual provisions that alter the power of these voting rights) or if the power to direct the relevant activities of the entity is conferred on it by contractual agreements. Structured entities are entities established so that they are not governed by voting rights, for instance when those voting rights relate to administrative tasks only, whereas the relevant activities are directed by means of contractual arrangements. They often have the following features or attributes: restricted activities, a narrow and well-de\ufb01ned objective and insuf\ufb01cient equity to permit them to \ufb01nance their activities without subordinated \ufb01nancial support. (1) Including change in assets and liabilities recognised in changes in equity that may be reclassi\ufb01ed to pro\ufb01t or loss. (2) Including amendments to other standards related to the application of IFRS 17, of which the impact of the EUR 1.5 billion in relation to the revaluation of buildings at fair value, offset by the corresponding revaluation of liabilities in direct participating contracts. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 189 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements For these entities, the analysis of control shall consider the purpose and design of the entity, the risks to which the entity is designed to be exposed and to what extent the Group absorbs the related variability. The assessment of control shall consider all facts and circumstances able to determine the Group\u2019s practical ability to make decisions that could signi\ufb01cantly affect its returns, even if such decisions are contingent on uncertain future events or circumstances. In assessing whether it has power, the Group considers only substantive rights which it holds or which are held by third parties. For a right to be substantive, the holder must have the practical ability to exercise that right when decisions about the relevant activities of the entity need to be made. Control is reassessed if facts and circumstances indicate that there are changes to one or more of the elements of control. Where the Group contractually holds the decision-making power, for instance where the Group acts as fund manager, it shall determine whether it is acting as agent or principal. Indeed, when associated with a certain level of exposure to the variability of returns, this decision-making power may indicate that the Group is acting on its own account and that it thus has control over those entities. Minority interests are presented separately in the consolidated pro\ufb01t and loss account and balance sheet within consolidated equity. The calculation of minority interests takes into account the outstanding cumulative preferred shares classi\ufb01ed as equity instruments issued by subsidiaries, when such shares are held outside the Group. As regards fully consolidated funds, units held by third-party investors are recognised as debts at fair value through pro\ufb01t or loss, inasmuch as they are redeemable at fair value at the subscriber\u2019s initiative. For transactions resulting in a loss of control, any equity interest retained by the Group is remeasured at its fair value through pro\ufb01t or loss.Joint control Where the Group carries out an activity with one or more partners, sharing control by virtue of a contractual agreement which requires unanimous consent on relevant activities (those that signi\ufb01cantly affect the entity\u2019s returns), the Group exercises joint control over the activity. Where the jointly controlled activity is structured through a separate vehicle in which the partners have rights to the net assets, this joint venture is accounted for using the equity method. Where the jointly controlled activity is not structured through a separate vehicle or where the partners have rights to the assets and obligations for the liabilities of the jointly controlled activity, the Group accounts for its share of the assets, liabilities, revenues and expenses in accordance with the applicable IFRS.Significant influence Companies over which the Group exercises signi\ufb01cant in\ufb02uence or associates are accounted for by the equity method. Signi\ufb01cant in\ufb02uence is the power to participate in the \ufb01nancial and operating policy decisions of a company without exercising control. Signi\ufb01cant in\ufb02uence is presumed to exist when the Group holds, directly or indirectly, 20% or more of the voting rights of a company. Interests of less than 20% can be included in the consolidation scope if the Group effectively exercises signi\ufb01cant in\ufb02uence. This is the case for example for entities developed in partnership with other associates, where the BNP Paribas Group participates in strategic decisions of the enterprise through representation on the Board of directors or equivalent governing body, or exercises in\ufb02uence over the enterprise\u2019s operational management by supplying management systems or senior managers, or provides technical assistance to support the enterprise\u2019s development. Changes in the net assets of associates (companies accounted for under the equity method) are recognised on the assets side of the balance sheet under \u201cInvestments in equity-method entities\u201d and in the relevant component of shareholders\u2019 equity. Goodwill recorded on associates is also included under \u201cEquity-method investments\u201d. Whenever there is an indication of impairment, the carrying amount of the investment consolidated under the equity method (including goodwill) is subjected to an impairment test, by comparing its recoverable value (the higher of value-in-use and market value less costs to sell) to its carrying amount. Where appropriate, impairment is recognised under \u201cShare of earnings of equity-method entities\u201d in the consolidated income statement and can be reversed at a later date. If the Group\u2019s share of losses of an equity-method entity equals or exceeds the carrying amount of its investment in this entity, the Group discontinues including its share of further losses. The investment is reported at nil value. Additional losses of the equity-method entity are provided for only to the extent that the Group has contracted a legal or constructive obligation, or has made payments on behalf of this entity. Where the Group holds an interest in an associate, directly or indirectly through an entity that is a venture capital organisation, a mutual fund, an open-ended investment company or similar entity such as an investment-related insurance fund, it may elect to measure that interest at fair value through pro\ufb01t or loss. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 190 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Realised gains and losses on investments in consolidated undertakings are recognised in the pro\ufb01t and loss account under \u201cNet gain on non-current assets\u201d. The consolidated \ufb01nancial statements are prepared using uniform accounting policies for similar transactions and other events occurring in similar circumstances.1.b.3 Consolidation rules Elimination of intragroup balances and transactions Intragroup balances arising from transactions between consolidated enterprises, and the transactions themselves (including income, expenses and dividends), are eliminated. Pro\ufb01ts and losses arising from intragroup sales of assets are eliminated, except where there is an indication that the asset sold is impaired. Unrealised gains and losses included in the value of \ufb01nancial instruments at fair value through equity and available-for-sale assets are maintained in the consolidated \ufb01nancial statements. Translation of accounts expressed in foreign currencies The consolidated \ufb01nancial statements of BNP Paribas are prepared in euros. The \ufb01nancial statements of enterprises whose functional currency is not the euro are translated using the closing rate method. Under this method, all assets and liabilities, both monetary and non-monetary, are translated using the spot exchange rate at the balance sheet date. Income and expense items are translated at the average rate for the period. Financial statements of the Group\u2019s subsidiaries located in hyperin\ufb02ationary economies, previously adjusted for in\ufb02ation by applying a general price index, are translated using the closing rate. This rate applies to the translation of assets and liabilities as well as income and expenses. Differences arising from the translation of balance sheet items and pro\ufb01t and loss items are recorded in shareholders\u2019 equity under \u201cExchange differences\u201d, and in \u201cMinority interests\u201d for the portion attributable to outside investors. Under the optional treatment permitted by IFRS 1, the Group has reset to zero all translation differences, by booking all cumulative translation differences attributable to shareholders and to minority interests in the opening balance sheet at 1 January 2004 to retained earnings. On liquidation or disposal of some or all of an interest held in a foreign enterprise located outside the eurozone, leading to a change in the nature of the investment (loss of control, loss of signi\ufb01cant in\ufb02uence or loss of joint control without keeping a signi\ufb01cant in\ufb02uence), the cumulative exchange difference at the date of liquidation or sale is recognised in the pro\ufb01t and loss account. Should the percentage of interest change without leading to a modi\ufb01cation in the nature of the investment, the exchange difference is reallocated between the portion attributable to shareholders and that attributable to minority interests if the entity is fully consolidated; if the entity is consolidated under the equity method, it is recorded in pro\ufb01t or loss for the portion related to the interest sold. 1.b.4 Business combination and measurement of goodwill Business combinations Business combinations are accounted for using the purchase method. Under this method, the acquiree\u2019s identi\ufb01able assets and liabilities assumed are measured at fair value at the acquisition date except for non-current assets classi\ufb01ed as assets held for sale which are accounted for at fair value less costs to sell. The acquiree\u2019s contingent liabilities are not recognised in the consolidated balance sheet unless they represent a present obligation on the acquisition date and their fair value can be measured reliably. The cost of a business combination is the fair value, at the date of exchange, of assets given, liabilities incurred or assumed, and equity instruments issued to obtain control of the acquiree. Costs directly attributable to the business combination are treated as a separate transaction and recognised through pro\ufb01t or loss. Any contingent consideration is included in the cost, as soon as control is obtained, at fair value on the date when control was acquired. Subsequent changes in the value of any contingent consideration recognised as a \ufb01nancial liability are recognised through pro\ufb01t or loss. The Group may recognise any adjustments to the provisional accounting within 12 months of the acquisition date. Goodwill represents the difference between the cost of the combination and the acquirer\u2019s interest in the net fair value of the identi\ufb01able assets and liabilities of the acquiree at the acquisition date. Positive goodwill is recognised in the acquirer\u2019s balance sheet, while negative goodwill is recognised immediately in pro\ufb01t or loss, on the acquisition date. Minority interests are measured at their share of the fair value of the acquiree\u2019s identi\ufb01able assets and liabilities. However, for each business combination, the Group can elect to measure minority interests at fair value, in which case a proportion of goodwill is allocated to them. To date, the Group has never used this latter option. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 191 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Goodwill is recognised in the functional currency of the acquiree and translated at the closing exchange rate. On the acquisition date, any previously held equity interest in the acquiree is remeasured at its fair value through pro\ufb01t or loss. In the case of a step acquisition, the goodwill is therefore determined by reference to the acquisition-date fair value. Since the revised IFRS 3 has been applied prospectively, business combinations completed prior to 1 January 2010 were not restated for the effects of changes to IFRS 3. As permitted under IFRS 1, business combinations that took place before 1 January 2004 and were recorded in accordance with the previously applicable accounting standards (French GAAP), had not been restated in accordance with the principles of IFRS 3.Measurement of goodwill The BNP Paribas Group tests goodwill for impairment on a regular basis. Cash-generating units The BNP Paribas Group has split all its activities into cash-generating units (1) representing major business lines. This split is consistent with the Group\u2019s organisational structure and management methods, and re\ufb02ects the independence of each unit in terms of results and management approach. It is reviewed on a regular basis in order to take account of events likely to affect the composition of cash-generating units, such as acquisitions, disposals and major reorganisations. Testing cash-generating units for impairment Goodwill allocated to cash-generating units is tested for impairment annually and whenever there is an indication that a unit may be impaired, by comparing the carrying amount of the unit with its recoverable amount. If the recoverable amount is less than the carrying amount, an irreversible impairment loss is recognised, and the goodwill is written down by the excess of the carrying amount of the unit over its recoverable amount. Recoverable amount of a cash-generating unit The recoverable amount of a cash-generating unit is the higher of the fair value of the unit less costs to sell, and its value in use. Fair value is the price that would be obtained from selling the unit at the market conditions prevailing at the date of measurement, as determined mainly by reference to actual prices of recent transactions involving similar entities or on the basis of stock market multiples for comparable companies. Value in use is based on an estimate of the future cash \ufb02ows to be generated by the cash-generating unit, derived from the annual forecasts prepared by the unit\u2019s management and approved by Group Executive Management, and from analyses of changes in the relative positioning of the unit\u2019s activities on their market. These cash \ufb02ows are discounted at a rate that re\ufb02ects the return that investors would require from an investment in the business sector and region involved.1.c TRANSLATION OF FOREIGN CURRENCY TRANSACTIONS The methods used to account for assets and liabilities relating to foreign currency transactions entered into by the Group, and to measure the foreign exchange risk arising on such transactions, depend on whether the asset or liability in question is classi\ufb01ed as a monetary or a non-monetary item. Monetary assets and liabilities (2) expressed in foreign currencies Monetary assets and liabilities expressed in foreign currencies are translated into the functional currency of the relevant Group entity at the closing rate. Foreign exchange differences are recognised in the pro\ufb01t and loss account, except for those arising from \ufb01nancial instruments designated as a cash \ufb02ow hedge or a net foreign investment hedge, which are recognised in shareholders\u2019 equity. (1) As de\ufb01ned by IAS 36. (2) Monetary assets and liabilities are assets and liabilities to be received or paid in \ufb01xed or determinable amounts of cash. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 192 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Non-monetary assets and liabilities expressed in foreign currencies Non-monetary assets may be measured either at historical cost or at fair value. Non-monetary assets expressed in foreign currencies are translated using the exchange rate at the date of the transaction (i.e. date of initial recognition of the non-monetary asset) if they are measured at historical cost, and at the closing rate if they are measured at fair value. Foreign exchange differences relating to non-monetary assets denominated in foreign currencies and recognised at fair value (equity instruments) are recognised in pro\ufb01t or loss when the asset is classi\ufb01ed in \u201cFinancial assets at fair value through pro\ufb01t or loss\u201d and in equity when the asset is classi\ufb01ed under \u201cFinancial assets at fair value through equity\u201d.1.d NET INTEREST INCOME, COMMISSIONS AND INCOME FROM OTHER ACTIVITIES 1.d.1 Net interest income Income and expenses relating to debt instruments measured at amortised cost and at fair value through shareholders\u2019 equity are recognised in the income statement using the effective interest rate method. The effective interest rate is the rate that ensures the discounted value of estimated future cash \ufb02ows through the expected life of the \ufb01nancial instrument or, when appropriate, a shorter period, is equal to the carrying amount of the asset or liability in the balance sheet. The effective interest rate measurement takes into account all fees received or paid that are an integral part of the effective interest rate of the contract, transaction costs, and premiums and discounts. Commissions considered as an additional component of interest are included in the effective interest rate and are recognised in the pro\ufb01t and loss account in \u201cNet interest income\u201d. This category includes notably commissions on \ufb01nancing commitments when it is considered that the setting up of a loan is more likely than unlikely. Commissions received in respect of \ufb01nancing commitments are deferred until they are drawn and then included in the effective interest rate calculation and amortised over the life of the loan. Syndication commissions are also included in this category for the portion of the commission equivalent to the remuneration of other syndication participants.1.d.2 Commissions and income from other activitiesCommissions received with regards to banking and similar services provided (except for those that are integral part of the effective interest rate), revenues from property development and revenues from services provided in connection with lease contracts fall within the scope of IFRS 15 \u201cRevenue from Contracts with Customers\u201d. This standard de\ufb01nes a single model for recognising revenue based on \ufb01ve-step principles. These \ufb01ve steps enable to identify the distinct performance obligations included in the contracts and allocate the transaction price among them. The income related to those performance obligations is recognised as revenue when the latter are satis\ufb01ed, namely when the control of the promised goods or services has been transferred. The price of a service may contain a variable component. Variable amounts may be recognised in the income statement only if it is highly probable that the amounts recorded will not result in a signi\ufb01cant downward adjustment. Commission The Group records commission income and expense in pro\ufb01t or loss either: \u25a0 over time as the service is rendered when the client receives continuous service. These include, for example, certain commissions on transactions with customers when services are rendered on a continuous basis, commissions on \ufb01nancing commitments that are not included in the interest margin, because the probability that they give rise to the drawing up of a loan is low, commissions on \ufb01nancial collateral, clearing commissions on \ufb01nancial instruments, commissions related to trust and similar activities, securities custody fees, etc. Commissions received under \ufb01nancial guarantee commitments are deemed to represent the initial fair value of the commitment. The resulting liability is subsequently amortised over the term of the commitment, in Commission income; or \u25a0 at a point in time when the service is rendered, in other cases. These include, for example, distribution fees received, loan syndication fees remunerating the arrangement service, advisory fees, etc.Income from other activities Income from property development as well as income from services provided in connection with lease contracts is recorded under \u201cincome from other activities\u201d in the income statement. As regards property development income, the Group records it in pro\ufb01t or loss: \u25a0 over time, when the performance obligation creates or enhances an asset on which the customer obtains control as it is created or enhanced (e.g. work in progress controlled by the client on the land in which the asset is located, etc.), or where the service performed does not create an asset 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 193 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements that the entity could otherwise use and gives it enforceable right to payment for performance completed to date. This is the case for contracts such as VEFA (sale in the future state of completion) in France; \u25a0 at completion in other cases. Regarding income from services provided in connection with lease contracts, the Group records them in pro\ufb01t or loss as the service is rendered, i.e. in proportion to the costs incurred for maintenance contracts.1.e FINANCIAL ASSETS AND LIABILITIES Financial assets, except those relating to insurance activities (see note 1.f) are classi\ufb01ed at amortised cost, at fair value through shareholders\u2019 equity or at fair value through pro\ufb01t or loss depending on the business model and the contractual features of the instruments at initial recognition. Financial liabilities are classi\ufb01ed at amortised cost or at fair value through pro\ufb01t or loss at initial recognition. Financial assets and liabilities are recognised in the balance sheet when the Group becomes a party to the contractual provisions of the instrument. Purchases and sales of \ufb01nancial assets made within a period established by the regulations or by a convention in the relevant marketplace are recognised in the balance sheet at the settlement date.1.e.1 Financial assets at amortised cost Financial assets are classi\ufb01ed at amortised cost if the following two criteria are met: the business model objective is to hold the instrument in order to collect the contractual cash \ufb02ows and the cash \ufb02ows consist solely of payments relating to principal and interest on the principal. Business model criterion Financial assets are managed within a business model whose objective is to hold \ufb01nancial assets in order to collect cash \ufb02ows through the collection of contractual payments over the life of the instrument. The realisation of disposals close to the maturity of the instrument and for an amount close to the remaining contractual cash-\ufb02ows, or due to an increase in the counterparty\u2019s credit risk is consistent with a business model whose objective is to collect the contractual cash \ufb02ows (\u201ccollect\u201d). Sales imposed by regulatory requirements or to manage the concentration of credit risk (without an increase in the asset\u2019s credit risk) are also consistent with this business model when they are infrequent or insigni\ufb01cant in value. Cash flow criterion The cash \ufb02ow criterion is satis\ufb01ed if the contractual terms of the debt instrument give rise, on speci\ufb01ed dates, to cash \ufb02ows that are solely repayments of principal and interest on the principal amount outstanding. The criterion is not met in the event of a contractual characteristic that exposes the holder to risks or to the volatility of contractual cash \ufb02ows that are inconsistent with those of a non-structured or \u201cbasic lending\u201d arrangement. It is also not satis\ufb01ed in the event of leverage that increases the variability of the contractual cash \ufb02ows. Interest consists of consideration for the time value of money, for the credit risk, and for the remuneration of other risks (e.g. liquidity risk), costs (e.g. administration fees), and a pro\ufb01t margin consistent with that of a basic lending arrangement. The existence of negative interest does not call into question the cash \ufb02ow criterion. The time value of money is the component of interest \u2013 usually referred to as the \u201crate\u201d component \u2013 which provides consideration for only the passage of time. The relationship between the interest rate and the passage of time must not be modi\ufb01ed by speci\ufb01c characteristics that could call into question the respect of the cash \ufb02ow criterion. Thus, when the variable interest rate of the \ufb01nancial asset is periodically reset at a frequency that does not match the duration for which the interest rate is established, the time value of money may be considered as modi\ufb01ed and, depending on the signi\ufb01cance of that modi\ufb01cation, the cash \ufb02ow criterion may not be met. Some \ufb01nancial assets held by the Group present a mismatch between the interest rate reset frequency and the maturity of the index, or interest rates indexed to an average of benchmark rate. The Group has developed a consistent methodology for analysing this alteration of the time value of money. Regulated rates meet the cash \ufb02ow criterion when they provide consideration that is broadly consistent with the passage of time and does not expose to risks or volatility in the contractual cash \ufb02ows that would be inconsistent with those of a basic lending arrangement (example: loans granted in the context of Livret A savings accounts). Some contractual clauses may change the timing or the amount of cash \ufb02ows. Early redemption options do not call into question the cash \ufb02ow criterion if the prepayment amount substantially represents the principal amount outstanding and the interest thereon, which may include reasonable compensation for the early termination of the contract. For example, as regards loans to retail customers, the compensation limited to 6 months of interest or 3% 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 194 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements of the capital outstanding is considered reasonable. Actuarial penalties, corresponding to the discounted value of the difference between the residual contractual cash-\ufb02ows of the loan, and their reinvestment in a loan to a similar counterparty or in the interbank market for a similar residual maturity are also considered as reasonable, even when the compensation can be positive or negative (i.e. \u201csymmetric\u201d compensation). An option that permits the issuer or the holder of a \ufb01nancial instrument to change the interest rate from \ufb02oating to \ufb01xed rate does not breach the cash \ufb02ow criterion if the \ufb01xed rate is determined at origination, or if it represents the time value of money for the residual maturity of the instrument at the date of exercise of the option. Clauses included in \ufb01nancing granted to encourage the sustainable development of companies which adjust the interest margin depending on the achievement of environmental, social or governance (ESG) objectives do not call into question the cash \ufb02ow criterion when such an adjustment is considered to be minimal. Structured instruments indexed to ESG market indices do not meet the cash \ufb02ow criterion. In the particular case of \ufb01nancial assets contractually linked to payments received on a portfolio of underlying assets and which include a priority order for payment of cash \ufb02ows between investors (\u201ctranches\u201d), thereby creating concentrations of credit risk, a speci\ufb01c analysis is carried out. The contractual characteristics of the tranche and those of the underlying \ufb01nancial instrument portfolios must meet the cash \ufb02ow criterion and the credit risk exposure of the tranche must be equal to or lower than the exposure to credit risk of the underlying pool of \ufb01nancial instruments. Certain loans may be \u201cnon-recourse\u201d, either contractually, or in substance when they are granted to a special purpose entity. That is in particular the case of numerous project \ufb01nancing or asset \ufb01nancing loans. The cash-\ufb02ow criterion is met as long as these loans do not represent a direct exposure on the assets acting as collateral. In practice, the sole fact that the \ufb01nancial asset explicitly gives rise to cash \ufb02ows that are consistent with payments of principal and interest is not suf\ufb01cient to conclude that the instrument meets the cash \ufb02ow criterion. In that case, the particular underlying assets to which there is limited recourse shall be analysed using the \u201clook-through\u201d approach. If those assets do not themselves meet the cash \ufb02ow criterion, the existing credit enhancement is assessed. The following aspects are considered: structuring and sizing of the transaction, own funds level of the structure, expected source of repayment, price volatility of the underlying assets. This analysis is applied to \u201cnon-recourse\u201d loans granted by the Group. The \u201c\ufb01nancial assets at amortised cost\u201d category includes, in particular, loans granted by the Group, as well as reverse repurchase agreements and securities held by the Group ALM Treasury in order to collect contractual \ufb02ows and meeting the cash \ufb02ow criterion. Recognition On initial recognition, \ufb01nancial assets are recognised at fair value, including transaction costs directly attributable to the transaction as well as commissions related to the origination of the loans. They are subsequently measured at amortised cost, including accrued interest and net of repayments of principal and interest during the past period. These \ufb01nancial assets are also subject from their initial recognition, to the measurement of a loss allowance for expected credit losses (note 1.e.5). Interest is calculated using the effective interest method determined at inception of the contract.1.e.2 Financial assets at fair value through shareholders\u2019 equity Debt instruments Debt instruments are classi\ufb01ed at fair value through shareholders\u2019 equity if the following two criteria are met: \u25a0 business model criterion: Financial assets are held in a business model whose objective is achieved by both holding the \ufb01nancial assets in order to collect contractual cash \ufb02ows and selling the \ufb01nancial assets (\u201ccollect and sale\u201d). The latter is not incidental but is an integral part of the business model; \u25a0 cash \ufb02ow criterion: The principles are identical to those applicable to \ufb01nancial assets at amortised cost. The securities held by the Group ALM Treasury in order to collect contractual \ufb02ows or to be sold and meeting the cash \ufb02ow criterion are in particular classi\ufb01ed in this category. On initial recognition, \ufb01nancial assets are recognised at their fair value, including transaction costs directly attributable to the transaction. They are subsequently measured at fair value and changes in fair value are recognised, under a speci\ufb01c line of shareholders\u2019 equity entitled \u201cChanges in assets and liabilities recognised directly in equity that may be reclassi\ufb01ed to pro\ufb01t or loss\u201d. These \ufb01nancial assets are also subject to the measurement of a loss allowance for expected credit losses on the same approach as for debt instruments at amortised cost. The counterparty of the related impact in cost of risk is recognised in the same speci\ufb01c line of shareholders\u2019 equity. On disposal, changes in fair value previously recognised in shareholders\u2019 equity are reclassi\ufb01ed to pro\ufb01t or loss. In addition, interest is recognised in the income statement using the effective interest method determined at the inception of the contract. Equity instruments Investments in equity instruments such as shares are classi\ufb01ed on option, and on a case-by-case basis, at fair value through shareholders\u2019 equity (under a speci\ufb01c line). On disposal of the shares, changes in fair value previously recognised in equity are not recognised in pro\ufb01t or loss. Only dividends, if they represent remuneration for the investment and not repayment of capital, are recognised in pro\ufb01t or loss. These instruments are not subject to impairment. Investments in mutual funds puttable to the issuer do not meet the de\ufb01nition of equity instruments. They do not meet the cash \ufb02ow criterion either, and thus are recognised at fair value through pro\ufb01t or loss. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 195 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements1.e.3 Financing and guarantee commitments Financing and \ufb01nancial guarantee commitments that are not recognised at fair value through pro\ufb01t or loss are presented in the note relating to \ufb01nancing and guarantee commitments. They are subject to the measurement of a loss allowance for expected credit losses. These loss allowances are presented under \u201cProvisions for contingencies and charges\u201d.1.e.4 Regulated savings and loan contracts Home savings accounts (Comptes \u00c9pargne Logement \u2013 \u201cCEL\u201d) and home savings plans (Plans d\u2019\u00c9pargne Logement \u2013 \u201cPEL\u201d) are government-regulated retail products sold in France. They combine a savings phase and a loan phase which are inseparable, with the loan phase contingent upon the savings phase. These products contain two types of obligations for BNP Paribas: an obligation to pay interest on the savings for an inde\ufb01nite period, at a rate set by the government at the inception of the contract (in the case of PEL products) or at a rate reset every six months using an indexation formula set by law (in the case of CEL products); and an obligation to lend to the customer (at the customer\u2019s option) an amount contingent upon the rights acquired during the savings phase, at a rate set at the inception of the contract (in the case of PEL products) or at a rate contingent upon the savings phase (in the case of CEL products). The Group\u2019s future obligations with respect to each generation (in the case of PEL products, a generation comprises all products with the same interest rate at inception; in the case of CEL products, all such products constitute a single generation) are measured by discounting potential future earnings from at-risk outstandings for that generation. At-risk outstandings are estimated on the basis of a historical analysis of customer behaviour, and are equivalent to: \u25a0 for the loan phase: statistically probable loans outstanding and actual loans outstanding; \u25a0 for the savings phase: the difference between statistically probable outstandings and minimum expected outstandings, with minimum expected outstandings being deemed equivalent to unconditional term deposits. Earnings for future periods from the savings phase are estimated as the difference between the reinvestment rate and the \ufb01xed savings interest rate on at-risk savings outstanding for the period in question. Earnings for future periods from the loan phase are estimated as the difference between the re\ufb01nancing rate and the \ufb01xed loan interest rate on at-risk loans outstanding for the period in question. The reinvestment rate for savings and the re\ufb01nancing rate for loans are derived from the swap yield curve and from the spreads expected on \ufb01nancial instruments of similar type and maturity. Spreads are determined on the basis of actual spreads on \ufb01xed-rate home loans in the case of the loan phase and products offered to individual clients in the case of the savings phase. In order to re\ufb02ect the uncertainty of future interest rate trends, and the impact of such trends on customer behaviour models and on at-risk outstandings, the obligations are estimated using the Monte-Carlo method. Where the sum of the Group\u2019s estimated future obligations with respect to the savings and loan phases of any generation of contracts indicates a potentially unfavourable situation for the Group, a provision is recognised (with no offset between generations) in the balance sheet in \u201cProvisions for contingencies and charges\u201d. Movements in this provision are recognised as interest income in the pro\ufb01t and loss account.1.e.5 Impairment of financial assets measured at amortised cost and debt instruments measured at fair value through shareholders\u2019 equity The impairment model for credit risk is based on expected losses. This model applies to loans and debt instruments measured at amortised cost or at fair value through equity, to loan commitments and \ufb01nancial guarantee contracts that are not recognised at fair value, as well as to lease receivables, trade receivables and contract assets. General model The Group identi\ufb01es three \u201cstages\u201d that each correspond to a speci\ufb01c status with regards to the evolution of counterparty credit risk since the initial recognition of the asset: \u25a0 12-month expected credit losses (\u201cstage 1\u201d): If at the reporting date, the credit risk of the \ufb01nancial instrument has not increased signi\ufb01cantly since its initial recognition, this instrument is impaired at an amount equal to 12-month expected credit losses (resulting from the risk of default within the next 12 months); \u25a0 Lifetime expected credit losses for non-impaired assets (\u201cstage 2\u201d): The loss allowance is measured at an amount equal to the lifetime expected credit losses if the credit risk of the \ufb01nancial instrument has increased signi\ufb01cantly since initial recognition, but the \ufb01nancial asset is not considered credit-impaired or doubtful; \u25a0 Lifetime expected credit losses for credit-impaired or doubtful \ufb01nancial assets (\u201cstage 3\u201d): The loss allowance is also measured for an amount equal to the lifetime expected credit losses. This general model is applied to all instruments within the scope of IFRS 9 impairment, except for purchased or originated credit-impaired \ufb01nancial assets and instruments for which a simpli\ufb01ed model is used (see below). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 196 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The IFRS 9 expected credit loss approach is symmetrical, i.e. if lifetime expected credit losses have been recognised in a previous reporting period, and if it is assessed in the current reporting period that there is no longer any signi\ufb01cant increase in credit risk since initial recognition, the loss allowance reverts to a 12-months expected credit loss. As regards interest income, under \u201cstages 1 and 2\u201d, it is calculated on the gross carrying amount. Under \u201cstage 3\u201d, interest income is calculated on the amortised cost (i.e. the gross carrying amount adjusted for the loss allowance). Definition of default The de\ufb01nition of default is aligned with the Basel regulatory default de\ufb01nition, with a rebuttable presumption that the default occurs no later than 90 days past due. This de\ufb01nition takes into account the EBA guidelines of 28 September 2016, notably those regarding the thresholds applicable for the counting of past-due and probation periods. The de\ufb01nition of default is used consistently for assessing the increase in credit risk and measuring expected credit losses. Credit-impaired or doubtful financial assets Definition A \ufb01nancial asset is considered credit-impaired or doubtful and classi\ufb01ed in \u201cstage 3\u201d when one or more events that have a detrimental impact on the estimated future cash \ufb02ows of that \ufb01nancial asset have occurred. At an individual level, objective evidence that a \ufb01nancial asset is credit-impaired includes observable data regarding the following events: the existence of accounts that are more than 90 days past due; knowledge or indications that the borrower is experiencing signi\ufb01cant \ufb01nancial dif\ufb01culties, such that a risk can be considered to have arisen regardless of whether the borrower has missed any payments; concessions with respect to the credit terms granted to the borrower that the lender would not have considered had the borrower not been in \ufb01nancial dif\ufb01culty (see section Restructuring of \ufb01nancial assets for \ufb01nancial dif\ufb01culties). Specific cases of purchased or originated credit-impaired assets In some cases, \ufb01nancial assets are credit-impaired at initial recognition. For these assets, no loss allowance is recorded on initial recognition. The effective interest rate is calculated taking into account the lifetime expected credit losses in the initial estimated cash \ufb02ows. Any change in lifetime expected credit losses since initial recognition, positive or negative, is recognised as a loss allowance adjustment in pro\ufb01t or loss. Simplified model The simpli\ufb01ed approach consists in accounting for a loss allowance corresponding to lifetime expected credit losses since initial recognition, and at each reporting date. The Group applies this model to trade receivables with a maturity shorter than 12 months. Significant increase in credit risk A signi\ufb01cant increase in credit risk may be assessed on an individual basis or on a collective basis (by grouping \ufb01nancial instruments according to common credit risk characteristics), taking into account all reasonable and supportable information and comparing the risk of default of the \ufb01nancial instrument at the reporting date with the risk of default of the \ufb01nancial instrument at the date of initial recognition. Assessment of deterioration is based on the comparison of the probabilities of default derived from the ratings on the date of initial recognition with those existing at the reporting date. There is also, according to the standard, a rebuttable presumption that the credit risk of an instrument has signi\ufb01cantly increased since initial recognition when the contractual payments are more than 30 days past due. In the consumer credit specialist business, a signi\ufb01cant increase in credit risk is also considered when a past due event has occurred within the last 12 months, even if it has since been regularised. In the context of the health crisis, the granting of moratoria that meet the criteria de\ufb01ned in the EBA guidelines published on 2 April 2020, and amended on 2 December 2020, has not been considered, in isolation, as an indicator of a signi\ufb01cant increase in credit risk leading to an automatic transfer to stage 2. The granting of \u201cprivate\u201d moratoria that meet equivalent criteria to those de\ufb01ned in the EBA guidelines has followed the same treatment. Moratoria do not trigger the counting of past-due days as long as the new payment schedule is respected. The principles applied to assess the signi\ufb01cant increase in credit risk are detailed in note 2.h Cost of risk. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 197 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Measurement of expected credit losses Expected credit losses are de\ufb01ned as an estimate of credit losses (i.e. the present value of all cash shortfalls) weighted by the probability of occurrence of these losses over the expected life of the \ufb01nancial instruments. They are measured on an individual basis, for all exposures. In practice, for exposures classi\ufb01ed in stage 1 and stage 2, expected credit losses are measured as the product of the probability of default (\u201cPD\u201d), Loss Given Default (\u201cLGD\u201d) and exposure at default (\u201cEAD\u201d), discounted at the effective interest rate of the exposure (EIR). They result from the risk of default within the next 12 months (stage 1), or from the risk of default over the maturity of the facility (stage 2). In the consumer credit specialist business, because of the speci\ufb01city of credit exposures, the methodology used is based on the probability of transition to term forfeiture, and on discounted loss rates after term forfeiture. These parameters are measured on a statistical basis for homogeneous populations. For exposures classi\ufb01ed in stage 3, expected credit losses are measured as the value, discounted at the effective interest rate, of all cash shortfalls over the life of the \ufb01nancial instrument. Cash shortfalls represent the difference between the cash-\ufb02ows that are due in accordance with the contract, and the cash-\ufb02ows that are expected to be received. Where appropriate, the estimate of expected cash \ufb02ows takes into account a cash \ufb02ow scenario arising from the sale of the defaulted loans or groups of loans. Proceeds from the sale are recorded net of costs to sell. The methodology developed is based on existing concepts and methods (in particular the Basel framework) on exposures for which capital requirement for credit risk is measured according to the IRBA methodology. This method is also applied to portfolios for which capital requirement for credit risk is measured according to the standardised approach. Besides, the Basel framework has been adjusted in order to be compliant with IFRS 9 requirements, in particular the use of forward-looking information. Maturity All contractual terms of the \ufb01nancial instrument are taken into account, including prepayment, extension and similar options. In the rare cases where the expected life of the \ufb01nancial instrument cannot be estimated reliably, the residual contractual term is used. The standard speci\ufb01es that the maximum period to consider when measuring expected credit losses is the maximum contractual period. However, for revolving credit cards and overdrafts, in accordance with the exception provided by IFRS 9 for these products, the maturity considered for measuring expected credit losses is the period over which the entity is exposed to credit risk, which may extend beyond the contractual maturity (notice period). For revolving credits and overdrafts to non-retail counterparties, the contractual maturity can be used, for example if the next review date is the contractual maturity as they are individually managed. Probabilities of Default (PD) Probability of Default is an estimate of the likelihood of default over a given time horizon. The determination of the PD is based on the Group\u2019s internal rating system, which is described in chapter 5 of the Universal registration document (section 5.4 Credit risk \u2013 Credit risk management policy). This section describes how environmental, social and governance (ESG) risks are taken into account in credit and rating policies, notably with the introduction of a new tool: the ESG Assessment. The measurement of expected credit losses requires the estimation of both 1-year probabilities of default and lifetime probabilities of default. 1-year PDs are derived from long term average regulatory \u201cthrough the cycle\u201d PDs to re\ufb02ect the current situation (\u201cPoint in Time\u201d or \u201cPIT\u201d). Lifetime PDs are determined based on the rating migration matrices re\ufb02ecting the expected changes in the rating of the exposure until maturity, and the associated probabilities of default. Loss Given Default (LGD) Loss Given Default is the difference between contractual cash-\ufb02ows and expected cash-\ufb02ows, discounted using the effective interest rate (or an approximation thereof) at the default date. LGD is expressed as a percentage of the Exposure At Default (EAD). The estimate of expected cash \ufb02ows takes into account cash \ufb02ows resulting from the sale of collateral held or other credit enhancements if they are part of the contractual terms and are not accounted for separately by the entity (for example, a mortgage associated with a residential loan), net of the costs of obtaining and selling the collateral. For guaranteed loans, the guarantee is considered as integral to the loan agreement if it is embedded in the contractual clauses of the loan, or if it was granted concomitantly to the loan, and if the expected reimbursement amount can be attached to a loan in particular (i.e. absence of pooling effect by means of a tranching mechanism, or the existence of a global cap for a whole portfolio). In such case, the guarantee is taken into account when measuring the expected credit losses. Otherwise, it is accounted for as a separate reimbursement asset. The LGD used for IFRS 9 purposes is derived from the Basel LGD parameters. It is adjusted for downturn and conservatism margins (in particular regulatory margins), except for margins for model uncertainties. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 198 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Exposure At Default (EAD) Exposure At Default (EAD) of an instrument is the anticipated outstanding amount owed by the obligor at the time of default. It is determined by the expected payment pro\ufb01le taking into account, depending on the product type: the contractual repayment schedule, expected early repayments and expected future drawings for revolving facilities. Forward-looking information The amount of expected credit losses is measured on the basis of probability-weighted scenarios, in view of past events, current conditions and reasonable and supportable economic forecasts. The principles applied to take into account forward-looking information when measuring expected credit losses are detailed in note 2.h Cost of risk. Write-offs A write-off consists in reducing the gross carrying amount of a \ufb01nancial asset when there are no longer reasonable expectations of recovering that \ufb01nancial asset in its entirety or a portion thereof, or when it has been fully or partially forgiven. The write-off is recorded when all other means available to the Bank for recovering the receivables or guarantees have failed, and also generally depends on the context speci\ufb01c to each jurisdiction. If the amount of loss on write-off is greater than the accumulated loss allowance, the difference is recognised as an additional impairment loss in \u201cCost of risk\u201d. For any recovery once the \ufb01nancial asset (or part thereof) is no longer recognised on the balance sheet, the amount received is recorded as a gain in \u201cCost of risk\u201d. Recoveries through the repossession of the collateral When a loan is secured by a \ufb01nancial or a non-\ufb01nancial asset serving as a guarantee and the counterparty is in default, the Group may decide to exercise the guarantee and, depending on the jurisdiction, it may then become owner of the asset. In such a situation, the loan is written-off against the asset received as collateral. Once ownership of the asset is effective, it is recognised at fair value and classi\ufb01ed according to the intent of use. Restructuring of financial assets for financial difficulties A restructuring due to the borrower\u2019s \ufb01nancial dif\ufb01culties is de\ufb01ned as a change in the terms and conditions of the initial transaction that the Group is considering only for economic or legal reasons related to the borrower\u2019s \ufb01nancial dif\ufb01culties. For restructurings not resulting in derecognition of the \ufb01nancial asset, the restructured asset\u2019s gross carrying amount is reduced to the discounted amount, using the original effective interest rate of the asset, of the new expected future \ufb02ows. The change in the gross carrying amount of the asset is recorded in the income statement in \u201cCost of risk\u201d. The existence of a signi\ufb01cant increase in credit risk for the \ufb01nancial instrument is then assessed by comparing the risk of default after the restructuring (under the revised contractual terms) and the risk of default at the initial recognition date (under the original contractual terms). In order to demonstrate that the criteria for recognising lifetime expected credit losses are no longer met, good payment behaviour will have to be observed over a certain period of time. When the restructuring consists of a partial or total exchange against other substantially different assets (for example, the exchange of a debt instrument against an equity instrument), it results in the extinction of the original asset and the recognition of the assets remitted in exchange, measured at their fair value at the date of exchange. The difference in value is recorded in the income statement in \u201cCost of risk\u201d. As a reminder, in response to the health crisis, several moratoria have been granted to clients. These moratoria mostly consisted in payment suspension of a few months, with additional interest that may or not continue to accrue during the suspension period. Accordingly, the modi\ufb01cation was generally considered as not substantial. The associated discount (linked to the absence of interest accruing, or interest accruing at a rate that was lower than the EIR of the loan) was therefore recognised in NBI, subject to meeting certain criteria (1) . In such cases, the moratorium was considered as not being granted in response to the borrower\u2019s \ufb01nancial dif\ufb01culties, but in response to a temporary liquidity crisis and the credit risk was not considered to have signi\ufb01cantly increased. Modi\ufb01cations to \ufb01nancial assets that are not due to a borrower\u2019s \ufb01nancial dif\ufb01culties, or granted in the context of a moratorium (i.e. commercial renegotiations) are generally analysed as the early repayment of the former loan, which is then derecognised, followed by the set-up of a new loan at market conditions. They consist in resetting the interest rate of the loan at market conditions, with the client being in a position to change lender and not encountering any \ufb01nancial dif\ufb01culties. Probation periods The Group applies observation periods to assess the possible return to a better stage. Accordingly, a 3-month probation period is observed for the transition from stage 3 to stage 2, which is extended to 12 months in the event of restructuring due to \ufb01nancial dif\ufb01culties. For the transition from stage 2 to stage 1, a probation period of two years is observed for loans that have been restructured due to \ufb01nancial dif\ufb01culties. (1) Moratoria quali\ufb01ed as \u201cCovid-19 General moratorium Measure\u201d (i.e. meeting the criteria de\ufb01ned in EBA Guidelines published on 2 April 2020 and amended on 2 December 2020) or similar measures that do not lead to a transfer to stage 3. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 199 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements 1.e.6 Cost of risk Cost of risk includes the following items of pro\ufb01t or loss: \u25a0 impairment gains and losses resulting from the accounting of loss allowances for 12-month expected credit losses and lifetime expected credit losses (\u201cstage 1\u201d and \u201cstage 2\u201d) relating to debt instruments measured at amortised cost or at fair value through shareholders\u2019 equity, loan commitments and \ufb01nancial guarantee contracts that are not recognised at fair value as well as lease receivables, contract assets and trade receivables; \u25a0 impairment gains and losses resulting from the accounting of loss allowances relating to \ufb01nancial assets (including those at fair value through pro\ufb01t or loss) for which there is objective evidence of impairment (\u201cstage 3\u201d), write-offs on irrecoverable loans and amounts recovered on loans written-off; \u25a0 impairment gains and losses relating to \ufb01xed-income securities of insurance entities that are individually impaired (which fall under IAS 39). It also includes expenses relating to fraud and to disputes inherent to the \ufb01nancing activity.1.e.7 Financial instruments at fair value through profit or loss Trading portfolio and other financial assets measured at fair value through profit or loss The trading portfolio includes instruments held for trading (trading transactions), including derivatives. Other \ufb01nancial assets measured at fair value through pro\ufb01t or loss include debt instruments that do not meet the \u201ccollect\u201d or \u201ccollect and sale\u201d business model criterion or that do not meet the cash \ufb02ow criterion, as well as equity instruments for which the fair value through shareholders\u2019 equity option has not been retained. All those \ufb01nancial instruments are measured at fair value at initial recognition, with transaction costs directly posted in pro\ufb01t or loss. At the reporting date, they are measured at fair value, with changes presented in \u201cNet gain/loss on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d. Income, dividends, and realised gains and losses on disposal related to held-for-trading transactions are accounted for in the same pro\ufb01t or loss account. Financial liabilities designated as at fair value through profit or loss Financial liabilities are recognised under option in this category in the two following situations: \u25a0 for hybrid \ufb01nancial instruments containing one or more embedded derivatives which otherwise would have been separated and accounted for separately. An embedded derivative is such that its economic characteristics and risks are not closely related to those of the host contract; \u25a0 when using the option enables the entity to eliminate or signi\ufb01cantly reduce a mismatch in the measurement and accounting treatment of assets and liabilities that would otherwise arise if they were to be classi\ufb01ed in separate categories. Changes in fair value due to the own credit risk are recognised under a speci\ufb01c heading of shareholders\u2019 equity.1.e.8 Financial liabilities and equity instruments A \ufb01nancial instrument issued or its various components are classi\ufb01ed as a \ufb01nancial liability or equity instrument, in accordance with the economic substance of the legal contract. Financial instruments issued by the Group are quali\ufb01ed as debt instruments if the entity in the Group issuing the instruments has a contractual obligation to deliver cash or another \ufb01nancial asset to the holder of the instrument. The same applies if the Group is required to exchange \ufb01nancial assets or \ufb01nancial liabilities with another entity under conditions that are potentially unfavourable to the Group, or to deliver a variable number of the Group\u2019s own equity instruments. Equity instruments result from contracts evidencing a residual interest in an entity\u2019s assets after deducting all of its liabilities. Debt securities and subordinated debt Debt securities and subordinated debt are measured at amortised cost unless they are recognised at fair value through pro\ufb01t or loss. Debt securities are initially recognised at the issue value including transaction costs and are subsequently measured at amortised cost using the effective interest method. Bonds redeemable or convertible into own equity are hybrid instruments that may contain a debt component and an equity component, determined upon initial recognition of the transaction. Equity instruments The term \u201cown equity instruments\u201d refers to shares issued by the parent company (BNP Paribas SA) and by its fully consolidated subsidiaries. External costs that are directly attributable to an issue of new shares are deducted from equity net of all related taxes. Own equity instruments held by the Group, also known as treasury shares, are deducted from consolidated shareholders\u2019 equity irrespective of the purpose for which they are held. Gains and losses arising on such instruments are eliminated from the consolidated pro\ufb01t and loss account. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 200 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements When the Group acquires equity instruments issued by subsidiaries under the exclusive control of BNP Paribas, the difference between the acquisition price and the share of net assets acquired is recorded in retained earnings attributable to BNP Paribas shareholders. Similarly, the liability corresponding to put options granted to minority shareholders in such subsidiaries, and changes in the value of that liability, are offset against minority interests, with any surplus offset against retained earnings attributable to BNP Paribas shareholders. Until these options have been exercised, the portion of net income attributable to minority interests is allocated to minority interests in the pro\ufb01t and loss account. A decrease in the Group\u2019s interest in a fully consolidated subsidiary is recognised in the Group\u2019s accounts as a change in shareholders\u2019 equity. Financial instruments issued by the Group and classi\ufb01ed as equity instruments (e.g. Undated Super Subordinated Notes) are presented in the balance sheet in \u201cCapital and retained earnings\u201d. Distributions from a \ufb01nancial instrument classi\ufb01ed as an equity instrument are recognised directly as a deduction from equity. Similarly, the transaction costs of an instrument classi\ufb01ed as equity are recognised as a deduction from shareholders\u2019 equity. Own equity instrument derivatives are treated as follows, depending on the method of settlement: \u25a0 as equity instruments if they are settled by physical delivery of a \ufb01xed number of own equity instruments for a \ufb01xed amount of cash or other \ufb01nancial asset. Such instruments are not revalued; \u25a0 as derivatives if they are settled in cash or by choice by physical delivery of the shares or in cash. Changes in value of such instruments are taken to the pro\ufb01t and loss account. If the contract includes an obligation, whether contingent or not, for the bank to repurchase its own shares, the bank recognises the debt at its present value with an offsetting entry in shareholders\u2019 equity.1.e.9 Hedge accounting The Group retained the option provided by the standard to maintain the hedge accounting requirements of IAS 39 until the future standard on macro- hedging is entered into force. Furthermore, IFRS 9 does not explicitly address the fair value hedge of the interest rate risk on a portfolio of \ufb01nancial assets or liabilities. The provisions in IAS 39 for these portfolio hedges, as adopted by the European Union, continue to apply. Derivatives contracted as part of a hedging relationship are designated according to the purpose of the hedge. Fair value hedges are particularly used to hedge interest rate risk on \ufb01xed-rate assets and liabilities, both for identi\ufb01ed \ufb01nancial instruments (securities, debt issues, loans, borrowings) and for portfolios of \ufb01nancial instruments (in particular, demand deposits and \ufb01xed-rate loans). Cash \ufb02ow hedges are particularly used to hedge interest rate risk on \ufb02oating-rate assets and liabilities, including rollovers, and foreign exchange risks on highly probable forecast foreign currency revenues. At the inception of the hedge, the Group prepares formal documentation which details the hedging relationship, identifying the instrument, or portion of the instrument, or portion of risk that is being hedged, the hedging strategy and the type of risk hedged, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship. On inception and at least quarterly, the Group assesses, in consistency with the original documentation, the actual (retrospective) and expected (prospective) effectiveness of the hedging relationship. Retrospective effectiveness tests are designed to assess whether the ratio of actual changes in the fair value or cash \ufb02ows of the hedging instrument to those in the hedged item is within a range of 80% to 125%. Prospective effectiveness tests are designed to ensure that expected changes in the fair value or cash \ufb02ows of the derivative over the residual life of the hedge adequately offset those of the hedged item. For highly probable forecast transactions, effectiveness is assessed largely on the basis of historical data for similar transactions. Under IAS 39 as adopted by the European Union, which excludes certain provisions on portfolio hedging, interest rate risk hedging relationships based on portfolios of assets or liabilities qualify for fair value hedge accounting as follows: \u25a0 the risk designated as being hedged is the interest rate risk associated with the interbank rate component of interest rates on commercial banking transactions (loans to customers, savings accounts and demand deposits); \u25a0 the instruments designated as being hedged correspond, for each maturity band, to a portion of the interest rate gap associated with the hedged underlying; \u25a0 the hedging instruments used consist exclusively of \u201cplain vanilla\u201d swaps; \u25a0 prospective hedge effectiveness is established by the fact that all derivatives must, on inception, have the effect of reducing interest rate risk in the portfolio of hedged underlying. Retrospectively, a hedge will be disquali\ufb01ed from hedge accounting once a shortfall arises in the underlying speci\ufb01cally associated with that hedge for each maturity band (due to prepayment of loans or withdrawals of deposits). The accounting treatment of derivatives and hedged items depends on the hedging strategy. In a fair value hedging relationship, the derivative instrument is remeasured at fair value in the balance sheet, with changes in fair value recognised in pro\ufb01t or loss in \u201cNet gain/loss on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d, symmetrically with the remeasurement of the hedged item to re\ufb02ect the hedged risk. In the balance sheet, the fair value remeasurement of the hedged component is recognised in accordance with the classi\ufb01cation of the hedged item in the case of a hedge of identi\ufb01ed assets and liabilities, or under \u201cRemeasurement adjustment on interest rate risk hedged portfolios\u201d in the case of a portfolio hedging relationship. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 201 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements If a hedging relationship ceases or no longer ful\ufb01ls the effectiveness criteria, the hedging instrument is transferred to the trading book and accounted for using the treatment applied to this category. In the case of identi\ufb01ed \ufb01xed-income instruments, the remeasurement adjustment recognised in the balance sheet is amortised at the effective interest rate over the remaining life of the instrument. In the case of interest rate risk hedged \ufb01xed-income portfolios, the adjustment is amortised on a straight-line basis over the remainder of the original term of the hedge. If the hedged item no longer appears in the balance sheet, in particular due to prepayments, the adjustment is taken to the pro\ufb01t and loss account immediately. In a cash \ufb02ow hedging relationship, the derivative is measured at fair value in the balance sheet, with changes in fair value taken to shareholders\u2019 equity on a separate line, \u201cChanges in fair value recognised directly in equity\u201d. The amounts taken to shareholders\u2019 equity over the life of the hedge are transferred to the pro\ufb01t and loss account under \u201cNet interest income\u201d as and when the cash \ufb02ows from the hedged item impact pro\ufb01t or loss. The hedged items continue to be accounted for using the treatment speci\ufb01c to the category to which they belong. If the hedging relationship ceases or no longer ful\ufb01ls the effectiveness criteria, the cumulative amounts recognised in shareholders\u2019 equity as a result of the remeasurement of the hedging instrument remain in equity until the hedged transaction itself impacts pro\ufb01t or loss, or until it becomes clear that the transaction will not occur, at which point they are transferred to the pro\ufb01t and loss account. If the hedged item ceases to exist, the cumulative amounts recognised in shareholders\u2019 equity are immediately taken to the pro\ufb01t and loss account. Whatever the hedging strategy used, any ineffective portion of the hedge is recognised in the pro\ufb01t and loss account under \u201cNet gain/loss on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d. Hedges of net foreign currency investments in subsidiaries and branches are accounted for in the same way as cash \ufb02ow hedges. Hedging instruments may be foreign exchange derivatives or any other non-derivative \ufb01nancial instrument.1.e.10 Determination of fair value Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants in the principal market or most advantageous market, at the measurement date. The Group determines the fair value of \ufb01nancial instruments either by using prices obtained directly from external data or by using valuation techniques. These valuation techniques are primarily market and income approaches encompassing generally accepted models (e.g. discounted cash \ufb02ows, Black- Scholes model, and interpolation techniques). They maximise the use of observable inputs and minimise the use of unobservable inputs. They are calibrated to re\ufb02ect current market conditions and valuation adjustments are applied as appropriate, when some factors such as model, liquidity and credit risks are not captured by the models or their underlying inputs but are nevertheless considered by market participants when setting the exit price. The unit of measurement is the individual \ufb01nancial asset or \ufb01nancial liability but a portfolio-based measurement can be elected, subject to certain conditions. Accordingly, the Group retains this portfolio-based measurement exception to determine the fair value when some group of \ufb01nancial assets and \ufb01nancial liabilities and other contracts within the scope of the standard relating to \ufb01nancial instruments with substantially similar and offsetting market risks or credit risks are managed on the basis of a net exposure, in accordance with the documented risk management strategy. Assets and liabilities measured or disclosed at fair value are categorised into the three following levels of the fair value hierarchy: \u25a0 Level 1: fair values are determined using directly quoted prices in active markets for identical assets and liabilities. Characteristics of an active market include the existence of a suf\ufb01cient frequency and volume of activity and of readily available prices; \u25a0 Level 2: fair values are determined based on valuation techniques for which signi\ufb01cant inputs are observable market data, either directly or indirectly. These techniques are regularly calibrated and the inputs are corroborated with information from active markets; \u25a0 Level 3: fair values are determined using valuation techniques for which signi\ufb01cant inputs are unobservable or cannot be corroborated by market- based observations, due for instance to illiquidity of the instrument and signi\ufb01cant model risk. An unobservable input is a parameter for which there are no market data available and that is therefore derived from proprietary assumptions about what other market participants would consider when assessing fair value. The assessment of whether a product is illiquid or subject to signi\ufb01cant model risks is a matter of judgment. The level in the fair value hierarchy within which the asset or liability is categorised in its entirety is based upon the lowest level input that is signi\ufb01cant to the entire fair value. For \ufb01nancial instruments disclosed in Level 3 of the fair value hierarchy, and marginally some instruments disclosed in Level 2, a difference between the transaction price and the fair value may arise at initial recognition. This \u201cDay One Pro\ufb01t\u201d is deferred and released to the pro\ufb01t and loss account over the period during which the valuation parameters are expected to remain non-observable. When parameters that were originally non-observable become observable, or when the valuation can be substantiated in comparison with recent similar transactions in an active market, the unrecognised portion of the day one pro\ufb01t is released to the pro\ufb01t and loss account. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 202 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements 1.e.11 Derecognition of financial assets and financial liabilities Derecognition of financial assets The Group derecognises all or part of a \ufb01nancial asset when the contractual rights to the cash \ufb02ows of the asset expire, or when the Group transfers the asset \u2013 either on the basis of a transfer of the contractual rights to its cash \ufb02ows, or by retaining the contractual rights to receive the cash \ufb02ows of the asset while assuming an obligation to pay the cash \ufb02ows of the asset under an eligible pass-through arrangement \u2013 as well as substantially all the risks and rewards of the asset. Where the Group has transferred the cash \ufb02ows of a \ufb01nancial asset but has neither transferred nor retained substantially all the risks and rewards of ownership of the \ufb01nancial asset and has not in practice retained control of the \ufb01nancial asset, the Group derecognises the \ufb01nancial asset and then records separately, if necessary, an asset or liability representing the rights and obligations created or held as part of the transfer of the asset. If the Group has retained control of the \ufb01nancial asset, it maintains it on its balance sheet to the extent of its continuing involvement in that asset. Upon the derecognition of a \ufb01nancial asset in its entirety, a gain or loss on disposal is recognised in the pro\ufb01t and loss account for an amount equal to the difference between the carrying amount of the asset and the value of the consideration received, adjusted where appropriate for any unrealised gain or loss previously recognised directly in equity. If all these conditions are not met, the Group retains the asset in its balance sheet and recognises a liability for the obligations arising on the transfer of the asset. Derecognition of financial liabilities The Group derecognises all or part of a \ufb01nancial liability when the liability is extinguished, i.e. when the obligation speci\ufb01ed in the contract is extinguished, cancelled or expired. A \ufb01nancial liability may also be derecognised in the event of a substantial change in its contractual terms or if exchanged with the lender for an instrument with substantially different contractual terms. Repurchase agreements and securities lending/borrowing Securities temporarily sold under repurchase agreements continue to be recognised in the Group\u2019s balance sheet in the category of securities to which they belong. The corresponding liability is recognised at amortised cost under the appropriate \u201cFinancial liabilities at amortised cost\u201d category on the balance sheet, except in the case of repurchase agreements contracted for trading purposes, for which the corresponding liability is recognised in \u201cFinancial liabilities at fair value through pro\ufb01t or loss\u201d. Securities temporarily acquired under reverse repurchase agreements are not recognised in the Group\u2019s balance sheet. The corresponding receivable is recognised at amortised cost under the appropriate \u201cFinancial assets at amortised cost\u201d category in the balance sheet, except in the case of reverse repurchase agreements contracted for trading purposes, for which the corresponding receivable is recognised in \u201cFinancial assets at fair value through pro\ufb01t or loss\u201d. Securities lending transactions do not result in derecognition of the lent securities, and securities borrowing transactions do not result in recognition of the borrowed securities on the balance sheet. In cases where the borrowed securities are subsequently sold by the Group, the obligation to deliver the borrowed securities on maturity is recognised on the balance sheet under \u201cFinancial liabilities at fair value through pro\ufb01t or loss\u201d.1.e.12 Offsetting financial assets and financial liabilities A \ufb01nancial asset and a \ufb01nancial liability are offset and the net amount presented in the balance sheet if, and only if, the Group has a legally enforceable right to set off the recognised amounts, and intends either to settle on a net basis, or to realise the asset and settle the liability simultaneously. Repurchase agreements and derivatives that meet the two criteria set out in the accounting standard are offset in the balance sheet.1.f ACCOUNTING STANDARDS SPECIFIC TO INSURANCE ACTIVITIES The speci\ufb01c accounting policies and valuation rules relating to assets and liabilities generated by insurance contracts and \ufb01nancial contracts with a discretionary participation feature written by fully consolidated insurance companies are retained for the purposes of the consolidated \ufb01nancial statements. These policies comply with IFRS 4. The amendment to IFRS 4 \u201cInsurance Contracts\u201d published by the IASB on 25 June 2020 provides the option for entities that predominantly undertake insurance activities to defer the effective date of IFRS 9 application until 1 January 2023 in line with the deferral of the mandatory application date for IFRS 17 \u201cInsurance Contracts\u201d. The effect of such a deferral is that those entities may continue to report their \ufb01nancial statements under the existing standard IAS 39. This temporary exemption from IFRS 9, limited to groups that predominantly undertake insurance activities according to the IASB amendment, has been extended to the insurance segment of \ufb01nancial conglomerates as de\ufb01ned by the Directive 2002/87/EC as adopted by the European Union. This exemption is subject to certain conditions, notably the absence of internal transfers of \ufb01nancial instruments, other than \ufb01nancial instruments that are measured at fair value through pro\ufb01t or loss, between insurance entities and other entities of the \ufb01nancial conglomerate. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 203 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements BNP Paribas Group applies this amendment to all its insurance entities, including funds related to this activity, which will apply IAS 39 \u201cFinancial instruments: Recognition and Measurement\u201d until 31 December 2022. All other insurance company assets and liabilities are accounted for using the policies applied to the Group\u2019s assets and liabilities generally and are included in the relevant balance sheet and pro\ufb01t and loss account headings in the consolidated \ufb01nancial statements. 1.f.1 Profit and loss account Income and expenses recognised under insurance contracts issued by the Group are presented in the income statement under \u201cNet income from insurance activities\u201d. This heading in the income statement includes premiums earned, net gain in investment contracts with no discretionary participation feature and other services, net investment income (including income on investment property and impairment on shares and other equity instruments), technical charges related to contracts; (including policyholders\u2019 surplus reserve), net charges from ceded reinsurance and external charges related to contracts (including commissions). Other income and expenses relating to insurance activities (i.e. recorded by insurance entities) are presented in the other income statement headings according to their nature. 1.f.2 Financial investments and other assets related to insurance activities Financial investments and other assets related to insurance activities mainly include: \u25a0 investments by insurance entities in \ufb01nancial instruments that are recognised in accordance with the principles of IAS 39, which include investments representing technical reserves of insurance activities and notably unit-linked contracts; \u25a0 derivative instruments with a positive fair value. Group insurance entities underwrite derivative instruments for hedging purposes; \u25a0 investment properties; \u25a0 equity method investments; \u25a0 reinsurers\u2019 share in liabilities arising from insurance and investment contracts; and \u25a0 policyholders\u2019 surplus reserve. Investments in financial instruments Financial investments held by the Group\u2019s insurance entities are classi\ufb01ed in one of the four categories provided for in IAS 39: Financial assets at fair value through pro\ufb01t or loss, held-to-maturity \ufb01nancial assets, loans and receivables and available-for-sale \ufb01nancial assets. Financial assets at fair value through profit or loss The category \u2018Financial assets at fair value through pro\ufb01t or loss\u2019 includes derivatives and \ufb01nancial assets that the Group has elected to recognise and measure at fair value through pro\ufb01t or loss at inception, in accordance with the option offered by IAS 39. Financial assets may be designated at fair value through pro\ufb01t or loss in the following cases (in accordance with IAS 39): \u25a0 hybrid \ufb01nancial instruments containing one or more embedded derivatives which otherwise would have been separated and accounted for separately. An embedded derivative is such that its economic characteristics and risks are not closely related to those of the host contract; \u25a0 where using the option enables the entity to eliminate or signi\ufb01cantly reduce a mismatch in the measurement and accounting treatment of assets and liabilities that would arise if they were to be classi\ufb01ed in separate accounting categories; \u25a0 when the group of \ufb01nancial assets and/or \ufb01nancial liabilities is managed and measured on the basis of fair value, in accordance with a documented risk management and investment strategy. Investments held in respect of insurance or investment contracts where the \ufb01nancial risk is borne by policyholders (unit-linked contracts) are recognised at fair value option through pro\ufb01t or loss. When the Group measures at fair value through pro\ufb01t or loss investments made in respect of its insurance activities in entities over which it exercises signi\ufb01cant in\ufb02uence or joint control, these investments are presented under the line \u201cFinancial assets at fair value through pro\ufb01t or loss\u201d (see note 1.b.2). Financial instruments classi\ufb01ed in this category are initially recognised at their fair value, with transaction costs being directly recognised in the income statement. At the closing date, they are valued at their fair value. Changes in value compared to the last valuation, income, dividends and realised gains and losses are presented under \u201cNet income from insurance activities\u201d and under \u201cNet gain on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 204 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Loans and advances Fixed or determinable income securities, which are not quoted in an active market, other than those for which the holder may not recover substantially all of its initial investment for reasons other than credit deterioration, are classi\ufb01ed as \u201cLoans and receivables\u201d when they do not meet the conditions for classi\ufb01cation as \ufb01nancial assets at fair value through pro\ufb01t or loss. Loans and receivables are initially recognised at their fair value or equivalent, which generally corresponds to the net amount originally paid. Loans and receivables are subsequently measured at amortised cost using the effective interest method and net of repayments of principal and interest. Interest is calculated using the effective interest method, which includes interest, transaction costs and commissions included in their initial value and is presented under \u201cNet income from insurance activities\u201d and under sub-heading \u201cNet gain on \ufb01nancial instruments at amortised cost\u201d. Impairment losses recognised when there is objective evidence of impairment related to an event subsequent to the acquisition of the asset are presented under \u201cCost of risk\u201d.Held-to-maturity financial assets \u201cHeld-to-maturity \ufb01nancial assets\u201d include debt securities, with \ufb01xed maturity, that the Group has the intention and ability to hold until maturity. Securities classi\ufb01ed in this category are recognised at amortised cost using the effective interest method. Income received on these securities is presented under \u201cNet income from insurance activities\u201d and under sub-heading \u201cNet gain on \ufb01nancial instruments at amortised cost\u201d. Impairment losses recognised when there is objective evidence of impairment related to an event subsequent to the acquisition of the asset are presented under \u201cCost of risk\u201d.Available-for-sale financial assets The category \u201cAvailable-for-sale \ufb01nancial assets\u201d includes debt or equity securities that do not fall within the previous three categories. Assets included in the available-for-sale category are initially recorded at fair value, plus transaction costs where material. At the end of the reporting period, they are valued at their fair value and the changes in the latter, excluding accrued income, are presented under a speci\ufb01c heading of equity. On disposal of the securities, these unrealised gains or losses previously recognised in equity are reclassi\ufb01ed in the income statement under the heading \u201cNet income from insurance activities\u201d. Income recognised using the effective interest method on debt securities, dividends received and impairment (in the event of a signi\ufb01cant or lasting decline in the value of the securities) of equity securities are presented under \u201cNet income from insurance activities\u201d and under section \u201cNet gain on available-for-sale \ufb01nancial assets\u201d. Impairment losses on debt securities are presented under \u201cCost of risk\u201d.Investment property Investment property corresponds to buildings held directly by insurance companies and property companies controlled. Investment property, except for those used for unit-linked contracts, is recognised at cost and follows the accounting methods of the assets described elsewhere. Investment property, held in respect of unit-linked contracts, is valued at fair value or equivalent, with changes in value recognised in the income statement.Equity method investments Investments in entities or real estate funds over which the Group exercises signi\ufb01cant in\ufb02uence or joint control and for which the equity method is applied are recognised in the line \u201cEquity method investments\u201d.1.f.3 Technical reserves and other insurance liabilities The item \u201cTechnical reserves and other insurance liabilities\u201d includes: \u25a0 commitments to policyholders and bene\ufb01ciaries of contracts, which include technical reserves for insurance contracts subject to signi\ufb01cant insurance hazard (mortality, longevity, disability, incapacity, etc.) and technical liabilities of investment contracts with a discretionary pro\ufb01t-sharing feature, falling within IFRS 4. The discretionary participation clause grants life insurance policyholders the right to receive, in addition to the guaranteed remuneration, a share of the \ufb01nancial results achieved; \u25a0 other insurance liabilities related to unit-linked contracts that fall within the scope of IAS 39 (i.e. investment contracts with no discretionary participating features); \u25a0 policyholders\u2019 surplus reserve; \u25a0 liabilities arising from insurance and reinsurance operations, including liabilities due to policyholders; 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 205 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u25a0 \ufb01nancial derivative instruments of insurance activities carried at fair value through pro\ufb01t or loss, the fair value of which is negative. Group insurance entities underwrite derivative instruments for hedging purposes. Financial liabilities that are not insurance liabilities (e.g. subordinated debt) fall under IAS 39. They are presented in \u201cFinancial liabilities at amortised cost\u201d. Insurance and reinsurance contracts and investment contracts with discretionary participating features Life insurance guarantees cover mainly death risk (term life insurance, annuities, repayment of loans or guaranteed minimum on unit-linked contracts) and, regarding borrowers\u2019 insurance, to disability, incapacity and unemployment risks. For life insurance, technical reserves consist mainly of mathematical reserves that corresponds as a minimum, to the surrender value of contracts and surplus reserve. The policyholders\u2019 surplus reserve also includes amounts resulting from the application of shadow accounting representing the interest of policyholders, mainly within French life insurance subsidiaries, in unrealised gains and losses on assets where the bene\ufb01t paid under the policy is linked to the return on those assets. This interest is an average derived from stochastic analyses of unrealised gains and losses attributable to policyholders in various scenarios. A capitalisation reserve is set up in individual statutory accounts of French life-insurance companies on the sale of amortisable securities in order to defer part of the net realised gain and hence maintain the yield to maturity on the portfolio of admissible assets. In the consolidated \ufb01nancial statements, this reserve is reclassi\ufb01ed into \u201cPolicyholders\u2019 surplus\u201d on the liabilities side of the consolidated balance sheet, to the extent that it is highly probable it will be used. Non-life technical reserves consist of unearned premium reserves (corresponding to the portion of written premiums relating to future periods) and outstanding claims reserves, inclusive of claims handling costs. At the reporting date, a liability adequacy test is performed: The level of technical reserves (net of acquisition costs outstanding) is compared to the average value of future cash \ufb02ows resulting from stochastic calculations. Related adjustment to technical reserves, if any, is taken to the pro\ufb01t and loss account for the period. In the event of an unrealised loss on shadow accounted assets, a policyholders\u2019 loss reserve is recognised on the assets side of the consolidated balance sheet in an amount equal to the probable deduction from the policyholders\u2019 future pro\ufb01t share. This policyholders\u2019 loss reserve is presented with the other assets of insurance activities under \u201cFinancial investments and other assets related to insurance activities\u201d.  The recoverability of the policyholders\u2019 loss reserve is assessed prospectively, taking into account policyholders\u2019 surplus reserves recognised elsewhere, capital gains on \ufb01nancial assets that are not shadow accounted due to accounting elections made (held-to-maturity \ufb01nancial assets and property investments measured at cost) and the company\u2019s ability and intention to hold the assets carrying the unrealised loss. Investment contracts with no discretionary participating features Investment contracts with no discretionary participating features correspond mainly to unit-linked contracts that do not meet the de\ufb01nition of insurance and investment contracts with discretionary participating features. Liabilities arising from unit-linked contracts are measured by reference to the fair value of the assets backing these contracts at the closing date.1.g PROPERTY, PLANT, EQUIPMENT AND INTANGIBLE ASSETS Property, plant and equipment and intangible assets shown in the consolidated balance sheet are composed of assets used in operations and investment property. Rights-of-use related to leased assets (see note 1.h.2) are presented by the lessee within \ufb01xed assets in the same category as similar assets held. Assets used in operations are those used in the provision of services or for administrative purposes, and include non-property assets leased by the Group as lessor under operating leases. Investment property comprises property assets held to generate rental income and capital gains. Investment property is recognised at cost, with the exception of those representing insurance or investment contracts whose risk is borne by policyholders (unit-linked contracts), which are measured at fair value through pro\ufb01t or loss and presented in the balance sheet under \u201cFinancial investments and other assets related to insurance activities\u201d (note 1.f.2). Property, plant and equipment and intangible assets are initially recognised at purchase price plus directly attributable costs, together with borrowing costs where a long period of construction or adaptation is required before the asset can be brought into service. Software developed internally by the BNP Paribas Group that ful\ufb01ls the criteria for capitalisation is capitalised at direct development cost, which includes external costs and the labour costs of employees directly attributable to the project. Subsequent to initial recognition, property, plant and equipment and intangible assets are measured at cost less accumulated depreciation or amortisation and any impairment losses. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 206 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The depreciable amount of property, plant and equipment and intangible assets is calculated after deducting the residual value of the asset. Only assets leased by the Group as the lessor under operating leases are presumed to have a residual value, as the useful life of property, plant and equipment and intangible assets used in operations is generally the same as their economic life. Property, plant and equipment and intangible assets are depreciated or amortised using the straight-line method over the useful life of the asset. Depreciation and amortisation expense is recognised in the pro\ufb01t and loss account under \u201cDepreciation, amortisation and impairment of property, plant and equipment and intangible assets\u201d. Where an asset consists of a number of components which may require replacement at regular intervals, or which have different uses or generate economic bene\ufb01ts at different rates, each component is recognised separately and depreciated using a method appropriate to that component. The BNP Paribas Group has adopted the component-based approach for property used in operations and for investment property. The depreciation periods used for of\ufb01ce property are as follows: 80 years or 60 years for the shell (for prime and other property respectively); 30 years for facades; 20 years for general and technical installations; and 10 years for \ufb01xtures and \ufb01ttings. Software is amortised, depending on its type, over periods of no more than 8 years in the case of infrastructure developments and 3 years or 5 years in the case of software developed primarily for the purpose of providing services to customers. Software maintenance costs are expensed as incurred. However, expenditure that is regarded as upgrading the software or extending its useful life is included in the initial acquisition or production cost. Depreciable property, plant and equipment and intangible assets are tested for impairment if there is an indication of potential impairment at the balance sheet date. Non-depreciable assets are tested for impairment at least annually, using the same method as for goodwill allocated to cash-generating units. If there is an indication of impairment, the new recoverable amount of the asset is compared with the carrying amount. If the asset is found to be impaired, an impairment loss is recognised in the pro\ufb01t and loss account. This loss is reversed in the event of a change in the estimated recoverable amount or if there is no longer an indication of impairment. Impairment losses are taken to the pro\ufb01t and loss account in \u201cDepreciation, amortisation and impairment of property, plant and equipment and intangible assets\u201d. Gains and losses on disposals of property, plant and equipment and intangible assets used in operations are recognised in the pro\ufb01t and loss account in \u201cNet gain on non-current assets\u201d. Gains and losses on disposals of investment property are recognised in the pro\ufb01t and loss account in \u201cIncome from other activities\u201d or \u201cExpense on other activities\u201d.1.h LEASES Group companies may either be the lessee or the lessor in a lease agreement. 1.h.1 Group company as lessor Leases contracted by the Group as lessor are categorised as either \ufb01nance leases or operating leases. Finance leases In a \ufb01nance lease, the lessor transfers substantially all the risks and rewards of ownership of an asset to the lessee. It is treated as a loan made to the lessee to \ufb01nance the purchase of the asset. The present value of the lease payments, plus any residual value, is recognised as a receivable. The net income earned from the lease by the lessor is equal to the amount of interest on the loan, and is taken to the pro\ufb01t and loss account under \u201cInterest income\u201d. The lease payments are spread over the lease term, and are allocated to reduction of the principal and to interest such that the net income re\ufb02ects a constant rate of return on the net investment outstanding in the lease. The rate of interest used is the rate implicit in the lease. Impairments of lease receivables are determined using the same principles as applied to \ufb01nancial assets measured at amortised cost. Operating leases An operating lease is a lease under which substantially all the risks and rewards of ownership of an asset are not transferred to the lessee. The asset is recognised under property, plant and equipment in the lessor\u2019s balance sheet and depreciated on a straight-line basis over its useful life. The depreciable amount excludes the residual value of the asset. The lease payments are taken to the pro\ufb01t and loss account in full on a straight-line basis over the lease term. Lease payments and depreciation expenses are taken to the pro\ufb01t and loss account under \u201cIncome from other activities\u201d and \u201cExpense on other activities\u201d.1.h.2 Group company as lessee Lease contracts concluded by the Group, with the exception of contracts whose term is shorter than or equal to 12 months and low-value contracts, are recognised in the balance-sheet in the form of a right-of-use on the leased asset presented under \ufb01xed assets, along with the recognition of a \ufb01nancial liability for the rent and other payments to be made over the leasing period. The right of use assets is amortised on a straight-line basis and 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 207 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements the \ufb01nancial liabilities are amortised on an actuarial basis over the lease period. Dismantling costs corresponding to speci\ufb01c and signi\ufb01cant \ufb01ttings and \ufb01xtures are included in the initial right-of-use estimation, in counterparty of a provision liability. The key hypothesis used by the Group for the measurement of rights of use and lease liabilities are the following: \u25a0 the lease term corresponds to the non-cancellable period of the contract, together with periods covered by an extension option if the Group is reasonably certain to exercise this option. In France, the standard commercial lease contract is the so-called \u201cthree, six, nine\u201d contract for which the maximum period of use is nine years, with a \ufb01rst non-cancellable period of three years followed by two optional extension periods of three years each; hence, depending on the assessment, the lease term can be of three, six or nine years. When investments like \ufb01ttings or \ufb01xtures are performed under the contract, the lease term is aligned with their useful lives. For tacitly renewable contracts, with or without an enforceable period, related right of use and lease liabilities are recognised based on an estimate of the reasonably foreseeable economic life of the contracts, minimal occupation period included; \u25a0 the discount rate used to measure the right of use and the lease liability is assessed for each contract as the interest rate implicit in the lease, if that rate can be readily determined, or more generally based on the incremental borrowing rate of the lessee at the date of signature. The incremental borrowing rate is determined considering the average term (duration) of the contract; \u25a0 when the contract is modi\ufb01ed, a new assessment of the lease liability is made taking into account the new residual term of the contract, and therefore a new assessment of the right of use and the lease liability is established.1.i ASSETS HELD FOR SALE AND DISCONTINUED OPERATIONS Where the Group decides to sell assets or a group of assets and liabilities and it is highly probable that the sale will occur within 12 months, these assets are shown separately in the balance sheet, on the line \u201cAssets held for sale\u201d. Any liabilities associated with these assets are also shown separately in the balance sheet, on the line \u201cLiabilities associated with assets held for sale\u201d. When the Group is committed to a sale plan involving loss of control of a subsidiary and the sale is highly probable within 12 months, all the assets and liabilities of that subsidiary are classi\ufb01ed as held for sale. Once classi\ufb01ed in this category, assets and the group of assets and liabilities are measured at the lower of carrying amount or fair value less costs to sell. Such assets are no longer depreciated. If an asset or group of assets and liabilities becomes impaired, an impairment loss is recognised in the pro\ufb01t and loss account. Impairment losses may be reversed. Where a group of assets and liabilities held for sale represents a cash generating unit, it is categorised as a \u201cdiscontinued operation\u201d. Discontinued operations include operations that are held for sale, operations that have been shut down, and subsidiaries acquired exclusively with a view to resell. In this case, gains and losses related to discontinued operations are shown separately in the pro\ufb01t and loss account, on the line \u201cNet income from discontinued activities\u201d. This line includes after tax pro\ufb01ts or losses of discontinued operations, after tax gain or loss arising from remeasurement at fair value less costs to sell, and after-tax gain or loss on disposal of the operation.1.j EMPLOYEE BENEFITS Employee bene\ufb01ts are classi\ufb01ed in one of four following categories: \u25a0 short-term bene\ufb01ts, such as salary, annual leave, incentive plans, pro\ufb01t-sharing and additional payments; \u25a0 long-term bene\ufb01ts, including compensated absences, long-service awards, and other types of cash-based deferred compensation; \u25a0 termination bene\ufb01ts; \u25a0 post-employment bene\ufb01ts, including top-up banking industry pensions and retirement bonuses in France and pension plans in other countries, some of which are operated through pension funds. Short-term benefits The Group recognises an expense when it has used services rendered by employees in exchange for employee bene\ufb01ts. Long-term benefits These are bene\ufb01ts, other than short-term bene\ufb01ts, post-employment bene\ufb01ts and termination bene\ufb01ts. This relates, in particular, to compensation deferred for more than 12 months and not linked to the BNP Paribas share price, which is accrued in the \ufb01nancial statements for the period in which it is earned. The actuarial techniques used are similar to those used for de\ufb01ned-bene\ufb01t post-employment bene\ufb01ts, except that the revaluation items are recognised in the pro\ufb01t and loss account and not in equity. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 208 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Termination benefits Termination bene\ufb01ts are employee bene\ufb01ts payable in exchange for the termination of an employee\u2019s contract as a result of either a decision by the Group to terminate a contract of employment before the legal retirement age, or a decision by an employee to accept voluntary redundancy in exchange for these bene\ufb01ts. Termination bene\ufb01ts due more than 12 months after the balance sheet date are discounted. Post-employment benefits In accordance with IFRS, the BNP Paribas Group draws a distinction between de\ufb01ned-contribution plans and de\ufb01ned-bene\ufb01t plans. De\ufb01ned-contribution plans do not give rise to an obligation for the Group and do not require a provision. The amount of the employer\u2019s contributions payable during the period is recognised as an expense. Only de\ufb01ned-bene\ufb01t schemes give rise to an obligation for the Group. This obligation must be measured and recognised as a liability by means of a provision. The classi\ufb01cation of plans into these two categories is based on the economic substance of the plan, which is reviewed to determine whether the Group has a legal or constructive obligation to pay the agreed bene\ufb01ts to employees. Post-employment bene\ufb01t obligations under de\ufb01ned-bene\ufb01t plans are measured using actuarial techniques that take demographic and \ufb01nancial assumptions into account. The net liability recognised with respect to post-employment bene\ufb01t plans is the difference between the present value of the de\ufb01ned-bene\ufb01t obligation and the fair value of any plan assets. The present value of the de\ufb01ned-bene\ufb01t obligation is measured on the basis of the actuarial assumptions applied by the Group, using the projected unit credit method. This method takes into account various parameters, speci\ufb01c to each country or Group entity, such as demographic assumptions, the probability that employees will leave before retirement age, salary in\ufb02ation, a discount rate, and the general in\ufb02ation rate. When the value of the plan assets exceeds the amount of the obligation, an asset is recognised if it represents a future economic bene\ufb01t for the Group in the form of a reduction in future contributions or a future partial refund of amounts paid into the plan. The annual expense recognised in the pro\ufb01t and loss account under \u201cSalaries and employee bene\ufb01ts\u201d, with respect to de\ufb01ned-bene\ufb01t plans includes the current service cost (the rights vested by each employee during the period in return for service rendered), the net interests linked to the effect of discounting the net de\ufb01ned-bene\ufb01t liability (asset), the past service cost arising from plan amendments or curtailments, and the effect of any plan settlements. Remeasurements of the net de\ufb01ned-bene\ufb01t liability (asset) are recognised in shareholders\u2019 equity and are never reclassi\ufb01ed to pro\ufb01t or loss. They include actuarial gains and losses, the return on plan assets and any change in the effect of the asset ceiling (excluding amounts included in net interest on the de\ufb01ned-bene\ufb01t liability or asset).1.k SHARE-BASED PAYMENTS Share-based payment transactions are payments based on shares issued by the Group, whether the transaction is settled in the form of equity or cash of which the amount is based on trends in the value of BNP Paribas shares. Stock option and share award plans The expense related to stock option and share award plans is recognised over the vesting period, if the bene\ufb01t is conditional upon the grantee\u2019s continued employment. Stock options and share award expenses are recorded under salary and employee bene\ufb01ts expenses, with a corresponding adjustment to shareholders\u2019 equity. They are calculated on the basis of the overall plan value, determined at the date of grant by the Board of directors. In the absence of any market for these instruments, \ufb01nancial valuation models are used that take into account any performance conditions related to the BNP Paribas share price. The total expense of a plan is determined by multiplying the unit value per option or share awarded by the estimated number of options or shares awarded vested at the end of the vesting period, taking into account the conditions regarding the grantee\u2019s continued employment. The only assumptions revised during the vesting period, and hence resulting in a remeasurement of the expense, are those relating to the probability that employees will leave the Group and those relating to performance conditions that are not linked to the price value of BNP Paribas shares. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 209 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Share price-linked cash-settled deferred compensation plans The expense related to these plans is recognised in the year during which the employee rendered the corresponding services. If the payment of share-based variable compensation is explicitly subject to the employee\u2019s continued presence at the vesting date, the services are presumed to have been rendered during the vesting period and the corresponding compensation expense is recognised on a pro rata basis over that period. The expense is recognised under salary and employee bene\ufb01ts expenses with a corresponding liability in the balance sheet. It is revised to take into account any non-ful\ufb01lment of the continued presence or performance conditions and the change in BNP Paribas share price. If there is no continued presence condition, the expense is not deferred, but recognised immediately with a corresponding liability in the balance sheet. This is then revised on each reporting date until settlement to take into account any performance conditions and the change in the BNP Paribas share price.1.l PROVISIONS RECORDED UNDER LIABILITIES Provisions recorded under liabilities (other than those relating to \ufb01nancial instruments, employee bene\ufb01ts and insurance contracts) mainly relate to restructuring, claims and litigation, \ufb01nes and penalties. A provision is recognised when it is probable that an out\ufb02ow of resources embodying economic bene\ufb01ts will be required to settle an obligation arising from a past event, and a reliable estimate can be made of the amount of the obligation. The amount of such obligations is discounted, where the impact of discounting is material, in order to determine the amount of the provision.1.m CURRENT AND DEFERRED TAX The current income tax charge is determined on the basis of the tax laws and tax rates in force in each country in which the Group operates during the period in which the income is generated. Deferred taxes are recognised when temporary differences arise between the carrying amount of an asset or liability in the balance sheet and its tax base. Deferred tax liabilities are recognised for all taxable temporary differences other than: \u25a0 taxable temporary differences on initial recognition of goodwill; \u25a0 taxable temporary differences on investments in enterprises under the exclusive or joint control of the Group, where the Group is able to control the timing of the reversal of the temporary difference and it is probable that the temporary difference will not reverse in the foreseeable future. Deferred tax assets are recognised for all deductible temporary differences and unused carryforwards of tax losses only to the extent that it is probable that the entity in question will generate future taxable pro\ufb01ts against which these temporary differences and tax losses can be offset. Deferred tax assets and liabilities are measured using the liability method, using the tax rate which is expected to apply to the period when the asset is realised or the liability is settled, based on tax rates and tax laws that have been or will have been enacted by the balance sheet date of that period. They are not discounted. Deferred tax assets and liabilities are offset when they arise within the same tax group, they fall under the jurisdiction of a single tax authority, and there is a legal right to offset. As regards the assessment of uncertainty over income tax treatments, the Group adopts the following approach: \u25a0 the Group assesses whether it is probable that a taxation authority will accept an uncertain tax treatment; \u25a0 any uncertainty shall be re\ufb02ected when determining the taxable pro\ufb01t (loss) by considering either the most likely amount (having the higher probability of occurrence), or the expected value (sum of the probability-weighted amounts). Current and deferred taxes are recognised as tax income or expenses in the pro\ufb01t and loss account, except for those relating to a transaction or an event directly recognised in shareholders\u2019 equity, which are also recognised in shareholders\u2019 equity. This concerns in particular the tax effect of coupons paid on \ufb01nancial instruments issued by the Group and quali\ufb01ed as equity instruments, such as Undated Super Subordinated Notes. When tax credits on revenues from receivables and securities are used to settle corporate income tax payable for the period, the tax credits are recognised on the same line as the income to which they relate. The corresponding tax expense continues to be carried in the pro\ufb01t and loss account under \u201cCorporate income tax\u201d. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 210 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements1.n CASH FLOW STATEMENT The cash and cash equivalents balance is composed of the net balance of cash accounts and accounts with central banks, and the net balance of interbank demand loans and deposits. Changes in cash and cash equivalents related to operating activities re\ufb02ect cash \ufb02ows generated by the Group\u2019s operations, including those relating to \ufb01nancial investments of insurance activities and negotiable certi\ufb01cates of deposit. Changes in cash and cash equivalents related to investing activities re\ufb02ect cash \ufb02ows resulting from acquisitions and disposals of subsidiaries, associates or joint ventures included in the consolidated Group, as well as acquisitions and disposals of property, plant and equipment excluding investment property and property held under operating leases. Changes in cash and cash equivalents related to \ufb01nancing activities re\ufb02ect the cash in\ufb02ows and out\ufb02ows resulting from transactions with shareholders, cash \ufb02ows related to bonds and subordinated debt, and debt securities (excluding negotiable certi\ufb01cates of deposit).1.o USE OF ESTIMATES IN THE PREPARATION OF THE FINANCIAL STATEMENTS Preparation of the \ufb01nancial statements requires managers of core businesses and corporate functions to make assumptions and estimates that are re\ufb02ected in the measurement of income and expense in the pro\ufb01t and loss account and of assets and liabilities in the balance sheet, and in the disclosure of information in the notes to the \ufb01nancial statements. This requires the managers in question to exercise their judgement and to make use of information available at the date of the preparation of the \ufb01nancial statements when making their estimates. The actual future results from operations where managers have made use of estimates may in reality differ signi\ufb01cantly from those estimates, mainly according to market conditions. This may have a material effect on the \ufb01nancial statements. This applies in particular to: \u25a0 the analysis of the cash \ufb02ow criterion for speci\ufb01c \ufb01nancial assets; \u25a0 the measurement of expected credit losses. This applies in particular to the assessment of signi\ufb01cant increase in credit risk, the models and assumptions used to measure expected credit losses, the determination of the different economic scenarios and their weighting; \u25a0 the analysis of renegotiated loans, in order to assess whether they should be maintained on the balance-sheet or derecognised; \u25a0 the assessment of an active market, and the use of internally developed models for the measurement of the fair value of \ufb01nancial instruments not quoted in an active market classi\ufb01ed in \u201cFinancial assets at fair value through equity\u201d, or in \u201cFinancial instruments at fair value through pro\ufb01t or loss\u201d, whether as assets or liabilities, and more generally calculations of the fair value of \ufb01nancial instruments subject to a fair value disclosure requirement; \u25a0 the assumptions applied to assess the sensitivity to each type of market risk of the market value of \ufb01nancial instruments and the sensitivity of these valuations to the main unobservable inputs as disclosed in the notes to the \ufb01nancial statements; \u25a0 the appropriateness of the designation of certain derivative instruments such as cash \ufb02ow hedges, and the measurement of hedge effectiveness; \u25a0 impairment tests performed on intangible assets; \u25a0 the estimation of residual assets values under simple lease agreements. These values are used as a basis for the determination of depreciation as well as any impairment, notably in relation to the effect of environmental considerations on the evaluation of future prices of second-hand vehicles; \u25a0 the deferred tax assets; \u25a0 the estimation of insurance technical reserves and policyholders\u2019 surplus reserves; \u25a0 the measurement of uncertainty over income tax treatments and other provisions for contingencies and charges. In particular, while investigations and litigations are ongoing, it is dif\ufb01cult to foresee their outcome and potential impact. Provision estimation is established by taking into account all available information at the date of the preparation of the \ufb01nancial statements, in particular the nature of the dispute, the underlying facts, the ongoing legal proceedings and court decisions, including those related to similar cases. The Group may also use the opinion of experts and independent legal advisers to exercise its judgement. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 211 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statementsNote 2 NOTES TO THE PROFIT AND LOSS ACCOUNT FOR THE YEAR ENDED 31 DECEMBER 2022 2.a NET INTEREST INCOME The BNP Paribas Group includes in \u201cInterest income\u201d and \u201cInterest expense\u201d all income and expense calculated using the effective interest method (interest, fees and transaction costs) from \ufb01nancial instruments measured at amortised cost and \ufb01nancial instruments measured at fair value through equity. These items also include the interest income and expense of non-trading \ufb01nancial instruments the characteristics of which do not allow for recognition at amortised cost or at fair value through equity, as well as of \ufb01nancial instruments that the Group has designated as at fair value through pro\ufb01t or loss. The change in fair value on \ufb01nancial instruments at fair value through pro\ufb01t or loss (excluding accrued interest) is recognised under \u201cNet gain on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d. Interest income and expense on derivatives accounted for as fair value hedges are included with the revenues generated by the hedged item. Similarly, interest income and expense arising from derivatives used to hedge transactions designated as at fair value through pro\ufb01t or loss is allocated to the same accounts as the interest income and expense relating to the underlying transactions. In the case of a negative interest rates related to loans and receivables or deposits from customers and credit institutions, they are accounted for in interest expense or interest income respectively. In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Income Expense Net Income Expense Net Financial instruments at amortised cost 34,794 (15,507) 19,287 24,122 (7,032) 17,090 Deposits, loans and borrowings 30,749 (11,714) 19,035 21,423 (5,024) 16,399 Repurchase agreements 274 (83) 191 199 (56) 143 Finance leases 1,762 (102) 1,660 1,626 (101) 1,525 Debt securities 2,009 2,009 874 874 Issued debt securities and subordinated debt (3,608) (3,608) (1,851) (1,851) Financial instruments at fair value through equity 738 - 738 851 - 851 Financial instruments at fair value through pro\ufb01t or loss (Trading securities excluded) 59 (279) (220) 36 (163) (127) Cash \ufb02ow hedge instruments 3,025 (1,449) 1,576 1,982 (1,010) 972 Interest rate portfolio hedge instruments 2,466 (2,966) (500) 2,527 (2,031) 496 Lease liabilities - (50) (50) - (44) (44) TOTAL INTEREST INCOME/(EXPENSE) 41,082 (20,251) 20,831 29,518 (10,280) 19,238 Interest income on individually impaired loans amounted to EUR 287 million for the year ended 2022, compared to EUR 331 million for the year ended 2021. The Group subscribed to the TLTRO III (Targeted Longer-Term Re\ufb01nancing Operations) programme, as modi\ufb01ed by the Governing Council of the European Central Bank in March 2020, in December 2020 and in October 2022 (see note 4.g). The Group achieved the lending performance thresholds that enabled it to bene\ufb01t from favourable interest rate conditions applicable for each of the reference period, namely: \u25a0 over the two special interest periods (i.e. from June 2020 to June 2022): the average deposit facility rate (\u201cDFR\u201d) -50 basis points, or -1%; \u25a0 over the next period (i.e. from June 2022 to November 2022): the average of the DFR between the TLTRO III initial date of subscription and 22 November 2022, i.e. for the main draws, -0.36% for the June 2020 tranche and -0.29% for the March 2021 tranche; \u25a0 over the last period (since 23 November 2022): the average of the DFR between 23 November 2022 and the redemption date. The average effective interest rate for the latter period was 1.64% at 31 December 2022. This \ufb02oating interest rate is considered as a market rate since it is applicable to all \ufb01nancial institutions meeting the lending criteria de\ufb01ned by the European Central Bank. The effective interest rate of these \ufb01nancial liabilities is determined for each reference period, its two components (reference rate and margin) being adjustable; it corresponds to the nominal interest rate. The addition of the last interest period in October 2022 is part of the European Central Bank\u2019s monetary policy and is therefore not considered a contractual amendment according to IFRS 9 but a revision of the market rate. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 212 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements2.b COMMISSION INCOME AND EXPENSE In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Income Expense Net Income Expense Net Customer transactions 4,772 (1,172) 3,600 4,489 (1,024) 3,465 Securities and derivatives transactions 2,051 (1,578) 473 2,363 (1,628) 735 Financing and guarantee commitments 1,181 (100) 1,081 1,152 (55) 1,097 Asset management and other services 5,425 (337) 5,088 5,912 (748) 5,164 Others 1,193 (1,257) (64) 1,121 (1,220) (99) COMMISSION INCOME/EXPENSE 14,622 (4,444) 10,178 15,037 (4,675) 10,362 of which net commission income related to trust and similar activities through which the Group holds or invests assets on behalf of clients, trusts, pension and personal risk funds or other institutions 3,248 (268) 2,980 3,333 (357) 2,976 of which commission income and expense on \ufb01nancial instruments not measured at fair value through pro\ufb01t or loss 3,048 (370) 2,678 3,129 (337) 2,7922.c NET GAIN ON FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH PROFIT OR LOSS Net gain on \ufb01nancial instruments measured at fair value through pro\ufb01t or loss includes all pro\ufb01t and loss items relating to \ufb01nancial instruments held for trading, \ufb01nancial instruments that the Group has designated as at fair value through pro\ufb01t or loss, non-trading equity instruments that the Group did not choose to measure at fair value through equity, as well as debt instruments whose cash \ufb02ows are not solely repayments of principal and interest on the principal or whose business model is not to collect cash \ufb02ows nor to collect cash \ufb02ows and sell the assets. These income items include dividends on these instruments and exclude interest income and expense from \ufb01nancial instruments designated as at fair value through pro\ufb01t or loss and instruments whose cash \ufb02ows are not only repayments of principal and interest on the principal or whose business model is not to collect cash \ufb02ows nor to collect cash \ufb02ows and sell the assets, which are presented in \u201cNet interest income\u201d (note 2.a). In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Financial instruments held for trading (2,017) 6,293 Interest rate and credit instruments (6,014) (2,633) Equity \ufb01nancial instruments (3,268) 5,641 Foreign exchange \ufb01nancial instruments 5,898 2,317 Loans and repurchase agreements (1,320) (116) Other \ufb01nancial instruments 2,687 1,084 Financial instruments designated as at fair value through pro\ufb01t or loss 11,328 281 Other \ufb01nancial instruments at fair value through pro\ufb01t or loss 143 956 Impact of hedge accounting (96) 85 Fair value hedging derivatives (9,123) (2,445) Hedged items in fair value hedge 9,027 2,530 NET GAIN ON FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH PROFIT OR LOSS 9,358 7,615 Gains and losses on \ufb01nancial instruments designated as at fair value through pro\ufb01t or loss are mainly related to instruments for which changes in value may be compensated by changes in the value of economic hedging derivative \ufb01nancial instruments held for trading. Net gain on \ufb01nancial instruments held for trading in 2022 and 2021 includes a non-material amount related to the ineffective portion of cash \ufb02ow hedges. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 213 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Potential sources of ineffectiveness can be the differences between hedging instruments and hedged items, notably generated by mismatches in the terms of hedged and hedging instruments, such as the frequency and timing of interest rates resetting, the frequency of payments and the discounting factors, or when hedging derivatives have a non-zero fair value at the inception date of the hedging relationship. Credit valuation adjustments applied to hedging derivatives are also sources of ineffectiveness. Cumulated changes in fair value related to discontinued cash \ufb02ow hedge relationships, previously recognised in equity and included in 2022 in pro\ufb01t and loss accounts are not material, whether the hedged item ceased to exist or not.2.d NET GAIN ON FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH EQUITY In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Net gain on debt instruments 9 58 Dividend income on equity instruments 129 106 NET GAIN ON FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH EQUITY 138 164 Interest income from debt instruments is included in note 2.a Net interest income, and impairment losses related to potential issuer default are included in note 2.h Cost of risk.2.e NET INCOME FROM INSURANCE ACTIVITIES In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Premiums earned 25,810 27,619 Net gain from investment contracts with discretionary participation feature and other services 30 12 Net income from \ufb01nancial investments (9,280) 14,503 Technical charges related to contracts (10,008) (35,848) Net charges from ceded reinsurance (405) (215) External services expenses (1,851) (1,739) NET INCOME FROM INSURANCE ACTIVITIES 4,296 4,332 \u27a4 NET INCOME FROM FINANCIAL INVESTMENTS In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Net gain on available-for-sale \ufb01nancial assets 1,975 3,082 Interest income and dividends 2,770 2,634 Additions to impairment provisions (57) (10) Net disposal gains (738) 458 Net gain on \ufb01nancial instruments at fair value through pro\ufb01t or loss (11,359) 11,163 Net gain on \ufb01nancial instruments at amortised cost 78 118 Investment property income 45 142 Share of earnings of equity-method investments (4) 1 Other expense (15) (3) NET INCOME FROM FINANCIAL INVESTMENTS (9,280) 14,503 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 214 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements2.f NET INCOME FROM OTHER ACTIVITIES In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Income Expense Net Income Expense Net Net income from investment property 58 (30) 28 103 (43) 60 Net income from assets held under operating leases 13,134 (10,365) 2,769 12,426 (10,525) 1,901 Net income from property development activities 773 (653) 120 988 (777) 211 Other net income 1,736 (1,782) (46) 1,965 (2,084) (119) TOTAL NET INCOME FROM OTHER ACTIVITIES 15,701 (12,830) 2,871 15,482 (13,429) 2,0532.g OTHER OPERATING EXPENSES In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 External services and other operating expenses (9,191) (8,712) Taxes and contributions (1) (2,505) (1,993) TOTAL OTHER OPERATING EXPENSES (11,696) (10,705) (1) Contributions to European the resolution fund, including exceptional contributions, amount to EUR 1,256 million for the year ended 2022 compared with EUR 967 million for the year ended 2021.2.h COST OF RISK The general model for impairment described in note 1.e.5 used by the Group relies on the following two steps: \u25a0 assessing whether there has been a signi\ufb01cant increase in credit risk since initial recognition; and \u25a0 measuring impairment allowance as either 12-month expected credit losses or lifetime expected credit loss (i.e. loss expected at maturity). Both steps rely on forward-looking information. Significant increase in credit risk At 31 December 2022, BNP Paribas revised its criteria for assessing the signi\ufb01cant increase in credit risk in line with the recommendations issued by the European Banking Authority and the European Central Bank. Previously, except for the consumer credit specialist business, the credit risk deterioration was mainly evaluated based on changes in the internal credit rating, an indicator of the average 1-year probability of default through the cycle. In order to fully consider forward-looking information, the new criteria use the probability of default to maturity, which is derived from the internal rating, incorporating the expected consequences of changes in macroeconomic scenarios, as the main indicator. Under these new criteria, credit risk is assumed to have signi\ufb01cantly increased, and the asset is classi\ufb01ed in stage 2, if the probability of default to maturity of the instrument has increased at least threefold since its origination. This relative variation criterion is supplemented by an absolute variation criterion of the default probability of 400 basis points. Furthermore, for all portfolios (except for the consumer credit specialist business): \u25a0 the facility is assumed to be in stage 1 when its 1-year \u201cPoint in Time\u201d probability of default (PiT PD) is below 0.3% at the reporting date, since changes in probability of default due to credit downgrades in this zone are not material, and therefore not considered \u201csigni\ufb01cant\u201d; \u25a0 when the 1-year PiT PD is greater than 20% at the reporting date, given the Group\u2019s credit issuance practices, the deterioration is considered signi\ufb01cant, and the facility is classi\ufb01ed in stage 2 (as long as the facility is not credit-impaired). In the consumer credit specialist business, the existence of a potentially regularised payment incident during the last 12 months is considered to be an indication of signi\ufb01cant increase in credit risk and the facility is therefore classi\ufb01ed in stage 2. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 215 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The table below shows a comparison between the previous and the new criteria for assessing the signi\ufb01cant increase in credit risk: Previous criteria Retail Small and Medium Entreprises Large Corporates * Probability of default through the cycle. ** \"Point in Time\" (PiT) probability of default including forward-looking. One year probability of default * < 0.25% Stage 1 presumption Rating \u2264 4- One year PiT probability of default ** < 0.3% Deterioration from origination leading to transfer to stage 2 Rating downgrade \u2265 6 notches Rating downgrade \u2265 3 notches One year probability of default > 10% Stage 2 presumption Rating \u2265 9+ One year PiT probability of default > 20% One year probability of default One year probability of default at origination Rating downgrade \u2265 6 notches > 4 or Lifetime PiT probability of default Lifetime PiT probability of default at origination Variation of lifetime PiT probability of default since origination > 400 bps > 3 or New criteria Credit risk is assumed to have increased signi\ufb01cantly since initial recognition and the asset is classi\ufb01ed in stage 2 in the event of late payment of more than 30 days or restructuring due to \ufb01nancial dif\ufb01culties (as long as the facility is not credit-impaired). In the \ufb01rst half of 2022, the internal ratings of the Russian counterparties (including the sovereign rating) were systematically downgraded to take into account recent events, thus leading to the transfer of their outstandings to stage 2. However, given the Group\u2019s limited level of exposure to this country, this deterioration had no signi\ufb01cant effect on the cost of risk for the period. Forward-Looking Information The Group considers forward-looking information both when assessing signi\ufb01cant increase in credit risk and when measuring Expected Credit Losses (ECL). Regarding the measurement of expected credit losses, the Group has chosen to use 3 macroeconomic scenarios by geographic area covering a wide range of potential future economic conditions: \u25a0 a baseline scenario, consistent with the scenario used for budgeting; \u25a0 an adverse scenario, corresponding to the scenario used for the Group\u2019s quarterly stress tests; \u25a0 a favourable scenario, capturing situations where the economy performs better than anticipated. The link between the macroeconomic scenarios and the ECL measurement is mainly achieved through a modelling of the probabilities of default and deformation of migration matrices based on internal rating (or risk parameter). The probabilities of default determined according to these scenarios are used to measure expected credit losses in each of these scenarios. The Group\u2019s setup is broken down by sector to take into account the heterogeneity of sectoral dynamics when assessing the probability of default for corporates. Forward-looking information is also considered when determining the signi\ufb01cant deterioration in credit risk, since the probabilities of default used as the basis for this assessment include forward-looking multi-scenario information in the same way as for the calculation of the ECL. The weight to be attributed to the expected credit losses calculated in each of the scenarios is de\ufb01ned as 50% for the baseline scenario, and: \u25a0 the weight of the two alternative scenarios is de\ufb01ned according to the position in the credit cycle. In this approach, the adverse scenario carries more weight in situations at the upper end of the cycle than those at the lower end of the cycle, in anticipation of a potential downturn in the economy; \u25a0 the minimum weight of each the alternative scenarios is 10% and therefore the maximum weight is 40%. When appropriate, the ECL measurement can take into account asset sale scenarios. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 216 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Macroeconomic scenarios The three macroeconomic scenarios are de\ufb01ned over a three-year projection horizon. They correspond to: \u25a0 a baseline scenario, which describes the most likely path of the economy over the projection horizon. This scenario is updated on a quarterly basis and is prepared by the Group Economic Research Department in collaboration with various experts within the Group. Projections are designed for each key market of the Group (France, Belgium, Italy, the United States and the eurozone) using key macroeconomic variables (Gross Domestic Product \u2013 GDP \u2013 and its components, unemployment rate, consumer prices, interest rates, foreign exchange rates, oil prices, real estate prices, etc.) which are key drivers for modeling risk parameters used in the stress test process; \u25a0 an adverse scenario, which describes the impact of the materialisation of some of the risks weighing on the baseline scenario, resulting in a much less favourable economic path than in the baseline scenario. The GDP shock is applied with varying magnitudes, but simultaneously, to the economies under consideration. Generally, these assumptions are broadly consistent with those proposed by the regulators. The calibration of shocks on other variables (e.g. unemployment, consumer prices, interest rates, etc.) is based on models and expert judgment; \u25a0 a favourable scenario, which re\ufb02ects the impact of the materialisation of some of the upside risks for the economy, resulting in a more favourable economic path. The favourable shock on GDP is deducted from the adverse shock on GDP in such a way that the probabilities of the two shocks are equal on average over the cycle. Other variables (e.g. unemployment, in\ufb02ation, interest rates, etc.) are de\ufb01ned in the same way as in the adverse scenario. Since June 2021, the favourable shocks applied have been substantially reduced, as any stronger path than in the baseline scenario could be limited by supply side constraints. The link between the macroeconomic scenarios and the measurement of the ECL is complemented by an approach allowing to take into account anticipation aspects not captured by the models in the generic approach. This is particularly the case when unprecedented events in the historical chronicle taken into account to build the models occur or are anticipated, or when the nature or amplitude of change in macroeconomic parameter calls into question past correlations. Thus, the situation of high in\ufb02ation and the current and projected increase in interest rates correspond to aspects not observed in the reference history. In this context, the Group has developed an approach to take into account the future economic outlook when assessing the \ufb01nancial strength of counterparties. This approach consists in simulating the impact of rate hikes on their \ufb01nancial ratios and the effect on their ratings. In addition, post-model adjustments are considered to take into account, where applicable, the consequences of climatic events on expected credit losses. Baseline scenario Several major developments have contributed to a more marked deterioration than anticipated (after a rebound year in 2021), in both Europe and the United States. Beyond the humanitarian aspects, the consequences of the invasion of Ukraine have had a number of adverse economic effects, the \ufb01rst of which is to contribute to raising in\ufb02ation to very high levels due to severe disruptions in energy and food markets. European countries have been particularly affected from this point of view. In response to expected in\ufb02ation levels, central banks have carried out the most severe monetary tightening in decades, leading to a sharp tightening of \ufb01nancial conditions, which in turn penalise activity. Finally, the health crisis has continued to strongly disrupt activity in some countries, particularly in Asia, where there is less vaccine protection or stricter measures to contain the health crisis. Faced with these combined energy and monetary shocks, activity is expected to contract in a number of economies (including the eurozone and the United States) in late 2022 and early 2023, leading to substantial downward revisions to growth projections for 2023. Activity is expected to stagnate in both the eurozone and the United States in 2023 (while, at 30 June 2022, GDP was expected to grow by around 1.5% in both regions). Activity growth is generally expected to rebound in 2024 and 2025. After reaching very high levels in late 2022, in\ufb02ation is expected to moderate in the course of 2023, mainly due to lower energy in\ufb02ation and to the consequences of the slowdown in activity (e.g. higher unemployment, more limited supply chain disruptions). However, on an annual average, in\ufb02ation will remain very high in 2023 in many countries, signi\ufb01cantly exceeding central bank targets in most cases (notably in Europe and in the United States). In\ufb02ation is expected to come down to more usual levels in 2024 and 2025. In this context, major central banks have so far prioritised the \ufb01ght against in\ufb02ation by tightening monetary policy. By the end of 2022, both short- term and long-term interest rates were at much higher levels than those observed in the past ten years, even though the central banks have not yet completed their tightening cycle. Key interest rates are expected to peak in 2023, before moderating in 2024 and 2025 (when the central banks are expected to lower policy rates in line with more moderate in\ufb02ation). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 217 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The graph below presents a comparison of eurozone GDP projections used in the baseline scenario for the calculation of ECLs at 31 December 2021 and 2022. \u27a4 EUROZONE GDP: INDEX BASE 100 AT THE FOURTH QUARTER OF 2019 85 90 95 100 105 110 GDP index Dec-22 Dec-23 Dec-24 Dec-21 Dec-20 Dec-19 Dec-18 Baseline scenario at 31 December 2022 Baseline scenario at 31 December 2021 \u27a4 MACROECONOMIC VARIABLES, BASELINE SCENARIO AT 31 DECEMBER 2022 (annual averages) 2022 2023 2024 2025 GDP growth rate Eurozone 3.2% 0.1% 1.6% 1.3% France 2.5% 0.1% 1.4% 1.2% Italy 3.7% -0.2% 1.1% 0.9% Belgium 2.3% 0.0% 1.5% 1.2% United States 1.7% 0.0% 1.7% 1.6% Unemployment rate Eurozone 6.8% 7.5% 7.6% 7.3% France 7.5% 8.0% 8.1% 7.9% Italy 8.1% 8.6% 8.4% 8.3% Belgium 5.8% 6.4% 6.3% 6.1% United States 3.7% 4.7% 4.6% 4.5% In\ufb02ation rate Eurozone 8.5% 6.3% 2.4% 2.0% France 6.0% 5.4% 2.5% 2.0% Italy 8.7% 7.3% 2.1% 1.7% Belgium 10.6% 7.5% 2.7% 2.2% United States 8.1% 3.9% 2.3% 2.2% 10-year sovereign bond yields Germany 1.22% 2.64% 2.19% 2.00% France 1.76% 3.19% 2.74% 2.55% Italy 3.18% 4.94% 4.49% 4.30% Belgium 1.76% 3.24% 2.79% 2.60% United States 3.02% 4.24% 3.44% 3.25% 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 218 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Adverse Scenario The adverse scenario is based on the assumption that certain downside risks will materialise, resulting in a much less favourable economic path than in the baseline scenario. The following risks are identi\ufb01ed: \u25a0 A dominant risk, the invasion of Ukraine and its implications (especially higher in\ufb02ation): the impacts mentioned in the baseline scenario could worsen due to additional negative developments. In particular, the adverse scenario assumes a more pronounced shock on commodity prices, further fueling in\ufb02ation and leading to more severe disruptions in activity. Higher in\ufb02ation would have a direct negative effect on consumption and production. In addition, governments of the most exposed economies could take rationing measures targeting the most energy-intensive sectors (with potential indirect consequences for other sectors). Activity can also be negatively affected by other channels (e.g. supply chain disruptions, trade, \ufb01nancial stress, uncertainty and con\ufb01dence effects). \u25a0 The remaining risk related to the health crisis: although the link between health challenges and economic disruptions has eased markedly in many economies, particularly thanks to vaccination, health crisis-related challenges remain a signi\ufb01cant risk, at least in some countries. \u25a0 Less favourable public finances: public debt-to-GDP ratios are high and central banks are tightening their monetary policy, leading to a rise in bond yields that could generate tensions in some countries due to the widening of spreads between sovereign bonds. \u25a0 China\u2019s economy-related risks: additional dif\ufb01culties in China (e.g. sanitary measures, real estate) could affect global markets and activity in other countries through trade and supply-chain channels. \u25a0 Geopolitical risks: geopolitical tensions can weigh on the global economy through shocks to commodity prices, \ufb01nancial markets and business con\ufb01dence. Beyond the invasion of Ukraine, other regions are also worth to be monitored (Asia and the Middle East). \u25a0 Developments in trade and globalisation: the invasion of Ukraine creates additional obstacles to trade and globalisation, adding to already negative developments of recent years (trade disagreements between the United States and China, willingness of some western governments to become more self-suf\ufb01cient in certain strategic areas). The adverse scenario assumes the materialisation of these identi\ufb01ed latent risks from the \ufb01rst quarter of 2023. The risks related to the invasion of Ukraine are taken into account in the adverse scenario through some speci\ufb01cities. First, an additional activity shock is applied to the different economies, depending on their perceived exposure to this situation. This shock re\ufb02ects the countries\u2019 dependence on Russian gas as well as their vulnerability to other transmission channels (exports, dependence on the supply chain, weight of food and energy in in\ufb02ation, investment links, political ties with Russia). Second, in\ufb02ation is higher in the adverse scenario than in the baseline scenario in the \ufb01rst year of the projection horizon, in order to materialise the speci\ufb01c effects of this crisis in this area (re\ufb02ecting more upward pressure on commodity prices and supply chain disruptions). Among the countries considered, GDP levels in the adverse scenario stand between 5.8% and 12.2% lower than in the baseline scenario at the end of the shock period (three years). In particular, this deviation reaches 10.2% on average in the eurozone and 5.8% in the United States. Scenario weighting and cost of risk sensitivity At 31 December 2022, the weight of the adverse scenario considered by the Group was 16% and 34% for the favourable scenario. At 31 December 2021, the weight of the adverse scenario was on average equivalent to that of the favourable scenario. The sensitivity of the amount of expected credit losses for all \ufb01nancial assets at amortised cost or at fair value through equity and credit commitments is assessed by comparing the estimated expected credit losses resulting from the weighting of the above scenarios with that resulting from each of the two alternative scenarios: \u25a0 an increase in ECL of 22%, or EUR 1,250 million according to the adverse scenario (18% at 31 December 2021); \u25a0 a decrease in ECL of 7%, or EUR 400 million according to the favourable scenario (12% at 31 December 2021). Adaptation of the ECL assessment process to factor in the specific nature of the health crisis Macroeconomic scenarios provisioning the models The measurement of the impact of macroeconomic scenarios on expected credit losses was adjusted to re\ufb02ect the speci\ufb01cities of the current health crisis. Given the exceptional nature of the shock linked to the temporary lockdown measures and strong support provided by governments and central banks, macroeconomic parameters for each country or geographic area included in the pre-existing models (calibrated on past crises) were adapted in order to extract information on the medium-term impacts on the macroeconomic environment and thus minimise excessive short-term volatility. In 2020, the medium-term perspective adopted for the baseline scenario reduced the loss of income for the eurozone by an amount much lower than that of governments and European Central Bank support measures. Conversely, it moderated the favourable impacts of the economic rebounds observed in 2021. This adaptation ended in 2021. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 219 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Moratoria and state guarantees For the loans secured by a state guarantee (mainly in France and Italy), the calculation of expected credit losses is adjusted accordingly. The absence of a general maturity extension scheme for individuals, notably in France, led to classify as forborne the loans that bene\ufb01ted from accompanying measures that were not initially provided for under the contract. However, these measures were not considered as an automatic criterion for transfer to stage 2. Post-model adjustments Conservative adjustments were taken into account when the models used were based on indicators that show unusual levels in the context of the health crisis and the support programmes, such as the increase in deposits and the decrease in past due events for retail customers and entrepreneurs. For the consumer credit specialist business, a conservative adjustment had been considered in 2020 for loans that bene\ufb01tted from a moratorium. In 2021, this adjustment was reversed in connection with the satisfactory return to payment observed on these loans. However, a conservative adjustment was made to compensate for the atypical level of late payments. These post-model adjustments were reversed in 2022. Adaptation of the ECL assessment process to factor in the significant rise in inflation and in interest rates Additional adjustments were made in 2022 to take into account the effects of in\ufb02ation and interest rate hikes when this effect is not directly estimated by the models. For example, within the consumer credit specialist business, adjustments were considered for the categories of customers most sensitive to the gradual decline in the level of their net income. All of these adjustments represent 6.1% of the total amount of expected credit losses at 31 December 2022, compared to 4.8% at 31 December 2021. \u27a4 COST OF CREDIT RISK FOR THE PERIOD In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Net allowances to impairment (2,444) (2,591) Recoveries on loans and receivables previously written off 343 321 Losses on irrecoverable loans (714) (701) Act on assistance to borrowers in Poland (189) TOTAL COST OF RISK FOR THE PERIOD (3,004) (2,971) \u27a4 COST OF RISK FOR THE PERIOD BY ACCOUNTING CATEGORY AND ASSET TYPE In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Cash and balances at central banks (6) (8) Financial instruments at fair value through pro\ufb01t or loss (28) 6 Financial assets at fair value through equity 14 (6) Financial assets at amortised cost (2,853) (2,779) Loans and receivables (2,845) (2,763) Debt securities (8) (16) Other assets (17) 12 Financing and guarantee commitments and other items (114) (196) TOTAL COST OF RISK FOR THE PERIOD (3,004) (2,971) Cost of risk on unimpaired assets and commitments (570) (17) of which stage 1 (511) 268 of which stage 2 (59) (285) Cost of risk on impaired assets and commitments \u2013 stage 3 (2,434) (2,954) 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 220 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 CREDIT RISK IMPAIRMENT Changes in impairment by accounting category and asset type during the period In millions of euros 31 December 2021 Net allowance to impairment Impairment provisions used Changes in scope, exchange rates and other items 31 December 2022 Assets impairment Amounts due from central banks 18 5 (2) 21 Financial instruments at fair value through pro\ufb01t or loss 121 15 (28) 108 Financial assets at fair value through equity 140 (14) 4 130 Financial assets at amortised cost 20,196 2,374 (4,187) 128 18,511 Loans and receivables 20,028 2,329 (4,106) 130 18,381 Debt securities 168 45 (81) (2) 130 Other assets 59 (6) (3) (5) 45 Total impairment of \ufb01nancial assets 20,534 2,374 (4,190) 97 18,815 of which stage 1 1,891 223 (4) (36) 2,074 of which stage 2 2,748 87 (3) 49 2,881 of which stage 3 15,895 2,064 (4,183) 84 13,860 Provisions recognised as liabilities Provisions for commitments 958 32 (15) 5 980 Other provisions 467 38 (56) 1 450 Total provisions recognised for credit commitments 1,425 70 (71) 6 1,430 of which stage 1 230 94 2 326 of which stage 2 374 (33) (3) 338 of which stage 3 821 9 (71) 7 766 TOTAL IMPAIRMENT AND PROVISIONS 21,959 2,444 (4,261) 103 20,245 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 221 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Change in impairment by accounting category and asset type during the previous period In millions of euros 31 December 2020 Net allowance to impairment Impairment provisions used Changes in scope, exchange rates and other items 31 December 2021 Assets impairment Amounts due from central banks 17 9 (8) 18 Financial instruments at fair value through pro\ufb01t or loss 148 (20) (7) 121 Financial assets at fair value through equity 132 6 2 140 Financial assets at amortised cost 21,704 2,438 (3,867) (79) 20,196 Loans and receivables 21,546 2,421 (3,867) (72) 20,028 Debt securities 158 17 (7) 168 Other assets 104 (15) (29) (1) 59 Total impairment of \ufb01nancial assets 22,105 2,418 (3,896) (93) 20,534 of which stage 1 2,379 (219) (8) (261) 1,891 of which stage 2 3,166 176 (6) (588) 2,748 of which stage 3 16,560 2,461 (3,882) 756 15,895 Provisions recognised as liabilities Provisions for commitments 964 60 (1) (65) 958 Other provisions 383 113 (52) 23 467 Total provisions recognised for credit commitments 1,347 173 (53) (42) 1,425 of which stage 1 319 (55) (34) 230 of which stage 2 297 100 (23) 374 of which stage 3 731 128 (53) 15 821 TOTAL IMPAIRMENT AND PROVISIONS 23,452 2,591 (3,949) (135) 21,959 Changes in impairment of \ufb01nancial assets at amortised cost during the period In millions of euros Impairment on assets subject to 12-month Expected Credit Losses (Stage 1) Impairment on assets subject to lifetime Expected Credit Losses (Stage 2) Impairment on doubtful assets (Stage 3) Total At 31 December 2021 1,867 2,714 15,615 20,196 Net allowance to impairment 211 102 2,061 2,374 Financial assets purchased or originated during the period 682 234 916 Financial assets derecognised during the period (1) (390) (388) (822) (1,600) Transfer to stage 2 (133) 1,773 (212) 1,428 Transfer to stage 3 (65) (665) 1,806 1,076 Transfer to stage 1 63 (502) (36) (475) Change in the signi\ufb01cant increase in credit risk assessment criteria 29 (280) (251) Other allowances/reversals without stage transfer (2) 25 (70) 1,325 1,280 Impairment provisions used (3) (3) (4,181) (4,187) Changes in exchange rates (6) (30) 104 68 Changes in scope of consolidation and other items (34) 77 17 60 At 31 December 2022 2,035 2,860 13,616 18,511 (1) Including disposals. (2) Including amortisation. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 222 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In 2022, the increase in \ufb01nancial assets subject to impairment relates mainly to outstandings classi\ufb01ed in stage 1. Thus, the gross value of loans and advances to customers classi\ufb01ed in stage 1 increased by EUR 61 billion compared to 31 December 2021 (see note 4.e Financial assets at amortised cost). This change includes transfers of outstandings from stage 2 to stage 1 for a net amount of EUR 27 billion as a result of the change in the criteria used to assess the signi\ufb01cant increase in credit risk, mainly within the French and Belgian Commercial & Personal Banking activities. This transfer mainly concerns the least risky outstandings among those previously classi\ufb01ed in stage 2 (see section 5.4 Credit risk of the Universal registration document, Table 52: Breakdown of \ufb01nancial assets subject to impairment by stage and internal rating). The impact of this transfer on the amount of expected credit losses is a net reversal of provision of EUR 251 million. Excluding the effect of this change in estimate, outstandings in stage 2 increased by EUR 10 billion during the year ended 31 December 2022. This development is closely linked to the deterioration of the economic environment that weighed on the assessment of the signi\ufb01cant increase in credit risk criterion. These combined effects led to net additions to impairment in stages 1 and 2 in 2022. The provisioning rate for loans and advances to customers classi\ufb01ed in stage 2 increased to 3.2% at 31 December 2022, compared with 2.6% at 31 December 2021. Changes in impairment of \ufb01nancial assets at amortised cost during the previous period In millions of euros Impairment on assets subject to 12-month Expected Credit Losses (Stage 1) Impairment on assets subject to lifetime Expected Credit Losses (Stage 2) Impairment on doubtful assets (Stage 3) Total At 31 December 2020 2,343 3,142 16,219 21,704 Net allowance to impairment (216) 168 2,486 2,438 Financial assets purchased or originated during the period 608 242 850 Financial assets derecognised during the period (1) (353) (295) (896) (1,544) Transfer to stage 2 (190) 1,726 (393) 1,143 Transfer to stage 3 (22) (598) 1,837 1,217 Transfer to stage 1 117 (724) (45) (652) Other allowances/reversals without stage transfer (2) (376) (183) 1,983 1,424 Impairment provisions used (8) (6) (3,853) (3,867) Changes in exchange rates (1) (32) 95 62 Changes in scope of consolidation and other items (28) (355) 739 356 Reclassi\ufb01cation of assets held for sale (223) (203) (71) (497) At 31 December 2021 1,867 2,714 15,615 20,196 (1) Including disposals. (2) Including amortisation.2.i NET GAIN ON NON-CURRENT ASSETS In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Gain or loss on investments in consolidated undertakings (note 6.c) (257) 355 Gain or loss on tangible and intangible assets 7 479 Results from net monetary position (3) Net gain on non-current assets (253) 834 According to IAS 29 in connection with the hyperin\ufb02ation situation of the economy in T\u00fcrkiye, the line \u201cResults from net monetary positions\u201d mainly includes the effect of the evolution of the consumer price index in T\u00fcrkiye on the valuation of non-monetary assets and liabilities (-EUR 434 million) and on accrued income from the Turkish government bonds portfolio indexed to in\ufb02ation and held by Turk Ekonomi Bankasi AS (+EUR 431 million, reclassi\ufb01ed from interest margin). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 223 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements2.j CORPORATE INCOME TAX Reconciliation of the effective tax expense to the theoretical tax expense at standard tax rate in France Year to 31 Dec. 2022 Year to 31 Dec. 2021 in millions of euros tax rate in millions of euros tax rate Corporate income tax expense on pre-tax income at standard tax rate in France (1) (3,275) 25.8% (3,454) 28.4% Impact of differently taxed foreign pro\ufb01ts (61) 0.5% 201 -1.7% Impact of dividends and disposals taxed at reduced rate 54 -0.4% 153 -1.3% Impact of the non-deductibility of taxes and bank levies (2) (300) 2.4% (253) 2.1% Other items (134) 1.0% (231) 2.0% Corporate income tax expense from continuing activities (3,716) 29.3% (3,584) 29.5% Current tax expense for the year to 31 December (2,844) (2,806) Deferred tax expense for the year to 31 December (note 4.k) (872) (778) (1) Restated for the share of pro\ufb01ts in equity-method entities and goodwill impairment. (2) Contribution to the Single Resolution Fund and other non-deductible banking taxes.Note 3 SEGMENT INFORMATION The Group is composed of three operating divisions: \u25a0 Corporate & Institutional Banking (CIB) which covers Global Banking, Global Markets and Securities Services; \u25a0 Commercial, Personal Banking & Services (CPBS) which covers Commercial & Personal Banking in the eurozone, with Commercial & Personal Banking in France (CPBF), Commercial & Personal Banking in Italy (BNL bc), Commercial & Personal Banking in Belgium (CPBB) and Commercial & Personal Banking in Luxembourg (CPBL); Commercial & Personal Banking outside the eurozone, which is organised around Europe-Mediterranean, to cover Central and Eastern Europe and T\u00fcrkiye, and BancWest in the United States. Lastly, it also covers specialised businesses, (Arval, BNP Paribas Leasing Solutions, BNP Paribas Personal Finance, BNP Paribas Personal Investors and New digital business lines like Nickel, Floa, Lyf); \u25a0 Investment & Protection Services (IPS) which covers Insurance (BNP Paribas Cardif), Wealth and Asset Management (BNP Paribas Asset Management, BNP Paribas Wealth Management and BNP Paribas Real Estate), Management of the BNP Paribas Group\u2019s portfolio of unlisted and listed industrial and commercial investments (BNP Paribas Principal Investments). Other activities mainly include activities related to the Group\u2019s central treasury function, some costs related to cross-business projects, the residential mortgage lending business of Personal Finance (a signi\ufb01cant part of which is managed in run-off), and certain investments. They also include non-recurring items resulting from applying the rules on business combinations. In order to provide consistent and relevant economic information for each core business, the impact of amortising fair value adjustments recognised in the net equity of entities acquired and restructuring costs incurred in respect to the integration of entities, have been allocated to the \u201cOther Activities\u201d segment. The same applies to transformation, adaptation and IT reinforcement costs relating to the Group\u2019s savings programmes. Inter-segment transactions are conducted at arm\u2019s length. The segment information presented comprises agreed inter-segment transfer prices. The capital allocation is carried out on the basis of risk exposure, taking into account various conventions relating primarily to the capital requirement of the business as derived from the risk-weighted asset calculations required under capital adequacy rules. Normalised equity income by segment is determined by attributing to each segment the income of its allocated equity. The equity allocation to segments is based on a minimum of 11% of weighted assets. The breakdown of balance sheet by core business follows the same rules as the breakdown of the pro\ufb01t or loss by core business. To provide a consistent reference with the presentation of the 2022 \ufb01nancial statements, the year ended 31 December 2021 of this note was restated for the following effects as if they had occurred on 1 January 2021: \u25a0 the new organisation of the Group; \u25a0 the change in method of internal allocation of the contribution to the Single Resolution Fund (SRF), impacting the breakdown among business lines of the banking taxes and contributions submitted to IFRIC 21. The Group has de\ufb01ned a new allocation key for the SRF between the businesses to better re\ufb02ect the increased liquidity resources generated by commercial activity and the changing regulatory environment; \u25a0 limited internal transfers of activities and results, having marginal impact on the vision with 2/3 of Private Banking in the Commercial, Personal Banking in France and in Belgium. These effects do not change the results for the Group as a whole but only the analytical breakdown. The information and \ufb01nancial elements contained in this note re\ufb02ect an operational view and include BancWest\u2019s activity within the various income statement aggregates. A separate line reconciles the operational view with the one impacted by the application of IFRS 5. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 224 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 INCOME BY BUSINESS SEGMENT In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Revenues Operating expenses Cost of risk Operating income Non-operating items Pre-tax income Revenues Operating expenses Cost of risk Operating income Non- operating items Pre-tax income Corporate & Institutional Banking 16,465 (10,753) (325) 5,387 10 5,398 14,236 (9,467) (173) 4,596 58 4,654 Global Banking 5,218 (2,878) (336) 2,004 4 2,009 5,087 (2,652) (201) 2,234 11 2,246 Global Markets 8,660 (5,806) 11 2,866 4 2,870 6,820 (4,924) 27 1,923 19 1,942 Securities Services 2,587 (2,069) 517 2 519 2,329 (1,892) 1 439 27 466 Commercial, Personal Banking & Services 27,563 (17,518) (2,458) 7,586 414 8,000 25,216 (16,523) (2,586) 6,106 340 6,447 Commercial & Personal Banking in the eurozone 12,948 (8,976) (726) 3,246 42 3,288 12,303 (8,659) (1,018) 2,626 56 2,682 Commercial & Personal Banking in France (1) 6,361 (4,530) (245) 1,587 26 1,613 5,966 (4,395) (428) 1,144 37 1,181 BNL banca commerciale (1) 2,548 (1,676) (464) 408 3 410 2,591 (1,726) (488) 377 377 Commercial & Personal Banking in Belgium (1) 3,577 (2,502) (36) 1,039 10 1,049 3,332 (2,277) (100) 954 19 973 Commercial & Personal Banking in Luxembourg (1) 461 (268) 19 213 3 216 414 (262) (2) 150 150 Commercial & Personal Banking in the rest of the world 4,953 (3,655) (113) 1,185 292 1,477 4,286 (3,255) (99) 932 201 1,133 Europe-Mediterranean (1) 2,321 (1,641) (152) 528 289 817 1,926 (1,598) (145) 182 181 364 BancWest (1) 2,632 (2,014) 39 657 4 660 2,361 (1,656) 45 750 19 769 Specialised businesses 9,662 (4,888) (1,619) 3,155 80 3,235 8,627 (4,609) (1,469) 2,549 84 2,632 Personal Finance 5,387 (2,922) (1,373) 1,092 28 1,121 5,216 (2,804) (1,314) 1,097 78 1,175 Arval & Leasing Solutions 3,438 (1,395) (146) 1,897 60 1,957 2,675 (1,298) (150) 1,227 8 1,235 New Digital Businesses & Personal Investors (1) 837 (571) (100) 166 (9) 157 735 (506) (5) 224 (2) 222 Investment & Protections Services 6,670 (4,363) 3 2,309 310 2,620 6,476 (4,218) (7) 2,251 249 2,499 Insurance 2,774 (1,558) (2) 1,214 161 1,376 2,827 (1,536) (1) 1,289 79 1,368 Wealth Management 1,612 (1,230) 3 385 39 424 1,476 (1,134) (10) 332 1 333 Asset Management (2) 2,284 (1,576) 2 710 110 820 2,173 (1,548) 5 630 168 798 Other Activities (279) (1,067) (185) (1,531) (36) (1,567) 308 (903) (159) (754) 792 38 TOTAL GROUP 50,419 (33,702) (2,965) 13,752 698 14,450 46,235 (31,111) (2,925) 12,199 1,438 13,637 Reclassi\ufb01cation of discontinued activities (note 7.d) (2,788) 2,007 (39) (820) (3) (823) (2,473) 1,645 (46) (874) (19) (893) TOTAL CONTINUING ACTIVITIES 47,631 (31,695) (3,004) 12,932 695 13,627 43,762 (29,466) (2,971) 11,325 1,419 12,744 (1) Commercial & Personal Banking in France, BNL banca commerciale, Commercial & Personal Banking in Belgium, Commercial & Personal Banking in Luxembourg, Europe- Mediterranean, BancWest and Personal Investors after the reallocation within Wealth and Asset Management of one-third of the Wealth Management activities in France, Italy, Belgium, Luxembourg, Germany, T\u00fcrkiye, Poland and the United States. (2) Including Real Estate and Principal Investments. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 225 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 NET COMMISSION INCOME BY BUSINESS SEGMENT, INCLUDING FEES ACCOUNTED FOR UNDER \u201cNET INCOME FROM INSURANCE ACTIVITIES\u201d In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Corporate & Institutional Banking 2,310 2,766 Global Banking 2,037 2,199 Global Markets (1,223) (891) Securities Services 1,497 1,458 Commercial, Personal Banking & Services 7,220 6,930 Commercial & Personal Banking in the eurozone 5,059 4,795 Commercial & Personal Banking in France (1) 2,896 2,664 BNL banca commerciale (1) 1,047 1,071 Commercial & Personal Banking in Belgium (1) 1,028 981 Commercial & Personal Banking in Luxembourg (1) 88 79 Commercial & Personal Banking in the rest of the world 876 849 Europe-Mediterranean (1) 448 467 BancWest (1) 428 382 Specialised businesses 1,285 1,286 Personal Finance 743 750 Arval & Leasing Solutions 41 40 New Digital Businesses & Personal Investors (1) 501 495 Investment & Protections Services (893) (607) Insurance (3,288) (3,072) Wealth Management 789 836 Asset Management (2) 1,606 1,630 Other activities 58 (55) TOTAL GROUP 8,696 9,034 (1) Commercial & Personal Banking in France, BNL banca commerciale, Commercial & Personal Banking in Belgium, Commercial & Personal Banking in Luxembourg, Europe-Mediterranean, BancWest and Personal Investors after the reallocation within Wealth and Asset Management of one-third of the Wealth Management activities in France, Italy, Belgium, Luxembourg, Germany, T\u00fcrkiye, Poland and the United States. (2) Including Real Estate and Principal Investments. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 226 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 ASSETS AND LIABILITIES BY BUSINESS SEGMENT In millions of euros, at 31 December 2022 31 December 2021 Asset Liability Asset Liability Corporate & Institutional Banking 1,136,501 1,302,279 1,098,288 1,232,312 Global Banking 183,096 239,352 165,082 202,807 Global Markets 913,848 908,354 871,532 872,645 Securities Services 39,557 154,573 61,674 156,860 Commercial, Personal Banking & Services 843,216 793,620 818,842 774,956 Commercial & Personal Banking in the eurozone 546,268 584,747 529,698 578,604 Commercial & Personal Banking in France 235,614 255,334 218,249 250,094 BNL banca commerciale 94,230 93,880 94,229 92,427 Commercial & Personal Banking in Belgium 189,119 204,538 188,732 204,867 Commercial & Personal Banking in Luxembourg 27,305 30,995 28,488 31,216 Commercial & Personal Banking in the rest of the world 141,356 138,231 145,625 131,837 Europe-Mediterranean 59,132 55,360 57,323 51,206 BancWest 82,224 82,871 88,302 80,631 Specialised businesses 155,592 70,642 143,519 64,515 Personal Finance 94,906 24,412 90,753 23,507 Arval & Leasing Solutions 56,668 12,443 50,654 9,439 New Digital Businesses & Personal Investors 4,019 33,787 2,112 31,569 Investment & Protections Services 283,029 312,142 318,241 336,654 Insurance 247,403 234,129 280,766 262,238 Wealth Management 28,242 74,563 29,583 70,686 Asset Management 7,384 3,450 7,892 3,730 Other activities 403,630 258,335 399,073 290,522 TOTAL GROUP 2,666,376 2,666,376 2,634,444 2,634,444 Information by business segment relating to goodwill is presented in note 4.o Goodwill.Information by geographic area The geographic split of segment results, assets and liabilities is based on the region in which they are recognised for accounting purposes, adjusted as per the managerial origin of the business activity. It does not necessarily re\ufb02ect the counterparty\u2019s nationality or the location of operational businesses. \u27a4 REVENUES BY GEOGRAPHIC AREA INCLUDING NET INCOME FROM DISCONTINUED ACTIVITIES In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 EMEA 39,770 36,506 Americas (North and South) 6,650 6,153 APAC 3,999 3,576 TOTAL GROUP 50,419 46,235 \u27a4 ASSETS AND LIABILITIES, IN CONTRIBUTION TO THE CONSOLIDATED ACCOUNTS, BY GEOGRAPHIC AREA In millions of euros 31 December 2022 31 December 2021 EMEA 2,190,667 2,173,683 Americas (North and South) 305,141 294,601 APAC 170,568 166,160 TOTAL GROUP 2,666,376 2,634,444 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 227 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statementsNote 4 NOTES TO THE BALANCE SHEET AT 31 DECEMBER 2022 4.a FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH PROFIT OR LOSS Financial assets and liabilities at fair value through profit or loss Financial assets and \ufb01nancial liabilities at fair value through pro\ufb01t or loss consist of held-for-trading transactions \u2013 including derivatives, of certain liabilities designated by the Group as at fair value through pro\ufb01t or loss at the time of issuance and of non-trading instruments whose characteristics prevent their accounting at amortised cost or at fair value through equity. In millions of euros 31 December 2022 31 December 2021 Financial instruments held for trading Financial instruments designated as at fair value through pro\ufb01t or loss Other \ufb01nancial assets at fair value through pro\ufb01t or loss Total Financial instruments held for trading Financial instruments designated as at fair value through pro\ufb01t or loss Other \ufb01nancial assets at fair value through pro\ufb01t or loss Total Securities 157,138 1,273 7,666 166,077 181,079 2,898 7,530 191,507 Loans and repurchase agreements 186,968 4,157 191,125 247,507 2,301 249,808 FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS 344,106 1,273 11,823 357,202 428,586 2,898 9,831 441,315 Securities 99,155 99,155 112,338 112,338 Deposits and repurchase agreements 232,351 1,725 234,076 291,577 1,879 293,456 Issued debt securities (note 4.h) 70,460 70,460 70,383 70,383 of which subordinated debt 675 675 947 947 of which non subordinated debt 64,110 64,110 62,334 62,334 of which debt representative of shares of consolidated funds held by third parties 5,675 5,675 7,102 7,102 FINANCIAL LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS 331,506 72,185 403,691 403,915 72,262 476,177 Detail of these assets and liabilities is provided in note 4.d. Financial liabilities designated as at fair value through profit or loss Financial liabilities at fair value through pro\ufb01t or loss mainly consist of issued debt securities, originated and structured on behalf of customers, where the risk exposure is managed in combination with the hedging strategy. These types of issued debt securities contain signi\ufb01cant embedded derivatives, which changes in value may be compensated by changes in the value of economic hedging derivatives. The redemption value of debt issued and designated as at fair value through pro\ufb01t or loss at 31 December 2022 was EUR 70,940 million (EUR 59,958 million at 31 December 2021). Other financial assets measured at fair value through profit or loss Other \ufb01nancial assets at fair value through pro\ufb01t or loss are \ufb01nancial assets not held for trading: \u25a0 debt instruments that do not meet the criteria de\ufb01ned by IFRS 9 to be classi\ufb01ed as \ufb01nancial instruments at \u201cfair value through equity\u201d or at \u201camortised cost\u201d: \u25a0 their business model is not to \u201ccollect contractual cash \ufb02ows\u201d nor \u201ccollect contractual cash \ufb02ows and sell the instruments\u201d, and/or \u25a0 their cash \ufb02ows are not solely repayments of principal and interest on the principal amount outstanding; \u25a0 equity instruments that the Group did not choose to classify as at \u201cfair value through equity\u201d. Derivative financial instruments The majority of derivative \ufb01nancial instruments held for trading are related to transactions initiated for trading purposes. They may result from market- making or arbitrage activities. BNP Paribas actively trades in derivatives. Transactions include trades in \u201cordinary\u201d instruments such as credit default swaps, and structured transactions with complex risk pro\ufb01les tailored to meet the needs of its customers. The net position is in all cases subject to limits. Some derivative instruments are also contracted to hedge \ufb01nancial assets or \ufb01nancial liabilities for which the Group has not documented a hedging relationship, or which do not qualify for hedge accounting under IFRS. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 228 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In millions of euros 31 December 2022 31 December 2021 Positive market value Negative market value Positive market value Negative market value Interest rate derivatives 150,122 125,215 119,219 107,490 Foreign exchange derivatives 134,382 129,274 75,314 75,694 Credit derivatives 7,294 7,731 8,371 8,451 Equity derivatives 22,602 27,291 24,217 35,071 Other derivatives 13,532 10,610 13,302 10,691 DERIVATIVE FINANCIAL INSTRUMENTS 327,932 300,121 240,423 237,397 The table below shows the total notional amount of trading derivatives. The notional amounts of derivative instruments are merely an indication of the volume of the Group\u2019s activities in \ufb01nancial instruments markets, and do not re\ufb02ect the market risks associated with such instruments. In millions of euros 31 December 2022 31 December 2021 Exchange- traded Over-the- counter, cleared through central clearing houses Over-the- counter Total Exchange- traded Over-the- counter, cleared through central clearing houses Over-the- counter Total Interest rate derivatives 1,442,663 12,349,703 5,254,166 19,046,532 1,319,006 9,761,179 4,846,327 15,926,512 Foreign exchange derivatives 40,292 130,148 7,610,392 7,780,832 56,415 133,330 6,873,623 7,063,368 Credit derivatives 464,228 518,926 983,154 392,338 545,919 938,257 Equity derivatives 1,177,728 535,465 1,713,193 799,005 506,164 1,305,169 Other derivatives 133,820 95,722 229,542 107,162 92,077 199,239 DERIVATIVE FINANCIAL INSTRUMENTS 2,794,503 12,944,079 14,014,671 29,753,253 2,281,588 10,286,847 12,864,110 25,432,545 As part of its Client Clearing activity, the Group guarantees the risk of default of its clients to central counterparties. The corresponding notional amount is EUR 1,187 billion at 31 December 2022 (EUR 1,050 billion at 31 December 2021).4.b DERIVATIVES USED FOR HEDGING PURPOSES The table below shows the notional amounts and the fair value of derivatives used for hedging purposes. In millions of euros 31 December 2022 31 December 2021 Notional amounts Positive fair value Negative fair value Notional amounts Positive fair value Negative fair value Fair value hedges 1,103,455 24,213 36,872 755,989 7,010 9,593 Interest rate derivatives 1,094,689 23,955 36,525 746,253 6,689 9,512 Foreign exchange derivatives 8,766 258 347 9,736 321 81 Cash \ufb02ow hedges 213,866 1,126 3,070 213,743 1,606 481 Interest rate derivatives 59,641 429 1,602 50,509 1,085 254 Foreign exchange derivatives 153,811 664 1,416 162,827 442 209 Other derivatives 414 33 52 407 79 18 Net foreign investment hedges 1,719 62 59 2,659 64 2 Foreign exchange derivatives 1,719 62 59 2,659 64 2 DERIVATIVES USED FOR HEDGING PURPOSES 1,319,040 25,401 40,001 972,391 8,680 10,076 Interest rate risk and foreign exchange risk management strategies are described in chapter 5 Pillar 3 of the Universal registration document (section 5.7 Market risk \u2013 Market risk related to banking activities). Quantitative information related to foreign currency borrowings used for net investment hedges is also mentioned in this chapter. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 229 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The table below presents the detail of fair value hedge relationships for identi\ufb01ed \ufb01nancial instruments and portfolios of \ufb01nancial instruments that are continuing at 31 December 2022: In millions of euros, at 31 December 2022 Hedging instruments Hedged instruments Notional amounts Positive fair value Negative fair value Cumulated changes in fair value used as the basis for recognising ineffectiveness Carrying amount \u2013 asset Cumulated changes in fair value \u2013 asset Carrying amount \u2013 liability Cumulated changes in fair value \u2013 liability Fair value hedges of identi\ufb01ed instruments 332,749 11,155 12,711 1,500 114,741 (12,204) 122,280 (10,588) Interest rate derivatives hedging the interest rate risk related to 325,470 10,992 12,376 1,487 110,376 (12,128) 119,694 (10,540) Loans and receivables 19,827 613 171 527 18,394 (541) Securities 131,460 10,297 1,258 11,521 91,982 (11,587) Deposits 8,081 31 291 (375) 7,878 (388) Debt securities 166,102 51 10,656 (10,186) 111,816 (10,152) Foreign exchange derivatives hedging the interest rate and foreign exchange risks related to 7,279 163 335 13 4,365 (76) 2,586 (48) Loans and receivables 2,619 95 64 35 2,410 (42) Securities 1,957 55 12 34 1,955 (34) Deposits 64 30 2 76 2 Debt securities 2,639 13 229 (58) 2,510 (50) Interest rate risk hedged portfolios 770,706 13,058 24,161 (11,240) 204,827 (8,877) 310,192 (20,063) Interest rate derivatives hedging the interest rate risk related to (1) 769,218 12,963 24,149 (11,292) 203,490 (8,830) 310,192 (20,063) Loans and receivables 346,924 9,243 162 9,680 203,490 (8,830) Deposits 422,294 3,720 23,987 (20,972) 310,192 (20,063) Foreign exchange derivatives hedging the interest rate and foreign exchange risks related to 1,488 95 12 52 1,337 (47) Loans and receivables 1,488 95 12 52 1,337 (47) TOTAL FAIR VALUE HEDGE 1,103,455 24,213 36,872 (9,740) 319,568 (21,081) 432,472 (30,651) (1) Are included in this section the notional amounts of hedging derivatives and of swaps that reverse the interest rate positions, thus reducing the hedge relationship, when the hedged item still exists, for respectively EUR 121,183 million for derivatives hedging loans and receivables and EUR 103,261 million for derivatives hedging deposits. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 230 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The table below presents the detail of fair value hedge relationships for identi\ufb01ed \ufb01nancial instruments and portfolios of \ufb01nancial instruments that are continuing at 31 December 2021: In millions of euros, at 31 December 2021 Hedging instruments Hedged instruments Notional amounts Positive fair value Negative fair value Cumulated changes in fair value used as the basis for recognising ineffectiveness Carrying amount \u2013 asset Cumulated changes in fair value \u2013 asset Carrying amount \u2013 liability Cumulated changes in fair value \u2013 liability Fair value hedges of identi\ufb01ed instruments 302,733 3,013 6,008 (643) 110,232 1,530 116,360 1,131 Interest rate derivatives hedging the interest rate risk related to 294,121 2,818 5,939 (741) 105,419 1,601 112,726 1,099 Loans and receivables 20,854 213 518 (278) 19,242 276 Securities 112,596 1,179 5,399 (1,531) 86,177 1,325 Deposits 6,725 351 17 274 6,644 271 Debt securities 153,946 1,075 5 794 106,082 828 Foreign exchange derivatives hedging the interest rate and foreign exchange risks related to 8,612 195 69 98 4,813 (71) 3,634 32 Loans and receivables 2,433 140 2 48 2,308 (51) Securities 2,518 28 12 20 2,505 (20) Deposits 181 3 21 9 197 9 Debt securities 3,480 24 34 21 3,437 23 Interest rate risk hedged portfolios 453,256 3,997 3,585 (16) 109,933 1,463 178,771 1,320 Interest rate derivatives hedging the interest rate risk related to (1) 452,132 3,871 3,573 (58) 108,893 1,504 178,771 1,320 Loans and receivables 183,765 606 2,574 (1,603) 108,893 1,504 Deposits 268,367 3,265 999 1,545 178,771 1,320 Foreign exchange derivatives hedging the interest rate and foreign exchange risks related to 1,124 126 12 42 1,040 (41) Loans and receivables 1,124 126 12 42 1,040 (41) TOTAL FAIR VALUE HEDGE 755,989 7,010 9,593 (659) 220,165 2,993 295,131 2,451 (1) Are included in this section the notional amounts of hedging derivatives and of swaps that reverse the interest rate positions, thus reducing the hedge relationship, when the hedged item still exists, for respectively EUR 55,414 million for derivatives hedging loans and receivables and EUR 86,139 million for derivatives hedging deposits. An asset or a liability or set of assets and liabilities, can be hedged over several periods of time with different derivative \ufb01nancial instruments. Besides, some hedges are achieved by the combination of two derivative instruments. In this case, the notional amounts add up and their total amount is higher than the hedged amount. The \ufb01rst situation is observed more particularly for interest rate risk hedged portfolios and the second for hedges of issued debt securities. As regards discontinued fair value hedge relationships where the derivative contract was terminated, the cumulated amount of revaluation remaining to be amortised over the residual life of the hedged instruments amounts to EUR 1,399 million in assets at 31 December 2022, and to EUR -138 million in liabilities, for hedges of portfolios of \ufb01nancial instruments. At 31 December 2021, these amounts were EUR 1,509 million in assets and 14 million in liabilities. Regarding hedges of identi\ufb01ed instruments, the cumulated amount of revaluation remaining to be amortised over the residual life of the hedged instruments amounts to EUR 111 million in assets at 31 December 2022. At 31 December 2021, this amount was EUR 117 million in assets. The notional amount of cash \ufb02ow hedge derivatives is EUR 213,866 million at 31 December 2022. Changes in assets and liabilities recognised directly in equity amount to EUR -245 million. At 31 December 2021, the notional amount of cash \ufb02ow hedge derivatives was EUR 213,743 million and changes in assets and liabilities recognised directly in equity amounted to EUR 1,329 million. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 231 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The tables below present the notional amounts of hedging derivatives by maturity at 31 December 2022 and at 31 December 2021: In millions of euros, at 31 December 2022 Maturity date Less than 1 year Between 1 and 5 years Over 5 years Total Fair value hedges 382,063 430,968 290,424 1,103,455 Interest rate derivatives 378,055 426,364 290,270 1,094,689 Foreign exchange derivatives 4,008 4,604 154 8,766 Cash \ufb02ow hedges 142,568 51,041 20,257 213,866 Interest rate derivatives 18,178 30,041 11,422 59,641 Foreign exchange derivatives 124,223 20,753 8,835 153,811 Other derivatives 167 247 414 Net foreign investment hedges 1,719 - - 1,719 Foreign exchange derivatives 1,719 1,719 In millions of euros, at 31 December 2021 Maturity date Less than 1 year Between 1 and 5 years Over 5 years Total Fair value hedges 149,613 340,799 265,577 755,989 Interest rate derivatives 146,649 334,411 265,193 746,253 Foreign exchange derivatives 2,964 6,388 384 9,736 Cash \ufb02ow hedges 146,392 43,108 24,243 213,743 Interest rate derivatives 10,350 27,777 12,382 50,509 Foreign exchange derivatives 135,867 15,099 11,861 162,827 Other derivatives 175 232 407 Net foreign investment hedges 2,559 100 - 2,659 Foreign exchange derivatives 2,559 100 2,6594.c FINANCIAL ASSETS AT FAIR VALUE THROUGH EQUITY In millions of euros 31 December 2022 31 December 2021 Fair value of which changes in value recognised directly to equity Fair value of which changes in value recognised directly to equity Debt securities 35,878 (866) 38,906 (1) Governments 18,682 (350) 19,980 117 Other public administrations 9,921 (197) 13,000 51 Credit institutions 3,816 (302) 4,138 (169) Others 3,459 (17) 1,788 Equity securities 2,188 623 2,558 933 TOTAL FINANCIAL ASSETS AT FAIR VALUE THROUGH EQUITY 38,066 (243) 41,464 932 Debt securities at fair value through equity include EUR 108 million classi\ufb01ed as stage 3 at 31 December 2022 (EUR 105 million at 31 December 2021). For these securities, the credit impairment recognised in the pro\ufb01t and loss account has been charged to the negative changes in value recognised in equity for EUR 100 million at 31 December 2022 (EUR 104 million at 31 December 2021). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 232 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The option to recognise certain equity instruments at fair value through equity was retained in particular for shares held through strategic partnerships and shares that the Group is required to hold in order to carry out certain activities. During the year ended 31 December 2022, the Group sold two of these investments and an unrealised gain of EUR 267 million was transferred to \u201cretained earnings\u201d (EUR 12 million at 31 December 2021).4.d MEASUREMENT OF THE FAIR VALUE OF FINANCIAL INSTRUMENTS Valuation process BNP Paribas has retained the fundamental principle that it should have a unique and integrated processing chain for producing and controlling the valuations of \ufb01nancial instruments that are used for the purpose of daily risk management and \ufb01nancial reporting. All these processes are based on a common economic valuation which is a core component of business decisions and risk management strategies. Economic value is composed of mid-market value, to which valuation adjustments are made. Mid-market value is derived from external data or valuation techniques that maximise the use of observable and market-based data. Mid-market value is a theoretical additive value which does not take account of i) the direction of the transaction or its impact on the existing risks in the portfolio, ii) the nature of the counterparties, and iii) the aversion of a market participant to particular risks inherent in the instrument, the market in which it is traded, or the risk management strategy. Valuation adjustments take into account valuation uncertainty and include market and credit risk premiums to re\ufb02ect costs that could be incurred in case of an exit transaction in the principal market. Fair value generally equals the economic value, subject to limited adjustments, such as own credit adjustments, which are speci\ufb01cally required by IFRS standards. The main valuation adjustments are presented in the section below. Valuation adjustments Valuation adjustments retained by BNP Paribas for determining fair values are as follows: Bid/offer adjustments: the bid/offer range re\ufb02ects the additional exit cost for a price taker and symmetrically the compensation sought by dealers to bear the risk of holding the position or closing it out by accepting another dealer\u2019s price. BNP Paribas assumes that the best estimate of an exit price is the bid or offer price, unless there is evidence that another point in the bid/offer range would provide a more representative exit price. Input uncertainty adjustments: when the observation of prices or data inputs required by valuation techniques is dif\ufb01cult or irregular, an uncertainty exists on the exit price. There are several ways to gauge the degree of uncertainty on the exit price such as measuring the dispersion of the available price indications or estimating the possible ranges of the inputs to a valuation technique. Model uncertainty adjustments: these relate to situations where valuation uncertainty is due to the valuation technique used, even though observable inputs might be available. This situation arises when the risks inherent in the instruments are different from those available in the observable data, and therefore the valuation technique involves assumptions that cannot be easily corroborated. Future Hedging Costs adjustments (FHC): this adjustment applies to positions classi\ufb01ed in Level 3 that require dynamic hedging throughout their lifetime leading to additional bid/offer costs. Calculation methods capture these expected costs in particular based on the optimal hedging frequency. Credit valuation adjustment (CVA): the CVA adjustment applies to valuations and market quotations whereby the credit worthiness of the counterparty is not re\ufb02ected. It aims to account for the possibility that the counterparty may default and that BNP Paribas may not receive the full fair value of the transactions. In determining the cost of exiting or transferring counterparty risk exposures, the relevant market is deemed to be an inter-dealer market. However, the determination of CVA remains judgemental due to: \u25a0 the possible absence or lack of price discovery in the inter-dealer market; \u25a0 the in\ufb02uence of the regulatory landscape relating to counterparty risk on the market participants\u2019 pricing behaviour; and \u25a0 the absence of a dominant business model for managing counterparty risk. The CVA model is grounded on the same exposures as those used for regulatory purposes. The model attempts to estimate the cost of an optimal risk management strategy based on i) implicit incentives and constraints inherent in the regulations in force and their evolutions, ii) market perception of the probability of default, and iii) default parameters used for regulatory purposes. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 233 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Funding valuation adjustment (FVA): when valuation techniques are used for the purpose of deriving fair value, funding assumptions related to the future expected cash \ufb02ows are an integral part of the mid-market valuation, notably through the use of appropriate discount rates. These assumptions re\ufb02ect what the Bank anticipates as being the effective funding conditions of the instrument that a market participant would consider. This notably takes into account the existence and terms of any collateral agreement. In particular, for non- or imperfectly collateralised derivative instruments, they include an explicit adjustment to the interbank interest rate. Own-credit valuation adjustment for debts (OCA) and for derivatives (debit valuation adjustment \u2013 DVA): OCA and DVA are adjustments re\ufb02ecting the effect of credit worthiness of BNP Paribas, on respectively the value of debt securities designated as at fair value through pro\ufb01t or loss and derivatives. Both adjustments are based on the expected future liability pro\ufb01les of such instruments. The own credit worthiness is inferred from the market-based observation of the relevant bond issuance levels. The DVA adjustment is determined after taking into account the Funding Valuation Adjustment (FVA). Thus, the carrying value of debt securities designated as at fair value though pro\ufb01t or loss is decreased by EUR 160 million at 31 December 2022, compared with an increase in value of EUR 359 million at 31 December 2021, i.e. a -EUR 519 million variation recognised directly in equity that will not be reclassi\ufb01ed to pro\ufb01t or loss. Instrument classes and classification within the fair value hierarchy for assets and liabilities measured at fair value As explained in the summary of signi\ufb01cant accounting policies (note 1.e.10), \ufb01nancial instruments measured at fair value are categorised into a fair value hierarchy consisting of three levels. In millions of euros 31 December 2022 Financial instruments held for trading Instruments at fair value through pro\ufb01t or loss not held for trading Financial assets at fair value through equity Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Securities 130,589 25,744 805 157,138 1,643 1,495 5,801 8,939 32,727 4,395 944 38,066 Governments 59,860 10,136 28 70,024 - 16,783 1,770 127 18,680 Other debt securities 16,454 14,695 630 31,779 1,152 500 333 1,985 14,497 2,412 288 17,197 Equities and other equity securities 54,275 913 147 55,335 491 995 5,468 6,954 1,447 213 529 2,189 Loans and repurchase agreements - 186,170 798 186,968 - 1,274 2,883 4,157 - - - - Loans 6,428 5 6,433 1,274 2,883 4,157 Repurchase agreements 179,742 793 180,535 - FINANCIAL ASSETS AT FAIR VALUE 130,589 211,914 1,603 344,106 1,643 2,769 8,684 13,096 32,727 4,395 944 38,066 Securities 97,367 1,716 72 99,155 - - - - Governments 57,949 92 16 58,057 - Other debt securities 13,183 1,581 47 14,811 - Equities and other equity securities 26,235 43 9 26,287 - Borrowings and repurchase agreements - 230,303 2,048 232,351 - 1,472 253 1,725 Borrowings 6,952 6,952 1,472 253 1,725 Repurchase agreements 223,351 2,048 225,399 - Issued debt securities (note 4.h) - - - - 1,885 49,630 18,945 70,460 Subordinated debt (note 4.h) - 675 675 Non subordinated debt (note 4.h) - 4 45,161 18,945 64,110 Debt representative of shares of consolidated funds held by third parties - 1,881 3,794 5,675 FINANCIAL LIABILITIES AT FAIR VALUE 97,367 232,019 2,120 331,506 1,885 51,102 19,198 72,185 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 234 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In millions of euros 31 December 2021 Financial instruments held for trading Instruments at fair value through pro\ufb01t or loss not held for trading Financial assets at fair value through equity Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Securities 152,215 28,234 630 181,079 3,520 1,865 5,043 10,428 33,356 6,987 1,121 41,464 Governments 82,556 10,962 36 93,554 - 16,263 3,717 19,980 Other debt securities 20,921 15,697 404 37,022 2,867 696 404 3,967 15,551 3,057 318 18,926 Equities and other equity securities 48,738 1,575 190 50,503 653 1,169 4,639 6,461 1,542 213 803 2,558 Loans and repurchase agreements - 246,895 612 247,507 - 1,398 903 2,301 - - - - Loans 6,525 13 6,538 1,398 903 2,301 Repurchase agreements 240,370 599 240,969 - FINANCIAL ASSETS AT FAIR VALUE 152,215 275,129 1,242 428,586 3,520 3,263 5,946 12,729 33,356 6,987 1,121 41,464 Securities 110,117 2,064 157 112,338 - - - - Governments 76,019 267 76,286 Other debt securities 14,382 1,683 117 16,182 Equities and other equity securities 19,716 114 40 19,870 Borrowings and repurchase agreements - 290,659 918 291,577 - 1,556 323 1,879 Borrowings 1,758 1,758 1,556 323 1,879 Repurchase agreements 288,901 918 289,819 Issued debt securities (note 4.h) - - - - 2,716 47,409 20,258 70,383 Subordinated debt (note 4.h) 947 947 Non subordinated debt (note 4.h) 42,076 20,258 62,334 Debt representative of shares of consolidated funds held by third parties 2,716 4,386 7,102 FINANCIAL LIABILITIES AT FAIR VALUE 110,117 292,723 1,075 403,915 2,716 48,965 20,581 72,262 Fair values of derivatives are broken down by dominant risk factor, namely interest rate, foreign exchange, credit and equity. Derivatives used for hedging purposes are mainly interest rate derivatives. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 235 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In millions of euros 31 December 2022 Positive market value Negative market value Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Interest rate derivatives 873 147,853 1,396 150,122 503 122,659 2,053 125,215 Foreign exchange derivatives 33 133,628 721 134,382 35 129,204 35 129,274 Credit derivatives 6,382 912 7,294 6,822 909 7,731 Equity derivatives 6,760 13,512 2,330 22,602 9,177 13,290 4,824 27,291 Other derivatives 1,295 12,158 79 13,532 843 9,629 138 10,610 DERIVATIVE FINANCIAL INSTRUMENTS NOT USED FOR HEDGING PURPOSES 8,961 313,533 5,438 327,932 10,558 281,604 7,959 300,121 DERIVATIVE FINANCIAL INSTRUMENTS USED FOR HEDGING PURPOSES - 25,401 - 25,401 - 40,001 - 40,001 In millions of euros 31 December 2021 Positive market value Negative market value Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Interest rate derivatives 331 117,854 1,034 119,219 318 105,988 1,184 107,490 Foreign exchange derivatives 40 74,827 447 75,314 36 75,388 270 75,694 Credit derivatives 7,532 839 8,371 7,562 889 8,451 Equity derivatives 9,770 12,741 1,706 24,217 12,593 15,795 6,683 35,071 Other derivatives 1,284 11,962 56 13,302 1,179 9,359 153 10,691 DERIVATIVE FINANCIAL INSTRUMENTS NOT USED FOR HEDGING PURPOSES 11,425 224,916 4,082 240,423 14,126 214,092 9,179 237,397 DERIVATIVE FINANCIAL INSTRUMENTS USED FOR HEDGING PURPOSES - 8,680 - 8,680 - 10,076 - 10,076 Transfers between levels may occur when an instrument ful\ufb01ls the criteria de\ufb01ned, which are generally market and product dependent. The main factors in\ufb02uencing transfers are changes in the observation capabilities, passage of time, and events during the transaction lifetime. The timing of recognising transfers is determined at the beginning of the reporting period. During the year ended 2022, transfers between Level 1 and Level 2 were not signi\ufb01cant. Description of main instruments in each level The following section provides a description of the instruments in each level in the hierarchy. It describes notably instruments classi\ufb01ed in Level 3 and the associated valuation methodologies. For main trading book instruments and derivatives classi\ufb01ed in Level 3, further quantitative information is provided about the inputs used to derive fair value. Level 1 This level encompasses all derivatives and securities that are listed on exchanges or quoted continuously in other active markets. Level 1 includes notably equity securities and liquid bonds, shortselling of these instruments, derivative instruments traded on organised markets (futures, options, etc.). It includes shares of funds and UCITS, for which the net asset value is calculated on a daily basis, as well as debt representative of shares of consolidated funds held by third parties. Level 2 The Level 2 stock of securities is composed of securities which are less liquid than the Level 1 bonds. They are predominantly corporate debt securities, government bonds, mortgage-backed securities, fund shares and short-term securities such as certi\ufb01cates of deposit. They are classi\ufb01ed in Level 2 notably when external prices for the same security can be regularly observed from a reasonable number of market makers that are active in this security, but these prices do not represent directly tradable prices. This comprises amongst other, consensus pricing services with a reasonable number of contributors that are active market makers as well as indicative runs from active brokers and/or dealers. Other sources such as primary issuance market, may also be used where relevant. Repurchase agreements are classi\ufb01ed predominantly in Level 2. The classi\ufb01cation is primarily based on the observability and liquidity of the repo market, depending on the underlying collateral and the maturity of the repo transaction. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 236 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Debts issued designated as at fair value through pro\ufb01t and loss, are classi\ufb01ed in the same level as the one that would apply to the embedded derivative taken individually. The issuance spread is considered observable. Derivatives classi\ufb01ed in Level 2 comprise mainly the following instruments: \u25a0 vanilla instruments such as interest rate swaps, caps, \ufb02oors and swaptions, credit default swaps, equity/foreign exchange (FX)/commodities forwards and options; \u25a0 structured derivatives for which model uncertainty is not signi\ufb01cant such as exotic FX options, mono- and multi-underlying equity/funds derivatives, single curve exotic interest rate derivatives and derivatives based on structured rates. The above derivatives are classi\ufb01ed in Level 2 when there is a documented stream of evidence supporting one of the following: \u25a0 fair value is predominantly derived from prices or quotations of other Level 1 and Level 2 instruments, through standard market interpolation or stripping techniques whose results are regularly corroborated by real transactions; \u25a0 fair value is derived from other standard techniques such as replication or discounted cash \ufb02ows that are calibrated to observable prices, that bear limited model risk and enable an effective offset of the risks of the instrument through trading Level 1 or Level 2 instruments; \u25a0 fair value is derived from more sophisticated or proprietary valuation techniques but is directly evidenced through regular back-testing using external market-based data. Determining whether an over-the-counter (OTC) derivative is eligible for Level 2 classi\ufb01cation involves judgement. Consideration is given to the origin, transparency and reliability of external data used, and the amount of uncertainty associated with the use of models. It follows that the Level 2 classi\ufb01cation criteria involve multiple analysis axis within an \u201cobservability zone\u201d whose limits are determined by i) a predetermined list of product categories and ii) the underlying and maturity bands. These criteria are regularly reviewed and updated, together with the applicable valuation adjustments, so that the classi\ufb01cation by level remains consistent with the valuation adjustment policy. Level 3 Level 3 securities of the trading book mainly comprise units of funds and unlisted equity shares measured at fair value through pro\ufb01t or loss or through equity. Unlisted private equities are systematically classi\ufb01ed as Level 3, with the exception of UCITS with a daily net asset value, which are classi\ufb01ed in the Level 1 of the fair value hierarchy. Shares and other unlisted variable income securities in Level 3 are valued using one of the following methods: a share of revalued net book value, multiples of comparable companies, future cash \ufb02ows method, multi-criteria approach. Some repurchase agreements: mainly long-term or structured repurchase agreements on corporate bonds and ABSs when the valuation of these transactions requires proprietary methodologies given the bespoke nature of the transactions and the lack of activity and price discovery in the long- term repo market. The curves used in the valuation are corroborated using available data such as recent long-term repo trade data and price enquiry data. Valuation adjustments applicable to these exposures are commensurate with the degree of uncertainty inherent in the modelling choices and amount of data available. Debts issued designated as at fair value through pro\ufb01t or loss, are classi\ufb01ed in the same level as the one that would apply to the embedded derivative taken individually. The issuance spread is considered observable. Derivatives Vanilla derivatives are classi\ufb01ed in Level 3 when the exposure is beyond the observation zone for rate curves or volatility surfaces, or relates to less liquid markets such as tranches on old credit index series or emerging markets interest rates markets. The main instruments are: \u25a0 Interest rate derivatives: exposures mainly comprise swap products in less liquid currencies. Classi\ufb01cation is driven by the lower liquidity of some maturities, while observation capabilities through consensus may be available. The valuation technique is standard, and uses external market information and extrapolation techniques; \u25a0 Credit derivatives (CDS): exposures mainly comprise CDSs beyond the maximum observable maturity and, to a much lesser extent, CDSs on illiquid or distressed names and CDSs on loan indices. Classi\ufb01cation is driven by the lack of liquidity while observation capabilities may be available notably through consensus. Level 3 exposures also comprise CDS and Total Return Swaps (TRS) positions on securitised assets. These are priced along the same modelling techniques as the underlying bonds, taking into consideration the funding basis and speci\ufb01c risk premium; \u25a0 Equity derivatives: exposures essentially comprise long dated forward or volatility products or exposures where there is a limited market for optional products. The marking of the forward curves and volatility surfaces beyond the maximum observable maturity relies on extrapolation techniques. However, when there is no market for model input, volatility or forward is generally determined on the basis of proxy or historical analysis. Similarly, long-term transactions on equity baskets are also classi\ufb01ed in Level 3, based on the absence of equity correlation observability on long maturities. These vanilla derivatives are subject to valuation adjustments linked to uncertainty on liquidity, specialised by nature of underlying and liquidity bands. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 237 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Structured derivatives classi\ufb01ed in Level 3 predominantly comprise hybrid products (FX/Interest Rates hybrids, Equity hybrids), credit correlation products, prepayment-sensitive products, some stock basket optional products and some interest rate optional instruments. The main exposures are described below, with insight into the related valuation techniques and on the source of uncertainty: \u25a0 structured interest rate options are classi\ufb01ed in Level 3 when they involve currencies where there is not suf\ufb01cient observation or when they include a quanto feature where the pay-off is measured with a forex forward \ufb01xed rate (except for the main currencies). Long term structured derivatives are also classi\ufb01ed in Level 3; \u25a0 hybrid FX/Interest rate products essentially comprise a speci\ufb01c product family known as Power Reverse Dual Currency (PRDC) when there is material valuation uncertainty. When valuation of PRDCs requires sophisticated modelling of joint behaviour of FX and interest rate, and is notably sensitive to the unobservable FX/interest rate correlations, such products are classi\ufb01ed as Level 3. PRDCs valuations are corroborated with recent trade data and consensus data; \u25a0 securitisation swaps mainly comprise \ufb01xed-rate swaps, cross-currency or basis swaps whose notional is indexed to the prepayment behaviour of some underlying portfolio. The estimation of the maturity pro\ufb01le of securitisation swaps is corroborated by statistical estimates using external historical data; \u25a0 forward volatility options are generally products whose pay-off is indexed to the future variability of a rate index such as volatility swaps. These products involve material model risk as it is dif\ufb01cult to infer forward volatility information from market-traded instruments. The valuation adjustment framework is calibrated to the uncertainty inherent in the product, and to the range of uncertainty from the existing external consensus data; \u25a0 inflation derivatives classi\ufb01ed in Level 3 mainly comprise swap products on in\ufb02ation indices that are not associated with a liquid indexed bond market, optional products on in\ufb02ation indices (such as caps and \ufb02oors) and other forms of in\ufb02ation indices involving optionality on the in\ufb02ation indices or on the in\ufb02ation annual rate. Valuation techniques used for in\ufb02ation derivatives are predominantly standard market models. Proxy techniques are used for a few limited exposures. Although the valuations are corroborated through monthly consensus data, these products are classi\ufb01ed as Level 3 due to their lack of liquidity and some uncertainties inherent in the calibration; \u25a0 the valuation of bespoke CDOs requires correlation of default events when there is material valuation uncertainty. This information is inferred from the active index tranche market through a proprietary projection technique and involves proprietary extrapolation and interpolation techniques. Multi-geography CDOs further require an additional correlation assumption. Finally, the bespoke CDO model also involves proprietary assumptions and parameters related to the dynamic of the recovery factor. CDO modelling, is calibrated on the observable index tranche markets, and is regularly back-tested against consensus data on standardised pools. The uncertainty arises from the model risk associated with the projection and geography mixing technique, and the uncertainty of associated parameters, together with the recovery modelling; \u25a0 N to Default baskets are other forms of credit correlation products, modelled through standard copula techniques. The main inputs required are the pair-wise correlations between the basket components which can be observed in the consensus and the transactions. Linear baskets are considered observable; \u25a0 equity and equity-hybrid correlation products are instruments whose pay-off is dependent on the joint behaviour of a basket of equities/indices leading to a sensitivity of the fair value measurement to the correlation amongst the basket components. Hybrid versions of these instruments involve baskets that mix equity and non-equity underlyings such as commodity indices, or foreign exchange rates. Only a subset of the Equity/index correlation matrix is regularly observable and traded, while most cross-asset correlations are not active. Therefore, classi\ufb01cation in Level 3 depends on the composition of the basket, the maturity, and the hybrid nature of the product. The correlation input is derived from a proprietary model combining historical estimators, and other adjustment factors, that are corroborated by reference to recent trades or external data. The correlation matrix is essentially available from consensus services, and when a correlation between two underlying instruments is not available, it might be obtained from extrapolation or proxy techniques. These structured derivatives are subject to speci\ufb01c valuation adjustments to cover uncertainties linked to liquidity, parameters and model risk. Valuation adjustments (CVA, DVA and FVA) The valuation adjustment for counterparty credit risk (CVA), own-credit risk for derivatives (DVA) and the explicit funding valuation adjustment (FVA) are deemed to be unobservable components of the valuation framework and therefore classi\ufb01ed in Level 3. This does not impact, in general cases, the classi\ufb01cation of individual transactions into the fair value hierarchy. However, a speci\ufb01c process allows to identify individual deals for which the marginal contribution of these adjustments and related uncertainty is signi\ufb01cant and justi\ufb01es classifying these transactions in Level 3. The table below provides the range of values of main unobservable inputs for the valuation of Level 3 \ufb01nancial instruments. The ranges displayed correspond to a variety of different underlying instruments and are meaningful only in the context of the valuation technique implemented by BNP Paribas. The weighted averages, where relevant and available, are based on fair values, nominal amounts or sensitivities. The main unobservable parameters used for the valuation of debt issued in Level 3 are equivalent to those of their economic hedge derivative. Information on those derivatives, displayed in the following table, is also applicable to these debts. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 238 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Risk classes Balance Sheet valuation (in millions of euros) Main product types composing the Level 3 stock within the risk class Valuation technique used for the product types considered Main unobservable inputs for the product types considered Range of unobservable input across Level 3 population considered Weighted average Asset Liability Repurchase agreements 793 2,048 Long-term repo and reverse- repo agreements Proxy techniques, based amongst other on the funding basis of a benchmark bond pool, that is actively traded and representative of the repo underlying Long-term repo spread on private bonds (High Yield, High Grade) and on ABSs 0 bp to 80 bp 21 bp (a) Interest rate derivatives 1,396 2,053 Hybrid Forex/Interest rates derivatives Hybrid Forex interest rate option pricing model Correlation between FX rate and interest rates. Main currency pairs are EUR/JPY, USD/JPY, AUD/JPY -13% to 53% 17% (a) Hybrid in\ufb02ation rates/Interest rates derivatives Hybrid in\ufb02ation interest rate option pricing model Correlation between interest rates and in\ufb02ation rates mainly in Europe. 3% to 14% 12% Floors and caps on in\ufb02ation rate or on the cumulative in\ufb02ation (such as redemption \ufb02oors), predominantly on European and French in\ufb02ation In\ufb02ation pricing model Volatility of cumulative in\ufb02ation 1% to 11.7% (b) Volatility of the year-on-year in\ufb02ation rate 0.4% to 3.3% Forward Volatility products such as volatility swaps, mainly in euros Interest rates option pricing model Forward volatility of interest rates 0.6% to 1.2% (b) Balance-guaranteed \ufb01xed rate, basis or cross currency swaps, predominantly on European collateral pools Prepayment modelling Discounted cash \ufb02ows Constant prepayment rates 0% to 18% 1% (a) Credit derivatives 912 909 Collateralised Debt Obligations and index tranches for inactive index series Base correlation projection technique and recovery modelling Base correlation curve for bespoke portfolios 17% to 85% (b) Recovery rate variance for single name underlyings 0 to 25% (b) N-to-default baskets Credit default model Default correlation 48% to 73% 53% (a) Single name Credit Default Swaps (other than CDS on ABSs and loans indices) Stripping, extrapolation and interpolation Credit default spreads beyond observation limit (10 years) 45 bp to 535 bp (1) 435 bp (c) Illiquid credit default spread curves (across main tenors) 8 bp to 610 bp (2) 99 bp (c) Equity derivatives 2,330 4,824 Simple and complex derivatives on multi- underlying baskets on stocks Various volatility option models Unobservable equity volatility 0% to 124% (3) 33% (d) Unobservable equity correlation 25% to 100% 73% (c) (1) The upper part of the range relates to a signi\ufb01cant balance sheet position on an issuer belonging to the European telecommunication sector. The remaining positions relate mainly to sovereign and \ufb01nancial issuers. (2) The upper bound of the range relates to distribution, consumer and transportation sector issuers that represent an insigni\ufb01cant portion of the balance sheet (CDSs with illiquid underlying instruments). (3) The upper part of the range relates to 6 equities representing a non-material portion of the balance sheet on options with equity underlying instruments. Including these inputs, the upper bound of the range would be around 289%. (a) Weights based on relevant risk axis at portfolio level. (b) No weighting, since no explicit sensitivity is attributed to these inputs. (c) Weighting is not based on risks, but on an alternative methodology in relation with the Level 3 instruments (present value or notional). (d) Simple averaging. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 239 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Table of movements in Level 3 financial instruments For Level 3 \ufb01nancial instruments, the following movements occurred during the year ended 31 December 2022: In millions of euros Financial assets Financial liabilities Financial instruments at fair value through pro\ufb01t or loss held for trading Financial instruments at fair value through pro\ufb01t or loss not held for trading Financial assets at fair value through equity TOTAL Financial instruments at fair value through pro\ufb01t or loss held for trading Financial instruments designated as at fair value through pro\ufb01t or loss TOTAL AT 31 DECEMBER 2021 5,324 5,946 1,121 12,391 (10,254) (20,581) (30,835) Purchases 1,507 1,497 257 3,261 - Issues - (6,810) (6,810) Sales (1,591) (1,219) (502) (3,312) (24) (24) Settlements (1) 2,682 1,824 135 4,641 2,905 7,904 10,809 Transfers to Level 3 1,657 26 36 1,719 (733) (1,760) (2,493) Transfers from Level 3 (2,126) (34) (2,160) 1,391 1,007 2,398 Gains (or losses) recognised in pro\ufb01t or loss with respect to transactions expired or terminated during the period (434) 651 (41) 176 (2,983) 2,800 (183) Gains (or losses) recognised in pro\ufb01t or loss with respect to unexpired instruments at the end of the period 20 1 21 (383) (1,758) (2,141) Changes in fair value of assets and liabilities recognised directly in equity - - Items related to exchange rate movements 2 (8) (3) (9) 2 2 Changes in fair value of assets and liabilities recognised in equity (59) (59) - AT 31 DECEMBER 2022 7,041 8,684 944 16,669 (10,079) (19,198) (29,277) (1) For the assets, includes redemptions of principal, interest payments as well as cash in\ufb02ows and out\ufb02ows relating to derivatives. For the liabilities, includes principal redemptions, interest payments as well as cash in\ufb02ows and out\ufb02ows relating to derivatives the fair value of which is negative. Transfers out of Level 3 of derivatives at fair value include mainly the update of the observability tenor of certain yield curves, and of market parameters related to repurchase agreements and credit transactions but also the effect of derivatives becoming only or mainly sensitive to observable inputs due to the shortening of their lifetime. Transfers into Level 3 of instruments at fair value re\ufb02ect the effect of the regular update of the observability zones. Transfers have been re\ufb02ected as if they had taken place at the beginning of the reporting period. The Level 3 \ufb01nancial instruments may be hedged by other Level 1 and Level 2 instruments, the gains and losses of which are not shown in this table. Consequently, the gains and losses shown in this table are not representative of the gains and losses arising from management of the net risk on all these instruments. Sensitivity of fair value to reasonably possible changes in Level 3 assumptions The following table summarises those \ufb01nancial assets and \ufb01nancial liabilities classi\ufb01ed as Level 3 for which alternative assumptions in one or more of the unobservable inputs would change fair value signi\ufb01cantly. The amounts disclosed are intended to illustrate the range of possible uncertainty inherent to the judgement applied when estimating Level 3 parameters, or when selecting valuation techniques. These amounts re\ufb02ect valuation uncertainties that prevail at the measurement date, and even though such uncertainties predominantly derive from the portfolio sensitivities that prevailed at that measurement date, they are not predictive or indicative of future movements in fair value, nor do they represent the effect of market stress on the portfolio value. In estimating sensitivities, BNP Paribas either remeasured the \ufb01nancial instruments using reasonably possible inputs, or applied assumptions based on the valuation adjustment policy. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 240 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements For the sake of simplicity, the sensitivity on cash instruments that are not relating to securitised instruments was based on a uniform 1% shift in the price. More speci\ufb01c shifts were however calibrated for each class of the Level 3 securitised exposures, based on the possible ranges of the unobservable inputs. For derivative exposures, the sensitivity measurement is based on the credit valuation adjustment (CVA), the explicit funding valuation adjustment (FVA) and the parameter and model uncertainty adjustments related to Level 3. Regarding the credit valuation adjustment (CVA) and the explicit funding valuation adjustment (FVA), the uncertainty was calibrated based on prudent valuation adjustments described in the technical standard \u201cPrudent Valuation\u201d published by the European Banking Authority. For other valuation adjustments, two scenarios were considered: a favourable scenario where all or portion of the valuation adjustment is not considered by market participants, and an unfavourable scenario where market participants would require twice the amount of valuation adjustments considered by BNP Paribas for entering into a transaction. In millions of euros 31 December 2022 31 December 2021 Potential impact on income Potential impact on equity Potential impact on income Potential impact on equity Debt securities +/-8 +/-3 +/-7 +/-3 Equities and other equity securities +/-56 +/-5 +/-48 +/-8 Loans and repurchase agreements +/-42 +/-12 Derivative \ufb01nancial instruments +/-576 +/-588 Interest rate and foreign exchange derivatives +/-227 +/-322 Credit derivatives +/-98 +/-35 Equity derivatives +/-245 +/-227 Other derivatives +/-6 +/-4 SENSITIVITY OF LEVEL 3 FINANCIAL INSTRUMENTS +/-682 +/-8 +/-655 +/-11 Deferred margin on financial instruments measured using techniques developed internally and based on inputs partly unobservable in active markets Deferred margin on \ufb01nancial instruments (\u201cDay One Pro\ufb01t\u201d) primarily concerns the scope of \ufb01nancial instruments eligible for Level 3 and to a lesser extent some \ufb01nancial instruments eligible for Level 2 where valuation adjustments for uncertainties regarding parameters or models are not negligible compared to the initial margin. The Day One Pro\ufb01t is calculated after setting aside valuation adjustments for uncertainties as described previously and released to pro\ufb01t or loss over the expected period for which the inputs will be unobservable. The unamortised amount is included under \u201cFinancial instruments at fair value through pro\ufb01t or loss\u201d as a reduction in the fair value of the relevant transactions. In millions of euros Deferred margin at 31 December 2021 Deferred margin on transactions during the period Margin taken to the pro\ufb01t and loss account during the period Deferred margin at 31 December 2022 Interest rate and foreign exchange derivatives 204 142 (152) 194 Credit derivatives 164 150 (140) 174 Equity derivatives 401 449 (424) 426 Other instruments 9 31 (30) 10 Financial instruments 778 772 (746) 804 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 241 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements4.e FINANCIAL ASSETS AT AMORTISED COST \u27a4 DETAIL OF LOANS AND ADVANCES BY NATURE In millions of euros 31 December 2022 31 December 2021 Gross value Impairment (note 2.h) Carrying amount Gross value Impairment (note 2.h) Carrying amount Loans and advances to credit institutions 32,716 (100) 32,616 21,844 (93) 21,751 On demand accounts 11,000 (8) 10,992 9,009 (8) 9,001 Loans (1) 15,767 (92) 15,675 10,635 (85) 10,550 Repurchase agreements 5,949 5,949 2,200 2,200 Loans and advances to customers 875,301 (18,281) 857,020 833,935 (19,935) 814,000 On demand accounts 42,963 (2,844) 40,119 52,488 (3,157) 49,331 Loans to customers 788,971 (14,354) 774,617 740,080 (15,658) 724,422 Finance leases 42,574 (1,083) 41,491 41,026 (1,120) 39,906 Repurchase agreements 793 793 341 341 TOTAL LOANS AND ADVANCES AT AMORTISED COST 908,017 (18,381) 889,636 855,779 (20,028) 835,751 (1) Loans and advances to credit institutions include term deposits made with central banks. \u27a4 CONTRACTUAL MATURITIES OF FINANCE LEASES In millions of euros 31 December 2022 31 December 2021 Gross investment 45,602 43,823 Receivable within 1 year 13,278 12,276 Receivable after 1 year but within 5 years 28,068 27,399 Receivable beyond 5 years 4,256 4,148 Unearned interest income (3,028) (2,797) Net investment before impairment 42,574 41,026 Receivable within 1 year 12,176 11,289 Receivable after 1 year but within 5 years 26,396 25,845 Receivable beyond 5 years 4,002 3,892 Impairment provisions (1,083) (1,120) Net investment after impairment 41,491 39,906 \u27a4DETAIL OF DEBT SECURITIES BY TYPE OF ISSUER In millions of euros 31 December 2022 31 December 2021 Gross value Impairment (note 2.h) Carrying amount Gross value Impairment (note 2.h) Carrying amount Governments 59,961 (23) 59,938 57,221 (20) 57,201 Other public administration 15,686 (2) 15,684 17,317 (2) 17,315 Credit institutions 9,062 (2) 9,060 10,593 (2) 10,591 Others 29,435 (103) 29,332 23,547 (144) 23,403 TOTAL DEBT SECURITIES AT AMORTISED COST 114,144 (130) 114,014 108,678 (168) 108,510 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 242 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4DETAIL OF FINANCIAL ASSETS AT AMORTISED COST BY STAGE In millions of euros 31 December 2022 31 December 2021 Gross Value Impairment (note 2.h) Carrying amount Gross Value Impairment (note 2.h) Carrying amount Loans and advances to credit institutions 32,716 (100) 32,616 21,844 (93) 21,751 Stage 1 32,439 (11) 32,428 21,516 (13) 21,503 Stage 2 191 (10) 181 242 (2) 240 Stage 3 86 (79) 7 86 (78) 8 Loans and advances to customers 875,301 (18,281) 857,020 833,935 (19,935) 814,000 Stage 1 761,930 (1,998) 759,932 701,259 (1,834) 699,425 Stage 2 (1) 88,095 (2,839) 85,256 104,857 (2,687) 102,170 Stage 3 25,276 (13,444) 11,832 27,819 (15,414) 12,405 Debt securities 114,144 (130) 114,014 108,678 (168) 108,510 Stage 1 113,602 (27) 113,575 108,006 (20) 107,986 Stage 2 387 (10) 377 412 (25) 387 Stage 3 155 (93) 62 260 (123) 137 TOTAL FINANCIAL ASSETS AT AMORTISED COST 1,022,161 (18,511) 1,003,650 964,457 (20,196) 944,261 (1) The variation on loans classi\ufb01ed as stage 2 is presented in note 2.h.4.f IMPAIRED FINANCIAL ASSETS (STAGE 3) The following tables present the carrying amounts of impaired \ufb01nancial assets carried at amortised cost and of impaired \ufb01nancing and guarantee commitments, as well as related collateral and other guarantees. The amounts shown for collateral and other guarantees correspond to the lower of the value of the collateral or other guarantee and the value of the secured assets. In millions of euros 31 December 2022 Impaired \ufb01nancial assets (Stage 3) Collateral received Gross value Impairment Net Loans and advances to credit institutions (note 4.e) 86 (79) 7 1 Loans and advances to customers (note 4.e) 25,276 (13,444) 11,832 7,651 Debt securities at amortised cost (note 4.e) 155 (93) 62 14 TOTAL AMORTISED-COST IMPAIRED ASSETS (STAGE 3) 25,517 (13,616) 11,901 7,666 Financing commitments given 898 (73) 825 198 Guarantee commitments given 820 (243) 577 135 TOTAL OFF-BALANCE SHEET IMPAIRED COMMITMENTS (STAGE 3) 1,718 (316) 1,402 333 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 243 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In millions of euros 31 December 2021 Impaired \ufb01nancial assets (Stage 3) Collateral received Gross value Impairment Net Loans and advances to credit institutions (note 4.e) 86 (78) 8 1 Loans and advances to customers (note 4.e) 27,819 (15,414) 12,405 8,068 Debt securities at amortised cost (note 4.e) 260 (123) 137 25 TOTAL AMORTISED-COST IMPAIRED ASSETS (STAGE 3) 28,165 (15,615) 12,550 8,094 Financing commitments given 1,088 (89) 999 65 Guarantee commitments given 833 (265) 568 192 TOTAL OFF-BALANCE SHEET IMPAIRED COMMITMENTS (STAGE 3) 1,921 (354) 1,567 257 The following table presents the changes in gross exposures of stage 3 assets (EU CR2): Gross value In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 IMPAIRED EXPOSURES (STAGE 3) AT OPENING BALANCE 28,165 30,420 Transfer to stage 3 6,125 6,432 Transfer to stage 1 or stage 2 (1,672) (2,548) Assets written off (4,827) (4,491) Other changes (2,274) (1,648) IMPAIRED EXPOSURES (STAGE 3) AT CLOSING BALANCE 25,517 28,1654.g FINANCIAL LIABILITIES AT AMORTISED COST DUE TO CREDIT INSTITUTIONS AND CUSTOMERS In millions of euros 31 December 2022 31 December 2021 Deposits from credit institutions 124,718 165,699 On demand accounts 12,538 9,105 Interbank borrowings (1) 104,135 147,635 Repurchase agreements 8,045 8,959 Deposits from customers 1,008,054 957,684 On demand deposits 592,267 634,784 Savings accounts 162,354 158,932 Term accounts and short-term notes 253,210 163,429 Repurchase agreements 223 539 (1) Interbank borrowings from credit institutions include term borrowings from central banks, of which EUR 67 billion of TLTRO III at 31 December 2022 compared to EUR 120.1 billion at 31 December 2021 (see note 2.a Net Interest Income). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 244 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements4.h DEBT SECURITIES AND SUBORDINATED DEBT This note covers all issued debt securities and subordinated debt measured at amortised cost and designated as at fair value through pro\ufb01t or loss. \u27a4 DEBT SECURITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS (NOTE 4.A) Issuer/Issue date In millions of euros Currency Original amount in foreign currency (millions) Date of call or interest step-up Interest rate Interest step-up Conditions precedent for coupon payment (1) 31 December 2022 31 December 2021 Debt securities 64,110 62,334 Subordinated debt 676 947 Redeemable subordinated debt (2) 16 41 Perpetual subordinated debt 660 906 BNP Paribas Fortis Dec. 2007 (3) EUR 3,000 Dec.-14 3-month Euribor +200 bp A 660 906 (1) Conditions precedent for coupon payment: A Coupon payments are halted should the issuer have insuf\ufb01cient capital or the underwriters become insolvent or when the dividend declared for Ageas shares falls below a certain threshold. (2) After agreement from the banking supervisory authority and at the issuer\u2019s initiative, redeemable subordinated debt issues may contain a call provision authorising the Group to redeem the securities prior to maturity by repurchasing them in the stock market, via public tender offers, or in the case of private placements over the counter. Debt issued by BNP Paribas SA or foreign subsidiaries of the Group via placements in the international markets may be subject to early redemption of the capital and early payment of interest due at maturity at the issuer\u2019s discretion on or after a date stipulated in the issue particulars (call option), or in the event that changes in the applicable tax rules oblige the BNP Paribas Group issuer to compensate debt-holders for the consequences of such changes. Redemption may be subject to a notice period of between 15 and 60 days, and is in all cases subject to approval by the banking supervisory authorities. (3) Convertible And Subordinated Hybrid Equity-linked Securities (CASHES) issued by BNP Paribas Fortis (previously Fortis Banque) in December 2007. The CASHES are perpetual securities but may be exchanged for Ageas (previously Fortis SA/NV) shares at the holder\u2019s sole discretion at a price of EUR 239.40. However, as of 19 December 2014, the CASHES will be automatically exchanged into Ageas shares if their price is equal to or higher than EUR 359.10 for twenty consecutive trading days. The principal amount will never be redeemed in cash. The rights of the CASHES holders are limited to the Ageas shares held by BNP Paribas Fortis and pledged to them. Ageas and BNP Paribas Fortis have entered into a Relative Performance Note (RPN) contract, the value of which varies contractually so as to offset the impact on BNP Paribas Fortis of the relative difference between changes in the value of the CASHES and changes in the value of the Ageas shares. Since 1 January 2022, the liability is no longer eligible to prudential own funds. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 245 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 DEBT SECURITIES MEASURED AT AMORTISED COST Issuer/Issue date In millions of euros Currency Original amount in foreign currency (millions) Date of call or interest step-up Interest rate Interest step-up Conditions precedent for coupon payment (1) 31 December 2022 31 December 2021 Debt securities 154,143 149,723 Debt securities in issue with an initial maturity of less than one year 58,042 47,293 Negotiable debt securities 58,042 47,293 Debt securities in issue with an initial maturity of more than one year 96,101 102,430 Negotiable debt securities 17,587 27,256 Bonds 78,514 75,174 Subordinated debt 24,156 24,720 Redeemable subordinated debt (2) 22,419 23,000 Undated subordinated notes 1,509 1,494 BNP Paribas SA Oct. 85 EUR 305 - TMO - 0.25% - B 254 254 BNP Paribas SA Sept. 86 USD 500 - 6 month - Libor +0.075% - C 255 240 BNP Paribas Cardif Nov. 14 EUR 1,000 Nov. 25 4.032% 3-month Euribor +393 bp D 1,000 1,000 Participating notes 222 222 BNP Paribas SA July 84 (3) EUR 337 - (4) - 215 215 Others 7 7 Expenses and commission, related debt 6 4 (1) Conditions precedent for coupon payment B Payment of the interest is mandatory, unless the Board of directors decides to postpone these payments after the Shareholders\u2019 General Meeting has of\ufb01cially noted that there is no income available for distribution, where this occurs within the 12-month period preceding the due date for payment of the interest. Interest payments are cumulative and are payable in full once dividend payments resume. C Payment of the interest is mandatory, unless the Board of directors decides to postpone these payments after the Shareholders\u2019 General Meeting has validated the decision not to pay out a dividend, where this occurs within the 12-month period preceding the due date for payment of the interest. Interest payments are cumulative and are payable in full once dividend payments resume. The bank has the option of resuming payment of interest arrears, even where no dividend is paid out. D Payment of the interest is mandatory, except for cases of regulatory de\ufb01ciency, in agreement with the regulator, or of suspension of payments. Interest payments are cumulative and are payable in full, once coupon payments resume, or, if these events occur before, when the issuance is redeemed or when the issuer is liquidated. (2) See reference relating to \u201cDebt securities at fair value through pro\ufb01t or loss\u201d. (3) The participating notes issued by BNP Paribas SA may be repurchased as provided for in the law of 3 January 1983. The number of notes in the market is 1,434,092. (4) Depending on net income subject to a minimum of 85% of the TMO rate and a maximum of 130% of the TMO rate. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 246 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements4.i FINANCIAL INVESTMENTS AND OTHER ASSETS RELATED TO INSURANCE ACTIVITIES In millions of euros 31 December 2022 31 December 2021 Assets not representative of unit-linked insurance contracts Assets representative of unit-linked insurance contracts (\ufb01nancial risk supported by policyholders) Total Assets not representative of unit-linked insurance contracts Assets representative of unit-linked insurance contracts (\ufb01nancial risk supported by policyholders) Total Financial instruments designated as at fair value through pro\ufb01t or loss 44,317 79,648 123,965 50,940 87,108 138,048 Derivative \ufb01nancial instruments 1,675 1,675 1,033 1,033 Available-for-sale \ufb01nancial assets 104,961 104,961 127,413 127,413 Held-to-maturity \ufb01nancial assets 970 970 981 981 Loans and receivables 3,074 3,074 3,145 3,145 Equity-method investments 342 342 349 349 Investment property 2,855 4,402 7,257 2,875 4,354 7,229 TOTAL 158,194 84,050 242,244 186,736 91,462 278,198 Reinsurers\u2019 share of technical reserves 2,277 2,277 2,568 2,568 Policyholders\u2019 surplus reserve \u2013 assets 2,882 2,882 FINANCIAL INVESTMENTS AND OTHER ASSETS RELATED TO INSURANCE ACTIVITIES 163,353 84,050 247,403 189,304 91,462 280,766 Investments in \ufb01nancial instruments of insurance activities are accounted for according to IAS 39 principles. The fair value of \ufb01nancial assets with contractual cash-\ufb02ows corresponding only to payments of principal and interest on principal amounts to EUR 91.9 billion at 31 December 2022. It amounted to EUR 108.6 billion at 31 December 2021, which represents a variation of -EUR 16.7 billion over the period. The fair value of other \ufb01nancial assets amounts to EUR 150.4 billion and corresponds to all \ufb01nancial instruments that do not meet the previously mentioned criteria, derivatives and \ufb01nancial assets managed on a market value basis. It amounted to EUR 170 billion at 31 December 2021, which represents a variation of -EUR 19.6 billion over the period. The fair value of investment properties which are not representative of unit-linked insurance contracts accounted for at amortised cost amounts to EUR 4.2 billion at 31 December 2022, compared with EUR 4.4 billion at 31 December 2021.\u27a4 MEASUREMENT OF THE FAIR VALUE OF FINANCIAL INSTRUMENTS The criteria for allocating instruments to the levels of the fair value hierarchy, the corresponding valuation methodologies and the principles of transfer between the levels of the hierarchy for insurance investments are similar to those applied for the Group\u2019s other \ufb01nancial instruments (note 4.d). In millions of euros 31 December 2022 31 December 2021 Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Available-for-sale \ufb01nancial assets 91,640 12,720 601 104,961 110,750 16,196 467 127,413 Equity instruments 7,627 1,390 437 9,454 9,767 1,338 367 11,472 Debt securities 84,013 11,330 164 95,507 100,983 14,858 100 115,941 Financial instruments designated as at fair value through pro\ufb01t or loss 70,018 41,471 12,476 123,965 86,497 43,486 8,065 138,048 Equity instruments 69,439 32,669 12,452 114,560 85,749 34,660 8,037 128,446 Debt securities 579 8,802 24 9,405 748 8,826 28 9,602 Derivative \ufb01nancial instruments 10 1,622 43 1,675 1 909 123 1,033 FINANCIAL ASSETS MEASURED AT FAIR VALUE 161,668 55,813 13,120 230,601 197,248 60,591 8,655 266,494 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 247 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Level 1: this level comprises equities and liquid bonds, derivative instruments traded on organised markets (futures, options, etc.), units of funds and UCITS for which the net asset value is calculated on a daily basis. Level 2: this level comprises equities, certain government or corporate bonds, other fund units and UCITS and over-the-counter derivatives. Level 3: this level consists mainly of fund units and shares which are not quoted on active markets, consisting mainly of units in venture capital companies and funds. \u27a4 TABLE OF MOVEMENTS IN LEVEL 3 FINANCIAL INSTRUMENTS For Level 3 \ufb01nancial instruments, the following movements occurred during the period: In millions of euros Financial assets Available-for- sale \ufb01nancial instruments Financial instruments as at fair value through pro\ufb01t or loss Total AT 31 DECEMBER 2021 467 8,188 8,655 Purchases 290 3,701 3,991 Sales (371) (2,875) (3,246) Settlements (16) (393) (409) Transfers to Level 3 312 2,423 2,735 Transfers from Level 3 (80) (41) (121) Gains recognised in pro\ufb01t or loss 5 1,509 1,514 Items related to exchange rate movements 8 8 Changes in fair value of assets and liabilities recognised in equity (6) (6) AT 31 DECEMBER 2022 601 12,519 13,120 \u27a4DETAILS OF AVAILABLE-FOR-SALE FINANCIAL ASSETS In millions of euros 31 December 2022 31 December 2021 Balance sheet value of which impairment of which changes in value recognised directly in equity Balance sheet value of which impairment of which changes in value recognised directly in equity Debt securities 95,507 (11,744) 115,941 9,408 Equity instruments 9,454 (698) 2,041 11,472 (664) 3,257 TOTAL AVAILABLE-FOR-SALE FINANCIAL ASSETS 104,961 (698) (9,703) 127,413 (664) 12,665\u27a4 FAIR VALUE OF FINANCIAL INSTRUMENTS CARRIED AT AMORTISED COST In millions of euros 31 December 2022 31 December 2021 Level 1 Level 2 Level 3 Total Carrying value Level 1 Level 2 Level 3 Total Carrying value Held-to-maturity \ufb01nancial assets 1,016 1,016 970 1,150 1,150 981 Loans and receivables 3,069 7 3,076 3,074 3,152 3 3,155 3,145 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 248 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements4.j TECHNICAL RESERVES AND OTHER INSURANCE LIABILITIES In millions of euros 31 December 2022 31 December 2021 Technical reserves \u2013 Non-Life insurance contracts 4,147 4,212 Technical reserves \u2013 Life insurance contracts 162,909 168,910 Insurance contracts 88,278 87,325 Unit-linked contracts 74,631 81,585 Technical liabilities \u2013 investment contracts 47,984 50,723 Investment contracts with discretionary participation feature 39,729 41,850 Investment contracts without discretionary participation feature \u2013 Unit-linked contracts 8,255 8,873 Policyholders\u2019 surplus reserve \u2013 liability 6,527 27,011 Total technical reserves and liabilities related to insurance and investment contracts 221,567 250,856 Debts arising out of insurance and reinsurance operations 3,065 2,890 Derivative \ufb01nancial instruments 1,900 1,049 TOTAL TECHNICAL RESERVES AND OTHER INSURANCE LIABILITIES 226,532 254,795 The policyholders\u2019 surplus reserve arises from the application of shadow accounting. It represents the interest of policyholders, within life insurance subsidiaries in France, Luxembourg and Italy, in unrealised gains and losses and impairment losses on assets where the bene\ufb01t paid under the policy is linked to the return on those assets. It is obtained from stochastic calculations modelling the unrealised gains and losses attributable to policyholders based on economic scenarios and assumptions as regards rates paid to customers and new business in\ufb02ows. For France, this resulted in an average interest rate of 92% in 2022, unchanged from 2021. The Liability Adequacy Test required by IFRS 4 and performed by contract portfolio consists of comparing reserves (net of deferred acquisition costs) with an evaluation of future discounted cash \ufb02ows. At 31 December 2022, this test con\ufb01rms the absence of de\ufb01ciency. The change in technical reserves and liabilities related to insurance contracts breaks down as follows: In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Liabilities related to insurance contracts at start of period 250,856 236,185 Additions to insurance contract technical reserves and deposits taken on \ufb01nancial contracts related to life insurance 1,384 24,687 Claims and bene\ufb01ts paid (20,495) (18,721) Effect of changes in value of admissible investments related to unit-linked contracts (9,725) 8,242 Effect of movements in exchange rates (341) 811 Effect of changes in the scope of consolidation (112) (348) Liabilities related to insurance contracts at end of period 221,567 250,856 See note 4.i for details of reinsurers\u2019 share of technical reserves.4.k CURRENT AND DEFERRED TAXES In millions of euros 31 December 2022 31 December 2021 Current taxes 1,685 1,862 Deferred taxes 4,208 4,004 Current and deferred tax assets 5,893 5,866 Current taxes 2,042 1,787 Deferred taxes 1,012 1,316 Current and deferred tax liabilities 3,054 3,103 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 249 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Change in deferred tax by nature over the period: In millions of euros 31 December 2021 Changes recognised in pro\ufb01t or loss Changes recognised in equity that may be reclassi\ufb01ed to pro\ufb01t or loss Changes recognised in equity that will not be reclassi\ufb01ed to pro\ufb01t or loss Effects of exchange rates, consolidation scope and other movements 31 December 2022 Financial instruments (857) (278) 1,434 (135) 19 183 Provisions for employee bene\ufb01t obligations 738 (13) - 39 (11) 753 Unrealised \ufb01nance lease reserve (481) (89) - - (7) (577) Credit risk impairment 2,705 (93) - - 20 2,632 Tax loss carryforwards 774 (221) - - 10 563 Other items (191) (126) - - (41) (358) NET DEFERRED TAXES 2,688 (820) 1,434 (96) (10) 3,196 Deferred tax assets 4,004 4,208 Deferred tax liabilities (1,316) (1,012) In order to determine the amount of the tax loss carryforwards recognised as assets, the Group conducts every year a speci\ufb01c review for each relevant entity based on the applicable tax regime, notably incorporating any time limit rules, and a realistic projection of their future revenue and charges in line with their business plan. Deferred tax assets recognised on tax loss carryforwards are mainly related to BNP Paribas Fortis for EUR 254 million at 31 December 2022, with a 3-year expected recovery period (unlimited carryforward period). Unrecognised deferred tax assets totalled EUR 1,530 million at 31 December 2022 (of which EUR 1,336 million of tax loss carryforwards) compared with EUR 1,408 million at 31 December 2021 (of which EUR 1,234 million of tax loss carryforwards).4.l ACCRUED INCOME/EXPENSE AND OTHER ASSETS/LIABILITIES In millions of euros 31 December 2022 31 December 2021 Guarantee deposits and bank guarantees paid 155,199 136,142 Collection accounts 282 242 Accrued income and prepaid expenses 7,030 4,617 Other debtors and miscellaneous assets 46,581 38,122 TOTAL ACCRUED INCOME AND OTHER ASSETS 209,092 179,123 Guarantee deposits received 124,047 101,923 Collection accounts 2,907 2,870 Accrued expense and deferred income 10,874 7,739 Lease liabilities 3,075 3,248 Other creditors and miscellaneous liabilities 44,553 29,619 TOTAL ACCRUED EXPENSE AND OTHER LIABILITIES 185,456 145,399 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 250 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements4.m EQUITY-METHOD INVESTMENTS Cumulated \ufb01nancial information of associates and joint ventures is presented in the following table: In millions of euros Year to 31 December 2022 31 December 2022 Year to 31 December 2021 31 December 2021 Share of net income Share of changes in assets and liabilities recognised directly in equity Share of net income and changes in assets and liabilities recognised directly in equity Equity-method investments Share of net income Share of changes in assets and liabilities recognised directly in equity Share of net income and changes in assets and liabilities recognised directly in equity Equity-method investments Joint ventures 34 130 164 1,447 5 128 133 1,022 Associates (1) 665 (990) (325) 4,816 489 184 673 5,506 TOTAL EQUITY- METHOD ENTITIES 699 (860) (161) 6,263 494 312 806 6,528 (1) Including controlled but non-material entities consolidated under the equity method. Financing and guarantee commitments given by the Group to joint ventures are listed in note 7.j Other related parties. The carrying amount of the Group\u2019s investment in the main joint ventures and associates is presented in the following table: In millions of euros Country of registration Activity Interest (%) 31 December 2022 31 December 2021 Joint ventures bpost bank (1) Belgium Retail Banking 100% - 111 Union de Creditos Inmobiliarios Spain Retail mortgage 50% 327 203 BoB Cardif Life Insurance China Life Insurance 50% 232 231 BNPP Cardif TCB Life Insurance Taiwan Life Insurance 49% 161 214 Associates AG Insurance Belgium Insurance 25% 597 1,704 Bank of Nanjing China Retail Banking 14% 2,757 2,306 Allfunds Group Plc United Kingdom Financial Services 12% 318 370 (1) On 3 January 2022, the Group BNP Paribas took exclusive control of bpost bank. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 251 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements4.n PROPERTY, PLANT, EQUIPMENT AND INTANGIBLE ASSETS USED IN OPERATIONS, INVESTMENT PROPERTY In millions of euros 31 December 2022 31 December 2021 Gross value Accumulated depreciation, amortisation and impairment Carrying amount Gross value Accumulated depreciation, amortisation and impairment Carrying amount INVESTMENT PROPERTY 827 (298) 529 869 (294) 575 Land and buildings 11,507 (4,704) 6,803 12,023 (4,817) 7,206 Equipment, furniture and \ufb01xtures 7,177 (5,400) 1,777 7,172 (5,312) 1,860 Plant and equipment leased as lessor under operating leases 38,817 (10,658) 28,159 33,890 (9,285) 24,605 Other property, plant and equipment 2,318 (1,118) 1,200 1,932 (1,095) 837 PROPERTY, PLANT AND EQUIPMENT 59,819 (21,880) 37,939 55,017 (20,509) 34,508 Of which right of use 6,000 (3,294) 2,706 6,117 (3,314) 2,803 PROPERTY, PLANT AND EQUIPMENT AND INVESTMENT PROPERTY 60,646 (22,178) 38,468 55,886 (20,803) 35,083 Purchased software 3,690 (3,035) 655 3,303 (2,651) 652 Internally developed software 6,345 (5,000) 1,345 5,995 (4,657) 1,338 Other intangible assets 2,367 (577) 1,790 2,157 (488) 1,669 INTANGIBLE ASSETS 12,402 (8,612) 3,790 11,455 (7,796) 3,659Investment property Land and buildings leased by the Group as lessor under operating leases are recorded in \u201cInvestment property\u201d. The estimated fair value of investment property accounted for at amortised cost at 31 December 2022 is EUR 680 million, compared with EUR 736 million at 31 December 2021.Operating leases Operating leases and investment property transactions are in certain cases subject to agreements providing for the following minimum future payments: In millions of euros 31 December 2022 31 December 2021 Future minimum lease payments receivable under non-cancellable leases 8,221 7,757 Payments receivable within 1 year 3,613 3,364 Payments receivable after 1 year but within 5 years 4,582 4,341 Payments receivable beyond 5 years 26 52 Future minimum lease payments receivable under non-cancellable leases are payments that the lessee is required to make during the lease term.Intangible assets Other intangible assets include leasehold rights, goodwill and trademarks acquired by the Group.Amortisation and provision Net depreciation and amortisation expense for the year ended 31 December 2022 was EUR 2,376 million, compared with EUR 2,336 million for the year ended 31 December 2021. The net increase in impairment on property, plant, equipment and intangible assets taken to the pro\ufb01t and loss account for the year ended 31 December 2022 amounted to EUR 18 million, compared with EUR 8 million for the year ended 31 December 2021. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 252 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements4.o GOODWILL In millions of euros 31 December 2022 31 December 2021 CARRYING AMOUNT AT START OF PERIOD 5,121 7,493 Acquisitions 215 47 Divestments (15) (90) Impairment recognised during the period (28) (26) Transfer to assets held for sale (note 7.d) (2,533) Exchange rate adjustments 1 230 CARRYING AMOUNT AT END OF PERIOD 5,294 5,121 Gross value 8,413 8,350 Accumulated impairment recognised at the end of period (3,119) (3,229) Goodwill by cash-generating unit is as follows: In millions of euros Carrying amount Recognised impairment Acquisitions 31 December 2022 31 December 2021 Year to 31 Dec. 2022 Year to 31 Dec. 2021 31 December 2022 31 December 2021 Corporate & Institutional Banking 1,215 1,210 Global Banking 279 276 Global Markets 490 478 Securities Services 446 456 Commercial, Personal Banking & Services 2,894 2,704 (19) (26) 215 32 Arval 608 523 96 1 Leasing Solutions 148 150 Personal Finance 1,291 1,236 (19) 61 Personal Investors 564 568 (26) New Digital Businesses 220 159 61 Other 63 68 (3) 31 Investment & Protection Services 1,182 1,204 (9) - 15 Asset Management 190 186 Insurance 281 296 Real Estate 402 406 Wealth Management 309 316 (9) 15 Other Activities 3 3 TOTAL GOODWILL 5,294 5,121 (28) (26) 215 47 Negative goodwill 277 117 CHANGE IN VALUE OF GOODWILL RECOGNISED IN THE PROFIT AND LOSS ACCOUNT 249 91 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 253 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The Group carried out a detailed analysis of goodwill to identify whether impairments were necessary in connection with the health crisis. This analysis is based in particular on the assumptions of economic scenarios (see note 2.h). The cash-generating units to which goodwill is allocated are: Global Banking: Global Banking combines \ufb01nancing solutions to corporates, all transaction banking products, corporate \ufb01nance advisory services in mergers and acquisitions and primary equity activities. Global Markets: Global Markets provides investment, hedging, \ufb01nancing and research services across asset classes, to corporate and institutional clients \u2013 as well as private and retail banking networks. The sustainable, long-term business model of Global Markets connects clients to capital markets throughout EMEA (Europe, Middle East & Africa), Asia Paci\ufb01c and the Americas, with innovative solutions and digital platforms. Global Markets includes activities of Fixed Income, Currencies & Commodities and Equity & Prime Services. Securities Services: Securities Services provides integrated solutions for all actors involved in the investment cycle, sell side, buy side and issuers. BNP Paribas is one of the major global players in securities services. Arval: Specialist in vehicle long-term leasing and mobility, Arval offers corporates (from multinational companies to small and medium companies), employees and individuals tailored solutions that optimise their mobility. Leasing Solutions: BNP Paribas Leasing Solutions uses a multi-channel partnership approach (sales via referrals, partnerships, direct sales and banking networks) to offer corporate and small business clients an array of leasing and rental solutions, ranging from equipment \ufb01nancing to \ufb02eet outsourcing. Personal Finance: BNP Paribas Personal Finance is the Group\u2019s consumer credit specialist. Through its brands and partnerships such as Cetelem, Co\ufb01noga, Findomestic, AlphaCredit or Opel Vauxhall, Personal Finance provides a full range of consumer loans at point of sale (retail stores and car dealerships) or through its customer relation centres, websites and mobile applications. The business line, in some countries outside the domestic markets, is integrated into the BNP Paribas Group\u2019s retail banking. Personal Investors: BNP Paribas Personal Investors is a digital specialist of banking and investment services. Based in Germany and India, it provides a wide range of banking, savings and long and short-term investment services to individual clients via the internet, and also on the phone and face-to- face. In addition to its activities destined to private clients, Personal Investors offers its services and IT platform to independent \ufb01nancial consultants, asset managers and FinTechs. New digital businesses: they include in particular the account management service \u201cNickel\u201d, open to all, without any conditions regarding income, deposits or personal wealth, and without any overdraft or credit facility. This service, which operates in real time using the latest technology, is available through over 9,000 points of sale in France, Spain, Belgium and Portugal. BancWest: In the United States, the Retail Banking business is conducted through Bank of the West, which markets a very broad range of retail banking products and services to individuals, small businesses and corporate clients, through branches and of\ufb01ces in 24 States, mainly in western and mid-western America. It also has strong positions across the USA in several specialised lending activities, such as marine, recreational vehicles and agribusiness, and develops its commercial set up particularly in Corporate Banking, Wealth Management, and Small and Medium Enterprise businesses. On 18 December 2021, the Group concluded an agreement with BMO Financial Group for the sale of its retail and commercial banking activities in the United States operated by BancWest for a total price of USD 16.3 billion to be paid in cash at the time of the transaction. The Group applies the provisions of IFRS 5 on groups of assets and liabilities held for sale, leading to the reclassi\ufb01cation of the goodwill into \u201cAssets held for sale\u201d (see note 7.d). Asset Management: BNP Paribas Asset Management is the dedicated asset management business line of the BNP Paribas Group and offers services to individual investors (through internal distributors \u2013 BNP Paribas private and retail banking \u2013 and external distributors), to corporates and to institutional investors (insurance companies, retirement funds, of\ufb01cial institutions, consultants). Its aim is to offer an added value based on a broad range of expertise throughout its active management of equities and bonds, its activity of private debt and real asset management and its multi-asset, quantitative and solutions division. Insurance: BNP Paribas Cardif, a world leader in personal insurance, has designed, developed and marketed savings and protection products and services to protect individuals, their projects and their assets. BNP Paribas Cardif also offer products in damage insurance, health insurance, budget insurance, revenue and means of payment insurance, unexpected event protection (unemployment, accident, death, theft or breakage) or the protection of private digital data to meet the evolution of customers\u2019 needs. Real Estate: BNP Paribas Real Estate serves the needs of its clients, whether institutional investors, corporates, public entities or individuals, at all stages of the life cycle of their property (from the conception of a construction project to its daily management). Wealth Management: Wealth Management encompasses the private banking activities of BNP Paribas and serves a clientele of wealthy individuals, shareholder families and entrepreneurs seeking a one-stop shop for all their wealth management and \ufb01nancial needs. Goodwill impairment tests are based on three different methods: observation of transactions related to comparable businesses, share price data for listed companies with comparable businesses, and discounted future cash \ufb02ows (DCF). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 254 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements If one of the two comparables-based methods indicates the need for impairment, the DCF method is used to validate the results and determine the amount of impairment required. The DCF method is based on a number of assumptions in terms of future revenues, expenses and cost of risk (cash \ufb02ows) based on medium-term business plans over a period of \ufb01ve years. Cash \ufb02ow projections beyond the 5-year forecast period are based on a growth rate to perpetuity and are normalised when the short-term environment does not re\ufb02ect the normal conditions of the economic cycle. The key parameters which are sensitive to the assumptions made are the cost of capital, the cost/income ratio, the cost of risk and the growth rate to perpetuity. Cost of capital is determined on the basis of a risk-free rate, an observed market risk premium weighted by a risk factor based on comparables speci\ufb01c to each cash-generating unit. The values of these parameters are obtained from external information sources. Allocated capital is determined for each cash-generating unit based on the \u201cCommon Equity Tier One\u201d regulatory requirements for the legal entity to which the cash-generating unit belongs, with a minimum of 7%. The growth rate to perpetuity used is 2% for mature economies in Europe. For CGUs implemented in countries with high levels of in\ufb02ation, a speci\ufb01c add-on is taken into account (calculated according to in\ufb02ation rates disclosed by external sources). The following table shows the sensitivity of the valuation of the Personal Finance cash generating unit to changes in the value of parameters used in the DCF calculation: the cost of capital, the cost/income ratio in terminal value, the cost of risk in terminal value and the growth rate to perpetuity. \u27a4 SENSITIVITY OF THE MAIN GOODWILL VALUATIONS TO A 10-BASIS POINT CHANGE IN THE COST OF CAPITAL, A 1% CHANGE IN THE COST/INCOME RATIO IN TERMINAL VALUE, A 5% CHANGE OF THE COST OF RISK IN TERMINAL VALUE AND A 50-BASIS POINT CHANGE IN THE GROWTH RATE TO PERPETUITY In millions of euros Personal Finance Cost of capital 10.8% Adverse change (+10 basis points) (159) Positive change (-10 basis points) 162 Cost/income ratio 47.8% Adverse change (+1%) (351) Positive change (-1%) 351 Cost of risk (1,503) Adverse change (+5%) (408) Positive change (-5%) 408 Growth rate to perpetuity 2.0% Adverse change (-50 basis points) (257) Positive change (+50 basis points) 288 Concerning the homogeneous Personal Finance set, there would be no need to depreciate even by using, for the impairment test, the four most unfavourable variations in the table. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 255 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements4.p PROVISIONS FOR CONTINGENCIES AND CHARGES \u27a4 PROVISIONS FOR CONTINGENCIES AND CHARGES BY TYPE In millions of euros 31 December 2021 Net additions to provisions Provisions used Changes in value recognised directly in  equity Effect of movements in exchange rates and other movements 31 December 2022 Provisions for employee bene\ufb01ts 6,532 1,256 (1,254) (640) 223 6,117 of which post-employment bene\ufb01ts (note 6.b) 3,727 235 (369) (604) 171 3,160 of which post-employment healthcare bene\ufb01ts (note 6.b) 115 7 (2) (37) 83 of which provision for other long- term bene\ufb01ts (note 6.c) 1,364 498 (345) 29 1,546 of which provision for voluntary departure, early retirement plans, and headcount adaptation plan (note 6.d) 355 18 (113) 10 270 of which provision for share-based payments (note 6.e) 970 498 (423) 14 1,059 Provisions for home savings accounts and plans 93 (46) 47 Provisions for credit commitments (note 2.h) 1,425 70 (71) 6 1,430 Provisions for litigations 992 369 (215) 26 1,172 Other provisions for contingencies and charges 1,145 228 (128) 29 1,274 TOTAL PROVISIONS FOR CONTINGENCIES AND CHARGES 10,187 1,877 (1,668) (640) 284 10,040 \u27a4 PROVISIONS AND DISCOUNT FOR HOME SAVINGS ACCOUNTS AND PLANS In millions of euros 31 December 2022 31 December 2021 Deposits collected under home savings accounts and plans 16,547 17,378 of which deposits collected under home savings plans 14,409 15,239 Aged more than 10 years 6,332 5,652 Aged between 4 and 10 years 7,227 8,108 Aged less than 4 years 850 1,479 Outstanding loans granted under home savings accounts and plans 10 23 of which loans granted under home savings plans 2 4 Provisions and discount recognised for home savings accounts and plans 47 93 provisions recognised for home savings plans 42 93 provisions recognised for home savings accounts 5 - discount recognised for home savings accounts and plans - - 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 256 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements4.q OFFSETTING OF FINANCIAL ASSETS AND LIABILITIES The following tables present the amounts of \ufb01nancial assets and liabilities before and after offsetting. This information, required by IFRS 7, aims to enable the comparability with the accounting treatment applicable in accordance with generally accepted accounting principles in the United States (US GAAP), which are less restrictive than IAS 32 as regards offsetting. \u201cAmounts set off on the balance sheet\u201d have been determined according to IAS 32. Thus, a \ufb01nancial asset and a \ufb01nancial liability are offset and the net amount presented on the balance sheet when, and only when, the Group has a legally enforceable right to set off the recognised amounts and intends either to settle on a net basis, or to realise the asset and settle the liability simultaneously. Amounts set off derive mainly from repurchase agreements and derivative instruments traded with clearing houses. The \u201cimpacts of master netting agreements and similar agreements\u201d are relative to outstanding amounts of transactions within an enforceable agreement, which do not meet the offsetting criteria de\ufb01ned by IAS 32. This is the case of transactions for which offsetting can only be performed in case of default, insolvency or bankruptcy of one of the contracting parties. \u201cFinancial instruments given or received as collateral\u201d include guarantee deposits and securities collateral recognised at fair value. These guarantees can only be exercised in case of default, insolvency or bankruptcy of one of the contracting parties. Regarding master netting agreements, the guarantee deposits received or given in compensation for the positive or negative fair values of \ufb01nancial instruments are recognised in the balance sheet in accrued income or expenses and other assets or liabilities. In millions of euros, at 31 December 2022 Gross amounts of \ufb01nancial assets Gross amounts set off on the balance sheet Net amounts presented on the balance sheet Impact of Master Netting Agreements (MNA) and similar agreements Financial instruments received as collateral Net amounts Assets Financial instruments at fair value through pro\ufb01t or loss Securities 166,077 166,077 166,077 Loans and repurchase agreements 334,401 (143,276) 191,125 (27,377) (147,368) 16,380 Derivative \ufb01nancial instruments (including derivatives used for hedging purposes) 980,161 (626,829) 353,333 (228,379) (64,980) 59,974 Financial assets at amortised cost 1,003,650 1,003,650 (966) (5,198) 997,486 of which repurchase agreements 6,742 6,742 (966) (5,198) 578 Accrued income and other assets 209,092 209,092 (44,982) 164,110 of which guarantee deposits paid 155,199 155,199 (44,982) 110,217 Other assets not subject to offsetting 743,099 743,099 743,099 TOTAL ASSETS 3,436,480 (770,105) 2,666,376 (256,722) (262,528) 2,147,126 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 257 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In millions of euros, at 31 December 2022 Gross amounts of \ufb01nancial liabilities Gross amounts set off on the balance sheet Net amounts presented on the balance sheet Impact of Master Netting Agreements (MNA) and similar agreements Financial instruments given as collateral Net amounts Liabilities Financial instruments at fair value through pro\ufb01t or loss Securities 99,155 99,155 99,155 Deposits and repurchase agreements 377,352 (143,276) 234,076 (27,376) (184,013) 22,687 Issued debt securities 70,460 70,460 70,460 Derivative \ufb01nancial instruments (including derivatives used for hedging purposes) 966,951 (626,829) 340,122 (228,379) (44,335) 67,408 Financial liabilities at amortised cost 1,132,772 1,132,772 (967) (6,500) 1,125,305 of which repurchase agreements 8,268 8,268 (967) (6,500) 801 Accrued expense and other liabilities 185,456 185,456 (57,443) 128,013 of which guarantee deposits received 124,047 124,047 (57,443) 66,604 Other liabilities not subject to offsetting 477,780 477,780 477,780 TOTAL LIABILITIES 3,309,926 (770,105) 2,539,821 (256,722) (292,291) 1,990,808 In millions of euros, at 31 December 2021 Gross amounts of \ufb01nancial assets Gross amounts set off on the balance sheet Net amounts presented on the balance sheet Impact of Master Netting Agreements (MNA) and similar agreements Financial instruments received as collateral Net amounts Assets Financial instruments at fair value through pro\ufb01t or loss Securities 191,507 191,507 191,507 Loans and repurchase agreements 398,413 (148,605) 249,808 (34,906) (194,920) 19,982 Derivative \ufb01nancial instruments (including derivatives used for hedging purposes) 711,002 (461,899) 249,103 (159,997) (32,435) 56,671 Financial assets at amortised cost 944,261 944,261 (355) (1,983) 941,923 of which repurchase agreements 2,541 2,541 (355) (1,983) 203 Accrued income and other assets 179,123 179,123 (31,945) 147,178 of which guarantee deposits paid 136,142 136,142 (31,945) 104,197 Other assets not subject to offsetting 820,642 820,642 820,642 TOTAL ASSETS 3,244,948 (610,504) 2,634,444 (195,258) (261,283) 2,177,903 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 258 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In millions of euros, at 31 December 2021 Gross amounts of \ufb01nancial liabilities Gross amounts set off on the balance sheet Net amounts presented on the balance sheet Impact of Master Netting Agreements (MNA) and similar agreements Financial instruments given as collateral Net amounts Liabilities Financial instruments at fair value through pro\ufb01t or loss Securities 112,338 112,338 112,338 Deposits and repurchase agreements 442,061 (148,605) 293,456 (34,156) (241,481) 17,819 Issued debt securities 70,383 70,383 70,383 Derivative \ufb01nancial instruments (including derivatives used for hedging purposes) 709,373 (461,899) 247,474 (159,997) (34,076) 53,401 Financial liabilities at amortised cost 1,123,383 1,123,383 (1,105) (7,816) 1,114,462 of which repurchase agreements 9,498 9,498 (1,105) (7,816) 577 Accrued expense and other liabilities 145,399 145,399 (30,655) 114,744 of which guarantee deposits received 101,923 101,923 (30,655) 71,268 Other liabilities not subject to offsetting 519,504 519,504 519,504 TOTAL LIABILITIES 3,122,441 (610,504) 2,511,937 (195,258) (314,028) 2,002,651 4.r TRANSFERS OF FINANCIAL ASSETS Financial assets that have been transferred but not derecognised by the Group are mainly composed of securities sold temporarily under repurchase agreements or securities lending transactions, as well as securitised assets. The liabilities associated to securities temporarily sold under repurchase agreements consist of debts recognised under the \u201crepurchase agreements\u201d heading. The liabilities associated to securitised assets consist of the securitisation notes purchased by third parties. \u27a4 SECURITIES LENDING, REPURCHASE AGREEMENTS AND OTHER TRANSACTIONS In millions of euros, at 31 December 2022 31 December 2021 Carrying amount of transferred assets Carrying amount of associated liabilities Carrying amount of transferred assets Carrying amount of associated liabilities Securities lending operations Financial instruments at fair value through pro\ufb01t or loss 6,274 7,382 Financial assets at amortised cost 1,410 1,613 Financial assets at fair value through equity 75 317 Repurchase agreements Financial instruments at fair value through pro\ufb01t or loss 33,550 33,547 28,413 28,413 Financial assets at amortised cost 6,311 6,287 6,437 6,437 Financial assets at fair value through equity 459 459 1,524 1,524 Financial investments of insurance activities 6,312 6,895 6,180 6,226 TOTAL 54,391 47,188 51,866 42,600 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 259 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 SECURITISATION TRANSACTIONS PARTIALLY REFINANCED BY EXTERNAL INVESTORS, WHOSE RECOURSE IS LIMITED TO THE TRANSFERRED ASSETS In millions of euros, at 31 December 2022 Carrying amount of transferred assets Carrying amount of associated liabilities Fair value of transferred assets Fair value of associated liabilities Net position Securitisation Financial assets at amortised cost 24,126 23,326 24,164 22,112 2,052 TOTAL 24,126 23,326 24,164 22,112 2,052 In millions of euros, at 31 December 2021 Carrying amount of transferred assets Carrying amount of associated liabilities Fair value of transferred assets Fair value of associated liabilities Net position Securitisation Financial assets at amortised cost 19,129 17,747 19,134 17,748 1,386 TOTAL 19,129 17,747 19,134 17,748 1,386 There have been no signi\ufb01cant transfers leading to partial or full derecognition of the \ufb01nancial assets in which the Bank has a continuing involvement. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 260 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statementsNote 5 FINANCING AND GUARANTEE COMMITMENTS 5.a FINANCING COMMITMENTS GIVEN OR RECEIVED Contractual value of \ufb01nancing commitments given and received by the Group: In millions of euros, at 31 December 2022 31 December 2021 Financing commitments given to credit institutions 4,235 3,501 to customers 382,746 362,902 Con\ufb01rmed \ufb01nancing commitments 347,650 328,741 Other commitments given to customers 35,096 34,161 TOTAL FINANCING COMMITMENTS GIVEN 386,981 366,403 of which stage 1 343,339 321,368 of which stage 2 18,745 22,529 of which stage 3 898 1,088 of which insurance activities 1,477 1,810 of which \ufb01nancing commitments given associated with assets held for sale 22,522 19,608 Financing commitments received from credit institutions 66,554 38,708 from customers 2,221 6,729 TOTAL FINANCING COMMITMENTS RECEIVED 68,775 45,437 of which \ufb01nancing commitments received associated with assets held for sale 9,272 8,711 5.b GUARANTEE COMMITMENTS GIVEN BY SIGNATURE In millions of euros, at 31 December 2022 31 December 2021 Guarantee commitments given to credit institutions 60,357 30,221 to customers 118,427 141,074 Property guarantees 2,285 2,474 Sureties provided to tax and other authorities, other sureties 65,294 64,571 Other guarantees 50,848 74,029 TOTAL GUARANTEE COMMITMENTS GIVEN 178,784 171,295 of which stage 1 165,549 159,247 of which stage 2 12,120 10,953 of which stage 3 820 833 of which insurance activities 295 262 of which guarantee commitments given associated with assets held for sale - - 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 261 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements 5.c SECURITIES COMMITMENTS In connection with the settlement date accounting for securities, commitments representing securities to be delivered or securities to be received are the following: In millions of euros 31 December 2022 31 December 2021 Securities to be delivered 17,325 11,608 Securities to be received 17,263 10,604 5.d OTHER GUARANTEE COMMITMENTS \u27a4 FINANCIAL INSTRUMENTS GIVEN AS COLLATERAL In millions of euros 31 December 2022 31 December 2021 Financial instruments (negotiable securities and private receivables) lodged with central banks and eligible for use at any time as collateral for re\ufb01nancing transactions after haircut 132,938 158,111 Used as collateral with central banks 67,792 120,777 Available for re\ufb01nancing transactions 65,146 37,334 Securities sold under repurchase agreements 371,552 457,168 Other \ufb01nancial assets pledged as collateral for transactions with credit institutions, \ufb01nancial customers or subscribers of covered bonds issued by the Group (1) 239,761 231,877 (1) Notably including \u201cSoci\u00e9t\u00e9 de Financement de l\u2019\u00c9conomie Fran\u00e7aise\u201d and \u201cCaisse de Re\ufb01nancement de l\u2019Habitat\u201d \ufb01nancing. The fair value of \ufb01nancial instruments given as collateral or transferred under repurchase agreements by the Group that the bene\ufb01ciary is authorised to sell or reuse as collateral amounted to EUR 523,321 million at 31 December 2022 (EUR 610,170 million at 31 December 2021). \u27a4 FINANCIAL INSTRUMENTS RECEIVED AS COLLATERAL In millions of euros 31 December 2022 31 December 2021 Financial instruments received as collateral (excluding repurchase agreements) 326,198 212,910 of which instruments that the Group is authorised to sell and reuse as collateral 192,274 99,407 Securities received under repurchase agreements 336,799 418,435 The fair value of \ufb01nancial instruments received as collateral or under repurchase agreements that the Group effectively sold or reused as collateral amounted to EUR 307,886 million at 31 December 2022 (compared with EUR 328,084 million at 31 December 2021). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 262 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statementsNote 6 SALARIES AND EMPLOYEE BENEFITS 6.a SALARY AND EMPLOYEE BENEFIT EXPENSE In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Fixed and variable remuneration, incentive bonuses and pro\ufb01t-sharing 13,484 12,379 Employee bene\ufb01t expense 3,627 3,508 Payroll taxes 494 530 TOTAL SALARY AND EMPLOYEE BENEFIT EXPENSE 17,605 16,417 6.b POST-EMPLOYMENT BENEFITS IAS 19 distinguishes between two categories of plans, each handled differently depending on the risk incurred by the entity. When the entity is only committed to paying a \ufb01xed amount, stated as a percentage of the bene\ufb01ciary\u2019s annual salary, for example, to an external entity handling payment of the bene\ufb01ts based on the assets available for each plan member, it is described as a de\ufb01ned-contribution plan. Conversely, when the entity\u2019s obligation is to manage the \ufb01nancial assets funded through the collection of contributions from employees and to bear the cost of bene\ufb01ts itself or to guarantee the \ufb01nal amount subject to future events, it is described as a de\ufb01ned-bene\ufb01t plan. The same applies if the entity entrusts management of the collection of premiums and payment of bene\ufb01ts to a separate entity, but retains the risk arising from management of the assets and/or from future changes in the bene\ufb01ts. Main Defined-contribution pension plans for Group entities The BNP Paribas Group has implemented over the past few years a wide campaign of converting de\ufb01ned-bene\ufb01t plans into de\ufb01ned-contribution plans. Thus, in France, the BNP Paribas Group pays contributions to various nationwide basic and top-up pension schemes. BNP Paribas SA and certain subsidiaries have set up a funded pension plan under a company-wide agreement. Under this plan, employees will receive an annuity on retirement in addition to the pension paid by nationwide schemes. Since de\ufb01ned-bene\ufb01t plans have been closed to new employees in most countries outside France, they are offered the bene\ufb01t of joining de\ufb01ned- contribution pension plans. The amount paid into de\ufb01ned-contribution post-employment plans for the year ended 31 December 2022 was EUR 720 million, compared with EUR 670 million for the year ended 31 December 2021. The breakdown by major contributors is determined as follows: Contribution amount In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 France 353 349 Italy 90 94 UK 64 56 T\u00fcrkiye 26 25 Hong Kong 26 22 Luxembourg 28 22 USA 25 11 Others 108 91 TOTAL 720 670 In Italy, the plan introduced by BNL is funded by employer contributions (4.2% of salaries) and employee contributions (2% of salaries). Employees can also make additional voluntary contributions. In the United Kingdom, the employer contributes 12% of salaries for the majority of employees; employees can make additional voluntary contributions. In the US, the bank matches the voluntary contributions made by employees, within certain limits. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 263 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statementsMain defined-benefit pension plans for Group entities and indemnities payable on retirement Defined-benefit plans In Belgium, BNP Paribas Fortis funds a de\ufb01ned-bene\ufb01t plan, based on \ufb01nal salary and number of years of service, for its management and employees who joined the bank before its pension plans were harmonised on 1 January 2002. Actuarial liabilities under this scheme are pre-funded at 88% at 31 December 2022 (compared with 93% at 31 December 2021) through AG Insurance, in which the BNP Paribas Group owns a 25% equity interest. BNP Paribas Fortis senior managers are covered by a top-up pension plan, paying a lump sum based on the number of years of service and \ufb01nal salary. This plan is pre-funded at 90% at 31 December 2022 (100% at 31 December 2021) through insurance companies. In Belgium, employees bene\ufb01t from a de\ufb01ned-contribution scheme with a legal obligation for the employer to guarantee a minimum return on \ufb01nancial assets invested. Thus, a provision was recognised for these schemes, as this guarantee is not entirely covered by the insurance company. In France, BNP Paribas pays a top-up banking industry pension arising from rights acquired to 31 December 1993 by retired employees and active employees in service at that date. At 31 December 2022, the Group\u2019s residual obligations for these employees were recognised on the balance sheet in full. The de\ufb01ned-bene\ufb01t plans previously granted to some Group senior managers have all been closed to new employees and converted into top-up type schemes. The amounts allocated to residual bene\ufb01ciaries, subject to their presence within the Group at retirement, were \ufb01xed when these schemes were closed. At 31 December 2022, these pension plans were funded at 221% through insurance companies (148% at 31 December 2021). In the United Kingdom, de\ufb01ned-bene\ufb01t pension plans (pension funds) still exist but are closed to new employees. Under these plans, the de\ufb01ned pension is generally based on \ufb01nal salary and number of years of service. Pension schemes are managed by independent management bodies (Trustees). At 31 December 2022, obligations for all UK entities were 125% covered by \ufb01nancial assets, compared with 127% at 31 December 2021. In Switzerland, liabilities relate to top-up pension plans based on the principle of de\ufb01ned-contribution schemes with guaranteed returns, paying an annuity under pre-de\ufb01ned terms. These schemes are managed by a foundation. At 31 December 2022, obligations were 121% covered by \ufb01nancial assets, compared with 102% at 31 December 2021. In the United States, de\ufb01ned-bene\ufb01t pension plans are based on annual vesting rights to a lump sum comprising a pension expressed as a percentage of annual salary and paying interest at a pre-de\ufb01ned rate. These plans are closed to new entrants and have offered almost no new vesting rights. At 31 December 2022, the obligation was 85% covered by \ufb01nancial assets, (95% at 31 December 2021). In Germany, liabilities are mainly related to de\ufb01ned-bene\ufb01t pension plans, closed to new employees. Under these plans, the de\ufb01ned pension is generally based on the number of years of service and \ufb01nal salary. They offer the payment of an annuity under pre-de\ufb01ned terms. At 31 December 2022, the obligation was 70% covered by \ufb01nancial assets, (55% at 31 December 2021). In T\u00fcrkiye, the main pension plan replaces the national pension scheme and should eventually be transferred to the Turkish State. This plan offers guarantees exceeding the minimal legal requirements. At the end of 2022, obligations under this plan are fully funded by \ufb01nancial assets held with an external foundation; these \ufb01nancial assets exceeding the related obligations, this surplus is not recognised as an asset by the Group. Other post-employment benefits Group employees also receive various other contractual post-employment bene\ufb01ts, such as indemnities payable on retirement, determined according to minimal legal requirements (Labour Code, collective agreements) or according to speci\ufb01c company-level agreements. In France, the obligations for these bene\ufb01ts are funded through a contract held with a third-party insurer. At 31 December 2022, this obligation was 132% covered by \ufb01nancial assets, compared with 108% at 31 December 2021. In May 2021, IFRIC issued its decision on the method of assessing the liability to be recognised under certain post-employment bene\ufb01t plans. This decision modi\ufb01es the measurement of the obligations of the Group\u2019s French entities relating to indemnities payable on retirement, whose fee schedule is either capped in terms of total length of service, or composed of steps of incremental rights, or both, by specifying the timing of recording of the corresponding costs. Its implementation led, at 1 January 2021, to a decrease in the present value of the gross obligation of EUR 96 million, recognised as an increase in reserves for an after-tax amount of EUR 74 million. In other countries, the obligations of the Group related to other post-employment bene\ufb01ts are mainly concentrated in Italy, where vested rights up to 31 December 2006 were frozen. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 264 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Obligations under defined-benefit pension plans and indemnities payable on retirement \u27a4 ASSETS AND LIABILITIES RECOGNISED ON THE BALANCE SHEET In millions of euros, at 31 December 2022 De\ufb01ned- bene\ufb01t obligation arising from wholly or partially funded plans De\ufb01ned- bene\ufb01t obligation arising from unfunded plans Present value of de\ufb01ned- bene\ufb01t obligation Fair value of plan assets Fair value of reimbursement rights (1) Effect of asset ceiling Net obligation of which asset recognised in the balance sheet for de\ufb01ned-bene\ufb01t plans of which net assets of de\ufb01ned-bene\ufb01t plans of which fair value of reimbursement rights of which obligation recognised in the balance sheet for de\ufb01ned-bene\ufb01t plans Belgium 2,738 2,738 (124) (2,395) 219 (2,395) (2,395) 2,614 UK 1,067 1,067 (1,334) (267) (267) (267) Switzerland 979 979 (1,185) 208 2 2 France 845 62 907 (1,157) (250) (346) (346) 96 USA 467 64 531 (458) 73 (24) (24) 97 T\u00fcrkiye 139 63 202 (295) 157 64 64 Italy 182 182 182 182 Germany 93 45 138 (98) 40 (7) (7) 47 Others 379 51 430 (313) (2) 2 117 (13) (11) (2) 130 TOTAL 6,707 467 7,174 (4,964) (2,397) 367 180 (3,052) (655) (2,397) 3,232 of which continuing activities 6,391 404 6,795 (4,635) (2,397) 367 130 (3,030) (633) (2,397) 3,160 of which discontinued activities 316 63 379 (329) - - 50 (22) (22) - 72 In millions of euros, at 31 December 2021 De\ufb01ned- bene\ufb01t obligation arising from wholly or partially funded plans De\ufb01ned- bene\ufb01t obligation arising from unfunded plans Present value of de\ufb01ned- bene\ufb01t obligation Fair value of plan assets Fair value of reimbursement rights (1) Effect of asset ceiling Net obligation of which asset recognised in the balance sheet for de\ufb01ned-bene\ufb01t plans of which net assets of de\ufb01ned-bene\ufb01t plans of which fair value of reimbursement rights of which obligation recognised in the balance sheet for de\ufb01ned-bene\ufb01t plans Belgium 3,189 3,189 (157) (2,930) 102 (2,930) (2,930) 3,032 UK 1,769 1,769 (2,248) (479) (481) (481) 2 Switzerland 1,146 1,146 (1,172) 29 3 3 France 1,058 81 1,139 (1,175) (36) (191) (191) 155 USA 572 79 651 (579) 72 (16) (16) 88 T\u00fcrkiye 134 32 166 (238) 104 32 32 Italy 238 238 238 238 Germany 132 71 203 (112) 91 91 Others 504 55 559 (401) (2) 156 (8) (6) (2) 164 TOTAL 8,504 556 9,060 (6,082) (2,932) 133 179 (3,626) (694) (2,932) 3,805 of which continuing activities 8,129 479 8,608 (5,691) (2,932) 133 118 (3,609) (677) (2,932) 3,727 of which discontinued activities 375 77 452 (391) - - 61 (17) (17) - 78 (1) The reimbursement rights are principally found on the balance sheet of the Group\u2019s insurance subsidiaries and associated companies \u2013 notably AG Insurance with respect to BNP Paribas Fortis\u2019 de\ufb01ned-bene\ufb01t plan \u2013 to hedge their commitments to other Group entities that were transferred to them to cover the post-employment bene\ufb01ts of certain employee categories. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 265 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 CHANGE IN THE PRESENT VALUE OF THE DEFINED-BENEFIT OBLIGATION INCLUDING DISCONTINUED ACTIVITIES In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 PRESENT VALUE OF DEFINED-BENEFIT OBLIGATION AT START OF PERIOD 9,060 9,428 Current service cost 215 222 Interest cost 100 61 Past service cost (5) (1) Settlements (11) (25) Actuarial (gains)/losses on change in demographic assumptions 10 (24) Actuarial (gains)/losses on change in \ufb01nancial assumptions (1,985) (327) Actuarial (gains)/losses on experience gaps 341 195 Actual employee contributions 23 22 Bene\ufb01ts paid directly by the employer (101) (105) Bene\ufb01ts paid from assets/reimbursement rights (489) (419) Exchange rate (gains)/losses on obligation (25) 108 (Gains)/losses on obligation related to changes in the consolidation scope 41 21 Others (1) - (96) PRESENT VALUE OF DEFINED-BENEFIT OBLIGATION AT END OF PERIOD 7,174 9,060 (1) Impact of the May 2021 IFRIC decision. \u27a4 CHANGE IN THE FAIR VALUE OF PLAN ASSETS AND REIMBURSEMENT RIGHTS INCLUDING DISCONTINUED ACTIVITIES In millions of euros Plan assets Reimbursement rights Year to 31 Dec. 2022 Year to 31 Dec. 2021 Year to 31 Dec. 2022 Year to 31 Dec. 2021 FAIR VALUE OF ASSETS AT START OF PERIOD 6,082 5,870 2,932 3,050 Expected return on assets 99 73 13 2 Settlements (21) (26) Actuarial gains/(losses) on assets (938) 216 (548) (29) Actual employee contributions 13 13 10 9 Employer contributions 54 65 198 98 Bene\ufb01ts paid from assets (257) (220) (232) (199) Exchange rate gains/(losses) on assets (64) 70 Gains/(losses) on assets related to changes in the consolidation scope (4) 21 24 1 FAIR VALUE OF ASSETS AT END OF PERIOD 4,964 6,082 2,397 2,932 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 266 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 COMPONENTS OF THE COST OF DEFINED-BENEFIT PLANS In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Service costs 220 222 Current service cost 215 222 Past service cost (5) (1) Settlements 10 1 Net \ufb01nancial expense 6 9 Interest cost 100 61 Interest income on plan asset 18 23 Interest income on reimbursement rights (99) (73) Expected return on asset ceiling (13) (2) TOTAL RECOGNISED IN SALARY AND EMPLOYEE BENEFIT EXPENSE 226 231 of which continuing activities 222 228 of which discontinued activities 4 3 \u27a4 OTHER ITEMS RECOGNISED DIRECTLY IN EQUITY In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Actuarial (losses)/gains on plan assets or reimbursement rights (1,486) 187 Actuarial (losses)/gains of demographic assumptions on the present value of obligations (10) 24 Actuarial (losses)/gains of \ufb01nancial assumptions on the present value of obligations 1,985 327 Experience (losses)/gains on obligations (341) (195) Variation of the effect of assets limitation (263) 27 TOTAL OF OTHER ITEMS RECOGNISED DIRECTLY IN EQUITY (115) 370 of which continuing activities (127) 350 of which discontinued activities 12 20 \u27a4 MAIN ACTUARIAL ASSUMPTIONS USED TO CALCULATE OBLIGATIONS In the eurozone, United Kingdom and United States, the Group discounts its obligations using the yields of high quality corporate bonds, with a term consistent with the duration of the obligations. The ranges of rates used are as follows: In % 31 December 2022 31 December 2021 Discount rate Compensation increase rate (1) Discount rate Compensation increase rate (1) Belgium 1.90% / 3.80% 3.30% / 5.00% 0.00% / 1.10% 2.90% / 3.60% UK 3.50% / 4.90% 2.00% / 3.30% 1.30% / 1.90% 2.00% / 3.50% France 3.30% / 3.80% 2.10% / 3.65% 0.10% / 1.10% 1.40% / 3.25% Switzerland 2.00% / 2.15% 1,75% / 2,00% 0.20% / 0.30% 1.50% USA 4.90% / 5.00% 2.50% 2.60% / 2.90% 2.50% Italy 1.90% / 3.60% 2.10% / 3.20% 0.30% / 1.00% 1.80% / 2.50% Germany 2.30% / 3.80% 2.00% / 2.90% 0.60% / 1.10% 1.80% / 2.50% T\u00fcrkiye 10.60% 8.50% 20.01% 17.03% (1) Including price increases (in\ufb02ation). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 267 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Average discount rates weighted by obligation amounts are as follows: \u25a0 in the eurozone: 3.54% at 31 December 2022 (0.60% at 31 December 2021); \u25a0 in the United Kingdom: 4.78% at 31 December 2022 (1.88% at 31 December 2021); \u25a0 in Switzerland: 2.15% at 31 December 2022 (0.30% at 31 December 2021). The impact of a 100-bps change in discount rates on the present value of post-employment bene\ufb01t obligations is as follows: Change in the present value of obligations In millions of euros 31 December 2022 31 December 2021 Discount rate -100 bps Discount rate +100 bps Discount rate -100 bps Discount rate +100 bps Belgium 201 (175) 327 (266) UK 187 (147) 403 (302) France 92 (78) 129 (107) Switzerland 133 (107) 177 (140) USA 18 (15) 30 (24) Italy 12 (11) 18 (16) Germany 26 (20) 41 (32) T\u00fcrkiye 13 (10) 15 (12) In\ufb02ation assumptions used for the valuations of the Group obligations are determined locally depending on the monetary area, except for the eurozone for which the assumption is determined centrally. Average discount rates weighted by obligation amounts are as follows: \u25a0 in the eurozone: 2.43% at 31 December 2022 (1.76% at 31 December 2021); \u25a0 in the United Kingdom: 3.03% at 31 December 2022 (2.90% at 31 December 2021); \u25a0 in Switzerland: 1.25% at 31 December 2022 (1.00% at 31 December 2021). The impact of a +100-bps increase in in\ufb02ation rates on the present value of post-employment bene\ufb01t obligations is as follows: Change in the present value of obligations In millions of euros 31 December 2022 31 December 2021 In\ufb02ation rate +100 bps In\ufb02ation rate +100 bps Belgium 148 188 UK 126 256 France 92 125 Switzerland 8 11 USA 0 0 Italy 8 12 Germany 14 7 T\u00fcrkiye 12 18 Variation effects of discount and in\ufb02ation rates presented above are not cumulative. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 268 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 ACTUAL RATE OF RETURN ON PLAN ASSETS AND REIMBURSEMENT RIGHTS OVER THE PERIOD In % Year to 31 Dec. 2022 Year to 31 Dec. 2021 Range of value (re\ufb02ecting the existence of several plans in the same country) Weighted average rates Range of value (re\ufb02ecting the existence of several plans in the same country) Weighted average rates Belgium -18.75% / 6.30% -12.65% -5.65% / 13.35% 0.45% UK -38.30% / 0% -34.60% 6.60% / 14.80% 7.70% France 2.60% 2.60% 2.00% 2.00% Switzerland -15.85% / 1% 0.50% 1.00% / 9.45% 7.85% USA -29.75% / -16.75% -28.90% 2.00% 2.00% Germany -26.15% / 1.30% -11.20% -6.65% / 5.25% 4.60% T\u00fcrkiye 40.80% 40.80% 20.60% 20.60% \u27a4 BREAKDOWN OF PLAN ASSETS In % 31 December 2022 31 December 2021 Shares Govern- mental bonds Non- Governmen- tal bonds Real- estate Deposit account Others Shares Govern- mental bonds Non- Governmen- tal bonds Real- estate Deposit account Others Belgium 8% 48% 20% 1% 0% 23% 7% 53% 14% 1% 0% 25% UK 7% 65% 13% 0% 2% 13% 8% 72% 8% 0% 2% 10% France (1) 8% 60% 18% 13% 1% 0% 7% 69% 16% 8% 0% 0% Switzerland 32% 0% 23% 21% 3% 20% 36% 0% 26% 20% 4% 14% USA 19% 18% 58% 0% 1% 4% 18% 0% 73% 1% 6% 2% Germany 25% 64% 0% 0% 3% 9% 23% 66% 0% 0% 2% 9% T\u00fcrkiye 0% 59% 0% 3% 30% 7% 0% 0% 0% 4% 93% 3% Others 10% 18% 12% 2% 2% 57% 9% 17% 10% 2% 2% 60% GROUP 12% 44% 18% 6% 2% 18% 11% 49% 15% 4% 4% 17% (1) In France, the breakdown of plan assets re\ufb02ects the breakdown of the general fund of the insurance company through which the Group\u2019s obligations are funded. The Group introduced an asset management governance for assets backing de\ufb01ned-bene\ufb01t pension plan commitments, the main objectives of which are the management and control of the risks in terms of investment. It sets out investment principles, in particular, by de\ufb01ning an investment strategy for plan assets, based on \ufb01nancial objectives and \ufb01nancial risk management, to specify the way in which plan assets have to be managed, via \ufb01nancial management servicing contracts. The investment strategy is based on an assets and liabilities management analysis that should be realised at least every three years for plans with assets in excess of EUR 100 million. Post-employment healthcare benefits The Group offers some healthcare bene\ufb01t plans for retired employees, mainly in Belgium. The present value of post-employment healthcare bene\ufb01t obligations stood at EUR 83 million at 31 December 2022, compared with EUR 115 million at 31 December 2021. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 269 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements6.c OTHER LONG-TERM BENEFITS BNP Paribas offers its employees various long-term bene\ufb01ts, mainly long-service awards, the ability to save up paid annual leave in time savings accounts, and certain guarantees protecting them in the event they become incapacitated. The net provision amounted to EUR 453 million at 31 December 2022 (EUR 457 million at 31 December 2021). As part of the Group\u2019s variable compensation policy, annual deferred compensation plans are set up for certain high-performing employees or pursuant to special regulatory frameworks. Under these plans, payment is deferred over time and is subject to the performance achieved by the business lines, divisions and Group. Since 2013, BNP Paribas has introduced a Group loyalty scheme with a cash payment, at the end of a three-year to four-year vesting period, which \ufb02uctuates according to the Group\u2019s intrinsic performance. The aim of this loyalty scheme is to make different categories of managerial staff partners in the Group\u2019s development and pro\ufb01tability objectives. These personnels are representative of the Group\u2019s talent and the breadth of its managerial framework i.e., senior managers, managers in key positions, line managers and experts, high-potential managers, high-performing young executives with good career development prospects and key contributors to the Group\u2019s results. The amounts allocated under this plan are linked to changes in the Group\u2019s operational performance over the duration of the plan (for 80%) and to the achievement of the Group\u2019s Corporate Social Responsibility (CSR) targets (for 20%). These ten targets are in line with the four pillars on which the Group\u2019s CSR policy is based. In addition, the \ufb01nal payment is subject to continuous service within the Group between the grant date and the payment date, provided that the Group\u2019s operating income and pre-tax income for the year prior to payment are strictly positive. For employees subject to special regulatory frameworks, this loyalty scheme is adjusted in accordance with the CRD European Directive. The net obligation related to deferred compensation plans and loyalty schemes amounts to EUR 1,017 million at 31 December 2022 (EUR 817 million at 31 December 2021). In millions of euros 31 December 2022 31 December 2021 Net provisions for other long-term bene\ufb01ts 1,470 1,274 Asset recognised in the balance sheet under the other long-term bene\ufb01ts (76) (90) Obligation recognised in the balance sheet under the other long-term bene\ufb01ts 1,546 1,364 6.d TERMINATION BENEFITS BNP Paribas has implemented a number of voluntary redundancy plans and headcount adaptation plans for employees who meet certain eligibility criteria. The obligations to eligible active employees under such plans are provided for as soon as a bilateral agreement or a bilateral agreement proposal for a particular plan is made. In millions of euros 31 December 2022 31 December 2021 Provision for voluntary departure, early retirement plans, and headcount adaptation plans 270 355 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 270 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements6.e SHARE-BASED PAYMENTS As part of the Group\u2019s variable remuneration policy, deferred annual compensation plans offered to certain high-performing employees or set up pursuant to special regulatory frameworks may entitle bene\ufb01ciaries to variable compensation settled in cash but linked to the share price, payable over several years. Variable compensation for employees, subject to special regulatory frameworks Since the publication of the Decree by the French Ministry of Finance on 13 December 2010, and following the provisions of the European Directive CRD4 of 26 July 2013, modi\ufb01ed by the CRD 5 Directive of 20 May 2019, transposed into the French law in the Monetary and Financial Code by the Ordinance of 20 February 2014, and the Ordinance of 21 December 2020, as well as the Decrees and Orders of 3 November 2014 and 22 December 2020 and the delegated European regulation of 25 March 2021, the variable compensation plans apply to Group employees performing activities that may have a material impact on the Group\u2019s risk pro\ufb01le. Under these plans, payment is deferred over time and is contingent on the performance achieved by the business lines, core businesses and Group. Sums will mostly be paid in cash linked to the increase or decrease in the BNP Paribas share price. Deferred variable compensation for other Group employees Sums due under the annual deferred compensation plans for high-performing employees are partly paid in cash linked to the increase or decrease in the BNP Paribas share price. \u27a4 EXPENSE OF SHARE-BASED PAYMENTS Expense/(revenue) in millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Prior deferred compensation plans (116) 67 Deferred compensation plans for the year 614 530 TOTAL 498 597 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 271 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statementsNote 7 ADDITIONAL INFORMATION 7.a CHANGES IN SHARE CAPITAL AND EARNINGS PER SHARE At 31 December 2022, the share capital of BNP Paribas SA amounts to EUR 2,468,663,292 and was divided into 1,234,331,646 shares. The nominal value of each share is EUR 2 (unchanged from 31 December 2021). Ordinary shares issued by BNP Paribas and held by the Group Proprietary transactions Trading transactions (1) Total Number of shares Carrying amount (in millions of euros) Number of shares Carrying amount (in millions of euros) Number of shares Carrying amount (in millions of euros) Shares held at 31 December 2020 721,971 38 979,314 42 1,701,285 80 Acquisitions 15,466,915 900 15,466,915 900 Disposals Shares delivered to employees Capital decrease (15,466,915) (900) (15,466,915) (900) Net movements (979,314) (42) (979,314) (42) Shares held at 31 December 2021 721,971 38 721,971 38 Net movements 159,670 8 159,670 8 Shares held at 31 December 2022 721,971 38 159,670 8 881,641 46 (1) Transactions realised in the framework of an activity of trading and arbitrage transactions on equity indices. At 31 December 2022, the Group holds 881,641 BNP Paribas shares representing an amount of EUR 46 million, which was recognised as a decrease in equity.Preferred shares and Undated Super Subordinated Notes eligible as Tier 1 regulatory capital Preferred shares issued by the Group\u2019s foreign subsidiaries BNP Paribas Personal Finance made in 2004 two issues of undated non-voting preferred shares through a structured entity governed by UK law and which is exclusively controlled. On 15 April 2021, BNP Paribas Personal Finance redeemed the issues, for an amount of EUR 80 million. These notes paid a TEC 10 rate coupon. Undated Super Subordinated Notes issued by BNP Paribas SA BNP Paribas SA has issued Undated Super Subordinated Notes which pay a \ufb01xed, \ufb01xed adjustable or \ufb02oating-rate coupon and are redeemable at the end of a \ufb01xed period and thereafter at each coupon date or every \ufb01ve years. If the notes are not redeemed at the end of this period, some of these issues will pay a coupon indexed to Euribor, Libor or a swap rate or a \ufb01xed-rate coupon. On 19 February 2021, BNP Paribas SA issued Undated Super Subordinated Notes for an amount of USD 1,250 million which pay a 4.625% \ufb01xed-rate coupon. These notes could be redeemed at the end of a period of 10 years. If the notes are not redeemed in 2031, a US 5-year Constant Maturity Treasury rate coupon will be paid half-yearly. This issue is eligible to Additional Tier 1 capital. On 8 March 2021, BNP Paribas SA redeemed the June 2007 issue, for an amount of USD 600 million. These notes paid a 6.5% \ufb01xed-rate coupon. On 30 March 2021, BNP Paribas SA redeemed the March 2016 issue, for an amount of USD 1,500 million, before the \ufb01rst call date. These notes paid a 7.625% \ufb01xed-rate coupon. On 3 January 2022, BNP Paribas SA redeemed the July 2006 and June 2007 issues, for EUR 150 million and USD 1,100 million respectively. These notes paid 5.45% and 7.195% \ufb01xed-rate coupon. On 12 January 2022, BNP Paribas SA issued Undated Super Subordinated Notes for an amount of USD 1,250 million which pay a 4.625% \ufb01xed-rate coupon. These notes could be redeemed at the end of a period of 5 years. If the notes are not redeemed in 2027, a US 5-year Constant Maturity Treasury rate coupon will be paid half-yearly. This issue is eligible to Additional Tier 1 capital. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 272 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements On 19 February 2022, BNP Paribas SA redeemed the June 2007 issue, for an amount of USD 1,100 million. These notes paid a 7.195% \ufb01xed-rate coupon. On 14 March 2022, BNP Paribas SA redeemed the December 2016 issue, for an amount of USD 750 million. These notes paid a 6.75% \ufb01xed-rate coupon. On 17 June 2022, BNP Paribas SA redeemed the June 2015 issue, for an amount of EUR 750 million, at the \ufb01rst call date. These notes paid a 6.125% \ufb01xed-rate coupon. On 16 August 2022, BNP Paribas SA issued Undated Super Subordinated Notes for an amount of USD 2,000 million which pay a 7.75% \ufb01xed-rate coupon. These notes could be redeemed at the end of a period of 7 years. If the notes are not redeemed in 2029, a US 5-year Constant Maturity Treasury rate coupon will be paid half-yearly. This issue is eligible to Additional Tier 1 capital. On 6 September 2022, BNP Paribas SA issued Undated Super Subordinated Notes for an amount of EUR 1,000 million which pay a 6.875% \ufb01xed-rate coupon. These notes could be redeemed at the end of a period of 7 years and 3 months. If the notes are not redeemed in 2029, a mid-swap rate EUR 5-year coupon will be paid half-yearly. This issue is eligible to Additional Tier 1 capital. On 17 November 2022, BNP Paribas SA issued Undated Super Subordinated Notes for an amount of USD 1,000 million which pay a 9.25% \ufb01xed-rate coupon. These notes could be redeemed at the end of a period of 5 years. If the notes are not redeemed in 2027, a US 5-year Constant Maturity Treasury rate coupon will be paid half-yearly. This issue is eligible to Additional Tier 1 capital. The following table summarises the characteristics of these various issues: Date of issue Currency Amount (in millions of currency units) Coupon payment date Rate and term before 1 st call date Rate after 1 st call date August 2015 USD 1,500 semi-annual 7.375% 10 years USD 5-year swap +5.150% November 2017 USD 750 semi-annual 5.125% 10 years USD 5-year swap +2.838% August 2018 USD 750 semi-annual 7.000% 10 years USD 5-year swap +3.980% March 2019 USD 1,500 semi-annual 6.625% 5 years USD 5-year swap +4.149% July 2019 AUD 300 semi-annual 4.500% 5.5 years AUD 5-year swap +3.372% February 2020 USD 1,750 semi-annual 4.500% 10 years US 5-year CMT +2.944% February 2021 USD 1,250 semi-annual 4.625% 10 years US 5-year CMT +3.340% January 2022 USD 1,250 semi-annual 4.625% 5 years US 5-year CMT +3.196% August 2022 USD 2,000 semi-annual 7.75% 7 years US 5-year CMT +4.899% September 2022 EUR 1,000 semi-annual 6.875% 7.25 years EUR 5-year swap +4.645% November 2022 USD 1,000 semi-annual 9.25% 5 years US 5-year CMT +4.969% TOTAL EURO-EQUIVALENT HISTORICAL VALUE AT 31 DECEMBER 2022 11,800 (1) (1) Net of shares held in treasury by Group entities. BNP Paribas has the option of not paying interest due on these Undated Super Subordinated Notes. Unpaid interest is not carried forward. For notes issued before 2015, the absence of coupon payment is conditional on the absence of dividend payment on BNP Paribas SA ordinary shares or on Undated Super Subordinated Note equivalents during the previous year. Interest due is payable once dividend payment on BNP Paribas SA ordinary shares resumes. The contracts relating to these Undated Super Subordinated Notes contain a loss absorption clause. Under the terms of this clause, in the event of insuf\ufb01cient regulatory capital, the nominal value of the notes may be reduced in order to serve as a new basis for the calculation of the related coupons until the capital de\ufb01ciency is made up and the nominal value of the notes is increased to its original amount. The proceeds from these issues are recorded in equity under \u201cCapital and retained earnings\u201d. In accordance with IAS 21, issues denominated in foreign currencies are recognised at their historical value based on their translation into euros at the issue date. Interest on the instruments is treated in the same way as dividends. At 31 December 2022, the BNP Paribas Group held EUR 14 million of Undated Super Subordinated Notes which were deducted from shareholders\u2019 equity. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 273 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statementsEarnings per share Basic earnings per share are calculated by dividing the net income for the period attributable to holders of ordinary shares by the weighted average number of ordinary shares outstanding during the period. The net income attributable to ordinary shareholders is determined by deducting the net income attributable to holders of preferred shares. Diluted earnings per share correspond to the net income for the period attributable to holders of ordinary shares, divided by the weighted average number of shares outstanding as adjusted for the maximum effect of the conversion of dilutive equity instruments into ordinary shares. In-the-money stock subscription options are taken into account in the diluted earnings per share calculation, as are performance shares granted under the Global Share-Based Incentive Plan. Conversion of these instruments would have no effect on the net income \ufb01gure used in this calculation. All stock option and performance share plans are expired. Year to 31 Dec. 2022 Year to 31 Dec. 2021 Net pro\ufb01t used to calculate basic and diluted earnings per ordinary share (in millions of euros) (1) 9,621 9,052 Weighted average number of ordinary shares outstanding during the year 1,232,991,607 1,247,014,704 Effect of potentially dilutive ordinary shares - - Weighted average number of ordinary shares used to calculate diluted earnings per share 1,232,991,607 1,247,014,704 Basic earnings per share (in euros) 7.80 7.26 of which continuing activities (in euros) 7.24 6.68 of which discontinued activities (in euros) 0.56 0.58 Diluted earnings per share (in euros) 7.80 7.26 of which continuing activities (in euros) 7.24 6.68 of which discontinued activities (in euros) 0.56 0.58 (1) The net pro\ufb01t used to calculate basic and diluted earnings per share is the net pro\ufb01t attributable to equity shareholders, adjusted for the remuneration on the Undated Super Subordinated Notes issued by BNP Paribas SA (treated as preferred share equivalents), which for accounting purposes is handled as dividends, as well as the related foreign exchange gain or loss impact recognised directly in shareholders\u2019 equity in case of repurchase. The Board of directors will propose to the Annual General Meeting on 16 May 2023, a dividend per share of EUR 3.90 out of the 2022 net income (against EUR 3.67 out of the 2021 net income). The proposed distribution amounted to EUR 4,811 million, against EUR 4,527 million paid in 2022. This distribution will be raised to 60% of the 2022 net income with a share buyback programme of EUR 962 million, subject to the customary condition precedents, including European Central Bank authorisations.7.b LEGAL PROCEEDINGS AND ARBITRATION BNP Paribas (the \u201cBank\u201d) is party as a defendant in various claims, disputes and legal proceedings (including investigations by judicial or supervisory authorities) in a number of jurisdictions arising in the ordinary course of its business, including inter alia in connection with its activities as market counterparty, lender, employer, investor and taxpayer. The related risks have been assessed by the Bank and are subject, where appropriate, to provisions disclosed in note 4.p \u201cProvisions for liabilities and charges\u201d of the consolidated \ufb01nancial statements at 31 December 2022; a provision is recognised when it is probable that an out\ufb02ow of resources embodying economic bene\ufb01ts will be required to settle an obligation arising from a past event and a reliable estimate can be made of the amount of the obligation. The main contingent liabilities related to pending legal, governmental, or arbitral proceedings as of 31 December 2022 are described below. The Bank currently considers that none of these proceedings is likely to have a material adverse effect on its \ufb01nancial position or pro\ufb01tability; however, the outcome of legal or governmental proceedings is by de\ufb01nition unpredictable. The Bank and certain of its subsidiaries are defendants in several actions pending before the United States Bankruptcy Court for the Southern District of New York brought by the Trustee appointed for the liquidation of Bernard L. Madoff Investment Securities LLC (\u201cBLMIS\u201d). These actions, known generally as \u201cclawback claims\u201d, are similar to those brought by the BLMIS Trustee under the U.S. Bankruptcy Code and New York state law against numerous institutions, and seek recovery of approximately USD 1.3 billion allegedly received by BNP Paribas entities from BLMIS or indirectly through BLMIS- related \u201cfeeder funds\u201d in which BNP Paribas entities held interests. As a result of certain decisions of the Bankruptcy Court and the United States District Court between 2016 and 2018, the majority of the BLMIS Trustee\u2019s actions were either dismissed or substantially narrowed. However, those decisions were either reversed or effectively overruled by subsequent decisions of the United States Court of Appeals for the Second Circuit issued on 25 February 2019 and 30 August 2021. As a result, the BLMIS Trustee may seek to re-\ufb01le certain claims that were previously dismissed. BNP Paribas has substantial and credible defences to these actions and is defending against them vigorously. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 274 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Litigation was brought in Belgium by minority shareholders of the previous Fortis Group against the Soci\u00e9t\u00e9 f\u00e9d\u00e9rale de Participations et d\u2019Investissement, Ageas and BNP Paribas seeking (amongst other things) damages from BNP Paribas as restitution for part of the BNP Paribas Fortis shares that were contributed to BNP Paribas in 2009, on the ground that the transfer of these shares was null and void. On 29 April 2016, the Brussels Commercial court decided to stay the proceedings until the resolution of the pending Fortis criminal proceeding in Belgium. The criminal proceeding, in which the Public Prosecutor had requested a dismissal, is de\ufb01nitively closed, as the Council Chamber of the Brussels Court of \ufb01rst instance issued on 4 September 2020 a ruling (which since became \ufb01nal) that the charges were time-barred. Certain minority shareholders are continuing the civil proceedings against BNP Paribas and the Soci\u00e9t\u00e9 f\u00e9d\u00e9rale de Participations et d\u2019Investissement before the Brussels Commercial court; BNP Paribas continues to defend itself vigorously against the allegations of these shareholders. Like many other \ufb01nancial institutions in the banking, investment, mutual funds and brokerage sectors, the Bank has received or may receive requests for information from, or be subject to investigations by supervisory, governmental or self-regulatory agencies. The Bank responds to such requests, and cooperates with the relevant authorities and regulators and seeks to address and remedy any issues that may arise. On 26 February 2020, the Paris Criminal Court found BNP Paribas Personal Finance guilty of misleading commercial practice and concealment of this practice. BNP Paribas Personal Finance was ordered to pay a \ufb01ne of EUR 187,500 and damages and legal fees to the civil plaintiffs. The damages award was of immediate effect. BNP Paribas Personal Finance \ufb01led an appeal on the merits on 6 March 2020. It also sought to suspend the immediate effectiveness of the judgment, which the court rejected by decision dated 25 September 2020. BNP Paribas Personal Finance paid to the civil plaintiffs the damages awarded, without prejudice to the pending appeal before the Court of Appeal of Paris and to the civil legal proceedings that are otherwise ongoing. There are no other legal, governmental or arbitral proceedings (including any such proceedings which are pending or threatened) that could have, or during the last twelve months have had, signi\ufb01cant effects on the Bank\u2019s \ufb01nancial condition or pro\ufb01tability.7.c BUSINESS COMBINATIONS AND LOSS OF CONTROL OR SIGNIFICANT INFLUENCE Allfunds Group Plc At 31 December 2020, BNP Paribas held a stake of 22.5% in Allfunds Plc Ltd, European market leader in fund distribution platforms. On 23 April 2021, the Group participated in the initial public offering of Allfunds, contributing 6.7% of the capital. The disposal led to the recognition of a result of EUR 300 million. On 16 September 2021, the Group sold a stake of 2% of Allfunds. The disposal led to the recognition of a result of EUR 144 million. On 24 September 2022, the Group sold a stake of 2% of Allfunds and retained a signi\ufb01cant in\ufb02uence with 12.2% of the capital of AFB Group Plc. The disposal led to the recognition of a result of EUR 31 million. Verner Investissements On 13 July 2021, BNP Paribas SA purchased the residual 50% stake in Verner Investissements, the holding company of Exane entities. The Group BNP Paribas took therefore exclusive control of this entity and fully consolidated it from the second half of 2021. Consequently, this operation increased the Group\u2019s balance sheet by EUR 6 billion at the acquisition date, in particular EUR 3.7 billion in \ufb01nancial assets at fair value through pro\ufb01t and loss, and led to the recognition of badwill of EUR 111 million in the pro\ufb01t and loss account. Including the remeasurement of the previously held stake through pro\ufb01t or loss, the net impact on net income of the acquisition is -EUR 51 million. bpost bank On 3 January 2022, BNP Paribas Fortis purchased the residual 50% stake in bpost bank. The Group BNP Paribas took therefore exclusive control of this entity and fully consolidated it from the \ufb01rst quarter of 2022. Consequently, this operation increased the Group\u2019s balance sheet by EUR 12 billion at the acquisition date, in particular EUR 11 billion in \ufb01nancial assets at amortised cost and led to the recognition of badwill of EUR 245 million in the pro\ufb01t and loss account. Axepta SpA On 4 January 2022, Banca Nazionale del Lavoro sold 80% of its stake of Wordline Merchant Services Italia (ex-Axepta Spa). The Group BNP Paribas lost exclusive control of this entity but kept a signi\ufb01cant in\ufb02uence. The disposal led to the recognition of a result of EUR 204 million on the line \u201cNet gain on non-current assets\u201d. The residual stake of 20% was consolidated using the equity method for its remeasured value, including goodwill of EUR 41 million. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 275 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Floa On 31 January 2022, BNP Paribas purchased 100% of Floa. The Group BNP Paribas took exclusive control of this entity and fully consolidated it from the \ufb01rst quarter of 2022. The Group\u2019s balance sheet increased by EUR 2 billion at the acquisition date, in particular in \ufb01nancial assets at amortised cost. The goodwill related to this operation was EUR 122 million. UkrSibbank In the context of the con\ufb02ict in Ukraine, the Group reassessed the nature of control over its subsidiary UkrSibbank and concluded to the loss of exclusive control, and the maintain of a signi\ufb01cant in\ufb02uence. This situation led the Group to consolidate the entity using the equity method from 1 March 2022. The loss of exclusive control involved the recognition of a loss on disposal of -EUR 159 million and the reclassi\ufb01cation to the pro\ufb01t and loss account of cumulated changes in assets and liabilities for exchange differences of -EUR 274 million, in \u201cNet gain on non-current assets\u201d. The Group\u2019s balance sheet decreased by EUR 2 billion at the date of loss of exclusive control, in particular in \ufb01nancial assets at amortised cost. Terberg Leasing Group BV On 30 November 2022, Arval Service Lease purchased 100% of Terberg Leasing Group BV. The Group BNP Paribas took exclusive control of these entities and fully consolidated them from the last quarter of 2022. The Group\u2019s balance sheet increased by EUR 1 billion at the acquisition date, in particular in tangible assets. The goodwill related to this operation was EUR 96 million.7.d DISCONTINUED ACTIVITIES On 18 December 2021, BNP Paribas concluded an agreement with BMO Financial Group for the sale of 100% of its retail and commercial banking activities in the United States, operated by the BancWest cash-generating unit, for a total consideration of USD 16.3 billion in cash. The transaction was closed on 1 February 2023 following receipt of all regulatory approvals by BMO Financial Group. The group of assets covered by the agreement comprises most of the entities of the homogeneous BancWest set (see reference D2 in note 7.l Scope of consolidation). BancWest is therefore classi\ufb01ed as a discontinued activity (see note 1.i Assets held for sale and discontinued operations). As required by IFRS 5 related to groups of assets and liabilities held for sale, the Group\u2019s consolidated \ufb01nancial statements are adapted to present BancWest separately in 2021 and in 2022: \u25a0 the assets are reclassi\ufb01ed on a separate line of the balance sheet \u201cAssets held for sale\u201d; \u25a0 the liabilities are also reclassi\ufb01ed in a separate line \u201cLiabilities associated with assets held for sale\u201d; \u25a0 amounts accounted for in equity for the revaluation of assets and liabilities are presented separately in the statement of net income and changes in assets and liabilities recognised directly in equity; \u25a0 revenues and expenses are reclassi\ufb01ed in a separate line \u201cNet income from discontinued activities\u201d in the pro\ufb01t and loss statement. This income includes revenues and expenses from internal transactions with BancWest, provided that, following the sale, the Group will no longer receive these revenues or incur these expenses; \u25a0 the net change in cash and cash equivalents is isolated in the cash \ufb02ow statement. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 276 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 NET INCOME FROM DISCONTINUED ACTIVITIES In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Revenues 2,788 2,473 Operating Expenses and Dep. (2,007) (1,645) Gross Operating Income 781 828 Cost of Risk 39 46 Operating Income 820 874 Net gain on non-current assets 3 19 Pre-tax Income 823 893 Corporate income tax (137) (173) NET INCOME FROM DISCONTINUED ACTIVITIES 686 720 \u27a4 STATEMENT OF NET INCOME AND CHANGES IN ASSETS AND LIABILITIES RECOGNISED DIRECTLY IN EQUITY OF DISCONTINUED ACTIVITIES In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Net income from discontinued activities 686 720 Changes in assets and liabilities recognised directly in equity of discontinued activities (434) 580 Items that are or may be reclassi\ufb01ed to pro\ufb01t or loss (440) 571 Changes in fair value through pro\ufb01t or loss 111 739 Changes in fair value of \ufb01nancial assets through equity Changes in fair value recognised in equity (730) (173) Changes in fair value reported in pro\ufb01t or loss (18) (30) Deferred value changes in hedging derivatives Changes in fair value recognised in equity (256) (61) Changes in fair value reported in pro\ufb01t or loss Income taxes 453 96 Items that will not be reclassi\ufb01ed to pro\ufb01t or loss 6 9 Revaluation effects on post-employment bene\ufb01t plans 7 12 Income taxes (1) (3) TOTAL 252 1,300 \u27a4 BALANCE SHEET OF DISCONTINUED ACTIVITIES In millions of euros 31 December 2022 31 December 2021 Cash and balances at central banks 2,750 14,654 Financial assets at fair value through equity 4,503 5,009 Financial assets at amortised cost 73,007 65,775 Property, plant and equipment 453 428 Intangible assets and goodwill 2,910 2,770 Other assets 3,216 2,631 TOTAL ASSETS HELD FOR SALE 86,839 91,267 Financial liabilities at amortised cost 74,563 73,041 Other liabilities 2,439 1,325 TOTAL LIABILITIES ASSOCIATED WITH ASSETS HELD FOR SALE 77,002 74,366 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 277 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 CHANGES IN ASSETS AND LIABILITIES RECOGNISED DIRECTLY IN EQUITY OF DISCONTINUED ACTIVITIES AT 31 DECEMBER 2022 In millions of euros 31 December 2022 31 December 2021 Items that are or may be reclassi\ufb01ed to pro\ufb01t or loss 168 608 Exchange differences 799 687 Financial assets at fair value through equity (405) (41) Derivatives used for hedging purposes (226) (38) Items that will not be reclassi\ufb01ed to pro\ufb01t or loss (119) (125) Remeasurement gains (losses) related to postemployment bene\ufb01t plans (119) (125) CHANGES IN ASSETS AND LIABILITIES RECOGNISED DIRECTLY IN EQUITY OF DISCONTINUED ACTIVITIES 49 483 \u27a4 FINANCIAL ASSETS AT AMORTISED COST CLASSIFIED AS \u201cASSETS HELD FOR SALE\u201d In millions of euros 31 December 2022 31 December 2021 Gross Value Impairment Carrying amount Gross Value Impairment Carrying amount Loans and advances to credit institutions 143 - 143 52 - 52 Stage 1 143 - 143 52 - 52 Loans and advances to customers 56,414 (329) 56,085 50,530 (476) 50,054 Stage 1 52,711 (141) 52,570 45,751 (172) 45,579 Stage 2 3,150 (126) 3,024 4,370 (217) 4,153 Stage 3 553 (62) 491 409 (87) 322 Debt securities 16,779 - 16,779 15,669 - 15,669 Stage 1 16,779 - 16,779 15,669 - 15,669 TOTAL FINANCIAL ASSETS AT AMORTISED COST 73,336 (329) 73,007 66,251 (476) 65,775 \u27a4 CASH FLOWS FROM DISCONTINUED ACTIVITIES In millions of euros Year to 31 Dec .2022 Year to 31 Dec. 2021 Net decrease (increase) in cash and cash equivalents generated by operating activities (10,175) 9,772 Net decrease in cash and cash equivalents related to investing activities (141) (111) Decrease (increase) in cash and cash equivalents related to \ufb01nancing activities (2,322) 406 Effect of movement in exchange rates on cash and cash equivalents 703 672 NET DECREASE (INCREASE) IN CASH AND CASH EQUIVALENTS FROM DISCONTINUED ACTIVITIES (11,935) 10,739 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 278 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements7.e EVENT AFTER THE REPORTING PERIOD Bank of the West On 18 December 2021, BNP Paribas concluded an agreement with BMO Financial Group for the sale of 100% of its retail and commercial banking activities in the United States, operated by the group BancWest. The transaction was closed on 1 February 2023 following receipt of all regulatory approvals by BMO Financial Group. The estimated impact on the Group\u2019s balance sheet at sale date is a decrease of approximately EUR 87 billion in assets held for sale. The capital gain on the disposal amounts to EUR 2.9 billion, including the result related to the Group subscription commitment to the capital increase of BMO Financial Group. The gain will be recognised in the \ufb01rst quarter of 2023.7.f MINORITY INTERESTS In millions of euros Capital and retained earnings Changes in assets and liabilities recognised directly in equity that will not be reclassi\ufb01ed to pro\ufb01t or loss Changes in assets and liabilities recognised directly in equity that may be reclassi\ufb01ed to pro\ufb01t or loss Minority interests Balance at 1 January 2021 4,640 9 (99) 4,550 Appropriation of net income for 2020 (221) (221) Increases in capital and issues 10 10 Reduction or redemption of capital (73) (73) Movements in consolidation scope impacting minority shareholders (139) (139) Acquisitions of additional interests or partial sales of interests 55 55 Change in commitments to repurchase minority shareholders\u2019 interests 38 38 Other movements 9 9 Realised gains or losses reclassi\ufb01ed to retained earnings 1 (1) - Changes in assets and liabilities recognised directly in equity 7 (7) - Net income for 2021 392 392 Balance at 31 December 2021 4,712 15 (106) 4,621 IAS 29 Impact (14) 62 48 Balance at 1 January 2022 4,698 15 (44) 4,669 Appropriation of net income for 2021 (133) (133) Increases in capital and issues 34 34 Impact of internal transactions on minority shareholders 2 2 Movements in consolidation scope impacting minority shareholders (136) (136) Change in commitments to repurchase minority shareholders\u2019 interests (157) (157) Other movements (1) (1) Changes in assets and liabilities recognised directly in equity 6 78 84 Net income for 2022 401 401 Balance at 31 December 2022 4,708 21 34 4,763 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 279 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 MAIN MINORITY INTERESTS The assessment of the material nature of minority interests is based on the contribution of the relevant subsidiaries to the Group balance sheet (before elimination of intragroup balances and transactions) and to the Group pro\ufb01t and loss account. In millions of euros 31 December 2022 Year to 31 Dec. 2022 Total assets before elimination of intragroup transactions Revenues Net income Net income and changes in assets and liabilities recognised directly in equity Minority shareholders\u2019 interest (%) Net income attributable to minority interests Net income and changes in assets and liabilities recognised directly in equity \u2013 attributable to minority interests Dividends paid to minority shareholders Contribution of the entities belonging to the BGL BNP Paribas Group 95,376 1,851 604 269 34% 189 121 81 Other minority interests 212 364 52 TOTAL 401 485 133 In millions of euros 31 December 2021 Year to 31 Dec. 2021 Total assets before elimination of intragroup transactions Revenues Net income Net income and changes in assets and liabilities recognised directly in equity Minority shareholders\u2019 interest (%) Net income attributable to minority interests Net income and changes in assets and liabilities recognised directly in equity \u2013 attributable to minority interests Dividends paid to minority shareholders Contribution of the entities belonging to the BGL BNP Paribas Group 98,967 1,779 585 557 34% 179 167 163 Other minority interests 213 225 58 TOTAL 392 392 221 There are no particular contractual restrictions on the assets of BGL BNP Paribas related to the presence of the minority shareholder. \u27a4 INTERNAL RESTRUCTURING THAT LED TO A CHANGE IN MINORITY SHAREHOLDERS\u2019 INTEREST IN THE EQUITY OF SUBSIDIARIES No signi\ufb01cant internal restructuring operation occurred during the year 2022, nor during the year 2021. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 280 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 ACQUISITIONS OF ADDITIONAL INTERESTS AND PARTIAL SALES OF INTERESTS LEADING TO CHANGES IN MINORITY INTERESTS IN THE EQUITY OF SUBSIDIARIES In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Attributable to shareholders Minority interests Attributable to shareholders Minority interests Bank BGZ BNP Paribas Partial disposal of 1.26% of the total share, reducing the Group\u2019s share to 87.43% (11) 37 Financit Spa Implementation of a partnership, reducing the Group\u2019s share to 60% 21 18 Other (2) TOTAL - - 8 55 Commitments to repurchase minority shareholders\u2019 interests In connection with the acquisition of certain entities, the Group granted minority shareholders put options on their holdings. The total value of these commitments, which are recorded as a reduction in shareholders\u2019 equity, amounts to EUR 361 million at 31 December 2022, compared with EUR 322 million at 31 December 2021.7.g SIGNIFICANT RESTRICTIONS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES Significant restrictions related to the ability of entities to transfer cash to the Group The ability of entities to pay dividends or to repay loans and advances depends, inter alia, on local regulatory requirements for capitalisation and legal reserves, as well as the entities\u2019 \ufb01nancial and operating performance. During 2022, none of the BNP Paribas Group entities were subject to signi\ufb01cant restrictions other than those related to regulatory requirements. Significant restrictions relative to the Group\u2019s ability to use the assets lodged in consolidated structured entities Access to the assets of consolidated structured entities in which third-party investors have invested is limited inasmuch as these entities\u2019 assets are reserved for the holders of units or securities. These assets total EUR 37 billion at 31 December 2022 (EUR 34 billion at 31 December 2021). Significant restrictions related to the Group\u2019s ability to use assets pledged as collateral or under repurchase agreements The \ufb01nancial instruments pledged by the BNP Paribas Group as collateral or under repurchase agreements are presented in notes 4.r and 5.d. Significant restrictions related to liquidity reserves Signi\ufb01cant restrictions related to liquidity reserves correspond to the mandatory deposits placed with central banks presented in chapter 5 of the Universal registration document under Liquidity risk. Assets representative of unit-linked insurance contracts Financial assets representative of unit-linked insurance contracts designated as at fair value through pro\ufb01t or loss, which amount to EUR 80 billion at 31 December 2022 (compared with EUR 87 billion at 31 December 2021), are held for the bene\ufb01t of the holders of these contracts. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 281 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements 7.h STRUCTURED ENTITIES The BNP Paribas Group is engaged in transactions with sponsored structured entities mainly through its activities of securitisation of \ufb01nancial assets \u2013 as either originator or sponsor, fund management and specialised asset \ufb01nancing. In addition, the BNP Paribas Group is also engaged in transactions with structured entities that it has not sponsored, notably in the form of investments in funds or securitisation vehicles. The method for assessing control for structured entities is detailed in note 1.b.2. Consolidation methods.Consolidated structured entities The main categories of consolidated structured entities are: \u25a0 ABCP (Asset-Backed Commercial Paper) conduits: the ABCP securitisation conduits Starbird, Matchpoint and Scaldis fund securitisation transactions managed by the BNP Paribas Group on behalf of its customers. Details on how these are \ufb01nanced and the Group\u2019s risk exposure are presented in chapter 5 of the Universal registration document under Securitisation as sponsor on behalf of clients/Short-term re\ufb01nancing; \u25a0 Proprietary securitisation: proprietary securitisation positions originated and held by the BNP Paribas Group are detailed in chapter 5 of the Universal registration document under Proprietary securitisation activities (originator); \u25a0 Funds managed by the Group: the BNP Paribas Group structures different types of funds for which it may act as fund manager, investor, custodian or guarantor. These funds are consolidated when the Group is both the manager and a signi\ufb01cant investor and is therefore exposed to variable returns.Unconsolidated structured entities The BNP Paribas Group has entered into relations with unconsolidated structured entities in the course of its business activities to meet the needs of its customers. Information relative to interests in sponsored structured entities The main categories of unconsolidated sponsored structured entities are as follows: \u25a0 Securitisation: the BNP Paribas Group structures securitisation vehicles for the purposes of offering customers \ufb01nancing solutions for their assets, either directly or through consolidated ABCP conduits. Each vehicle \ufb01nances the purchase of customers\u2019 assets (receivables, bonds, etc.) primarily by issuing bonds backed by these assets and whose redemption is linked to their performance; \u25a0 Funds: the Group structures and manages funds to offer investment opportunities to its customers. Dedicated or public funds are offered to institutional and individual customers and are distributed and commercially monitored by the BNP Paribas Group. The entities of the BNP Paribas Group responsible for managing these funds may receive management fees and performance commission. The BNP Paribas Group may hold units in these funds, as well as units in funds dedicated to the insurance activity not managed by the BNP Paribas Group; \u25a0 Asset financing: the BNP Paribas Group establishes and \ufb01nances structured entities that acquire assets (aircraft, ships, etc.) intended for lease, and the lease payments received by the structured entity are used to repay the \ufb01nancing, which is guaranteed by the asset held by the structured entity; \u25a0 Other: on behalf of its customers, the Group may also structure entities which invest in assets or are involved in debt restructuring. An interest in an unconsolidated structured entity is a contractual or non-contractual link that exposes the BNP Paribas Group to variable returns from the performance of the entity. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 282 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The Group\u2019s assets and liabilities related to the interests held in sponsored structured entities are as follows: In millions of euros, at 31 December 2022 Securitisation Funds Asset Financing Others Total INTERESTS ON THE GROUP BALANCE SHEET ASSETS Financial instruments at fair value through pro\ufb01t or loss 7 1,468 449 1,924 Derivatives used for hedging purposes 9 1,067 13 19 1,108 Financial instruments at fair value through equity 147 147 Financial assets at amortised cost 21,058 278 2,150 228 23,714 Other assets 2 110 26 138 Financial investments of insurance activities 34,933 34,933 TOTAL ASSETS 21,223 37,856 2,189 696 61,964 LIABILITIES Financial instruments at fair value through pro\ufb01t or loss 14 597 53 230 894 Derivatives used for hedging purposes Financial liabilities at amortised cost 553 10,907 181 27 11,668 Other liabilities 4 296 117 417 TOTAL LIABILITIES 571 11,800 351 257 12,979 MAXIMUM EXPOSURE TO LOSS 29,679 38,505 3,527 753 72,464 SIZE OF STRUCTURED ENTITIES (1) 163,455 308,773 5,755 4,365 482,348 In millions of euros, at 31 December 2021 Securitisation Funds Asset Financing Others Total INTERESTS ON THE GROUP BALANCE SHEET ASSETS Financial instruments at fair value through pro\ufb01t or loss 5 1,009 4 95 1,113 Derivatives used for hedging purposes 11 1,404 23 18 1,456 Financial instruments at fair value through equity 190 190 Financial assets at amortised cost 14,230 117 1,709 9 16,065 Other assets 3 93 96 Financial investments of insurance activities 24,114 24,114 TOTAL ASSETS 14,439 26,737 1,736 122 43,034 LIABILITIES Financial instruments at fair value through pro\ufb01t or loss 18 542 3 54 617 Derivatives used for hedging purposes Financial liabilities at amortised cost 1,058 12,809 140 27 14,034 Other liabilities 5 140 118 263 TOTAL LIABILITIES 1,081 13,491 261 81 14,914 MAXIMUM EXPOSURE TO LOSS 21,888 27,061 3,047 212 52,208 SIZE OF STRUCTURED ENTITIES (1) 121,665 332,150 4,933 5,263 464,011 (1) The size of sponsored structured entities equals the total assets of the structured entity for securitisation vehicles, the net asset value for funds (excluding management mandates) and the structured entity\u2019s total assets or the amount of the BNP Paribas Group\u2019s commitment for asset \ufb01nancing and other structures. The BNP Paribas Group\u2019s maximum exposure to losses on sponsored structured entities is the carrying amount of the assets, excluding, for \ufb01nancial assets at fair value through equity, changes in value taken directly to equity, as well as the nominal amount of the \ufb01nancing commitments and guarantee commitments given and the notional amount of credit default swaps (CDS) sold. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 283 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Information relative to interests in non-sponsored structured entities The main interests held by the BNP Paribas Group when it acts solely as an investor in non-sponsored structured entities are detailed below: \u25a0 Units in funds that are not managed by the Group, which are held by the Insurance business line: as part of the asset allocation strategy corresponding to investments related to the premiums for unit-linked contracts or for the general fund, the Insurance business line subscribes to units of structured entities. These short- or medium-term investments are held for their \ufb01nancial performance and meet the risk diversi\ufb01cation criteria inherent to the business. They amounted to EUR 30 billion at 31 December 2022 (EUR 39 billion at 31 December 2021). Changes in value and the majority of the risks associated with these investments are borne by policyholders in the case of assets representative of unit-linked contracts, and by the insurer in the case of assets representative of the general fund; \u25a0 Other investments in funds not managed by the Group: as part of its trading business, the BNP Paribas Group invests in structured entities without any involvement in either managing or structuring these entities (investments in mutual funds, securities funds or alternative funds), particularly as economic hedge for structured products sold to customers. The Group also invests in minority holdings in investment funds, in support of companies, as part of its venture capital business. These investments amounted to EUR 8 billion at 31 December 2022 (10 billion at 31 December 2021); \u25a0 Investments in securitisation vehicles: the breakdown of the Group\u2019s exposure and the nature of the securities held are presented in chapter 5 of the Universal registration document in the section Securitisation as investor. Besides, in the framework of its asset \ufb01nancing activity, the BNP Paribas Group provides \ufb01nancing to structured entities that are established by and for its clients and whose purpose is to acquire assets (aircraft, ships, etc.) intended for lease to those same clients. These \ufb01nancings amount to EUR 4 billion at 31 December 2022 (EUR 5 billion at 31 December 2021).7.i COMPENSATION AND BENEFITS AWARDED TO THE GROUP\u2019S CORPORATE OFFICERS The Group\u2019s corporate of\ufb01cers, their spouse and their dependent children are considered related parties. The remuneration and bene\ufb01ts policy relating to the Group\u2019s corporate of\ufb01cers, as well as the detailed information on an individual basis, are presented in chapter 2 Corporate Governance of the Universal registration document. \u27a4 REMUNERATION AND BENEFITS AWARDED TO THE GROUP\u2019S CORPORATE OFFICERS Year to 31 Dec. 2022 Year to 31 Dec. 2021 Gross remuneration, including remuneration linked to the term of directorship and bene\ufb01ts in kind payable for the year \u20ac9,845,772 \u20ac8,486,731 paid during the year \u20ac8,779,813 \u20ac6,526,149 Post-employment bene\ufb01ts Retirement bonuses: present value of the bene\ufb01t obligation (payroll taxes excluded) \u20ac840,720 \u20ac788,884 De\ufb01ned contribution pension plan: contributions paid by BNP Paribas during the year \u20ac7,075 \u20ac6,400 Welfare bene\ufb01ts: premiums paid by BNP Paribas during the year \u20ac20,343 \u20ac18,836 Share-based payments Stock subscription options Nil Nil Performance shares Nil Nil Long-term compensation fair value at grant date (*) \u20ac1,748,965 \u20ac1,327,391 (*) Valuation according to the method described in note 6.e. At 31 December 2022, no corporate of\ufb01cer is eligible for a contingent collective de\ufb01ned-bene\ufb01t top-up pension plan. Remuneration linked to the term of directorship paid to members of the Board of directors Remuneration linked to the term of directorship paid to all members of the Board of directors in 2022 amounts to EUR 1,540,000. This amount was EUR 1,362,000 in 2021 (excluding the remuneration of EUR 40,804 linked to the censor role of Mr. Noyer for the period between 1 January and 17 May 2021). The amount paid in 2022 to members other than corporate of\ufb01cers was EUR 1,413,560 compared with EUR 1,233,136 in 2021. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 284 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 REMUNERATION AND BENEFITS AWARDED TO DIRECTORS REPRESENTING THE EMPLOYEES In euros Year to 31 December 2022 Year to 31 December 2021 Gross remuneration paid during the year 125,832 120,963 Remuneration linked to the term of directorship (paid to the trade unions) 200,547 190,887 Premiums paid by BNP Paribas during the year into schemes related to Garantie Vie Professionnelle Accidents bene\ufb01ts and healthcare expense coverage 2,140 2,092 Contributions paid by BNP Paribas during the year into the de\ufb01ned-contribution plan 1,452 1,423 Loans, advances and guarantees granted to the Group\u2019s corporate officers At 31 December 2022, the total outstanding loans granted directly or indirectly to the Group\u2019s corporate of\ufb01cers and their spouse and dependent children amounted to EUR 5,179,096 (EUR 6,392,970 at 31 December 2021). These loans representing normal transactions were carried out on an arm\u2019s length basis.7.j OTHER RELATED PARTIES Other related parties of the BNP Paribas Group comprise consolidated companies (including entities consolidated under the equity method) and entities managing post-employment bene\ufb01t plans offered to Group employees (except for multi-employer and multi-industry schemes). Transactions between the BNP Paribas Group and related parties are carried out on an arm\u2019s length basis. Relations between consolidated companies A list of companies consolidated by the BNP Paribas Group is provided in note 7.l Scope of consolidation. Transactions and outstanding balances between fully-consolidated entities are eliminated. The tables below show transactions with entities accounted for under the equity method. \u27a4 OUTSTANDING BALANCES OF RELATED-PARTY TRANSACTIONS In millions of euros 31 December 2022 31 December 2021 Joint ventures Associates Joint ventures Associates ASSETS On demand accounts - 4 118 Loans 3,436 91 3,923 116 Securities 440 - 516 268 Other assets 3 72 1 74 Financial investments of insurance activities 1 - 1 2 TOTAL 3,880 167 4,441 578 LIABILITIES On demand accounts 166 1,243 137 525 Other borrowings 73 826 48 1,034 Other liabilities 2 30 7 26 Technical reserves and other insurance liabilities 1 190 1 159 TOTAL 242 2,289 193 1,744 FINANCING COMMITMENTS AND GUARANTEE COMMITMENTS Financing commitments given 24 143 23 553 Guarantee commitments given 65 120 1,469 41 TOTAL 89 263 1,492 594 The Group also carries out trading transactions with related parties involving derivatives (swaps, options and forwards, etc.) and \ufb01nancial instruments purchased or underwritten and issued by them (equities, bonds, etc.). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 285 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 RELATED-PARTY PROFIT AND LOSS ITEMS In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Joint ventures Associates Joint ventures Associates Interest income 43 9 26 7 Interest expense (2) (15) (5) (2) Commission income 1 288 5 305 Commission expense (1) (78) (76) Services provided 29 47 Services received (7) Lease income Net income from insurance activities (2) (2) (2) (3) TOTAL 39 231 24 271 Group Entities involved in certain post-employment benefit plans offered to Group employees In Belgium, BNP Paribas Fortis funds a number of pension schemes managed by AG Insurance in which the BNP Paribas Group has a 25% equity interest. In other countries, post-employment bene\ufb01t plans are generally managed by independent fund managers or independent insurance companies, and occasionally by Group companies, in particular BNP Paribas Asset Management. At 31 December 2022, the value of plan assets managed by Group companies or by companies over which the Group exercises signi\ufb01cant in\ufb02uence was EUR 3,689 million (EUR 4,048 million at 31 December 2021). Amounts received by Group companies in the year to 31 December 2022 totalled EUR 5 million and were mainly composed of management and custody fees (EUR 4 million at 31 December 2021).7.k FAIR VALUE OF FINANCIAL INSTRUMENTS CARRIED AT AMORTISED COST The information supplied in this note must be used and interpreted with the greatest caution for the following reasons: \u25a0 these fair values are an estimate of the value of the relevant instruments at 31 December 2022. They are liable to \ufb02uctuate from day to day as a result of changes in various parameters, such as interest rates and credit quality of the counterparty. In particular, they may differ signi\ufb01cantly from the amounts actually received or paid on maturity of the instrument. In most cases, the fair value is not intended to be realised immediately, and in practice might not be realised immediately. Consequently, this fair value does not re\ufb02ect the actual value of the instrument to BNP Paribas as a going concern; \u25a0 most of these fair values are not meaningful, and hence are not taken into account in the management of the commercial banking activities which use these instruments; \u25a0 estimating a fair value for \ufb01nancial instruments carried at historical cost often requires the use of modelling techniques, hypotheses and assumptions that may vary from bank to bank. This means that comparisons between the fair values of \ufb01nancial instruments carried at historical cost as disclosed by different banks may not be meaningful; \u25a0 the fair values shown below do not include the fair values of \ufb01nance lease transactions, non-\ufb01nancial instruments such as property, plant and equipment, goodwill and other intangible assets such as the value attributed to demand deposit portfolios or customer relationships. Consequently, these fair values should not be regarded as the actual contribution of the instruments concerned to the overall valuation of the BNP Paribas Group. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 286 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In millions of euros, at 31 December 2022 Estimated fair value Carrying value Level 1 Level 2 Level 3 Total FINANCIAL ASSETS Loans and advances to credit institutions and customers (1) 92,635 731,555 824,190 848,145 Debt securities at amortised cost (note 4.e) 85,758 26,235 771 112,764 114,014 Assets held for sale 4,440 9,980 53,325 67,746 72,176 FINANCIAL LIABILITIES Deposits from credit institutions and customers 1,132,280 1,132,280 1,132,772 Debt securities (note 4.h) 64,889 88,999 153,888 154,143 Subordinated debt (note 4.h) 17,193 6,624 23,817 24,156 Liabilities associated with assets held for sale 74,567 74,567 74,563 (1) Finance leases excluded. In millions of euros, at 31 December 2021 Estimated fair value Carrying value Level 1 Level 2 Level 3 Total FINANCIAL ASSETS Loans and advances to credit institutions and customers (1) 88,058 716,147 804,205 795,845 Debt securities at amortised cost (note 4.e) 89,374 17,203 3,172 109,749 108,510 Assets held for sale 4,587 11,081 49,838 65,507 64,847 FINANCIAL LIABILITIES Deposits from credit institutions and customers 1,123,937 1,123,937 1,123,383 Debt securities (note 4.h) 64,660 86,854 151,514 149,723 Subordinated debt (note 4.h) 18,211 7,360 25,571 24,720 Liabilities associated with assets held for sale 73,077 73,077 73,041 (1) Finance leases excluded. The valuation techniques and assumptions used by BNP Paribas ensure that the fair value of \ufb01nancial assets and liabilities carried at amortised cost is measured on a consistent basis throughout the Group. Fair value is based on prices quoted in an active market when these are available. In other cases, fair value is determined using valuation techniques such as discounting of estimated future cash \ufb02ows for loans, liabilities and debt securities at amortised cost, or speci\ufb01c valuation models for other \ufb01nancial instruments as described in note 1, Summary of signi\ufb01cant accounting policies applied by the BNP Paribas Group. The description of the fair value hierarchy levels is also presented in the accounting principles (see note 1.e.10). In the case of loans, liabilities and debt securities at amortised cost that have an initial maturity of less than one year (including demand deposits) or of most regulated savings products, fair value equates to carrying amount. These instruments have been classi\ufb01ed in Level 2, except for loans to customers, which are classi\ufb01ed in Level 3. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 287 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. BNP Paribas SA France Full (1) 100% 100% (1) BNPP SA (Argentina branch) Argentina Full 100% 100% Full 100% 100% BNPP SA (Australia branch) Australia Full 100% 100% Full 100% 100% BNPP SA (Austria branch) Austria Full 100% 100% Full 100% 100% BNPP SA (Bahrain branch) Bahrain Full 100% 100% Full 100% 100% BNPP SA (Belgium branch) Belgium Full 100% 100% Full 100% 100% BNPP SA (Bulgaria branch) Bulgaria Full 100% 100% Full 100% 100% BNPP SA (Canada branch) Canada Full 100% 100% Full 100% 100% BNPP SA (Czech Republic branch) Czech Rep. Full 100% 100% Full 100% 100% BNPP SA (Denmark branch) Denmark Full 100% 100% Full 100% 100% BNPP SA (Finland branch) Finland Full 100% 100% Full 100% 100% BNPP SA (Germany branch) Germany Full 100% 100% Full 100% 100% BNPP SA (Greece branch) Greece Full 100% 100% E2 BNPP SA (Guernsey branch) Guernsey Full 100% 100% E2 BNPP SA (Hong Kong branch) Hong Kong Full 100% 100% Full 100% 100% BNPP SA (Hungary branch) Hungary Full 100% 100% Full 100% 100% BNPP SA (India branch) India Full 100% 100% Full 100% 100% BNPP SA (Ireland branch) Ireland Full 100% 100% Full 100% 100% BNPP SA (Italy branch) Italy Full 100% 100% Full 100% 100% BNPP SA (Japan branch) Japan Full 100% 100% Full 100% 100% BNPP SA (Jersey branch) Jersey Full 100% 100% E2 S1 BNPP SA (Kuwait branch) Kuwait Full 100% 100% Full 100% 100% BNPP SA (Luxembourg branch) Luxembourg Full 100% 100% Full 100% 100% BNPP SA (Malaysia branch) Malaysia Full 100% 100% Full 100% 100% BNPP SA (Monaco branch) Monaco Full 100% 100% Full 100% 100% BNPP SA (Netherlands branch) Netherlands Full 100% 100% Full 100% 100% BNPP SA (Norway branch) Norway Full 100% 100% Full 100% 100% BNPP SA (Panama branch) Panama S1 Full 100% 100% BNPP SA (Philippines branch) Philippines Full 100% 100% Full 100% 100% BNPP SA (Poland branch) Poland Full 100% 100% Full 100% 100% BNPP SA (Portugal branch) Portugal Full 100% 100% Full 100% 100% BNPP SA (Qatar branch) Qatar Full 100% 100% Full 100% 100% BNPP SA (Republic of Korea branch) Rep. of Korea Full 100% 100% Full 100% 100% BNPP SA (Romania branch) Romania Full 100% 100% Full 100% 100% BNPP SA (Saudi Arabia branch) Saudi Arabia Full 100% 100% Full 100% 100% BNPP SA (Singapore branch) Singapore Full 100% 100% Full 100% 100% BNPP SA (South Africa branch) South Africa Full 100% 100% Full 100% 100% BNPP SA (Spain branch) Spain Full 100% 100% Full 100% 100% BNPP SA (Sweden branch) Sweden Full 100% 100% Full 100% 100% BNPP SA (Switzerland branch) Switzerland Full 100% 100% E2 BNPP SA (Taiwan branch) Taiwan Full 100% 100% Full 100% 100% BNPP SA (Thailand branch) Thailand Full 100% 100% Full 100% 100% BNPP SA (United Arab Emirates branch) United Arab Emirates Full 100% 100% Full 100% 100% BNPP SA (United Kingdom branch) UK Full 100% 100% Full 100% 100% BNPP SA (United States branch) USA Full 100% 100% Full 100% 100% BNPP SA (Viet Nam branch) Viet Nam Full 100% 100% Full 100% 100% CORPORATE & INSTITUTIONAL BANKING EMEA (Europe, Middle East, Africa) France Atargatis (s) France S4 Full - - Austin Finance (s) France Full - - Full - - BNPP Arbitrage France Full (1) 100% 100% Full (1) 100% 100% BNPP Securities Services France S4 Full (1) 100% 100% BNPP Securities Services (Australia branch) Australia S4 Full (1) 100% 100% BNPP Securities Services (Belgium branch) Belgium S4 Full (1) 100% 100% BNPP Securities Services (Germany branch) Germany S4 Full (1) 100% 100% Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. BNPP Securities Services (Greece branch) Greece S4 Full (1) 100% 100% BNPP Securities Services (Guernsey branch) Guernsey S4 Full (1) 100% 100% BNPP Securities Services (Hong Kong branch) Hong Kong S4 Full (1) 100% 100% BNPP Securities Services (Hungary branch) Hungary S4 Full (1) 100% 100% BNPP Securities Services (Ireland branch) Ireland S4 Full (1) 100% 100% BNPP Securities Services (Italy branch) Italy S4 Full (1) 100% 100% BNPP Securities Services (Jersey branch) Jersey S4 Full (1) 100% 100% BNPP Securities Services (Luxembourg branch) Luxembourg S4 Full (1) 100% 100% BNPP Securities Services (Netherlands branch) Netherlands S4 Full (1) 100% 100% BNPP Securities Services (Poland branch) Poland S4 Full (1) 100% 100% BNPP Securities Services (Portugal branch) Portugal S4 Full (1) 100% 100% BNPP Securities Services (Singapore branch) Singapore S4 Full (1) 100% 100% BNPP Securities Services (Spain branch) Spain S4 Full (1) 100% 100% BNPP Securities Services (Switzerland branch) Switzerland S4 Full (1) 100% 100% BNPP Securities Services (United Kingdom branch) UK S4 Full (1) 100% 100% Compagnie d\u2019Investissement Italiens (s) France S4 Full - - Compagnie d\u2019Investissement Op\u00e9ra (s) France S4 Full - - Ellipsis Asset Management France S2 Full 100% 100% V1/D3 Eurotitrisation France Equity 21.7% 21.7% Equity 21.7% 21.7% V3 Exane France Full 100% 100% Full 100% 100% V1/D3 Exane (Germany branch) Germany Full 100% 100% Full 100% 100% V1/D3 Exane (Italy branch) Italy Full 100% 100% Full 100% 100% V1/D3 Exane (Spain branch) Spain Full 100% 100% Full 100% 100% V1/D3 Exane (Sweden branch) Sweden Full 100% 100% Full 100% 100% V1/D3 Exane (Switzerland branch) Switzerland Full 100% 100% Full 100% 100% V1/D3 Exane (United Kingdom branch) UK Full 100% 100% Full 100% 100% V1/D3 Exane Asset Management France Equity 51% 51% V1 Equity 50% 50% V1/D3 Exane Derivatives France Full 100% 100% Full 100% 100% V1/D3 Exane Derivatives (Italy branch) Italy S1 Full 100% 100% V1/D3 Exane Derivatives (Switzerland branch) Switzerland Full 100% 100% Full 100% 100% V1/D3 Exane Derivatives (United Kingdom branch) UK Full 100% 100% Full 100% 100% V1/D3 Exane Derivatives Gerance France Full 100% 100% Full 100% 100% V1/D3 Exane Finance France Full 100% 100% Full 100% 100% V1/D3 Exane Participations France S4 Full 99% 99% V1/D3 FCT Juice (t) France Full - - Full - - Financi\u00e8re des Italiens (s) France Full - - Full - - Financi\u00e8re du March\u00e9 Saint Honor\u00e9 France Full 100% 100% Full 100% 100% Financi\u00e8re Paris Haussmann (s) France S4 Full - - Financi\u00e8re Taitbout (s) France S4 Full - - Mediterranea (s) France S4 Full - - Optichamps (s) France Full - - Full - - Parilease France Full (1) 100% 100% Full (1) 100% 100% Participations Op\u00e9ra (s) France Full - - Full - - BNP Paribas, a soci\u00e9t\u00e9 anonyme (Public Limited Company), registered in France, is the Group\u2019s lead company, which holds key positions in its three operating divisions: Corporate & Institutional Banking (CIB), Commercial, Personal Banking & Services (CPBS) and Investment & Protection Services (IPS). During the year, the parent company did not change its name. BNP Paribas has its principal place of business in France and its head of\ufb01ce is located at 16 boulevard des Italiens 75009 Paris, France. 7.l SCOPE OF CONSOLIDATION 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 288 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Services Logiciels d\u2019Int\u00e9gration Boursi\u00e8re France Equity (3) 66.6% 66.6% Equity (3) 66.6% 66.6% SNC Taitbout Participation 3 France Full 100% 100% Full 100% 100% Soci\u00e9t\u00e9 Orbaisienne de Participations France Full 100% 100% Full 100% 100% Verner Investissements France S4 Full 100% 100% V1/D3 Verner Investissements NewCo1 France S4 Full 100% 100% E3 Verner Investissements NewCo2 France S4 Full 100% 100% E3 Other European countries Alectra Finance PLC (t) Ireland S3 Allfunds Group PLC UK Equity 12.1% 12% V2 Equity 13.8% 13.7% V2 Aquarius + Investments PLC (t) Ireland S3 Full - - Aries Capital DAC (s) Ireland Full - - Full - - AssetMetrix Germany Equity 20.8% 20.8% V4 Equity 14.9% 14.9% V4 Auseter Real Estate Opportunities SARL (t) Luxembourg S2 Full - - BNP PUK Holding Ltd UK Full 100% 100% Full 100% 100% BNPP Bank JSC Russia Full 100% 100% Full 100% 100% BNPP Emissions Und Handels GmbH (s) Germany Full - - Full - - BNPP Fund Administration Services Ireland Ltd Ireland Full 100% 100% Full 100% 100% BNPP Invest Holdings BV Netherlands S1 Full 100% 100% BNPP Ireland Unlimited Co Ireland Full 100% 100% Full 100% 100% BNPP Islamic Issuance BV (s) Netherlands Full - - Full - - BNPP Issuance BV (s) Netherlands Full - - Full - - BNPP Net Ltd UK Full 100% 100% Full 100% 100% BNPP Prime Brokerage International Ltd Ireland Full 100% 100% Full 100% 100% BNPP Suisse SA Switzerland Full 100% 100% Full 100% 100% BNPP Suisse SA (Guernsey branch) Guernsey Full 100% 100% Full 100% 100% BNPP Technology LLC Russia Full 100% 100% Full 100% 100% BNPP Trust Corp UK Ltd UK Full 100% 100% E1 BNPP Vartry Reinsurance DAC Ireland Full (2) 100% 100% Full (2) 100% 100% Diamante Re SRL Italy Full 100% 100% Full 100% 100% Ejesur SA Spain Full 100% 100% Full 100% 100% Ellipsis AM Suisse SARL Switzerland S2 Full 100% 100% V1/D3 Exane Solutions Luxembourg SA Luxembourg Full 100% 100% Full 100% 100% V1/D3 Expo Atlantico EAII Investimentos Imobiliarios SA (s) Portugal Full - - E2 Expo Indico EIII Investimentos Imobiliarios SA (s) Portugal Full - - E2 FScholen Belgium Equity (3) 50% 50% Equity (3) 50% 50% Greenstars BNPP Luxembourg Full (2) 100% 100% Full (2) 100% 100% Kantox Holding Ltd (Ex- Kantox Ltd) UK Equity 9.5% 9.5% Equity 9.5% 9.5% V4 Madison Arbor Ltd (t) Ireland Full - - Full - - Matchpoint Finance PLC (t) Ireland Full - - Full - - Ribera Del Loira Arbitrage Spain Full 100% 100% Full 100% 100% Securasset SA (s) Luxembourg Full - - Full - - E1 Single Platform Investment Repackaging Entity SA (s) Luxembourg Full - - Full - - Utexam Logistics Ltd Ireland Full 100% 100% Full 100% 100% Utexam Solutions Ltd Ireland Full 100% 100% Full 100% 100% Middle East BNPP Investment Co KSA Saudi Arabia Full 100% 100% Full 100% 100% AMERICAS Banco BNPP Brasil SA Brazil Full 100% 100% Full 100% 100% BNPP Canada Corp Canada Full 100% 100% Full 100% 100% BNPP Capital Services Inc USA Full 100% 100% Full 100% 100% BNPP Colombia Corporacion Financiera SA Colombia Full 100% 100% Full 100% 100% BNPP EQD Brazil Fund Fundo de Investmento Multimercado (s) Brazil Full - - Full - - BNPP Financial Services LLC USA Full 100% 100% Full 100% 100% BNPP FS LLC USA Full 100% 100% Full 100% 100% BNPP IT Solutions Canada Inc Canada Full 100% 100% Full 100% 100% BNPP Mexico Holding Mexico Full 100% 100% Full 100% 100% E1 BNPP Mexico SA Institucion de Banca Multiple Mexico Full 100% 100% Full 100% 100% E1 BNPP Proprietario Fundo de Investimento Multimercado (s) Brazil Full - - Full - - BNPP RCC Inc USA Full 100% 100% Full 100% 100% Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. BNPP Securities Corp USA Full 100% 100% Full 100% 100% BNPP US Investments Inc USA Full 100% 100% Full 100% 100% BNPP US Wholesale Holdings Corp USA Full 100% 100% Full 100% 100% BNPP USA Inc USA Full 100% 100% Full 100% 100% BNPP VPG Brookline Cre LLC (s) USA Full - - Full - - BNPP VPG EDMC Holdings LLC (s) USA Full - - Full - - BNPP VPG Express LLC (s) USA Full - - Full - - BNPP VPG I LLC (s) USA Full - - Full - - BNPP VPG II LLC (s) USA Full - - Full - - BNPP VPG III LLC (s) USA Full - - Full - - BNPP VPG Master LLC (s) USA Full - - Full - - Dale Bakken Partners 2012 LLC USA FV 4.9% 23.8% V3 FV 23.8% 23.8% Decart Re Ltd (s) Bermuda Full (2) - - Full (2) - - Exane Inc USA S1 Full 100% 100% V1/D3 FSI Holdings Inc USA Full 100% 100% Full 100% 100% Starbird Funding Corp (t) USA Full - - Full - - PACIFIC ASIA Bank BNPP Indonesia PT Indonesia Full 100% 100% Full 100% 100% BNPP Arbitrage Hong Kong Ltd Hong Kong Full 100% 100% Full 100% 100% BNPP China Ltd China Full 100% 100% Full 100% 100% BNPP Finance Hong Kong Ltd Hong Kong Full 100% 100% Full 100% 100% BNPP Fund Services Australasia Pty Ltd Australia Full 100% 100% Full 100% 100% BNPP Fund Services Australasia Pty Ltd (New Zealand branch) New Zealand Full 100% 100% Full 100% 100% BNPP Global Securities Operations Private Ltd India Full 100% 100% Full 100% 100% BNPP India Holding Private Ltd India Full 100% 100% Full 100% 100% BNPP India Solutions Private Ltd India Full 100% 100% Full 100% 100% BNPP Malaysia Berhad Malaysia Full 100% 100% Full 100% 100% BNPP Securities Asia Ltd Hong Kong Full 100% 100% Full 100% 100% BNPP Securities India Private Ltd India Full 100% 100% Full 100% 100% BNPP Securities Japan Ltd Japan Full 100% 100% Full 100% 100% BNPP Securities Korea Co Ltd Rep. of Korea Full 100% 100% Full 100% 100% BNPP Securities Taiwan Co Ltd Taiwan Full 100% 100% Full 100% 100% BNPP Sekuritas Indonesia PT Indonesia Full 100% 100% V4 Full 99% 99% BPP Holdings Pte Ltd Singapore Full 100% 100% Full 100% 100% Contour Pte Ltd Singapore S2 Pt Andalan Multi Guna Indonesia Full 100% 100% D1 COMMERCIAL, PERSONAL BANKING & SERVICES COMMERCIAL & PERSONAL BANKING IN THE EUROZONE Commercial & Personal Banking in France 2SF - Soci\u00e9t\u00e9 des Services Fiduciaires France Equity 33.3% 33.3% E2 Banque de Wallis et Futuna France Full (1) 51% 51% Full (1) 51% 51% BNPP Antilles Guyane France Full (1) 100% 100% Full (1) 100% 100% BNPP D\u00e9veloppement France Full 100% 100% Full 100% 100% BNPP D\u00e9veloppement Oblig France Full 100% 100% Full 100% 100% BNPP Factor France Full (1) 100% 100% Full (1) 100% 100% BNPP Factor (Spain branch) Spain Full (1) 100% 100% Full (1) 100% 100% BNPP Factor Sociedade Financeira de Credito SA Portugal Full 100% 100% Full 100% 100% BNPP Nouvelle Cal\u00e9donie France Full (1) 100% 100% Full (1) 100% 100% BNPP R\u00e9union France Full (1) 100% 100% Full (1) 100% 100% Compagnie pour le Financement des Loisirs France Full 100% 100% V1/D5 Equity 46% 46% Copartis France Full 100% 100% Full 100% 100% Euro Securities Partners France Equity (3) 50% 50% Equity (3) 50% 50% GIE Ocean France Full 100% 100% Full 100% 100% Jivago Holding France Full 100% 100% Full 100% 100% E3 Partecis France Equity (3) 50% 50% Equity (3) 50% 50% Paylib Services France Equity 14.3% 14.3% Equity 14.3% 14.3% Portzamparc France Full (1) 100% 100% Full (1) 100% 100% Protection 24 France S2 Soci\u00e9t\u00e9 Lairoise de Participations France S4 Full 100% 100% BNL banca commerciale Artigiancassa SPA Italy Full 73.9% 73.9% Full 73.9% 73.9% Banca Nazionale Del Lavoro SPA Italy Full 100% 100% Full 100% 100% EMF IT 2008 1 SRL (t) Italy Full - - Full - - Era Uno SRL (t) Italy Full - - Full - - E2 Eutimm SRL Italy Full 100% 100% Full 100% 100% Financit SPA Italy Full 60% 60% Full 60% 60% V2 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 289 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Immera SRL (t) Italy Full - - Full - - E1 International Factors Italia SPA Italy Full 99.7% 99.7% Full 99.7% 99.7% Permicro SPA Italy Equity 21.9% 21.9% V4 Equity 21.6% 21.6% Serfactoring SPA Italy S2 Servizio Italia SPA Italy Full 100% 100% Full 100% 100% Sviluppo HQ Tiburtina SRL Italy Full 100% 100% Full 100% 100% Tierre Securitisation SRL (t) Italy Full - - Full - - Vela Consumer 2 SRL (t) Italy S1 Vela Home SRL (t) Italy S3 Full - - Vela Mortgages SRL (t) Italy S3 Full - - Vela OBG SRL (t) Italy Full - - Full - - Vela RMBS SRL (t) Italy Full - - Full - - Worldline Merchant Services Italia SPA (Ex-Axepta SPA) Italy Equity 20% 20% V2/ D6 Full 100% 100% Commercial & Personal Banking in Belgium Axepta BNPP Benelux Belgium Full 100% 99.9% Full 100% 99.9% Bancontact Paytoniq Company Belgium Equity 22.5% 22.5% Equity 22.5% 22.5% Banking Funding Company SA Belgium S3 Equity 33.5% 33.5% BASS Master Issuer NV (t) Belgium Full - - Full - - Batopin Belgium Equity 25% 25% Equity 25% 25% E1 Belgian Mobile ID Belgium Equity 12.2% 12.2% Equity 12.2% 12.2% V3 BNPP Commercial Finance Ltd UK Full 100% 99.9% Full 100% 99.9% BNPP Factor AB Sweden S1 BNPP Factor AS Denmark Full 100% 99.9% Full 100% 99.9% BNPP Factor GmbH Germany Full 100% 99.9% Full 100% 99.9% BNPP Factor NV Netherlands S1 BNPP Factoring Support Netherlands Full 100% 99.9% Full 100% 99.9% BNPP Fortis Belgium Full 99.9% 99.9% Full 99.9% 99.9% BNPP Fortis (Spain branch) Spain Full 99.9% 99.9% Full 99.9% 99.9% BNPP Fortis (United States branch) USA Full 99.9% 99.9% Full 99.9% 99.9% BNPP Fortis Factor NV Belgium Full 100% 99.9% Full 100% 99.9% BNPP Fortis Film Finance Belgium Full 100% 99.9% Full 100% 99.9% V4 BNPP Fortis Funding SA Luxembourg Full 100% 99.9% Full 100% 99.9% BNPP FPE Belgium Belgium Full 100% 99.9% Full 100% 99.9% BNPP FPE Expansion Belgium Full 100% 99.9% Full 100% 99.9% BNPP FPE Management Belgium Full 100% 99.9% Full 100% 99.9% Bpost Bank Belgium Full 100% 99.9% V1/D7 Equity (3) 50% 50% Credissimo Belgium Full 100% 99.9% Full 100% 99.9% Credissimo Hainaut SA Belgium Full 99.7% 99.7% Full 99.7% 99.7% Cr\u00e9dit pour Habitations Sociales Belgium Full 81.7% 81.6% Full 81.7% 81.6% Demetris NV Belgium Full 100% 99.9% E1 Epimede (s) Belgium Equity - - Equity - - Esmee Master Issuer (t) Belgium Full - - Full - - Immobili\u00e8re Sauveniere SA Belgium Full 100% 99.9% Full 100% 99.9% Isabel SA NV Belgium Equity 25.3% 25.3% Equity 25.3% 25.3% Microstart Belgium Full 42.3% 76.8% Full 42.3% 76.8% V4 Private Equity Investments (a) BE/FR/LU FV - - FV - - Sagip Belgium Full 100% 100% Full 100% 100% Sowo Invest SA NV Belgium Full 87.5% 87.5% Full 87.5% 87.5% Commercial & Personal Banking in Luxembourg BGL BNPP Luxembourg Full 66% 65.9% Full 66% 65.9% BGL BNPP (Germany branch) Germany Full 66% 65.9% Full 66% 65.9% BNPP Lease Group Luxembourg SA Luxembourg Full 100% 65.9% Full 100% 65.9% BNPP SB Re Luxembourg Full (2) 100% 100% Full (2) 100% 100% Cofhylux SA Luxembourg Full 100% 65.9% Full 100% 65.9% Compagnie Financi\u00e8re Ottomane SA Luxembourg Full 97.3% 97.3% Full 97.3% 97.3% Le Sphinx Assurances Luxembourg SA Luxembourg Full (2) 100% 100% Full (2) 100% 100% Lion International Investments SA Luxembourg S4 Full 100% 100% Luxhub SA Luxembourg Equity 28% 18.5% Equity 28% 18.5% Visalux Luxembourg Equity 25.3% 16.7% Equity 25.3% 16.7% COMMERCIAL & PERSONAL BANKING IN THE REST OF THE WORLD Europe-Mediterranean Bank of Nanjing China Equity 13.9% 13.9% V3 Equity 15% 15% V1 Banque Internationale pour le Commerce et l\u2019Industrie de la C\u00f4te d\u2019Ivoire Ivory Coast Full 59.8% 59.8% Full 59.8% 59.8% Banque Internationale pour le Commerce et l\u2019Industrie de la Guin\u00e9e Guinea S2 Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Banque Internationale pour le Commerce et l\u2019Industrie du Burkina Faso Burkina Faso S2 Banque Internationale pour le Commerce et l\u2019Industrie du S\u00e9n\u00e9gal Senegal Full 54.1% 54.1% Full 54.1% 54.1% Banque Marocaine pour le Commerce et l\u2019Industrie Morocco Full 67% 67% Full 67% 67% Banque Marocaine pour le Commerce et l\u2019Industrie Banque Offshore Morocco Full 100% 67% Full 100% 67% Bantas Nakit AS T\u00fcrkiye Equity (3) 33.3% 16.7% Equity (3) 33.3% 16.7% BDSI Morocco Full 100% 96.4% Full 100% 96.4% BGZ Poland ABS1 DAC (t) Ireland Full - - Full - - BICI Bourse Ivory Coast Full 90% 52% Full 90% 52% V4 BMCI Leasing Morocco Full 86.9% 58.2% Full 86.9% 58.2% BNPP Bank Polska SA Poland Full 87.4% 87.4% Full 87.4% 87.4% V3 BNPP El Djazair Algeria Full 100% 100% Full 100% 100% BNPP Faktoring Spolka ZOO Poland Full 100% 100% Full 100% 100% BNPP Fortis Yatirimlar Holding AS T\u00fcrkiye Full 100% 99.9% Full 100% 99.9% BNPP Group Service Center SA Poland Full 100% 87.4% E1 BNPP IRB Participations France Full 100% 100% Full 100% 100% BNPP Solutions Spolka ZOO Poland S3 Full 100% 87.4% V3 BNPP Yatirimlar Holding AS T\u00fcrkiye Full 100% 100% Full 100% 100% Dreams Sustainable AB Sweden Full 57.5% 57.5% E3 Joint Stock Company Ukrsibbank Ukraine Equity 60% 60% D1 Full 60% 60% TEB ARF Teknoloji Anonim Sirketi T\u00fcrkiye Full 100% 72.5% Full 100% 72.5% E2 TEB Faktoring AS T\u00fcrkiye Full 100% 72.5% Full 100% 72.5% TEB Holding AS T\u00fcrkiye Full 50% 50% Full 50% 50% TEB SH A Serbia Full 100% 50% Full 100% 50% TEB Yatirim Menkul Degerler AS T\u00fcrkiye Full 100% 72.5% Full 100% 72.5% Turk Ekonomi Bankasi AS T\u00fcrkiye Full 100% 72.5% Full 100% 72.5% Union Bancaire pour le Commerce et l\u2019Industrie Tunisia S2 BancWest BancWest Holding Inc USA Full 100% 100% D2 Full 100% 100% D2 BancWest Holding Inc Grantor Trust ERC Subaccount (s) USA Full - - D2 Full - - D2 BancWest Holding Inc Umbrella Trust (s) USA Full - - D2 Full - - D2 BancWest Investment Services Inc USA Full 100% 100% D2 Full 100% 100% D2 Bank of the West USA Full 100% 100% D2 Full 100% 100% D2 Bank of the West Auto Trust 2018-1 (t) USA S1 Full - - D2 Bank of the West Auto Trust 2019-1 (t) USA Full - - D2 Full - - D2 Bank of the West Auto Trust 2019-2 (t) USA Full - - D2 Full - - D2 BNPP Leasing Solutions Canada Inc Canada Full 100% 100% D2 Full 100% 100% BOW Auto Receivables LLC (t) USA Full - - D2 Full - - D2 BWC Opportunity Fund 2 Inc (t) USA Full - - D2 Full - - D2 BWC Opportunity Fund Inc (t) USA Full - - D2 Full - - D2 CFB Community Development Corp USA Full 100% 100% D2 Full 100% 100% D2 Claas Financial Services LLC USA Full 51% 51% D2 Full 51% 51% D2 Commercial Federal Affordable Housing Inc USA Full 100% 100% D2 Full 100% 100% D2 Commercial Federal Community Development Corp USA S1 Commercial Federal Insurance Corp USA S1 Commercial Federal Investment Service Inc USA S1 First Santa Clara Corp (s) USA Full - - D2 Full - - D2 Liberty Leasing Co USA S1 United California Bank Deferred Compensation Plan Trust (s) USA Full - - D2 Full - - D2 Ursus Real Estate Inc USA Full 100% 100% D2 Full 100% 100% D2 SPECIALISED BUSINESSES Personal Finance Alpha Cr\u00e9dit SA Belgium Full 100% 99.9% Full 100% 99.9% AutoFlorence 1 SRL (t) Italy Full - - Full - - AutoFlorence 2 SRL (t) Italy Full - - Full - - E2 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 290 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Autonoria 2019 (t) France Full - - Full - - Autonoria Spain 2019 (t) Spain Full - - Full - - Autonoria Spain 2021 FT (t) Spain Full - - Full - - E2 Autonoria Spain 2022 FT (t) Spain Full - - E2 Autop Ocean Indien France S4 Full 100% 97.8% Axa Banque Financement France Equity 35% 35% Equity 35% 35% Banco Cetelem SA Spain Full 100% 100% Full 100% 100% Banco Cetelem SA Brazil Full 100% 100% Full 100% 100% BGN Mercantil E Servicos Ltda Brazil Full 100% 100% Full 100% 100% BNPP Personal Finance France Full 100% 100% Full 100% 100% BNPP Personal Finance (Austria branch) Austria Full 100% 100% Full 100% 100% BNPP Personal Finance (Bulgaria branch) Bulgaria Full 100% 100% Full 100% 100% BNPP Personal Finance (Czech Republic branch) Czech Rep. Full 100% 100% Full 100% 100% BNPP Personal Finance (Portugal branch) Portugal Full 100% 100% Full 100% 100% BNPP Personal Finance (Romania branch) Romania Full 100% 100% Full 100% 100% BNPP Personal Finance (Slovakia branch) Slovakia Full 100% 100% Full 100% 100% BNPP Personal Finance BV Netherlands Full 100% 100% Full 100% 100% BNPP Personal Finance South Africa Ltd South Africa Full 100% 100% Full 100% 100% BON BNPP Consumer Finance Co Ltd (Ex-Suning Consumer Finance Co Ltd) China Equity 18% 18% V1 Equity 15% 15% Ca\ufb01neo France Full (1) 51% 50.8% Full (1) 51% 50.8% Carrefour Banque France Equity 40% 40% Equity 40% 40% Central Europe Technologies SRL Romania Full 100% 100% Full 100% 100% E1 Cetelem Alg\u00e9rie Algeria S1 Cetelem America Ltda Brazil Full 100% 100% Full 100% 100% Cetelem Business Consulting Shanghai Co Ltd China Full 100% 100% E1 Cetelem Gestion AIE Spain Full 100% 96% Full 100% 96% Cetelem SA de CV Mexico Full 100% 100% Full 100% 100% Cetelem Servicios Informaticos AIE Spain Full 100% 81% Full 100% 81% Cetelem Servicios SA de CV Mexico S4 Full 100% 100% Cetelem Servicos Ltda Brazil Full 100% 100% Full 100% 100% Co\ufb01ca Bail France Full (1) 100% 100% Full (1) 100% 100% Co\ufb01noga Funding Two LP (s) UK S1 Co\ufb01plan France Full (1) 100% 100% Full (1) 100% 100% Creation Consumer Finance Ltd UK Full 100% 100% Full 100% 100% Creation Financial Services Ltd UK Full 100% 100% Full 100% 100% Cr\u00e9dit Moderne Antilles Guyane France Full (1) 100% 100% Full (1) 100% 100% Cr\u00e9dit Moderne Oc\u00e9an Indien France Full (1) 97.8% 97.8% Full (1) 97.8% 97.8% Domo\ufb01nance France Full (1) 55% 55% Full (1) 55% 55% Domos 2017 (t) France S1 Full - - E Carat 10 (t) France Full - - Full - - E Carat 7 PLC (t) UK S3 E Carat 8 PLC (t) UK S3 E Carat 9 PLC (t) UK S3 E Carat 10 PLC (t) UK S3 Full - - E Carat 11 PLC (t) UK Full - - Full - - E Carat 12 PLC (t) UK Full - - Full - - E2 E Carat SA (t) Luxembourg S3 Ekspres Bank AS Denmark Full 100% 100% Full 100% 100% Ekspres Bank AS (Norway branch) Norway Full 100% 100% Full 100% 100% Ekspres Bank AS (Sweden branch) Sweden Full 100% 100% Full 100% 100% Eos Aremas Belgium SA NV Belgium Equity 50% 49.9% Equity 50% 49.9% Evollis France Equity 41% 41% Equity 41% 41% E3 Findomestic Banca SPA Italy Full 100% 100% Full 100% 100% Florence Real Estate Developments SPA Italy Full 100% 100% Full 100% 100% E1 Florence SPV SRL (t) Italy Full - - Full - - GCC Consumo Establecimiento Financiero de Credito SA Spain Full 51% 51% Full 51% 51% Genius Auto Finance Co Ltd China Equity (3) 20% 20% Equity (3) 20% 20% International Development Resources AS Services SA Spain Full 100% 100% Full 100% 100% E1 Iqera Services France Equity 24.5% 24.5% Equity 24.5% 24.5% Loisirs Finance France Full (1) 51% 51% Full (1) 51% 51% Magyar Cetelem Bank ZRT Hungary Full 100% 100% Full 100% 100% Neuilly Contentieux France Full 95.9% 95.6% Full 95.9% 95.6% Noria 2018-1 (t) France Full - - Full - - Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Noria 2020 (t) France Full - - Full - - Noria 2021 (t) France Full - - Full - - E2 Noria Spain 2020 FT (t) Spain Full - - Full - - Olympia SAS France S3 Opel Bank France Full 50% 50% Full 50% 50% Opel Bank (Austria branch) Austria Full 50% 50% Full 50% 50% Opel Bank (Germany branch) Germany Full 50% 50% Full 50% 50% Opel Bank (Greece branch) Greece S1 Opel Bank (Italy branch) Italy Full 50% 50% Full 50% 50% Opel Bank (Spain branch) Spain Full 50% 50% Full 50% 50% Opel Finance BV Belgium S3 Full 100% 50% Opel Finance NV Netherlands Full 100% 50% Full 100% 50% Opel Finance SA Switzerland Full 100% 50% Full 100% 50% Personal Finance Location France Full 100% 100% Full 100% 100% E1 PF Services GmbH Germany Full 100% 100% Full 100% 100% E1 Phedina Hypotheken 2010 BV (t) Netherlands Full - - Full - - RCS Botswana Pty Ltd Botswana Full 100% 100% Full 100% 100% RCS Cards Pty Ltd South Africa Full 100% 100% Full 100% 100% RCS Investment Holdings Namibia Pty Ltd Namibia Full 100% 100% Full 100% 100% Securitisation funds UCI and RMBS Prado (b) (t) Spain Equity (3) - - Equity (3) - - Servicios Financieros Carrefour EFC SA Spain Equity 37.3% 40% Equity 37.3% 40% Sol\ufb01n\u00e9a France S3 Sygma Fundings Two Ltd UK S3 Symag France S2 TEB Finansman AS T\u00fcrkiye Full 100% 92.8% Full 100% 92.8% Union de Creditos Inmobiliarios SA Spain Equity (3) 50% 50% Equity (3) 50% 50% United Partnership France Equity (3) 50% 50% Equity (3) 50% 50% Vauxhall Finance PLC UK Full 100% 50% Full 100% 50% XFERA Consumer Finance EFC SA Spain Full 51% 51% Full 51% 51% Zhejiang Wisdom Puhua Financial Leasing Co Ltd China Equity (3) 20% 20% Equity (3) 20% 20% E3 Arval Artel France Full (2) 100% 99.9% Full (2) 100% 99.9% Arval AB Sweden Full (2) 100% 99.9% Full (2) 100% 99.9% Arval AS Denmark Full (2) 100% 99.9% Full (2) 100% 99.9% Arval AS Norway Norway Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Austria GmbH Austria Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Belgium NV SA Belgium Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Benelux BV Netherlands S4 Full (2) 100% 99.9% Arval Brasil Ltda Brazil Full (2) 100% 99.9% Full (2) 100% 99.9% Arval BV Netherlands Full (2) 100% 99.9% Full (2) 100% 99.9% Arval CZ SRO Czech Rep. Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Deutschland GmbH Germany Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Fleet Services France Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Fuhrparkmanagement GmbH Austria S4 Arval Hellas Car Rental SA Greece Full (2) 100% 99.9% Full (2) 100% 99.9% Arval India Private Ltd India S3 Arval LLC Russia Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Luxembourg SA Luxembourg Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Magyarorszag KFT Hungary Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Maroc SA Morocco Full (2) 100% 89% Full (2) 100% 89% Arval OY Finland Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Relsa SPA Chile Equity 50% 50% Equity 50% 50% Arval Schweiz AG Switzerland Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Service Lease France Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Service Lease Aluger Operational Automoveis SA Portugal Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Service Lease Italia SPA Italy Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Service Lease Polska SP ZOO Poland Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Service Lease Romania SRL Romania Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Service Lease SA Spain Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Slovakia SRO Slovakia Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Trading France Full (2) 100% 99.9% Full (2) 100% 99.9% Arval UK Group Ltd UK Full (2) 100% 99.9% Full (2) 100% 99.9% Arval UK Leasing Services Ltd UK Full (2) 100% 99.9% Full (2) 100% 99.9% Arval UK Ltd UK Full (2) 100% 99.9% Full (2) 100% 99.9% BNPP Fleet Holdings Ltd UK Full (2) 100% 99.9% Full (2) 100% 99.9% Cent ASL France Full (2) 100% 99.9% Full (2) 100% 99.9% E2 Co\ufb01parc France Full (2) 100% 99.9% Full (2) 100% 99.9% FCT Pulse France 2022 (s) France Full (2) - - E2 Greenval Insurance DAC Ireland Full (2) 100% 99.9% Full (2) 100% 99.9% Locadif Belgium Full (2) 100% 99.9% Full (2) 100% 99.9% 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 291 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Louveo France Full (2) 100% 99.9% Full (2) 100% 99.9% Personal Car Lease BV Netherlands Full (2) 100% 99.9% E3 Public Location Longue Dur\u00e9e France Full (2) 100% 99.9% Full (2) 100% 99.9% TEB Arval Arac Filo Kiralama AS T\u00fcrkiye Full (2) 100% 75% Full (2) 100% 75% Terberg Busines Lease Group BV Netherlands Full (2) 100% 99.9% E3 Terberg Leasing Justlease Belgium BV Belgium Full (2) 100% 99.9% E3 Leasing Solutions All In One Vermietung GmbH Austria Full 100% 83% Full 100% 83% Aprolis Finance France Full 51% 42.3% Full 51% 42.3% Artegy France Full 100% 83% Full 100% 83% BNL Leasing SPA Italy Full 100% 95.5% Full 100% 95.5% BNPP 3 Step IT France Full 51% 42.3% Full 51% 42.3% BNPP 3 Step IT (Belgium branch) Belgium Full 51% 42.3% Full 51% 42.3% BNPP 3 Step IT (Germany branch) Germany Full 51% 42.3% Full 51% 42.3% BNPP 3 Step IT (Italy branch) Italy Full 51% 42.3% Full 51% 42.3% BNPP 3 Step IT (Netherlands branch) Netherlands Full 51% 42.3% Full 51% 42.3% BNPP 3 Step IT (United Kingdom branch) UK Full 51% 42.3% Full 51% 42.3% BNPP Finansal Kiralama AS T\u00fcrkiye Full 100% 82.5% Full 100% 82.5% BNPP Lease Group France Full (1) 100% 83% Full (1) 100% 83% BNPP Lease Group (Germany branch) Germany Full (1) 100% 83% Full (1) 100% 83% BNPP Lease Group (Italy branch) Italy Full (1) 100% 83% Full (1) 100% 83% BNPP Lease Group (Portugal branch) Portugal Full (1) 100% 83% Full (1) 100% 83% BNPP Lease Group (Spain branch) Spain Full (1) 100% 83% Full (1) 100% 83% BNPP Lease Group Belgium Belgium Full 100% 83% Full 100% 83% BNPP Lease Group GmbH & Co KG Austria S4 BNPP Lease Group Leasing Solutions SPA Italy Full 100% 95.5% Full 100% 95.5% BNPP Lease Group PLC UK Full 100% 83% Full 100% 83% BNPP Lease Group Rentals Ltd UK S1 BNPP Lease Group SP ZOO Poland Full 100% 83% Full 100% 83% BNPP Leasing Services Poland Full 100% 87.4% Full 100% 87.4% V3 BNPP Leasing Solution AS Norway Full 100% 83% Full 100% 83% BNPP Leasing Solutions Luxembourg Full 100% 83% Full 100% 83% BNPP Leasing Solutions AB Sweden Full 100% 83% Full 100% 83% E1 BNPP Leasing Solutions AS Denmark Full 100% 83% E1 BNPP Leasing Solutions IFN SA Romania Full 100% 83% Full 100% 83% BNPP Leasing Solutions Ltd UK Full 100% 83% Full 100% 83% BNPP Leasing Solutions NV Netherlands Full 100% 83% Full 100% 83% BNPP Leasing Solutions Suisse SA Switzerland Full 100% 83% Full 100% 83% BNPP Rental Solutions Ltd UK Full 100% 83% Full 100% 83% BNPP Rental Solutions SPA Italy Full 100% 83% Full 100% 83% Claas Financial Services France Full (1) 51% 42.3% Full (1) 51% 42.3% Claas Financial Services (Germany branch) Germany Full (1) 51% 42.3% Full (1) 51% 42.3% Claas Financial Services (Italy branch) Italy Full (1) 51% 42.3% Full (1) 51% 42.3% Claas Financial Services (Poland branch) Poland Full (1) 51% 42.3% Full (1) 51% 42.3% Claas Financial Services (Spain branch) Spain Full (1) 51% 42.3% Full (1) 51% 42.3% Claas Financial Services Ltd UK Full 51% 42.3% Full 51% 42.3% CNH Industrial Capital Europe France Full (1) 50.1% 41.6% Full (1) 50.1% 41.6% CNH Industrial Capital Europe (Belgium branch) Belgium Full (1) 50.1% 41.6% Full (1) 50.1% 41.6% CNH Industrial Capital Europe (Germany branch) Germany Full (1) 50.1% 41.6% Full (1) 50.1% 41.6% CNH Industrial Capital Europe (Italy branch) Italy Full (1) 50.1% 41.6% Full (1) 50.1% 41.6% CNH Industrial Capital Europe (Poland branch) Poland Full (1) 50.1% 41.6% Full (1) 50.1% 41.6% CNH Industrial Capital Europe (Spain branch) Spain Full (1) 50.1% 41.6% Full (1) 50.1% 41.6% CNH Industrial Capital Europe BV Netherlands Full 100% 41.6% Full 100% 41.6% CNH Industrial Capital Europe GmbH Austria Full 100% 41.6% Full 100% 41.6% CNH Industrial Capital Europe Ltd UK Full 100% 41.6% Full 100% 41.6% ES Finance Belgium Full 100% 99.9% Full 100% 99.9% FL Zeebrugge (s) Belgium Full - - Full - - Folea Grundstucksverwaltungs und Vermietungs Gmbh & Co (s) Germany S1 Full - - Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Fortis Lease France Full (1) 100% 83% Full (1) 100% 83% Fortis Lease Belgium Belgium Full 100% 83% Full 100% 83% Fortis Lease Deutschland GmbH Germany Full 100% 83% Full 100% 83% Fortis Lease Iberia SA Spain Full 100% 86.6% Full 100% 86.6% Fortis Lease Portugal Portugal Full 100% 83% Full 100% 83% Fortis Lease UK Ltd UK Full 100% 83% Full 100% 83% Fortis Vastgoedlease BV Netherlands Full 100% 83% Full 100% 83% Hef\ufb01q Heftruck Verhuur BV Netherlands Full 50.1% 41.5% Full 50.1% 41.5% JCB Finance France Full (1) 100% 41.6% Full (1) 100% 41.6% JCB Finance (Germany branch) Germany Full (1) 100% 41.6% Full (1) 100% 41.6% JCB Finance (Italy branch) Italy Full (1) 100% 41.6% Full (1) 100% 41.6% JCB Finance Holdings Ltd UK Full 50.1% 41.6% Full 50.1% 41.6% Manitou Finance Ltd UK Full 51% 42.3% Full 51% 42.3% MGF France Full (1) 51% 42.3% Full (1) 51% 42.3% MGF (Germany branch) Germany Full (1) 51% 42.3% Full (1) 51% 42.3% MGF (Italy branch) Italy Full (1) 51% 42.3% Full (1) 51% 42.3% Natio Energie 2 France Full 100% 100% Full 100% 100% Natiocredibail France Full (1) 100% 100% Full (1) 100% 100% Pixel 2021 (t) France Full - - Full - - E2 RD Leasing IFN SA Romania S4 Same Deutz Fahr Finance France Full (1) 100% 83% Full (1) 100% 83% SNC Natiocredimurs France Full (1) 100% 100% Full (1) 100% 100% New Digital Businesses Financi\u00e8re des Paiements \u00c9lectroniques France Full 95% 95% Full 95% 95% Financi\u00e8re des Paiements \u00c9lectroniques (Belgium branch) Belgium Full 95% 95% Full 95% 95% E2 Financi\u00e8re des Paiements \u00c9lectroniques (Germany branch) Germany Full 95% 95% E2 Financi\u00e8re des Paiements \u00c9lectroniques (Portugal branch) Portugal Full 95% 95% Full 95% 95% E2 Financi\u00e8re des Paiements \u00c9lectroniques (Spain branch) Spain Full 95% 95% Full 95% 95% Floa France Full 100% 100% E3 Lyf SA France Equity (3) 43.8% 43.8% Equity (3) 43.8% 43.8% Lyf SAS France Equity (3) 49.9% 49.9% V4 Equity (3) 49.1% 49.1% Personal Investors Espresso Financial Services Private Ltd India Full 100% 100% Full 100% 100% Geojit Technologies Private Ltd India Equity 35% 35% Equity 35% 35% Human Value Developers Private Ltd India Full 100% 100% Full 100% 100% Sharekhan BNPP Financial Services Ltd India Full 100% 100% Full 100% 100% Sharekhan Ltd India Full 100% 100% Full 100% 100% INVESTMENT & PROTECTION SERVICES Insurance AEW Immocommercial (s) France FV - - FV - - AG Insurance Belgium Equity 25% 25% Equity 25% 25% Agathe Retail France France FV 33.3% 33.3% FV 33.3% 33.3% Ambrosia Avril 2025 (s) France S1 Ambrosia Mars 2026 (s) France S1 Astridplaza Belgium Full (2) 100% 98.5% Full (2) 100% 98.5% V4 Batipart Participations SAS Luxembourg FV 29.7% 29.7% FV 29.7% 29.7% Becquerel (s) France Full (4) - - Full (4) - - BNPP Actions Croissance (s) France Full (4) - - Full (4) - - BNPP Actions Entrepreneurs (s) France S3 Full (4) - - BNPP Actions Euro (s) France Full (4) - - Full (4) - - BNPP Actions Monde (s) France Full (4) - - Full (4) - - BNPP Actions PME (s) France S3 Full (4) - - BNPP Actions PME ETI (s) France Full (4) - - Full (4) - - E1 BNPP Aqua (s) France Full (4) - - Full (4) - - BNPP Best Selection Actions Euro (s) France Full (4) - - Full (4) - - BNPP Cardif France Full (2) 100% 100% Full (2) 100% 100% BNPP Cardif BV Netherlands Full (2) 100% 100% Full (2) 100% 100% BNPP Cardif Compania de Seguros y Reaseguros SA Peru Equity  * 100% 100% Equity  * 100% 100% BNPP Cardif Emeklilik AS T\u00fcrkiye Full (2) 100% 100% Full (2) 100% 100% BNPP Cardif General Insurance Co Ltd Rep. of Korea S2 Equity  * 94.5% 94.5% V4 BNPP Cardif Hayat Sigorta AS T\u00fcrkiye Equity  * 100% 100% Equity  * 100% 100% BNPP Cardif Levensverzekeringen NV Netherlands S4 BNPP Cardif Livforsakring AB Sweden Full (2) 100% 100% Full (2) 100% 100% D1 BNPP Cardif Livforsakring AB (Denmark branch) Denmark Full (2) 100% 100% Full (2) 100% 100% D1 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 292 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. BNPP Cardif Livforsakring AB (Norway branch) Norway Full (2) 100% 100% Full (2) 100% 100% D1 BNPP Cardif Pojistovna AS Czech Rep. Full (2) 100% 100% Full (2) 100% 100% BNPP Cardif Schadeverzekeringen NV Netherlands S4 BNPP Cardif Seguros de Vida SA Chile Full (2) 100% 100% Full (2) 100% 100% BNPP Cardif Seguros Generales SA Chile Full (2) 100% 100% Full (2) 100% 100% BNPP Cardif Services SRO Czech Rep. Equity  * 100% 100% Equity  * 100% 100% BNPP Cardif Servicios y Asistencia Ltda Chile Equity  * 100% 100% Equity  * 100% 100% BNPP Cardif Sigorta AS T\u00fcrkiye Equity  * 100% 100% Equity  * 100% 100% BNPP Cardif TCB Life Insurance Co Ltd Taiwan Equity 49% 49% Equity 49% 49% BNPP Cardif Vita Compagnia di Assicurazione E Riassicurazione SPA Italy Full (2) 100% 100% Full (2) 100% 100% BNPP Convictions (s) France Full (4) - - Full (4) - - BNPP CP Cardif Alternative (s) France S3 Full (2) - - BNPP CP Cardif Private Debt (s) France Full (4) - - Full (4) - - BNPP CP Infrastructure Investments Fund (s) France Full (4) - - Full (4) - - BNPP Deep Value (s) France Full (4) - - Full (4) - - BNPP D\u00e9veloppement Humain (s) France Full (4) - - Full (4) - - BNPP Diversipierre (s) France Full (2) - - Full (2) - - BNPP Europe High Conviction Bond (s) France S1 BNPP France Cr\u00e9dit (s) France Full (2) - - Full (2) - - BNPP Global Senior Corporate Loans (s) France Full (4) - - Full (4) - - BNPP Indice Amerique du Nord (s) France Full (4) - - Full (4) - - BNPP Indice Euro (s) France S3 BNPP Midcap France (s) France S3 BNPP Moderate Focus Italia (s) France Full (4) - - Full (4) - - BNPP Mon\u00e9taire Assurance (s) France Full (4) - - Full (4) - - BNPP Multistrat\u00e9gies Protection 80 (s) France Full (4) - - Full (4) - - BNPP Next Tech (s) France Full (4) - - Full (4) - - E1 BNPP Protection Monde (s) France Full (4) - - Full (4) - - BNPP S\u00e9lection Dynamique Monde (s) France Full (4) - - Full (4) - - BNPP S\u00e9lection Flexible (s) France S3 Full (4) - - BNPP Smallcap Euroland (s) France Full (4) - - Full (4) - - BNPP Social Business France (s) France Full (4) - - Full (4) - - BOB Cardif Life Insurance Co Ltd China Equity 50% 50% Equity 50% 50% C Sant\u00e9 (s) France Full (2) - - Full (2) - - Camgestion Obli\ufb02exible (s) France Full (2) - - Full (2) - - Capital France Hotel France Full (2) 98.5% 98.5% Full (2) 98.5% 98.5% V4 Cardif Alternatives Part I (s) France Full (2) - - Full (2) - - Cardif Assurance Vie France Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Austria branch) Austria Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Belgium branch) Belgium Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Bulgaria branch) Bulgaria Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Germany branch) Germany Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Italy branch) Italy Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Netherlands branch) Netherlands Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Portugal branch) Portugal Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Romania branch) Romania Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Spain branch) Spain Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Switzerland branch) Switzerland Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Taiwan branch) Taiwan Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers France Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Austria branch) Austria Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Belgium branch) Belgium Full (2) 100% 100% Full (2) 100% 100% Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Cardif Assurances Risques Divers (Bulgaria branch) Bulgaria Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Germany branch) Germany Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Italy branch) Italy Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Netherlands branch) Netherlands Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Poland branch) Poland Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Portugal branch) Portugal Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Romania branch) Romania Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Spain branch) Spain Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Switzerland branch) Switzerland Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Taiwan branch) Taiwan Full (2) 100% 100% Full (2) 100% 100% Cardif Biztosito Magyarorszag ZRT Hungary Equity  * 100% 100% Equity  * 100% 100% Cardif BNPP AM Emerging Bond (s) France Full (2) - - Full (2) - - Cardif BNPP AM Global Senior Corporate Loans (s) France Full (4) - - Full (4) - - Cardif BNPP IP Convertibles World (s) France S3 Full (2) - - Cardif BNPP IP Signatures (s) France Full (2) - - Full (2) - - Cardif BNPP IP Smid Cap Euro (s) France Full (2) - - Full (2) - - Cardif BNPP IP Smid Cap Europe (s) France S3 Full (4) - - E1 Cardif Colombia Seguros Generales SA Colombia Full (2) 100% 100% Full (2) 100% 100% Cardif CPR Global Return (s) France Full (2) - - Full (2) - - Cardif do Brasil Seguros e Garantias SA Brazil Full (2) 100% 100% Full (2) 100% 100% Cardif do Brasil Vida e Previdencia SA Brazil Full (2) 100% 100% Full (2) 100% 100% Cardif Edrim Signatures (s) France Full (2) - - Full (2) - - Cardif El Djazair Algeria Equity  * 100% 100% Equity  * 100% 100% Cardif Forsakring AB Sweden Full (2) 100% 100% Full (2) 100% 100% D1 Cardif Forsakring AB (Denmark branch) Denmark Full (2) 100% 100% Full (2) 100% 100% D1 Cardif Forsakring AB (Norway branch) Norway Full (2) 100% 100% Full (2) 100% 100% D1 Cardif IARD France Full (2) 66% 66% Full (2) 66% 66% Cardif Insurance Co LLC Russia Full (2) 100% 100% Full (2) 100% 100% Cardif Life Insurance Co Ltd Rep. of Korea Full (2) 85% 85% Full (2) 85% 85% Cardif Life Insurance Japan Japan Full (2) 75% 75% Full (2) 75% 75% Cardif Ltda Brazil Equity  * 100% 100% Equity  * 100% 100% Cardif Lux Vie Luxembourg Full (2) 100% 88.6% Full (2) 100% 88.6% Cardif Mexico Seguros de Vida SA de CV Mexico Equity  * 100% 100% Equity  * 100% 100% Cardif Mexico Seguros Generales SA de CV Mexico Equity  * 100% 100% Equity  * 100% 100% Cardif Non Life Insurance Japan Japan Full (2) 100% 75% Full (2) 100% 75% Cardif Nordic AB Sweden Full (2) 100% 100% Full (2) 100% 100% Cardif Pinnacle Insurance Holdings PLC UK Full (2) 100% 100% Full (2) 100% 100% Cardif Pinnacle Insurance Management Services PLC UK S2 Full (2) 100% 100% Cardif Polska Towarzystwo Ubezpieczen Na Zycie SA Poland Equity  * 100% 100% Equity  * 100% 100% Cardif Retraite France Full (2) 100% 100% E1 Cardif Seguros SA Argentina Equity  * 100% 100% Equity  * 100% 100% D1 Cardif Services AEIE Portugal Full (2) 100% 100% Full (2) 100% 100% Cardif Servicios SAC Peru Equity  * 100% 100% Equity  * 100% 100% Cardif Vita Convex Fund Eur (s) France Full (2) - - Full (2) - - Cardimmo France Full (2) 100% 100% Full (2) 100% 100% Cargeas Assicurazioni SPA Italy S2 Carma Grand Horizon SARL France Full (2) 100% 100% Full (2) 100% 100% Cedrus Carbon Initiative Trends (s) France Full (2) - - Full (2) - - Centre Commercial Francilia France FV 21.7% 21.7% E3 CFH Algonquin Management Partners France Italia Italy Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Bercy France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Bercy Hotel France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Bercy Interm\u00e9diaire France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 293 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. CFH Berlin Holdco SARL Luxembourg Full (2) 100% 98.5% Full (2) 100% 98.5% E2 CFH Boulogne France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Cap d\u2019Ail France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Milan Holdco SRL Italy Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Montmartre France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Montparnasse France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 Corosa France Full (2) 100% 100% Full (2) 100% 100% Darnell DAC Ireland Full (2) 100% 100% Full (2) 100% 100% D\u00e9fense CB3 SAS France FV 25% 25% FV 25% 25% Diversipierre DVP 1 France Full (2) 100% 88.1% V3 Full (2) 100% 88.7% E1 Diversipierre Germany GmbH Germany Equity  * 100% 88.1% V3 Equity  * 100% 88.7% E1 DVP European Channel France Equity  * 100% 88.1% V3 Equity  * 100% 88.7% E1 DVP Green Clover France Equity  * 100% 88.1% V3 Equity  * 100% 88.7% E1 DVP Haussmann France Equity  * 100% 88.1% V3 Equity  * 100% 88.7% E1 DVP Heron France Equity  * 100% 88.1% V3 Equity  * 100% 88.7% E1 Eclair (s) France Full (4) - - Full (4) - - Elegia Septembre 2028 (s) France S1 EP L (s) France Full (2) - - Full (2) - - EP1 Grands Moulins (s) France Equity  * - - Equity  * - - FDI Poncelet France Full (2) 100% 100% Full (2) 100% 100% Fleur SAS France FV 33.3% 33.3% FV 33.3% 33.3% Fonci\u00e8re Partenaires (s) France FV - - FV - - Fonds d\u2019Investissements Immobiliers pour le Commerce et la Distribution France FV 25% 25% FV 25% 25% FP Cardif Convex Fund USD (s) France Full (2) - - Full (2) - - Fundamenta (s) Italy Full (2) - - Full (2) - - G C Thematic Opportunities II (s) Ireland Full (2) - - Full (2) - - GIE BNPP Cardif France Full (2) 100% 100% V4 Full (2) 99.9% 99.9% V2 GPinvest 10 France FV 50% 50% FV 50% 50% E3 Harewood Helena 2 Ltd UK Full (2) 100% 100% Full (2) 100% 100% Hemisphere Holding France Equity 20% 20% Equity 20% 20% Hibernia France France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 High Street Retail France S2 Horizon Development GmbH Germany FV 66.7% 62.9% FV 66.7% 62.9% V3 Icare France Full (2) 100% 100% Full (2) 100% 100% Icare Assurance France Full (2) 100% 100% Full (2) 100% 100% ID Cologne A1 GmbH Germany Equity  * 79.2% 74.1% Equity  * 79.2% 74.1% E3 ID Cologne A2 GmbH Germany Equity  * 79.2% 74.1% Equity  * 79.2% 74.1% E3 Karapass Courtage France Equity  * 100% 100% Equity  * 100% 100% Korian et Partenaires Immobilier 1 France FV 24.5% 24.5% FV 24.5% 24.5% Korian et Partenaires Immobilier 2 France FV 24.5% 24.5% FV 24.5% 24.5% Luizaseg Brazil Equity 50% 50% Equity 50% 50% Natio Assurance France Full (2) 100% 100% Full (2) 100% 100% Natio Fonds Amp\u00e8re 1 (s) France Full (4) - - Full (4) - - Natio Fonds Athenes Investissement N 5 (s) France Full (2) - - Full (2) - - Natio Fonds Colline International (s) France Full (2) - - Full (2) - - Natio Fonds Collines Investissement N 1 (s) France Full (2) - - Full (2) - - Natio Fonds Collines Investissement N 3 (s) France Full (2) - - Full (2) - - NCVP Participacoes Societarias SA Brazil Full (2) 100% 100% Full (2) 100% 100% New Alpha Cardif Incubator Fund (s) France Full (2) - - Full (2) - - OC Health Real Estate GmbH Germany FV 35% 31% FV 35% 31% E3 Op\u00e9ra Rendement (s) France Full (2) - - Full (2) - - Paris Management Consultant Co Ltd Taiwan Equity  * 100% 100% Equity  * 100% 100% Permal Cardif Co Investment Fund (s) France Full (2) - - Full (2) - - Pinnacle Insurance PLC UK S2 Full (2) 100% 100% Pinnacle Pet Holding Ltd UK Equity 30% 30% E3 Poistovna Cardif Slovakia AS Slovakia Equity  * 100% 100% Equity  * 100% 100% Preim Healthcare SAS (s) France FV - - FV - - PWH France FV 47.5% 47.5% FV 47.5% 47.5% Reumal Investissements France Full (2) 100% 100% Full (2) 100% 100% Rubin SARL Luxembourg FV 50% 50% FV 50% 50% Rueil Ariane France Full (2) 100% 100% Full (2) 100% 100% SAS HVP France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 Schroder European Operating Hotels Fund 1 (s) Luxembourg FV - - FV - - E1 SCI 68/70 rue de Lagny \u2013 Montreuil France Full (2) 99.9% 99.9% V3 Full (2) 100% 100% Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. SCI Alpha Park France FV 50% 50% FV 50% 50% SCI Batipart Chadesrent France FV 20% 20% FV 20% 20% E2 SCI Biv Malakoff France FV 23.3% 23.3% FV 23.3% 23.3% E3 SCI BNPP Pierre I France Full (2) 100% 100% Full (2) 100% 100% SCI BNPP Pierre II France Full (2) 100% 100% Full (2) 100% 100% SCI Bobigny Jean Rostand France Full (2) 100% 100% Full (2) 100% 100% SCI Bouleragny France FV 50% 50% FV 50% 50% SCI Cardif Logement France Full (2) 100% 100% Full (2) 100% 100% SCI Citylight Boulogne France Full (2) 100% 100% Full (2) 100% 100% SCI Clichy Nuovo France FV 50% 50% FV 50% 50% SCI D\u00e9fense \u00c9toile France Full (2) 100% 100% Full (2) 100% 100% SCI D\u00e9fense Vend\u00f4me France Full (2) 100% 100% Full (2) 100% 100% SCI \u00c9toile du Nord France Full (2) 100% 100% Full (2) 100% 100% SCI Fontenay Plaisance France Full (2) 100% 100% Full (2) 100% 100% SCI Imefa Velizy France FV 21.8% 21.8% FV 21.8% 21.8% SCI Le Mans Gare France Full (2) 100% 100% Full (2) 100% 100% SCI Libert\u00e9 France S2 SCI Nanterre Guilleraies France Full (2) 100% 100% Full (2) 100% 100% SCI Nantes Carnot France Full (2) 100% 100% Full (2) 100% 100% SCI Odyss\u00e9e France Full (2) 100% 100% Full (2) 100% 100% SCI Pantin Les Moulins France Full (2) 100% 100% Full (2) 100% 100% SCI Paris Batignolles France Full (2) 100% 100% Full (2) 100% 100% SCI Paris Cours de Vincennes France Full (2) 100% 100% Full (2) 100% 100% SCI Paris Grande Arm\u00e9e France Full (2) 100% 100% Full (2) 100% 100% SCI Paris Turenne France Full (2) 100% 100% Full (2) 100% 100% SCI Portes de Claye France Equity 45% 45% Equity 45% 45% SCI Rue Moussorgski France Full (2) 100% 100% Full (2) 100% 100% SCI Rueil Caudron France Full (2) 100% 100% Full (2) 100% 100% SCI Saint Denis Landy France Full (2) 100% 100% Full (2) 100% 100% SCI Saint Denis Mitterrand France Full (2) 100% 100% Full (2) 100% 100% SCI Saint-Denis Jade France Full (2) 100% 100% Full (2) 100% 100% SCI SCOO France Equity 46.4% 46.4% Equity 46.4% 46.4% SCI Vend\u00f4me Ath\u00e8nes France FV 50% 50% FV 50% 50% SCI Villeurbanne Stalingrad France Full (2) 100% 100% Full (2) 100% 100% Secar France FV 55.1% 55.1% FV 55.1% 55.1% Seniorenzentren Deutschland Holding SARL Luxembourg FV 20% 17.7% FV 20% 17.7% Seniorenzentren Reinbeck Oberursel M\u00fcnchen Objekt GmbH Germany FV 35% 31% FV 35% 31% Seniorenzentrum Butzbach Objekt GmbH Germany FV 35% 31% FV 35% 31% Seniorenzentrum Heilbronn Objekt GmbH Germany FV 35% 31% FV 35% 31% Seniorenzentrum Kassel Objekt GmbH Germany FV 35% 31% FV 35% 31% Seniorenzentrum Wolfratshausen Objekt GmbH Germany FV 35% 31% FV 35% 31% Services Epargne Entreprise France Equity 35.6% 35.6% Equity 35.6% 35.6% SNC Batipart Mermoz France FV 25% 25% FV 25% 25% E2 SNC Batipart Poncelet France FV 25% 25% FV 25% 25% V1 Soci\u00e9t\u00e9 Francaise d\u2019Assurances sur la Vie France Equity 50% 50% Equity 50% 50% Soci\u00e9t\u00e9 Immobili\u00e8re du Royal Building SA Luxembourg Full (2) 100% 88.6% Full (2) 100% 88.6% Tikehau Cardif Loan Europe (s) France Full (2) - - Full (2) - - Valeur Pierre Epargne France Full (2) 100% 100% Full (2) 100% 100% Valtitres FCP (s) France Full (2) - - Full (2) - - Velizy Holding France FV 33.3% 33.3% FV 33.3% 33.3% Wealth Management BNPP Wealth Management DIFC Ltd United Arab Emirates S3 Full 100% 100% BNPP Wealth Management Monaco Monaco Full (1) 100% 100% Full (1) 100% 100% Asset Management Alfred Berg Kapitalforvaltning AS Norway Full 100% 98.2% Full 100% 98.2% Alfred Berg Kapitalforvaltning AS (Sweden branch) Sweden Full 100% 98.2% Full 100% 98.2% Bancoestado Administradora General de Fondos SA Chile Equity 50% 49.1% Equity 50% 49.1% Baroda BNPP AMC Private Ltd (Ex-BNPP Asset Management India Private Ltd) India Equity (3) 49.9% 49% V3/ D8 Full 100% 98.2% BNPP AM International Hedged Strategies (s) France Full (4) - - Full (4) - - E1 BNPP Asset Management Asia Ltd Hong Kong Full 100% 98.2% Full 100% 98.2% 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 294 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. BNPP Asset Management Be Holding Belgium Full 100% 98.2% Full 100% 98.2% BNPP Asset Management Belgium Belgium S4 Full 100% 98.2% BNPP Asset Management Brasil Ltda Brazil Full 100% 99.5% Full 100% 99.5% BNPP Asset Management France France Full 100% 98.2% Full 100% 98.2% BNPP Asset Management France (Austria branch) Austria Full 100% 98.2% Full 100% 98.2% BNPP Asset Management France (Belgium branch) Belgium Full 100% 98.2% E2 BNPP Asset Management France (Germany branch) Germany Full 100% 98.2% Full 100% 98.2% BNPP Asset Management France (Italy branch) Italy Full 100% 98.2% Full 100% 98.2% BNPP Asset Management France (Netherlands branch) Netherlands Full 100% 98.2% Full 100% 98.2% BNPP Asset Management Holding France Full 99.9% 98.2% Full 99.9% 98.2% BNPP Asset Management Japan Ltd Japan Full 100% 98.2% Full 100% 98.2% BNPP Asset Management Luxembourg Luxembourg Full 99.7% 97.9% Full 99.7% 97.9% BNPP Asset Management Nederland NV Netherlands S4 BNPP Asset Management NL Holding NV Netherlands Full 100% 98.2% Full 100% 98.2% BNPP Asset Management PT Indonesia Full 100% 98.2% Full 100% 98.2% BNPP Asset Management Services Grouping France Full 100% 98.2% Full 100% 98.2% BNPP Asset Management UK Ltd UK Full 100% 98.2% Full 100% 98.2% BNPP Asset Management USA Holdings Inc USA Full 100% 100% Full 100% 100% BNPP Asset Management USA Inc USA Full 100% 100% Full 100% 100% BNPP B Institutional II (s) Belgium Full (4) - - Full (4) - - BNPP Capital Partners France S4 BNPP Dealing Services France Full 100% 98.2% Full 100% 98.2% BNPP Diversi\ufb02ex (s) France Full (4) - - E1 BNPP Easy (s) Luxembourg Full (4) - - E1 BNPP European SME Debt Fund 2 SCSp RAIF (s) Luxembourg S2 Full (4) - - E1 BNPP Flexi I (s) Luxembourg Full (4) - - Full (4) - - BNPP Funds (s) Luxembourg Full (4) - - Full (4) - - BNPP L1 (s) Luxembourg S3 BNPP Multigestion (s) France S3 Full (4) - - BNPP Perspectives (s) France S3 Drypnir AS Norway Full 100% 0% Full 100% 0% EAB Group PLC Finland S2 Equity 17.6% 17.3% Fundquest Advisor France S4 Full 100% 98.2% Fundquest Advisor (United Kingdom branch) UK S1 Full 100% 98.2% Gambit Financial Solutions Belgium Full 100% 98.2% Full 100% 98.2% V1 Groeivermogen NV Netherlands S3 Haitong Fortis Private Equity Fund Management Co Ltd China Equity 33% 32.4% Equity 33% 32.4% Harewood Helena 1 Ltd UK Full 100% 100% Full 100% 100% Harmony Prime (s) France Full (4) - - E1 HFT Investment Management Co Ltd China Equity 49% 48.1% Equity 49% 48.1% Impax Asset Management Group PLC UK Equity 13.8% 13.5% Equity 13.8% 13.5% V3 Shinhan BNPP Asset Management Co Ltd Rep. of Korea S2 SME Alternative Financing DAC (s) Ireland Full - - Full - - Theam Quant (s) Luxembourg Full (4) - - Full (4) - - Theam Quant Europe Climate Carbon Offset Plan (s) France Full (4) - - E1 Real Estate Auguste Thouard Expertise France Full (2) 100% 100% Full (2) 100% 100% BNPP Immobilier Promotion Immobilier d\u2019Entreprise France S4 Full (2) 100% 100% BNPP Immobilier R\u00e9sidences Services France Full (2) 100% 100% Full (2) 100% 100% BNPP Immobilier R\u00e9sidentiel France Full (2) 100% 100% Full (2) 100% 100% BNPP Immobilier R\u00e9sidentiel Service Clients France S4 Full (2) 100% 100% BNPP Real Estate France Full (2) 100% 100% Full (2) 100% 100% Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. BNPP Real Estate (United Arab Emirates branch) United Arab Emirates Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Advisory & Property Management Luxembourg SA Luxembourg Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Advisory & Property Management UK Ltd UK Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Advisory and Property Management Ireland Ltd Ireland Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Advisory Belgium SA Belgium S4 BNPP Real Estate Advisory Italy SPA Italy Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Advisory Netherlands BV Netherlands Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate APM CR SRO Czech Rep. S2 BNPP Real Estate Conseil Habitation & Hospitality France Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Consult France France Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Consult GmbH Germany Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Facilities Management Ltd UK Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Financial Partner France Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate GmbH Germany Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Holding Benelux SA Belgium Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Holding GmbH Germany Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Investment Management Belgium Belgium Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Investment Management France France Full 100% 100% Full 100% 100% BNPP Real Estate Investment Management Germany GmbH Germany Full 94.9% 94.9% Full 94.9% 94.9% BNPP Real Estate Investment Management Germany GmbH (Italy branch) Italy Full 94.9% 94.9% Full 94.9% 94.9% BNPP Real Estate Investment Management Germany GmbH (Spain branch) Spain Full 94.9% 94.9% Full 94.9% 94.9% BNPP Real Estate Investment Management Germany GmbH Lisbon Representative Of\ufb01ce Portugal Full 94.9% 94.9% E1 BNPP Real Estate Investment Management Italy SPA Italy Full 100% 100% Full 100% 100% BNPP Real Estate Investment Management Ltd UK Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Investment Management Luxembourg SA Luxembourg Full 100% 100% Full 100% 100% BNPP Real Estate Investment Management Spain SA Spain Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Investment Management UK Ltd UK Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Italy SRL Italy S4 Full (2) 100% 100% BNPP Real Estate Magyarorszag Tanacsado Es Ingatlankezelo ZRT Hungary S2 BNPP Real Estate Poland SP ZOO Poland Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Portugal Unipersonal LDA Portugal Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Property Development & Services GmbH Germany Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Property Development UK Ltd UK Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Property Developpement Italy SPA Italy S4 Full (2) 100% 100% BNPP Real Estate Property Management Belgium Belgium S4 BNPP Real Estate Property Management France SAS France Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Property Management GmbH Germany Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Property Management Italy SRL Italy Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Singapore Pte Ltd Singapore Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Spain SA Spain Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Transaction France France Full (2) 96.8% 96.8% V1 Full (2) 96.6% 96.6% V2 BNPP Real Estate Valuation France France Full (2) 100% 100% Full (2) 100% 100% 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 295 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Cariboo Development SL Spain Equity 65% 65% Equity 65% 65% Construction-Sale Companies (c) France Full/ Equity (2) - - Full/ Equity (2) - - Exeo Aura & Echo Of\ufb01ces Lda Portugal Equity 31% 31% E2 GIE BNPP Real Estate (Ex-GIE Si\u00e8ge Issy) France Full (2) 100% 100% Full (2) 100% 100% Horti Milano SRL Italy Full (2) 100% 100% Full (2) 100% 100% Li\ufb01zz France S4 Nanterre Arboretum France Full (2) 100% 100% Full (2) 100% 100% Parker Tower Ltd UK Full (2) 100% 100% Full (2) 100% 100% Partner\u2019s & Services France Full (2) 100% 100% Full (2) 100% 100% REPD Parker Ltd UK Full (2) 100% 100% Full (2) 100% 100% Sviluppo Residenziale Italia SRL Italy Full (2) 100% 100% Full (2) 100% 100% Wapiti Development SL Spain Equity 65% 65% Equity 65% 65% E1 Principal Investments BNPP Agility Capital France Full 100% 100% Full 100% 100% BNPP Agility Fund Equity SLP (s) France Full (4) - - Full (4) - - BNPP Agility Fund Private Debt SLP (s) France Full (4) - - Full (4) - - OTHER BUSINESS UNITS Property Companies (Property Used In Operations) and Others Antin Participation 5 France Full 100% 100% Full 100% 100% BNPP Home Loan SFH France Full (1) 100% 100% Full (1) 100% 100% BNPP Partners for Innovation France Full 100% 100% Full 100% 100% V1/D4 BNPP Partners for Innovation Belgium Belgium Full 100% 100% Full 100% 100% V1/D4 BNPP Partners for Innovation Italia SRL Italy Full 100% 100% Full 100% 100% V1/D4 BNPP Procurement Tech France Full 100% 100% Full 100% 100% BNPP Public Sector SA France Full 100% 100% Full 100% 100% Euro Secured Notes Issuer (s) France S3 Full - - FCT Lafayette 2021 (t) France Full - - Full - - E2 Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. FCT Laf\ufb01tte 2016 (t) France S1 FCT Laf\ufb01tte 2021 (t) France Full - - Full - - E2 FCT Op\u00e9ra 2014 (t) France Full - - Full - - FCT Pyramides 2022 (t) France Full - - E2 GIE Groupement Auxiliaire de Moyens France Full 100% 100% Full 100% 100% GIE Groupement d\u2019Etudes et de Prestations France Full 100% 100% Full 100% 100% Transvalor France Equity 20.2% 20.2% Equity 20.2% 20.2% E1 (a) At 31 December 2022, 14 Private Equity investment entities versus 11 Private Equity investment entities at 31 December 2021. (b) At 31 December 2022, the securitisation funds UCI and RMBS Prado include 14 funds (FCC UCI 11, 12, 14 to 17, RMBS Prado V to X, Green Belem I and RMBS Belem No 2) versus 15 funds (FCC UCI 11, 12, 14 to 17, Fondo de Titulizacion Structured Covered Bonds, RMBS Prado III to IX and Green Belem I) at 31 December 2021. (c) At 31 December 2022, 125 Construction-sale companies (91 Full and 34 Equity) versus 115 (89 Full and 26 Equity) at 31 December 2021. As requested by the ANC 2016 regulation, the list of entities that are controlled by the Group, jointly controlled or under signi\ufb01cant in\ufb02uence, but excluded from the scope of consolidation since their contribution to the consolidated \ufb01nancial statements would be immaterial to the Group, and the list of equity investments, are available on the \u201cRegulated Information\u201d page of the https://invest.bnpparibas.com website. Changes in the scope of consolidation New entries (E) in the scope of consolidation E1 Passing qualifying thresholds E2 Incorporation E3 Purchase, gain of control or signi\ufb01cant in\ufb02uence Removals (S) from the scope of consolidation S1 Cessation of activity (dissolution, liquidation, etc.) S2 Disposal, loss of control or loss of signi\ufb01cant in\ufb02uence S3 Passing qualifying thresholds S4 Merger, Universal transfer of assets and liabilities Variance (V) in voting or ownership interest V1 Additional purchase V2 Partial disposal V3 Dilution V4 Increase in % Miscellaneous D1 Consolidation method change not related to \ufb02uctuation in voting or ownership interest D2 Entities of a business held for sale D3 The Verner Investissements group was consolidated under the equity method in BNP Paribas Group until 13 July 2021. Following the additional purchase of interest by BNP Paribas Group, the Verner Investments group was fully consolidated (see note 7.c) D4 The BNPP Partners for Innovation group was consolidated under the equity method in BNP Paribas Group until 31 December 2021. Following the additional purchase of interest by BNP Paribas Group, the BNPP Partners for Innovation group was fully consolidated. D5 Compagnie pour le Financement des Loisirs was consolidated under the equity method in BNP Paribas Group until 31 December 2021. Following the additional purchase of interest by BNP Paribas Group, Compagnie pour le Financement des Loisirs was fully consolidated. D6 Worldline Merchant Services Italia SPA was fully consolidated in BNP Paribas Group until 31 December 2021. Following the partial disposal by the Group, Worldline Merchant Services Italia SPA was consolidated under the equity method. D7 bpost bank was consolidated under the equity method in BNP Paribas Group until 31 December 2021. Following the additional purchase of interest by BNP Paribas Group, bpost bank was fully consolidated. D8 Baroda BNPP AMC Private Ltd was fully consolidated in BNP Paribas Group until 31 December 2021. Following the partial disposal by the Group, Baroda BNPP AMC Private Ltd was consolidated under the equity method. Equity Controlled but non material entities consolidated under the equity method as associates FV Joint control or investment in associates measured at Fair Value through P&L (s) Structured entities (t) Securitisation funds Prudential scope of consolidation (1) French subsidiaries for which supervision of prudential requirements is complied with through the supervision on a consolidated basis of BNP Paribas SA, in accordance with article 7.1 of Regulation n\u00b0575/2013 of the European Parliament and of the Council. (2) Entities consolidated under the equity method in the prudential scope (3) Jointly controlled entities under proportional consolidation in the prudential scope (4) Collective investment undertaking excluded from the prudential scope. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 296 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements7.m FEES PAID TO THE STATUTORY AUDITORS Year to 31 Dec. 2022 Excluding tax, in thousands of euros Deloitte PricewaterhouseCoopers Mazars TOTAL Total % Total % Total % Total % Statutory audits and contractual audits, including 17,529 74% 19,920 72% 11,565 88% 49,014 76% Issuer 4,501 5,870 2,919 13,290 Consolidated subsidiaries 13,028 14,050 8,646 35,724 Services other than those required for their statutory audit engagement, including 6,142 26% 7,669 28% 1,606 12% 15,417 24% Issuer 2,062 2,021 897 4,980 Consolidated subsidiaries 4,080 5,648 709 10,437 TOTAL 23,671 100% 27,589 100% 13,171 100% 64,431 100% of which fees paid to Statutory Auditors in France for the statutory audit and contractual audit 6,509 6,216 5,359 18,084 of which fees paid to Statutory Auditors in France for services other than those required for their statutory audit engagements 1,739 2,353 1,046 5,138 Year to 31 Dec. 2021 Excluding tax, in thousands of euros Deloitte PricewaterhouseCoopers Mazars TOTAL Total % Total % Total % Total % Statutory audits and contractual audits, including 16,037 76% 17,925 70% 12,979 88% 46,941 76% Issuer 3,774 4,780 3,179 11,733 Consolidated subsidiaries 12,263 13,145 9,800 35,208 Services other than those required for their statutory audit engagement, including 5,081 24% 7,727 30% 1,694 12% 14,502 24% Issuer 1,801 2,310 825 4,936 Consolidated subsidiaries 3,280 5,417 869 9,566 TOTAL 21,118 100% 25,652 100% 14,673 100% 61,443 100% of which fees paid to Statutory Auditors in France for the statutory audit and contractual audit 5,710 5,225 5,962 16,897 of which fees paid to Statutory Auditors in France for services other than those required for their statutory audit engagements 1,634 2,427 983 5,044 The audit fees paid to auditors which are not members of the network of one of the auditors certifying the consolidated \ufb01nancial statements and the non- consolidated \ufb01nancial statements of BNP Paribas SA, mentioned in the table above, amount to EUR 786 thousand for the year 2022 (EUR 373 thousand in 2021). Services other than those required for the statutory audit engagement are mainly composed this year of reviews of the entity\u2019s compliance with regulatory requirements, and reviews of internal control quality by comparison with international standards (such as ISAE 3402) as part of services provided to customers, particularly in the Securities and Asset Management businesses, and expertise on the Bank\u2019s transformation projects. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 297 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Statutory Auditors\u2019 report on the consolidated \ufb01nancial statementsCAPITAL MANAGEMENT [Audited] To ensure the Group\u2019s sustainability, the Bank must maintain an adequate level of capital with respect to the risks to which it is exposed and its strategy. Capital is a rare and strategic resource, which requires stringent, clearly de\ufb01ned, rigorous management according to an approach, which takes account of the needs and demands of stakeholders, including shareholders, supervisors, creditors and depositors. OBJECTIVES BNP Paribas\u2019 capital management: \u25a0 is governed by policies and procedures which make it possible to understand, document and supervise capital management practices throughout the Bank; \u25a0 takes risk measurement into account to determine the use of the capital; \u25a0 considers capital requirements and resources under normal operating conditions, as well as under situations of severe, but plausible stress; \u25a0 presents a forward-looking vision of the Bank\u2019s capital adequacy to the Executive Management; \u25a0 allocates the capital constraint to the business lines in keeping with their strategic objectives; \u25a0 complies with the Internal Capital Adequacy Assessment Process (ICAAP) and is consistent with the Risk Appetite Framework; \u25a0 is monitored by an appropriate governance. CAPITAL MANAGEMENT AT CENTRAL LEVEL BNP Paribas\u2019 capital management aims to ensure and verify that the Group has adequate capital to comply with the regulatory capital ratios, as well as speci\ufb01c requirements, for instance to operate as a Global Systemically Important Bank. To ensure its capital adequacy, the Group abides by the following principles: \u25a0 maintaining the capital at an appropriate level in view of BNP Paribas\u2019 activities, risk appetite, growth and strategic initiatives; \u25a0 maintaining BNP Paribas\u2019 capital at a level which complies with regulatory requirements; \u25a0 keeping a balance between capital adequacy and return on capital; \u25a0 meeting its obligations vis-\u00e0-vis creditors and counterparties, at each due date; \u25a0 continuing to operate as a \ufb01nancial intermediary. Governance The governance of the development, approval and update of the capital planning process is handled by two committees: \u25a0 the Risk-Weighted Assets Committee: it is jointly chaired by the Chief Financial Of\ufb01cer and the Chief Risk Of\ufb01cer, and comprises the operational divisions\u2019 Chief Financial Of\ufb01cers and Chief Risk Of\ufb01cers. The Committee meets quarterly to examine forecasts of the Group\u2019s risk-weighted assets in the context of the budget cycle and updating of its estimates. The Risk-Weighted Assets Committee is tasked with: \u25a0 monitoring and discussing the forecasts of the Group\u2019s risk-weighted assets for each business line, \u25a0 identifying the main assumptions underlying these forecasts and checking their accuracy, \u25a0 identifying any evolution factors and quantifying their impacts, \u25a0 proposing adjustments if required; \u25a0 the Capital Committee: it meets at least quarterly and is chaired by the Chief Financial Of\ufb01cer. The Committee\u2019s mission is to validate the Group\u2019s targets in terms of solvency ratios and loss absorbing capacity requirements in case of resolution (TLAC and MREL) as well as the trajectory to achieve these targets; monitor compliance with this trajectory; and, where necessary, propose corrective measures, consistent with the Group\u2019s Risk Appetite Statement (RAS). The Committee ensures, in this respect, internal capital adequacy is taken into account in the ICAAP as well as in the results of the global stress tests processes. The Capital Committee is tasked with: \u25a0 monitoring, validating and anticipating changes in the business lines\u2019 risk-weighted assets as well as changes in the Group\u2019s prudential ratios, in central scenario and adverse scenario, and monitoring these indicators relative to the Group\u2019s Risk Appetite, which is stated in the Risk Appetite Statement. This includes solvency ratios, leverage ratio, TLAC/MREL ratios, capital adequacy of the \ufb01nancial conglomerate, etc., \u25a0 identifying any evolution factors and quantifying their impacts, \u25a0 de\ufb01ning trends in short/medium term capital consumption (at least 3 years) and proposing or reporting the ensuing arbitrages to the Group\u2019s Executive Committee, \u25a0 monitoring internal capital adequacy as part of the ICAAP, \u25a0 monitoring potential regulatory changes, \u25a0 monitoring the sensitivity of the CET1 ratio to changes in exchange rates, \u25a0 validating management buffers applicable to the aforementioned ratios, \u25a0 monitoring the impacts of global stress test results, \u25a0 monitoring the implementation of the supervisor\u2019s decisions that have an impact on the Group\u2019s solvency ratio or the amount of its risk-weighted assets. The Capital Committee is also the Group\u2019s competent Executive Management authority for all issues related to the internal credit and operational risk model and the methodologies used in the ICAAP. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 365 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Capital management and capital adequacy Monitoring indicators Capital management at the consolidated level rests on the following indicators: \u25a0 the solvency ratios: BNP Paribas uses the CET1 ratio as its main internal capital management indicator; \u25a0 risk-weighted assets: The risk-weighted assets are calculated per business line and per type of risk. The change in risk-weighted assets is analysed per type of effect (in particular: volume effect, parameters effect, perimeter effect, currency effect and method effect); \u25a0 the leverage ratio: It reports the amount of Tier 1 capital to a measure of both on- and off-balance sheet exposures using a prudential approach. In particular, derivatives and repurchase agreements are adjusted; \u25a0 notional equity: The capital allocation transfers the capital constraints to all Group divisions and thus represents a major constraint concerning the Group\u2019s development and management. The evaluation of the business lines\u2019 performance includes the analysis of their pre-tax Return On Notional Equity \u2013 (RONE) indicators. The equity component of this ratio is the notional equity, which corresponds to the business lines\u2019 consumption of capital. This management rests on two major processes which are closely linked: \u25a0 a detailed quarterly analysis of actual capital consumption by divisions/ business lines and of the Group\u2019s solvency ratios, as well as quarterly forecasts of these indicators throughout the year; \u25a0 the yearly budget process, which plays a central role in the Bank\u2019s strategic planning process. CAPITAL MANAGEMENT AT LOCAL LEVEL The Group has to allocate available capital among its different entities. To ensure a free and ef\ufb01cient \ufb02ow of capital throughout the Group, the capital allocation process within the Group is centralised at head of\ufb01ce level. It is mainly based on two principles: compliance with local regulatory requirements and analysis of the local business needs of the entity and growth prospects. In line with these two principles, the aim is to minimise capital dispersion. With respect to the \ufb01rst principle, the local Chief Financial Of\ufb01cers are responsible for the daily management and reporting of their subsidiaries\u2019 capital requirements. When a capital need arises, it is analysed on a case-by-case basis by the Group, taking into consideration the subsidiary\u2019s present position and future strategy. Furthermore, each year, the Group manages the subsidiaries\u2019 earnings repatriation process. The Group general policy stipulates that the entire distributable pro\ufb01t of every entity, including retained earnings, must be paid out. This policy ensures that the capital remains centralised at the BNP Paribas SA level and also contributes to reducing the foreign exchange risk. Exceptions are considered on a case-by-case basis. Local Chief Executive Of\ufb01cers are responsible for ensuring the subsidiary\u2019s ongoing financial viability and competitiveness in terms of capital, where relevant. However, any capital action requested by a subsidiary is assessed by and subject to authorisation from head of\ufb01ce. With respect to the second principle, the needs of each entity are analysed by dedicated teams, in light of the Group\u2019s strategy in the relevant country, the entity\u2019s growth prospects and the macroeconomic environment. In addition, every year the Group examines the branches\u2019 capital allocations in order to maintain an adequate level of capital in light of the different regulations. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 366 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Risk management [Audited]5.3 Risk management [Audited] GOVERNANCE The specialised committees of the Board of directors (see part 2.1.2, Corporate Governance of BNP Paribas of chapter 2 Corporate Governance and internal control), which examine the risks taken and the risk policies on a Group scale, are: \u25a0 the Internal Control, Risk Management and Compliance Committee (CCIRC); \u25a0 the Joint Committee that combines the CCIRC and the Financial Statements Committee; \u25a0 the Corporate Governance, Ethics, Nominations and CSR Committee (CGEN). In line with the Group\u2019s Risk Appetite Statement, Executive Management provides broad guidelines for risk management through Group-level governance bodies. The main guidelines are shown in the diagram below: \u27a4 FIGURE 6: OVERVIEW OF GROUP LEVEL GOVERNING BODIES COVERING RISK-RELATED TOPICS Specialised Board Committees Coverage of Risk-related topics by the General Management Compliance, Risk and Finance Committee (CRIF) Joint Meeting of the CCIRC and the Financial Statements Committee Internal Control, Risk Management and Compliance Committee (CCIRC) Financial Statements Committee Corporate Governance, Ethics, Nominations and CSR Committee Compensation Committee Group Executive Committee Compliance Risk Legal Risk Credit, Market and Operational Risks Interest Rate and Liquidity Risks Group Supervision and Control Committee (GSCC) Acquisitions Committee Comit\u00e9 de Cr\u00e9dit de Direction G\u00e9n\u00e9rale (CCDG) Sustainable Finance Strategic Committee (SFSC) Comit\u00e9 des D\u00e9biteurs de la Direction G\u00e9n\u00e9rale (CDDG) Financial Markets Risk Committee (FMRC) Country Envelope Committee Risk & Development Policy Committee (RDPC) Group IT Risk Committee Capital Committee Budgetary Committees ALCo Group Main Group-level governance bodies have the following roles: \u25a0 Capital Committee: described under Capital management in section 5.2, validates the Group\u2019s objectives in terms of solvency ratios and Total Loss Absorbing Capacity (TLAC and MREL) requirements in case of resolution as well as the trajectory to achieve these targets, monitors the compliance with this trajectory and, when relevant, proposes corrective actions to achieve target solvency ratios. As the Group\u2019s competent Executive Management authority for all issues related to the internal credit and operational risks model, the Capital Committee is informed of decisions made in the MARCo Committees (Model Approval and Review Committee); \u25a0 Group ALM Treasury Committee (Group ALCo) is responsible for the management of the liquidity risk, interest rate risk in the banking book and structural foreign exchange risk over the whole Group; \u25a0 Group Supervision and Control Committee (GSCC) brings together the Group\u2019s control functions at Executive Management level and takes a Group-wide approach to tackling all aspects of risk exposure; \u25a0 Acquisitions Committee decides on acquisitions, disposals and external partnerships for operations under its jurisdiction as part of the Group\u2019s general investment approval procedure. The Acquisitions Committee reviews the strategic relevance of the proposed projects from the Group\u2019s point of view, as well as the various components of the 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 367 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Risk management [Audited] business plans, including synergies and execution risks. In particular, it ensures the intrinsic pro\ufb01tability of projects (measured by Return on Investment), as well as the impact on the Group\u2019s solvency, liquidity and pro\ufb01tability, and their adequacy with the Group\u2019s Risk Appetite Statement; \u25a0 the Sustainable Finance Strategic Committee (SFSC) aims to validate the Group\u2019s Sustainable Finance strategy and commitments in this area. It approves the overall strategy in terms of sustainable \ufb01nance, decides the main focuses of sustainable \ufb01nance commercial policies and monitors their operational implementation. Where necessary, it also validates cross-functional infrastructure choices ensuring expertise and consistency in the implementation of regulatory requirements and the Group\u2019s commitments in methods, analyses, risk management, data, tools, standards and reporting related to sustainable \ufb01nance; \u25a0 the General Management Credit Committee (CCDG) is the Group\u2019s highest authority concerning credit and counterparty risks. This committee decides primarily on credit requests exceeding the amount of individual delegations attributed to divisions and business lines or relating to transactions of a speci\ufb01c nature or which would deviate from the principles of the General Credit Policy. A Compliance representative may attend CCDG meetings when an opinion on \ufb01nancial security is needed; \u25a0 the General Management Doubtful Committee (CDDG) is the Group\u2019s highest level decision-making committee in terms of specific provisioning and recognitions of losses relative to the Group\u2019s customer exposures; \u25a0 the Financial Markets Risk Committee (FMRC) is the body which governs the Group\u2019s risk pro\ufb01le of the capital markets activities; its tasks include, among others, analysing market and counterparty risks and setting limits for capital markets activities; \u25a0 the Country Envelope Committees determine the Group\u2019s risk appetite by setting limits for medium-to-high-risk countries in view of risk in relation to country, market conditions, business strategies and aspects of risk and compliance; \u25a0 the Risk & Development Policy Committees (RDPC) have the dual objective of de\ufb01ning an appropriate risk policy for any given subject which may be a business activity, a product, a geographic area (region or country), a customer segment or economic sector, and of investigating development opportunities in relation to the subject in question; \u25a0 the Group IT Risk Committee (GITRC) defines and oversees the BNP Paribas Group\u2019s IT risk pro\ufb01le. This is the highest authority in terms of technological and cybersecurity risk management. SPECIFIC ADAPTATION MEASURES LINKED TO CRISIS SITUATION The invasion of Ukraine led to the establishment of crisis committees at all levels of the Group for close monitoring of the main impacts as well as the application of the sanctions that were introduced following this invasion in the activities concerned, allowing rapid decision-making adapted to the evolving context. On credit risk, close portfolio monitoring was implemented within the divisions and business lines level in order to analyse and manage in particular direct risks. This monitoring also includes the indirect impacts which, in addition to the context of exit the health crisis, have particularly affected certain sectors through rising energy and commodity prices or supply chains disruptions. RISK MANAGEMENT ORGANISATION POSITION OF THE CONTROL FUNCTIONS Risk management is central to the banking business and is one of the cornerstones of operations for the BNP Paribas Group. BNP Paribas has an internal control system covering all types of risks to which the Group may be exposed, organised around three lines of defence (see section 2.4 Internal Control in chapter 2 Corporate Governance and internal control): \u25a0 as the \ufb01rst line of defence, internal control is the business of every employee, and the heads of the operational activities are responsible for establishing and running a system for identifying, assessing and managing risks according to the standards de\ufb01ned by the functions exercising an independent control in respect of the second line of defence; \u25a0 the main control functions within BNP Paribas ensuring the second line of defence are the Compliance, RISK and LEGAL Functions. Their Heads report directly to Chief Executive Officer and account for the performance of their missions to the Board of directors via its specialised committees; \u25a0 General Inspection provides a third line of defence. It is responsible for the periodic control. GENERAL RESPONSIBILITIES OF THE RISK AND COMPLIANCE FUNCTIONS Responsibility for managing risks primarily lies with the divisions and business lines that are at the origin of the underlying transactions. RISK continuously performs a second-line control over credit and counterparty risks, market risk, interest rate and foreign exchange rate risks on the banking book, liquidity risks, insurance risks, and operational risk, including technological and cybersecurity risks, over data protection risks, modelling risks and environmental and social risk factors, as well as the associated governance risks. As part of this role, it must ascertain the soundness and sustainability of the business commercial developments and their overall alignment with the risk appetite target set by the Group. RISK\u2019s remit includes formulating recommendations on risk policies, analysing the risk portfolio on a forward-looking basis, approving customers loans and trading limits, guaranteeing the quality and effectiveness of monitoring procedures, controlling the maturity of the processes and underlying operational risks and de\ufb01ning or validating risk measurement methods. RISK is also responsible for ensuring that all the risk implications of new businesses or products have been adequately assessed. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 368 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Risk management [Audited] Compliance has identical responsibilities as regards compliance and reputation risks and it plays an important oversight and reporting role in the process of validating new products, new business activities and exceptional transactions. By issuing opinions and decisions, and performing oversight and second-level controls, Compliance provides reasonable assurance as to the effectiveness and coherence of the compliance control framework applicable to the Group\u2019s operations and to the protection of its reputation. ORGANISATION OF THE RISK AND COMPLIANCE FUNCTIONS Approach The RISK organisation fully complies with the principles of independence, vertical integration, and decentralisation issued by the Group\u2019s Management for the Group\u2019s main control functions (Compliance, RISK, LEGAL, and a third line of defence, General Inspection). Hence within RISK: \u25a0 all the teams in charge of risks, including those in operational entities have been integrated in the function with reporting lines to the Chief Risk Of\ufb01cers of these entities; \u25a0 the Chief Risk Of\ufb01cers of the entities report to RISK. This organisation enables the governance of risk management activities to be strengthened, especially regarding model risk management, through RISK Independent Review and Control (RISK IRC) team, reporting directly to the Chief Risk Of\ufb01cer (CRO) which groups together the teams in charge of the independent review of the risk methodologies and models. This team is also in charge of the independent review of operational risk of RISK Function, with the organisation described in section 5.9 Operational risk. In accordance with international standards and French regulations, Compliance manages the system for monitoring compliance and reputation risks for all of the Group\u2019s businesses in France and abroad. The system for monitoring compliance and reputation risks is described in section 5.9. Independent and hierarchically integrated on a global basis, Compliance brings together all employees reporting to the function. Its organisation is based on its guiding principles (independence, integration, decentralisation and subsidiarity of the function, dialogue with the business lines) through local teams (operating divisions, CPBS, IFS and CIB), areas of expertise, and departments in charge of transverse missions. Role of the Chief Risk Of\ufb01cer The Group Chief Risk Of\ufb01cer reports directly to the Chief Executive Of\ufb01cer and sits on the Executive Committee of BNP Paribas. He has line authority over all RISK employees. He can veto the decisions which are not in line with the Risk Appetite Statement, concerning the risks under RISK competency. The Group Chief Risk Of\ufb01cer has no connection, in terms of authority, with the Heads of Core Businesses, business lines and territories. He also has direct and independent access to the Board of directors of BNP Paribas, via the Internal Control, Risks and Compliance Committee (CCIRC). This positioning serves the following purposes: \u25a0 ensuring the objectivity of risk control, by removing any involvement in commercial relationships; \u25a0 making sure senior management is warned of any deterioration in risk and is rapidly provided with objective and comprehensive information on the status of risks; \u25a0 enabling the dissemination, throughout the Bank, of high and uniform risk management standards and practices; \u25a0 ensuring the quality of risk assessment methods and procedures by calling on professional risk managers in charge of evaluating and enhancing these methods and procedures in light of the best practices implemented by international competitors. Role of the Chief Compliance Of\ufb01cer The Chief Compliance Of\ufb01cer reports to the Chief Executive Of\ufb01cer and is a member of the BNP Paribas Executive Committee. She has direct and independent access to the Board of directors and in particular to its specialised committee, the Internal Control, Risk Management and Compliance Committee (CCIRC), and can thus inform it of any event likely to have a signi\ufb01cant impact on the Group. Lastly, the CCIRC periodically interviews her, without the effective managers being present. The Chief Compliance Of\ufb01cer has no operational activity outside of the non-compliance and reputation risk management framework and no commercial activity, which guarantees her independence of action. She exercises hierarchical supervision over all the Compliance teams within the various business units, geographical areas and functions. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 369 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Risk management [Audited] RISK CULTURE ONE OF THE GROUP\u2019S CORE FOUNDING PRINCIPLES The BNP Paribas Group has a strong risk and compliance culture. Executive Management has chosen to include the risk culture in three of its key corporate culture documents: \u25a0 Code of conduct: The Group adopted a new Code of conduct in 2016. It applies to all employees and de\ufb01nes the rules for our conduct in line with the core values of our corporate culture. For example, employees are reminded in the Code of conduct that the Group\u2019s interests are protected by responsible risk-taking in a strict control environment. The Code of conduct, updated in 2021, also includes rules for protecting customers\u2019 interests, \ufb01nancial security, market integrity, professional ethics and anti-bribery and corruption, which all play an important role in mitigating non-compliance and reputation risks; \u25a0 Responsibility Charter: Executive Management drew up a formal Responsibility Charter, inspired by the Group\u2019s core values (the \u201cBNP Paribas Way\u201d), management principles and Code of conduct. One of the four commitments is \u201cBeing prepared to take risks, while ensuring close risk control\u201d. The Group sees rigorous risk control as part of its responsibility, both to clients and to the \ufb01nancial system as a whole. The Bank\u2019s decisions on the commitments it makes are reached after a rigorous and concerted process, based on a strong, shared risk culture which pervades all levels of the Group. This is true both for risks linked to lending activities, where loans are granted only after in-depth analysis of the borrower\u2019s situation and the project to be \ufb01nanced, and for market risks arising from transactions with clients \u2013 these are assessed on a daily basis, tested against stress scenarios, and subject to limits. As a strongly diversified Group, both in terms of geography and businesses, BNP Paribas is able to balance risks and their consequences as they materialise. The Group is organised and managed in such a way that any dif\ufb01culties arising in one business area will not jeopardise another in the Bank; \u25a0 the Group\u2019s mission and commitments: The mission of BNP Paribas is to \ufb01nance the economy and advise its clients, by supporting them with their projects, their investments, and the management of their savings, guided by strong ethical principles. Through these activities, BNP Paribas wants to have a positive impact on stakeholders and on society, and be one of the most trustworthy players in the sector. BNP Paribas\u2019 12 commitments as a Responsible Bank include in particular the commitment to apply the highest ethical standards and rigorously manage environmental, social, and governance risks (see section 7.2 Economic Responsibility: \ufb01nancing the economy in an ethical manner). SPREADING THE RISK CULTURE Robust risk management is an integral part of the Bank\u2019s principles. A culture of risk management and control has always been one of its top priorities. BNP Paribas launched the Risk Culture, a Group-wide initiative, giving it the objective of reinforcing the communication of the best practices in risk management. Sponsored by four functions: Compliance, LEGAL, Human Resources (HR), and RISK, Risk Culture is designed for the bene\ufb01t of all staff and intervenes on all types of risks to which the Group may be exposed, including credit, market, liquidity, operational, non-compliance, regulatory, environmental and social risks. Taking an adaptive and participative approach, this initiative supports the business lines and functions in their process of understanding risks, for example in transformation projects or when onboarding new employees. In particular, it takes special care to ensure that conduct and behaviour requirements are well integrated, beyond the mission of transmitting knowledge. It provides entities with resources that they can use for their information, acculturation and support for employee skills development in all aspects of the risk culture. In conjunction with operational entities, Risk Culture actions mainly consist of: \u25a0 ensuring the dissemination of information and professional development in the area of risk management, by means of conferences and the publication of educational articles or videos; \u25a0 facilitating the sharing of knowledge between the various players in the Bank, in particular changes in the Bank\u2019s business lines, news on regulatory requirements and new ways of working. The experts of the Group are invited to expand documentary resources which can be accessed by employees through various communication channels available within the Group. In all its initiatives, Risk Culture promotes the six fundamental risk management practices that are key to developing a robust risk culture. They serve as a reminder to staff about the importance of clearly understanding and anticipating risks with a long-term perspective, being disciplined with risks taken and reporting swiftly and transparently on risk management. Lastly, the risk culture is also spread throughout the Group by linking compensation to performance and risk (see chapter 7, section 7.3 A competitive compensation policy), under a system that was strengthened in this area since 2015 for those employees whose decisions entail a signi\ufb01cant risk component. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 370 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Risk management [Audited] RISK APPETITE DEFINITION AND OBJECTIVES The Group does not have a speci\ufb01c risk appetite target, but some risks are inherent to its business and therefore to the achievement of its strategic objectives. It has prepared a Risk Appetite Statement and Risk Appetite Framework, which should be seen as the Group\u2019s formal statement of its tolerance to the risks to which it is exposed as it implements its strategy. The Risk Appetite Statement is approved on a yearly basis, or more frequently if necessary, by the Board of directors on the proposal of Executive Management. Consistent with the Group\u2019s strategy and in light of the environment in which it operates, this document sets out the qualitative risk principles it intends to follow in its business activities, as well as a quantitative mechanism for supervising the Group\u2019s risk pro\ufb01le indicators through quantitative metrics and thresholds. This system covers both the quanti\ufb01able and non-quanti\ufb01able risks to which it is exposed. The Group\u2019s risk appetite is determined by Executive Management, during various committees it chairs (CCDG, FMRC, Group ALCo, and Capital Committee), which are tasked with managing the Group\u2019s different types of risk exposure. The Group\u2019s strategic processes, such as budget, capital and liquidity management, are in line with the Risk Appetite Statement. Certain Risk Appetite Statement indicators are included in the budget exercise and their expected values in the budget are cross-checked against the thresholds in the Risk Appetite Statement. The Group\u2019s Risk Appetite Statement re\ufb02ects the core values of its risk culture. It states that the Group\u2019s risk culture and its commitments as a responsible bank are at the heart of its strategy. The Statement reaf\ufb01rms the Group\u2019s mission: to \ufb01nance the economy, advise its clients, and help to \ufb01nance their projects, guided by strong ethical principles. The Group\u2019s strategy underpinning its risk appetite is founded on the core principles that have guided its development: a balance between business activities to deliver pro\ufb01tability and stability, a customer-focused business model and an integrated banking model to optimise services to the latter. This strategy also factors in developments in the banking industry, including the trend towards a digital model, and an uncertain macro-economic outlook, marked by the increase of in\ufb02ation and interest rates in a context of high geopolitical risk. RISK PRINCIPLES The risk principles aim to de\ufb01ne the types of risk the Group is prepared to accept in support of its business strategy. They include the following in particular: \u25a0 diversi\ufb01cation and risk-adjusted pro\ufb01tability: The Group seeks to generate sustainable, client-driven, risk adjusted pro\ufb01ts. Sustainable pro\ufb01tability will be achieved based on selectivity and controlled evolution of BNP Paribas\u2019 assets, and the pursuit of a diversi\ufb01ed business model. Whilst the Group accepts some level of earnings volatility, it remains attentive to contain, at all times, the level of maximum potential losses in an adverse scenario; \u25a0 solvency and pro\ufb01tability: BNP Paribas has suf\ufb01cient capital to cope with stress scenarios and to meet regulatory capitalisation standards in force. In the course of serving its clients, BNP Paribas accepts exposure to risks when it earns a proper return over an acceptable time frame, and when its potential impacts seem acceptable; \u25a0 funding and liquidity: The Group ensures that the diversi\ufb01cation of and balance between its resources and uses of funds correspond to a conservative funding strategy, allowing it to withstand adverse liquidity scenarios. The Group makes sure that it complies with the regulatory liquidity ratios in force; \u25a0 credit risk: The Group only accepts exposure on customers it knows well, based on comprehensive information, and pays close attention to the structure of the \ufb01nancing it grants. The Group builds and maintains a diversi\ufb01ed risk portfolio, avoiding large concentrations (especially on single names, industries and countries) and ensures that it complies with the concentration policies in force; \u25a0 market risk: The Group manages market risks (interest rates, equities, currencies, commodities) within the following framework: \u25a0 for activities in the capital markets that are customer-focused, BNP Paribas intends to keep its market risk pro\ufb01le in line with this customer-focused business mode, \u25a0 interest rate risk associated with its banking book with the aim of stabilising its results on an ongoing basis to within acceptable limits; \u25a0 operational risk: The Group aims to protect its customers, employees and shareholders from operational risk. To do so it has developed a risk management infrastructure based on identifying potential risks, strategies to mitigate risk, and actions to raise awareness of these risks. Some speci\ufb01c risks have resulted in the de\ufb01nition of dedicated principles, in particular: \u25a0 non-compliance risk: The Group is committed to compliance with all applicable laws and regulations. It undertakes to implement a system to manage the risk of non-compliance, including through special programmes dedicated to the most important regulations for its business, \u25a0 information, communication and technology risk: The Group endeavours to reduce the risks related to the security of its information through various awareness actions, enhanced supervision of outsourced activities, heightened protection of terminals, incident monitoring, and a technology watch over IT vulnerabilities and attacks; 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 371 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Risk management [Audited] \u25a0 insurance activities: BNP Paribas Cardif is exposed mainly to credit, underwriting and market risks. The entity closely monitors its exposures and pro\ufb01tability, taking into account its risks and the adequacy of its capital with regard to solvency rules. It endeavours to contain potential losses in adverse scenarios at acceptable levels; \u25a0 risk associated with social and environmental responsibility: The Group is particularly sensitive to its customers\u2019 performance in terms of social and environmental responsibility, believing that this could have a material impact on its customers\u2019 risk profile and, consequently, their solvency, in addition to being a major reputational risk. BNP Paribas takes social and environmental risks into consideration when assessing customer-related risks. The Group also tracks these risks as part of the conduct of its own business, the conduct of its counterparties\u2019 business and of its investments on its own behalf or on behalf of third parties. SUPERVISION OF RISK PROFILE INDICATORS The Risk Appetite Statement sets out the indicators that measure the Group\u2019s risk pro\ufb01le for its risk exposure categories. Risk level thresholds are assigned to each metric. When these thresholds are reached, they trigger an established process to inform Executive Management and the Board of directors, and if need be, to implement action plans. These indicators are monitored quarterly in the risk dashboards presented to the CCIRC. For example, the following ratios (described in the Key figures of section 5.1) are included in the Risk Appetite Statement indicators: \u25a0 the solvency ratios (CET1, Tier 1, total own funds, TLAC and leverage ratio); \u25a0 the balance of the breakdown of risk-weighted assets by business line; \u25a0 the cost of risk on loans outstandings (in annualised basis points) and doubtful loans on gross outstandings ratio; \u25a0 the liquidity ratios (LCR and NSFR). STRESS TESTING To ensure dynamic risk supervision and management, the Group has implemented a comprehensive stress testing framework. STRESS TESTING FRAMEWORK The stress testing framework forms an integral part of the risk management and financial monitoring system and is used with a threefold objective of forward-looking risk management, planning of regulatory resources and liquidity requirements, and optimisation of the deployment of these resources within the Group, mainly through the Group\u2019s and its main entities\u2019 ICAAP and ILAAP processes. Different types of stress tests There are two types of stress tests: \u25a0 regulatory stress tests: These involve primarily the stress tests requested by the European Banking Authority, the European Central Banks, or any other supervisory authority. In 2022, the ECB conducted a climate stress test among 104 \ufb01nancial institutions under its supervision. The exercise included i) a questionnaire designed to assess the climate stress testing infrastructure of banks, ii) information on revenues generated in sectors deemed to be exposed to climate change and on greenhouse gas emissions of major clients in these sectors, and iii) several climate stress tests in a number of transition and physical risk scenarios. Given that climate stress tests are new and remain in learning phase, the exercise had no capital implication. The ECB did not disclose any bank-speci\ufb01c information. The exercise demonstrated the good level of progress achieved by BNP Paribas in climate stress testing. The Group recognises the revelance of scenario analysis to assess the possible impacts of climate risk, given its forward-looking nature. The Group however also considers that climate stress testing is a developing activity, which is less mature than traditional stress tests involving macro-economic or capital markets scenarios. Results of climate scenarios analyses should be used in a way that re\ufb02ects this lesser maturity. In 2021, the EBA and the ECB conducted EU-wide stress tests of the 50 largest European banks. As in previous years, macroeconomic scenarios and a certain number of methodological assumptions were applied to all banks for comparison purposes. A macroeconomic stress scenario of unprecedented severity over a period of three consecutive years (the \u201cadverse scenario\u201d) was used to test the impact on exposure to credit, market, operational and revenue (rates and commission) risks. This was done in a context already under stress due to the health crisis. This was the second European regulatory stress test completed under the new IFRS 9 accounting standard to analyse its impact on the 2020 crisis year and on a period of renewal of a major macroeconomic crisis. In 2019, the ECB had conducted liquidity stress tests on 103 European banks. This exercise consisted of a sensitivity analysis to assess changes in the banks\u2019 net liquidity position in different impact scenarios that may arise in the event of the bank experiencing a liquidity crisis. The shocks applied to assets and liabilities were de\ufb01ned using observed liquidity crises that have impacted banks in Europe and were calibrated for different levels of severity. This liquidity stress test showed the Group\u2019s comfortable liquidity position. BNP Paribas will participate in 2023 in the next stress test organised by the EBA; 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 372 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Risk management [Audited] \u25a0 internal stress tests: \u25a0 stress tests dedicated to risk anticipation: they contribute to the forward-looking risk management, in particular of credit, market, counterparty, interest rates in the banking book, operational, activity and liquidity risks. The results of the transverse stress tests are used, among other purposes, to formulate the Bank\u2019s risk appetite and periodically measure its risk pro\ufb01le. They are periodically submitted to Group Executive Management as well as the Board of directors\u2019 Internal Control, Risk Management and Compliance Committee (CCIRC) through the quarterly Group risk dashboard. Moreover, ad hoc stress testing is performed, when appropriate, within Risk & Development Policy Committees, portfolio reviews or Country Strategic Committees to identify and assess areas of vulnerability within the Group\u2019s portfolios, \u25a0 stress tests for the budget process: they contribute to three-year capital planning. Stress tests are carried out annually as part of the budget process and are included in the ICAAP and the ILAAP. They are reviewed at divisional and business line level before being consolidated at Group level to provide a comprehensive view of the impact on the Bank\u2019s capital, liquidity and earnings, The purpose of stress testing in the budget process is to assess the impact of an adverse macroeconomic scenario on the Group and its activities. These stress tests are part of the yearly budget process which is run on the basis of baseline and adverse scenarios. The impact of the adverse scenario is measured on pro\ufb01t and loss (revenues, cost of risk, etc.), balance-sheet, risk-weighted assets, and capital. The calculated \ufb01nal output is a range of projected Group\u2019s solvency ratios, as well as possible adjustment measures. The scenarios used, the outcomes of the stress tests and the proposed possible adjustment measures (such as reducing exposures to a sub-segment cost reduction initiatives, or changes in funding or liquidity policies, etc.) are included in the budget synthesis report presented to the Group Executive Management at the end of the budget process. In addition, in the Group\u2019s ICAAP, its solvency can be analysed in adverse scenarios other than an adverse budget scenario, de\ufb01ned by risk topics occasionally identi\ufb01ed by the Group, \u25a0 reverse stress tests: they were conducted as part of the Bank\u2019s recovery and resolution plan and ICAAP. Reverse stress tests consist of identifying scenarios likely to result in a drop in the Bank\u2019s solvency ratios to below levels set in advance in line with the methods of use in question. These exercises enable any areas where the Bank is fragile in terms of changes in certain risk factors to be detected and facilitate in-depth analyses of the remedial actions that could be implemented by business lines or Group-wide. Governance and implementation This framework is based on a well-defined governance, with responsibilities shared between the Group and operational entities in order to encourage operational integration and relevance. Since 2017, the Group has set up a Stress Testing and Extended Planning (STEP) programme serving both the Group and its subsidiaries and business lines. The aim of the STEP programme is continue to respond effectively to the various regulatory stress tests, such as the EBA and ECB ones, and to develop internal stress test practices required for proper risk management and Group resource planning. Finance, RISK and ALM Treasury functions have created a shared team \u2013 Stress Testing and Financial Simulations (\u201cSTFS\u201d), responsible for implementing the STEP programme and its deployment across the Group\u2019s entities and activities. The STFS team is responsible in particular for: \u25a0 the de\ufb01nition and the implementation of the Group\u2019s target structure in terms of stress testing and ICAAP while covering the associated organisational issues, modelisation, IT systems and governance; \u25a0 the performance of all of the Group\u2019s stress testing exercises, relying in particular on existing teams within RISK and Finance Functions; \u25a0 the support of the stress test and ICAAP initiatives of the Group\u2019s business lines and legal entities in order to ensure overall consistency and streamline procedures; \u25a0 the coordination of the Group\u2019s \ufb01nancial simulation system and its adaptation to the challenges of SREP; \u25a0 the Group\u2019s risk identi\ufb01cation process; \u25a0 the production of the Group\u2019s ICAAP report and, for certain risks, the quanti\ufb01cation of internal capital. Stress test methodologies are tailored to the main categories of risk and subject to independent review. Stress tests may be run at Group, business line or portfolio level, dedicated to one or more risk types and on a more or less large number of variables depending on the pursued objective. Where appropriate, the results of quantitative models may be adjusted on the basis of expert judgement. Since its creation, the Group\u2019s stress testing framework has evolved continuously in order to integrate the most recent developments in stress tests, whether in terms of methodologies or improved operational integration in the Group\u2019s management processes. The stress test framework by type of risks is detailed in sections 5.4 Credit risk, 5.6 Counterparty credit risk and 5.7 Market risk. In this context, the Group is engaged in the development of a climate stress testing infrastructure, covering scenarios (see below), data and models and methodologies, as well as encompassing both transition and physical risks, which are the two main risk types into which climate risk materialises. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 373 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Risk management [Audited] INTERNAL STRESS TEST SCENARIO DEFINITION In stress testing exercises, it is common practice to distinguish the baseline scenario from adverse (and favourable, where applicable) scenarios. A macroeconomic scenario is typically a set of macroeconomic and \ufb01nancial variables (GDP and its components, in\ufb02ation, employment and unemployment, interest and exchange rates, stock prices, commodity prices, etc.) projected over a given future period. Macroeconomic stress tests Baseline scenario The baseline scenario is considered as the most likely scenario over the projection horizon. The baseline scenario is constructed by Group Economic Research in collaboration with various functions and business lines possessing a speci\ufb01c expertise, in particular: \u25a0 Group ALM Treasury for interest rates; \u25a0 Wealth Management for equity indices; \u25a0 BNP Paribas Real Estate regarding commercial real estate; \u25a0 local economists when regional expertise is required; \u25a0 Stress Testing & Financial Simulations (STFS) for coordination and overall consistency of the scenario. The global scenario is made up of regional and national scenarios (eurozone, France, Italy, Belgium, Spain, Germany, United Kingdom, Poland, T\u00fcrkiye, United States, Japan, China, India, Russia, etc.) consistent with each other. Adverse scenario An adverse scenario describes one or several potential shocks to the economic and \ufb01nancial environment \u2013 i.e. the materialisation of one or several risks to the baseline scenario \u2013 over the projection horizon. An adverse scenario is thus always designed in relation to a baseline scenario. The shocks associated with the adverse scenario are translated in the set of macroeconomic and \ufb01nancial variables listed above in the form of deviations from their value in the baseline scenario. The adverse scenario is constructed by STFS in collaboration with the same functions and business lines as for requested for the baseline scenario. Construction of scenarios The baseline, adverse and favourable scenarios are revised quarterly by STFS to monitor the Bank\u2019s risk appetite metrics and credit provision calculations within the framework of IFRS 9 (see part 2.h of the consolidated and \ufb01nancial statements). They are validated in meetings involving the Group Executive Management for scenarios used in the Group\u2019s budget process (second and third quarters of the year). For the other two quarterly exercises in March and December, scenarios are validated jointly by the Group Chief Risk Of\ufb01cer and the Group Chief Financial Of\ufb01cer. The scenarios are then used to calculate expected losses (or pro\ufb01t and loss impact in the case of market risks) over the year for all Group portfolios: \u25a0 for portfolios exposed to credit or counterparty risk and for the equity portfolio of the banking book: this calculation measures the impact of the scenario on the cost of risk and risk-weighted assets due to the deterioration of the portfolio quality resulting from the macroeconomic scenario, or adverse moves in equity prices. Credit risk stress tests are performed on the Bank\u2019s entire portfolio for all regions and all prudential portfolios, namely Retail, Corporates and Institutions; \u25a0 for market portfolios: the changes in value and their pro\ufb01t and loss impact are calculated by simulating a one-time shock, which is consistent with the overall scenario. The above calculations and related methodologies for stress tests on credit and market risks are coordinated centrally at Group level by STFS team. They also involve various teams of experts at Group and territory\u2019s levels in their implementation and design. Lastly, in an adverse budget scenario, risks appertaining to the Group and its business activities and not forming part of the adverse macroeconomic scenario are added. They are identi\ufb01ed and quanti\ufb01ed either by the Group\u2019s businesses or centrally for those likely to impact the Group as a whole. Climate stress tests Beyond macroeconomic stress tests, the \ufb01eld of climate stress tests is developing rapidly. In this context, the Group is engaged in the analysis, adaptation and creation of transition and physical risk scenarios. With regard to the risk of transition, the analysis and adaptation work are based at this stage on the work of the NGFS (Network for Greening the Financial System), pioneer in this \ufb01eld. For the Group\u2019s internal requirements in terms of climate stress tests, the NGFS scenarios can be adjusted and adapted, so that they are more in touch with most recent developments (e.g. at the macroeconomic level) or that they are more speci\ufb01cally adapted to the Group\u2019s portfolios. In addition, in collaboration with other companies and institutions, the Group is taking part in the Iris initiative to de\ufb01ne transition scenarios with more precise sectoral aspects. That are relevant to assess transition risk. The physical risk scenarios used by the Group at this stage focus on geographies with signi\ufb01cant Retail Banking activities in Europe. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 374 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit riskCREDIT POLICIES [Audited] The Bank\u2019s lending activities are governed by the Global Credit Policy. It applies to all Group activities that generate credit or counterparty risk. The Global Credit Policy provides general principles (including the risk assessment and decision-making process, adherence to the highest standards of compliance and ethics) applicable to all credit risk, as well as speci\ufb01c principles applicable to country risk, economic sector risks, clients selection and the transaction structures. It is supplemented by speci\ufb01c policies tailored to each type of business or counterparty. These policies are regularly updated in line with developments in the credit environment in which the Group operates. Corporate Social and Environmental Responsibility (CSR) Since 2012, clauses on Corporate Social and Environmental Responsibility (CSR) are included in speci\ufb01c new credit policies or when existing policies are updated. Furthermore, sectoral policies and financing exclusions for certain sectors presenting signi\ufb01cant Environmental, Social and Governance (ESG) challenges (described in the Commitment 3 section of chapter 7 Systematic integration and management of Environmental, social and governance risks (ESG)) have been implemented since 2011 and steadily strengthened since then. These risks are also analysed in the context of sector reviews and country envelope limits. The Group is also taking a number of steps to improve the incorporation of ESG risks factors, especially those linked to climate change, in its credit risk system. Within this context, the Group continues to strengthen the ESG assessment of its clients to make it more systematic and to better understand the ESG risk pro\ufb01le associated. Expanding the ESG analysis of corporate customers thanks to a risk assessment tool: the ESG Assessment BNP Paribas takes ESG criteria into account in its decision-making processes. ESG criteria are integrated into the Know Your Client (KYC) as well as into the Global Credit policy and, when more precise criteria are deemed relevant, in speci\ufb01c credit policies. In addition to the current ESG risk assessment framework (sectoral policies, specific credit policies), an ESG assessment tool has been deployed since June 2021: ESG Assessment, which progressively replaces all existing set-ups (CSR screening, questionnaire on Duty of care law). It makes it possible to identify, assess and monitor the ESG performance and risks of corporate customers by sector with a common approach within the Group for a given customer segment. The assessment aims to perform a systematic ESG analysis at business group level as part of the credit process, one of the foundations of the banking activity, thus integrating ESG criteria with the other criteria included in the assessment of the counterparty\u2019s credit pro\ufb01le. The ESG Assessment covers the environmental (climate and biodiversity), social (health, safety and impact on communities) and governance (business ethics) dimensions through a set of questions, supplemented by an analysis of controversies affecting the client. The questionnaires developed in this context are speci\ufb01c to each sector in order to better integrate the challenges and issues speci\ufb01c to their activities. This tool makes it possible to assess clients\u2019 compliance with sector policies, as well as the maturity of their ESG strategy and its implementation. The deployment of ESG Assessment, included in the credit \ufb01les for all business sectors and business groups, will enable the RISK Function to exercise greater control over the ESG dimensions during Credit Committees on a documented basis. Currently designed for large companies, this framework will be gradually adapted and extended to different customer segments. INDIVIDUAL DECISION- MAKING PROCEDURES [Audited] A system of discretionary credit delegations has been established, under which all lending decisions must be approved by managers or representatives of the business teams, with the concurrence of a formally designated RISK representative. Approvals are systematically evidenced in writing, possibly electronically either by means of a signed approval form or in the minutes of formal Credit Committee meetings. Discretionary credit delegations correspond to aggregate commitments by business group and vary according to internal credit ratings and the speci\ufb01c nature of the business concerned. All transactions proposed are subject to a detailed review of the borrower\u2019s current and future position. The review, conducted when granting the transaction and updated at least on an annual basis. It is designed to ensure the Group has a comprehensive understanding of the borrower and can monitor any potential changes in its situation. Certain types of lending commitments, such as loans to \ufb01nancial institutions, sovereign loans and loans to customers operating in certain industries that are exposed to cyclical risks or to a rapid pace of change, are subject to speci\ufb01c authorisation procedures and require the sign-off of an industry expert or designated specialist. In Retail Banking, simpli\ufb01ed procedures are applied, based on statistical decision-making aids. Credit applications must comply with the Bank\u2019s Global Credit Policy and any relevant speci\ufb01c policies. Material exceptions undergo a special approval process. Before making any commitments, BNP Paribas carries out an in-depth review of any known development plans of the borrower, and ensures that it has thorough knowledge of all the structural aspects of the borrower\u2019s operations and that adequate monitoring will be possible. CREDIT RISK MANAGEMENT POLICY 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 379 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk The General Management Credit Committee (CCDG) is the highest-level Group committee for all decisions related to credit and counterparty risk. It has in particular ultimate decision-making authority for all credit applications notably for amounts in excess of individual discretionary credit delegations or applications that would not comply with the Global Credit Policy. MONITORING AND PORTFOLIO MANAGEMENT PROCEDURES [Audited] Monitoring exposures A comprehensive risk monitoring system is organised around control units, which are responsible for ensuring that lending commitments comply with the credit decision, that credit risk reporting data are reliable and that risks are effectively monitored. Daily irregular exception reports are produced and various early warning tools are used to identify early the deterioration of credit risks. The various monitoring levels are carried out under the supervision of RISK. Non-performing loans or those placed under credit watch (see Exposures, provisions and cost of risk) are overseen more closely via dedicated quarterly committee meetings (see the Governance part of section 5.3 Risk management). To supplement this mechanism, the Doubtful Committee meets on a monthly basis to to validate the proposed changes in individual provisions for doubtful loans for which an adjustment is necessary based on expected \ufb01nancial \ufb02ows. The responsibilities of the control teams include the monitoring of exposures against approved authorisations, covenants, and guarantees. This allows the identi\ufb01cation of any signs of deterioration against the risk pro\ufb01le approved by the Credit Committee. Control teams \ufb02ag up (to the RISK teams and business units) any cases that fail to comply with Credit Committee decisions and oversee their resolution. In some cases, a speci\ufb01c alert is sent to the senior management of RISK and of the relevant business unit. These are mainly where exceptions remain unresolved and/ or where there are serious indications of deterioration in the risk pro\ufb01le compared with that approved by the Credit Committee. Furthermore, since 2018 the General Credit Policy has included speci\ufb01c checks to be conducted for loans granted to clients presenting high leverage ratios, in accordance with European Central Bank guidelines. Overall portfolio management and monitoring The selection and careful evaluation of individual risks taken are supported by a monitoring and risk control system based on more aggregated portfolio levels in terms of division/business line, regions, industry, business/product. The overall portfolio management policy, including concentration of risk by single name, industry and country, is based on this monitoring system and Group Risk Committees review all reports and analyses produced: \u25a0 risk concentration by country is managed through country risk limits that are set at the appropriate level of delegated authority for each country. The Group, which is naturally present in most economically active areas endeavours to avoid excessive concentrations of risk in countries with a high geopolitical risk or fragile political and economic structures or which economic position has been undermined. Country envelope limits are reviewed at least once a year, and quarterly reports are drawn up on their use; \u25a0 the Group closely monitors individual concentrations, in particular on business groups, corporates, banks or sovereign debts. These concentrations are reported in the quarterly risk report to CCIRC. Related policies implemented by the Group are described under Credit risk diversi\ufb01cation of this section; \u25a0 regular reviews by the Group are carried out of portfolios in certain industries, either because of the magnitude of the Group\u2019s exposure to the sector or because of sector-speci\ufb01c risks, such as the cyclical nature of the industry or rapid technological developments. In these reviews, special focus is placed on CSR issues in potentially sensitive sectors. The Group draws on the expertise of the relevant business lines and independent industry specialists working in RISK (Industry and Sector Studies). These reviews provide Executive Management, and if appropriate the CCIRC, with an overview of the Group\u2019s exposure to the sector under consideration, and assist it to decide on strategic guidelines. As an illustration, in 2022, an internal portfolio review was undertaken on electricity production, commercial real estate, residential real estate, shipping \ufb01nancing and aviation sectors; \u25a0 stress tests assess portfolio vulnerabilities by measuring the impact of various adverse scenarios. They are conducted on a quarterly basis on the entire portfolio and on an ad hoc basis on sub-portfolios to identify any concentrations. They help to ensure that the Bank\u2019s credit risk exposure is in line with its risk appetite. Lastly, BNP Paribas may use credit risk transfer instruments, such as securitisation programmes, credit derivatives or credit insurance, to mitigate individual risks, reduce portfolio concentration or cap potential losses arising from crisis scenarios. IMPAIRMENT VALUATION PROCEDURES [Audited] The Group applies the impairment procedures described below for all loans subject to impairment (see note 1.e.5 Impairment of \ufb01nancial assets at amortised cost and of debt instruments at market value through equity): \u25a0 impairment valuation procedure for performing loans: A loss allowance for loans in stage 1 or stage 2 is constituted by each operating division based on an estimation of expected credit losses. This is validated on a quarterly basis during a committee meeting attended by the Chief Financial Of\ufb01cer and Chief Risk Of\ufb01cer of each operating division. Estimations of expected credit losses result from the default risk in the coming twelve months for \ufb01nancial instruments whose credit risk has not signi\ufb01cantly increased since initial recognition (stage 1) or upon maturity for unimpaired loans whose credit risk has signi\ufb01cantly increased since initial recognition (stage 2). A tool used by most of the Group\u2019s business lines enables calculations to be performed based on the parameters of the rating system described below and integrating the potential impact of macroeconomic and sectoral dynamics; 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 380 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u25a0 impairment valuation procedure for defaulted exposures: Monthly, RISK reviews corporate, bank and sovereign loans, requiring a review of their impairment, to determine the amount of any decrease in value to be recognised, either by reducing the carrying amount or by recording a provision for impairment, in accordance with applicable accounting standards (see note 1.e.5). The Group uses various methodologies (expert opinions, statistical calculations) for defaulted exposures to retail customers. These impairments are referred to as stage 3. The amount of this impairment loss is based on the present value of probable recovered net cash \ufb02ows issued from several scenarios, including from the possible realisation of the collateral held. The amount of this impairment loss is based on the present value of probable recovered net cash \ufb02ows under various scenarios and including from the possible realisation of the collateral held. Estimated expected cash \ufb02ows also includes a cash \ufb02ow scenario from the possible sale of non-performing loans or all loans. Proceeds from the sale is net of costs associated to the sale. RATING SYSTEM [Audited] Each counterparty is rated internally by the Group using uniform principles, regardless of the approach used to calculate regulatory capital requirements. The Bank has a comprehensive internal rating system compliant with regulatory requirements regarding capital adequacy. A periodic assessment and control process has been deployed within the Bank to ensure that the system is appropriate and correctly implemented. The system was formally validated by the supervisor in December 2007 and is inspected on a regular basis. For loans to institutions, corporates, sovereigns and specialised lendings, the system is based on three parameters: the counterparty\u2019s probability of default (PD) expressed via a rating, the Global Recovery Rate (GRR) or its complement, Loss Given Default (LGD), which depends on the structure of the transaction, and the Credit Conversion Factor (CCF) which estimates the off-balance sheet exposure at risk. There are twelve counterparty ratings. Ten cover performing clients with credit assessments ranging from \u201cexcellent\u201d to \u201cvery concerning\u201d, and two relate to clients classi\ufb01ed as in default, as per the de\ufb01nition by the banking supervisor. Con\ufb01rmation or amendments to the probability of default parameters and GRR applicable to each transaction are reviewed at least once a year as part of the loan approval process or annual credit review. These are based on the combined expertise of business line staff and, as a second look, the RISK representatives (who have the \ufb01nal say in case of disagreement). It uses appropriate tools including analysis aids and credit scoring systems. The decision to use these tools and the choice of technique depends on the nature of the risk. For retail counterparties, the system is also based on three parameters: Probability of Default (PD), the Global Recovery Rate (GRR) and the Credit Conversion Factor (CCF). On the other hand, rating methods are applied automatically to determine the loan parameters. Internal estimates of risk parameters are used in the Bank\u2019s day-to- day management in line with regulation recommendations. Thus, apart from calculating capital requirements, they are used for example when setting delegated limits, granting new loans or reviewing existing loans to measure pro\ufb01tability, determine impairments and for book analyses. \u27a4 TABLE 27: INDICATIVE MAPPING OF INTERNAL COUNTERPARTY RATING WITH AGENCY RATING SCALE AND AVERAGE EXPECTED PD Internal rating BNP Paribas LT Issuer/ Unsecured issuer\u2019s ratings S&P/Fitch Average expected PD Investment Grade 1+ AAA 0.01% 1 AA+ 0.01% 1- AA 0.01% 2+ AA- 0.02% 2 A+/A 0.03% 2- A- 0.04% 3+/3/3- BBB+ 0.06% to 0.10% 4+/4/4- BBB 0.13% to 0.21% 5+/5/5- BBB- 0.26% to 0.48% Non-Investment Grade 6+ BB+ 0.69% 6/6- BB 1.00% to 1.46% 7+/7 BB- 2.11% to 3.07% 7- B+ 4.01% 8+/8/8- B 5.23% to 8.06% 9+/9/9- B- 9.53% to 13.32% 10+ CCC 15.75% 10 CC 18.62% 10- C 21.81% Defaut 11 D 100% 12 D 100% The Group has developed an indicative equivalence between the Bank\u2019s internal ratings and the long-term issuer ratings assigned by the major rating agencies. Nevertheless, the Bank has a much broader clientele than just those counterparties rated by an external rating agency. An indicative equivalence is not relevant in Retail Banking. It is used when the internal ratings are assigned or reviewed in order to identify any differences between the Bank\u2019s assessment of a borrower\u2019s probability of default and that of one or more of the rating agencies. However, the internal ratings do not aim to reproduce or even approximate the external ratings. There are signi\ufb01cant variances in both directions within the portfolio. Some counterparties rated 6 or 7 by BNP Paribas could be considered Investment Grade by the rating agencies. For further details, see the sections Internal rating system \u2013 sovereign, \ufb01nancial institution, corporate and specialised \ufb01nancing portfolios and Internal rating system speci\ufb01c to retail customers. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 381 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit riskEXPOSURES, PROVISIONS AND COST OF RISK [Audited] Impaired exposures (stage 3) related to assets at amortised cost and \ufb01nancing and guarantee commitments given, as well as the guarantees received as collateral, are presented in note 4.f to the financial statements. The de\ufb01nition of impaired loans (stage 3) is presented in note 1.e.5 paragraph De\ufb01nition of default. The following table shows the carrying amount of performing and non- performing (1) \ufb01nancial assets included in the prudential consolidation scope. An exposure is deemed to be non-performing when it falls into one of the following categories: \u25a0 exposures in default; \u25a0 90 days past-due exposures which are not in default; \u25a0 restructured loans (see the Restructured loans section) during the one- year minimal period required before returning to performing status. In this part, in accordance with the Implementing Regulation (EU) No. 2021/637, the scope of the tables in this section includes the following items: \u25a0 current accounts with central banks (cash accounts are not considered); \u25a0 loans and receivables and debt securities at amortised cost; \u25a0 loans and receivables and debt securities at fair value through equity; \u25a0 loans and receivables and debt securities at fair value through pro\ufb01t or loss excluding the trading portfolio; \u25a0 \ufb01nancing and guarantee commitments outside the trading portfolio. Exposures in default include impaired outstandings (stage 3) as well as doubtful loans and receivables and debt securities at fair value through pro\ufb01t or loss excluding the trading portfolio. The classi\ufb01cations used for exposures shown are taken from \ufb01nancial reports intended for the supervisory authority (2) and so differ from the exposure classes usually used within the context of Pillar 3. The classi\ufb01cation includes: \u25a0 central banks; \u25a0 public administrations including mainly central governments, regional or local authorities and international organisations; \u25a0 credit institutions including credit institutions and multilateral development banks; \u25a0 other \ufb01nancial corporations including institutions (notably supervised investment companies and clearing houses) and corporations (mainly investment funds, pension funds and insurance companies); \u25a0 non-\ufb01nancial corporations including mainly corporations and small and medium enterprises (SME); \u25a0 households: mainly non-SME retail portfolio. In addition, in accordance with Appendices III and V of Implementing Regulation (EU) No. 680/2014 regarding supervisory reporting of \ufb01nancial institutions, the assets of activities held for sale (3) for the items listed above, are presented on a separate line in the tables. (1) At 31 December 2022, the Group\u2019s non-performing loans ratio was 2.1%, compared with 2.3% at 31 December 2021. This ratio is used by the European Banking Authority to monitor non-performing outstandings in Europe. It is calculated on the basis of gross outstanding of loans, receivables and deposits with central banks, not netted of guarantees received. (2) Appendices III and V of Implementing Regulation (EU) No. 680/2014 on supervisory reporting. (3) See note 7.d Discontinued activities to the consolidated \ufb01nancial statements. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 430 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u27a4 TABLE 48: PERFORMING AND NON-PERFORMING EXPOSURES AND RELATED PROVISIONS (EU CR1) [Audited] a b c d e f g h i j k l n o In millions of euros 31 December 2022 Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collateral and \ufb01nancial 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 defaulted of which stage 1 of which stage 2 of which stage 1 & 2 of which defaulted 005 Current accounts at central banks and other demand deposits 326,410 325,762 648 4 1 3 (29) (20) (9) (1) (1) 829 010 Loans and advances 905,208 818,136 87,072 26,337 447 25,890 (4,862) (2,045) (2,817) (13,513) (10) (13,503) 540,589 8,359 020 Central banks 13,619 13,612 7 4,807 030 General governments 31,523 30,155 1,368 199 99 100 (15) (6) (9) (26) (2) (24) 8,138 151 040 Credit institutions 8,044 7,912 132 84 1 83 (13) (6) (7) (79) (79) 3,817 1 050 Other \ufb01nancial corporations 84,667 79,895 4,772 1,106 1,106 (169) (70) (99) (778) (778) 25,770 284 060 Non-\ufb01nancial corporations 437,918 374,954 62,964 13,196 329 12,867 (2,267) (803) (1,464) (6,920) (7) (6,913) 267,929 4,711 070 of which SMEs 125,350 110,545 14,805 4,984 89 4,895 (804) (327) (477) (2,277) (4) (2,273) 87,527 2,154 080 Households 329,437 311,608 17,829 11,752 18 11,734 (2,398) (1,160) (1,238) (5,710) (1) (5,709) 230,128 3,212 090 Debt Securities 154,741 154,209 532 348 348 (68) (42) (26) (231) (231) 3,182 20 100 Central banks 6,012 6,012 110 General governments 105,318 104,965 353 (32) (23) (9) 476 120 Credit institutions 13,320 13,320 103 103 (5) (5) (103) (103) 2,390 130 Other \ufb01nancial corporations 24,801 24,635 166 111 111 (24) (7) (17) (44) (44) 316 140 Non-\ufb01nancial corporations 5,290 5,277 13 134 134 (7) (7) (84) (84) 20 Assets held for sale 79,542 76,392 3,150 553 553 (267) (141) (126) (62) (62) 46,754 283 150 Off-balance sheet exposures 565,733 533,619 32,114 1,730 1,730 (664) (325) (339) (316) (316) 127,110 386 160 Central banks 50,759 50,742 17 1 1 48,718 170 General governments 12,256 11,128 1,128 10 10 (6) (2) (4) 947 180 Credit institutions 13,832 13,033 799 1 1 (12) (5) (7) 652 190 Other \ufb01nancial corporations 68,425 66,541 1,884 24 24 (50) (36) (14) (9) (9) 15,334 5 200 Non-\ufb01nancial corporations 363,252 336,133 27,119 1,489 1,489 (500) (221) (279) (299) (299) 57,571 377 210 Households 57,209 56,042 1,167 205 205 (96) (61) (35) (8) (8) 3,888 4 220 TOTAL 2,031,634 1,908,118 123,516 28,972 448 28,524 (5,890) (2,573) (3,317) (14,123) (10) (14,113) 718,464 9,048 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 431 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk a b c d e f g h i j k l n o In millions of euros 31 December 2021 Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collateral and \ufb01nancial 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 defaulted of which stage 1 of which stage 2 of which stage 1 & 2 of which defaulted 005 Current accounts at central banks and other demand deposits 354,453 354,163 290 9 1 8 (22) (16) (6) (4) (4) 287 010 Loans and advances 852,797 748,331 104,466 28,994 390 28,604 (4,578) (1,881) (2,697) (15,517) (6) (15,511) 494,028 8,907 020 Central banks 2,885 2,883 2 1,674 030 General governments 28,873 27,293 1,580 209 116 93 (20) (5) (15) (29) (3) (26) 7,743 120 040 Credit institutions 10,071 9,905 166 78 78 (11) (10) (1) (74) (74) 3,003 1 050 Other \ufb01nancial corporations 91,970 87,352 4,618 1,066 7 1,059 (159) (54) (105) (672) (672) 15,584 301 060 Non-\ufb01nancial corporations 402,999 340,888 62,111 14,607 234 14,373 (2,063) (607) (1,456) (8,182) (2) (8,180) 240,729 5,018 070 of which SMEs 121,242 100,494 20,748 5,678 73 5,605 (820) (269) (551) (2,797) (1) (2,796) 85,405 2,332 080 Households 315,999 280,010 35,989 13,034 33 13,001 (2,325) (1,205) (1,120) (6,560) (1) (6,559) 225,295 3,467 090 Debt Securities 155,295 154,680 615 491 491 (81) (27) (54) (278) (278) 924 25 100 Central banks 6,274 6,250 24 1 1 (1) (1) 110 General governments 110,911 110,680 231 7 7 (29) (25) (4) 120 Credit institutions 15,907 15,907 102 102 (101) (101) 924 130 Other \ufb01nancial corporations 18,582 18,258 324 146 146 (50) (1) (49) (32) (32) 140 Non-\ufb01nancial corporations 3,621 3,585 36 235 235 (2) (1) (1) (144) (144) 25 Assets held for sale 85,135 80,765 4,370 409 409 (389) (172) (217) (87) (87) 44,531 271 150 Off-balance sheet exposures 536,752 502,063 34,689 1,951 18 1,933 (603) (230) (373) (354) (354) 116,926 259 160 Central banks 20,209 20,207 2 18,283 170 General governments 34,137 32,701 1,436 8 8 (8) (1) (7) 22,896 1 180 Credit institutions 13,513 12,976 537 (11) (4) (7) 300 190 Other \ufb01nancial corporations 79,424 76,596 2,828 50 50 (35) (16) (19) (16) (16) 22,455 2 200 Non-\ufb01nancial corporations 332,992 304,779 28,213 1,660 14 1,646 (458) (150) (308) (328) (328) 49,284 251 210 Households 56,477 54,804 1,673 233 4 229 (91) (59) (32) (10) (10) 3,708 5 220 TOTAL 1,984,432 1,840,002 144,430 31,854 409 31,445 (5,673) (2,326) (3,347) (16,240) (6) (16,234) 656,696 9,462 Changes in the stock of non-performing loans and advances (EU CR2) are presented in note 4.f to the \ufb01nancial statements. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 432 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u27a4 TABLE 49: PERFORMING AND NON-PERFORMING EXPOSURES BY PAST DUE DAYS (EU CQ3) [Audited] a b c d e f g h i j k l In millions of euros 31 December 2021 Performing exposures Non-performing exposures Not past due or \u2264 30 days > 30 days \u2264 90 days Unlikely to pay that are not past due or are past due \u2264 90 days > 90 days \u2264 180 days > 180 days \u2264 1 year > 1 year \u2264 2 years > 2 years \u2264 5 years > 5 year \u2264 7 years > 7 years of which defaulted 005 Current accounts at central banks and other demand deposits 326,410 326,410 4 1 3 3 010 Loans and advances 905,208 900,706 4,502 26,337 7,736 1,773 2,163 2,246 5,434 1,662 5,323 25,890 020 Central banks 13,619 13,619 030 General governments 31,523 31,462 61 199 35 6 7 40 68 35 8 100 040 Credit institutions 8,044 8,028 16 84 3 81 83 050 Other \ufb01nancial corporations 84,667 84,598 69 1,106 572 1 10 64 251 5 203 1,106 060 Non-\ufb01nancial corporations 437,918 434,683 3,235 13,196 4,314 687 970 903 2,286 968 3,068 12,867 070 of which SMEs 125,350 124,698 652 4,984 1,422 365 472 508 914 401 902 4,895 080 Households 329,437 328,316 1,121 11,752 2,815 1,079 1,176 1,236 2,829 654 1,963 11,734 090 Debt securities 154,741 154,741 348 232 4 101 11 348 100 Central banks 6,012 6,012 110 General governments 105,318 105,318 120 Credit institutions 13,320 13,320 103 4 99 103 130 Other \ufb01nancial corporations 24,801 24,801 111 100 2 9 111 140 Non-\ufb01nancial corporations 5,290 5,290 134 128 4 2 134 Assets held for sale 79,542 79,130 412 553 372 67 91 15 8 553 150 Off-balance sheet exposures 565,733 1,730 1,730 160 Central banks 50,759 1 1 170 General governments 12,256 10 10 180 Credit institutions 13,832 1 1 190 Other \ufb01nancial corporations 68,425 24 24 200 Non-\ufb01nancial corporations 363,252 1,489 1,489 210 Households 57,209 205 205 220 TOTAL 2,031,634 1,460,987 4,914 28,972 8,341 1,840 2,254 2,261 5,446 1,763 5,337 28,524 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 433 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk a b c d e f g h i j k l In millions of euros 31 December 2021 Performing exposures Non-performing exposures Not past due or \u2264 30 days > 30 days \u2264 90 days Unlikely to pay that are not past due or are past due \u2264 90 days > 90 days \u2264 180 days > 180 days \u2264 1 year > 1 year \u2264 2 years > 2 years \u2264 5 years > 5 year \u2264 7 years > 7 years of which defaulted 005 Current accounts at central banks and other demand deposits 354,453 354,452 1 9 6 3 8 010 Loans and advances 852,797 849,748 3,049 28,994 8,481 1,381 1,590 3,445 5,629 2,140 6,328 28,604 020 Central banks 2,885 2,885 030 General governments 28,873 28,850 23 209 20 46 5 1 104 19 14 93 040 Credit institutions 10,071 10,069 2 78 2 11 65 78 050 Other \ufb01nancial corporations 91,970 91,955 15 1,066 478 22 42 119 189 27 189 1,059 060 Non-\ufb01nancial corporations 402,999 401,013 1,986 14,607 4,850 380 571 1,837 2,045 1,176 3,748 14,373 070 of which SMEs 121,242 120,709 533 5,678 1,508 236 352 624 1,174 548 1,236 5,605 080 Households 315,999 314,976 1,023 13,034 3,133 933 972 1,486 3,291 907 2,312 13,001 090 Debt securities 155,295 155,295 491 365 4 102 20 491 100 Central banks 6,274 6,274 1 1 1 110 General governments 110,911 110,911 7 7 7 120 Credit institutions 15,907 15,907 102 1 99 2 102 130 Other \ufb01nancial corporations 18,582 18,582 146 131 3 12 146 140 Non-\ufb01nancial corporations 3,621 3,621 235 225 4 6 235 Assets held for sale 85,135 84,583 552 409 304 40 45 18 2 409 150 Off-balance sheet exposures 536,752 1,951 1,933 160 Central banks 20,209 170 General governments 34,137 8 8 180 Credit institutions 13,513 190 Other \ufb01nancial corporations 79,424 50 50 200 Non-\ufb01nancial corporations 332,992 1,660 1,646 210 Households 56,477 233 229 220 TOTAL 1,984,432 1,444,078 3,602 31,854 9,156 1,421 1,635 3,467 5,733 2,140 6,351 31,445 The table (EU CQ4) below shows the on- and off-balance sheet exposures. These exposures contribute to all Group risks, mainly credit risk. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 434 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u27a4 TABLEAU 50: EXPOSURES AND PROVISIONS BY GEOGRAPHIC BREAKDOWN (EU CQ4) [Audited] a b c d e f g In millions of euros 31 December 2022 Gross carrying amount/Nominal amount Accumulated impairment Provisions on off-balance sheet commitments and \ufb01nancial guarantees given Accumulated negative due to credit risk on non- performing exposures changes in fair value of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit- impaired (Stage 2) of which non-performing of which loans and advances subject to impairment of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit- impaired (Stage 2) of which defaulted of which defaulted 010 On balance sheet exposures 1,493,143 91,775 27,242 26,794 1,486,697 (18,972) (2,978) (13,736) - (61) of which balance sheet exposures of continuing activities 1,413,048 88,625 26,689 26,241 1,406,602 (18,643) (2,852) (13,674) (61) Europe (*) 1,122,545 67,479 22,341 22,137 1,118,922 (14,740) (2,322) (10,662) (61) France 518,296 25,082 7,657 7,518 516,899 (4,949) (855) (3,518) (17) Belgium 172,415 9,047 2,361 2,353 172,402 (1,368) (180) (1,035) Luxembourg 52,880 2,334 300 298 52,674 (176) (34) (113) (22) Italy 135,910 8,587 5,823 5,818 135,218 (4,068) (543) (3,132) (16) United Kingdom 54,639 6,040 1,149 1,145 54,172 (799) (119) (585) (3) Germany 47,965 5,405 1,224 1,207 47,620 (976) (178) (673) Netherlands 21,341 1,803 118 114 21,321 (135) (63) (52) Other European countries 119,099 9,181 3,709 3,684 118,616 (2,269) (350) (1,554) (3) North America 103,128 7,354 330 200 101,157 (238) (112) (94) Asia Paci\ufb01c 96,915 5,109 379 375 96,707 (356) (78) (174) Japan 23,942 1,225 70 70 23,942 (9) (5) (3) North Asia 29,143 2,162 63 61 29,129 (132) (24) (41) South-East Asia (ASEAN) 23,895 665 166 165 23,825 (168) (38) (108) Indian peninsula & Paci\ufb01c 19,935 1,057 80 79 19,811 (47) (11) (22) 070 Rest of the world 90,460 8,683 3,639 3,529 89,816 (3,309) (340) (2,744) T\u00fcrkiye 14,962 911 233 233 14,962 (338) (115) (151) Mediterranean 8,886 1,485 818 809 8,886 (722) (75) (608) Gulf States & Africa 14,696 1,099 2,005 2,003 14,696 (1,734) (71) (1,613) Latin America 17,922 1,999 295 294 17,922 (313) (37) (226) Other countries 33,994 3,189 288 190 33,350 (202) (42) (146) of which balance sheet exposures of assets held for sale 80,095 3,150 553 553 80,095 (329) (126) (62) 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 435 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk a b c d e f g In millions of euros 31 December 2022 Gross carrying amount/Nominal amount Accumulated impairment Provisions on off-balance sheet commitments and \ufb01nancial guarantees given Accumulated negative due to credit risk on non- performing exposures changes in fair value of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit- impaired (Stage 2) of which non-performing of which loans and advances subject to impairment of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit- impaired (Stage 2) of which defaulted of which defaulted 080 Off-balance sheet exposures 567,463 32,114 1,729 1,730 567,463 (980) (338) (316) (980) - Europe (*) 345,858 18,237 1,286 1,286 345,858 (633) (204) (196) (633) France 101,899 4,072 179 179 101,899 (158) (49) (41) (158) Belgium 40,336 3,115 252 252 40,336 (125) (22) (70) (125) Luxembourg 16,102 614 20 20 16,102 (20) (7) (1) (20) Italy 36,399 1,519 340 340 36,399 (104) (30) (44) (104) United Kingdom 42,349 3,014 326 326 42,349 (60) (33) (1) (60) Germany 31,969 1,545 50 50 31,969 (64) (25) (18) (64) Netherlands 15,774 946 20 20 15,774 (24) (11) (5) (24) Other European countries 61,030 3,412 99 99 61,030 (78) (27) (16) (78) North America 125,435 8,554 115 115 125,435 (133) (67) (19) (133) Asia Paci\ufb01c 34,728 1,655 3 3 34,728 (20) (8) (20) Japan 2,764 158 2,764 (1) (1) North Asia 18,354 588 18,354 (10) (4) (10) South-East Asia (ASEAN) 5,841 263 3 3 5,841 (4) (1) (5) Indian peninsula & Paci\ufb01c 7,769 646 7,769 (5) (3) (4) 140 Rest of the world 61,442 3,668 325 325 61,442 (194) (60) (101) (194) T\u00fcrkiye 4,891 338 13 13 4,891 (35) (19) (7) (35) Mediterranean 2,492 287 92 92 2,492 (54) (11) (37) (54) Gulf States & Africa 40,860 578 73 73 40,860 (79) (14) (56) (79) Latin America 5,316 1,026 141 141 5,316 (16) (10) (1) (16) Other countries 7,883 1,439 6 6 7,883 (10) (6) (10) 150 TOTAL 2,060,606 123,889 28,971 28,524 2,054,160 (19,952) (3,316) (14,052) (980) (61) (*) Within the European Union, the European Free Trade Association (EFTA) and the United Kingdom. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 436 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk a b c d e f g In millions of euros 31 December 2021 Gross carrying amount/Nominal amount Accumulated impairment Provisions on off-balance sheet commitments and \ufb01nancial guarantees given Accumulated negative due to credit risk on non- performing exposures changes in fair value of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit- impaired (Stage 2) of which non-performing of which loans and advances subject to impairment of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit- impaired (Stage 2) of which defaulted of which defaulted 010 On balance sheet exposures 1,477,584 110,059 29,903 29,512 1,470,951 (20,892) (2,980) (15,815) - (64) of which balance sheet exposures of continuing activities 1,392,039 105,689 29,494 29,103 1,385,407 (20,416) (2,763) (15,728) (64) Europe (*) 1,128,857 88,462 24,523 24,280 1,124,518 (16,142) (2,270) (12,245) (62) France 495,890 43,880 7,947 7,828 494,407 (5,479) (987) (4,028) (22) Belgium 186,737 12,722 2,414 2,325 186,714 (1,330) (184) (1,055) Luxembourg 55,596 1,525 199 197 55,452 (154) (33) (94) (3) Italy 135,674 8,038 7,495 7,494 135,226 (4,940) (489) (4,034) (29) United Kingdom 52,301 6,044 1,557 1,552 51,834 (1,023) (92) (809) (1) Germany 53,544 4,436 1,193 1,181 52,396 (876) (125) (643) Netherlands 21,250 2,264 122 120 21,220 (106) (46) (46) Other European countries 127,866 9,552 3,597 3,584 127,270 (2,234) (313) (1,535) (7) North America 82,882 4,570 265 248 82,836 (215) (99) (104) (1) Asia Paci\ufb01c 85,311 4,712 486 483 84,740 (354) (52) (238) (1) Japan 15,456 1,270 71 71 15,456 (14) (11) (2) North Asia 34,369 1,292 74 72 34,038 (97) (12) (42) South-East Asia (ASEAN) 15,412 810 177 176 15,206 (157) (20) (123) Indian peninsula & Paci\ufb01c 20,074 1,339 164 163 20,040 (86) (8) (72) (1) 70 Rest of the world 94,989 7,946 4,220 4,091 93,314 (3,705) (341) (3,142) T\u00fcrkiye 13,707 1,016 393 393 13,706 (412) (117) (230) Mediterranean 8,456 1,584 858 843 8,456 (757) (110) (610) Gulf States & Africa 13,683 1,537 2,048 2,046 13,683 (1,802) (45) (1,703) Latin America 15,485 1,616 291 289 15,485 (229) (35) (158) Other countries 43,659 2,193 630 520 41,984 (505) (34) (440) of which balance sheet exposures of assets held for sale 85,544 4,370 409 409 85,544 (476) (217) (87) 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 437 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk a b c d e f g In millions of euros 31 December 2021 Gross carrying amount/Nominal amount Accumulated impairment Provisions on off-balance sheet commitments and \ufb01nancial guarantees given Accumulated negative due to credit risk on non- performing exposures changes in fair value of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit- impaired (Stage 2) of which non-performing of which loans and advances subject to impairment of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit- impaired (Stage 2) of which defaulted of which defaulted 80 Off-balance sheet exposures 538,703 34,703 1,951 1,933 538,703 (958) (374) (354) (958) - Europe (*) 338,950 22,703 1,730 1,712 338,950 (663) (216) (262) (663) France 97,831 6,668 525 525 97,831 (160) (64) (44) (160) Belgium 40,339 2,532 347 334 40,339 (190) (50) (111) (190) Luxembourg 16,393 1,130 23 23 16,393 (9) (3) (1) (9) Italy 37,174 1,942 285 285 37,174 (101) (28) (39) (101) United Kingdom 37,911 4,335 225 225 37,911 (42) (29) (1) (42) Germany 33,695 1,367 118 118 33,695 (60) (10) (35) (60) Netherlands 15,072 1,180 60 60 15,072 (12) (3) (6) (12) Other European countries 60,536 3,550 147 142 60,536 (87) (29) (27) (87) North America 117,396 6,769 69 69 117,396 (120) (97) (9) (120) Asia Paci\ufb01c 24,381 1,453 3 3 24,381 (21) (12) (21) Japan 2,260 2,260 North Asia 8,259 626 1 1 8,259 (14) (9) (14) South-East Asia (ASEAN) 5,941 230 2 2 5,941 (4) (1) (4) Indian peninsula & Paci\ufb01c 7,920 598 7,920 (4) (2) (4) 140 Rest of the world 57,976 3,777 149 148 57,976 (154) (47) (82) (154) T\u00fcrkiye 3,842 553 16 16 3,842 (25) (16) (3) (25) Mediterranean 2,602 499 91 91 2,602 (43) (10) (25) (43) Gulf States & Africa 39,507 616 31 31 39,507 (73) (13) (53) (73) Latin America 4,901 604 2 2 4,901 (5) (3) (5) Other countries 7,125 1,505 8 8 7,125 (7) (5) (1) (7) 150 TOTAL 2,016,287 144,762 31,854 31,445 2,009,654 (21,850) (3,354) (16,170) (958) (64) (*) Within the European Union, the European Free Trade Association (EFTA) and the United Kingdom. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 438 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u27a4 TABLE 51: BREAKDOWN OF LOANS AND ADVANCES AND PROVISIONS TO NON-FINANCIAL CORPORATIONS BY INDUSTRY (EU CQ5) [Audited] a b c d e f In millions of euros 31 December 2022 Gross carrying amount/Nominal amount Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit impaired (Stage2) of which non-performing of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit impaired (Stage2) of which defaulted of which defaulted of which loans and advances subject to impairment On balance sheet exposures 482,673 64,359 13,622 13,242 479,359 (9,306) (1,492) (6,929) (22) of which balance sheet exposures of continuing activities 451,114 63,221 13,196 12,816 447,800 (9,165) (1,470) (6,892) (22) 010 Agriculture, forestry and \ufb01shing 13,302 1,409 526 510 13,102 (325) (69) (211) 020 Mining and quarrying 9,452 909 156 155 9,452 (123) (15) (93) 030 Manufacturing 90,538 11,715 2,723 2,687 88,733 (2,238) (323) (1,742) 040 Electricity, gas, steam and air conditioning supply 20,640 1,874 137 136 20,477 (135) (43) (68) 050 Water supply 2,934 195 148 148 2,935 (134) (4) (124) 060 Construction 24,991 3,288 2,262 2,226 24,970 (1,593) (83) (1,449) (3) 070 Wholesale and retail trade 62,880 11,433 1,919 1,818 62,857 (1,287) (195) (964) 080 Transport and storage 30,129 6,804 781 777 30,100 (551) (121) (386) 090 Accommodation and food service activities 7,567 2,299 528 527 7,540 (365) (113) (232) 100 Information and communication 15,925 1,824 204 201 15,435 (177) (27) (126) 110 Financial and insurance actvities 24,136 3,361 664 616 24,038 (346) (101) (195) 120 Real estate activities 65,402 6,708 1,199 1,188 65,209 (649) (146) (415) 130 Professional, scienti\ufb01c and technical activities 20,782 2,592 478 472 20,782 (333) (55) (228) 140 Administrative and support service activities 45,608 4,130 855 852 45,342 (588) (103) (444) In accordance with Implementing Regulation (EU) No. 2021/637, the table below (EU CQ5) shows the breakdown of loans and receivables with the scope of non-\ufb01nancial corporations. It does not take into account all exposures to central governments and central banks, credit institutions, \ufb01nancial companies and households. These on-balance sheet and off-balance sheet exposures contribute to all Group risks, mainly credit risk. These same balance sheet exposures of continuing activities, broken down by sector, are included in Table 114 \u2013 Credit quality of exposures by sector and residual maturities of section 5.11 Environmental, social and governance risks of this chapter. In the latter, exposures include, however, debt securities and equity instruments not held for trading. The breakdown by sector is made on the basis of economic activity as de\ufb01ned by the European Statistical Classi\ufb01cation of Economic Activities (NACE), declared by the legal entity counterparty of the asset. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 439 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk a b c d e f In millions of euros 31 December 2022 Gross carrying amount/Nominal amount Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit impaired (Stage2) of which non-performing of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit impaired (Stage2) of which defaulted of which defaulted of which loans and advances subject to impairment 150 Public administration and defence, compulsory social security 288 35 6 5 288 (5) (4) 160 Education 817 91 43 43 817 (18) (2) (14) 170 Human health services and social work activities 5,606 882 190 187 5,606 (134) (29) (94) 180 Arts, entertainment and recreation 2,207 433 153 153 2,207 (74) (17) (54) 190 Other services 7,911 3,239 224 115 7,910 (91) (24) (49) (19) of which balance sheet exposures of assets held for sale 31,559 1,138 426 426 31,559 (141) (22) (37) 200 Off-balance sheet exposures 364,740 27,119 1,489 1,489 364,740 (795) (280) (295) - Agriculture, forestry and \ufb01shing 2,164 132 10 10 2,164 (8) (2) Mining and quarrying 9,136 758 88 88 9,136 (9) (4) Manufacturing 118,678 7,287 326 326 118,678 (219) (89) (50) Electricity, gas, steam and air conditioning supply 26,268 1,300 49 49 26,268 (29) (9) (7) Water supply 3,535 170 4 4 3,535 (2) (1) Construction 34,086 3,754 431 431 34,086 (126) (30) (78) Wholesale and retail trade 42,621 2,591 178 178 42,621 (126) (29) (70) Transport and storage 21,354 4,634 267 267 21,354 (64) (49) (7) Accommodation and food service activities 2,334 167 23 23 2,334 (6) (2) (2) Information and communication 21,653 694 18 18 21,653 (16) (3) (2) Financial and insurance actvities 21,368 1,091 14 14 21,368 (68) (14) (43) Real estate activities 19,422 1,228 29 29 19,422 (22) (5) (8) Professional, scienti\ufb01c and technical activities 17,887 1,097 49 49 17,887 (20) (8) (2) 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 440 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk a b c d e f In millions of euros 31 December 2022 Gross carrying amount/Nominal amount Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit impaired (Stage2) of which non-performing of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit impaired (Stage2) of which defaulted of which defaulted of which loans and advances subject to impairment Administrative and support service activities 14,374 1,152 130 130 14,374 (38) (19) (9) Public administration and defence, compulsory social security 748 28 748 Education 366 21 1 1 366 Human health services and social work activities 1,777 147 2 2 1,777 (16) (2) (12) Arts, entertainment and recreation 1,333 284 7 7 1,333 (6) (4) Other services 5,636 584 39 39 5,636 (20) (11) (4) TOTAL 847,413 91,478 15,111 14,731 844,099 (10,101) (1,772) (7,224) (22) 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 441 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk a b c d e f In millions of euros 31 December 2021 Gross carrying amount/Nominal amount Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures of which non-performing of which loans and advances subject to impairment of which defaulted On balance sheet exposures 446,833 14,827 14,566 44,4752 (10,446) - of which balance sheet exposures of continuing activities 417,607 14,607 14,347 415,526 (10,245) 010 Agriculture, forestry and \ufb01shing 13,096 629 611 12,811 (355) 020 Mining and quarrying 8,768 511 511 8,768 (438) 030 Manufacturing 82,820 3,366 3,353 82,819 (2,741) 040 Electricity, gas, steam and air conditioning supply 21,678 138 138 21,064 (83) 050 Water supply 2,316 158 158 2,316 (139) 060 Construction 23,574 2,326 2,307 23,568 (1,626) 070 Wholesale and retail trade 59,619 2,030 1,978 59,606 (1,491) 080 Transport and storage 30,900 888 886 30,857 (599) 090 Accommodation and food service activities 8,490 664 652 8,486 (395) 100 Information and communication 10,394 172 171 10,394 (139) 110 Financial and insurance actvities 18,733 253 252 17,890 (242) 120 Real estate activities 62,950 1,614 1,589 62,694 (904) 130 Professional, scienti\ufb01c and technical activities 18,865 400 389 18,865 (266) 140 Administrative and support service activities 38,134 772 768 38,127 (371) 150 Public administration and defence, compulsory social security 400 54 54 400 (41) 160 Education 817 36 35 817 (21) 170 Human health services and social work activities 5,220 165 165 5,213 (119) 180 Arts, entertainment and recreation 2,076 129 129 2,076 (115) 190 Other services 8,758 301 200 8,755 (162) of which balance sheet exposures of assets held for sale 29,226 219 219 29,226 (201) Industry risks are monitored in terms of gross exposure (1) and risk- weighted assets. Certain sectors, defined in accordance with the principles of the Group\u2019s Risk Appetite Statement, are subject to increased monitoring and speci\ufb01c reviews. Their monitoring is performed on a broadened scope, taking into account all the exposures of Business Group, and Legal Entities related to these sectors as de\ufb01ned by the internal risk management nomenclature. \u25a0 the leveraged \ufb01nance sector: The Group\u2019s exposure to Leverage Buy-Out transactions (\u201cLBO\u201d) with financial sponsors rises to EUR 18.4 billion at 31 December 2022, or 0.9% of the Group\u2019s gross on-balance sheet and off-balance sheet commitments compared to EUR 15.4 billion, or 0.8% at 31 December 2021. These exposures are individually very small with an average amount of EUR 5 million per commitment (EUR 14 million taking account of all business group exposures). This portfolio has been resilient in the current economic situation, with a decrease of defaulted outstandings (2%, compared to 2.7% in 2021) and also stage 3 provisions (EUR 125 million at 31 December 2022, versus EUR 211 million as at 31 December 2021). Moreover, the Group has reinforced during the year its monitoring and analysis process for leveraged companies, including during the syndication phases, in accordance with the guidelines given by the ECB, the Group introduced a set of new Risk Appetite Statement metrics for Leverage Finance ensuring a reinforced comprehensive supervision of all risks on this portfolio. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 442 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u25a0 the shipping sector: the shipping sector covers a set of segments with very different dynamics: bulk, oil and gas tankers, container carriers, oil services and cruises. In 2022, these different segments were affected in very heterogeneous ways by the evolution of the macro-economic environment. The cruise segment benefitted from a progressive recovery of demand but remains with the burden of banking debt and export \ufb01nance repayments that were delayed during the pandemic. Some signs of slowdown of the maritime container transport are visible since the second half of 2022, however this segment is still doing very well. Lastly, the dry bulk and tanker segments remain subject to high market volatility due to the consequences of the invasion of Ukraine. LNG and Floating Storage and Regasi\ufb01cation Units (FSRUs) bene\ufb01ted from a decrease of Russian natural gas exports to Europe and the change in the geopolitical context. The shipping industry has to face new environmental constraints (International Maritime Organisation (IMO) standards) involving investment efforts. A growing number of new orders concern hybrid LNG (Lique\ufb01ed Natural Gas) propulsion or other technologies with a reduced impact on the environment. At 31 December 2022, gross exposure of the shipping finance sector was EUR 21.5 billion, i.e. 1.1% of the Group\u2019s on-balance sheet and off-balance sheet credit exposures, compared to EUR 20.4 billion or 1.1% at 31 December 2021. Most of this exposure is borne by Corporate and Institutional Banking (more than 90%, stable compared to 2021), with good geographical diversi\ufb01cation of the client base. Doubtful loans account for 3.2% of the Group\u2019s exposure to the shipping \ufb01nance segment (compared to 4.1% of doubtful loans at 31 December 2021) and stage 3 provisions were EUR 230 million (compared to EUR 286 million in provisions at 31 December 2021). \u25a0 the aviation sector: Business activity in this sector is evenly split between airlines and aircraft leasing companies. The gross exposure is EUR 14.4 billion at 31 December 2022, i.e. 0.7% of the Group\u2019s total gross on- and off-balance sheet commitments, versus EUR 12.9 billion, i.e. 0.7% of the Group\u2019s total gross commitments at 31 December 2021. The increase of exposure of EUR 1.5 billion is mainly linked to the dollar increase compared to euro and short-term \ufb01nancings intended to be quickly re\ufb01nanced (bridge, underwriting). Origination continues to be concentrated on leading airlines and the latest technology aircrafts with lower environmental impact. The direct and indirect consequences of the invasion of Ukraine are limited on the cost of risk of this portfolio are limited. Thus, the amount of doubtful loans remains low at 31 December 2022, representing 5.2% of the sector\u2019s outstandings (versus 4.5% in 2021). As aircrafts \ufb01nancing is a highly collateralised business, stage 3 provisions are limited and represent EUR 111 million at 31 December 2022, compared to EUR 91 million at 31 December 2021; \u25a0 the commercial real estate sector: The commercial real estate sector comprises a set of sub-segments with very different dynamics depending on the destination of the asset (logistics, of\ufb01ce properties, accommodation and tourism, shopping centres, etc.) and the nature of the owner (institutional investor, asset manager, Private Equity funds, industrial, promoter, etc.) The portfolio is resilient, although certain sub-segments were more heavily affected, such as of\ufb01ces in the inner suburbs, shopping centers or tourist accommodation, which are gradually recovering from the consequences of the health crisis. At 31 December 2022, the gross exposure to the commercial real estate sector is EUR 82.6 billion, of which EUR 11.2 billion held for sale at Bank of the West (EUR 76.6 billion at 31 December 2021), i.e. 4.2% of the Group\u2019s total gross on- and off-balance sheet commitments (4.0% of total commitments in 2021), mainly in Europe and highly diversified between the various market segments, countries and entities of the Group. Furthermore, 46% of the commercial real estate counterparties have an Investment Grade rating (versus 45% in 2021). Doubtful loans represented 1.5% of the sector\u2019s total gross exposure (versus 1.8% in 2021). The segments most impacted by the health crisis are shopping centres (14% of the commercial real estate portfolio; the same as in 2021) and hotels (4% of the commercial real estate portfolio versus 5% in 2021). Commercial real estate stage 3 provisions represented EUR 411 million at 31 December 2022 (EUR 409 million at 31 December 2021); \u25a0 the electricity sector: The activity of this sector includes the production, transport and distribution of electricity. At 31 December 2022, Gross Exposure to the electricity sector represented EUR 55.3 billion (or 2.8% of the Group\u2019s total gross on- and off-balance sheet commitments) compared to EUR 44.5 billion at 31 December 2021 (2.3% of total commitment in 2021). 84% of the counterparties bene\ufb01t from a good credit quality rating (Investment Grade rating), and the amount of doubtful exposures is low, representing 0.4% of the sector as of 31 December 2022 (compared to 0.5% in 2021). Stage 3 provisions amount to 74 million at 31 December 2022, a stable level compared to last year. The Group remains diversi\ufb01ed. No sector makes up more than 10% of total corporate lending or more than 4.2% of total lending at 31 December 2022, as at 31 December 2021. At 31 December 2022, doubtful loans decreased resulting from a decrease in corporate (-EUR 1.7 billion) and retail (-EUR 1.6 billion), especially in Italy, followed by Personal Finance linked with the disposal of non- performing portfolios. The main effects explaining changes in the amount of doubtful outstandings in 2022 (EU CR2-B) are presented in note 4.f to the consolidated \ufb01nancial statements. The cost of risk and the change in impairment in respect of credit risk are presented in note 2.h to the consolidated \ufb01nancial statements (Cost of risk). The following table shows the carrying amounts of the \ufb01nancial assets and commitments at amortised cost and fair value through equity subject to impairment provisions for credit risk (i.e. excluding instruments at fair value through pro\ufb01t and loss) broken down by stage of impairment and by BNP Paribas internal rating in the prudential scope. Financial assets subject to impairment are recognised in the following accounting categories: \u25a0 amounts due from central banks (excluding cash); \u25a0 debt securities at fair value through equity or at amortised cost; \u25a0 loans and advances at amortised cost; \u25a0 \ufb01nancing and guarantee commitments given (off-balance sheet). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 443 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u27a4 TABLE 52: BREAKDOWN OF FINANCIAL ASSETS SUBJECT TO IMPAIRMENT BY STAGE AND RATING [Audited] In millions of euros 31 December 2022 Gross carrying value Impairments Net carrying value BNP Paribas rating or equivalent TOTAL 1 to 3 4 to 5 6 to 8 9 to 10 Defaulted Central Banks 310,779 2,185 2,368 226 315,558 (21) 315,537 Stage 1 310,779 2,126 2,070 314,975 (15) 314,960 Stage 2 59 298 226 583 (6) 577 Stage 3 Debt securities at fair value through equity 35,431 1,856 1,291 14 108 38,700 (130) 38,570 Stage 1 35,431 1,794 1,208 14 38,447 (15) 38,432 Stage 2 62 83 145 (15) 130 Stage 3 108 108 (100) 8 Loans and advances at amortised cost 224,883 287,238 378,444 22,095 25,842 938,502 (18,361) 920,141 Stage 1 221,538 274,000 321,860 7,752 825,150 (2,050) 823,100 Stage 2 3,345 13,238 56,584 14,343 87,510 (2,829) 84,681 Stage 3 25,842 25,842 (13,482) 12,360 Debt securities at amortised cost 95,454 13,614 4,521 97 155 113,841 (130) 113,711 Stage 1 95,454 13,593 4,199 53 113,299 (27) 113,272 Stage 2 21 322 44 387 (10) 377 Stage 3 155 155 (93) 62 Assets held for sale 24,979 7,923 46,036 605 553 80,096 (329) 79,767 Stage 1 24,979 7,795 43,251 368 76,393 (141) 76,252 Stage 2 128 2,785 237 3,150 (126) 3,024 Stage 3 553 553 (62) 491 Financing and guarantee commitments 268,021 161,600 128,697 7,415 1,730 567,463 (980) 566,483 Stage 1 265,880 154,481 111,371 1,887 533,619 (326) 533,293 Stage 2 2,141 7,119 17,326 5,528 32,114 (338) 31,776 Stage 3 1,730 1,730 (316) 1,414 TOTAL 959,547 474,416 561,357 30,452 28,388 2,054,160 (19,951) 2,034,209 Financial assets subject to impairments were up by EUR 45 billion, an increase of 2% compared to 31 December 2021. This change mainly relates to \ufb01nancial assets and commitments rated 1 to 3 (+EUR 16 billion, i.e. +2% compared to 31 December 2021) and rated 4 to 5 (+EUR 18 billion, i.e. +4% compared to 31 December 2021). The change in the criteria for assessing a signi\ufb01cant increase in credit risk (see note 2.h Cost of risk) also contributed to a transfer of EUR 27 billion in loans and receivables recognised at amortised cost from stage 2 to stage 1. This transfer mainly concerns the least risky outstandings among those previously classi\ufb01ed in stage 2 (mainly \ufb01nancial assets rated 5 to 7). Excluding the effect of this change in estimate, loans and receivables classi\ufb01ed in stage 2 increased by EUR 10 billion during 2022. This change is closely linked to the deterioration of the economic environment, which weighed on the assessment of the signi\ufb01cant increase in credit risk criterion. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 444 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk In millions of euros 31 December 2021 Gross carrying value Impairments Net carrying value BNP Paribas rating or equivalent TOTAL 1 to 3 4 to 5 6 to 8 9 to 10 Defaulted Central Banks 340,622 1,927 2,728 174 345,451 (18) 345,433 Stage 1 340,622 1,927 2,573 114 345,236 (13) 345,223 Stage 2 155 60 215 (5) 210 Stage 3 Debt securities at fair value through equity 37,169 3,076 1,374 13 105 41,737 (140) 41,597 Stage 1 37,169 2,999 1,251 11 41,430 (7) 41,423 Stage 2 77 123 2 202 (29) 173 Stage 3 105 105 (104) 1 Loans and advances at amortised cost 200,532 274,826 368,707 16,050 28,558 888,673 (20,090) 868,583 Stage 1 200,532 255,746 298,977 755,255 (1,884) 753,371 Stage 2 19,080 69,730 16,050 104,860 (2,704) 102,156 Stage 3 28,558 28,558 (15,502) 13,056 Debt securities at amortised cost 94,628 10,513 3,633 513 260 109,547 (168) 109,379 Stage 1 94,628 10,513 3,304 429 108,874 (20) 108,854 Stage 2 329 84 413 (25) 388 Stage 3 260 260 (123) 137 Assets held for sale 35,768 6,548 42,685 134 409 85,544 (476) 85,068 Stage 1 35,768 6,158 38,839 80,765 (172) 80,593 Stage 2 390 3,846 134 4,370 (217) 4,153 Stage 3 409 409 (87) 322 Financing and guarantee commitments 234,745 159,347 133,879 8,799 1,933 538,703 (958) 537,745 Stage 1 234,745 154,075 113,247 502,067 (230) 501,837 Stage 2 5,272 20,632 8,799 34,703 (374) 34,329 Stage 3 1,933 1,933 (354) 1,579 TOTAL 943,464 456,237 553,006 25,683 31,265 2,009,655 (21,850) 1,987,805 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 445 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk RESTRUCTURED LOANS [Audited] When a borrower is bordering on or is in \ufb01nancial dif\ufb01culties, he may receive a concession from the Bank that would otherwise not have been granted if the borrower had not met with \ufb01nancial dif\ufb01culties. The concession may be: \u25a0 a change to the contract terms and conditions; \u25a0 partial or total re\ufb01nancing of the debt. The loan is then said to be \u201crestructured\u201d. It must retain the status of \u201crestructured\u201d during a period of observation, known as a probation period, for at least two years. The concept of restructuring is described in the accounting principles (note 1.e.5 to the consolidated \ufb01nancial statements) and is aligned with the de\ufb01nition in Annex V to Regulation (EU) No. 680/2014. According to the principles for identifying the restructured exposure amounts for the Group as a whole, for the non-retail business, exposures are identified individually during the loan process, notably during Committees. As for restructured exposures for retail customers, they are usually identi\ufb01ed via a systematic process requiring the use of algorithms whose parameters are validated by the RISK and Finance & Strategy Functions. Information on restructured loans is reported to the supervisory authority on a quarterly basis. The following table shows the gross value and impairment amounts of performing and non-performing loans that have been restructured. \u27a4 TABLE 53: CREDIT QUALITY OF RESTRUCTURED LOANS (EU CQ1) [Audited] a b c e f g h In millions of euros 31 December 2022 Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collaterals received and \ufb01nancial guarantees received Performing exposures Non-performing exposures On performing exposures On non- performing exposures of which Collateral and \ufb01nancial guarantees received on non- performing exposures of which defaulted Loans and advances 9,461 7,889 7,866 (491) (3,154) 8,749 2,662 General governments 7 7 7 (1) (4) 4 Credit institutions 5 5 (5) Other \ufb01nancial corporations 313 427 427 (18) (194) 315 206 Non-\ufb01nancial corporations 6,870 3,720 3,701 (319) (1,533) 6,278 1,604 Households 2,271 3,731 3,727 (154) (1,417) 2,151 852 Debt securities 102 102 (53) 20 20 Assets held for sale 123 134 134 (5) (6) 239 127 Loan commitments given 2,209 150 150 (34) (14) 1,401 29 TOTAL 11,793 8,275 8,252 (530) (3,227) 10,409 2,838 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 446 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk a b c e f g h In millions of euros 31 December 2021 Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collaterals received and \ufb01nancial guarantees received Performing exposures Non-performing exposures On performing exposures On non- performing exposures of which Collateral and \ufb01nancial guarantees received on non- performing exposures of which defaulted Loans and advances 11,027 9,042 8,930 (523) (3,614) 9,851 3,054 General governments 7 10 10 (1) (6) 5 1 Credit institutions 4 4 (4) Other \ufb01nancial corporations 478 252 249 (14) (98) 413 120 Non-\ufb01nancial corporations 7,188 4,433 4,345 (300) (1,801) 6,706 2,009 Households 3,354 4,343 4,322 (208) (1,705) 2,727 924 Debt securities 203 203 (81) 25 25 Assets held for sale 98 134 134 (5) (15) 188 106 Loan commitments given 2,768 389 371 (17) (28) 1,884 33 TOTAL 13,893 9,768 9,638 (545) (3,737) 11,948 3,218 EXPOSURES SUBJECT TO MORATORIA AND PUBLIC GUARANTEE SCHEMES EXPOSURES SUBJECT TO MORATORIA In response to the public health crisis, the Group has granted its customers moratoria, most often consisting of extensions of a few months (see also the paragraph Restructuring of \ufb01nancial assets due to \ufb01nancial dif\ufb01culties in note 1.e.5 to the consolidated \ufb01nancial statements). These moratoria may be based on national law (so-called legislative moratoria) or on an agreed or coordinated payment reduction initiative within the banking sector (so-called non-legislative moratoria). At 31 December 2022, the Group\u2019s exposure to loans subject to moratoria (1) (including expired moratoria) amounted to EUR 27.3 billion. Around 425,000 moratoria (2) expired as at 31 December 2022, i.e. 99.9% of the Group\u2019s exposure to loans subject to moratoria. More than 96% of expired moratoria are performing. The amount of unexpired moratoria at 31 December 2022 is EUR 18 million, compared with EUR 113 million at 31 December 2021. (1) Moratoria quali\ufb01ed as \u201cCovid-19 moratorium measure\u201d meeting the criteria de\ufb01ned in EBA Guidelines published on 2 April 2020. (2) Number of individual customers and companies whose moratoria expired. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 447 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u27a4 TABLE 54: BREAKDOWN OF EXPOSURES SUBJECT TO LEGISLATIVE AND NON-LEGISLATIVE MORATORIA (1) BY RESIDUAL MATURITY OF MORATORIA [Audited] In millions of euros 31 December 2022 Number of obligors Gross carrying amount of which legislative moratoria of which expired moratoria Residual maturity of moratoria \u2264 3 months > 3 months \u2264 6 months > 6 months \u2264 9 months > 9 months \u2264 12 months > 12 months Loans and advances for which moratorium was offered 427,260 27,347 Loans and advances subject to moratorium (granted) 427,052 27,316 2,712 27,298 18 of which households 10,156 1,340 10,152 3 of which collateralised by residential immovable property 5,337 1,059 5,337 of which non-\ufb01nancial corporations 16,723 1,357 16,708 15 of which SME 9,727 915 9,727 of which collateralised by commercial immovable property 6,919 261 6,919 In millions of euros 31 December 2021 Number of obligors Gross carrying amount of which legislative moratoria of which expired moratoria Residual maturity of moratoria \u2264 3 months > 3 months \u2264 6 months > 6 months \u2264 9 months > 9 months \u2264 12 months > 12 months Loans and advances for which moratorium was offered 591,841 36,267 Loans and advances subject to moratorium (granted) 591,479 36,199 3,680 36,086 76 15 21 of which households 12,455 1,708 12,418 27 7 2 of which collateralised by residential immovable property 6,048 1,134 6,030 11 4 2 of which non-\ufb01nancial corporations 22,607 1,965 22,530 49 8 19 of which SME 13,410 1,444 13,369 16 7 18 of which collateralised by commercial immovable property 6,284 377 6,284 (1) Moratoria quali\ufb01ed as \u201cCovid-19 moratorium measure\u201d meeting the criteria de\ufb01ned in EBA Guidelines published on 2 April 2020. Loans and advances subject to a moratorium (1) (including expired moratoria) were granted to households in the amount of EUR 10.2 billion and to non-financial companies in the amount of EUR 16.7 billion.. The breakdown of the residual maturities of the moratoria reflects the measures taken in the countries where the Group operates. At 31 December 2022, all of the unexpired moratoria have a residual maturity of less than three months. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 448 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u27a4 TABLE 55: EXPOSURES SUBJECT TO NON-EXPIRED MORATORIA (1) [Audited] In millions of euros Gross carrying amount Performing exposure Non-performing exposure of which exposures with forbearance measures of which stage 2 of which exposures with forbearance measures of which unlikely to pay that are not past-due or past-due \u2264 90 days Loans and advances subject to moratorium 18 16 1 10 2 2 2 of which households 3 1 1 1 2 2 2 of which collateralised by residential immovable property of which non-\ufb01nancial corporations 15 15 9 of which SME of which collateralised by commercial immovable property In millions of euros Gross carrying amount Performing exposure Non-performing exposure of which exposures with forbearance measures of which stage 2 of which exposures with forbearance measures of which unlikely to pay that are not past-due or past-due \u2264 90 days Loans and advances subject to moratorium 113 97 12 41 16 15 4 of which households 37 27 4 7 10 9 3 of which collateralised by residential immovable property 17 11 4 5 6 6 of which non-\ufb01nancial corporations 76 70 8 34 6 6 1 of which SME 41 37 6 7 4 4 1 of which collateralised by commercial immovable property (1) Moratoria quali\ufb01ed as \u201cCovid-19 moratorium measure\u201d meeting the criteria de\ufb01ned in EBA Guidelines published on 2 April 2020. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 449 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk 31 December 2022 Accumulated impairment, accumulated negative changes in fair value due to credit risk Gross carrying amount \u2013 in\ufb02ows to non-performing exposures since 30 June 2022 Performing exposure Non-performing exposure of which exposures with forbearance measures of which stage 2 of which exposures with forbearance measures of which unlikely to pay that are not past-due or past- due \u2264 90 days (2) (1) (1) (1) (1) 1 (1) (1) (1) 1 (1) (1) (1) 31 December 2021 Accumulated impairment, accumulated negative changes in fair value due to credit risk Gross carrying amount \u2013 in\ufb02ows to non-performing exposures since 30 June 2021 Performing exposure Non-performing exposure of which exposures with forbearance measures of which stage 2 of which exposures with forbearance measures of which unlikely to pay that are not past-due or past- due \u2264 90 days (11) (7) (1) (4) (5) (4) (1) 12 (7) (3) (1) (4) (4) (1) 2 (3) (3) (3) (5) (4) (1) (4) 10 (2) (1) (1) (1) 9 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 450 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk PUBLIC GUARANTEE SCHEMES At 31 December 2022, the Group has granted more than 110,000 loans guaranteed by States through its Retail Banking networks of Domestic Markets and international networks. \u27a4 TABLE 56: LOANS AND ADVANCES SUBJECT TO PUBLIC GUARANTEE SCHEMES [Audited] In millions of euros 31 December 2022 Gross carrying amount Public guarantees received Gross carrying amount \u2013 in\ufb02ows to non-performing exposures since 30 June 2022 of which exposures with forbearance measures Newly originated loans and advances subject to public guarantee schemes 17,378 238 15,423 162 of which households 671 12 of which collateralised by residential immovable property 1 of which non-\ufb01nancial corporations 16,342 231 14,497 149 of which SME 8,672 137 of which collateralised by commercial immovable property 211 18 In millions of euros 31 December 2021 Gross carrying amount Public guarantees received Gross carrying amount \u2013 in\ufb02ows to non-performing exposures since 30 June 2021 of which exposures with forbearance measures Newly originated loans and advances subject to public guarantee schemes 20,100 203 17,893 122 of which households 803 8 of which collateralised by residential immovable property 1 of which non-\ufb01nancial corporations 18,708 194 16,633 113 of which SME 10,267 75 of which collateralised by commercial immovable property 250 3 At 31 December 2022, the total amount of loans guaranteed by States, granted by the Group, mainly in France and Italy, amounted to EUR 17.4 billion, for a corresponding guarantee amount of EUR 15.4 billion, (i.e. 89% of outstandings). These loans are spread across all sectors. State-guaranteed loans (SGL) have enabled their subscribers to bene\ufb01t from a repayment grace period of one year. At the end of this \ufb01rst year, subscribers had the option to repay their loan, partially or in full, or to extend it over a maximum period of \ufb01ve years with the possibility of another repayment grace period of one year. CREDIT RISK MITIGATION TECHNIQUES Credit risk mitigation techniques are divided into two main categories: \u25a0 funded credit protection (collateral) pledged to the Bank is used to secure timely performance of a borrower\u2019s \ufb01nancial obligations; \u25a0 unfunded credit protection (personal guarantee) is the commitment by a third party to replace the primary obligor in the event of default. Thus, public guarantee mechanisms are considered as personal guarantees. By extension, credit insurance and credit derivatives (purchased protection) fall into this category. The amount of personal guarantees and collateral recognised on loans and receivables, and debt securities in the prudential reporting scope amounted to EUR 600 billion at 31 December 2022. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 451 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u27a4 TABLE 57: CREDIT RISK MITIGATION TECHNIQUES (EU CR3) [Audited] a b c d e In millions of euros 31 December 2022 Gross carrying amount Unsecured net carrying amount Secured net carrying amount Secured by physical collateral Secured by personal guarantees Secured by credit derivatives 1 Loans and advances 1,257,959 689,778 549,777 298,331 251,446 2 Debt securities 155,088 151,587 3,202 1,122 2,080 Assets held for sale 80,095 32,729 47,037 38,998 8,039 3 TOTAL 1,493,143 874,094 600,016 338,451 261,565 - 4 of which non-performing exposures 26,689 4,565 8,378 5,616 2,762 EU-5 of which defaulted 26,240 4,378 8,217 5,590 2,626 a b c d e In millions of euros 31 December 2021 Gross carrying amount Unsecured net carrying amount Secured net carrying amount Secured by physical collateral Secured by personal guarantees Secured by credit derivatives 1 Loans and advances 1,236,254 712,911 503,222 254,125 249,097 2 Debt securities 155,785 154,477 950 950 Assets held for sale 85,544 40,267 44,802 35,257 9,545 3 TOTAL 1,477,584 907,655 548,973 290,331 258,642 - 4 of which non-performing exposures 29,494 4,762 8,932 6,075 2,857 EU-5 of which defaulted 29,103 4,627 8,718 5,998 2,720\u27a4 TABLE 60: COLLATERAL OBTAINED BY TAKING POSSESSION AND EXECUTION PROCESSES (EU CQ7) [Audited] a b a b In millions of euros 31 December 2022 31 December 2021 Collateral obtained by taking possession accumulated (*) Collateral obtained by taking possession accumulated (*) Value at initial recognition Accumulated negative changes Value at initial recognition Accumulated negative changes 010 Property, Plant and Equipment (PP&E) 020 Other than Property, Plant and Equipment 270 (35) 305 (56) 030 Residential immovable property 224 (35) 258 (56) 040 Commercial immovable property 8 8 050 Movable property (auto, shipping, etc.) 060 Equity and debt instruments 22 24 070 Other collateral 16 15 080 TOTAL 270 (35) 305 (56) (*) The amount of assets held for sale are included in the amounts of collateral presented in the table above. Collateral obtained by taking possession includes assets obtained in exchange for cancellation of the receivable, whether on a voluntary basis or on foot of legal proceedings. The accounting classi\ufb01cation of securitisation positions in the banking book is shown in Table 9 Prudential balance sheet by risk type (EU LI1-B). Securitisation positions classi\ufb01ed as \u201cFinancial assets at amortised cost\u201d are measured using the method described in note 1.e.1 to the \ufb01nancial statements: the ef\ufb01cient interest rate used to recognise interest income is measured on the basis of an expected cash \ufb02ow model. From the outset, these positions are subject to an impairment calculation for expected credit risk losses (see note 1.e.5). Securitisation positions classi\ufb01ed on an accounting basis as \u201cFinancial assets at fair value through equity\u201d are measured using the method described in note 1.e.2 to the financial statements. Changes in fair value determined according to the principles listed in note 1.e.10 to the \ufb01nancial statements (excluding revenue recognised using the ef\ufb01cient interest method) are presented in a speci\ufb01c subsection of shareholders\u2019 equity along with expected credit risk losses calculated using the methods described in note 1.e.5 to the financial statements. Upon disposal, amounts previously recognised in recyclable equity are transferred to the pro\ufb01t and loss account. Securitisation positions classi\ufb01ed on an accounting basis as \u201cFinancial instruments at fair value through pro\ufb01t or loss\u201d are measured using the method described in note 1.e.7 to the \ufb01nancial statements. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 462 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Securitisation in the banking book Proceeds from the sale of securitisation positions are recognised in accordance with rules for the category of origin of positions sold. Synthetic securitisations in the form of credit derivatives (credit default swaps) or guarantees received follow accounting rules appertaining respectively: \u25a0 to trading portfolio derivatives. These are measured at fair value through pro\ufb01t or loss (see note 1.e.7 to the \ufb01nancial statements); \u25a0 to financial guarantees received, which cannot be considered as forming an integral part of secured assets. If it is virtually certain that a loss caused by a defaulting debtor will be offset by the guarantor, the guarantee is then recognised as a reimbursement asset (right to reimbursement for expected credit losses) and expected credit losses on the asset are, at the same time, recognised in pro\ufb01t or loss. The overall impact in terms of pro\ufb01t or loss is the same as if the guarantee had been recognised in the measurement of expected credit losses, with the difference that the guarantee received is shown as a reimbursement asset rather than as a reduction in the expected credit losses on the asset. Assets awaiting securitisation are classi\ufb01ed as: \u25a0 \ufb01nancial instruments at amortised cost or at fair value through equity and in the prudential banking book in the case of exposures resulting from the bank\u2019s balance sheet, for which the Bank will be originator in the future securitisation within the meaning of Basel 3; \u25a0 \ufb01nancial instruments at fair value through pro\ufb01t or loss and in the prudential banking book in the case of exposures purchased and put into warehousing, for which the bank will be sponsor in the future securitisation within the meaning of regulation.\u27a4 TABLE 87: VALUE AT RISK (1-DAY, 99%) [Audited] In millions of euros Exercise 2022 Exercise 2021 Minimum (**) Average Maximum (**) Last measure Average Last measure Interest rate risk 16 24 44 27 25 18 Credit risk 6 11 20 10 14 7 Foreign exchange risk 2 7 16 9 9 5 Equity price risk 10 15 37 12 21 16 Commodity price risk 7 17 40 7 11 10 Netting effect (*) (40) (36) (42) (29) TOTAL VALUE AT RISK 24 34 52 30 38 27 (*) Note that the minimum and maximum \ufb01gures shown above for the various risk types are computed on a standalone basis (i.e. independently from each other as well as the total VaR). While the minimum or maximum for each risk type may not necessarily be observed on the same date, minimum/ maximum Netting Effects are not considered relevant. (**) For minima and maxima, total VaR cannot be read as the sum of VaR by risk type. The VaR (1-day, 99%) stood at a low level throughout 2022 thanks to prudent management.\u27a4 TABLE 88: VALUE AT RISK (10-DAY, 99%) [Audited] In millions of euros Exercise 2022 Exercise 2021 Minimum (**) Average Maximum (**) Last measure Average Last measure Interest rate risk 52 76 140 86 79 57 Credit risk 21 34 63 32 43 22 Foreign exchange risk 7 22 51 28 28 17 Equity price risk 33 48 116 39 67 50 Commodity price risk 21 53 127 22 35 31 Netting effect (*) (125) (113) (132) (92) TOTAL VALUE AT RISK 77 106 164 95 119 85 (*) Note that the minimum and maximum \ufb01gures shown above for the various risk types are computed on a standalone basis (i.e. independently from each other as well as the total VaR). While the minimum or maximum for each risk type may not necessarily be observed on the same date, minimum/ maximum Netting Effects are not considered relevant. (**) For minima and maxima, total VaR cannot be read as the sum of VaR by risk type.Foreign exchange risk and hedging of net income generated in foreign currencies [Audited] So-called \u201coperating\u201d foreign exchange risk exposure relates to net earnings generated by activities conducted in currencies other than the functional currency of the entity concerned. The Group\u2019s policy is to hedge the variability of its net income due to currency movements. To this end, earnings generated in a currency other than the functional currency of a given entity of the Group are hedged locally. Foreign exchange risk and hedging of net investments in foreign operations [Audited] The so-called \u201cstructural\u201d foreign exchange position of an entity relates to investments in currencies other than the functional currency. This position mainly results from the capital endowment of the branches and equity investments in foreign currencies \ufb01nanced by buying the investment currency. This structural foreign exchange position, adjusted for any intangibles, constitutes patrimonial exposure. The Group\u2019s policy is to hedge portfolio exposure to liquid currencies, while at the same time maintaining the solvency ratio\u2019s limited sensitivity to exchange rate \ufb02uctuations. For this, borrowings in the same currency as the investment are used as an alternative to \ufb01nancing by purchasing the currency in question. Borrowings are recognised as hedges of investments. INTEREST RATE RISK [Audited] Interest rate risk in the banking book, or global interest rate risk, is the risk of variability in results as a result of mismatches in interest rates, maturities and nature between assets and liabilities in the banking book. This risk arises in non-trading book portfolios. Organisation of the Group interest risk management The Board of directors assigns responsibility to the Chief Executive Of\ufb01cer for management of interest rate risk in the banking book. The Board of directors is informed quarterly on the principles governing interest rate policy and the Group\u2019s position through the Internal Control, Risk and Compliance Committee (CCIRC). The Chief Executive Officer delegates management responsibility to the Group ALM Treasury Committee (Asset and Liability Management Committee). The permanent members of the Group ALM Treasury Committee are the Group Senior Executive Advisor (Chairman), the Delegate Deputy Chief Operating Of\ufb01cers, the Group Chief Risk Of\ufb01cer, the Group Chief Financial Of\ufb01cer, the Group ALM Treasury Head. The Head of General Inspection and the Head of Compliance are also invited. This committee is responsible for tracking interest rate risk monitoring indicators, proposing the Group\u2019s interest rate risk pro\ufb01le and assigning limits. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 497 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Market risk ALM Treasury is responsible for the analysis of the management proposals and operational implementation of decisions related to managing the interest rate risk of the banking book as part of its delegated management. The RISK Function participates in the Group ALM Treasury Committee and the local ALM Treasury Committees (ALCo) and oversees implementation by ALM Treasury of the relevant decisions made by these committees. It also provides second-line control by reviewing the models and risk indicators, monitoring the level of risk indicators and ensuring compliance with the limits assigned. The banking book consists of the Group\u2019s total bank balance sheet, excluding trading book transactions. This includes intermediation transactions (deposits, loans, etc.), non-commercial balance sheet items (equity, \ufb01xed assets, etc.) and banking book risk management activities, including derivatives used for the management of interest rate risk on the banking book (notably when they are ineligible for hedge accounting under IFRS). Banking book interest rate risk in each BNP Paribas entity is systematically transferred to ALM Treasury, through internal analytic contracts or lending/borrowing transactions. For the Group as a whole, ALM Treasury is responsible for managing the interest rate risk transferred in this way. Decisions concerning the management of interest rate risk are made and monitored during monthly or quarterly committee meetings by entity or group of entities, attended by representatives of local ALM Treasury, Group ALM Treasury, Finance & Strategy and RISK Functions and senior management of the entities and/or businesses. Measurement of interest rate risk Rate positions are measured taking into account the speci\ufb01c features of the risks managed. Hence, the Group has de\ufb01ned the concepts of standard rate risks and structural rate risks. The standard rate risk corresponds to the general case, namely when it is possible to de\ufb01ne uniquely the most appropriate hedging strategy for a given transaction. The structural rate risk is the interest rate risk for equity and non-interest-bearing current accounts: these balance sheet items generate regular revenues but are sensitive to interest rate levels. However, it is not possible to de\ufb01ne a single hedging strategy to fully neutralise this sensitivity. In this case, the Group included all the possible so-called \u201cneutral\u201d management strategies in terms of interest rate risk. Interest rate risks are analysed in terms of interest rate gaps that measure, for each future period, the potential rate characteristic mismatches between assets and liabilities (\ufb01xed rate and indexation type). In the interest rate gaps, the optional effects, in particular linked to behavioural options, are embedded and translated into their delta equivalent. Value indicators are also used. The maturity split is determined on the basis of the contractual terms of the transactions and observations of customer behaviour. For Retail Banking products, behavioural models are based on historical or forward data and econometric studies. These possible management strategies notably relate to early redemption and savings accounts. Moreover, the maturities of non-interest-bearing current accounts and of equity are calculated according to a more conventional approach de\ufb01ning a range of investments taking into account the objective of stabilising results and stability of deposits. For current accounts, average maturities are less than \ufb01ve years and the proportion invested beyond 10 years is negligible. Incorporating dynamic changes in balance sheet items, the interest rate risk is measured through indicators of the sensitivity of revenues to interest rate changes on a going concern basis. This enables the partial or zero correlation between customer interest rates and market interest rates to be taken into account on the one hand, and the volume sensitivities to interest rates on the other hand, which create a risk to future revenues. The choice of indicators and risk modelling are reviewed by RISK. The results and the adjustments following these reviews are presented and monitored to the committees on a regular basis. The interest rate risk measurement indicators are consistently presented to the ALCos and serve as the basis for operating risk management decisions. Risk limits Interest rate risk indicators span the entire banking book as at 31 December 2022. The interest rate gaps are subject to interest rate risk limits across all time horizons. These limits are calibrated based on the nature of the risks (standard or structural) at Group and entity level. They are reviewed annually. The Group\u2019s revenue sensitivity indicator is subject to limits and a warning threshold relative to the overall sensitivity level, also broken down by division and the main entities. Moreover, the Group regularly monitors the impact of stress scenarios on its revenues. Economic hedges transactions that do not qualify for hedge accounting under IFRS are subject to speci\ufb01c limits. Sensitivity of revenues to global interest rate risk Net interest income sensitivities are calculated on the total banking book, over one-, two- and three-year rolling timeframes, for a parallel, instantaneous and de\ufb01nitive increase and decrease in market rates on all currencies over all the terms of \u00b1 50 basis points (+0.5%). These sensitivities are measured as deviations from the NII projection for the central rate scenario corresponding to future interest rates expected by the markets at estimation date (e.g. forward rates seen as of the end of December 2022 for sensitivities as of at the end 2022). They include the direct impacts of market rates and business trends. Indirect effects on commercial activity linked to changes in outstandings and customer rates, are also taken into account. Thus, for the sake of prudence, increases in sight non-interest-bearing current account balances, observed during the period of low or negative interest rates, are considered as situational to the low interest rates environment, and are assumed to decrease gradually when short-term rates return to suf\ufb01ciently positive levels. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 498 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Market risk \u27a4 TABLE 93: SENSITIVITY OF REVENUES TO GLOBAL INTEREST RATE RISK BASED ON A 50 BASIS POINTS INCREASE OR DECREASE IN THE INTEREST RATES (EU IRRBB1A) [Audited] In millions of euros 31 December 2021 For +50 bps shock For -50 bps shock Year 1 127 (187) Year 2 537 (511) Year 3 694 (823) Since the end of December 2021, interest rate increases have been materialised beyond the parallel shocks of +50 pbs presented in the table at the end of December 2021, leading to an increase of the projections of net interest margins for the coming years. As the favourable effects of interest rates increases are re\ufb02ected in the projected net interest margins of the coming years, the potential for additional gains linked to potential further rate increases is gradually diminishing, as illustrated by the estimated decline of the sensitivity based on end-December 2022 interest rates level presented below. \u27a4 TABLE 93: SENSITIVITY OF REVENUES TO GLOBAL INTEREST RATE RISK BASED ON A 50 BASIS POINTS INCREASE OR DECREASE IN THE INTEREST RATES (EU IRRBB1A) [Audited] In millions of euros 31 December 2022 For +50 bps shock For -50 bps shock Year 1 (22) 20 Year 2 (20) (92) Year 3 125 (264) These forecasting sensitivities do not take into account, since December 2021, the speci\ufb01c monetary policy instruments of the European Central Bank (ECB) that are temporary or that can be modi\ufb01ed at the discretion of the ECB. This allows us to present sensibilities more related to the recurring activity of the businesses Sensitivity of the value of the net assets of the banking intermediation activity As the assets and liabilities of the Group\u2019s banking intermediation business are not intended to be sold, they are not recognised or managed on the basis of their theoretical economic value measured by discounting future cash \ufb02ows. Similarly, the theoretical economic value of the net assets does not affect the Group\u2019s capital. However, pursuant to the regulatory requirements and calculation methods laid down by the European Banking Authority (EBA), the ratios of sensitivity of the theoretical economic value of the net assets of the intermediation business in relation to Tier 1 capital are regularly calculated through six interest rate scenarios de\ufb01ned by the EBA (i.e. parallel up/down, steepening/\ufb02attening, short rates up/down). Moreover, the EBA de\ufb01nes thresholds for risk-free rates by maturity (interpolated yield curve between -1% for the overnight rate and 0% for the 20-year yields). These ratios are compared to the 15% threshold used by the supervisor to identify situations where the interest rate risk in the banking book could be material. As of 31 December 2022, the Group sensitivity ratios are far below the regulatory materiality threshold of -15%. In case of parallel up, the ratio decreases compared to the previous year and stands at -6.8Structural foreign exchange risk [Audited] Currency hedges are contracted by the ALM Treasury in relation to the Group\u2019s investments in foreign currencies and its future foreign currency revenues. Each hedging relationship is formally documented at inception. The documentation describes the hedging strategy, identi\ufb01es the hedged item and the hedging instrument, and the nature of the hedged risk and describes the methodology used to test the expected (prospective) and actual (retrospective) effectiveness of the hedge. A hedging relationship is applied and documented for investments in subsidiaries and branches \ufb01nanced by foreign currency loans so as to record movements in exchange rates symmetrically and avoid impacts on the pro\ufb01t and loss account. In this context, these instruments are designated as net investment hedges. The amount of these loans stood at EUR 23 billion at 31 December 2022, compared with EUR 16 billion at 31 December 2021. The changes in value related to exchange differences recognised directly in equity with respect to these hedges was -EUR 303 million in 2022, compared with -EUR 639 million in 2021. During the 2022 \ufb01nancial year, no net investment hedging relationships were disquali\ufb01ed. The amount recorded in the pro\ufb01t and loss account for 2022 with respect to the ineffective portion of hedges of net investments is immaterial. Hedging of \ufb01nancial instruments recognised in the balance sheet (Fair Value Hedge) Fair value hedges of interest rate risks relate either to identi\ufb01ed \ufb01xed- rate assets or liabilities, or to portfolios of \ufb01xed-rate assets or liabilities. Derivatives are contracted to reduce the exposure of the fair value of these instruments to changes in interest rates. Individual assets hedging consists mainly of securities classi\ufb01ed as \u201cFinancial assets at amortised cost\u201d or \u201cFinancial assets at fair value through equity\u201d; individual liabilities hedging consists mainly of \ufb01xed- income securities issued by the Group. Hedges of portfolios of \ufb01nancial assets and liabilities, constructed by currency, relate to: \u25a0 \ufb01xed-rate loans (property loans, equipment loans, consumer credit and export loans); \u25a0 \ufb01xed-rate deposits (mainly demand deposits and funds deposited under home savings contracts). To identify the hedged amount, the residual balance of the hedged item is split into maturity bands, and a separate amount is designated for each band. The maturity split is determined on the basis of the contractual terms of the transactions and historical observations of customer behaviour (early redemption assumptions and estimated default rates). Demand deposits, which do not bear interest at contractual rates, are quali\ufb01ed as \ufb01xed-rate medium-term \ufb01nancial liabilities. Consequently, the value of these liabilities is sensitive to changes in interest rates. Estimates of future cash out\ufb02ows are based on historical analyses. For each hedging relationship, expected hedge effectiveness is measured by ensuring that for each maturity band, the fair value of the hedged items is greater than the fair value of the designated hedging instruments. Actual effectiveness is assessed on an ex-post basis by ensuring that the monthly change in the fair value of hedged items since the start of the month does not indicate any over-hedging. Cash Flow Hedge In terms of interest rate risk, the Group uses derivative instruments to hedge \ufb02uctuations in income and expenses arising on \ufb02oating-rate assets and liabilities. Highly probable forecast transactions are also hedged. Hedged items are split into maturity bands by currency and benchmark interest rate. After factoring in early redemption assumptions and estimated default rates, the Group uses derivatives to hedge some or all of the risk exposure generated by these \ufb02oating-rate instruments. In terms of foreign exchange risk, the Group hedges against variability in components of consolidated net income. In particular, the Group may hedge future revenue \ufb02ows (especially interest income and fees) derived from operations carried out by its main subsidiaries and/or branches in a currency other than their functional currencies. As in the case of interest rate hedges, the effectiveness of these hedging relationships is documented and assessed on the basis of forecast maturity bands. The table below concerns the scope of BNP Paribas SA\u2019s medium- and long-term transactions and shows the amount of hedged future cash \ufb02ows (split by forecast date of realisation), which constitute the majority of the Group\u2019s hedging transactions. \u27a4 TABLE 95: HEDGED CASH FLOWS [Audited] Period to realisation In millions of euros 31 December 2022 31 December 2021 Less than 1 year 1 to 5 years More than 5 years Total Less than 1 year 1 to 5 years More than 5 years Total Hedged cash \ufb02ows 1,769 4,090 739 6,598 318 811 264 1,393 In 2022, no cash \ufb02ow hedges were declassi\ufb01ed on the grounds that achieving these future earnings would no longer be highly probable. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 501 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Liquidity riskLIQUIDITY RISK MANAGEMENT POLICY [Audited] OBJECTIVES The objectives of the Group\u2019s liquidity management policy are to secure a balanced \ufb01nancing structure for the development of BNP Paribas business activities, and to ensure it is suf\ufb01ciently robust to cope with crisis situations. The liquidity risk management framework relies on: \u25a0 management indicators: \u25a0 by volume, to ensure that businesses or activities comply with their liquidity targets set in line with the Group\u2019s funding capacity, \u25a0 by price, via internal liquidity pricing; \u25a0 the de\ufb01nition of monitoring indicators which enable assessment of the Group\u2019s liquidity position under normal conditions and in crisis situations, the ef\ufb01ciency of actions undertaken and compliance with regulatory ratios; \u25a0 the implementation of liquidity risk management strategies based on diversi\ufb01cation of funding sources with maturities in line with needs, and the constitution of liquidity reserves. The Group\u2019s liquidity policy de\ufb01nes the management principles that apply across all Group entities and businesses and across all time horizons. GOVERNANCE As for all risks, the Group Chief Executive Of\ufb01cer is granted authority by the Board of directors to manage the Group\u2019s liquidity risk. The Chief Executive Of\ufb01cer delegates this responsibility to the Group ALM Treasury Committee. The Internal Control, Risk and Compliance Committee (CCIRC) reports quarterly to the Board of directors on liquidity policy principles and the Group\u2019s liquidity position. The Group ALM Treasury Committee is responsible for: \u25a0 proposing the Group\u2019s liquidity risk pro\ufb01le at the CCIRC and the Board of directors, for review and decision; \u25a0 monitoring compliance with regulatory liquidity ratios; \u25a0 de\ufb01ning and monitoring management indicators and calibrating the quantitative thresholds set for the Bank\u2019s businesses; \u25a0 defining and monitoring liquidity risk indicators and associating quantitative thresholds to them if necessary; \u25a0 de\ufb01ning and overseeing implementation of liquidity risk management strategies, including monitoring of business lines, under normal and stressed conditions. In particular, the Group ALM Treasury Committee is informed about funding programmes and programmes to build up liquidity reserves, simulations in crisis conditions (stress tests), and about all events that may arise in crisis situations. The Group ALM Treasury Committee is tasked with defining the management approach in periods of crisis (emergency plan). This framework is based on: \u25a0 supervision of the emergence of a crisis by monitoring the market position and complying with thresholds set for a series of indicators; \u25a0 governance of the activation of crisis management mode and the associated responsibilities; \u25a0 identi\ufb01cation of possible actions for managing a crisis. The Group ALM Treasury Committee meets every month under normal conditions and more often in stressed conditions or to deal with speci\ufb01c issues. The permanent members of the Group ALM Treasury Committee are the Group Senior Executive Advisor (Chairman), the Delegate Deputy Chief Operating Of\ufb01cers, the Chief Risk Of\ufb01cer, the Group Chief Financial Of\ufb01cer and the Group ALM Treasury Head. Other members represent the RISK Function, Finance & Strategy Function and ALM Treasury. The Head of General Inspection and the Head of Compliance are also invited. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 502 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Liquidity risk Across the Group, ALM Treasury is responsible for the operational implementation of the Group ALM Treasury Committee\u2019s liquidity management decisions. The ALM Treasury Committees in entities or groups of entities are responsible for local implementation of the strategy decided by the Group ALM Treasury Committee to manage the Bank\u2019s liquidity risk. ALM Treasury is responsible for managing liquidity for the entire Group across all maturities. In particular, it is responsible for funding and short-term issuance (certi\ufb01cates of deposit, commercial paper, etc.), for senior and subordinated debt issuance (MTNs, bonds, medium/long- term deposits, covered bonds, etc.), preferred share issuance, and loan securitisation programmes for the Group. ALM Treasury is tasked with providing internal funding to the Group\u2019s divisions, operational entities and business lines, and investing their surplus cash. It is also responsible for building up and managing liquidity reserves, which comprise assets that can be easily sold in the event of a liquidity squeeze. RISK participates in the Group and local ALM Treasury Committees and oversees implementation by ALM Treasury of the relevant decisions made by these committees. It provides second-line control by reviewing the models and risk indicators (including liquidity stress tests), monitoring risk indicators and ensuring compliance with the limits assigned. The Finance & Strategy function is responsible for producing the regulatory liquidity indicators, as well as the internal monitoring indicators. Finance oversees the consistency of the internal monitoring indicators with the objectives de\ufb01ned by the Group ALM Treasury Committee. The Finance & Strategy function takes also part in the Group and local ALM Committees. LIQUIDITY RISK MANAGEMENT AND SUPERVISION Internal liquidity risk management and internal monitoring are based on a large range of indicators at various maturities. These indicators are measured on a regular basis by currency and maturity, both at Group level and entity level. BUSINESS LINES\u2019 INTERNAL MONITORING INDICATORS [Audited] The monitoring indicators relate to the funding needs of the Group\u2019s businesses under both normal and stressed conditions. These monitoring indicators are part of the Group\u2019s budget planning exercise with set objectives that are routinely monitored (monthly). Funding needs of the Group\u2019s businesses The funding needs associated with the activity of the Group\u2019s businesses are managed in particular by measuring the difference between commercial funding needs (customer loans and overdrafts, trading assets, etc.) and commercial funding resources (customer deposits, sale of the Group\u2019s debt securities to customers, trading liabilities, etc.). This indicator makes it possible to measure the business lines\u2019 liquidity consumption under a normal business scenario. It is supplemented by indicators to measure the funding needs of the business lines in one month and one year depending on the assumptions de\ufb01ned by European regulations in force (Liquidity Coverage Ratio) or anticipated (Net Stable Funding Ratio). In addition to this commercial funding need indicators, the Group closely monitors the liquidity reserves and the re\ufb01nancing provided by ALM Treasury, as well as the Group\u2019s structural resources (i.e. net own funds). The overall management of the business funding needs, the Group\u2019s structural resources, funding and liquidity reserves made by the ALM Treasury allows the Group to achieve a structurally robust liquidity situation able to resist severe market stresses. Business lines\u2019 consumption of liquidity is thus integrated in the Group\u2019s budget process, wherein each business line estimates its future liquidity needs, in keeping with its pro\ufb01tability targets and capital consumption objectives. During the iterative budget process, liquidity consumption objectives are allotted to the business lines, taking into account the funding provided by ALM Treasury and structural resources, in line with the Group\u2019s overall target. This process is regularly renewed, monitored and adjusted as appropriate throughout the year by the Group ALM Treasury Committee. Internal liquidity pricing All of the Group\u2019s assets and liabilities are subject to internal liquidity pricing, the principles of which are decided by the Group ALM Treasury Committee and aim to take account of trends in the cost of market liquidity and the balance between assets and liabilities within the Group\u2019s development strategy. Change of the liquidity position In 2022, business lines\u2019 consumption of liquidity decreased as a result of the growth in deposits, which exceeded credit growth, particularly for Global Banking. At end-2022, the businesses had a net liquidity surplus. Group\u2019s net equity is added to this surplus leading to an overall liquidity surplus. In this context, the funding provided by ALM Treasury is used to \ufb01nance the liquidity reserve, while also correcting the term structural differences between assets and liabilities and covering TLAC (Total Loss-Absorbing Capacity) requirements, as well as future Minimum Requirement for own funds and Eligible Liabilities (MREL). The Group maintains a large surplus in liquidity, 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 503 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Liquidity risk WHOLESALE FUNDING AND LIQUIDITY RESERVE MONITORING INDICATORS [Audited] Sources of wholesale funding The Group adopted a broad de\ufb01nition of wholesale funding, covering all funds excluding those provided by: \u25a0 retail customers, professionals and corporates; \u25a0 institutional clients for their operating needs (e.g. portion needed for custody management); \u25a0 monetary policy and funding secured by market assets. This de\ufb01nition is broader than market funding. For example, it includes medium- to long-term debt placed in funds for individuals and, in the short-term portion, non-operating deposits in the Securities Services business. The Group has a conservative policy for the management of its wholesale funding by ensuring that it does not depend on very short-term funding and diversifying its funding sources. Thus, wholesale funding with an original maturity of less than one month, so-called very short-term wholesale funding, is systematically \u201csterilised\u201d by being placed in immediately-available deposits in central banks so that they are not used to fund the Bank\u2019s business. The Group ensures that short-term wholesale funding (with original maturity of between one month and one year) is diversi\ufb01ed in terms of counterparty, industry and residual maturity. Any excess concentration on one of these criteria is systematically \u201csterilised\u201d and placed in central bank deposits. Medium- to long-term wholesale market funding (with original maturity over one year) is diversi\ufb01ed in terms of investor type, distribution network, funding programme (secured or unsecured), and by geographical area to ensure diversi\ufb01cation. Furthermore, the Group aims to optimise the term structure of its funding operations. At end-2022, sterilised very short-term wholesale funding totalled EUR 88.9 billion (leading to the sterilisation of an equivalent amount in the Group\u2019s liquidity reserve), diversi\ufb01ed short-term wholesale funding totalled EUR 134.6 billion and diversi\ufb01ed medium-to long-term wholesale funding totalled EUR 180.5 billion. \u27a4 TABLE 96: BREAKDOWN OF THE WHOLESALE FUNDING BY CURRENCY [Audited] The breakdown of funding by currency corresponds to the Group\u2019s needs and to a diversi\ufb01cation objective. In millions of euros 31 December 2022 EUR USD Other Total Sterilised very short-term wholesale funding 49,067 23,948 15,893 88,908 Short-term wholesale funding 48,376 53,690 32,567 134,632 Medium- to long-term wholesale funding 88,954 64,591 26,976 180,521 TOTAL WHOLESALE 186,397 142,228 75,436 404,062 In millions of euros 31 December 2021 EUR USD Other Total Sterilised very short-term wholesale funding 53,271 28,346 14,988 96,606 Short-term wholesale funding 44,047 39,702 24,299 108,048 Medium- to long-term wholesale funding 99,086 60,257 30,133 189,476 TOTAL WHOLESALE 196,405 128,305 69,420 394,130 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 504 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Liquidity risk\u27a4 TABLE 98: TRENDS IN GROUP MEDIUM AND LONG TERM WHOLESALE FUNDING [Audited] In millions of euros 31 December 2021 New origination Redemptions Buy-backs Exercise of calls Perimeter effect and other 31 December 2022 Total MLT funding 322,668 53,767 (30,704) (54,495) (7,739) (22,719) 260,779 MLT debt placed with clients (13,105) (1,905) 740 407 350 342 (13,172) Monetary policy (120,087) 3,000 50,000 (67,087) WHOLESALE MLT FUNDING 189,476 51,862 (26,964) (4,088) (7,389) (22,376) 180,521 Total medium- to long-term wholesale funding outstandings stood at EUR 180.5 billion at 31 December 2022 against EUR 189.5 billion at 31 December 2021. After adjusting for exchange rate movements due to effects of debt micro-hedge accounting, the long-term wholesale funding outstandings rose by EUR 11 billion compared to 2021. Wholesale funding raised by the Group in the markets with an initial maturity of over 1 year reached EUR 51.9 billion in 2022, compared to EUR 55.9 billion in 2021. Wholesale funding trends based on regulatory changes In addition to the Group\u2019s liquidity management targets, use of wholesale funding also satis\ufb01es regulatory requirements relating to recovery and resolution, with the application of the TLAC ratio minimum requirement (see paragraph Recovery and resolution in Capital adequacy and capital planning in section 5.2). In order to comply with the regulatory TLAC ratio requirements of 22.17% at 31 December 2022, BNP Paribas issued EUR 81.1 billion (outstanding principal amount) or EUR 72.2 billion (carrying amount, including in particular accrued unpaid interest and revaluation of the hedged portion) of non-preferred senior debt between 2017 and 2022 (including EUR 75.2 billion in TLAC-eligible debt at 31 December 2022), with different maturity dates and in various currencies, in the form of public issuances and private placements. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 505 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Liquidity risk To meet the TLAC and MREL ratio requirements, the Group plans to issue EUR 15 billion of senior debt (senior preferred and senior non-preferred) in 2023, subject to market conditions. The Group had completed 36% of its issue programme for this category of debt as at 26 January 2023. As a reminder, the main characteristics of these debt instruments are: \u25a0 issuance under EMTN and US MTN programmes; \u25a0 non-preferred senior notes (pursuant to article L.613-30-3-I-4 of the French Monetary and Financial Code); \u25a0 non-structured debt (1) ; \u25a0 initial maturity of more than one year; \u25a0 subject to conversion or impairment before senior preferred debt but after subordinated debt; \u25a0 documentation mandatorily stating that this debt belongs to the new statutory category. MLT secured wholesale funding MLT secured wholesale funding is measured by separating out assets representing securities and loans. Funding obtained from central banks is not included in the table below. \u27a4 TABLE 103: CONTRACTUAL MATURITIES OF THE PRUDENTIAL BALANCE SHEET (EU CR1-A) [Audited] In millions of euros 31 December 2022 Not determined Overnight or demand Up to 1 month (excl. Overnight) 1 to 3 months 3 months to 1 year 1 to 5 years More than 5 years TOTAL ASSETS Cash and amounts due from central banks 318,569 318,569 Financial instruments at fair value through pro\ufb01t and loss Securities 166,946 166,946 Loans and repurchase agreements 64,994 57,714 29,441 24,085 9,961 5,828 192,024 Derivative \ufb01nancial instruments 328,358 328,358 Derivatives used for hedging purposes 25,681 25,681 Financial assets at fair value through equity Debt securities 59 3,890 797 3,787 12,120 17,916 38,570 Equity securities 2,188 2,188 Financial assets at amortised cost Loans and advances to credit institutions 9,987 13,023 5,055 2,463 649 1,297 32,474 Loans and advances to customers 13,851 56,802 78,893 134,620 345,125 258,376 887,667 Debt securities 154 92 3,503 4,100 14,908 47,213 43,741 113,711 Remeasurement adjustment on interest rate risk hedged portfolios (7,477) (7,477) Financial assets 515,910 407,494 134,931 118,287 179,864 415,067 327,158 2,098,711 Other assets 187,930 21,181 6,832 9,241 1,835 1,977 8,727 237,722 Assets held for sale 86,839 86,839 TOTAL ASSETS 703,839 428,674 141,764 214,366 181,699 417,045 335,885 2,423,272 of which Loans and advances - 88,832 127,538 113,389 161,168 355,735 265,501 1,112,165 of which Debt securities 135,238 92 7,393 4,898 18,696 59,333 61,656 287,306 LIABILITIES Deposit from central banks 3,054 3,054 Financial instruments at fair value through pro\ufb01t and loss - Securities 99,155 99,155 Deposits and repurchase agreements 48,048 125,131 39,086 14,922 5,923 965 234,076 Issued debt securities 7 3,672 4,662 12,442 27,376 17,250 65,409 Derivative \ufb01nancial instruments 300,936 300,936 Derivatives used for hedging purposes 40,002 40,002 Financial liabilities at amortised cost - Deposits from credit institutions 14,768 5,518 25,331 49,365 20,950 780 116,714 Deposits from customers 780,457 124,371 63,839 37,088 5,924 2,888 1,014,567 Debt securities 5 9,731 31,847 34,884 42,770 32,952 152,190 Subordinated debt 8 270 8,599 13,511 22,388 Remeasurement adjustment on interest rate risk hedged portfolios (20,201) (20,201) Financial liabilities 419,893 846,339 268,431 164,765 148,972 111,543 68,347 2,028,290 Other liabilities 257,789 13,059 14,228 10,092 2,318 1,818 18,675 317,980 Liabilities associated with assets held for sale 77,002 77,002 TOTAL LIABILITIES AND EQUITY 677,682 859,398 282,659 251,860 151,290 113,361 87,022 2,423,272 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 513 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Liquidity risk In millions of euros 31 December 2021 Not determined Overnight or demand Up to 1 month (excl. Overnight) 1 to 3 months 3 months to 1 year 1 to 5 years More than 5 years TOTAL ASSETS Cash and amounts due from central banks 348,519 348,519 Financial instruments at fair value through pro\ufb01t and loss Securities 192,520 192,520 Loans and repurchase agreements 68,459 114,332 31,876 25,972 8,044 3,820 252,503 Derivative \ufb01nancial instruments 240,940 240,940 Derivatives used for hedging purposes 8,619 8,619 Financial assets at fair value through equity Debt securities 157 382 1,074 3,413 16,398 20,173 41,597 Equity securities 2,558 2,558 Financial assets at amortised cost Loans and advances to credit institutions 8,150 5,270 3,260 3,351 992 912 21,934 Loans and advances to customers 15,431 58,233 77,210 132,998 328,815 233,961 846,649 Debt securities 131 392 3,530 5,404 12,146 43,535 44,241 109,379 Remeasurement adjustment on interest rate risk hedged portfolios 3,049 3,049 Financial assets 447,974 440,951 181,748 118,824 177,879 397,784 303,108 2,068,267 Other assets 164,476 19,357 7,568 6,258 6,065 1,490 4,897 210,111 Assets held for sale 91,267 91,267 TOTAL ASSETS 612,450 460,308 189,315 125,082 275,211 399,274 308,005 2,369,645 of which Loans and advances - 92,040 177,835 112,346 162,320 337,851 238,693 1,121,086 of which Debt securities 135,313 392 3,913 6,478 15,559 59,933 64,414 286,001 LIABILITIES Deposit from central banks 1,244 1,244 Financial instruments at fair value through pro\ufb01t and loss - Securities 112,338 112,338 Deposits and repurchase agreements 113,644 119,041 34,792 23,301 1,383 1,296 293,456 Issued debt securities 20 2,563 4,012 12,231 26,319 18,798 63,944 Derivative \ufb01nancial instruments 237,779 237,779 Derivatives used for hedging purposes 10,211 10,211 Financial liabilities at amortised cost - Deposits from credit institutions 11,688 3,746 18,624 6,665 118,140 506 159,368 Deposits from customers 822,784 71,073 48,335 13,995 8,170 2,606 966,963 Debt securities 3 7,837 26,214 29,816 48,126 39,393 151,388 Subordinated debt 363 317 6,394 15,875 22,949 Remeasurement adjustment on interest rate risk hedged portfolios 1,367 1,367 Financial liabilities 361,695 949,383 204,623 131,977 86,324 208,531 78,474 2,021,007 Other non-\ufb01nancial liabilities 230,280 6,862 15,750 6,606 2,840 1,203 10,731 274,272 Liabilities associated with assets held for sale 74,366 74,366 TOTAL LIABILITIES AND EQUITY 591,975 956,245 220,373 138,583 163,530 209,734 89,205 2,369,645 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 514 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Liquidity risk At 31 December 2022, BancWest\u2019s contribution to the Group\u2019s balance sheet, under the line \u201cAssets held for sale / Liabilities associated with assets held for sale\u201d (see note 7.d Discontinued activities to the consolidated \ufb01nancial statements), amounts to: \u25a0 assets of EUR 3 billion from cash and amounts due from central banks, EUR 17 billion in debt securities at amortised cost, with a maturity mostly over \ufb01ve years, and EUR 56 billion in loans and advances to customers, including EUR 46 billion over one year; \u25a0 liabilities of EUR 71 billion in deposits from customers. At 31 December 2021, BancWest\u2019s contribution to the Group\u2019s balance sheet is as follows: \u25a0 assets of EUR 15 billion from cash and amounts due from central banks, EUR 16 billion in debt securities at amortised cost, with a maturity mostly over \ufb01ve years, and EUR 50 billion in loans and advances to customers, including EUR 41 billion over one year; \u25a0 liabilities of EUR 73 billion in deposits from customers. For the management of liquidity risk, the above schedule is supplemented with economic analyses taking into consideration customer behaviour and the market liquidity of certain assets (such as securities), under normal conditions and stress situations. To this effect, the Group uses a set of tools to anticipate and manage its \ufb01nancial liquidity, in particular as previously indicated: \u25a0 medium- to long-term liquidity status; \u25a0 stress tests and liquidity reserve; \u25a0 monitoring compliance with regulatory liquidity ratios. The following table shows details of Table 103 Contractual maturities of the prudential balance sheet across the scope of the Group\u2019s capital instruments and medium- and long-term debt securities, without taking into account early redemption options.\u27a4 TABLE 108: BREAKDOWN OF BNP PARIBAS CARDIF GROUP INVESTMENTS (EXCLUDING INVESTMENTS IN UNIT-LINKED CONTRACTS) [Audited] In millions of euros 31 December 2022 31 December 2021 Net book value Market value Net book value Market value Equities and variable-income securities (including UCI) 39,522 39,522 45,671 45,671 Real estate 5,540 7,161 5,388 7,164 of which buildings 2,944 4,565 2,965 4,741 of which shares in real estate companies 2,596 2,596 2,423 2,423 Government bonds and similar 47,557 47,604 56,441 56,610 Other bonds 56,665 56,668 69,319 69,329 Derivative instruments and other 3,676 3,676 2,896 2,896 TOTAL 152,961 154,631 179,715 181,670 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 528 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Insurance risks \u27a4 TABLE 109: BOND EXPOSURE BY ISSUER AND RATING (EXCLUDING INVESTMENTS IN UNIT-LINKED CONTRACTS AND EUROCROISSANCE CONTRACTS) [Audited] Exposure by rating 31 December 2022 31 December 2021 Govies Corporate Total Govies Corporate Total AAA 6.9% 3.8% 10.7% 4.0% 2.1% 6.1% AA 22.0% 6.1% 28.0% 23.7% 6.2% 29.9% A 5.4% 19.6% 25.0% 6.6% 21.4% 28.0% BBB 10.9% 16.4% 27.3% 10.4% 16.9% 27.3% < BBB (*) 0.3% 8.6% 8.9% 0.2% 8.4% 8.6% TOTAL 45.5% 54.5% 100.0% 44.9% 55.1% 100% (*) Including unrated bonds. \u27a4 TABLE 110: EXPOSURE TO GOVERNMENT BOND AND SIMILAR BY COUNTRY (EXCLUDING INVESTMENTS IN UNIT-LINKED CONTRACTS AND EUROCROISSANCE CONTRACTS) [Audited] Exposure by country In millions of euros Rating 31 December 2022 31 December 2021 Net book value Net book value France AA 17,211 23,599 Italy BBB 10,991 12,636 Spain A- 3,529 4,922 Belgium AA- 2,668 3,377 Germany AAA 1,213 1,378 Austria AA+ 850 1,056 Netherlands AAA 622 1,067 Ireland A+ 1 699 Portugal BBB 55 63 Other 10,042 7,528 TOTAL 47,183 56,325 The table below presents the gross book value of the BNP Paribas Cardif group\u2019s \ufb01nancial assets meeting the SPPI (Solely Payments of Principal and Interest) criterion, with the exception of the \ufb01nancial assets held for transaction purposes in accordance with IFRS 9 or whose management and performance assessment are based on fair value. \u27a4 TABLE 111: FINANCIAL ASSETS MEETING THE SPPI CRITERION IN ACCORDANCE WITH IFRS 9 [Audited] Rating In millions of euros 31 December 2022 31 December 2021 AAA 10,984 7,219 AA 28,553 36,931 A 22,093 29,693 BBB 26,666 30,770 < BBB (*) 2,852 2,861 TOTAL 91,127 107,475 (*) Including unrated bonds. For the non-Investment Grade or unrated \ufb01nancial assets that meet the cash \ufb02ow criterion, the table below shows the fair value and gross book value in accordance with IAS 39 (in the case of the \ufb01nancial assets valued at amortised cost, not taking into account any value adjustments for impairment). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 529 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Insurance risks \u27a4 TABLE 112: NON INVESTMENT GRADE FINANCIAL ASSETS MEETING THE SPPI CRITERION IN ACCORDANCE WITH IFRS 9 [Audited] Rating In millions of euros 31 December 2022 31 December 2021 Gross book value Market value Gross book value Market value BB+ 1,322 1,322 1,222 1,222 BB 108 108 74 74 BB- 173 173 158 158 B 9 9 18 18 Unrated 1,240 1,240 1,390 1,390 TOTAL 2,852 2,852 2,861 2,861\u27a4 TABLE 113: AVERAGE REDEMPTION RATES FOR BNP PARIBAS CARDIF GROUP GENERAL FUNDS (*) [Audited] Annual redemption rate 2022 2021 France 6.5% 5.4% Italy 9.4% 8.3% Luxembourg 22.5% 8.5% (*) Individual savings.",
   "dimensions": {
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    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
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  "corporatings-nesting-fix-POfkYD-0": {
   "value": "The Board of directors of BNP Paribas approved the Group consolidated \ufb01nancial statements on 6 February 2023. The consolidated \ufb01nancial statements of the BNP Paribas Group are presented for the years ended 31 December 2022 and 31 December 2021. In accordance with Annex I of European Delegated Regulation (EU) 2019/980, the consolidated \ufb01nancial statements for the year ended 31 December 2020 are provided in the Universal registration document \ufb01led with the Autorit\u00e9 des March\u00e9s Financiers on 15 March 2022 under number D.22-0098. On 18 December 2021, the Group concluded an agreement with BMO Financial Group for the sale of 100% of its retail and commercial banking activities in the United States operated by the BancWest cash-generating unit. The terms of this transaction fall within the scope of application of IFRS 5 relating to groups of assets and liabilities held for sale (see note 7.d Discontinued activities) leading to isolate the \u201cNet income from discontinued activities\u201d on a separate line. A similar reclassi\ufb01cation is made in the statement of net income and changes in assets and liabilities recognised directly in equity and in the cash \ufb02ow statement. The effect of this reclassi\ufb01cation on the aggregates of the pro\ufb01t and loss statement is presented in note 3 Segment Information. Following the receipt of regulatory approvals, the transaction was \ufb01nalised on 1 February 2023. 1.a.1 Applicable accounting standards The consolidated \ufb01nancial statements of the BNP Paribas Group have been prepared in accordance with international accounting standards (International Financial Reporting Standards \u2013 IFRS), as adopted for use in the European Union (1) . Accordingly, certain provisions of IAS 39 on hedge accounting have been excluded. Information on the nature and extent of risks relating to \ufb01nancial instruments as required by IFRS 7 \u201cFinancial Instruments: Disclosures\u201d and to insurance contracts as required by IFRS 4 \u201cInsurance Contracts\u201d, along with information on regulatory capital required by IAS 1 \u201cPresentation of Financial Statements\u201d are presented in chapter 5 of the Universal registration document. This information, which is an integral part of the notes to the consolidated \ufb01nancial statements of the BNP Paribas Group at 31 December 2022, is covered by the opinion of the Statutory Auditors on the \ufb01nancial statements and is identi\ufb01ed in the management report by the word \u201cAudited\u201d. Section 4 of chapter 5, paragraph Exposures, provisions and cost of risk provides, in particular, IFRS 7 information on credit risk exposures and related impairment broken down according to whether the underlying loans are performing or non-performing, by geographic area and by industry, as well as details of loans and advances subject to moratoria or to public guarantee schemes in response to the health crisis. \u25a0 In relation to the IBOR and Eonia rates reform, at the end of 2018 the Group launched a global programme, involving all business lines and functions. The aim of the programme is to manage and implement the transition from the old benchmark interest rates to the new ones in major jurisdictions and currencies (euro, pound sterling, US dollar, Swiss franc and Japanese yen), while reducing the risks associated with this transition and meeting the deadlines set by the competent authorities. The Group contributed to market-wide workshops with central banks and \ufb01nancial regulators. The announcements by public authorities in the United Kingdom and the United States and by the Libor rates administrator (ICE BA) at the end of November 2020 changed the transition phase, which was initially scheduled to be completed by the end of 2021. For the GBP and JPY Libor, synthetic Libor have been published beyond the end of 2021 for use in certain contracts known as \u201ctough legacy\u201d contracts, i.e. contracts that have not switched from Libor to a replacement index. Publication of GBP and JPY synthetic Libor was discontinued at the end of 2022. In the United States, the decision was taken to continue publishing the USD Libor until mid-2023, and a legislative solution was passed at the Federal level in the \ufb01rst quarter of 2022 to address legacy contracts. In addition, the United Kingdom\u2019s Financial Conduct Authority (FCA) launched a consultation during summer 2022 regarding a potential publication of synthetic USD Libor, which would be applicable for contracts governed by UK law. For contracts referencing the CHF Libor which could not be renegotiated before it was phased out at the end of 2021, the European Commission has provided a legislative solution replacing this rate with a daily capitalised Swiss Average Rate Overnight (SARON), plus a spread aimed at ensuring the economic neutrality of this change. In Europe, the Eonia-\u20acSTR transition, which is purely technical given the \ufb01xed link between these two indices, was \ufb01nalised at the end of December 2021 while the maintenance of Euribor on a sine die basis was con\ufb01rmed. Based on the progress made to date, notably with the de\ufb01nition of a detailed plan and its execution, the Bank is con\ufb01dent in its operational capacity to manage the transition process of large volumes of transactions to the new benchmark rates. The reform of IBOR rates exposes the Bank to various risks that the programme aims to manage closely, including in particular: \u25a0 change management risks, but also litigation and conduct risks linked to negotiations with customers and market counterparties to amend existing contracts; \u25a0 operational risks related to changes in the Bank\u2019s IT systems and processes; \u25a0 economic risks in the event of \ufb01nancial market disturbances linked to the various transitions brought about by the IBOR reform; \u25a0 valuation risks in a scenario of reduced liquidity during the transition in certain derivative market segments. In September 2019, the IASB published \u201cPhase 1\u201d amendments to IAS 39 and IFRS 7, amending the hedge accounting requirements so that hedges affected by the benchmark interest rate reform could continue despite the uncertainty during the transition of the hedged items or hedging instruments (1) The full set of standards adopted for use in the European Union can be found on the website of the European Commission at: https://ec.europa.eu/info/business-economy-euro/ company-reporting-and-auditing/company-reporting_en 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 183 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements to the reformed benchmark rates. These amendments, endorsed by the European Commission on 15 January 2020, have been applied by the Group since 31 December 2019. In August 2020, the IASB published \u201cPhase 2\u201d amendments to IFRS 9, IAS 39, IFRS 7, IFRS 4 and IFRS 16 introducing several changes applicable during the effective transition to the new benchmark interest rates. These amendments allow for changes in the contractual cash \ufb02ows of \ufb01nancial instruments resulting from the IBOR rates reform to be treated as a simple reset of their variable interest rate, provided, however, that such changes are made on an economically equivalent basis. They also allow the continuation of hedging relationships, subject to amendments to their documentation to re\ufb02ect changes in hedged instruments, hedging instruments, hedged risk, and/or the method for measuring effectiveness during the transition to the new benchmark rates. The measures introduced in this framework also include: \u25a0 the possibility of documenting an interest rate as a hedged risk component even if this rate is not immediately separately identi\ufb01able, provided that it can reasonably be expected to become so within 24 months; \u25a0 the possibility of resetting cumulative fair value changes to zero in the hedge ineffectiveness test; and \u25a0 the obligation, in the framework of portfolio hedges, to isolate in subgroups instruments referring to the new risk-free rates (RFR). These amendments, adopted by the European Commission in December 2020, have been applied by the Group since 31 December 2020 to maintain its existing hedging relationships which have been modi\ufb01ed as a result of the transition to the new RFRs. The Group has documented hedging relationships in respect of the benchmark interest rates in the scope of the reform, mainly Eonia and Libor. For these hedging relationships, the hedged items and hedging instruments are progressively amended, where necessary, to incorporate the new rates. The \u201cPhase 1\u201d amendments to IAS 39 and IFRS 7 are applicable when the contractual terms of the hedged instruments or of the hedging instruments have not yet been amended (i.e. with the inclusion of a \u201cfallback\u201d clause), or, if they have been amended, when the terms and the date of the transition to the new benchmark interest rates have not been clearly stipulated. Conversely, the \u201cPhase 2\u201d amendments are applicable when the contractual terms of the hedged instruments or of the hedging instruments have been amended, and the terms and date of transition to the new benchmark interest rates have been clearly stipulated. The notional amounts of hedging instruments documented in the hedging relationships impacted by the benchmark interest rate reform are presented in note 4.b Derivative instruments used for hedging purposes. At 31 December 2022, 56,808 contracts remain backed by USD Libor, including 50,478 derivative contracts. At 31 December 2021, 112,405 contracts remain backed by USD Libor, including 72,867 contracts with a maturity date beyond 30 June 2023, including 54,628 derivative contracts. \u25a0 On 16 March 2022, the International Practices Task Force (IPTF) of the Center for Audit Quality (CAQ) included T\u00fcrkiye in its list of hyperin\ufb02ationary economies, the cumulative in\ufb02ation rate over three years having reached 100.6% at the end of February 2022. Consequently, the Group applies IAS 29 \u201cFinancial Reporting in Hyperin\ufb02ationary Economies\u201d for the presentation of the \ufb01nancial statements of its consolidated subsidiaries in T\u00fcrkiye. Accordingly, for these subsidiaries, all non-monetary assets and liabilities, including shareholders\u2019 equity, and all line items in the income statement, are revalued according to the change in of the Consumer Price Index (CPI). This revaluation between 1 January and the closing date resulted in the recognition of a gain or loss on the net monetary position, recorded under \u201cNet gains on non-current assets\u201d (see note 2.i). The \ufb01nancial statements of these subsidiaries were converted into euros at the closing rate, in accordance with the speci\ufb01c provisions of IAS 21 \u201cThe Effects of Changes in Foreign Exchange Rates\u201d applicable to the translation of the \ufb01nancial statements of entities located in hyperin\ufb02ationary economies. In accordance with the provisions of the IFRIC decision of March 2020 on the classi\ufb01cation of the effects of the indexation and conversion of the \ufb01nancial statements of subsidiaries in hyperin\ufb02ationary economies, the Group has opted to present these effects (including the effect on the net monetary position of the date of \ufb01rst application of IAS 29) as changes in assets and liabilities recognised directly in equity relative to exchange differences. At 1 January 2022, the \ufb01rst-time application of IAS 29 resulted in a EUR 174 million increase in equity, of which EUR 227 million was recorded in \u201cChanges in assets and liabilities recognised directly in equity \u2013 exchange differences\u201d. The introduction of other standards, amendments and interpretations that are mandatory as from 1 January 2022 had no effect on the Group\u2019s \ufb01nancial statements at 31 December 2022. The Group did not early adopt any of the new standards, amendments, and interpretations adopted by the European Union, when the application in 2022 was optional.1.a.2 New major accounting standards, published but not yet applicable IFRS 17 \u201cInsurance Contracts\u201d, issued in May 2017 and amended in June 2020 will replace IFRS 4 \u201cInsurance Contracts\u201d. It was adopted by the European Union in November 2021, accompanied by an optional exemption from the application of the annual cohort grouping requirement for participating contracts based on intergenerational mutualisation of returns on the underlying assets of the technical commitments. It will be mandatory for \ufb01nancial periods beginning on or after 1 January 2023. The transition date for IFRS 17 will therefore be 1 January 2022 for the purposes of the opening balance sheet of the comparative period required by the standard. As the Group has deferred the application of IFRS 9 for its insurance entities until the entry into force of IFRS 17, it will apply this standard from 1 January 2023. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 184 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The amendment to IFRS 17 relating to the presentation of the IFRS 9 and IFRS 17 comparative information, published by the IASB in December 2021, was adopted by the European Union on 8 September 2022 (1) and will also be applied by the Group. Scope IFRS 17 applies to insurance contracts issued, reinsurance contracts issued and held and investment contracts with discretionary participation features issued (if the entity also issues insurance contracts). The de\ufb01nition of an insurance contract is unchanged from IFRS 4, with the exception of the assessment of the risk of loss for the insurer which must be performed on a present value basis. Accounting and measurement Insurance contracts are accounted and measured by groups of contracts within portfolios of contracts covering similar risks and managed together. Groups of contracts are determined according to their expected pro\ufb01tability at inception: onerous contracts, pro\ufb01table contracts with a low risk of becoming onerous, and others. A group of contracts may contain only contracts issued no more than one year apart (corresponding to an annual \u201ccohort\u201d), except where the optional exemption provided for in the European regulation applies. General measurement model (Building Block Approach \u2013 BBA) The general model for the measurement of insurance contracts is the best estimate of the future cash \ufb02ows to be paid or received necessary to meet contractual obligations. This estimate should re\ufb02ect the different possible scenarios and the effect of the options and guarantees included in the contracts on the limit or \u201ccontract boundary\u201d determined according to the standard. Cash \ufb02ows are discounted to re\ufb02ect the time value of money. They correspond only to cash \ufb02ows attributable to insurance contracts either directly or through allocation methods: premiums, acquisition and contract management costs, claims and bene\ufb01ts, indirect costs, taxes and depreciation of tangible and intangible assets. The cash \ufb02ows estimate is supplemented by an explicit risk adjustment to cover the uncertainty for non-\ufb01nancial risk. These two elements constitute the ful\ufb01lment cash \ufb02ows of the contracts. A contractual service margin is added representing the expected gain or loss on future services related to a group of contracts. If the contractual service margin is positive, it is shown on the balance sheet within the insurance contract\u2019s measurement and amortised as the services are rendered; if negative, it is recognised immediately in the income statement and then reversed over the life of the contracts or when the contracts become pro\ufb01table again. Acquisition costs paid prior to the initial recognition of a group of contracts are initially recognised in the balance sheet (and presented as a decrease in insurance liabilities or increase in insurance assets depending on the overall position of the portfolio) and then deducted from the contractual service margin of the group of contracts to which they relate at the time of initial recognition. At each reporting date, the carrying amount of a group of insurance contracts is the sum of the liabilities for the remaining coverage (which include the ful\ufb01lment cash \ufb02ows related to future services and the contractual service margin remaining at that date) and liabilities for incurred claims (which include only the ful\ufb01lment cash \ufb02ows for claims incurred, without any contractual service margin). The assumptions used to estimate future cash \ufb02ows and the non-\ufb01nancial risk adjustment are updated, as well as the discount rate, to re\ufb02ect the situation at the reporting date. The contractual service margin is adjusted for changes in the estimates of non-\ufb01nancial assumptions related to future services and then amortised in the income statement for services rendered over the period. The release of the expected contractual cash \ufb02ows for the period and changes in the estimates for past services are recorded in the income statement. The effect of unwinding the discount on the liabilities related to the passage of time is recorded in the income statement as well as the effect of the change in the discount rate. The latter effect may, however, be recognised in equity as an option. Measurement model for contracts with direct participation features (Variable Fee Approach \u2013 VFA) In the case of direct participating contracts, where the insurer has to pay the policyholder an amount corresponding to the market or model value of clearly identi\ufb01ed underlying assets, less a variable compensation, a speci\ufb01c model (called the \u201cVariable Fee Approach\u201d) has been developed by adapting the general model. At each reporting date, the liabilities related to these contracts are adjusted for the return earned and changes in the market or model value of the underlying assets: the policyholders\u2019 share is recorded in the contract ful\ufb01lment cash \ufb02ows against the pro\ufb01t or loss and the insurer\u2019s share is included in the contractual service margin. The gain or loss of these contracts is therefore essentially represented by the release of the ful\ufb01lment cash \ufb02ows and the amortisation of the contractual service margin. When the underlying assets fully match the liabilities and are measured at market value through pro\ufb01t or loss, the \ufb01nancial gain or loss of these contracts should be zero. If certain underlying assets are not measured at market value through pro\ufb01t or loss, the insurer may choose to reclassify the change in liabilities related to these assets to equity. Simplified measurement model (Premium Allocation Approach \u2013 PAA) Short-term contracts (less than one year) may be measured using a simpli\ufb01ed approach known as the Premium Allocation Approach, also applicable to longer-term contracts if it leads to results similar to those of the general model in terms of liability for the remaining coverage. For pro\ufb01table contracts, the liability for the remaining coverage is measured based on the deferral of premiums collected according to a logic similar to that used under IFRS 4. Onerous contracts and liabilities for incurred claims are valued according to the general model. Liabilities for incurred claims are discounted if the expected settlement of claims takes place one year after the date of occurrence. In this case, the option of classifying the effect of changes in the discount rate in equity is also applicable. At each reporting date, the adjustment of liabilities for remaining coverage and for incurred claims is recognised in pro\ufb01t or loss. (1) EU Regulation n\u00b02022/1491 of 8 September 2022. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 185 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Treatment of the reinsurance Accepted reinsurance is treated as insurance contracts issued, either in the general model or in simpli\ufb01ed model. The reinsurance ceded is also treated under the general model or simpli\ufb01ed model, but the contractual service margin representing the expected reinsurance pro\ufb01t or loss may be negative, and the ful\ufb01lment cash \ufb02ows includes the reinsurer\u2019s non-performance risk. Presentation in the balance sheet and in the profit and loss Pursuant to changes in IAS 1 resulting from IFRS 17: \u25a0 insurance (and reinsurance) contracts issued, and reinsurance contracts held are shown in the balance sheet as assets or liabilities according to the overall position of the portfolios to which they belong; \u25a0 the various income and expenses of insurance and reinsurance contracts are broken down in the pro\ufb01t and loss into: \u25a0 insurance revenues: release of ful\ufb01lment cash \ufb02ows for the expected amount over the period (excluding investment components (1) ), change in the risk adjustment, amortisation of the contractual service margin for services rendered, amount allocated for the amortisation of acquisition cost, adjustments arising from premiums received, \u25a0 insurance service expenses: actual charges attributable to insurance contracts incurred over the period (excluding repayments of investment components) and changes related to past service, amortisation of acquisition costs, and loss component on the initial recognition of onerous contracts as well as its amortisation, \u25a0 insurance \ufb01nancial income or expenses: change in the carrying amount of insurance contracts resulting from the effect of the time value of money and the \ufb01nancial risk including changes in \ufb01nancial assumptions (except for those adjusting the contractual service margin in the case of direct participating contracts), for the portion that the Group has chosen not to include directly in equity; \u25a0 regarding the elements recognised in equity: \u25a0 for contracts valued according to the general model or the simpli\ufb01ed approach, the effects of changes in \ufb01nancial variables (in particular the discount rate) can be presented separately between the pro\ufb01t and loss account and changes in fair value recognised directly in equity that may be reclassi\ufb01ed in pro\ufb01t or loss. This option can be exercised by portfolio, \u25a0 for contracts valued using the variable fee method, the option to present separately \ufb01nancial income or expense between the income statement and shareholders\u2019 equity may be used to avoid an accounting mismatch with the income or expense recognised in the pro\ufb01t and loss account in respect of the underlying assets held. Terms of application and main accounting options used by the Group for the transition The main contracts in the scope of IFRS 17 issued by the Group are contracts covering risks related to persons or property and life savings contracts. Creditor protection insurance (CPI), personal protection insurance and other non-life risks will be measured either according to the general model or, if the conditions are met, using the simpli\ufb01ed approach. For the constitution of portfolios of similar contracts, BNP Paribas takes into account the following discriminatory criteria: legal entity, nature of risks and distribution partner. The discount rate is based on the risk-free rate adjusted for the illiquidity of the liabilities. The risk adjustment is determined using the quantile method. The coverage unit used to amortise the contractual service margin is derived from the risk premium earned during the period. Life and savings contracts consist of single and \u201cmulti-support\u201d contracts, with or without insurance risk, including a discretionary participation component backed by euro or foreign currency funds (generally \ufb01nancial and real estate assets), and unit-linked contracts with a minimum coverage in the event of death. These different types of contracts meet the de\ufb01nition of direct participating contracts and will therefore be valued using the variable fee approach. Where such contracts include a surrender value, this meets the de\ufb01nition of a non-distinct investment component. BNP Paribas takes into account the following criteria for life and savings portfolios: legal entity, product, and underlying asset. Savings and retirement activities have been classi\ufb01ed in separate portfolios (including for the period prior to transition). The discount rate is based on the risk-free rate, extrapolated over a period exceeding the observable data and adjusted by a liquidity premium based on the underlying assets. The risk adjustment is determined using the cost of capital method. The coverage unit used to amortise the contractual service margin is the change in savings due to policyholders (determined at present value), adjusted to take into account the impact of the real return on \ufb01nancial assets compared to the actuarial neutral risk projection. The Group has chosen to apply the option introduced by the European Regulation not to divide by annual cohort the portfolios of participating contracts based on intergenerational mutualisation. This option should apply to insurance contracts and investment contracts with discretionary participation eligible for the variable fee approach, euro single or \u201cmulti-supports\u201d including a euro fund, for which the policyholders\u2019 participation in the returns is pooled among the different generations of policyholders in France, Italy and Luxembourg. Financial income or expense from issued insurance contracts will be presented separately between the pro\ufb01t and loss account and shareholders\u2019 equity for portfolios for which this breakdown has been deemed relevant, as allowed by the standard. For the Protection contracts measured under the general model and for the liabilities for incurred claims arising from contracts measured under the simpli\ufb01ed model, the choice of portfolios was made by taking into account both the effects in the pro\ufb01t and loss account of the discount of the liabilities and the accounting treatment of the assets backing them. For contracts measured using the Variable Fee Approach, the choice was made to offset any accounting mismatch that may exist in the (1) A non-distinct investment component corresponds to the amount that would be paid to the policyholder in all cases, whether or not the covered event occurs. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 186 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements pro\ufb01t and loss account between the effect of changes in fair value on insurance or investment liabilities and that on the underlying assets when these are not recognised at fair value through pro\ufb01t or loss. The Group has chosen to present its \ufb01nancial statements in the format proposed by the Autorit\u00e9 des Normes Comptables recommendation n\u00b02022-01 of 8 April 2022. Under the option introduced by the recommendation, the Group intends to present the insurance activity investments and the related income separately from the banking activity \ufb01nancial assets and liabilities. Insurance contracts may be distributed and managed by non-insurance entities of the Group that are remunerated as such by commissions paid by insurance entities. The new model for valuing insurance contracts requires projecting into the contract ful\ufb01lment cash \ufb02ows the acquisition and management costs that will be paid in the future and presenting in the pro\ufb01t and loss account, the release of the estimated costs for the period on the one hand, and on the other, the actual costs. For commissions between consolidated companies of the Group, in accordance with the recommendations of ESMA (32-63-1320) and the AMF (DOC-2022-06), the Group will restate the internal margin on the balance sheet (1) and pro\ufb01t and loss account (in the breakdown of insurance liabilities and the related results between the ful\ufb01lment cash \ufb02ows and contract services margin) by presenting as insurance service expenses the portion of the general expenses of banking entities that can be attributable to insurance activity. The restated internal margin is determined from normalised management data of each of the distribution networks. Expected transition impacts IFRS 17 Launched in 2017, the IFRS 17 implementation project comes to an end with the date of \ufb01rst application of the standard. The deployment of the new modelling and reporting tools took place according to the de\ufb01ned timetable. Some options remain likely to evolve in the future, depending on the normative interpretations that may occur, in particular at the level of IFRIC. The transition from IFRS 4 to IFRS 17 will result in the offsetting in equity of assets and liabilities of insurance contracts recognised in accordance with the previous standard net of deferred taxes effects: insurance liabilities and reinsurance assets held, deferred policyholders\u2019 participation arising from \u201cshadow accounting\u201d and intangible assets speci\ufb01c to insurance contracts when recognised. Receivables and liabilities related to insurance or reinsurance contracts must be included in the new valuation of insurance asset and liabilities. IFRS 17 applies retroactively to all contracts outstanding at the transition date, i.e. 1 January 2022 due to the mandatory comparative period. Three transition methods may be used: a full retrospective approach and, if this cannot be implemented, a modi\ufb01ed retrospective approach or an approach based on the market or model value of the contracts at the transition date. The majority of entities controlled by the Group applied the modi\ufb01ed retrospective approach and, more marginally, for some portfolios, an approach based on the market or model value of contracts at the transition date. As a matter of fact, all the necessary information was not available or was not suf\ufb01ciently granular, in particular due to systems migration and data retention requirements, to allow a full retrospective approach. This is the case for historical cash \ufb02ows, discount rates and changes in assumptions and estimates that would have occurred in the period prior to the transition, especially changes in projection models occurred during this period. Moreover, the full retrospective approach would have required reconstituting management\u2019s assumptions or intentions in previous periods. The objective of the modi\ufb01ed retrospective approach is to achieve a result that is as close as possible to the result that would have been obtained by the retrospective application of the standard, based on reasonable and justi\ufb01able information that can be obtained without incurring excessive costs or effort. The transitional provisions of IFRS 17 under this approach allow for different simpli\ufb01cations in the grouping of contracts, the reconstitution of contract valuations at initial recognition, the measurement of the contractual service margin (or loss element) and for \ufb01nancial products or insurance charges (for the part recorded in equity). Thus, the concerned entities applied the modi\ufb01ed retrospective approach to most portfolios of existing contracts, whether in Protection or Life/Savings. Simpli\ufb01cations used depended on the valuation models and the availability of the necessary information on the related portfolios. For protection contracts valued according to the general model, the principle of the modi\ufb01ed retrospective approach consists in reconstituting liabilities at the initial recognition date from their valuation at the transition date, by retroactively reconstituting movements between the two dates with simpli\ufb01cations: \u25a0 cash \ufb02ows at inception are estimated by adding to the amount at the transition date the effective cash \ufb02ows recorded between the two dates; \u25a0 the original discount rate can be determined with interest rate curves simulating those at the date of \ufb01rst recognition; \u25a0 the changes in the adjustment for non-\ufb01nancial risk between the inception date and the transition date can be estimated based on release pattern observed on similar contracts. For liabilities for remaining coverage that are reconstituted in this way at the inception date, the contractual service margin at inception (if any), less any acquisition costs paid in the interim period, is amortised based on the services provided in the period prior to the transition, in order to determine the amount of the remaining contractual service margin at that date, less any remaining acquisition costs. When contracts are grouped into a single group on the transition date, the discount rate on that date can be used. When the option to disaggregate \ufb01nancial changes between pro\ufb01t and loss and shareholders\u2019 equity has been elected, it requires the amount taken to shareholders\u2019 equity at the transition date to be recalculated from the inception rate for the liability for remaining coverage and from the rate at the date of claims occurrence for the liability for incurred claims. Where such reconstitution is not possible, the amount shown in equity shall be zero. (1) This restatement was taken into account for the balance sheet at the transition date at 1 January 2022. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 187 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements For the purposes of this reconstitution, the simpli\ufb01cations mainly covered the following: \u25a0 reconstitution of the annual cohorts or consolidation into a single group of contracts at the transition date according to available data; \u25a0 the reconstitution of ful\ufb01lment cash \ufb02ows and unamortised acquisition costs; \u25a0 the release of the risk adjustment between the date of issuance of the contracts and the transition date; \u25a0 discount rates (the rate at inception in the case of a reconstitution by annual cohorts or an average rate in the case of a consolidation into a single group of contracts at the transition date); \u25a0 the amount transferred to changes in equity that may be reclassi\ufb01ed to pro\ufb01t or loss at the transition date in respect of changes in the discount rate, that has been reconstituted based on historical rates or reset to zero if such a reconstitution is not achievable. For protection contracts valued according to the simplified method, the reserves for remaining coverage were generally determined at transition from the previous reserves for unearned premiums, net of acquisition costs. The incurred claims reserves arising from these contracts consist of expected cash \ufb02ows and risk adjustments for non-\ufb01nancial risks at the transition date. When cash \ufb02ows were discounted and for portfolios for which the disaggregation option of \ufb01nancial changes between pro\ufb01t and loss account and shareholders\u2019 equity has been chosen, the amount carried in changes in equity that may be reclassi\ufb01ed to pro\ufb01t or loss at the transition date in relation to changes in the discount rate was reconstituted based on the historical rates or set to zero if such a reconstitution was not achievable. For Life/Savings contracts valued under the variable fees model, the modi\ufb01ed retrospective approach consists in reconstituting the liability at the original date from the liability at the transition date. However, for these contracts, the standard provides that the contractual services margin at the transition date is determined using the following approach: \u25a0 the realisable value of the underlying assets at the transition date is \ufb01rst diminished by the ful\ufb01lment cash \ufb02ows (discounted cash \ufb02ows and risk adjustment) at that date; \u25a0 to this amount are added the income paid by the policyholders, changes in the risk adjustment and are deducted the acquisition costs paid during the interim period; \u25a0 the contractual service margin net of the acquisition costs initially reconstituted in this way is then amortised until the transition date to re\ufb02ect the services provided on that date, as well as the remaining acquisition costs to be amortised. The main simpli\ufb01cations in implementing this approach were as follows: \u25a0 existing contracts have been grouped according to the planned post-transition segmentation, without annual cohorts breakdown, in line with the election of the exception provided for by the European regulation; \u25a0 for general funds common to participating and non-participating contracts and to equity, the underlying assets have been de\ufb01ned on the basis of the breakdown used in the statutory accounts to calculate policyholders\u2019 participation; \u25a0 the contractual services margin at the transition date has been reconstituted: \u25a0 from the realisable value of the underlying assets (see above) less ful\ufb01lment cash \ufb02ows on the transition date, \u25a0 by adding the historical margins (obtained from accounting or management information), the total being amortised up to the transition date (using the same approach, taking into account the \u201cover-performance on assets\u201d, as used after the transition), and \u25a0 deducting any remaining acquisition costs; \u25a0 the amount recorded in changes in equity that may be reclassi\ufb01ed to pro\ufb01t or loss at the transition date as an adjustment for accounting mismatch was determined using the realisable value of the underlying assets recognised in equity at the transition date, in accordance with the standard. Finally, under the market value method, the contractual service margin at the transition date is determined as the difference at the transition date between the realisable value (\u201cfair value, determined without taking into account the amount payable on demand\u201d) and the ful\ufb01lment cash \ufb02ows. This approach was used on some non-material portfolios when the modi\ufb01ed retrospective approach could not be implemented. For these portfolios, the fair value has been estimated based on a Solvency 2 valuation and, in the particular case of a recent business combination dating from 2018, based on the amount allocated to the contracts during the acquisition price allocation process. IFRS 9 The IFRS 9 implementation project at the level of the Insurance activity built widely on the experience of other business lines in the Group already applying this standard, in particular to ensure consistency in classi\ufb01cation. Financial assets and liabilities of insurance entities are managed by portfolios corresponding to the insurance liabilities they back up or to the own funds. The business models were therefore determined according to these portfolios at the transition date to IFRS 9. In accordance with the criteria of the business model and of the contractual cash \ufb02ows, debt instruments will largely be classi\ufb01ed under the \u201cheld to collect and sell\u201d model, with the exception of those representing unit-linked contracts and debt instruments held by consolidated UCITS and managed at net asset value, which will be classi\ufb01ed at fair value through pro\ufb01t or loss. Certain speci\ufb01c assets will be classi\ufb01ed as at fair value on option. The majority of equity instruments will be measured at fair value through pro\ufb01t or loss, except in the case of certain assets backing up own funds and non- participating contracts portfolios, which will be measured at fair value through equity. Non-consolidated funds classi\ufb01ed as available for sale under 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 188 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements IAS 39 will be reclassi\ufb01ed at fair value through pro\ufb01t or loss. The treatment of derivatives remains unchanged, including hedge accounting as IAS 39 rules have been maintained by the Group. Since the beginning of 2022, \ufb01nancial assets have been monitored according to both IAS 39 and IFRS 9. The Group is planning to use the optional \u201coverlay classi\ufb01cation\u201d approach introduced by the amendment to IFRS 17 relating to the presentation of IFRS 9 \u2013 IFRS 17 comparisons, which allows \ufb01nancial assets to be presented in the 2022 comparative as if IFRS 9 had been applicable at that date. This choice would apply to all \ufb01nancial instruments, including those derecognised in 2022, in terms of both classi\ufb01cation and valuation (including impairment). Amendments to other standards The Group is also planning to apply the amendments to IAS 40 and IAS 16 resulting from IFRS 17, leading to the valuation at fair value through pro\ufb01t or loss of the buildings held as underlying components of direct participating contracts. The amendments to IAS 32 and IFRS 9 are expected to be applied, enabling the \ufb01nancial assets issued by the Group that are held as underlying items of direct participating contracts and are measured at fair value through pro\ufb01t or loss to be maintained in the balance sheet. Impacts estimated at 1 January 2022 Regarding insurance contracts, a full valuation exercise was realised during 2022 to establish the opening balance sheet at 1 January 2022 and prepare the 2022 comparative period. Based on this work, at 1 January 2022, the estimated impact on Group\u2019s shareholders\u2019 equity (1) of the application of IFRS 17 and IFRS 9 and of the various amendments to other standards amounted to -EUR 1.6 billion. This impact consists of EUR 0.5 billion related to the transition from IAS 39 to IFRS 9 and -EUR 2.1 billion related to the transition from IFRS 4 to IFRS 17 (2) . At 1 January 2022, for controlled entities, liabilities related to insurance contracts, net of insurance portfolios in assets, amounted to EUR 239.3 billion, and consist of the following: \u25a0 EUR 219.2 billion for the best estimate of future cash \ufb02ows; \u25a0 EUR 1.5 billion for the risk adjustment; \u25a0 EUR 18.6 billion for the contractual service margin.1.b CONSOLIDATION 1.b.1 Scope of consolidation The consolidated \ufb01nancial statements of BNP Paribas include entities that are controlled by the Group, jointly controlled, and under signi\ufb01cant in\ufb02uence, with the exception of those entities whose consolidation is regarded as immaterial to the Group. Companies that hold shares in consolidated companies are also consolidated. Subsidiaries are consolidated from the date on which the Group obtains effective control. Entities under temporary control are included in the consolidated \ufb01nancial statements until the date of disposal.1.b.2 Consolidation methods Exclusive control Controlled enterprises are fully consolidated. The Group controls a subsidiary when it is exposed, or has rights, to variable returns from its involvement with the entity and has the ability to affect those returns through its power over the entity. For entities governed by voting rights, the Group generally controls the entity if it holds, directly or indirectly, the majority of the voting rights (and if there are no contractual provisions that alter the power of these voting rights) or if the power to direct the relevant activities of the entity is conferred on it by contractual agreements. Structured entities are entities established so that they are not governed by voting rights, for instance when those voting rights relate to administrative tasks only, whereas the relevant activities are directed by means of contractual arrangements. They often have the following features or attributes: restricted activities, a narrow and well-de\ufb01ned objective and insuf\ufb01cient equity to permit them to \ufb01nance their activities without subordinated \ufb01nancial support. (1) Including change in assets and liabilities recognised in changes in equity that may be reclassi\ufb01ed to pro\ufb01t or loss. (2) Including amendments to other standards related to the application of IFRS 17, of which the impact of the EUR 1.5 billion in relation to the revaluation of buildings at fair value, offset by the corresponding revaluation of liabilities in direct participating contracts. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 189 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements For these entities, the analysis of control shall consider the purpose and design of the entity, the risks to which the entity is designed to be exposed and to what extent the Group absorbs the related variability. The assessment of control shall consider all facts and circumstances able to determine the Group\u2019s practical ability to make decisions that could signi\ufb01cantly affect its returns, even if such decisions are contingent on uncertain future events or circumstances. In assessing whether it has power, the Group considers only substantive rights which it holds or which are held by third parties. For a right to be substantive, the holder must have the practical ability to exercise that right when decisions about the relevant activities of the entity need to be made. Control is reassessed if facts and circumstances indicate that there are changes to one or more of the elements of control. Where the Group contractually holds the decision-making power, for instance where the Group acts as fund manager, it shall determine whether it is acting as agent or principal. Indeed, when associated with a certain level of exposure to the variability of returns, this decision-making power may indicate that the Group is acting on its own account and that it thus has control over those entities. Minority interests are presented separately in the consolidated pro\ufb01t and loss account and balance sheet within consolidated equity. The calculation of minority interests takes into account the outstanding cumulative preferred shares classi\ufb01ed as equity instruments issued by subsidiaries, when such shares are held outside the Group. As regards fully consolidated funds, units held by third-party investors are recognised as debts at fair value through pro\ufb01t or loss, inasmuch as they are redeemable at fair value at the subscriber\u2019s initiative. For transactions resulting in a loss of control, any equity interest retained by the Group is remeasured at its fair value through pro\ufb01t or loss.Joint control Where the Group carries out an activity with one or more partners, sharing control by virtue of a contractual agreement which requires unanimous consent on relevant activities (those that signi\ufb01cantly affect the entity\u2019s returns), the Group exercises joint control over the activity. Where the jointly controlled activity is structured through a separate vehicle in which the partners have rights to the net assets, this joint venture is accounted for using the equity method. Where the jointly controlled activity is not structured through a separate vehicle or where the partners have rights to the assets and obligations for the liabilities of the jointly controlled activity, the Group accounts for its share of the assets, liabilities, revenues and expenses in accordance with the applicable IFRS.Significant influence Companies over which the Group exercises signi\ufb01cant in\ufb02uence or associates are accounted for by the equity method. Signi\ufb01cant in\ufb02uence is the power to participate in the \ufb01nancial and operating policy decisions of a company without exercising control. Signi\ufb01cant in\ufb02uence is presumed to exist when the Group holds, directly or indirectly, 20% or more of the voting rights of a company. Interests of less than 20% can be included in the consolidation scope if the Group effectively exercises signi\ufb01cant in\ufb02uence. This is the case for example for entities developed in partnership with other associates, where the BNP Paribas Group participates in strategic decisions of the enterprise through representation on the Board of directors or equivalent governing body, or exercises in\ufb02uence over the enterprise\u2019s operational management by supplying management systems or senior managers, or provides technical assistance to support the enterprise\u2019s development. Changes in the net assets of associates (companies accounted for under the equity method) are recognised on the assets side of the balance sheet under \u201cInvestments in equity-method entities\u201d and in the relevant component of shareholders\u2019 equity. Goodwill recorded on associates is also included under \u201cEquity-method investments\u201d. Whenever there is an indication of impairment, the carrying amount of the investment consolidated under the equity method (including goodwill) is subjected to an impairment test, by comparing its recoverable value (the higher of value-in-use and market value less costs to sell) to its carrying amount. Where appropriate, impairment is recognised under \u201cShare of earnings of equity-method entities\u201d in the consolidated income statement and can be reversed at a later date. If the Group\u2019s share of losses of an equity-method entity equals or exceeds the carrying amount of its investment in this entity, the Group discontinues including its share of further losses. The investment is reported at nil value. Additional losses of the equity-method entity are provided for only to the extent that the Group has contracted a legal or constructive obligation, or has made payments on behalf of this entity. Where the Group holds an interest in an associate, directly or indirectly through an entity that is a venture capital organisation, a mutual fund, an open-ended investment company or similar entity such as an investment-related insurance fund, it may elect to measure that interest at fair value through pro\ufb01t or loss. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 190 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Realised gains and losses on investments in consolidated undertakings are recognised in the pro\ufb01t and loss account under \u201cNet gain on non-current assets\u201d. The consolidated \ufb01nancial statements are prepared using uniform accounting policies for similar transactions and other events occurring in similar circumstances.1.b.3 Consolidation rules Elimination of intragroup balances and transactions Intragroup balances arising from transactions between consolidated enterprises, and the transactions themselves (including income, expenses and dividends), are eliminated. Pro\ufb01ts and losses arising from intragroup sales of assets are eliminated, except where there is an indication that the asset sold is impaired. Unrealised gains and losses included in the value of \ufb01nancial instruments at fair value through equity and available-for-sale assets are maintained in the consolidated \ufb01nancial statements. Translation of accounts expressed in foreign currencies The consolidated \ufb01nancial statements of BNP Paribas are prepared in euros. The \ufb01nancial statements of enterprises whose functional currency is not the euro are translated using the closing rate method. Under this method, all assets and liabilities, both monetary and non-monetary, are translated using the spot exchange rate at the balance sheet date. Income and expense items are translated at the average rate for the period. Financial statements of the Group\u2019s subsidiaries located in hyperin\ufb02ationary economies, previously adjusted for in\ufb02ation by applying a general price index, are translated using the closing rate. This rate applies to the translation of assets and liabilities as well as income and expenses. Differences arising from the translation of balance sheet items and pro\ufb01t and loss items are recorded in shareholders\u2019 equity under \u201cExchange differences\u201d, and in \u201cMinority interests\u201d for the portion attributable to outside investors. Under the optional treatment permitted by IFRS 1, the Group has reset to zero all translation differences, by booking all cumulative translation differences attributable to shareholders and to minority interests in the opening balance sheet at 1 January 2004 to retained earnings. On liquidation or disposal of some or all of an interest held in a foreign enterprise located outside the eurozone, leading to a change in the nature of the investment (loss of control, loss of signi\ufb01cant in\ufb02uence or loss of joint control without keeping a signi\ufb01cant in\ufb02uence), the cumulative exchange difference at the date of liquidation or sale is recognised in the pro\ufb01t and loss account. Should the percentage of interest change without leading to a modi\ufb01cation in the nature of the investment, the exchange difference is reallocated between the portion attributable to shareholders and that attributable to minority interests if the entity is fully consolidated; if the entity is consolidated under the equity method, it is recorded in pro\ufb01t or loss for the portion related to the interest sold. 1.b.4 Business combination and measurement of goodwill Business combinations Business combinations are accounted for using the purchase method. Under this method, the acquiree\u2019s identi\ufb01able assets and liabilities assumed are measured at fair value at the acquisition date except for non-current assets classi\ufb01ed as assets held for sale which are accounted for at fair value less costs to sell. The acquiree\u2019s contingent liabilities are not recognised in the consolidated balance sheet unless they represent a present obligation on the acquisition date and their fair value can be measured reliably. The cost of a business combination is the fair value, at the date of exchange, of assets given, liabilities incurred or assumed, and equity instruments issued to obtain control of the acquiree. Costs directly attributable to the business combination are treated as a separate transaction and recognised through pro\ufb01t or loss. Any contingent consideration is included in the cost, as soon as control is obtained, at fair value on the date when control was acquired. Subsequent changes in the value of any contingent consideration recognised as a \ufb01nancial liability are recognised through pro\ufb01t or loss. The Group may recognise any adjustments to the provisional accounting within 12 months of the acquisition date. Goodwill represents the difference between the cost of the combination and the acquirer\u2019s interest in the net fair value of the identi\ufb01able assets and liabilities of the acquiree at the acquisition date. Positive goodwill is recognised in the acquirer\u2019s balance sheet, while negative goodwill is recognised immediately in pro\ufb01t or loss, on the acquisition date. Minority interests are measured at their share of the fair value of the acquiree\u2019s identi\ufb01able assets and liabilities. However, for each business combination, the Group can elect to measure minority interests at fair value, in which case a proportion of goodwill is allocated to them. To date, the Group has never used this latter option. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 191 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Goodwill is recognised in the functional currency of the acquiree and translated at the closing exchange rate. On the acquisition date, any previously held equity interest in the acquiree is remeasured at its fair value through pro\ufb01t or loss. In the case of a step acquisition, the goodwill is therefore determined by reference to the acquisition-date fair value. Since the revised IFRS 3 has been applied prospectively, business combinations completed prior to 1 January 2010 were not restated for the effects of changes to IFRS 3. As permitted under IFRS 1, business combinations that took place before 1 January 2004 and were recorded in accordance with the previously applicable accounting standards (French GAAP), had not been restated in accordance with the principles of IFRS 3.Measurement of goodwill The BNP Paribas Group tests goodwill for impairment on a regular basis. Cash-generating units The BNP Paribas Group has split all its activities into cash-generating units (1) representing major business lines. This split is consistent with the Group\u2019s organisational structure and management methods, and re\ufb02ects the independence of each unit in terms of results and management approach. It is reviewed on a regular basis in order to take account of events likely to affect the composition of cash-generating units, such as acquisitions, disposals and major reorganisations. Testing cash-generating units for impairment Goodwill allocated to cash-generating units is tested for impairment annually and whenever there is an indication that a unit may be impaired, by comparing the carrying amount of the unit with its recoverable amount. If the recoverable amount is less than the carrying amount, an irreversible impairment loss is recognised, and the goodwill is written down by the excess of the carrying amount of the unit over its recoverable amount. Recoverable amount of a cash-generating unit The recoverable amount of a cash-generating unit is the higher of the fair value of the unit less costs to sell, and its value in use. Fair value is the price that would be obtained from selling the unit at the market conditions prevailing at the date of measurement, as determined mainly by reference to actual prices of recent transactions involving similar entities or on the basis of stock market multiples for comparable companies. Value in use is based on an estimate of the future cash \ufb02ows to be generated by the cash-generating unit, derived from the annual forecasts prepared by the unit\u2019s management and approved by Group Executive Management, and from analyses of changes in the relative positioning of the unit\u2019s activities on their market. These cash \ufb02ows are discounted at a rate that re\ufb02ects the return that investors would require from an investment in the business sector and region involved.1.o USE OF ESTIMATES IN THE PREPARATION OF THE FINANCIAL STATEMENTS Preparation of the \ufb01nancial statements requires managers of core businesses and corporate functions to make assumptions and estimates that are re\ufb02ected in the measurement of income and expense in the pro\ufb01t and loss account and of assets and liabilities in the balance sheet, and in the disclosure of information in the notes to the \ufb01nancial statements. This requires the managers in question to exercise their judgement and to make use of information available at the date of the preparation of the \ufb01nancial statements when making their estimates. The actual future results from operations where managers have made use of estimates may in reality differ signi\ufb01cantly from those estimates, mainly according to market conditions. This may have a material effect on the \ufb01nancial statements. This applies in particular to: \u25a0 the analysis of the cash \ufb02ow criterion for speci\ufb01c \ufb01nancial assets; \u25a0 the measurement of expected credit losses. This applies in particular to the assessment of signi\ufb01cant increase in credit risk, the models and assumptions used to measure expected credit losses, the determination of the different economic scenarios and their weighting; \u25a0 the analysis of renegotiated loans, in order to assess whether they should be maintained on the balance-sheet or derecognised; \u25a0 the assessment of an active market, and the use of internally developed models for the measurement of the fair value of \ufb01nancial instruments not quoted in an active market classi\ufb01ed in \u201cFinancial assets at fair value through equity\u201d, or in \u201cFinancial instruments at fair value through pro\ufb01t or loss\u201d, whether as assets or liabilities, and more generally calculations of the fair value of \ufb01nancial instruments subject to a fair value disclosure requirement; \u25a0 the assumptions applied to assess the sensitivity to each type of market risk of the market value of \ufb01nancial instruments and the sensitivity of these valuations to the main unobservable inputs as disclosed in the notes to the \ufb01nancial statements; \u25a0 the appropriateness of the designation of certain derivative instruments such as cash \ufb02ow hedges, and the measurement of hedge effectiveness; \u25a0 impairment tests performed on intangible assets; \u25a0 the estimation of residual assets values under simple lease agreements. These values are used as a basis for the determination of depreciation as well as any impairment, notably in relation to the effect of environmental considerations on the evaluation of future prices of second-hand vehicles; \u25a0 the deferred tax assets; \u25a0 the estimation of insurance technical reserves and policyholders\u2019 surplus reserves; \u25a0 the measurement of uncertainty over income tax treatments and other provisions for contingencies and charges. In particular, while investigations and litigations are ongoing, it is dif\ufb01cult to foresee their outcome and potential impact. Provision estimation is established by taking into account all available information at the date of the preparation of the \ufb01nancial statements, in particular the nature of the dispute, the underlying facts, the ongoing legal proceedings and court decisions, including those related to similar cases. The Group may also use the opinion of experts and independent legal advisers to exercise its judgement. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 211 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
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   "value": "Note 1 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES APPLIED BY THE GROUP 1.a ACCOUNTING STANDARDS 1.a.1 Applicable accounting standards The consolidated \ufb01nancial statements of the BNP Paribas Group have been prepared in accordance with international accounting standards (International Financial Reporting Standards \u2013 IFRS), as adopted for use in the European Union (1) . Accordingly, certain provisions of IAS 39 on hedge accounting have been excluded. Information on the nature and extent of risks relating to \ufb01nancial instruments as required by IFRS 7 \u201cFinancial Instruments: Disclosures\u201d and to insurance contracts as required by IFRS 4 \u201cInsurance Contracts\u201d, along with information on regulatory capital required by IAS 1 \u201cPresentation of Financial Statements\u201d are presented in chapter 5 of the Universal registration document. This information, which is an integral part of the notes to the consolidated \ufb01nancial statements of the BNP Paribas Group at 31 December 2022, is covered by the opinion of the Statutory Auditors on the \ufb01nancial statements and is identi\ufb01ed in the management report by the word \u201cAudited\u201d. Section 4 of chapter 5, paragraph Exposures, provisions and cost of risk provides, in particular, IFRS 7 information on credit risk exposures and related impairment broken down according to whether the underlying loans are performing or non-performing, by geographic area and by industry, as well as details of loans and advances subject to moratoria or to public guarantee schemes in response to the health crisis. \u25a0 In relation to the IBOR and Eonia rates reform, at the end of 2018 the Group launched a global programme, involving all business lines and functions. The aim of the programme is to manage and implement the transition from the old benchmark interest rates to the new ones in major jurisdictions and currencies (euro, pound sterling, US dollar, Swiss franc and Japanese yen), while reducing the risks associated with this transition and meeting the deadlines set by the competent authorities. The Group contributed to market-wide workshops with central banks and \ufb01nancial regulators. The announcements by public authorities in the United Kingdom and the United States and by the Libor rates administrator (ICE BA) at the end of November 2020 changed the transition phase, which was initially scheduled to be completed by the end of 2021. For the GBP and JPY Libor, synthetic Libor have been published beyond the end of 2021 for use in certain contracts known as \u201ctough legacy\u201d contracts, i.e. contracts that have not switched from Libor to a replacement index. Publication of GBP and JPY synthetic Libor was discontinued at the end of 2022. In the United States, the decision was taken to continue publishing the USD Libor until mid-2023, and a legislative solution was passed at the Federal level in the \ufb01rst quarter of 2022 to address legacy contracts. In addition, the United Kingdom\u2019s Financial Conduct Authority (FCA) launched a consultation during summer 2022 regarding a potential publication of synthetic USD Libor, which would be applicable for contracts governed by UK law. For contracts referencing the CHF Libor which could not be renegotiated before it was phased out at the end of 2021, the European Commission has provided a legislative solution replacing this rate with a daily capitalised Swiss Average Rate Overnight (SARON), plus a spread aimed at ensuring the economic neutrality of this change. In Europe, the Eonia-\u20acSTR transition, which is purely technical given the \ufb01xed link between these two indices, was \ufb01nalised at the end of December 2021 while the maintenance of Euribor on a sine die basis was con\ufb01rmed. Based on the progress made to date, notably with the de\ufb01nition of a detailed plan and its execution, the Bank is con\ufb01dent in its operational capacity to manage the transition process of large volumes of transactions to the new benchmark rates. The reform of IBOR rates exposes the Bank to various risks that the programme aims to manage closely, including in particular: \u25a0 change management risks, but also litigation and conduct risks linked to negotiations with customers and market counterparties to amend existing contracts; \u25a0 operational risks related to changes in the Bank\u2019s IT systems and processes; \u25a0 economic risks in the event of \ufb01nancial market disturbances linked to the various transitions brought about by the IBOR reform; \u25a0 valuation risks in a scenario of reduced liquidity during the transition in certain derivative market segments. In September 2019, the IASB published \u201cPhase 1\u201d amendments to IAS 39 and IFRS 7, amending the hedge accounting requirements so that hedges affected by the benchmark interest rate reform could continue despite the uncertainty during the transition of the hedged items or hedging instruments (1) The full set of standards adopted for use in the European Union can be found on the website of the European Commission at: https://ec.europa.eu/info/business-economy-euro/ company-reporting-and-auditing/company-reporting_en 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 183 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements to the reformed benchmark rates. These amendments, endorsed by the European Commission on 15 January 2020, have been applied by the Group since 31 December 2019. In August 2020, the IASB published \u201cPhase 2\u201d amendments to IFRS 9, IAS 39, IFRS 7, IFRS 4 and IFRS 16 introducing several changes applicable during the effective transition to the new benchmark interest rates. These amendments allow for changes in the contractual cash \ufb02ows of \ufb01nancial instruments resulting from the IBOR rates reform to be treated as a simple reset of their variable interest rate, provided, however, that such changes are made on an economically equivalent basis. They also allow the continuation of hedging relationships, subject to amendments to their documentation to re\ufb02ect changes in hedged instruments, hedging instruments, hedged risk, and/or the method for measuring effectiveness during the transition to the new benchmark rates. The measures introduced in this framework also include: \u25a0 the possibility of documenting an interest rate as a hedged risk component even if this rate is not immediately separately identi\ufb01able, provided that it can reasonably be expected to become so within 24 months; \u25a0 the possibility of resetting cumulative fair value changes to zero in the hedge ineffectiveness test; and \u25a0 the obligation, in the framework of portfolio hedges, to isolate in subgroups instruments referring to the new risk-free rates (RFR). These amendments, adopted by the European Commission in December 2020, have been applied by the Group since 31 December 2020 to maintain its existing hedging relationships which have been modi\ufb01ed as a result of the transition to the new RFRs. The Group has documented hedging relationships in respect of the benchmark interest rates in the scope of the reform, mainly Eonia and Libor. For these hedging relationships, the hedged items and hedging instruments are progressively amended, where necessary, to incorporate the new rates. The \u201cPhase 1\u201d amendments to IAS 39 and IFRS 7 are applicable when the contractual terms of the hedged instruments or of the hedging instruments have not yet been amended (i.e. with the inclusion of a \u201cfallback\u201d clause), or, if they have been amended, when the terms and the date of the transition to the new benchmark interest rates have not been clearly stipulated. Conversely, the \u201cPhase 2\u201d amendments are applicable when the contractual terms of the hedged instruments or of the hedging instruments have been amended, and the terms and date of transition to the new benchmark interest rates have been clearly stipulated. The notional amounts of hedging instruments documented in the hedging relationships impacted by the benchmark interest rate reform are presented in note 4.b Derivative instruments used for hedging purposes. At 31 December 2022, 56,808 contracts remain backed by USD Libor, including 50,478 derivative contracts. At 31 December 2021, 112,405 contracts remain backed by USD Libor, including 72,867 contracts with a maturity date beyond 30 June 2023, including 54,628 derivative contracts. \u25a0 On 16 March 2022, the International Practices Task Force (IPTF) of the Center for Audit Quality (CAQ) included T\u00fcrkiye in its list of hyperin\ufb02ationary economies, the cumulative in\ufb02ation rate over three years having reached 100.6% at the end of February 2022. Consequently, the Group applies IAS 29 \u201cFinancial Reporting in Hyperin\ufb02ationary Economies\u201d for the presentation of the \ufb01nancial statements of its consolidated subsidiaries in T\u00fcrkiye. Accordingly, for these subsidiaries, all non-monetary assets and liabilities, including shareholders\u2019 equity, and all line items in the income statement, are revalued according to the change in of the Consumer Price Index (CPI). This revaluation between 1 January and the closing date resulted in the recognition of a gain or loss on the net monetary position, recorded under \u201cNet gains on non-current assets\u201d (see note 2.i). The \ufb01nancial statements of these subsidiaries were converted into euros at the closing rate, in accordance with the speci\ufb01c provisions of IAS 21 \u201cThe Effects of Changes in Foreign Exchange Rates\u201d applicable to the translation of the \ufb01nancial statements of entities located in hyperin\ufb02ationary economies. In accordance with the provisions of the IFRIC decision of March 2020 on the classi\ufb01cation of the effects of the indexation and conversion of the \ufb01nancial statements of subsidiaries in hyperin\ufb02ationary economies, the Group has opted to present these effects (including the effect on the net monetary position of the date of \ufb01rst application of IAS 29) as changes in assets and liabilities recognised directly in equity relative to exchange differences. At 1 January 2022, the \ufb01rst-time application of IAS 29 resulted in a EUR 174 million increase in equity, of which EUR 227 million was recorded in \u201cChanges in assets and liabilities recognised directly in equity \u2013 exchange differences\u201d. The introduction of other standards, amendments and interpretations that are mandatory as from 1 January 2022 had no effect on the Group\u2019s \ufb01nancial statements at 31 December 2022. The Group did not early adopt any of the new standards, amendments, and interpretations adopted by the European Union, when the application in 2022 was optional.1.a.2 New major accounting standards, published but not yet applicable IFRS 17 \u201cInsurance Contracts\u201d, issued in May 2017 and amended in June 2020 will replace IFRS 4 \u201cInsurance Contracts\u201d. It was adopted by the European Union in November 2021, accompanied by an optional exemption from the application of the annual cohort grouping requirement for participating contracts based on intergenerational mutualisation of returns on the underlying assets of the technical commitments. It will be mandatory for \ufb01nancial periods beginning on or after 1 January 2023. The transition date for IFRS 17 will therefore be 1 January 2022 for the purposes of the opening balance sheet of the comparative period required by the standard. As the Group has deferred the application of IFRS 9 for its insurance entities until the entry into force of IFRS 17, it will apply this standard from 1 January 2023. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 184 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The amendment to IFRS 17 relating to the presentation of the IFRS 9 and IFRS 17 comparative information, published by the IASB in December 2021, was adopted by the European Union on 8 September 2022 (1) and will also be applied by the Group. Scope IFRS 17 applies to insurance contracts issued, reinsurance contracts issued and held and investment contracts with discretionary participation features issued (if the entity also issues insurance contracts). The de\ufb01nition of an insurance contract is unchanged from IFRS 4, with the exception of the assessment of the risk of loss for the insurer which must be performed on a present value basis. Accounting and measurement Insurance contracts are accounted and measured by groups of contracts within portfolios of contracts covering similar risks and managed together. Groups of contracts are determined according to their expected pro\ufb01tability at inception: onerous contracts, pro\ufb01table contracts with a low risk of becoming onerous, and others. A group of contracts may contain only contracts issued no more than one year apart (corresponding to an annual \u201ccohort\u201d), except where the optional exemption provided for in the European regulation applies. General measurement model (Building Block Approach \u2013 BBA) The general model for the measurement of insurance contracts is the best estimate of the future cash \ufb02ows to be paid or received necessary to meet contractual obligations. This estimate should re\ufb02ect the different possible scenarios and the effect of the options and guarantees included in the contracts on the limit or \u201ccontract boundary\u201d determined according to the standard. Cash \ufb02ows are discounted to re\ufb02ect the time value of money. They correspond only to cash \ufb02ows attributable to insurance contracts either directly or through allocation methods: premiums, acquisition and contract management costs, claims and bene\ufb01ts, indirect costs, taxes and depreciation of tangible and intangible assets. The cash \ufb02ows estimate is supplemented by an explicit risk adjustment to cover the uncertainty for non-\ufb01nancial risk. These two elements constitute the ful\ufb01lment cash \ufb02ows of the contracts. A contractual service margin is added representing the expected gain or loss on future services related to a group of contracts. If the contractual service margin is positive, it is shown on the balance sheet within the insurance contract\u2019s measurement and amortised as the services are rendered; if negative, it is recognised immediately in the income statement and then reversed over the life of the contracts or when the contracts become pro\ufb01table again. Acquisition costs paid prior to the initial recognition of a group of contracts are initially recognised in the balance sheet (and presented as a decrease in insurance liabilities or increase in insurance assets depending on the overall position of the portfolio) and then deducted from the contractual service margin of the group of contracts to which they relate at the time of initial recognition. At each reporting date, the carrying amount of a group of insurance contracts is the sum of the liabilities for the remaining coverage (which include the ful\ufb01lment cash \ufb02ows related to future services and the contractual service margin remaining at that date) and liabilities for incurred claims (which include only the ful\ufb01lment cash \ufb02ows for claims incurred, without any contractual service margin). The assumptions used to estimate future cash \ufb02ows and the non-\ufb01nancial risk adjustment are updated, as well as the discount rate, to re\ufb02ect the situation at the reporting date. The contractual service margin is adjusted for changes in the estimates of non-\ufb01nancial assumptions related to future services and then amortised in the income statement for services rendered over the period. The release of the expected contractual cash \ufb02ows for the period and changes in the estimates for past services are recorded in the income statement. The effect of unwinding the discount on the liabilities related to the passage of time is recorded in the income statement as well as the effect of the change in the discount rate. The latter effect may, however, be recognised in equity as an option. Measurement model for contracts with direct participation features (Variable Fee Approach \u2013 VFA) In the case of direct participating contracts, where the insurer has to pay the policyholder an amount corresponding to the market or model value of clearly identi\ufb01ed underlying assets, less a variable compensation, a speci\ufb01c model (called the \u201cVariable Fee Approach\u201d) has been developed by adapting the general model. At each reporting date, the liabilities related to these contracts are adjusted for the return earned and changes in the market or model value of the underlying assets: the policyholders\u2019 share is recorded in the contract ful\ufb01lment cash \ufb02ows against the pro\ufb01t or loss and the insurer\u2019s share is included in the contractual service margin. The gain or loss of these contracts is therefore essentially represented by the release of the ful\ufb01lment cash \ufb02ows and the amortisation of the contractual service margin. When the underlying assets fully match the liabilities and are measured at market value through pro\ufb01t or loss, the \ufb01nancial gain or loss of these contracts should be zero. If certain underlying assets are not measured at market value through pro\ufb01t or loss, the insurer may choose to reclassify the change in liabilities related to these assets to equity. Simplified measurement model (Premium Allocation Approach \u2013 PAA) Short-term contracts (less than one year) may be measured using a simpli\ufb01ed approach known as the Premium Allocation Approach, also applicable to longer-term contracts if it leads to results similar to those of the general model in terms of liability for the remaining coverage. For pro\ufb01table contracts, the liability for the remaining coverage is measured based on the deferral of premiums collected according to a logic similar to that used under IFRS 4. Onerous contracts and liabilities for incurred claims are valued according to the general model. Liabilities for incurred claims are discounted if the expected settlement of claims takes place one year after the date of occurrence. In this case, the option of classifying the effect of changes in the discount rate in equity is also applicable. At each reporting date, the adjustment of liabilities for remaining coverage and for incurred claims is recognised in pro\ufb01t or loss. (1) EU Regulation n\u00b02022/1491 of 8 September 2022. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 185 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Treatment of the reinsurance Accepted reinsurance is treated as insurance contracts issued, either in the general model or in simpli\ufb01ed model. The reinsurance ceded is also treated under the general model or simpli\ufb01ed model, but the contractual service margin representing the expected reinsurance pro\ufb01t or loss may be negative, and the ful\ufb01lment cash \ufb02ows includes the reinsurer\u2019s non-performance risk. Presentation in the balance sheet and in the profit and loss Pursuant to changes in IAS 1 resulting from IFRS 17: \u25a0 insurance (and reinsurance) contracts issued, and reinsurance contracts held are shown in the balance sheet as assets or liabilities according to the overall position of the portfolios to which they belong; \u25a0 the various income and expenses of insurance and reinsurance contracts are broken down in the pro\ufb01t and loss into: \u25a0 insurance revenues: release of ful\ufb01lment cash \ufb02ows for the expected amount over the period (excluding investment components (1) ), change in the risk adjustment, amortisation of the contractual service margin for services rendered, amount allocated for the amortisation of acquisition cost, adjustments arising from premiums received, \u25a0 insurance service expenses: actual charges attributable to insurance contracts incurred over the period (excluding repayments of investment components) and changes related to past service, amortisation of acquisition costs, and loss component on the initial recognition of onerous contracts as well as its amortisation, \u25a0 insurance \ufb01nancial income or expenses: change in the carrying amount of insurance contracts resulting from the effect of the time value of money and the \ufb01nancial risk including changes in \ufb01nancial assumptions (except for those adjusting the contractual service margin in the case of direct participating contracts), for the portion that the Group has chosen not to include directly in equity; \u25a0 regarding the elements recognised in equity: \u25a0 for contracts valued according to the general model or the simpli\ufb01ed approach, the effects of changes in \ufb01nancial variables (in particular the discount rate) can be presented separately between the pro\ufb01t and loss account and changes in fair value recognised directly in equity that may be reclassi\ufb01ed in pro\ufb01t or loss. This option can be exercised by portfolio, \u25a0 for contracts valued using the variable fee method, the option to present separately \ufb01nancial income or expense between the income statement and shareholders\u2019 equity may be used to avoid an accounting mismatch with the income or expense recognised in the pro\ufb01t and loss account in respect of the underlying assets held. Terms of application and main accounting options used by the Group for the transition The main contracts in the scope of IFRS 17 issued by the Group are contracts covering risks related to persons or property and life savings contracts. Creditor protection insurance (CPI), personal protection insurance and other non-life risks will be measured either according to the general model or, if the conditions are met, using the simpli\ufb01ed approach. For the constitution of portfolios of similar contracts, BNP Paribas takes into account the following discriminatory criteria: legal entity, nature of risks and distribution partner. The discount rate is based on the risk-free rate adjusted for the illiquidity of the liabilities. The risk adjustment is determined using the quantile method. The coverage unit used to amortise the contractual service margin is derived from the risk premium earned during the period. Life and savings contracts consist of single and \u201cmulti-support\u201d contracts, with or without insurance risk, including a discretionary participation component backed by euro or foreign currency funds (generally \ufb01nancial and real estate assets), and unit-linked contracts with a minimum coverage in the event of death. These different types of contracts meet the de\ufb01nition of direct participating contracts and will therefore be valued using the variable fee approach. Where such contracts include a surrender value, this meets the de\ufb01nition of a non-distinct investment component. BNP Paribas takes into account the following criteria for life and savings portfolios: legal entity, product, and underlying asset. Savings and retirement activities have been classi\ufb01ed in separate portfolios (including for the period prior to transition). The discount rate is based on the risk-free rate, extrapolated over a period exceeding the observable data and adjusted by a liquidity premium based on the underlying assets. The risk adjustment is determined using the cost of capital method. The coverage unit used to amortise the contractual service margin is the change in savings due to policyholders (determined at present value), adjusted to take into account the impact of the real return on \ufb01nancial assets compared to the actuarial neutral risk projection. The Group has chosen to apply the option introduced by the European Regulation not to divide by annual cohort the portfolios of participating contracts based on intergenerational mutualisation. This option should apply to insurance contracts and investment contracts with discretionary participation eligible for the variable fee approach, euro single or \u201cmulti-supports\u201d including a euro fund, for which the policyholders\u2019 participation in the returns is pooled among the different generations of policyholders in France, Italy and Luxembourg. Financial income or expense from issued insurance contracts will be presented separately between the pro\ufb01t and loss account and shareholders\u2019 equity for portfolios for which this breakdown has been deemed relevant, as allowed by the standard. For the Protection contracts measured under the general model and for the liabilities for incurred claims arising from contracts measured under the simpli\ufb01ed model, the choice of portfolios was made by taking into account both the effects in the pro\ufb01t and loss account of the discount of the liabilities and the accounting treatment of the assets backing them. For contracts measured using the Variable Fee Approach, the choice was made to offset any accounting mismatch that may exist in the (1) A non-distinct investment component corresponds to the amount that would be paid to the policyholder in all cases, whether or not the covered event occurs. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 186 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements pro\ufb01t and loss account between the effect of changes in fair value on insurance or investment liabilities and that on the underlying assets when these are not recognised at fair value through pro\ufb01t or loss. The Group has chosen to present its \ufb01nancial statements in the format proposed by the Autorit\u00e9 des Normes Comptables recommendation n\u00b02022-01 of 8 April 2022. Under the option introduced by the recommendation, the Group intends to present the insurance activity investments and the related income separately from the banking activity \ufb01nancial assets and liabilities. Insurance contracts may be distributed and managed by non-insurance entities of the Group that are remunerated as such by commissions paid by insurance entities. The new model for valuing insurance contracts requires projecting into the contract ful\ufb01lment cash \ufb02ows the acquisition and management costs that will be paid in the future and presenting in the pro\ufb01t and loss account, the release of the estimated costs for the period on the one hand, and on the other, the actual costs. For commissions between consolidated companies of the Group, in accordance with the recommendations of ESMA (32-63-1320) and the AMF (DOC-2022-06), the Group will restate the internal margin on the balance sheet (1) and pro\ufb01t and loss account (in the breakdown of insurance liabilities and the related results between the ful\ufb01lment cash \ufb02ows and contract services margin) by presenting as insurance service expenses the portion of the general expenses of banking entities that can be attributable to insurance activity. The restated internal margin is determined from normalised management data of each of the distribution networks. Expected transition impacts IFRS 17 Launched in 2017, the IFRS 17 implementation project comes to an end with the date of \ufb01rst application of the standard. The deployment of the new modelling and reporting tools took place according to the de\ufb01ned timetable. Some options remain likely to evolve in the future, depending on the normative interpretations that may occur, in particular at the level of IFRIC. The transition from IFRS 4 to IFRS 17 will result in the offsetting in equity of assets and liabilities of insurance contracts recognised in accordance with the previous standard net of deferred taxes effects: insurance liabilities and reinsurance assets held, deferred policyholders\u2019 participation arising from \u201cshadow accounting\u201d and intangible assets speci\ufb01c to insurance contracts when recognised. Receivables and liabilities related to insurance or reinsurance contracts must be included in the new valuation of insurance asset and liabilities. IFRS 17 applies retroactively to all contracts outstanding at the transition date, i.e. 1 January 2022 due to the mandatory comparative period. Three transition methods may be used: a full retrospective approach and, if this cannot be implemented, a modi\ufb01ed retrospective approach or an approach based on the market or model value of the contracts at the transition date. The majority of entities controlled by the Group applied the modi\ufb01ed retrospective approach and, more marginally, for some portfolios, an approach based on the market or model value of contracts at the transition date. As a matter of fact, all the necessary information was not available or was not suf\ufb01ciently granular, in particular due to systems migration and data retention requirements, to allow a full retrospective approach. This is the case for historical cash \ufb02ows, discount rates and changes in assumptions and estimates that would have occurred in the period prior to the transition, especially changes in projection models occurred during this period. Moreover, the full retrospective approach would have required reconstituting management\u2019s assumptions or intentions in previous periods. The objective of the modi\ufb01ed retrospective approach is to achieve a result that is as close as possible to the result that would have been obtained by the retrospective application of the standard, based on reasonable and justi\ufb01able information that can be obtained without incurring excessive costs or effort. The transitional provisions of IFRS 17 under this approach allow for different simpli\ufb01cations in the grouping of contracts, the reconstitution of contract valuations at initial recognition, the measurement of the contractual service margin (or loss element) and for \ufb01nancial products or insurance charges (for the part recorded in equity). Thus, the concerned entities applied the modi\ufb01ed retrospective approach to most portfolios of existing contracts, whether in Protection or Life/Savings. Simpli\ufb01cations used depended on the valuation models and the availability of the necessary information on the related portfolios. For protection contracts valued according to the general model, the principle of the modi\ufb01ed retrospective approach consists in reconstituting liabilities at the initial recognition date from their valuation at the transition date, by retroactively reconstituting movements between the two dates with simpli\ufb01cations: \u25a0 cash \ufb02ows at inception are estimated by adding to the amount at the transition date the effective cash \ufb02ows recorded between the two dates; \u25a0 the original discount rate can be determined with interest rate curves simulating those at the date of \ufb01rst recognition; \u25a0 the changes in the adjustment for non-\ufb01nancial risk between the inception date and the transition date can be estimated based on release pattern observed on similar contracts. For liabilities for remaining coverage that are reconstituted in this way at the inception date, the contractual service margin at inception (if any), less any acquisition costs paid in the interim period, is amortised based on the services provided in the period prior to the transition, in order to determine the amount of the remaining contractual service margin at that date, less any remaining acquisition costs. When contracts are grouped into a single group on the transition date, the discount rate on that date can be used. When the option to disaggregate \ufb01nancial changes between pro\ufb01t and loss and shareholders\u2019 equity has been elected, it requires the amount taken to shareholders\u2019 equity at the transition date to be recalculated from the inception rate for the liability for remaining coverage and from the rate at the date of claims occurrence for the liability for incurred claims. Where such reconstitution is not possible, the amount shown in equity shall be zero. (1) This restatement was taken into account for the balance sheet at the transition date at 1 January 2022. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 187 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements For the purposes of this reconstitution, the simpli\ufb01cations mainly covered the following: \u25a0 reconstitution of the annual cohorts or consolidation into a single group of contracts at the transition date according to available data; \u25a0 the reconstitution of ful\ufb01lment cash \ufb02ows and unamortised acquisition costs; \u25a0 the release of the risk adjustment between the date of issuance of the contracts and the transition date; \u25a0 discount rates (the rate at inception in the case of a reconstitution by annual cohorts or an average rate in the case of a consolidation into a single group of contracts at the transition date); \u25a0 the amount transferred to changes in equity that may be reclassi\ufb01ed to pro\ufb01t or loss at the transition date in respect of changes in the discount rate, that has been reconstituted based on historical rates or reset to zero if such a reconstitution is not achievable. For protection contracts valued according to the simplified method, the reserves for remaining coverage were generally determined at transition from the previous reserves for unearned premiums, net of acquisition costs. The incurred claims reserves arising from these contracts consist of expected cash \ufb02ows and risk adjustments for non-\ufb01nancial risks at the transition date. When cash \ufb02ows were discounted and for portfolios for which the disaggregation option of \ufb01nancial changes between pro\ufb01t and loss account and shareholders\u2019 equity has been chosen, the amount carried in changes in equity that may be reclassi\ufb01ed to pro\ufb01t or loss at the transition date in relation to changes in the discount rate was reconstituted based on the historical rates or set to zero if such a reconstitution was not achievable. For Life/Savings contracts valued under the variable fees model, the modi\ufb01ed retrospective approach consists in reconstituting the liability at the original date from the liability at the transition date. However, for these contracts, the standard provides that the contractual services margin at the transition date is determined using the following approach: \u25a0 the realisable value of the underlying assets at the transition date is \ufb01rst diminished by the ful\ufb01lment cash \ufb02ows (discounted cash \ufb02ows and risk adjustment) at that date; \u25a0 to this amount are added the income paid by the policyholders, changes in the risk adjustment and are deducted the acquisition costs paid during the interim period; \u25a0 the contractual service margin net of the acquisition costs initially reconstituted in this way is then amortised until the transition date to re\ufb02ect the services provided on that date, as well as the remaining acquisition costs to be amortised. The main simpli\ufb01cations in implementing this approach were as follows: \u25a0 existing contracts have been grouped according to the planned post-transition segmentation, without annual cohorts breakdown, in line with the election of the exception provided for by the European regulation; \u25a0 for general funds common to participating and non-participating contracts and to equity, the underlying assets have been de\ufb01ned on the basis of the breakdown used in the statutory accounts to calculate policyholders\u2019 participation; \u25a0 the contractual services margin at the transition date has been reconstituted: \u25a0 from the realisable value of the underlying assets (see above) less ful\ufb01lment cash \ufb02ows on the transition date, \u25a0 by adding the historical margins (obtained from accounting or management information), the total being amortised up to the transition date (using the same approach, taking into account the \u201cover-performance on assets\u201d, as used after the transition), and \u25a0 deducting any remaining acquisition costs; \u25a0 the amount recorded in changes in equity that may be reclassi\ufb01ed to pro\ufb01t or loss at the transition date as an adjustment for accounting mismatch was determined using the realisable value of the underlying assets recognised in equity at the transition date, in accordance with the standard. Finally, under the market value method, the contractual service margin at the transition date is determined as the difference at the transition date between the realisable value (\u201cfair value, determined without taking into account the amount payable on demand\u201d) and the ful\ufb01lment cash \ufb02ows. This approach was used on some non-material portfolios when the modi\ufb01ed retrospective approach could not be implemented. For these portfolios, the fair value has been estimated based on a Solvency 2 valuation and, in the particular case of a recent business combination dating from 2018, based on the amount allocated to the contracts during the acquisition price allocation process. IFRS 9 The IFRS 9 implementation project at the level of the Insurance activity built widely on the experience of other business lines in the Group already applying this standard, in particular to ensure consistency in classi\ufb01cation. Financial assets and liabilities of insurance entities are managed by portfolios corresponding to the insurance liabilities they back up or to the own funds. The business models were therefore determined according to these portfolios at the transition date to IFRS 9. In accordance with the criteria of the business model and of the contractual cash \ufb02ows, debt instruments will largely be classi\ufb01ed under the \u201cheld to collect and sell\u201d model, with the exception of those representing unit-linked contracts and debt instruments held by consolidated UCITS and managed at net asset value, which will be classi\ufb01ed at fair value through pro\ufb01t or loss. Certain speci\ufb01c assets will be classi\ufb01ed as at fair value on option. The majority of equity instruments will be measured at fair value through pro\ufb01t or loss, except in the case of certain assets backing up own funds and non- participating contracts portfolios, which will be measured at fair value through equity. Non-consolidated funds classi\ufb01ed as available for sale under 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 188 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements IAS 39 will be reclassi\ufb01ed at fair value through pro\ufb01t or loss. The treatment of derivatives remains unchanged, including hedge accounting as IAS 39 rules have been maintained by the Group. Since the beginning of 2022, \ufb01nancial assets have been monitored according to both IAS 39 and IFRS 9. The Group is planning to use the optional \u201coverlay classi\ufb01cation\u201d approach introduced by the amendment to IFRS 17 relating to the presentation of IFRS 9 \u2013 IFRS 17 comparisons, which allows \ufb01nancial assets to be presented in the 2022 comparative as if IFRS 9 had been applicable at that date. This choice would apply to all \ufb01nancial instruments, including those derecognised in 2022, in terms of both classi\ufb01cation and valuation (including impairment). Amendments to other standards The Group is also planning to apply the amendments to IAS 40 and IAS 16 resulting from IFRS 17, leading to the valuation at fair value through pro\ufb01t or loss of the buildings held as underlying components of direct participating contracts. The amendments to IAS 32 and IFRS 9 are expected to be applied, enabling the \ufb01nancial assets issued by the Group that are held as underlying items of direct participating contracts and are measured at fair value through pro\ufb01t or loss to be maintained in the balance sheet. Impacts estimated at 1 January 2022 Regarding insurance contracts, a full valuation exercise was realised during 2022 to establish the opening balance sheet at 1 January 2022 and prepare the 2022 comparative period. Based on this work, at 1 January 2022, the estimated impact on Group\u2019s shareholders\u2019 equity (1) of the application of IFRS 17 and IFRS 9 and of the various amendments to other standards amounted to -EUR 1.6 billion. This impact consists of EUR 0.5 billion related to the transition from IAS 39 to IFRS 9 and -EUR 2.1 billion related to the transition from IFRS 4 to IFRS 17 (2) . At 1 January 2022, for controlled entities, liabilities related to insurance contracts, net of insurance portfolios in assets, amounted to EUR 239.3 billion, and consist of the following: \u25a0 EUR 219.2 billion for the best estimate of future cash \ufb02ows; \u25a0 EUR 1.5 billion for the risk adjustment; \u25a0 EUR 18.6 billion for the contractual service margin.1.b CONSOLIDATION 1.b.1 Scope of consolidation The consolidated \ufb01nancial statements of BNP Paribas include entities that are controlled by the Group, jointly controlled, and under signi\ufb01cant in\ufb02uence, with the exception of those entities whose consolidation is regarded as immaterial to the Group. Companies that hold shares in consolidated companies are also consolidated. Subsidiaries are consolidated from the date on which the Group obtains effective control. Entities under temporary control are included in the consolidated \ufb01nancial statements until the date of disposal.1.b.2 Consolidation methods Exclusive control Controlled enterprises are fully consolidated. The Group controls a subsidiary when it is exposed, or has rights, to variable returns from its involvement with the entity and has the ability to affect those returns through its power over the entity. For entities governed by voting rights, the Group generally controls the entity if it holds, directly or indirectly, the majority of the voting rights (and if there are no contractual provisions that alter the power of these voting rights) or if the power to direct the relevant activities of the entity is conferred on it by contractual agreements. Structured entities are entities established so that they are not governed by voting rights, for instance when those voting rights relate to administrative tasks only, whereas the relevant activities are directed by means of contractual arrangements. They often have the following features or attributes: restricted activities, a narrow and well-de\ufb01ned objective and insuf\ufb01cient equity to permit them to \ufb01nance their activities without subordinated \ufb01nancial support. (1) Including change in assets and liabilities recognised in changes in equity that may be reclassi\ufb01ed to pro\ufb01t or loss. (2) Including amendments to other standards related to the application of IFRS 17, of which the impact of the EUR 1.5 billion in relation to the revaluation of buildings at fair value, offset by the corresponding revaluation of liabilities in direct participating contracts. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 189 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements For these entities, the analysis of control shall consider the purpose and design of the entity, the risks to which the entity is designed to be exposed and to what extent the Group absorbs the related variability. The assessment of control shall consider all facts and circumstances able to determine the Group\u2019s practical ability to make decisions that could signi\ufb01cantly affect its returns, even if such decisions are contingent on uncertain future events or circumstances. In assessing whether it has power, the Group considers only substantive rights which it holds or which are held by third parties. For a right to be substantive, the holder must have the practical ability to exercise that right when decisions about the relevant activities of the entity need to be made. Control is reassessed if facts and circumstances indicate that there are changes to one or more of the elements of control. Where the Group contractually holds the decision-making power, for instance where the Group acts as fund manager, it shall determine whether it is acting as agent or principal. Indeed, when associated with a certain level of exposure to the variability of returns, this decision-making power may indicate that the Group is acting on its own account and that it thus has control over those entities. Minority interests are presented separately in the consolidated pro\ufb01t and loss account and balance sheet within consolidated equity. The calculation of minority interests takes into account the outstanding cumulative preferred shares classi\ufb01ed as equity instruments issued by subsidiaries, when such shares are held outside the Group. As regards fully consolidated funds, units held by third-party investors are recognised as debts at fair value through pro\ufb01t or loss, inasmuch as they are redeemable at fair value at the subscriber\u2019s initiative. For transactions resulting in a loss of control, any equity interest retained by the Group is remeasured at its fair value through pro\ufb01t or loss.Joint control Where the Group carries out an activity with one or more partners, sharing control by virtue of a contractual agreement which requires unanimous consent on relevant activities (those that signi\ufb01cantly affect the entity\u2019s returns), the Group exercises joint control over the activity. Where the jointly controlled activity is structured through a separate vehicle in which the partners have rights to the net assets, this joint venture is accounted for using the equity method. Where the jointly controlled activity is not structured through a separate vehicle or where the partners have rights to the assets and obligations for the liabilities of the jointly controlled activity, the Group accounts for its share of the assets, liabilities, revenues and expenses in accordance with the applicable IFRS.Significant influence Companies over which the Group exercises signi\ufb01cant in\ufb02uence or associates are accounted for by the equity method. Signi\ufb01cant in\ufb02uence is the power to participate in the \ufb01nancial and operating policy decisions of a company without exercising control. Signi\ufb01cant in\ufb02uence is presumed to exist when the Group holds, directly or indirectly, 20% or more of the voting rights of a company. Interests of less than 20% can be included in the consolidation scope if the Group effectively exercises signi\ufb01cant in\ufb02uence. This is the case for example for entities developed in partnership with other associates, where the BNP Paribas Group participates in strategic decisions of the enterprise through representation on the Board of directors or equivalent governing body, or exercises in\ufb02uence over the enterprise\u2019s operational management by supplying management systems or senior managers, or provides technical assistance to support the enterprise\u2019s development. Changes in the net assets of associates (companies accounted for under the equity method) are recognised on the assets side of the balance sheet under \u201cInvestments in equity-method entities\u201d and in the relevant component of shareholders\u2019 equity. Goodwill recorded on associates is also included under \u201cEquity-method investments\u201d. Whenever there is an indication of impairment, the carrying amount of the investment consolidated under the equity method (including goodwill) is subjected to an impairment test, by comparing its recoverable value (the higher of value-in-use and market value less costs to sell) to its carrying amount. Where appropriate, impairment is recognised under \u201cShare of earnings of equity-method entities\u201d in the consolidated income statement and can be reversed at a later date. If the Group\u2019s share of losses of an equity-method entity equals or exceeds the carrying amount of its investment in this entity, the Group discontinues including its share of further losses. The investment is reported at nil value. Additional losses of the equity-method entity are provided for only to the extent that the Group has contracted a legal or constructive obligation, or has made payments on behalf of this entity. Where the Group holds an interest in an associate, directly or indirectly through an entity that is a venture capital organisation, a mutual fund, an open-ended investment company or similar entity such as an investment-related insurance fund, it may elect to measure that interest at fair value through pro\ufb01t or loss. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 190 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Realised gains and losses on investments in consolidated undertakings are recognised in the pro\ufb01t and loss account under \u201cNet gain on non-current assets\u201d. The consolidated \ufb01nancial statements are prepared using uniform accounting policies for similar transactions and other events occurring in similar circumstances.1.b.3 Consolidation rules Elimination of intragroup balances and transactions Intragroup balances arising from transactions between consolidated enterprises, and the transactions themselves (including income, expenses and dividends), are eliminated. Pro\ufb01ts and losses arising from intragroup sales of assets are eliminated, except where there is an indication that the asset sold is impaired. Unrealised gains and losses included in the value of \ufb01nancial instruments at fair value through equity and available-for-sale assets are maintained in the consolidated \ufb01nancial statements. Translation of accounts expressed in foreign currencies The consolidated \ufb01nancial statements of BNP Paribas are prepared in euros. The \ufb01nancial statements of enterprises whose functional currency is not the euro are translated using the closing rate method. Under this method, all assets and liabilities, both monetary and non-monetary, are translated using the spot exchange rate at the balance sheet date. Income and expense items are translated at the average rate for the period. Financial statements of the Group\u2019s subsidiaries located in hyperin\ufb02ationary economies, previously adjusted for in\ufb02ation by applying a general price index, are translated using the closing rate. This rate applies to the translation of assets and liabilities as well as income and expenses. Differences arising from the translation of balance sheet items and pro\ufb01t and loss items are recorded in shareholders\u2019 equity under \u201cExchange differences\u201d, and in \u201cMinority interests\u201d for the portion attributable to outside investors. Under the optional treatment permitted by IFRS 1, the Group has reset to zero all translation differences, by booking all cumulative translation differences attributable to shareholders and to minority interests in the opening balance sheet at 1 January 2004 to retained earnings. On liquidation or disposal of some or all of an interest held in a foreign enterprise located outside the eurozone, leading to a change in the nature of the investment (loss of control, loss of signi\ufb01cant in\ufb02uence or loss of joint control without keeping a signi\ufb01cant in\ufb02uence), the cumulative exchange difference at the date of liquidation or sale is recognised in the pro\ufb01t and loss account. Should the percentage of interest change without leading to a modi\ufb01cation in the nature of the investment, the exchange difference is reallocated between the portion attributable to shareholders and that attributable to minority interests if the entity is fully consolidated; if the entity is consolidated under the equity method, it is recorded in pro\ufb01t or loss for the portion related to the interest sold. 1.b.4 Business combination and measurement of goodwill Business combinations Business combinations are accounted for using the purchase method. Under this method, the acquiree\u2019s identi\ufb01able assets and liabilities assumed are measured at fair value at the acquisition date except for non-current assets classi\ufb01ed as assets held for sale which are accounted for at fair value less costs to sell. The acquiree\u2019s contingent liabilities are not recognised in the consolidated balance sheet unless they represent a present obligation on the acquisition date and their fair value can be measured reliably. The cost of a business combination is the fair value, at the date of exchange, of assets given, liabilities incurred or assumed, and equity instruments issued to obtain control of the acquiree. Costs directly attributable to the business combination are treated as a separate transaction and recognised through pro\ufb01t or loss. Any contingent consideration is included in the cost, as soon as control is obtained, at fair value on the date when control was acquired. Subsequent changes in the value of any contingent consideration recognised as a \ufb01nancial liability are recognised through pro\ufb01t or loss. The Group may recognise any adjustments to the provisional accounting within 12 months of the acquisition date. Goodwill represents the difference between the cost of the combination and the acquirer\u2019s interest in the net fair value of the identi\ufb01able assets and liabilities of the acquiree at the acquisition date. Positive goodwill is recognised in the acquirer\u2019s balance sheet, while negative goodwill is recognised immediately in pro\ufb01t or loss, on the acquisition date. Minority interests are measured at their share of the fair value of the acquiree\u2019s identi\ufb01able assets and liabilities. However, for each business combination, the Group can elect to measure minority interests at fair value, in which case a proportion of goodwill is allocated to them. To date, the Group has never used this latter option. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 191 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Goodwill is recognised in the functional currency of the acquiree and translated at the closing exchange rate. On the acquisition date, any previously held equity interest in the acquiree is remeasured at its fair value through pro\ufb01t or loss. In the case of a step acquisition, the goodwill is therefore determined by reference to the acquisition-date fair value. Since the revised IFRS 3 has been applied prospectively, business combinations completed prior to 1 January 2010 were not restated for the effects of changes to IFRS 3. As permitted under IFRS 1, business combinations that took place before 1 January 2004 and were recorded in accordance with the previously applicable accounting standards (French GAAP), had not been restated in accordance with the principles of IFRS 3.Measurement of goodwill The BNP Paribas Group tests goodwill for impairment on a regular basis. Cash-generating units The BNP Paribas Group has split all its activities into cash-generating units (1) representing major business lines. This split is consistent with the Group\u2019s organisational structure and management methods, and re\ufb02ects the independence of each unit in terms of results and management approach. It is reviewed on a regular basis in order to take account of events likely to affect the composition of cash-generating units, such as acquisitions, disposals and major reorganisations. Testing cash-generating units for impairment Goodwill allocated to cash-generating units is tested for impairment annually and whenever there is an indication that a unit may be impaired, by comparing the carrying amount of the unit with its recoverable amount. If the recoverable amount is less than the carrying amount, an irreversible impairment loss is recognised, and the goodwill is written down by the excess of the carrying amount of the unit over its recoverable amount. Recoverable amount of a cash-generating unit The recoverable amount of a cash-generating unit is the higher of the fair value of the unit less costs to sell, and its value in use. Fair value is the price that would be obtained from selling the unit at the market conditions prevailing at the date of measurement, as determined mainly by reference to actual prices of recent transactions involving similar entities or on the basis of stock market multiples for comparable companies. Value in use is based on an estimate of the future cash \ufb02ows to be generated by the cash-generating unit, derived from the annual forecasts prepared by the unit\u2019s management and approved by Group Executive Management, and from analyses of changes in the relative positioning of the unit\u2019s activities on their market. These cash \ufb02ows are discounted at a rate that re\ufb02ects the return that investors would require from an investment in the business sector and region involved.1.c TRANSLATION OF FOREIGN CURRENCY TRANSACTIONS The methods used to account for assets and liabilities relating to foreign currency transactions entered into by the Group, and to measure the foreign exchange risk arising on such transactions, depend on whether the asset or liability in question is classi\ufb01ed as a monetary or a non-monetary item. Monetary assets and liabilities (2) expressed in foreign currencies Monetary assets and liabilities expressed in foreign currencies are translated into the functional currency of the relevant Group entity at the closing rate. Foreign exchange differences are recognised in the pro\ufb01t and loss account, except for those arising from \ufb01nancial instruments designated as a cash \ufb02ow hedge or a net foreign investment hedge, which are recognised in shareholders\u2019 equity. (1) As de\ufb01ned by IAS 36. (2) Monetary assets and liabilities are assets and liabilities to be received or paid in \ufb01xed or determinable amounts of cash. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 192 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Non-monetary assets and liabilities expressed in foreign currencies Non-monetary assets may be measured either at historical cost or at fair value. Non-monetary assets expressed in foreign currencies are translated using the exchange rate at the date of the transaction (i.e. date of initial recognition of the non-monetary asset) if they are measured at historical cost, and at the closing rate if they are measured at fair value. Foreign exchange differences relating to non-monetary assets denominated in foreign currencies and recognised at fair value (equity instruments) are recognised in pro\ufb01t or loss when the asset is classi\ufb01ed in \u201cFinancial assets at fair value through pro\ufb01t or loss\u201d and in equity when the asset is classi\ufb01ed under \u201cFinancial assets at fair value through equity\u201d.1.d NET INTEREST INCOME, COMMISSIONS AND INCOME FROM OTHER ACTIVITIES 1.d.1 Net interest income Income and expenses relating to debt instruments measured at amortised cost and at fair value through shareholders\u2019 equity are recognised in the income statement using the effective interest rate method. The effective interest rate is the rate that ensures the discounted value of estimated future cash \ufb02ows through the expected life of the \ufb01nancial instrument or, when appropriate, a shorter period, is equal to the carrying amount of the asset or liability in the balance sheet. The effective interest rate measurement takes into account all fees received or paid that are an integral part of the effective interest rate of the contract, transaction costs, and premiums and discounts. Commissions considered as an additional component of interest are included in the effective interest rate and are recognised in the pro\ufb01t and loss account in \u201cNet interest income\u201d. This category includes notably commissions on \ufb01nancing commitments when it is considered that the setting up of a loan is more likely than unlikely. Commissions received in respect of \ufb01nancing commitments are deferred until they are drawn and then included in the effective interest rate calculation and amortised over the life of the loan. Syndication commissions are also included in this category for the portion of the commission equivalent to the remuneration of other syndication participants.1.d.2 Commissions and income from other activitiesCommissions received with regards to banking and similar services provided (except for those that are integral part of the effective interest rate), revenues from property development and revenues from services provided in connection with lease contracts fall within the scope of IFRS 15 \u201cRevenue from Contracts with Customers\u201d. This standard de\ufb01nes a single model for recognising revenue based on \ufb01ve-step principles. These \ufb01ve steps enable to identify the distinct performance obligations included in the contracts and allocate the transaction price among them. The income related to those performance obligations is recognised as revenue when the latter are satis\ufb01ed, namely when the control of the promised goods or services has been transferred. The price of a service may contain a variable component. Variable amounts may be recognised in the income statement only if it is highly probable that the amounts recorded will not result in a signi\ufb01cant downward adjustment. Commission The Group records commission income and expense in pro\ufb01t or loss either: \u25a0 over time as the service is rendered when the client receives continuous service. These include, for example, certain commissions on transactions with customers when services are rendered on a continuous basis, commissions on \ufb01nancing commitments that are not included in the interest margin, because the probability that they give rise to the drawing up of a loan is low, commissions on \ufb01nancial collateral, clearing commissions on \ufb01nancial instruments, commissions related to trust and similar activities, securities custody fees, etc. Commissions received under \ufb01nancial guarantee commitments are deemed to represent the initial fair value of the commitment. The resulting liability is subsequently amortised over the term of the commitment, in Commission income; or \u25a0 at a point in time when the service is rendered, in other cases. These include, for example, distribution fees received, loan syndication fees remunerating the arrangement service, advisory fees, etc.Income from other activities Income from property development as well as income from services provided in connection with lease contracts is recorded under \u201cincome from other activities\u201d in the income statement. As regards property development income, the Group records it in pro\ufb01t or loss: \u25a0 over time, when the performance obligation creates or enhances an asset on which the customer obtains control as it is created or enhanced (e.g. work in progress controlled by the client on the land in which the asset is located, etc.), or where the service performed does not create an asset 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 193 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements that the entity could otherwise use and gives it enforceable right to payment for performance completed to date. This is the case for contracts such as VEFA (sale in the future state of completion) in France; \u25a0 at completion in other cases. Regarding income from services provided in connection with lease contracts, the Group records them in pro\ufb01t or loss as the service is rendered, i.e. in proportion to the costs incurred for maintenance contracts.1.e FINANCIAL ASSETS AND LIABILITIES Financial assets, except those relating to insurance activities (see note 1.f) are classi\ufb01ed at amortised cost, at fair value through shareholders\u2019 equity or at fair value through pro\ufb01t or loss depending on the business model and the contractual features of the instruments at initial recognition. Financial liabilities are classi\ufb01ed at amortised cost or at fair value through pro\ufb01t or loss at initial recognition. Financial assets and liabilities are recognised in the balance sheet when the Group becomes a party to the contractual provisions of the instrument. Purchases and sales of \ufb01nancial assets made within a period established by the regulations or by a convention in the relevant marketplace are recognised in the balance sheet at the settlement date.1.e.1 Financial assets at amortised cost Financial assets are classi\ufb01ed at amortised cost if the following two criteria are met: the business model objective is to hold the instrument in order to collect the contractual cash \ufb02ows and the cash \ufb02ows consist solely of payments relating to principal and interest on the principal. Business model criterion Financial assets are managed within a business model whose objective is to hold \ufb01nancial assets in order to collect cash \ufb02ows through the collection of contractual payments over the life of the instrument. The realisation of disposals close to the maturity of the instrument and for an amount close to the remaining contractual cash-\ufb02ows, or due to an increase in the counterparty\u2019s credit risk is consistent with a business model whose objective is to collect the contractual cash \ufb02ows (\u201ccollect\u201d). Sales imposed by regulatory requirements or to manage the concentration of credit risk (without an increase in the asset\u2019s credit risk) are also consistent with this business model when they are infrequent or insigni\ufb01cant in value. Cash flow criterion The cash \ufb02ow criterion is satis\ufb01ed if the contractual terms of the debt instrument give rise, on speci\ufb01ed dates, to cash \ufb02ows that are solely repayments of principal and interest on the principal amount outstanding. The criterion is not met in the event of a contractual characteristic that exposes the holder to risks or to the volatility of contractual cash \ufb02ows that are inconsistent with those of a non-structured or \u201cbasic lending\u201d arrangement. It is also not satis\ufb01ed in the event of leverage that increases the variability of the contractual cash \ufb02ows. Interest consists of consideration for the time value of money, for the credit risk, and for the remuneration of other risks (e.g. liquidity risk), costs (e.g. administration fees), and a pro\ufb01t margin consistent with that of a basic lending arrangement. The existence of negative interest does not call into question the cash \ufb02ow criterion. The time value of money is the component of interest \u2013 usually referred to as the \u201crate\u201d component \u2013 which provides consideration for only the passage of time. The relationship between the interest rate and the passage of time must not be modi\ufb01ed by speci\ufb01c characteristics that could call into question the respect of the cash \ufb02ow criterion. Thus, when the variable interest rate of the \ufb01nancial asset is periodically reset at a frequency that does not match the duration for which the interest rate is established, the time value of money may be considered as modi\ufb01ed and, depending on the signi\ufb01cance of that modi\ufb01cation, the cash \ufb02ow criterion may not be met. Some \ufb01nancial assets held by the Group present a mismatch between the interest rate reset frequency and the maturity of the index, or interest rates indexed to an average of benchmark rate. The Group has developed a consistent methodology for analysing this alteration of the time value of money. Regulated rates meet the cash \ufb02ow criterion when they provide consideration that is broadly consistent with the passage of time and does not expose to risks or volatility in the contractual cash \ufb02ows that would be inconsistent with those of a basic lending arrangement (example: loans granted in the context of Livret A savings accounts). Some contractual clauses may change the timing or the amount of cash \ufb02ows. Early redemption options do not call into question the cash \ufb02ow criterion if the prepayment amount substantially represents the principal amount outstanding and the interest thereon, which may include reasonable compensation for the early termination of the contract. For example, as regards loans to retail customers, the compensation limited to 6 months of interest or 3% 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 194 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements of the capital outstanding is considered reasonable. Actuarial penalties, corresponding to the discounted value of the difference between the residual contractual cash-\ufb02ows of the loan, and their reinvestment in a loan to a similar counterparty or in the interbank market for a similar residual maturity are also considered as reasonable, even when the compensation can be positive or negative (i.e. \u201csymmetric\u201d compensation). An option that permits the issuer or the holder of a \ufb01nancial instrument to change the interest rate from \ufb02oating to \ufb01xed rate does not breach the cash \ufb02ow criterion if the \ufb01xed rate is determined at origination, or if it represents the time value of money for the residual maturity of the instrument at the date of exercise of the option. Clauses included in \ufb01nancing granted to encourage the sustainable development of companies which adjust the interest margin depending on the achievement of environmental, social or governance (ESG) objectives do not call into question the cash \ufb02ow criterion when such an adjustment is considered to be minimal. Structured instruments indexed to ESG market indices do not meet the cash \ufb02ow criterion. In the particular case of \ufb01nancial assets contractually linked to payments received on a portfolio of underlying assets and which include a priority order for payment of cash \ufb02ows between investors (\u201ctranches\u201d), thereby creating concentrations of credit risk, a speci\ufb01c analysis is carried out. The contractual characteristics of the tranche and those of the underlying \ufb01nancial instrument portfolios must meet the cash \ufb02ow criterion and the credit risk exposure of the tranche must be equal to or lower than the exposure to credit risk of the underlying pool of \ufb01nancial instruments. Certain loans may be \u201cnon-recourse\u201d, either contractually, or in substance when they are granted to a special purpose entity. That is in particular the case of numerous project \ufb01nancing or asset \ufb01nancing loans. The cash-\ufb02ow criterion is met as long as these loans do not represent a direct exposure on the assets acting as collateral. In practice, the sole fact that the \ufb01nancial asset explicitly gives rise to cash \ufb02ows that are consistent with payments of principal and interest is not suf\ufb01cient to conclude that the instrument meets the cash \ufb02ow criterion. In that case, the particular underlying assets to which there is limited recourse shall be analysed using the \u201clook-through\u201d approach. If those assets do not themselves meet the cash \ufb02ow criterion, the existing credit enhancement is assessed. The following aspects are considered: structuring and sizing of the transaction, own funds level of the structure, expected source of repayment, price volatility of the underlying assets. This analysis is applied to \u201cnon-recourse\u201d loans granted by the Group. The \u201c\ufb01nancial assets at amortised cost\u201d category includes, in particular, loans granted by the Group, as well as reverse repurchase agreements and securities held by the Group ALM Treasury in order to collect contractual \ufb02ows and meeting the cash \ufb02ow criterion. Recognition On initial recognition, \ufb01nancial assets are recognised at fair value, including transaction costs directly attributable to the transaction as well as commissions related to the origination of the loans. They are subsequently measured at amortised cost, including accrued interest and net of repayments of principal and interest during the past period. These \ufb01nancial assets are also subject from their initial recognition, to the measurement of a loss allowance for expected credit losses (note 1.e.5). Interest is calculated using the effective interest method determined at inception of the contract.1.e.2 Financial assets at fair value through shareholders\u2019 equity Debt instruments Debt instruments are classi\ufb01ed at fair value through shareholders\u2019 equity if the following two criteria are met: \u25a0 business model criterion: Financial assets are held in a business model whose objective is achieved by both holding the \ufb01nancial assets in order to collect contractual cash \ufb02ows and selling the \ufb01nancial assets (\u201ccollect and sale\u201d). The latter is not incidental but is an integral part of the business model; \u25a0 cash \ufb02ow criterion: The principles are identical to those applicable to \ufb01nancial assets at amortised cost. The securities held by the Group ALM Treasury in order to collect contractual \ufb02ows or to be sold and meeting the cash \ufb02ow criterion are in particular classi\ufb01ed in this category. On initial recognition, \ufb01nancial assets are recognised at their fair value, including transaction costs directly attributable to the transaction. They are subsequently measured at fair value and changes in fair value are recognised, under a speci\ufb01c line of shareholders\u2019 equity entitled \u201cChanges in assets and liabilities recognised directly in equity that may be reclassi\ufb01ed to pro\ufb01t or loss\u201d. These \ufb01nancial assets are also subject to the measurement of a loss allowance for expected credit losses on the same approach as for debt instruments at amortised cost. The counterparty of the related impact in cost of risk is recognised in the same speci\ufb01c line of shareholders\u2019 equity. On disposal, changes in fair value previously recognised in shareholders\u2019 equity are reclassi\ufb01ed to pro\ufb01t or loss. In addition, interest is recognised in the income statement using the effective interest method determined at the inception of the contract. Equity instruments Investments in equity instruments such as shares are classi\ufb01ed on option, and on a case-by-case basis, at fair value through shareholders\u2019 equity (under a speci\ufb01c line). On disposal of the shares, changes in fair value previously recognised in equity are not recognised in pro\ufb01t or loss. Only dividends, if they represent remuneration for the investment and not repayment of capital, are recognised in pro\ufb01t or loss. These instruments are not subject to impairment. Investments in mutual funds puttable to the issuer do not meet the de\ufb01nition of equity instruments. They do not meet the cash \ufb02ow criterion either, and thus are recognised at fair value through pro\ufb01t or loss. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 195 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements1.e.3 Financing and guarantee commitments Financing and \ufb01nancial guarantee commitments that are not recognised at fair value through pro\ufb01t or loss are presented in the note relating to \ufb01nancing and guarantee commitments. They are subject to the measurement of a loss allowance for expected credit losses. These loss allowances are presented under \u201cProvisions for contingencies and charges\u201d.1.e.4 Regulated savings and loan contracts Home savings accounts (Comptes \u00c9pargne Logement \u2013 \u201cCEL\u201d) and home savings plans (Plans d\u2019\u00c9pargne Logement \u2013 \u201cPEL\u201d) are government-regulated retail products sold in France. They combine a savings phase and a loan phase which are inseparable, with the loan phase contingent upon the savings phase. These products contain two types of obligations for BNP Paribas: an obligation to pay interest on the savings for an inde\ufb01nite period, at a rate set by the government at the inception of the contract (in the case of PEL products) or at a rate reset every six months using an indexation formula set by law (in the case of CEL products); and an obligation to lend to the customer (at the customer\u2019s option) an amount contingent upon the rights acquired during the savings phase, at a rate set at the inception of the contract (in the case of PEL products) or at a rate contingent upon the savings phase (in the case of CEL products). The Group\u2019s future obligations with respect to each generation (in the case of PEL products, a generation comprises all products with the same interest rate at inception; in the case of CEL products, all such products constitute a single generation) are measured by discounting potential future earnings from at-risk outstandings for that generation. At-risk outstandings are estimated on the basis of a historical analysis of customer behaviour, and are equivalent to: \u25a0 for the loan phase: statistically probable loans outstanding and actual loans outstanding; \u25a0 for the savings phase: the difference between statistically probable outstandings and minimum expected outstandings, with minimum expected outstandings being deemed equivalent to unconditional term deposits. Earnings for future periods from the savings phase are estimated as the difference between the reinvestment rate and the \ufb01xed savings interest rate on at-risk savings outstanding for the period in question. Earnings for future periods from the loan phase are estimated as the difference between the re\ufb01nancing rate and the \ufb01xed loan interest rate on at-risk loans outstanding for the period in question. The reinvestment rate for savings and the re\ufb01nancing rate for loans are derived from the swap yield curve and from the spreads expected on \ufb01nancial instruments of similar type and maturity. Spreads are determined on the basis of actual spreads on \ufb01xed-rate home loans in the case of the loan phase and products offered to individual clients in the case of the savings phase. In order to re\ufb02ect the uncertainty of future interest rate trends, and the impact of such trends on customer behaviour models and on at-risk outstandings, the obligations are estimated using the Monte-Carlo method. Where the sum of the Group\u2019s estimated future obligations with respect to the savings and loan phases of any generation of contracts indicates a potentially unfavourable situation for the Group, a provision is recognised (with no offset between generations) in the balance sheet in \u201cProvisions for contingencies and charges\u201d. Movements in this provision are recognised as interest income in the pro\ufb01t and loss account.1.e.5 Impairment of financial assets measured at amortised cost and debt instruments measured at fair value through shareholders\u2019 equity The impairment model for credit risk is based on expected losses. This model applies to loans and debt instruments measured at amortised cost or at fair value through equity, to loan commitments and \ufb01nancial guarantee contracts that are not recognised at fair value, as well as to lease receivables, trade receivables and contract assets. General model The Group identi\ufb01es three \u201cstages\u201d that each correspond to a speci\ufb01c status with regards to the evolution of counterparty credit risk since the initial recognition of the asset: \u25a0 12-month expected credit losses (\u201cstage 1\u201d): If at the reporting date, the credit risk of the \ufb01nancial instrument has not increased signi\ufb01cantly since its initial recognition, this instrument is impaired at an amount equal to 12-month expected credit losses (resulting from the risk of default within the next 12 months); \u25a0 Lifetime expected credit losses for non-impaired assets (\u201cstage 2\u201d): The loss allowance is measured at an amount equal to the lifetime expected credit losses if the credit risk of the \ufb01nancial instrument has increased signi\ufb01cantly since initial recognition, but the \ufb01nancial asset is not considered credit-impaired or doubtful; \u25a0 Lifetime expected credit losses for credit-impaired or doubtful \ufb01nancial assets (\u201cstage 3\u201d): The loss allowance is also measured for an amount equal to the lifetime expected credit losses. This general model is applied to all instruments within the scope of IFRS 9 impairment, except for purchased or originated credit-impaired \ufb01nancial assets and instruments for which a simpli\ufb01ed model is used (see below). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 196 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The IFRS 9 expected credit loss approach is symmetrical, i.e. if lifetime expected credit losses have been recognised in a previous reporting period, and if it is assessed in the current reporting period that there is no longer any signi\ufb01cant increase in credit risk since initial recognition, the loss allowance reverts to a 12-months expected credit loss. As regards interest income, under \u201cstages 1 and 2\u201d, it is calculated on the gross carrying amount. Under \u201cstage 3\u201d, interest income is calculated on the amortised cost (i.e. the gross carrying amount adjusted for the loss allowance). Definition of default The de\ufb01nition of default is aligned with the Basel regulatory default de\ufb01nition, with a rebuttable presumption that the default occurs no later than 90 days past due. This de\ufb01nition takes into account the EBA guidelines of 28 September 2016, notably those regarding the thresholds applicable for the counting of past-due and probation periods. The de\ufb01nition of default is used consistently for assessing the increase in credit risk and measuring expected credit losses. Credit-impaired or doubtful financial assets Definition A \ufb01nancial asset is considered credit-impaired or doubtful and classi\ufb01ed in \u201cstage 3\u201d when one or more events that have a detrimental impact on the estimated future cash \ufb02ows of that \ufb01nancial asset have occurred. At an individual level, objective evidence that a \ufb01nancial asset is credit-impaired includes observable data regarding the following events: the existence of accounts that are more than 90 days past due; knowledge or indications that the borrower is experiencing signi\ufb01cant \ufb01nancial dif\ufb01culties, such that a risk can be considered to have arisen regardless of whether the borrower has missed any payments; concessions with respect to the credit terms granted to the borrower that the lender would not have considered had the borrower not been in \ufb01nancial dif\ufb01culty (see section Restructuring of \ufb01nancial assets for \ufb01nancial dif\ufb01culties). Specific cases of purchased or originated credit-impaired assets In some cases, \ufb01nancial assets are credit-impaired at initial recognition. For these assets, no loss allowance is recorded on initial recognition. The effective interest rate is calculated taking into account the lifetime expected credit losses in the initial estimated cash \ufb02ows. Any change in lifetime expected credit losses since initial recognition, positive or negative, is recognised as a loss allowance adjustment in pro\ufb01t or loss. Simplified model The simpli\ufb01ed approach consists in accounting for a loss allowance corresponding to lifetime expected credit losses since initial recognition, and at each reporting date. The Group applies this model to trade receivables with a maturity shorter than 12 months. Significant increase in credit risk A signi\ufb01cant increase in credit risk may be assessed on an individual basis or on a collective basis (by grouping \ufb01nancial instruments according to common credit risk characteristics), taking into account all reasonable and supportable information and comparing the risk of default of the \ufb01nancial instrument at the reporting date with the risk of default of the \ufb01nancial instrument at the date of initial recognition. Assessment of deterioration is based on the comparison of the probabilities of default derived from the ratings on the date of initial recognition with those existing at the reporting date. There is also, according to the standard, a rebuttable presumption that the credit risk of an instrument has signi\ufb01cantly increased since initial recognition when the contractual payments are more than 30 days past due. In the consumer credit specialist business, a signi\ufb01cant increase in credit risk is also considered when a past due event has occurred within the last 12 months, even if it has since been regularised. In the context of the health crisis, the granting of moratoria that meet the criteria de\ufb01ned in the EBA guidelines published on 2 April 2020, and amended on 2 December 2020, has not been considered, in isolation, as an indicator of a signi\ufb01cant increase in credit risk leading to an automatic transfer to stage 2. The granting of \u201cprivate\u201d moratoria that meet equivalent criteria to those de\ufb01ned in the EBA guidelines has followed the same treatment. Moratoria do not trigger the counting of past-due days as long as the new payment schedule is respected. The principles applied to assess the signi\ufb01cant increase in credit risk are detailed in note 2.h Cost of risk. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 197 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Measurement of expected credit losses Expected credit losses are de\ufb01ned as an estimate of credit losses (i.e. the present value of all cash shortfalls) weighted by the probability of occurrence of these losses over the expected life of the \ufb01nancial instruments. They are measured on an individual basis, for all exposures. In practice, for exposures classi\ufb01ed in stage 1 and stage 2, expected credit losses are measured as the product of the probability of default (\u201cPD\u201d), Loss Given Default (\u201cLGD\u201d) and exposure at default (\u201cEAD\u201d), discounted at the effective interest rate of the exposure (EIR). They result from the risk of default within the next 12 months (stage 1), or from the risk of default over the maturity of the facility (stage 2). In the consumer credit specialist business, because of the speci\ufb01city of credit exposures, the methodology used is based on the probability of transition to term forfeiture, and on discounted loss rates after term forfeiture. These parameters are measured on a statistical basis for homogeneous populations. For exposures classi\ufb01ed in stage 3, expected credit losses are measured as the value, discounted at the effective interest rate, of all cash shortfalls over the life of the \ufb01nancial instrument. Cash shortfalls represent the difference between the cash-\ufb02ows that are due in accordance with the contract, and the cash-\ufb02ows that are expected to be received. Where appropriate, the estimate of expected cash \ufb02ows takes into account a cash \ufb02ow scenario arising from the sale of the defaulted loans or groups of loans. Proceeds from the sale are recorded net of costs to sell. The methodology developed is based on existing concepts and methods (in particular the Basel framework) on exposures for which capital requirement for credit risk is measured according to the IRBA methodology. This method is also applied to portfolios for which capital requirement for credit risk is measured according to the standardised approach. Besides, the Basel framework has been adjusted in order to be compliant with IFRS 9 requirements, in particular the use of forward-looking information. Maturity All contractual terms of the \ufb01nancial instrument are taken into account, including prepayment, extension and similar options. In the rare cases where the expected life of the \ufb01nancial instrument cannot be estimated reliably, the residual contractual term is used. The standard speci\ufb01es that the maximum period to consider when measuring expected credit losses is the maximum contractual period. However, for revolving credit cards and overdrafts, in accordance with the exception provided by IFRS 9 for these products, the maturity considered for measuring expected credit losses is the period over which the entity is exposed to credit risk, which may extend beyond the contractual maturity (notice period). For revolving credits and overdrafts to non-retail counterparties, the contractual maturity can be used, for example if the next review date is the contractual maturity as they are individually managed. Probabilities of Default (PD) Probability of Default is an estimate of the likelihood of default over a given time horizon. The determination of the PD is based on the Group\u2019s internal rating system, which is described in chapter 5 of the Universal registration document (section 5.4 Credit risk \u2013 Credit risk management policy). This section describes how environmental, social and governance (ESG) risks are taken into account in credit and rating policies, notably with the introduction of a new tool: the ESG Assessment. The measurement of expected credit losses requires the estimation of both 1-year probabilities of default and lifetime probabilities of default. 1-year PDs are derived from long term average regulatory \u201cthrough the cycle\u201d PDs to re\ufb02ect the current situation (\u201cPoint in Time\u201d or \u201cPIT\u201d). Lifetime PDs are determined based on the rating migration matrices re\ufb02ecting the expected changes in the rating of the exposure until maturity, and the associated probabilities of default. Loss Given Default (LGD) Loss Given Default is the difference between contractual cash-\ufb02ows and expected cash-\ufb02ows, discounted using the effective interest rate (or an approximation thereof) at the default date. LGD is expressed as a percentage of the Exposure At Default (EAD). The estimate of expected cash \ufb02ows takes into account cash \ufb02ows resulting from the sale of collateral held or other credit enhancements if they are part of the contractual terms and are not accounted for separately by the entity (for example, a mortgage associated with a residential loan), net of the costs of obtaining and selling the collateral. For guaranteed loans, the guarantee is considered as integral to the loan agreement if it is embedded in the contractual clauses of the loan, or if it was granted concomitantly to the loan, and if the expected reimbursement amount can be attached to a loan in particular (i.e. absence of pooling effect by means of a tranching mechanism, or the existence of a global cap for a whole portfolio). In such case, the guarantee is taken into account when measuring the expected credit losses. Otherwise, it is accounted for as a separate reimbursement asset. The LGD used for IFRS 9 purposes is derived from the Basel LGD parameters. It is adjusted for downturn and conservatism margins (in particular regulatory margins), except for margins for model uncertainties. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 198 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Exposure At Default (EAD) Exposure At Default (EAD) of an instrument is the anticipated outstanding amount owed by the obligor at the time of default. It is determined by the expected payment pro\ufb01le taking into account, depending on the product type: the contractual repayment schedule, expected early repayments and expected future drawings for revolving facilities. Forward-looking information The amount of expected credit losses is measured on the basis of probability-weighted scenarios, in view of past events, current conditions and reasonable and supportable economic forecasts. The principles applied to take into account forward-looking information when measuring expected credit losses are detailed in note 2.h Cost of risk. Write-offs A write-off consists in reducing the gross carrying amount of a \ufb01nancial asset when there are no longer reasonable expectations of recovering that \ufb01nancial asset in its entirety or a portion thereof, or when it has been fully or partially forgiven. The write-off is recorded when all other means available to the Bank for recovering the receivables or guarantees have failed, and also generally depends on the context speci\ufb01c to each jurisdiction. If the amount of loss on write-off is greater than the accumulated loss allowance, the difference is recognised as an additional impairment loss in \u201cCost of risk\u201d. For any recovery once the \ufb01nancial asset (or part thereof) is no longer recognised on the balance sheet, the amount received is recorded as a gain in \u201cCost of risk\u201d. Recoveries through the repossession of the collateral When a loan is secured by a \ufb01nancial or a non-\ufb01nancial asset serving as a guarantee and the counterparty is in default, the Group may decide to exercise the guarantee and, depending on the jurisdiction, it may then become owner of the asset. In such a situation, the loan is written-off against the asset received as collateral. Once ownership of the asset is effective, it is recognised at fair value and classi\ufb01ed according to the intent of use. Restructuring of financial assets for financial difficulties A restructuring due to the borrower\u2019s \ufb01nancial dif\ufb01culties is de\ufb01ned as a change in the terms and conditions of the initial transaction that the Group is considering only for economic or legal reasons related to the borrower\u2019s \ufb01nancial dif\ufb01culties. For restructurings not resulting in derecognition of the \ufb01nancial asset, the restructured asset\u2019s gross carrying amount is reduced to the discounted amount, using the original effective interest rate of the asset, of the new expected future \ufb02ows. The change in the gross carrying amount of the asset is recorded in the income statement in \u201cCost of risk\u201d. The existence of a signi\ufb01cant increase in credit risk for the \ufb01nancial instrument is then assessed by comparing the risk of default after the restructuring (under the revised contractual terms) and the risk of default at the initial recognition date (under the original contractual terms). In order to demonstrate that the criteria for recognising lifetime expected credit losses are no longer met, good payment behaviour will have to be observed over a certain period of time. When the restructuring consists of a partial or total exchange against other substantially different assets (for example, the exchange of a debt instrument against an equity instrument), it results in the extinction of the original asset and the recognition of the assets remitted in exchange, measured at their fair value at the date of exchange. The difference in value is recorded in the income statement in \u201cCost of risk\u201d. As a reminder, in response to the health crisis, several moratoria have been granted to clients. These moratoria mostly consisted in payment suspension of a few months, with additional interest that may or not continue to accrue during the suspension period. Accordingly, the modi\ufb01cation was generally considered as not substantial. The associated discount (linked to the absence of interest accruing, or interest accruing at a rate that was lower than the EIR of the loan) was therefore recognised in NBI, subject to meeting certain criteria (1) . In such cases, the moratorium was considered as not being granted in response to the borrower\u2019s \ufb01nancial dif\ufb01culties, but in response to a temporary liquidity crisis and the credit risk was not considered to have signi\ufb01cantly increased. Modi\ufb01cations to \ufb01nancial assets that are not due to a borrower\u2019s \ufb01nancial dif\ufb01culties, or granted in the context of a moratorium (i.e. commercial renegotiations) are generally analysed as the early repayment of the former loan, which is then derecognised, followed by the set-up of a new loan at market conditions. They consist in resetting the interest rate of the loan at market conditions, with the client being in a position to change lender and not encountering any \ufb01nancial dif\ufb01culties. Probation periods The Group applies observation periods to assess the possible return to a better stage. Accordingly, a 3-month probation period is observed for the transition from stage 3 to stage 2, which is extended to 12 months in the event of restructuring due to \ufb01nancial dif\ufb01culties. For the transition from stage 2 to stage 1, a probation period of two years is observed for loans that have been restructured due to \ufb01nancial dif\ufb01culties. (1) Moratoria quali\ufb01ed as \u201cCovid-19 General moratorium Measure\u201d (i.e. meeting the criteria de\ufb01ned in EBA Guidelines published on 2 April 2020 and amended on 2 December 2020) or similar measures that do not lead to a transfer to stage 3. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 199 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements 1.e.6 Cost of risk Cost of risk includes the following items of pro\ufb01t or loss: \u25a0 impairment gains and losses resulting from the accounting of loss allowances for 12-month expected credit losses and lifetime expected credit losses (\u201cstage 1\u201d and \u201cstage 2\u201d) relating to debt instruments measured at amortised cost or at fair value through shareholders\u2019 equity, loan commitments and \ufb01nancial guarantee contracts that are not recognised at fair value as well as lease receivables, contract assets and trade receivables; \u25a0 impairment gains and losses resulting from the accounting of loss allowances relating to \ufb01nancial assets (including those at fair value through pro\ufb01t or loss) for which there is objective evidence of impairment (\u201cstage 3\u201d), write-offs on irrecoverable loans and amounts recovered on loans written-off; \u25a0 impairment gains and losses relating to \ufb01xed-income securities of insurance entities that are individually impaired (which fall under IAS 39). It also includes expenses relating to fraud and to disputes inherent to the \ufb01nancing activity.1.e.7 Financial instruments at fair value through profit or loss Trading portfolio and other financial assets measured at fair value through profit or loss The trading portfolio includes instruments held for trading (trading transactions), including derivatives. Other \ufb01nancial assets measured at fair value through pro\ufb01t or loss include debt instruments that do not meet the \u201ccollect\u201d or \u201ccollect and sale\u201d business model criterion or that do not meet the cash \ufb02ow criterion, as well as equity instruments for which the fair value through shareholders\u2019 equity option has not been retained. All those \ufb01nancial instruments are measured at fair value at initial recognition, with transaction costs directly posted in pro\ufb01t or loss. At the reporting date, they are measured at fair value, with changes presented in \u201cNet gain/loss on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d. Income, dividends, and realised gains and losses on disposal related to held-for-trading transactions are accounted for in the same pro\ufb01t or loss account. Financial liabilities designated as at fair value through profit or loss Financial liabilities are recognised under option in this category in the two following situations: \u25a0 for hybrid \ufb01nancial instruments containing one or more embedded derivatives which otherwise would have been separated and accounted for separately. An embedded derivative is such that its economic characteristics and risks are not closely related to those of the host contract; \u25a0 when using the option enables the entity to eliminate or signi\ufb01cantly reduce a mismatch in the measurement and accounting treatment of assets and liabilities that would otherwise arise if they were to be classi\ufb01ed in separate categories. Changes in fair value due to the own credit risk are recognised under a speci\ufb01c heading of shareholders\u2019 equity.1.e.8 Financial liabilities and equity instruments A \ufb01nancial instrument issued or its various components are classi\ufb01ed as a \ufb01nancial liability or equity instrument, in accordance with the economic substance of the legal contract. Financial instruments issued by the Group are quali\ufb01ed as debt instruments if the entity in the Group issuing the instruments has a contractual obligation to deliver cash or another \ufb01nancial asset to the holder of the instrument. The same applies if the Group is required to exchange \ufb01nancial assets or \ufb01nancial liabilities with another entity under conditions that are potentially unfavourable to the Group, or to deliver a variable number of the Group\u2019s own equity instruments. Equity instruments result from contracts evidencing a residual interest in an entity\u2019s assets after deducting all of its liabilities. Debt securities and subordinated debt Debt securities and subordinated debt are measured at amortised cost unless they are recognised at fair value through pro\ufb01t or loss. Debt securities are initially recognised at the issue value including transaction costs and are subsequently measured at amortised cost using the effective interest method. Bonds redeemable or convertible into own equity are hybrid instruments that may contain a debt component and an equity component, determined upon initial recognition of the transaction. Equity instruments The term \u201cown equity instruments\u201d refers to shares issued by the parent company (BNP Paribas SA) and by its fully consolidated subsidiaries. External costs that are directly attributable to an issue of new shares are deducted from equity net of all related taxes. Own equity instruments held by the Group, also known as treasury shares, are deducted from consolidated shareholders\u2019 equity irrespective of the purpose for which they are held. Gains and losses arising on such instruments are eliminated from the consolidated pro\ufb01t and loss account. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 200 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements When the Group acquires equity instruments issued by subsidiaries under the exclusive control of BNP Paribas, the difference between the acquisition price and the share of net assets acquired is recorded in retained earnings attributable to BNP Paribas shareholders. Similarly, the liability corresponding to put options granted to minority shareholders in such subsidiaries, and changes in the value of that liability, are offset against minority interests, with any surplus offset against retained earnings attributable to BNP Paribas shareholders. Until these options have been exercised, the portion of net income attributable to minority interests is allocated to minority interests in the pro\ufb01t and loss account. A decrease in the Group\u2019s interest in a fully consolidated subsidiary is recognised in the Group\u2019s accounts as a change in shareholders\u2019 equity. Financial instruments issued by the Group and classi\ufb01ed as equity instruments (e.g. Undated Super Subordinated Notes) are presented in the balance sheet in \u201cCapital and retained earnings\u201d. Distributions from a \ufb01nancial instrument classi\ufb01ed as an equity instrument are recognised directly as a deduction from equity. Similarly, the transaction costs of an instrument classi\ufb01ed as equity are recognised as a deduction from shareholders\u2019 equity. Own equity instrument derivatives are treated as follows, depending on the method of settlement: \u25a0 as equity instruments if they are settled by physical delivery of a \ufb01xed number of own equity instruments for a \ufb01xed amount of cash or other \ufb01nancial asset. Such instruments are not revalued; \u25a0 as derivatives if they are settled in cash or by choice by physical delivery of the shares or in cash. Changes in value of such instruments are taken to the pro\ufb01t and loss account. If the contract includes an obligation, whether contingent or not, for the bank to repurchase its own shares, the bank recognises the debt at its present value with an offsetting entry in shareholders\u2019 equity.1.e.9 Hedge accounting The Group retained the option provided by the standard to maintain the hedge accounting requirements of IAS 39 until the future standard on macro- hedging is entered into force. Furthermore, IFRS 9 does not explicitly address the fair value hedge of the interest rate risk on a portfolio of \ufb01nancial assets or liabilities. The provisions in IAS 39 for these portfolio hedges, as adopted by the European Union, continue to apply. Derivatives contracted as part of a hedging relationship are designated according to the purpose of the hedge. Fair value hedges are particularly used to hedge interest rate risk on \ufb01xed-rate assets and liabilities, both for identi\ufb01ed \ufb01nancial instruments (securities, debt issues, loans, borrowings) and for portfolios of \ufb01nancial instruments (in particular, demand deposits and \ufb01xed-rate loans). Cash \ufb02ow hedges are particularly used to hedge interest rate risk on \ufb02oating-rate assets and liabilities, including rollovers, and foreign exchange risks on highly probable forecast foreign currency revenues. At the inception of the hedge, the Group prepares formal documentation which details the hedging relationship, identifying the instrument, or portion of the instrument, or portion of risk that is being hedged, the hedging strategy and the type of risk hedged, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship. On inception and at least quarterly, the Group assesses, in consistency with the original documentation, the actual (retrospective) and expected (prospective) effectiveness of the hedging relationship. Retrospective effectiveness tests are designed to assess whether the ratio of actual changes in the fair value or cash \ufb02ows of the hedging instrument to those in the hedged item is within a range of 80% to 125%. Prospective effectiveness tests are designed to ensure that expected changes in the fair value or cash \ufb02ows of the derivative over the residual life of the hedge adequately offset those of the hedged item. For highly probable forecast transactions, effectiveness is assessed largely on the basis of historical data for similar transactions. Under IAS 39 as adopted by the European Union, which excludes certain provisions on portfolio hedging, interest rate risk hedging relationships based on portfolios of assets or liabilities qualify for fair value hedge accounting as follows: \u25a0 the risk designated as being hedged is the interest rate risk associated with the interbank rate component of interest rates on commercial banking transactions (loans to customers, savings accounts and demand deposits); \u25a0 the instruments designated as being hedged correspond, for each maturity band, to a portion of the interest rate gap associated with the hedged underlying; \u25a0 the hedging instruments used consist exclusively of \u201cplain vanilla\u201d swaps; \u25a0 prospective hedge effectiveness is established by the fact that all derivatives must, on inception, have the effect of reducing interest rate risk in the portfolio of hedged underlying. Retrospectively, a hedge will be disquali\ufb01ed from hedge accounting once a shortfall arises in the underlying speci\ufb01cally associated with that hedge for each maturity band (due to prepayment of loans or withdrawals of deposits). The accounting treatment of derivatives and hedged items depends on the hedging strategy. In a fair value hedging relationship, the derivative instrument is remeasured at fair value in the balance sheet, with changes in fair value recognised in pro\ufb01t or loss in \u201cNet gain/loss on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d, symmetrically with the remeasurement of the hedged item to re\ufb02ect the hedged risk. In the balance sheet, the fair value remeasurement of the hedged component is recognised in accordance with the classi\ufb01cation of the hedged item in the case of a hedge of identi\ufb01ed assets and liabilities, or under \u201cRemeasurement adjustment on interest rate risk hedged portfolios\u201d in the case of a portfolio hedging relationship. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 201 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements If a hedging relationship ceases or no longer ful\ufb01ls the effectiveness criteria, the hedging instrument is transferred to the trading book and accounted for using the treatment applied to this category. In the case of identi\ufb01ed \ufb01xed-income instruments, the remeasurement adjustment recognised in the balance sheet is amortised at the effective interest rate over the remaining life of the instrument. In the case of interest rate risk hedged \ufb01xed-income portfolios, the adjustment is amortised on a straight-line basis over the remainder of the original term of the hedge. If the hedged item no longer appears in the balance sheet, in particular due to prepayments, the adjustment is taken to the pro\ufb01t and loss account immediately. In a cash \ufb02ow hedging relationship, the derivative is measured at fair value in the balance sheet, with changes in fair value taken to shareholders\u2019 equity on a separate line, \u201cChanges in fair value recognised directly in equity\u201d. The amounts taken to shareholders\u2019 equity over the life of the hedge are transferred to the pro\ufb01t and loss account under \u201cNet interest income\u201d as and when the cash \ufb02ows from the hedged item impact pro\ufb01t or loss. The hedged items continue to be accounted for using the treatment speci\ufb01c to the category to which they belong. If the hedging relationship ceases or no longer ful\ufb01ls the effectiveness criteria, the cumulative amounts recognised in shareholders\u2019 equity as a result of the remeasurement of the hedging instrument remain in equity until the hedged transaction itself impacts pro\ufb01t or loss, or until it becomes clear that the transaction will not occur, at which point they are transferred to the pro\ufb01t and loss account. If the hedged item ceases to exist, the cumulative amounts recognised in shareholders\u2019 equity are immediately taken to the pro\ufb01t and loss account. Whatever the hedging strategy used, any ineffective portion of the hedge is recognised in the pro\ufb01t and loss account under \u201cNet gain/loss on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d. Hedges of net foreign currency investments in subsidiaries and branches are accounted for in the same way as cash \ufb02ow hedges. Hedging instruments may be foreign exchange derivatives or any other non-derivative \ufb01nancial instrument.1.e.10 Determination of fair value Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants in the principal market or most advantageous market, at the measurement date. The Group determines the fair value of \ufb01nancial instruments either by using prices obtained directly from external data or by using valuation techniques. These valuation techniques are primarily market and income approaches encompassing generally accepted models (e.g. discounted cash \ufb02ows, Black- Scholes model, and interpolation techniques). They maximise the use of observable inputs and minimise the use of unobservable inputs. They are calibrated to re\ufb02ect current market conditions and valuation adjustments are applied as appropriate, when some factors such as model, liquidity and credit risks are not captured by the models or their underlying inputs but are nevertheless considered by market participants when setting the exit price. The unit of measurement is the individual \ufb01nancial asset or \ufb01nancial liability but a portfolio-based measurement can be elected, subject to certain conditions. Accordingly, the Group retains this portfolio-based measurement exception to determine the fair value when some group of \ufb01nancial assets and \ufb01nancial liabilities and other contracts within the scope of the standard relating to \ufb01nancial instruments with substantially similar and offsetting market risks or credit risks are managed on the basis of a net exposure, in accordance with the documented risk management strategy. Assets and liabilities measured or disclosed at fair value are categorised into the three following levels of the fair value hierarchy: \u25a0 Level 1: fair values are determined using directly quoted prices in active markets for identical assets and liabilities. Characteristics of an active market include the existence of a suf\ufb01cient frequency and volume of activity and of readily available prices; \u25a0 Level 2: fair values are determined based on valuation techniques for which signi\ufb01cant inputs are observable market data, either directly or indirectly. These techniques are regularly calibrated and the inputs are corroborated with information from active markets; \u25a0 Level 3: fair values are determined using valuation techniques for which signi\ufb01cant inputs are unobservable or cannot be corroborated by market- based observations, due for instance to illiquidity of the instrument and signi\ufb01cant model risk. An unobservable input is a parameter for which there are no market data available and that is therefore derived from proprietary assumptions about what other market participants would consider when assessing fair value. The assessment of whether a product is illiquid or subject to signi\ufb01cant model risks is a matter of judgment. The level in the fair value hierarchy within which the asset or liability is categorised in its entirety is based upon the lowest level input that is signi\ufb01cant to the entire fair value. For \ufb01nancial instruments disclosed in Level 3 of the fair value hierarchy, and marginally some instruments disclosed in Level 2, a difference between the transaction price and the fair value may arise at initial recognition. This \u201cDay One Pro\ufb01t\u201d is deferred and released to the pro\ufb01t and loss account over the period during which the valuation parameters are expected to remain non-observable. When parameters that were originally non-observable become observable, or when the valuation can be substantiated in comparison with recent similar transactions in an active market, the unrecognised portion of the day one pro\ufb01t is released to the pro\ufb01t and loss account. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 202 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements 1.e.11 Derecognition of financial assets and financial liabilities Derecognition of financial assets The Group derecognises all or part of a \ufb01nancial asset when the contractual rights to the cash \ufb02ows of the asset expire, or when the Group transfers the asset \u2013 either on the basis of a transfer of the contractual rights to its cash \ufb02ows, or by retaining the contractual rights to receive the cash \ufb02ows of the asset while assuming an obligation to pay the cash \ufb02ows of the asset under an eligible pass-through arrangement \u2013 as well as substantially all the risks and rewards of the asset. Where the Group has transferred the cash \ufb02ows of a \ufb01nancial asset but has neither transferred nor retained substantially all the risks and rewards of ownership of the \ufb01nancial asset and has not in practice retained control of the \ufb01nancial asset, the Group derecognises the \ufb01nancial asset and then records separately, if necessary, an asset or liability representing the rights and obligations created or held as part of the transfer of the asset. If the Group has retained control of the \ufb01nancial asset, it maintains it on its balance sheet to the extent of its continuing involvement in that asset. Upon the derecognition of a \ufb01nancial asset in its entirety, a gain or loss on disposal is recognised in the pro\ufb01t and loss account for an amount equal to the difference between the carrying amount of the asset and the value of the consideration received, adjusted where appropriate for any unrealised gain or loss previously recognised directly in equity. If all these conditions are not met, the Group retains the asset in its balance sheet and recognises a liability for the obligations arising on the transfer of the asset. Derecognition of financial liabilities The Group derecognises all or part of a \ufb01nancial liability when the liability is extinguished, i.e. when the obligation speci\ufb01ed in the contract is extinguished, cancelled or expired. A \ufb01nancial liability may also be derecognised in the event of a substantial change in its contractual terms or if exchanged with the lender for an instrument with substantially different contractual terms. Repurchase agreements and securities lending/borrowing Securities temporarily sold under repurchase agreements continue to be recognised in the Group\u2019s balance sheet in the category of securities to which they belong. The corresponding liability is recognised at amortised cost under the appropriate \u201cFinancial liabilities at amortised cost\u201d category on the balance sheet, except in the case of repurchase agreements contracted for trading purposes, for which the corresponding liability is recognised in \u201cFinancial liabilities at fair value through pro\ufb01t or loss\u201d. Securities temporarily acquired under reverse repurchase agreements are not recognised in the Group\u2019s balance sheet. The corresponding receivable is recognised at amortised cost under the appropriate \u201cFinancial assets at amortised cost\u201d category in the balance sheet, except in the case of reverse repurchase agreements contracted for trading purposes, for which the corresponding receivable is recognised in \u201cFinancial assets at fair value through pro\ufb01t or loss\u201d. Securities lending transactions do not result in derecognition of the lent securities, and securities borrowing transactions do not result in recognition of the borrowed securities on the balance sheet. In cases where the borrowed securities are subsequently sold by the Group, the obligation to deliver the borrowed securities on maturity is recognised on the balance sheet under \u201cFinancial liabilities at fair value through pro\ufb01t or loss\u201d.1.e.12 Offsetting financial assets and financial liabilities A \ufb01nancial asset and a \ufb01nancial liability are offset and the net amount presented in the balance sheet if, and only if, the Group has a legally enforceable right to set off the recognised amounts, and intends either to settle on a net basis, or to realise the asset and settle the liability simultaneously. Repurchase agreements and derivatives that meet the two criteria set out in the accounting standard are offset in the balance sheet.1.f ACCOUNTING STANDARDS SPECIFIC TO INSURANCE ACTIVITIES The speci\ufb01c accounting policies and valuation rules relating to assets and liabilities generated by insurance contracts and \ufb01nancial contracts with a discretionary participation feature written by fully consolidated insurance companies are retained for the purposes of the consolidated \ufb01nancial statements. These policies comply with IFRS 4. The amendment to IFRS 4 \u201cInsurance Contracts\u201d published by the IASB on 25 June 2020 provides the option for entities that predominantly undertake insurance activities to defer the effective date of IFRS 9 application until 1 January 2023 in line with the deferral of the mandatory application date for IFRS 17 \u201cInsurance Contracts\u201d. The effect of such a deferral is that those entities may continue to report their \ufb01nancial statements under the existing standard IAS 39. This temporary exemption from IFRS 9, limited to groups that predominantly undertake insurance activities according to the IASB amendment, has been extended to the insurance segment of \ufb01nancial conglomerates as de\ufb01ned by the Directive 2002/87/EC as adopted by the European Union. This exemption is subject to certain conditions, notably the absence of internal transfers of \ufb01nancial instruments, other than \ufb01nancial instruments that are measured at fair value through pro\ufb01t or loss, between insurance entities and other entities of the \ufb01nancial conglomerate. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 203 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements BNP Paribas Group applies this amendment to all its insurance entities, including funds related to this activity, which will apply IAS 39 \u201cFinancial instruments: Recognition and Measurement\u201d until 31 December 2022. All other insurance company assets and liabilities are accounted for using the policies applied to the Group\u2019s assets and liabilities generally and are included in the relevant balance sheet and pro\ufb01t and loss account headings in the consolidated \ufb01nancial statements. 1.f.1 Profit and loss account Income and expenses recognised under insurance contracts issued by the Group are presented in the income statement under \u201cNet income from insurance activities\u201d. This heading in the income statement includes premiums earned, net gain in investment contracts with no discretionary participation feature and other services, net investment income (including income on investment property and impairment on shares and other equity instruments), technical charges related to contracts; (including policyholders\u2019 surplus reserve), net charges from ceded reinsurance and external charges related to contracts (including commissions). Other income and expenses relating to insurance activities (i.e. recorded by insurance entities) are presented in the other income statement headings according to their nature. 1.f.2 Financial investments and other assets related to insurance activities Financial investments and other assets related to insurance activities mainly include: \u25a0 investments by insurance entities in \ufb01nancial instruments that are recognised in accordance with the principles of IAS 39, which include investments representing technical reserves of insurance activities and notably unit-linked contracts; \u25a0 derivative instruments with a positive fair value. Group insurance entities underwrite derivative instruments for hedging purposes; \u25a0 investment properties; \u25a0 equity method investments; \u25a0 reinsurers\u2019 share in liabilities arising from insurance and investment contracts; and \u25a0 policyholders\u2019 surplus reserve. Investments in financial instruments Financial investments held by the Group\u2019s insurance entities are classi\ufb01ed in one of the four categories provided for in IAS 39: Financial assets at fair value through pro\ufb01t or loss, held-to-maturity \ufb01nancial assets, loans and receivables and available-for-sale \ufb01nancial assets. Financial assets at fair value through profit or loss The category \u2018Financial assets at fair value through pro\ufb01t or loss\u2019 includes derivatives and \ufb01nancial assets that the Group has elected to recognise and measure at fair value through pro\ufb01t or loss at inception, in accordance with the option offered by IAS 39. Financial assets may be designated at fair value through pro\ufb01t or loss in the following cases (in accordance with IAS 39): \u25a0 hybrid \ufb01nancial instruments containing one or more embedded derivatives which otherwise would have been separated and accounted for separately. An embedded derivative is such that its economic characteristics and risks are not closely related to those of the host contract; \u25a0 where using the option enables the entity to eliminate or signi\ufb01cantly reduce a mismatch in the measurement and accounting treatment of assets and liabilities that would arise if they were to be classi\ufb01ed in separate accounting categories; \u25a0 when the group of \ufb01nancial assets and/or \ufb01nancial liabilities is managed and measured on the basis of fair value, in accordance with a documented risk management and investment strategy. Investments held in respect of insurance or investment contracts where the \ufb01nancial risk is borne by policyholders (unit-linked contracts) are recognised at fair value option through pro\ufb01t or loss. When the Group measures at fair value through pro\ufb01t or loss investments made in respect of its insurance activities in entities over which it exercises signi\ufb01cant in\ufb02uence or joint control, these investments are presented under the line \u201cFinancial assets at fair value through pro\ufb01t or loss\u201d (see note 1.b.2). Financial instruments classi\ufb01ed in this category are initially recognised at their fair value, with transaction costs being directly recognised in the income statement. At the closing date, they are valued at their fair value. Changes in value compared to the last valuation, income, dividends and realised gains and losses are presented under \u201cNet income from insurance activities\u201d and under \u201cNet gain on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 204 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Loans and advances Fixed or determinable income securities, which are not quoted in an active market, other than those for which the holder may not recover substantially all of its initial investment for reasons other than credit deterioration, are classi\ufb01ed as \u201cLoans and receivables\u201d when they do not meet the conditions for classi\ufb01cation as \ufb01nancial assets at fair value through pro\ufb01t or loss. Loans and receivables are initially recognised at their fair value or equivalent, which generally corresponds to the net amount originally paid. Loans and receivables are subsequently measured at amortised cost using the effective interest method and net of repayments of principal and interest. Interest is calculated using the effective interest method, which includes interest, transaction costs and commissions included in their initial value and is presented under \u201cNet income from insurance activities\u201d and under sub-heading \u201cNet gain on \ufb01nancial instruments at amortised cost\u201d. Impairment losses recognised when there is objective evidence of impairment related to an event subsequent to the acquisition of the asset are presented under \u201cCost of risk\u201d.Held-to-maturity financial assets \u201cHeld-to-maturity \ufb01nancial assets\u201d include debt securities, with \ufb01xed maturity, that the Group has the intention and ability to hold until maturity. Securities classi\ufb01ed in this category are recognised at amortised cost using the effective interest method. Income received on these securities is presented under \u201cNet income from insurance activities\u201d and under sub-heading \u201cNet gain on \ufb01nancial instruments at amortised cost\u201d. Impairment losses recognised when there is objective evidence of impairment related to an event subsequent to the acquisition of the asset are presented under \u201cCost of risk\u201d.Available-for-sale financial assets The category \u201cAvailable-for-sale \ufb01nancial assets\u201d includes debt or equity securities that do not fall within the previous three categories. Assets included in the available-for-sale category are initially recorded at fair value, plus transaction costs where material. At the end of the reporting period, they are valued at their fair value and the changes in the latter, excluding accrued income, are presented under a speci\ufb01c heading of equity. On disposal of the securities, these unrealised gains or losses previously recognised in equity are reclassi\ufb01ed in the income statement under the heading \u201cNet income from insurance activities\u201d. Income recognised using the effective interest method on debt securities, dividends received and impairment (in the event of a signi\ufb01cant or lasting decline in the value of the securities) of equity securities are presented under \u201cNet income from insurance activities\u201d and under section \u201cNet gain on available-for-sale \ufb01nancial assets\u201d. Impairment losses on debt securities are presented under \u201cCost of risk\u201d.Investment property Investment property corresponds to buildings held directly by insurance companies and property companies controlled. Investment property, except for those used for unit-linked contracts, is recognised at cost and follows the accounting methods of the assets described elsewhere. Investment property, held in respect of unit-linked contracts, is valued at fair value or equivalent, with changes in value recognised in the income statement.Equity method investments Investments in entities or real estate funds over which the Group exercises signi\ufb01cant in\ufb02uence or joint control and for which the equity method is applied are recognised in the line \u201cEquity method investments\u201d.1.f.3 Technical reserves and other insurance liabilities The item \u201cTechnical reserves and other insurance liabilities\u201d includes: \u25a0 commitments to policyholders and bene\ufb01ciaries of contracts, which include technical reserves for insurance contracts subject to signi\ufb01cant insurance hazard (mortality, longevity, disability, incapacity, etc.) and technical liabilities of investment contracts with a discretionary pro\ufb01t-sharing feature, falling within IFRS 4. The discretionary participation clause grants life insurance policyholders the right to receive, in addition to the guaranteed remuneration, a share of the \ufb01nancial results achieved; \u25a0 other insurance liabilities related to unit-linked contracts that fall within the scope of IAS 39 (i.e. investment contracts with no discretionary participating features); \u25a0 policyholders\u2019 surplus reserve; \u25a0 liabilities arising from insurance and reinsurance operations, including liabilities due to policyholders; 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 205 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u25a0 \ufb01nancial derivative instruments of insurance activities carried at fair value through pro\ufb01t or loss, the fair value of which is negative. Group insurance entities underwrite derivative instruments for hedging purposes. Financial liabilities that are not insurance liabilities (e.g. subordinated debt) fall under IAS 39. They are presented in \u201cFinancial liabilities at amortised cost\u201d. Insurance and reinsurance contracts and investment contracts with discretionary participating features Life insurance guarantees cover mainly death risk (term life insurance, annuities, repayment of loans or guaranteed minimum on unit-linked contracts) and, regarding borrowers\u2019 insurance, to disability, incapacity and unemployment risks. For life insurance, technical reserves consist mainly of mathematical reserves that corresponds as a minimum, to the surrender value of contracts and surplus reserve. The policyholders\u2019 surplus reserve also includes amounts resulting from the application of shadow accounting representing the interest of policyholders, mainly within French life insurance subsidiaries, in unrealised gains and losses on assets where the bene\ufb01t paid under the policy is linked to the return on those assets. This interest is an average derived from stochastic analyses of unrealised gains and losses attributable to policyholders in various scenarios. A capitalisation reserve is set up in individual statutory accounts of French life-insurance companies on the sale of amortisable securities in order to defer part of the net realised gain and hence maintain the yield to maturity on the portfolio of admissible assets. In the consolidated \ufb01nancial statements, this reserve is reclassi\ufb01ed into \u201cPolicyholders\u2019 surplus\u201d on the liabilities side of the consolidated balance sheet, to the extent that it is highly probable it will be used. Non-life technical reserves consist of unearned premium reserves (corresponding to the portion of written premiums relating to future periods) and outstanding claims reserves, inclusive of claims handling costs. At the reporting date, a liability adequacy test is performed: The level of technical reserves (net of acquisition costs outstanding) is compared to the average value of future cash \ufb02ows resulting from stochastic calculations. Related adjustment to technical reserves, if any, is taken to the pro\ufb01t and loss account for the period. In the event of an unrealised loss on shadow accounted assets, a policyholders\u2019 loss reserve is recognised on the assets side of the consolidated balance sheet in an amount equal to the probable deduction from the policyholders\u2019 future pro\ufb01t share. This policyholders\u2019 loss reserve is presented with the other assets of insurance activities under \u201cFinancial investments and other assets related to insurance activities\u201d.  The recoverability of the policyholders\u2019 loss reserve is assessed prospectively, taking into account policyholders\u2019 surplus reserves recognised elsewhere, capital gains on \ufb01nancial assets that are not shadow accounted due to accounting elections made (held-to-maturity \ufb01nancial assets and property investments measured at cost) and the company\u2019s ability and intention to hold the assets carrying the unrealised loss. Investment contracts with no discretionary participating features Investment contracts with no discretionary participating features correspond mainly to unit-linked contracts that do not meet the de\ufb01nition of insurance and investment contracts with discretionary participating features. Liabilities arising from unit-linked contracts are measured by reference to the fair value of the assets backing these contracts at the closing date.1.g PROPERTY, PLANT, EQUIPMENT AND INTANGIBLE ASSETS Property, plant and equipment and intangible assets shown in the consolidated balance sheet are composed of assets used in operations and investment property. Rights-of-use related to leased assets (see note 1.h.2) are presented by the lessee within \ufb01xed assets in the same category as similar assets held. Assets used in operations are those used in the provision of services or for administrative purposes, and include non-property assets leased by the Group as lessor under operating leases. Investment property comprises property assets held to generate rental income and capital gains. Investment property is recognised at cost, with the exception of those representing insurance or investment contracts whose risk is borne by policyholders (unit-linked contracts), which are measured at fair value through pro\ufb01t or loss and presented in the balance sheet under \u201cFinancial investments and other assets related to insurance activities\u201d (note 1.f.2). Property, plant and equipment and intangible assets are initially recognised at purchase price plus directly attributable costs, together with borrowing costs where a long period of construction or adaptation is required before the asset can be brought into service. Software developed internally by the BNP Paribas Group that ful\ufb01ls the criteria for capitalisation is capitalised at direct development cost, which includes external costs and the labour costs of employees directly attributable to the project. Subsequent to initial recognition, property, plant and equipment and intangible assets are measured at cost less accumulated depreciation or amortisation and any impairment losses. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 206 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The depreciable amount of property, plant and equipment and intangible assets is calculated after deducting the residual value of the asset. Only assets leased by the Group as the lessor under operating leases are presumed to have a residual value, as the useful life of property, plant and equipment and intangible assets used in operations is generally the same as their economic life. Property, plant and equipment and intangible assets are depreciated or amortised using the straight-line method over the useful life of the asset. Depreciation and amortisation expense is recognised in the pro\ufb01t and loss account under \u201cDepreciation, amortisation and impairment of property, plant and equipment and intangible assets\u201d. Where an asset consists of a number of components which may require replacement at regular intervals, or which have different uses or generate economic bene\ufb01ts at different rates, each component is recognised separately and depreciated using a method appropriate to that component. The BNP Paribas Group has adopted the component-based approach for property used in operations and for investment property. The depreciation periods used for of\ufb01ce property are as follows: 80 years or 60 years for the shell (for prime and other property respectively); 30 years for facades; 20 years for general and technical installations; and 10 years for \ufb01xtures and \ufb01ttings. Software is amortised, depending on its type, over periods of no more than 8 years in the case of infrastructure developments and 3 years or 5 years in the case of software developed primarily for the purpose of providing services to customers. Software maintenance costs are expensed as incurred. However, expenditure that is regarded as upgrading the software or extending its useful life is included in the initial acquisition or production cost. Depreciable property, plant and equipment and intangible assets are tested for impairment if there is an indication of potential impairment at the balance sheet date. Non-depreciable assets are tested for impairment at least annually, using the same method as for goodwill allocated to cash-generating units. If there is an indication of impairment, the new recoverable amount of the asset is compared with the carrying amount. If the asset is found to be impaired, an impairment loss is recognised in the pro\ufb01t and loss account. This loss is reversed in the event of a change in the estimated recoverable amount or if there is no longer an indication of impairment. Impairment losses are taken to the pro\ufb01t and loss account in \u201cDepreciation, amortisation and impairment of property, plant and equipment and intangible assets\u201d. Gains and losses on disposals of property, plant and equipment and intangible assets used in operations are recognised in the pro\ufb01t and loss account in \u201cNet gain on non-current assets\u201d. Gains and losses on disposals of investment property are recognised in the pro\ufb01t and loss account in \u201cIncome from other activities\u201d or \u201cExpense on other activities\u201d.1.h LEASES Group companies may either be the lessee or the lessor in a lease agreement. 1.h.1 Group company as lessor Leases contracted by the Group as lessor are categorised as either \ufb01nance leases or operating leases. Finance leases In a \ufb01nance lease, the lessor transfers substantially all the risks and rewards of ownership of an asset to the lessee. It is treated as a loan made to the lessee to \ufb01nance the purchase of the asset. The present value of the lease payments, plus any residual value, is recognised as a receivable. The net income earned from the lease by the lessor is equal to the amount of interest on the loan, and is taken to the pro\ufb01t and loss account under \u201cInterest income\u201d. The lease payments are spread over the lease term, and are allocated to reduction of the principal and to interest such that the net income re\ufb02ects a constant rate of return on the net investment outstanding in the lease. The rate of interest used is the rate implicit in the lease. Impairments of lease receivables are determined using the same principles as applied to \ufb01nancial assets measured at amortised cost. Operating leases An operating lease is a lease under which substantially all the risks and rewards of ownership of an asset are not transferred to the lessee. The asset is recognised under property, plant and equipment in the lessor\u2019s balance sheet and depreciated on a straight-line basis over its useful life. The depreciable amount excludes the residual value of the asset. The lease payments are taken to the pro\ufb01t and loss account in full on a straight-line basis over the lease term. Lease payments and depreciation expenses are taken to the pro\ufb01t and loss account under \u201cIncome from other activities\u201d and \u201cExpense on other activities\u201d.1.h.2 Group company as lessee Lease contracts concluded by the Group, with the exception of contracts whose term is shorter than or equal to 12 months and low-value contracts, are recognised in the balance-sheet in the form of a right-of-use on the leased asset presented under \ufb01xed assets, along with the recognition of a \ufb01nancial liability for the rent and other payments to be made over the leasing period. The right of use assets is amortised on a straight-line basis and 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 207 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements the \ufb01nancial liabilities are amortised on an actuarial basis over the lease period. Dismantling costs corresponding to speci\ufb01c and signi\ufb01cant \ufb01ttings and \ufb01xtures are included in the initial right-of-use estimation, in counterparty of a provision liability. The key hypothesis used by the Group for the measurement of rights of use and lease liabilities are the following: \u25a0 the lease term corresponds to the non-cancellable period of the contract, together with periods covered by an extension option if the Group is reasonably certain to exercise this option. In France, the standard commercial lease contract is the so-called \u201cthree, six, nine\u201d contract for which the maximum period of use is nine years, with a \ufb01rst non-cancellable period of three years followed by two optional extension periods of three years each; hence, depending on the assessment, the lease term can be of three, six or nine years. When investments like \ufb01ttings or \ufb01xtures are performed under the contract, the lease term is aligned with their useful lives. For tacitly renewable contracts, with or without an enforceable period, related right of use and lease liabilities are recognised based on an estimate of the reasonably foreseeable economic life of the contracts, minimal occupation period included; \u25a0 the discount rate used to measure the right of use and the lease liability is assessed for each contract as the interest rate implicit in the lease, if that rate can be readily determined, or more generally based on the incremental borrowing rate of the lessee at the date of signature. The incremental borrowing rate is determined considering the average term (duration) of the contract; \u25a0 when the contract is modi\ufb01ed, a new assessment of the lease liability is made taking into account the new residual term of the contract, and therefore a new assessment of the right of use and the lease liability is established.1.i ASSETS HELD FOR SALE AND DISCONTINUED OPERATIONS Where the Group decides to sell assets or a group of assets and liabilities and it is highly probable that the sale will occur within 12 months, these assets are shown separately in the balance sheet, on the line \u201cAssets held for sale\u201d. Any liabilities associated with these assets are also shown separately in the balance sheet, on the line \u201cLiabilities associated with assets held for sale\u201d. When the Group is committed to a sale plan involving loss of control of a subsidiary and the sale is highly probable within 12 months, all the assets and liabilities of that subsidiary are classi\ufb01ed as held for sale. Once classi\ufb01ed in this category, assets and the group of assets and liabilities are measured at the lower of carrying amount or fair value less costs to sell. Such assets are no longer depreciated. If an asset or group of assets and liabilities becomes impaired, an impairment loss is recognised in the pro\ufb01t and loss account. Impairment losses may be reversed. Where a group of assets and liabilities held for sale represents a cash generating unit, it is categorised as a \u201cdiscontinued operation\u201d. Discontinued operations include operations that are held for sale, operations that have been shut down, and subsidiaries acquired exclusively with a view to resell. In this case, gains and losses related to discontinued operations are shown separately in the pro\ufb01t and loss account, on the line \u201cNet income from discontinued activities\u201d. This line includes after tax pro\ufb01ts or losses of discontinued operations, after tax gain or loss arising from remeasurement at fair value less costs to sell, and after-tax gain or loss on disposal of the operation.1.j EMPLOYEE BENEFITS Employee bene\ufb01ts are classi\ufb01ed in one of four following categories: \u25a0 short-term bene\ufb01ts, such as salary, annual leave, incentive plans, pro\ufb01t-sharing and additional payments; \u25a0 long-term bene\ufb01ts, including compensated absences, long-service awards, and other types of cash-based deferred compensation; \u25a0 termination bene\ufb01ts; \u25a0 post-employment bene\ufb01ts, including top-up banking industry pensions and retirement bonuses in France and pension plans in other countries, some of which are operated through pension funds. Short-term benefits The Group recognises an expense when it has used services rendered by employees in exchange for employee bene\ufb01ts. Long-term benefits These are bene\ufb01ts, other than short-term bene\ufb01ts, post-employment bene\ufb01ts and termination bene\ufb01ts. This relates, in particular, to compensation deferred for more than 12 months and not linked to the BNP Paribas share price, which is accrued in the \ufb01nancial statements for the period in which it is earned. The actuarial techniques used are similar to those used for de\ufb01ned-bene\ufb01t post-employment bene\ufb01ts, except that the revaluation items are recognised in the pro\ufb01t and loss account and not in equity. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 208 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Termination benefits Termination bene\ufb01ts are employee bene\ufb01ts payable in exchange for the termination of an employee\u2019s contract as a result of either a decision by the Group to terminate a contract of employment before the legal retirement age, or a decision by an employee to accept voluntary redundancy in exchange for these bene\ufb01ts. Termination bene\ufb01ts due more than 12 months after the balance sheet date are discounted. Post-employment benefits In accordance with IFRS, the BNP Paribas Group draws a distinction between de\ufb01ned-contribution plans and de\ufb01ned-bene\ufb01t plans. De\ufb01ned-contribution plans do not give rise to an obligation for the Group and do not require a provision. The amount of the employer\u2019s contributions payable during the period is recognised as an expense. Only de\ufb01ned-bene\ufb01t schemes give rise to an obligation for the Group. This obligation must be measured and recognised as a liability by means of a provision. The classi\ufb01cation of plans into these two categories is based on the economic substance of the plan, which is reviewed to determine whether the Group has a legal or constructive obligation to pay the agreed bene\ufb01ts to employees. Post-employment bene\ufb01t obligations under de\ufb01ned-bene\ufb01t plans are measured using actuarial techniques that take demographic and \ufb01nancial assumptions into account. The net liability recognised with respect to post-employment bene\ufb01t plans is the difference between the present value of the de\ufb01ned-bene\ufb01t obligation and the fair value of any plan assets. The present value of the de\ufb01ned-bene\ufb01t obligation is measured on the basis of the actuarial assumptions applied by the Group, using the projected unit credit method. This method takes into account various parameters, speci\ufb01c to each country or Group entity, such as demographic assumptions, the probability that employees will leave before retirement age, salary in\ufb02ation, a discount rate, and the general in\ufb02ation rate. When the value of the plan assets exceeds the amount of the obligation, an asset is recognised if it represents a future economic bene\ufb01t for the Group in the form of a reduction in future contributions or a future partial refund of amounts paid into the plan. The annual expense recognised in the pro\ufb01t and loss account under \u201cSalaries and employee bene\ufb01ts\u201d, with respect to de\ufb01ned-bene\ufb01t plans includes the current service cost (the rights vested by each employee during the period in return for service rendered), the net interests linked to the effect of discounting the net de\ufb01ned-bene\ufb01t liability (asset), the past service cost arising from plan amendments or curtailments, and the effect of any plan settlements. Remeasurements of the net de\ufb01ned-bene\ufb01t liability (asset) are recognised in shareholders\u2019 equity and are never reclassi\ufb01ed to pro\ufb01t or loss. They include actuarial gains and losses, the return on plan assets and any change in the effect of the asset ceiling (excluding amounts included in net interest on the de\ufb01ned-bene\ufb01t liability or asset).1.k SHARE-BASED PAYMENTS Share-based payment transactions are payments based on shares issued by the Group, whether the transaction is settled in the form of equity or cash of which the amount is based on trends in the value of BNP Paribas shares. Stock option and share award plans The expense related to stock option and share award plans is recognised over the vesting period, if the bene\ufb01t is conditional upon the grantee\u2019s continued employment. Stock options and share award expenses are recorded under salary and employee bene\ufb01ts expenses, with a corresponding adjustment to shareholders\u2019 equity. They are calculated on the basis of the overall plan value, determined at the date of grant by the Board of directors. In the absence of any market for these instruments, \ufb01nancial valuation models are used that take into account any performance conditions related to the BNP Paribas share price. The total expense of a plan is determined by multiplying the unit value per option or share awarded by the estimated number of options or shares awarded vested at the end of the vesting period, taking into account the conditions regarding the grantee\u2019s continued employment. The only assumptions revised during the vesting period, and hence resulting in a remeasurement of the expense, are those relating to the probability that employees will leave the Group and those relating to performance conditions that are not linked to the price value of BNP Paribas shares. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 209 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Share price-linked cash-settled deferred compensation plans The expense related to these plans is recognised in the year during which the employee rendered the corresponding services. If the payment of share-based variable compensation is explicitly subject to the employee\u2019s continued presence at the vesting date, the services are presumed to have been rendered during the vesting period and the corresponding compensation expense is recognised on a pro rata basis over that period. The expense is recognised under salary and employee bene\ufb01ts expenses with a corresponding liability in the balance sheet. It is revised to take into account any non-ful\ufb01lment of the continued presence or performance conditions and the change in BNP Paribas share price. If there is no continued presence condition, the expense is not deferred, but recognised immediately with a corresponding liability in the balance sheet. This is then revised on each reporting date until settlement to take into account any performance conditions and the change in the BNP Paribas share price.1.l PROVISIONS RECORDED UNDER LIABILITIES Provisions recorded under liabilities (other than those relating to \ufb01nancial instruments, employee bene\ufb01ts and insurance contracts) mainly relate to restructuring, claims and litigation, \ufb01nes and penalties. A provision is recognised when it is probable that an out\ufb02ow of resources embodying economic bene\ufb01ts will be required to settle an obligation arising from a past event, and a reliable estimate can be made of the amount of the obligation. The amount of such obligations is discounted, where the impact of discounting is material, in order to determine the amount of the provision.1.m CURRENT AND DEFERRED TAX The current income tax charge is determined on the basis of the tax laws and tax rates in force in each country in which the Group operates during the period in which the income is generated. Deferred taxes are recognised when temporary differences arise between the carrying amount of an asset or liability in the balance sheet and its tax base. Deferred tax liabilities are recognised for all taxable temporary differences other than: \u25a0 taxable temporary differences on initial recognition of goodwill; \u25a0 taxable temporary differences on investments in enterprises under the exclusive or joint control of the Group, where the Group is able to control the timing of the reversal of the temporary difference and it is probable that the temporary difference will not reverse in the foreseeable future. Deferred tax assets are recognised for all deductible temporary differences and unused carryforwards of tax losses only to the extent that it is probable that the entity in question will generate future taxable pro\ufb01ts against which these temporary differences and tax losses can be offset. Deferred tax assets and liabilities are measured using the liability method, using the tax rate which is expected to apply to the period when the asset is realised or the liability is settled, based on tax rates and tax laws that have been or will have been enacted by the balance sheet date of that period. They are not discounted. Deferred tax assets and liabilities are offset when they arise within the same tax group, they fall under the jurisdiction of a single tax authority, and there is a legal right to offset. As regards the assessment of uncertainty over income tax treatments, the Group adopts the following approach: \u25a0 the Group assesses whether it is probable that a taxation authority will accept an uncertain tax treatment; \u25a0 any uncertainty shall be re\ufb02ected when determining the taxable pro\ufb01t (loss) by considering either the most likely amount (having the higher probability of occurrence), or the expected value (sum of the probability-weighted amounts). Current and deferred taxes are recognised as tax income or expenses in the pro\ufb01t and loss account, except for those relating to a transaction or an event directly recognised in shareholders\u2019 equity, which are also recognised in shareholders\u2019 equity. This concerns in particular the tax effect of coupons paid on \ufb01nancial instruments issued by the Group and quali\ufb01ed as equity instruments, such as Undated Super Subordinated Notes. When tax credits on revenues from receivables and securities are used to settle corporate income tax payable for the period, the tax credits are recognised on the same line as the income to which they relate. The corresponding tax expense continues to be carried in the pro\ufb01t and loss account under \u201cCorporate income tax\u201d. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 210 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements1.n CASH FLOW STATEMENT The cash and cash equivalents balance is composed of the net balance of cash accounts and accounts with central banks, and the net balance of interbank demand loans and deposits. Changes in cash and cash equivalents related to operating activities re\ufb02ect cash \ufb02ows generated by the Group\u2019s operations, including those relating to \ufb01nancial investments of insurance activities and negotiable certi\ufb01cates of deposit. Changes in cash and cash equivalents related to investing activities re\ufb02ect cash \ufb02ows resulting from acquisitions and disposals of subsidiaries, associates or joint ventures included in the consolidated Group, as well as acquisitions and disposals of property, plant and equipment excluding investment property and property held under operating leases. Changes in cash and cash equivalents related to \ufb01nancing activities re\ufb02ect the cash in\ufb02ows and out\ufb02ows resulting from transactions with shareholders, cash \ufb02ows related to bonds and subordinated debt, and debt securities (excluding negotiable certi\ufb01cates of deposit).1.o USE OF ESTIMATES IN THE PREPARATION OF THE FINANCIAL STATEMENTS Preparation of the \ufb01nancial statements requires managers of core businesses and corporate functions to make assumptions and estimates that are re\ufb02ected in the measurement of income and expense in the pro\ufb01t and loss account and of assets and liabilities in the balance sheet, and in the disclosure of information in the notes to the \ufb01nancial statements. This requires the managers in question to exercise their judgement and to make use of information available at the date of the preparation of the \ufb01nancial statements when making their estimates. The actual future results from operations where managers have made use of estimates may in reality differ signi\ufb01cantly from those estimates, mainly according to market conditions. This may have a material effect on the \ufb01nancial statements. This applies in particular to: \u25a0 the analysis of the cash \ufb02ow criterion for speci\ufb01c \ufb01nancial assets; \u25a0 the measurement of expected credit losses. This applies in particular to the assessment of signi\ufb01cant increase in credit risk, the models and assumptions used to measure expected credit losses, the determination of the different economic scenarios and their weighting; \u25a0 the analysis of renegotiated loans, in order to assess whether they should be maintained on the balance-sheet or derecognised; \u25a0 the assessment of an active market, and the use of internally developed models for the measurement of the fair value of \ufb01nancial instruments not quoted in an active market classi\ufb01ed in \u201cFinancial assets at fair value through equity\u201d, or in \u201cFinancial instruments at fair value through pro\ufb01t or loss\u201d, whether as assets or liabilities, and more generally calculations of the fair value of \ufb01nancial instruments subject to a fair value disclosure requirement; \u25a0 the assumptions applied to assess the sensitivity to each type of market risk of the market value of \ufb01nancial instruments and the sensitivity of these valuations to the main unobservable inputs as disclosed in the notes to the \ufb01nancial statements; \u25a0 the appropriateness of the designation of certain derivative instruments such as cash \ufb02ow hedges, and the measurement of hedge effectiveness; \u25a0 impairment tests performed on intangible assets; \u25a0 the estimation of residual assets values under simple lease agreements. These values are used as a basis for the determination of depreciation as well as any impairment, notably in relation to the effect of environmental considerations on the evaluation of future prices of second-hand vehicles; \u25a0 the deferred tax assets; \u25a0 the estimation of insurance technical reserves and policyholders\u2019 surplus reserves; \u25a0 the measurement of uncertainty over income tax treatments and other provisions for contingencies and charges. In particular, while investigations and litigations are ongoing, it is dif\ufb01cult to foresee their outcome and potential impact. Provision estimation is established by taking into account all available information at the date of the preparation of the \ufb01nancial statements, in particular the nature of the dispute, the underlying facts, the ongoing legal proceedings and court decisions, including those related to similar cases. The Group may also use the opinion of experts and independent legal advisers to exercise its judgement. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 211 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statementsThe accounting classi\ufb01cation of securitisation positions in the banking book is shown in Table 9 Prudential balance sheet by risk type (EU LI1-B). Securitisation positions classi\ufb01ed as \u201cFinancial assets at amortised cost\u201d are measured using the method described in note 1.e.1 to the \ufb01nancial statements: the ef\ufb01cient interest rate used to recognise interest income is measured on the basis of an expected cash \ufb02ow model. From the outset, these positions are subject to an impairment calculation for expected credit risk losses (see note 1.e.5). Securitisation positions classi\ufb01ed on an accounting basis as \u201cFinancial assets at fair value through equity\u201d are measured using the method described in note 1.e.2 to the financial statements. Changes in fair value determined according to the principles listed in note 1.e.10 to the \ufb01nancial statements (excluding revenue recognised using the ef\ufb01cient interest method) are presented in a speci\ufb01c subsection of shareholders\u2019 equity along with expected credit risk losses calculated using the methods described in note 1.e.5 to the financial statements. Upon disposal, amounts previously recognised in recyclable equity are transferred to the pro\ufb01t and loss account. Securitisation positions classi\ufb01ed on an accounting basis as \u201cFinancial instruments at fair value through pro\ufb01t or loss\u201d are measured using the method described in note 1.e.7 to the \ufb01nancial statements. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 462 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Securitisation in the banking book Proceeds from the sale of securitisation positions are recognised in accordance with rules for the category of origin of positions sold. Synthetic securitisations in the form of credit derivatives (credit default swaps) or guarantees received follow accounting rules appertaining respectively: \u25a0 to trading portfolio derivatives. These are measured at fair value through pro\ufb01t or loss (see note 1.e.7 to the \ufb01nancial statements); \u25a0 to financial guarantees received, which cannot be considered as forming an integral part of secured assets. If it is virtually certain that a loss caused by a defaulting debtor will be offset by the guarantor, the guarantee is then recognised as a reimbursement asset (right to reimbursement for expected credit losses) and expected credit losses on the asset are, at the same time, recognised in pro\ufb01t or loss. The overall impact in terms of pro\ufb01t or loss is the same as if the guarantee had been recognised in the measurement of expected credit losses, with the difference that the guarantee received is shown as a reimbursement asset rather than as a reduction in the expected credit losses on the asset. Assets awaiting securitisation are classi\ufb01ed as: \u25a0 \ufb01nancial instruments at amortised cost or at fair value through equity and in the prudential banking book in the case of exposures resulting from the bank\u2019s balance sheet, for which the Bank will be originator in the future securitisation within the meaning of Basel 3; \u25a0 \ufb01nancial instruments at fair value through pro\ufb01t or loss and in the prudential banking book in the case of exposures purchased and put into warehousing, for which the bank will be sponsor in the future securitisation within the meaning of regulation.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfSummaryOfSignificantAccountingPoliciesExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9556": {
   "value": "The consolidated \ufb01nancial statements of the BNP Paribas Group have been prepared in accordance with international accounting standards (International Financial Reporting Standards \u2013 IFRS), as adopted for use in the European Union (1) . Accordingly, certain provisions of IAS 39 on hedge accounting have been excluded. Information on the nature and extent of risks relating to \ufb01nancial instruments as required by IFRS 7 \u201cFinancial Instruments: Disclosures\u201d and to insurance contracts as required by IFRS 4 \u201cInsurance Contracts\u201d, along with information on regulatory capital required by IAS 1 \u201cPresentation of Financial Statements\u201d are presented in chapter 5 of the Universal registration document. This information, which is an integral part of the notes to the consolidated \ufb01nancial statements of the BNP Paribas Group at 31 December 2022, is covered by the opinion of the Statutory Auditors on the \ufb01nancial statements and is identi\ufb01ed in the management report by the word \u201cAudited\u201d. Section 4 of chapter 5, paragraph Exposures, provisions and cost of risk provides, in particular, IFRS 7 information on credit risk exposures and related impairment broken down according to whether the underlying loans are performing or non-performing, by geographic area and by industry, as well as details of loans and advances subject to moratoria or to public guarantee schemes in response to the health crisis. \u25a0 In relation to the IBOR and Eonia rates reform, at the end of 2018 the Group launched a global programme, involving all business lines and functions. The aim of the programme is to manage and implement the transition from the old benchmark interest rates to the new ones in major jurisdictions and currencies (euro, pound sterling, US dollar, Swiss franc and Japanese yen), while reducing the risks associated with this transition and meeting the deadlines set by the competent authorities. The Group contributed to market-wide workshops with central banks and \ufb01nancial regulators. The announcements by public authorities in the United Kingdom and the United States and by the Libor rates administrator (ICE BA) at the end of November 2020 changed the transition phase, which was initially scheduled to be completed by the end of 2021. For the GBP and JPY Libor, synthetic Libor have been published beyond the end of 2021 for use in certain contracts known as \u201ctough legacy\u201d contracts, i.e. contracts that have not switched from Libor to a replacement index. Publication of GBP and JPY synthetic Libor was discontinued at the end of 2022. In the United States, the decision was taken to continue publishing the USD Libor until mid-2023, and a legislative solution was passed at the Federal level in the \ufb01rst quarter of 2022 to address legacy contracts. In addition, the United Kingdom\u2019s Financial Conduct Authority (FCA) launched a consultation during summer 2022 regarding a potential publication of synthetic USD Libor, which would be applicable for contracts governed by UK law. For contracts referencing the CHF Libor which could not be renegotiated before it was phased out at the end of 2021, the European Commission has provided a legislative solution replacing this rate with a daily capitalised Swiss Average Rate Overnight (SARON), plus a spread aimed at ensuring the economic neutrality of this change. In Europe, the Eonia-\u20acSTR transition, which is purely technical given the \ufb01xed link between these two indices, was \ufb01nalised at the end of December 2021 while the maintenance of Euribor on a sine die basis was con\ufb01rmed. Based on the progress made to date, notably with the de\ufb01nition of a detailed plan and its execution, the Bank is con\ufb01dent in its operational capacity to manage the transition process of large volumes of transactions to the new benchmark rates. The reform of IBOR rates exposes the Bank to various risks that the programme aims to manage closely, including in particular: \u25a0 change management risks, but also litigation and conduct risks linked to negotiations with customers and market counterparties to amend existing contracts; \u25a0 operational risks related to changes in the Bank\u2019s IT systems and processes; \u25a0 economic risks in the event of \ufb01nancial market disturbances linked to the various transitions brought about by the IBOR reform; \u25a0 valuation risks in a scenario of reduced liquidity during the transition in certain derivative market segments. In September 2019, the IASB published \u201cPhase 1\u201d amendments to IAS 39 and IFRS 7, amending the hedge accounting requirements so that hedges affected by the benchmark interest rate reform could continue despite the uncertainty during the transition of the hedged items or hedging instruments (1) The full set of standards adopted for use in the European Union can be found on the website of the European Commission at: https://ec.europa.eu/info/business-economy-euro/ company-reporting-and-auditing/company-reporting_en 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 183 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements to the reformed benchmark rates. These amendments, endorsed by the European Commission on 15 January 2020, have been applied by the Group since 31 December 2019. In August 2020, the IASB published \u201cPhase 2\u201d amendments to IFRS 9, IAS 39, IFRS 7, IFRS 4 and IFRS 16 introducing several changes applicable during the effective transition to the new benchmark interest rates. These amendments allow for changes in the contractual cash \ufb02ows of \ufb01nancial instruments resulting from the IBOR rates reform to be treated as a simple reset of their variable interest rate, provided, however, that such changes are made on an economically equivalent basis. They also allow the continuation of hedging relationships, subject to amendments to their documentation to re\ufb02ect changes in hedged instruments, hedging instruments, hedged risk, and/or the method for measuring effectiveness during the transition to the new benchmark rates. The measures introduced in this framework also include: \u25a0 the possibility of documenting an interest rate as a hedged risk component even if this rate is not immediately separately identi\ufb01able, provided that it can reasonably be expected to become so within 24 months; \u25a0 the possibility of resetting cumulative fair value changes to zero in the hedge ineffectiveness test; and \u25a0 the obligation, in the framework of portfolio hedges, to isolate in subgroups instruments referring to the new risk-free rates (RFR). These amendments, adopted by the European Commission in December 2020, have been applied by the Group since 31 December 2020 to maintain its existing hedging relationships which have been modi\ufb01ed as a result of the transition to the new RFRs. The Group has documented hedging relationships in respect of the benchmark interest rates in the scope of the reform, mainly Eonia and Libor. For these hedging relationships, the hedged items and hedging instruments are progressively amended, where necessary, to incorporate the new rates. The \u201cPhase 1\u201d amendments to IAS 39 and IFRS 7 are applicable when the contractual terms of the hedged instruments or of the hedging instruments have not yet been amended (i.e. with the inclusion of a \u201cfallback\u201d clause), or, if they have been amended, when the terms and the date of the transition to the new benchmark interest rates have not been clearly stipulated. Conversely, the \u201cPhase 2\u201d amendments are applicable when the contractual terms of the hedged instruments or of the hedging instruments have been amended, and the terms and date of transition to the new benchmark interest rates have been clearly stipulated. The notional amounts of hedging instruments documented in the hedging relationships impacted by the benchmark interest rate reform are presented in note 4.b Derivative instruments used for hedging purposes. At 31 December 2022, 56,808 contracts remain backed by USD Libor, including 50,478 derivative contracts. At 31 December 2021, 112,405 contracts remain backed by USD Libor, including 72,867 contracts with a maturity date beyond 30 June 2023, including 54,628 derivative contracts. \u25a0 On 16 March 2022, the International Practices Task Force (IPTF) of the Center for Audit Quality (CAQ) included T\u00fcrkiye in its list of hyperin\ufb02ationary economies, the cumulative in\ufb02ation rate over three years having reached 100.6% at the end of February 2022. Consequently, the Group applies IAS 29 \u201cFinancial Reporting in Hyperin\ufb02ationary Economies\u201d for the presentation of the \ufb01nancial statements of its consolidated subsidiaries in T\u00fcrkiye. Accordingly, for these subsidiaries, all non-monetary assets and liabilities, including shareholders\u2019 equity, and all line items in the income statement, are revalued according to the change in of the Consumer Price Index (CPI). This revaluation between 1 January and the closing date resulted in the recognition of a gain or loss on the net monetary position, recorded under \u201cNet gains on non-current assets\u201d (see note 2.i). The \ufb01nancial statements of these subsidiaries were converted into euros at the closing rate, in accordance with the speci\ufb01c provisions of IAS 21 \u201cThe Effects of Changes in Foreign Exchange Rates\u201d applicable to the translation of the \ufb01nancial statements of entities located in hyperin\ufb02ationary economies. In accordance with the provisions of the IFRIC decision of March 2020 on the classi\ufb01cation of the effects of the indexation and conversion of the \ufb01nancial statements of subsidiaries in hyperin\ufb02ationary economies, the Group has opted to present these effects (including the effect on the net monetary position of the date of \ufb01rst application of IAS 29) as changes in assets and liabilities recognised directly in equity relative to exchange differences. At 1 January 2022, the \ufb01rst-time application of IAS 29 resulted in a EUR 174 million increase in equity, of which EUR 227 million was recorded in \u201cChanges in assets and liabilities recognised directly in equity \u2013 exchange differences\u201d. The introduction of other standards, amendments and interpretations that are mandatory as from 1 January 2022 had no effect on the Group\u2019s \ufb01nancial statements at 31 December 2022. The Group did not early adopt any of the new standards, amendments, and interpretations adopted by the European Union, when the application in 2022 was optional.",
   "dimensions": {
    "concept": "ifrs-full:StatementOfIFRSCompliance",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9558": {
   "value": "1.a.2 New major accounting standards, published but not yet applicable IFRS 17 \u201cInsurance Contracts\u201d, issued in May 2017 and amended in June 2020 will replace IFRS 4 \u201cInsurance Contracts\u201d. It was adopted by the European Union in November 2021, accompanied by an optional exemption from the application of the annual cohort grouping requirement for participating contracts based on intergenerational mutualisation of returns on the underlying assets of the technical commitments. It will be mandatory for \ufb01nancial periods beginning on or after 1 January 2023. The transition date for IFRS 17 will therefore be 1 January 2022 for the purposes of the opening balance sheet of the comparative period required by the standard. As the Group has deferred the application of IFRS 9 for its insurance entities until the entry into force of IFRS 17, it will apply this standard from 1 January 2023. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 184 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The amendment to IFRS 17 relating to the presentation of the IFRS 9 and IFRS 17 comparative information, published by the IASB in December 2021, was adopted by the European Union on 8 September 2022 (1) and will also be applied by the Group. Scope IFRS 17 applies to insurance contracts issued, reinsurance contracts issued and held and investment contracts with discretionary participation features issued (if the entity also issues insurance contracts). The de\ufb01nition of an insurance contract is unchanged from IFRS 4, with the exception of the assessment of the risk of loss for the insurer which must be performed on a present value basis. Accounting and measurement Insurance contracts are accounted and measured by groups of contracts within portfolios of contracts covering similar risks and managed together. Groups of contracts are determined according to their expected pro\ufb01tability at inception: onerous contracts, pro\ufb01table contracts with a low risk of becoming onerous, and others. A group of contracts may contain only contracts issued no more than one year apart (corresponding to an annual \u201ccohort\u201d), except where the optional exemption provided for in the European regulation applies. General measurement model (Building Block Approach \u2013 BBA) The general model for the measurement of insurance contracts is the best estimate of the future cash \ufb02ows to be paid or received necessary to meet contractual obligations. This estimate should re\ufb02ect the different possible scenarios and the effect of the options and guarantees included in the contracts on the limit or \u201ccontract boundary\u201d determined according to the standard. Cash \ufb02ows are discounted to re\ufb02ect the time value of money. They correspond only to cash \ufb02ows attributable to insurance contracts either directly or through allocation methods: premiums, acquisition and contract management costs, claims and bene\ufb01ts, indirect costs, taxes and depreciation of tangible and intangible assets. The cash \ufb02ows estimate is supplemented by an explicit risk adjustment to cover the uncertainty for non-\ufb01nancial risk. These two elements constitute the ful\ufb01lment cash \ufb02ows of the contracts. A contractual service margin is added representing the expected gain or loss on future services related to a group of contracts. If the contractual service margin is positive, it is shown on the balance sheet within the insurance contract\u2019s measurement and amortised as the services are rendered; if negative, it is recognised immediately in the income statement and then reversed over the life of the contracts or when the contracts become pro\ufb01table again. Acquisition costs paid prior to the initial recognition of a group of contracts are initially recognised in the balance sheet (and presented as a decrease in insurance liabilities or increase in insurance assets depending on the overall position of the portfolio) and then deducted from the contractual service margin of the group of contracts to which they relate at the time of initial recognition. At each reporting date, the carrying amount of a group of insurance contracts is the sum of the liabilities for the remaining coverage (which include the ful\ufb01lment cash \ufb02ows related to future services and the contractual service margin remaining at that date) and liabilities for incurred claims (which include only the ful\ufb01lment cash \ufb02ows for claims incurred, without any contractual service margin). The assumptions used to estimate future cash \ufb02ows and the non-\ufb01nancial risk adjustment are updated, as well as the discount rate, to re\ufb02ect the situation at the reporting date. The contractual service margin is adjusted for changes in the estimates of non-\ufb01nancial assumptions related to future services and then amortised in the income statement for services rendered over the period. The release of the expected contractual cash \ufb02ows for the period and changes in the estimates for past services are recorded in the income statement. The effect of unwinding the discount on the liabilities related to the passage of time is recorded in the income statement as well as the effect of the change in the discount rate. The latter effect may, however, be recognised in equity as an option. Measurement model for contracts with direct participation features (Variable Fee Approach \u2013 VFA) In the case of direct participating contracts, where the insurer has to pay the policyholder an amount corresponding to the market or model value of clearly identi\ufb01ed underlying assets, less a variable compensation, a speci\ufb01c model (called the \u201cVariable Fee Approach\u201d) has been developed by adapting the general model. At each reporting date, the liabilities related to these contracts are adjusted for the return earned and changes in the market or model value of the underlying assets: the policyholders\u2019 share is recorded in the contract ful\ufb01lment cash \ufb02ows against the pro\ufb01t or loss and the insurer\u2019s share is included in the contractual service margin. The gain or loss of these contracts is therefore essentially represented by the release of the ful\ufb01lment cash \ufb02ows and the amortisation of the contractual service margin. When the underlying assets fully match the liabilities and are measured at market value through pro\ufb01t or loss, the \ufb01nancial gain or loss of these contracts should be zero. If certain underlying assets are not measured at market value through pro\ufb01t or loss, the insurer may choose to reclassify the change in liabilities related to these assets to equity. Simplified measurement model (Premium Allocation Approach \u2013 PAA) Short-term contracts (less than one year) may be measured using a simpli\ufb01ed approach known as the Premium Allocation Approach, also applicable to longer-term contracts if it leads to results similar to those of the general model in terms of liability for the remaining coverage. For pro\ufb01table contracts, the liability for the remaining coverage is measured based on the deferral of premiums collected according to a logic similar to that used under IFRS 4. Onerous contracts and liabilities for incurred claims are valued according to the general model. Liabilities for incurred claims are discounted if the expected settlement of claims takes place one year after the date of occurrence. In this case, the option of classifying the effect of changes in the discount rate in equity is also applicable. At each reporting date, the adjustment of liabilities for remaining coverage and for incurred claims is recognised in pro\ufb01t or loss. (1) EU Regulation n\u00b02022/1491 of 8 September 2022. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 185 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Treatment of the reinsurance Accepted reinsurance is treated as insurance contracts issued, either in the general model or in simpli\ufb01ed model. The reinsurance ceded is also treated under the general model or simpli\ufb01ed model, but the contractual service margin representing the expected reinsurance pro\ufb01t or loss may be negative, and the ful\ufb01lment cash \ufb02ows includes the reinsurer\u2019s non-performance risk. Presentation in the balance sheet and in the profit and loss Pursuant to changes in IAS 1 resulting from IFRS 17: \u25a0 insurance (and reinsurance) contracts issued, and reinsurance contracts held are shown in the balance sheet as assets or liabilities according to the overall position of the portfolios to which they belong; \u25a0 the various income and expenses of insurance and reinsurance contracts are broken down in the pro\ufb01t and loss into: \u25a0 insurance revenues: release of ful\ufb01lment cash \ufb02ows for the expected amount over the period (excluding investment components (1) ), change in the risk adjustment, amortisation of the contractual service margin for services rendered, amount allocated for the amortisation of acquisition cost, adjustments arising from premiums received, \u25a0 insurance service expenses: actual charges attributable to insurance contracts incurred over the period (excluding repayments of investment components) and changes related to past service, amortisation of acquisition costs, and loss component on the initial recognition of onerous contracts as well as its amortisation, \u25a0 insurance \ufb01nancial income or expenses: change in the carrying amount of insurance contracts resulting from the effect of the time value of money and the \ufb01nancial risk including changes in \ufb01nancial assumptions (except for those adjusting the contractual service margin in the case of direct participating contracts), for the portion that the Group has chosen not to include directly in equity; \u25a0 regarding the elements recognised in equity: \u25a0 for contracts valued according to the general model or the simpli\ufb01ed approach, the effects of changes in \ufb01nancial variables (in particular the discount rate) can be presented separately between the pro\ufb01t and loss account and changes in fair value recognised directly in equity that may be reclassi\ufb01ed in pro\ufb01t or loss. This option can be exercised by portfolio, \u25a0 for contracts valued using the variable fee method, the option to present separately \ufb01nancial income or expense between the income statement and shareholders\u2019 equity may be used to avoid an accounting mismatch with the income or expense recognised in the pro\ufb01t and loss account in respect of the underlying assets held. Terms of application and main accounting options used by the Group for the transition The main contracts in the scope of IFRS 17 issued by the Group are contracts covering risks related to persons or property and life savings contracts. Creditor protection insurance (CPI), personal protection insurance and other non-life risks will be measured either according to the general model or, if the conditions are met, using the simpli\ufb01ed approach. For the constitution of portfolios of similar contracts, BNP Paribas takes into account the following discriminatory criteria: legal entity, nature of risks and distribution partner. The discount rate is based on the risk-free rate adjusted for the illiquidity of the liabilities. The risk adjustment is determined using the quantile method. The coverage unit used to amortise the contractual service margin is derived from the risk premium earned during the period. Life and savings contracts consist of single and \u201cmulti-support\u201d contracts, with or without insurance risk, including a discretionary participation component backed by euro or foreign currency funds (generally \ufb01nancial and real estate assets), and unit-linked contracts with a minimum coverage in the event of death. These different types of contracts meet the de\ufb01nition of direct participating contracts and will therefore be valued using the variable fee approach. Where such contracts include a surrender value, this meets the de\ufb01nition of a non-distinct investment component. BNP Paribas takes into account the following criteria for life and savings portfolios: legal entity, product, and underlying asset. Savings and retirement activities have been classi\ufb01ed in separate portfolios (including for the period prior to transition). The discount rate is based on the risk-free rate, extrapolated over a period exceeding the observable data and adjusted by a liquidity premium based on the underlying assets. The risk adjustment is determined using the cost of capital method. The coverage unit used to amortise the contractual service margin is the change in savings due to policyholders (determined at present value), adjusted to take into account the impact of the real return on \ufb01nancial assets compared to the actuarial neutral risk projection. The Group has chosen to apply the option introduced by the European Regulation not to divide by annual cohort the portfolios of participating contracts based on intergenerational mutualisation. This option should apply to insurance contracts and investment contracts with discretionary participation eligible for the variable fee approach, euro single or \u201cmulti-supports\u201d including a euro fund, for which the policyholders\u2019 participation in the returns is pooled among the different generations of policyholders in France, Italy and Luxembourg. Financial income or expense from issued insurance contracts will be presented separately between the pro\ufb01t and loss account and shareholders\u2019 equity for portfolios for which this breakdown has been deemed relevant, as allowed by the standard. For the Protection contracts measured under the general model and for the liabilities for incurred claims arising from contracts measured under the simpli\ufb01ed model, the choice of portfolios was made by taking into account both the effects in the pro\ufb01t and loss account of the discount of the liabilities and the accounting treatment of the assets backing them. For contracts measured using the Variable Fee Approach, the choice was made to offset any accounting mismatch that may exist in the (1) A non-distinct investment component corresponds to the amount that would be paid to the policyholder in all cases, whether or not the covered event occurs. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 186 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements pro\ufb01t and loss account between the effect of changes in fair value on insurance or investment liabilities and that on the underlying assets when these are not recognised at fair value through pro\ufb01t or loss. The Group has chosen to present its \ufb01nancial statements in the format proposed by the Autorit\u00e9 des Normes Comptables recommendation n\u00b02022-01 of 8 April 2022. Under the option introduced by the recommendation, the Group intends to present the insurance activity investments and the related income separately from the banking activity \ufb01nancial assets and liabilities. Insurance contracts may be distributed and managed by non-insurance entities of the Group that are remunerated as such by commissions paid by insurance entities. The new model for valuing insurance contracts requires projecting into the contract ful\ufb01lment cash \ufb02ows the acquisition and management costs that will be paid in the future and presenting in the pro\ufb01t and loss account, the release of the estimated costs for the period on the one hand, and on the other, the actual costs. For commissions between consolidated companies of the Group, in accordance with the recommendations of ESMA (32-63-1320) and the AMF (DOC-2022-06), the Group will restate the internal margin on the balance sheet (1) and pro\ufb01t and loss account (in the breakdown of insurance liabilities and the related results between the ful\ufb01lment cash \ufb02ows and contract services margin) by presenting as insurance service expenses the portion of the general expenses of banking entities that can be attributable to insurance activity. The restated internal margin is determined from normalised management data of each of the distribution networks. Expected transition impacts IFRS 17 Launched in 2017, the IFRS 17 implementation project comes to an end with the date of \ufb01rst application of the standard. The deployment of the new modelling and reporting tools took place according to the de\ufb01ned timetable. Some options remain likely to evolve in the future, depending on the normative interpretations that may occur, in particular at the level of IFRIC. The transition from IFRS 4 to IFRS 17 will result in the offsetting in equity of assets and liabilities of insurance contracts recognised in accordance with the previous standard net of deferred taxes effects: insurance liabilities and reinsurance assets held, deferred policyholders\u2019 participation arising from \u201cshadow accounting\u201d and intangible assets speci\ufb01c to insurance contracts when recognised. Receivables and liabilities related to insurance or reinsurance contracts must be included in the new valuation of insurance asset and liabilities. IFRS 17 applies retroactively to all contracts outstanding at the transition date, i.e. 1 January 2022 due to the mandatory comparative period. Three transition methods may be used: a full retrospective approach and, if this cannot be implemented, a modi\ufb01ed retrospective approach or an approach based on the market or model value of the contracts at the transition date. The majority of entities controlled by the Group applied the modi\ufb01ed retrospective approach and, more marginally, for some portfolios, an approach based on the market or model value of contracts at the transition date. As a matter of fact, all the necessary information was not available or was not suf\ufb01ciently granular, in particular due to systems migration and data retention requirements, to allow a full retrospective approach. This is the case for historical cash \ufb02ows, discount rates and changes in assumptions and estimates that would have occurred in the period prior to the transition, especially changes in projection models occurred during this period. Moreover, the full retrospective approach would have required reconstituting management\u2019s assumptions or intentions in previous periods. The objective of the modi\ufb01ed retrospective approach is to achieve a result that is as close as possible to the result that would have been obtained by the retrospective application of the standard, based on reasonable and justi\ufb01able information that can be obtained without incurring excessive costs or effort. The transitional provisions of IFRS 17 under this approach allow for different simpli\ufb01cations in the grouping of contracts, the reconstitution of contract valuations at initial recognition, the measurement of the contractual service margin (or loss element) and for \ufb01nancial products or insurance charges (for the part recorded in equity). Thus, the concerned entities applied the modi\ufb01ed retrospective approach to most portfolios of existing contracts, whether in Protection or Life/Savings. Simpli\ufb01cations used depended on the valuation models and the availability of the necessary information on the related portfolios. For protection contracts valued according to the general model, the principle of the modi\ufb01ed retrospective approach consists in reconstituting liabilities at the initial recognition date from their valuation at the transition date, by retroactively reconstituting movements between the two dates with simpli\ufb01cations: \u25a0 cash \ufb02ows at inception are estimated by adding to the amount at the transition date the effective cash \ufb02ows recorded between the two dates; \u25a0 the original discount rate can be determined with interest rate curves simulating those at the date of \ufb01rst recognition; \u25a0 the changes in the adjustment for non-\ufb01nancial risk between the inception date and the transition date can be estimated based on release pattern observed on similar contracts. For liabilities for remaining coverage that are reconstituted in this way at the inception date, the contractual service margin at inception (if any), less any acquisition costs paid in the interim period, is amortised based on the services provided in the period prior to the transition, in order to determine the amount of the remaining contractual service margin at that date, less any remaining acquisition costs. When contracts are grouped into a single group on the transition date, the discount rate on that date can be used. When the option to disaggregate \ufb01nancial changes between pro\ufb01t and loss and shareholders\u2019 equity has been elected, it requires the amount taken to shareholders\u2019 equity at the transition date to be recalculated from the inception rate for the liability for remaining coverage and from the rate at the date of claims occurrence for the liability for incurred claims. Where such reconstitution is not possible, the amount shown in equity shall be zero. (1) This restatement was taken into account for the balance sheet at the transition date at 1 January 2022. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 187 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements For the purposes of this reconstitution, the simpli\ufb01cations mainly covered the following: \u25a0 reconstitution of the annual cohorts or consolidation into a single group of contracts at the transition date according to available data; \u25a0 the reconstitution of ful\ufb01lment cash \ufb02ows and unamortised acquisition costs; \u25a0 the release of the risk adjustment between the date of issuance of the contracts and the transition date; \u25a0 discount rates (the rate at inception in the case of a reconstitution by annual cohorts or an average rate in the case of a consolidation into a single group of contracts at the transition date); \u25a0 the amount transferred to changes in equity that may be reclassi\ufb01ed to pro\ufb01t or loss at the transition date in respect of changes in the discount rate, that has been reconstituted based on historical rates or reset to zero if such a reconstitution is not achievable. For protection contracts valued according to the simplified method, the reserves for remaining coverage were generally determined at transition from the previous reserves for unearned premiums, net of acquisition costs. The incurred claims reserves arising from these contracts consist of expected cash \ufb02ows and risk adjustments for non-\ufb01nancial risks at the transition date. When cash \ufb02ows were discounted and for portfolios for which the disaggregation option of \ufb01nancial changes between pro\ufb01t and loss account and shareholders\u2019 equity has been chosen, the amount carried in changes in equity that may be reclassi\ufb01ed to pro\ufb01t or loss at the transition date in relation to changes in the discount rate was reconstituted based on the historical rates or set to zero if such a reconstitution was not achievable. For Life/Savings contracts valued under the variable fees model, the modi\ufb01ed retrospective approach consists in reconstituting the liability at the original date from the liability at the transition date. However, for these contracts, the standard provides that the contractual services margin at the transition date is determined using the following approach: \u25a0 the realisable value of the underlying assets at the transition date is \ufb01rst diminished by the ful\ufb01lment cash \ufb02ows (discounted cash \ufb02ows and risk adjustment) at that date; \u25a0 to this amount are added the income paid by the policyholders, changes in the risk adjustment and are deducted the acquisition costs paid during the interim period; \u25a0 the contractual service margin net of the acquisition costs initially reconstituted in this way is then amortised until the transition date to re\ufb02ect the services provided on that date, as well as the remaining acquisition costs to be amortised. The main simpli\ufb01cations in implementing this approach were as follows: \u25a0 existing contracts have been grouped according to the planned post-transition segmentation, without annual cohorts breakdown, in line with the election of the exception provided for by the European regulation; \u25a0 for general funds common to participating and non-participating contracts and to equity, the underlying assets have been de\ufb01ned on the basis of the breakdown used in the statutory accounts to calculate policyholders\u2019 participation; \u25a0 the contractual services margin at the transition date has been reconstituted: \u25a0 from the realisable value of the underlying assets (see above) less ful\ufb01lment cash \ufb02ows on the transition date, \u25a0 by adding the historical margins (obtained from accounting or management information), the total being amortised up to the transition date (using the same approach, taking into account the \u201cover-performance on assets\u201d, as used after the transition), and \u25a0 deducting any remaining acquisition costs; \u25a0 the amount recorded in changes in equity that may be reclassi\ufb01ed to pro\ufb01t or loss at the transition date as an adjustment for accounting mismatch was determined using the realisable value of the underlying assets recognised in equity at the transition date, in accordance with the standard. Finally, under the market value method, the contractual service margin at the transition date is determined as the difference at the transition date between the realisable value (\u201cfair value, determined without taking into account the amount payable on demand\u201d) and the ful\ufb01lment cash \ufb02ows. This approach was used on some non-material portfolios when the modi\ufb01ed retrospective approach could not be implemented. For these portfolios, the fair value has been estimated based on a Solvency 2 valuation and, in the particular case of a recent business combination dating from 2018, based on the amount allocated to the contracts during the acquisition price allocation process. IFRS 9 The IFRS 9 implementation project at the level of the Insurance activity built widely on the experience of other business lines in the Group already applying this standard, in particular to ensure consistency in classi\ufb01cation. Financial assets and liabilities of insurance entities are managed by portfolios corresponding to the insurance liabilities they back up or to the own funds. The business models were therefore determined according to these portfolios at the transition date to IFRS 9. In accordance with the criteria of the business model and of the contractual cash \ufb02ows, debt instruments will largely be classi\ufb01ed under the \u201cheld to collect and sell\u201d model, with the exception of those representing unit-linked contracts and debt instruments held by consolidated UCITS and managed at net asset value, which will be classi\ufb01ed at fair value through pro\ufb01t or loss. Certain speci\ufb01c assets will be classi\ufb01ed as at fair value on option. The majority of equity instruments will be measured at fair value through pro\ufb01t or loss, except in the case of certain assets backing up own funds and non- participating contracts portfolios, which will be measured at fair value through equity. Non-consolidated funds classi\ufb01ed as available for sale under 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 188 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements IAS 39 will be reclassi\ufb01ed at fair value through pro\ufb01t or loss. The treatment of derivatives remains unchanged, including hedge accounting as IAS 39 rules have been maintained by the Group. Since the beginning of 2022, \ufb01nancial assets have been monitored according to both IAS 39 and IFRS 9. The Group is planning to use the optional \u201coverlay classi\ufb01cation\u201d approach introduced by the amendment to IFRS 17 relating to the presentation of IFRS 9 \u2013 IFRS 17 comparisons, which allows \ufb01nancial assets to be presented in the 2022 comparative as if IFRS 9 had been applicable at that date. This choice would apply to all \ufb01nancial instruments, including those derecognised in 2022, in terms of both classi\ufb01cation and valuation (including impairment). Amendments to other standards The Group is also planning to apply the amendments to IAS 40 and IAS 16 resulting from IFRS 17, leading to the valuation at fair value through pro\ufb01t or loss of the buildings held as underlying components of direct participating contracts. The amendments to IAS 32 and IFRS 9 are expected to be applied, enabling the \ufb01nancial assets issued by the Group that are held as underlying items of direct participating contracts and are measured at fair value through pro\ufb01t or loss to be maintained in the balance sheet. Impacts estimated at 1 January 2022 Regarding insurance contracts, a full valuation exercise was realised during 2022 to establish the opening balance sheet at 1 January 2022 and prepare the 2022 comparative period. Based on this work, at 1 January 2022, the estimated impact on Group\u2019s shareholders\u2019 equity (1) of the application of IFRS 17 and IFRS 9 and of the various amendments to other standards amounted to -EUR 1.6 billion. This impact consists of EUR 0.5 billion related to the transition from IAS 39 to IFRS 9 and -EUR 2.1 billion related to the transition from IFRS 4 to IFRS 17 (2) . At 1 January 2022, for controlled entities, liabilities related to insurance contracts, net of insurance portfolios in assets, amounted to EUR 239.3 billion, and consist of the following: \u25a0 EUR 219.2 billion for the best estimate of future cash \ufb02ows; \u25a0 EUR 1.5 billion for the risk adjustment; \u25a0 EUR 18.6 billion for the contractual service margin.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfChangesInAccountingPoliciesExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-31": {
   "value": "1.a.2 New major accounting standards, published but not yet applicable IFRS 17 \u201cInsurance Contracts\u201d, issued in May 2017 and amended in June 2020 will replace IFRS 4 \u201cInsurance Contracts\u201d. It was adopted by the European Union in November 2021, accompanied by an optional exemption from the application of the annual cohort grouping requirement for participating contracts based on intergenerational mutualisation of returns on the underlying assets of the technical commitments. It will be mandatory for \ufb01nancial periods beginning on or after 1 January 2023. The transition date for IFRS 17 will therefore be 1 January 2022 for the purposes of the opening balance sheet of the comparative period required by the standard. As the Group has deferred the application of IFRS 9 for its insurance entities until the entry into force of IFRS 17, it will apply this standard from 1 January 2023. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 184 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The amendment to IFRS 17 relating to the presentation of the IFRS 9 and IFRS 17 comparative information, published by the IASB in December 2021, was adopted by the European Union on 8 September 2022 (1) and will also be applied by the Group. Scope IFRS 17 applies to insurance contracts issued, reinsurance contracts issued and held and investment contracts with discretionary participation features issued (if the entity also issues insurance contracts). The de\ufb01nition of an insurance contract is unchanged from IFRS 4, with the exception of the assessment of the risk of loss for the insurer which must be performed on a present value basis. Accounting and measurement Insurance contracts are accounted and measured by groups of contracts within portfolios of contracts covering similar risks and managed together. Groups of contracts are determined according to their expected pro\ufb01tability at inception: onerous contracts, pro\ufb01table contracts with a low risk of becoming onerous, and others. A group of contracts may contain only contracts issued no more than one year apart (corresponding to an annual \u201ccohort\u201d), except where the optional exemption provided for in the European regulation applies. General measurement model (Building Block Approach \u2013 BBA) The general model for the measurement of insurance contracts is the best estimate of the future cash \ufb02ows to be paid or received necessary to meet contractual obligations. This estimate should re\ufb02ect the different possible scenarios and the effect of the options and guarantees included in the contracts on the limit or \u201ccontract boundary\u201d determined according to the standard. Cash \ufb02ows are discounted to re\ufb02ect the time value of money. They correspond only to cash \ufb02ows attributable to insurance contracts either directly or through allocation methods: premiums, acquisition and contract management costs, claims and bene\ufb01ts, indirect costs, taxes and depreciation of tangible and intangible assets. The cash \ufb02ows estimate is supplemented by an explicit risk adjustment to cover the uncertainty for non-\ufb01nancial risk. These two elements constitute the ful\ufb01lment cash \ufb02ows of the contracts. A contractual service margin is added representing the expected gain or loss on future services related to a group of contracts. If the contractual service margin is positive, it is shown on the balance sheet within the insurance contract\u2019s measurement and amortised as the services are rendered; if negative, it is recognised immediately in the income statement and then reversed over the life of the contracts or when the contracts become pro\ufb01table again. Acquisition costs paid prior to the initial recognition of a group of contracts are initially recognised in the balance sheet (and presented as a decrease in insurance liabilities or increase in insurance assets depending on the overall position of the portfolio) and then deducted from the contractual service margin of the group of contracts to which they relate at the time of initial recognition. At each reporting date, the carrying amount of a group of insurance contracts is the sum of the liabilities for the remaining coverage (which include the ful\ufb01lment cash \ufb02ows related to future services and the contractual service margin remaining at that date) and liabilities for incurred claims (which include only the ful\ufb01lment cash \ufb02ows for claims incurred, without any contractual service margin). The assumptions used to estimate future cash \ufb02ows and the non-\ufb01nancial risk adjustment are updated, as well as the discount rate, to re\ufb02ect the situation at the reporting date. The contractual service margin is adjusted for changes in the estimates of non-\ufb01nancial assumptions related to future services and then amortised in the income statement for services rendered over the period. The release of the expected contractual cash \ufb02ows for the period and changes in the estimates for past services are recorded in the income statement. The effect of unwinding the discount on the liabilities related to the passage of time is recorded in the income statement as well as the effect of the change in the discount rate. The latter effect may, however, be recognised in equity as an option. Measurement model for contracts with direct participation features (Variable Fee Approach \u2013 VFA) In the case of direct participating contracts, where the insurer has to pay the policyholder an amount corresponding to the market or model value of clearly identi\ufb01ed underlying assets, less a variable compensation, a speci\ufb01c model (called the \u201cVariable Fee Approach\u201d) has been developed by adapting the general model. At each reporting date, the liabilities related to these contracts are adjusted for the return earned and changes in the market or model value of the underlying assets: the policyholders\u2019 share is recorded in the contract ful\ufb01lment cash \ufb02ows against the pro\ufb01t or loss and the insurer\u2019s share is included in the contractual service margin. The gain or loss of these contracts is therefore essentially represented by the release of the ful\ufb01lment cash \ufb02ows and the amortisation of the contractual service margin. When the underlying assets fully match the liabilities and are measured at market value through pro\ufb01t or loss, the \ufb01nancial gain or loss of these contracts should be zero. If certain underlying assets are not measured at market value through pro\ufb01t or loss, the insurer may choose to reclassify the change in liabilities related to these assets to equity. Simplified measurement model (Premium Allocation Approach \u2013 PAA) Short-term contracts (less than one year) may be measured using a simpli\ufb01ed approach known as the Premium Allocation Approach, also applicable to longer-term contracts if it leads to results similar to those of the general model in terms of liability for the remaining coverage. For pro\ufb01table contracts, the liability for the remaining coverage is measured based on the deferral of premiums collected according to a logic similar to that used under IFRS 4. Onerous contracts and liabilities for incurred claims are valued according to the general model. Liabilities for incurred claims are discounted if the expected settlement of claims takes place one year after the date of occurrence. In this case, the option of classifying the effect of changes in the discount rate in equity is also applicable. At each reporting date, the adjustment of liabilities for remaining coverage and for incurred claims is recognised in pro\ufb01t or loss. (1) EU Regulation n\u00b02022/1491 of 8 September 2022. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 185 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Treatment of the reinsurance Accepted reinsurance is treated as insurance contracts issued, either in the general model or in simpli\ufb01ed model. The reinsurance ceded is also treated under the general model or simpli\ufb01ed model, but the contractual service margin representing the expected reinsurance pro\ufb01t or loss may be negative, and the ful\ufb01lment cash \ufb02ows includes the reinsurer\u2019s non-performance risk. Presentation in the balance sheet and in the profit and loss Pursuant to changes in IAS 1 resulting from IFRS 17: \u25a0 insurance (and reinsurance) contracts issued, and reinsurance contracts held are shown in the balance sheet as assets or liabilities according to the overall position of the portfolios to which they belong; \u25a0 the various income and expenses of insurance and reinsurance contracts are broken down in the pro\ufb01t and loss into: \u25a0 insurance revenues: release of ful\ufb01lment cash \ufb02ows for the expected amount over the period (excluding investment components (1) ), change in the risk adjustment, amortisation of the contractual service margin for services rendered, amount allocated for the amortisation of acquisition cost, adjustments arising from premiums received, \u25a0 insurance service expenses: actual charges attributable to insurance contracts incurred over the period (excluding repayments of investment components) and changes related to past service, amortisation of acquisition costs, and loss component on the initial recognition of onerous contracts as well as its amortisation, \u25a0 insurance \ufb01nancial income or expenses: change in the carrying amount of insurance contracts resulting from the effect of the time value of money and the \ufb01nancial risk including changes in \ufb01nancial assumptions (except for those adjusting the contractual service margin in the case of direct participating contracts), for the portion that the Group has chosen not to include directly in equity; \u25a0 regarding the elements recognised in equity: \u25a0 for contracts valued according to the general model or the simpli\ufb01ed approach, the effects of changes in \ufb01nancial variables (in particular the discount rate) can be presented separately between the pro\ufb01t and loss account and changes in fair value recognised directly in equity that may be reclassi\ufb01ed in pro\ufb01t or loss. This option can be exercised by portfolio, \u25a0 for contracts valued using the variable fee method, the option to present separately \ufb01nancial income or expense between the income statement and shareholders\u2019 equity may be used to avoid an accounting mismatch with the income or expense recognised in the pro\ufb01t and loss account in respect of the underlying assets held. Terms of application and main accounting options used by the Group for the transition The main contracts in the scope of IFRS 17 issued by the Group are contracts covering risks related to persons or property and life savings contracts. Creditor protection insurance (CPI), personal protection insurance and other non-life risks will be measured either according to the general model or, if the conditions are met, using the simpli\ufb01ed approach. For the constitution of portfolios of similar contracts, BNP Paribas takes into account the following discriminatory criteria: legal entity, nature of risks and distribution partner. The discount rate is based on the risk-free rate adjusted for the illiquidity of the liabilities. The risk adjustment is determined using the quantile method. The coverage unit used to amortise the contractual service margin is derived from the risk premium earned during the period. Life and savings contracts consist of single and \u201cmulti-support\u201d contracts, with or without insurance risk, including a discretionary participation component backed by euro or foreign currency funds (generally \ufb01nancial and real estate assets), and unit-linked contracts with a minimum coverage in the event of death. These different types of contracts meet the de\ufb01nition of direct participating contracts and will therefore be valued using the variable fee approach. Where such contracts include a surrender value, this meets the de\ufb01nition of a non-distinct investment component. BNP Paribas takes into account the following criteria for life and savings portfolios: legal entity, product, and underlying asset. Savings and retirement activities have been classi\ufb01ed in separate portfolios (including for the period prior to transition). The discount rate is based on the risk-free rate, extrapolated over a period exceeding the observable data and adjusted by a liquidity premium based on the underlying assets. The risk adjustment is determined using the cost of capital method. The coverage unit used to amortise the contractual service margin is the change in savings due to policyholders (determined at present value), adjusted to take into account the impact of the real return on \ufb01nancial assets compared to the actuarial neutral risk projection. The Group has chosen to apply the option introduced by the European Regulation not to divide by annual cohort the portfolios of participating contracts based on intergenerational mutualisation. This option should apply to insurance contracts and investment contracts with discretionary participation eligible for the variable fee approach, euro single or \u201cmulti-supports\u201d including a euro fund, for which the policyholders\u2019 participation in the returns is pooled among the different generations of policyholders in France, Italy and Luxembourg. Financial income or expense from issued insurance contracts will be presented separately between the pro\ufb01t and loss account and shareholders\u2019 equity for portfolios for which this breakdown has been deemed relevant, as allowed by the standard. For the Protection contracts measured under the general model and for the liabilities for incurred claims arising from contracts measured under the simpli\ufb01ed model, the choice of portfolios was made by taking into account both the effects in the pro\ufb01t and loss account of the discount of the liabilities and the accounting treatment of the assets backing them. For contracts measured using the Variable Fee Approach, the choice was made to offset any accounting mismatch that may exist in the (1) A non-distinct investment component corresponds to the amount that would be paid to the policyholder in all cases, whether or not the covered event occurs. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 186 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements pro\ufb01t and loss account between the effect of changes in fair value on insurance or investment liabilities and that on the underlying assets when these are not recognised at fair value through pro\ufb01t or loss. The Group has chosen to present its \ufb01nancial statements in the format proposed by the Autorit\u00e9 des Normes Comptables recommendation n\u00b02022-01 of 8 April 2022. Under the option introduced by the recommendation, the Group intends to present the insurance activity investments and the related income separately from the banking activity \ufb01nancial assets and liabilities. Insurance contracts may be distributed and managed by non-insurance entities of the Group that are remunerated as such by commissions paid by insurance entities. The new model for valuing insurance contracts requires projecting into the contract ful\ufb01lment cash \ufb02ows the acquisition and management costs that will be paid in the future and presenting in the pro\ufb01t and loss account, the release of the estimated costs for the period on the one hand, and on the other, the actual costs. For commissions between consolidated companies of the Group, in accordance with the recommendations of ESMA (32-63-1320) and the AMF (DOC-2022-06), the Group will restate the internal margin on the balance sheet (1) and pro\ufb01t and loss account (in the breakdown of insurance liabilities and the related results between the ful\ufb01lment cash \ufb02ows and contract services margin) by presenting as insurance service expenses the portion of the general expenses of banking entities that can be attributable to insurance activity. The restated internal margin is determined from normalised management data of each of the distribution networks. Expected transition impacts IFRS 17 Launched in 2017, the IFRS 17 implementation project comes to an end with the date of \ufb01rst application of the standard. The deployment of the new modelling and reporting tools took place according to the de\ufb01ned timetable. Some options remain likely to evolve in the future, depending on the normative interpretations that may occur, in particular at the level of IFRIC. The transition from IFRS 4 to IFRS 17 will result in the offsetting in equity of assets and liabilities of insurance contracts recognised in accordance with the previous standard net of deferred taxes effects: insurance liabilities and reinsurance assets held, deferred policyholders\u2019 participation arising from \u201cshadow accounting\u201d and intangible assets speci\ufb01c to insurance contracts when recognised. Receivables and liabilities related to insurance or reinsurance contracts must be included in the new valuation of insurance asset and liabilities. IFRS 17 applies retroactively to all contracts outstanding at the transition date, i.e. 1 January 2022 due to the mandatory comparative period. Three transition methods may be used: a full retrospective approach and, if this cannot be implemented, a modi\ufb01ed retrospective approach or an approach based on the market or model value of the contracts at the transition date. The majority of entities controlled by the Group applied the modi\ufb01ed retrospective approach and, more marginally, for some portfolios, an approach based on the market or model value of contracts at the transition date. As a matter of fact, all the necessary information was not available or was not suf\ufb01ciently granular, in particular due to systems migration and data retention requirements, to allow a full retrospective approach. This is the case for historical cash \ufb02ows, discount rates and changes in assumptions and estimates that would have occurred in the period prior to the transition, especially changes in projection models occurred during this period. Moreover, the full retrospective approach would have required reconstituting management\u2019s assumptions or intentions in previous periods. The objective of the modi\ufb01ed retrospective approach is to achieve a result that is as close as possible to the result that would have been obtained by the retrospective application of the standard, based on reasonable and justi\ufb01able information that can be obtained without incurring excessive costs or effort. The transitional provisions of IFRS 17 under this approach allow for different simpli\ufb01cations in the grouping of contracts, the reconstitution of contract valuations at initial recognition, the measurement of the contractual service margin (or loss element) and for \ufb01nancial products or insurance charges (for the part recorded in equity). Thus, the concerned entities applied the modi\ufb01ed retrospective approach to most portfolios of existing contracts, whether in Protection or Life/Savings. Simpli\ufb01cations used depended on the valuation models and the availability of the necessary information on the related portfolios. For protection contracts valued according to the general model, the principle of the modi\ufb01ed retrospective approach consists in reconstituting liabilities at the initial recognition date from their valuation at the transition date, by retroactively reconstituting movements between the two dates with simpli\ufb01cations: \u25a0 cash \ufb02ows at inception are estimated by adding to the amount at the transition date the effective cash \ufb02ows recorded between the two dates; \u25a0 the original discount rate can be determined with interest rate curves simulating those at the date of \ufb01rst recognition; \u25a0 the changes in the adjustment for non-\ufb01nancial risk between the inception date and the transition date can be estimated based on release pattern observed on similar contracts. For liabilities for remaining coverage that are reconstituted in this way at the inception date, the contractual service margin at inception (if any), less any acquisition costs paid in the interim period, is amortised based on the services provided in the period prior to the transition, in order to determine the amount of the remaining contractual service margin at that date, less any remaining acquisition costs. When contracts are grouped into a single group on the transition date, the discount rate on that date can be used. When the option to disaggregate \ufb01nancial changes between pro\ufb01t and loss and shareholders\u2019 equity has been elected, it requires the amount taken to shareholders\u2019 equity at the transition date to be recalculated from the inception rate for the liability for remaining coverage and from the rate at the date of claims occurrence for the liability for incurred claims. Where such reconstitution is not possible, the amount shown in equity shall be zero. (1) This restatement was taken into account for the balance sheet at the transition date at 1 January 2022. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 187 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements For the purposes of this reconstitution, the simpli\ufb01cations mainly covered the following: \u25a0 reconstitution of the annual cohorts or consolidation into a single group of contracts at the transition date according to available data; \u25a0 the reconstitution of ful\ufb01lment cash \ufb02ows and unamortised acquisition costs; \u25a0 the release of the risk adjustment between the date of issuance of the contracts and the transition date; \u25a0 discount rates (the rate at inception in the case of a reconstitution by annual cohorts or an average rate in the case of a consolidation into a single group of contracts at the transition date); \u25a0 the amount transferred to changes in equity that may be reclassi\ufb01ed to pro\ufb01t or loss at the transition date in respect of changes in the discount rate, that has been reconstituted based on historical rates or reset to zero if such a reconstitution is not achievable. For protection contracts valued according to the simplified method, the reserves for remaining coverage were generally determined at transition from the previous reserves for unearned premiums, net of acquisition costs. The incurred claims reserves arising from these contracts consist of expected cash \ufb02ows and risk adjustments for non-\ufb01nancial risks at the transition date. When cash \ufb02ows were discounted and for portfolios for which the disaggregation option of \ufb01nancial changes between pro\ufb01t and loss account and shareholders\u2019 equity has been chosen, the amount carried in changes in equity that may be reclassi\ufb01ed to pro\ufb01t or loss at the transition date in relation to changes in the discount rate was reconstituted based on the historical rates or set to zero if such a reconstitution was not achievable. For Life/Savings contracts valued under the variable fees model, the modi\ufb01ed retrospective approach consists in reconstituting the liability at the original date from the liability at the transition date. However, for these contracts, the standard provides that the contractual services margin at the transition date is determined using the following approach: \u25a0 the realisable value of the underlying assets at the transition date is \ufb01rst diminished by the ful\ufb01lment cash \ufb02ows (discounted cash \ufb02ows and risk adjustment) at that date; \u25a0 to this amount are added the income paid by the policyholders, changes in the risk adjustment and are deducted the acquisition costs paid during the interim period; \u25a0 the contractual service margin net of the acquisition costs initially reconstituted in this way is then amortised until the transition date to re\ufb02ect the services provided on that date, as well as the remaining acquisition costs to be amortised. The main simpli\ufb01cations in implementing this approach were as follows: \u25a0 existing contracts have been grouped according to the planned post-transition segmentation, without annual cohorts breakdown, in line with the election of the exception provided for by the European regulation; \u25a0 for general funds common to participating and non-participating contracts and to equity, the underlying assets have been de\ufb01ned on the basis of the breakdown used in the statutory accounts to calculate policyholders\u2019 participation; \u25a0 the contractual services margin at the transition date has been reconstituted: \u25a0 from the realisable value of the underlying assets (see above) less ful\ufb01lment cash \ufb02ows on the transition date, \u25a0 by adding the historical margins (obtained from accounting or management information), the total being amortised up to the transition date (using the same approach, taking into account the \u201cover-performance on assets\u201d, as used after the transition), and \u25a0 deducting any remaining acquisition costs; \u25a0 the amount recorded in changes in equity that may be reclassi\ufb01ed to pro\ufb01t or loss at the transition date as an adjustment for accounting mismatch was determined using the realisable value of the underlying assets recognised in equity at the transition date, in accordance with the standard. Finally, under the market value method, the contractual service margin at the transition date is determined as the difference at the transition date between the realisable value (\u201cfair value, determined without taking into account the amount payable on demand\u201d) and the ful\ufb01lment cash \ufb02ows. This approach was used on some non-material portfolios when the modi\ufb01ed retrospective approach could not be implemented. For these portfolios, the fair value has been estimated based on a Solvency 2 valuation and, in the particular case of a recent business combination dating from 2018, based on the amount allocated to the contracts during the acquisition price allocation process. IFRS 9 The IFRS 9 implementation project at the level of the Insurance activity built widely on the experience of other business lines in the Group already applying this standard, in particular to ensure consistency in classi\ufb01cation. Financial assets and liabilities of insurance entities are managed by portfolios corresponding to the insurance liabilities they back up or to the own funds. The business models were therefore determined according to these portfolios at the transition date to IFRS 9. In accordance with the criteria of the business model and of the contractual cash \ufb02ows, debt instruments will largely be classi\ufb01ed under the \u201cheld to collect and sell\u201d model, with the exception of those representing unit-linked contracts and debt instruments held by consolidated UCITS and managed at net asset value, which will be classi\ufb01ed at fair value through pro\ufb01t or loss. Certain speci\ufb01c assets will be classi\ufb01ed as at fair value on option. The majority of equity instruments will be measured at fair value through pro\ufb01t or loss, except in the case of certain assets backing up own funds and non- participating contracts portfolios, which will be measured at fair value through equity. Non-consolidated funds classi\ufb01ed as available for sale under 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 188 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements IAS 39 will be reclassi\ufb01ed at fair value through pro\ufb01t or loss. The treatment of derivatives remains unchanged, including hedge accounting as IAS 39 rules have been maintained by the Group. Since the beginning of 2022, \ufb01nancial assets have been monitored according to both IAS 39 and IFRS 9. The Group is planning to use the optional \u201coverlay classi\ufb01cation\u201d approach introduced by the amendment to IFRS 17 relating to the presentation of IFRS 9 \u2013 IFRS 17 comparisons, which allows \ufb01nancial assets to be presented in the 2022 comparative as if IFRS 9 had been applicable at that date. This choice would apply to all \ufb01nancial instruments, including those derecognised in 2022, in terms of both classi\ufb01cation and valuation (including impairment). Amendments to other standards The Group is also planning to apply the amendments to IAS 40 and IAS 16 resulting from IFRS 17, leading to the valuation at fair value through pro\ufb01t or loss of the buildings held as underlying components of direct participating contracts. The amendments to IAS 32 and IFRS 9 are expected to be applied, enabling the \ufb01nancial assets issued by the Group that are held as underlying items of direct participating contracts and are measured at fair value through pro\ufb01t or loss to be maintained in the balance sheet. Impacts estimated at 1 January 2022 Regarding insurance contracts, a full valuation exercise was realised during 2022 to establish the opening balance sheet at 1 January 2022 and prepare the 2022 comparative period. Based on this work, at 1 January 2022, the estimated impact on Group\u2019s shareholders\u2019 equity (1) of the application of IFRS 17 and IFRS 9 and of the various amendments to other standards amounted to -EUR 1.6 billion. This impact consists of EUR 0.5 billion related to the transition from IAS 39 to IFRS 9 and -EUR 2.1 billion related to the transition from IFRS 4 to IFRS 17 (2) . At 1 January 2022, for controlled entities, liabilities related to insurance contracts, net of insurance portfolios in assets, amounted to EUR 239.3 billion, and consist of the following: \u25a0 EUR 219.2 billion for the best estimate of future cash \ufb02ows; \u25a0 EUR 1.5 billion for the risk adjustment; \u25a0 EUR 18.6 billion for the contractual service margin.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfChangesInAccountingPoliciesAccountingEstimatesAndErrorsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9559": {
   "value": "1.b CONSOLIDATION 1.b.1 Scope of consolidation The consolidated \ufb01nancial statements of BNP Paribas include entities that are controlled by the Group, jointly controlled, and under signi\ufb01cant in\ufb02uence, with the exception of those entities whose consolidation is regarded as immaterial to the Group. Companies that hold shares in consolidated companies are also consolidated. Subsidiaries are consolidated from the date on which the Group obtains effective control. Entities under temporary control are included in the consolidated \ufb01nancial statements until the date of disposal.1.b.2 Consolidation methods Exclusive control Controlled enterprises are fully consolidated. The Group controls a subsidiary when it is exposed, or has rights, to variable returns from its involvement with the entity and has the ability to affect those returns through its power over the entity. For entities governed by voting rights, the Group generally controls the entity if it holds, directly or indirectly, the majority of the voting rights (and if there are no contractual provisions that alter the power of these voting rights) or if the power to direct the relevant activities of the entity is conferred on it by contractual agreements. Structured entities are entities established so that they are not governed by voting rights, for instance when those voting rights relate to administrative tasks only, whereas the relevant activities are directed by means of contractual arrangements. They often have the following features or attributes: restricted activities, a narrow and well-de\ufb01ned objective and insuf\ufb01cient equity to permit them to \ufb01nance their activities without subordinated \ufb01nancial support. (1) Including change in assets and liabilities recognised in changes in equity that may be reclassi\ufb01ed to pro\ufb01t or loss. (2) Including amendments to other standards related to the application of IFRS 17, of which the impact of the EUR 1.5 billion in relation to the revaluation of buildings at fair value, offset by the corresponding revaluation of liabilities in direct participating contracts. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 189 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements For these entities, the analysis of control shall consider the purpose and design of the entity, the risks to which the entity is designed to be exposed and to what extent the Group absorbs the related variability. The assessment of control shall consider all facts and circumstances able to determine the Group\u2019s practical ability to make decisions that could signi\ufb01cantly affect its returns, even if such decisions are contingent on uncertain future events or circumstances. In assessing whether it has power, the Group considers only substantive rights which it holds or which are held by third parties. For a right to be substantive, the holder must have the practical ability to exercise that right when decisions about the relevant activities of the entity need to be made. Control is reassessed if facts and circumstances indicate that there are changes to one or more of the elements of control. Where the Group contractually holds the decision-making power, for instance where the Group acts as fund manager, it shall determine whether it is acting as agent or principal. Indeed, when associated with a certain level of exposure to the variability of returns, this decision-making power may indicate that the Group is acting on its own account and that it thus has control over those entities. Minority interests are presented separately in the consolidated pro\ufb01t and loss account and balance sheet within consolidated equity. The calculation of minority interests takes into account the outstanding cumulative preferred shares classi\ufb01ed as equity instruments issued by subsidiaries, when such shares are held outside the Group. As regards fully consolidated funds, units held by third-party investors are recognised as debts at fair value through pro\ufb01t or loss, inasmuch as they are redeemable at fair value at the subscriber\u2019s initiative. For transactions resulting in a loss of control, any equity interest retained by the Group is remeasured at its fair value through pro\ufb01t or loss.Joint control Where the Group carries out an activity with one or more partners, sharing control by virtue of a contractual agreement which requires unanimous consent on relevant activities (those that signi\ufb01cantly affect the entity\u2019s returns), the Group exercises joint control over the activity. Where the jointly controlled activity is structured through a separate vehicle in which the partners have rights to the net assets, this joint venture is accounted for using the equity method. Where the jointly controlled activity is not structured through a separate vehicle or where the partners have rights to the assets and obligations for the liabilities of the jointly controlled activity, the Group accounts for its share of the assets, liabilities, revenues and expenses in accordance with the applicable IFRS.Significant influence Companies over which the Group exercises signi\ufb01cant in\ufb02uence or associates are accounted for by the equity method. Signi\ufb01cant in\ufb02uence is the power to participate in the \ufb01nancial and operating policy decisions of a company without exercising control. Signi\ufb01cant in\ufb02uence is presumed to exist when the Group holds, directly or indirectly, 20% or more of the voting rights of a company. Interests of less than 20% can be included in the consolidation scope if the Group effectively exercises signi\ufb01cant in\ufb02uence. This is the case for example for entities developed in partnership with other associates, where the BNP Paribas Group participates in strategic decisions of the enterprise through representation on the Board of directors or equivalent governing body, or exercises in\ufb02uence over the enterprise\u2019s operational management by supplying management systems or senior managers, or provides technical assistance to support the enterprise\u2019s development. Changes in the net assets of associates (companies accounted for under the equity method) are recognised on the assets side of the balance sheet under \u201cInvestments in equity-method entities\u201d and in the relevant component of shareholders\u2019 equity. Goodwill recorded on associates is also included under \u201cEquity-method investments\u201d. Whenever there is an indication of impairment, the carrying amount of the investment consolidated under the equity method (including goodwill) is subjected to an impairment test, by comparing its recoverable value (the higher of value-in-use and market value less costs to sell) to its carrying amount. Where appropriate, impairment is recognised under \u201cShare of earnings of equity-method entities\u201d in the consolidated income statement and can be reversed at a later date. If the Group\u2019s share of losses of an equity-method entity equals or exceeds the carrying amount of its investment in this entity, the Group discontinues including its share of further losses. The investment is reported at nil value. Additional losses of the equity-method entity are provided for only to the extent that the Group has contracted a legal or constructive obligation, or has made payments on behalf of this entity. Where the Group holds an interest in an associate, directly or indirectly through an entity that is a venture capital organisation, a mutual fund, an open-ended investment company or similar entity such as an investment-related insurance fund, it may elect to measure that interest at fair value through pro\ufb01t or loss. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 190 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Realised gains and losses on investments in consolidated undertakings are recognised in the pro\ufb01t and loss account under \u201cNet gain on non-current assets\u201d. The consolidated \ufb01nancial statements are prepared using uniform accounting policies for similar transactions and other events occurring in similar circumstances.1.b.3 Consolidation rules Elimination of intragroup balances and transactions Intragroup balances arising from transactions between consolidated enterprises, and the transactions themselves (including income, expenses and dividends), are eliminated. Pro\ufb01ts and losses arising from intragroup sales of assets are eliminated, except where there is an indication that the asset sold is impaired. Unrealised gains and losses included in the value of \ufb01nancial instruments at fair value through equity and available-for-sale assets are maintained in the consolidated \ufb01nancial statements. Translation of accounts expressed in foreign currencies The consolidated \ufb01nancial statements of BNP Paribas are prepared in euros. The \ufb01nancial statements of enterprises whose functional currency is not the euro are translated using the closing rate method. Under this method, all assets and liabilities, both monetary and non-monetary, are translated using the spot exchange rate at the balance sheet date. Income and expense items are translated at the average rate for the period. Financial statements of the Group\u2019s subsidiaries located in hyperin\ufb02ationary economies, previously adjusted for in\ufb02ation by applying a general price index, are translated using the closing rate. This rate applies to the translation of assets and liabilities as well as income and expenses. Differences arising from the translation of balance sheet items and pro\ufb01t and loss items are recorded in shareholders\u2019 equity under \u201cExchange differences\u201d, and in \u201cMinority interests\u201d for the portion attributable to outside investors. Under the optional treatment permitted by IFRS 1, the Group has reset to zero all translation differences, by booking all cumulative translation differences attributable to shareholders and to minority interests in the opening balance sheet at 1 January 2004 to retained earnings. On liquidation or disposal of some or all of an interest held in a foreign enterprise located outside the eurozone, leading to a change in the nature of the investment (loss of control, loss of signi\ufb01cant in\ufb02uence or loss of joint control without keeping a signi\ufb01cant in\ufb02uence), the cumulative exchange difference at the date of liquidation or sale is recognised in the pro\ufb01t and loss account. Should the percentage of interest change without leading to a modi\ufb01cation in the nature of the investment, the exchange difference is reallocated between the portion attributable to shareholders and that attributable to minority interests if the entity is fully consolidated; if the entity is consolidated under the equity method, it is recorded in pro\ufb01t or loss for the portion related to the interest sold. 1.b.4 Business combination and measurement of goodwill Business combinations Business combinations are accounted for using the purchase method. Under this method, the acquiree\u2019s identi\ufb01able assets and liabilities assumed are measured at fair value at the acquisition date except for non-current assets classi\ufb01ed as assets held for sale which are accounted for at fair value less costs to sell. The acquiree\u2019s contingent liabilities are not recognised in the consolidated balance sheet unless they represent a present obligation on the acquisition date and their fair value can be measured reliably. The cost of a business combination is the fair value, at the date of exchange, of assets given, liabilities incurred or assumed, and equity instruments issued to obtain control of the acquiree. Costs directly attributable to the business combination are treated as a separate transaction and recognised through pro\ufb01t or loss. Any contingent consideration is included in the cost, as soon as control is obtained, at fair value on the date when control was acquired. Subsequent changes in the value of any contingent consideration recognised as a \ufb01nancial liability are recognised through pro\ufb01t or loss. The Group may recognise any adjustments to the provisional accounting within 12 months of the acquisition date. Goodwill represents the difference between the cost of the combination and the acquirer\u2019s interest in the net fair value of the identi\ufb01able assets and liabilities of the acquiree at the acquisition date. Positive goodwill is recognised in the acquirer\u2019s balance sheet, while negative goodwill is recognised immediately in pro\ufb01t or loss, on the acquisition date. Minority interests are measured at their share of the fair value of the acquiree\u2019s identi\ufb01able assets and liabilities. However, for each business combination, the Group can elect to measure minority interests at fair value, in which case a proportion of goodwill is allocated to them. To date, the Group has never used this latter option. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 191 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Goodwill is recognised in the functional currency of the acquiree and translated at the closing exchange rate. On the acquisition date, any previously held equity interest in the acquiree is remeasured at its fair value through pro\ufb01t or loss. In the case of a step acquisition, the goodwill is therefore determined by reference to the acquisition-date fair value. Since the revised IFRS 3 has been applied prospectively, business combinations completed prior to 1 January 2010 were not restated for the effects of changes to IFRS 3. As permitted under IFRS 1, business combinations that took place before 1 January 2004 and were recorded in accordance with the previously applicable accounting standards (French GAAP), had not been restated in accordance with the principles of IFRS 3.Measurement of goodwill The BNP Paribas Group tests goodwill for impairment on a regular basis. Cash-generating units The BNP Paribas Group has split all its activities into cash-generating units (1) representing major business lines. This split is consistent with the Group\u2019s organisational structure and management methods, and re\ufb02ects the independence of each unit in terms of results and management approach. It is reviewed on a regular basis in order to take account of events likely to affect the composition of cash-generating units, such as acquisitions, disposals and major reorganisations. Testing cash-generating units for impairment Goodwill allocated to cash-generating units is tested for impairment annually and whenever there is an indication that a unit may be impaired, by comparing the carrying amount of the unit with its recoverable amount. If the recoverable amount is less than the carrying amount, an irreversible impairment loss is recognised, and the goodwill is written down by the excess of the carrying amount of the unit over its recoverable amount. Recoverable amount of a cash-generating unit The recoverable amount of a cash-generating unit is the higher of the fair value of the unit less costs to sell, and its value in use. Fair value is the price that would be obtained from selling the unit at the market conditions prevailing at the date of measurement, as determined mainly by reference to actual prices of recent transactions involving similar entities or on the basis of stock market multiples for comparable companies. Value in use is based on an estimate of the future cash \ufb02ows to be generated by the cash-generating unit, derived from the annual forecasts prepared by the unit\u2019s management and approved by Group Executive Management, and from analyses of changes in the relative positioning of the unit\u2019s activities on their market. These cash \ufb02ows are discounted at a rate that re\ufb02ects the return that investors would require from an investment in the business sector and region involved.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfBasisOfConsolidationExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9560": {
   "value": "1.b.1 Scope of consolidation The consolidated \ufb01nancial statements of BNP Paribas include entities that are controlled by the Group, jointly controlled, and under signi\ufb01cant in\ufb02uence, with the exception of those entities whose consolidation is regarded as immaterial to the Group. Companies that hold shares in consolidated companies are also consolidated. Subsidiaries are consolidated from the date on which the Group obtains effective control. Entities under temporary control are included in the consolidated \ufb01nancial statements until the date of disposal.2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 287 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. BNP Paribas SA France Full (1) 100% 100% (1) BNPP SA (Argentina branch) Argentina Full 100% 100% Full 100% 100% BNPP SA (Australia branch) Australia Full 100% 100% Full 100% 100% BNPP SA (Austria branch) Austria Full 100% 100% Full 100% 100% BNPP SA (Bahrain branch) Bahrain Full 100% 100% Full 100% 100% BNPP SA (Belgium branch) Belgium Full 100% 100% Full 100% 100% BNPP SA (Bulgaria branch) Bulgaria Full 100% 100% Full 100% 100% BNPP SA (Canada branch) Canada Full 100% 100% Full 100% 100% BNPP SA (Czech Republic branch) Czech Rep. Full 100% 100% Full 100% 100% BNPP SA (Denmark branch) Denmark Full 100% 100% Full 100% 100% BNPP SA (Finland branch) Finland Full 100% 100% Full 100% 100% BNPP SA (Germany branch) Germany Full 100% 100% Full 100% 100% BNPP SA (Greece branch) Greece Full 100% 100% E2 BNPP SA (Guernsey branch) Guernsey Full 100% 100% E2 BNPP SA (Hong Kong branch) Hong Kong Full 100% 100% Full 100% 100% BNPP SA (Hungary branch) Hungary Full 100% 100% Full 100% 100% BNPP SA (India branch) India Full 100% 100% Full 100% 100% BNPP SA (Ireland branch) Ireland Full 100% 100% Full 100% 100% BNPP SA (Italy branch) Italy Full 100% 100% Full 100% 100% BNPP SA (Japan branch) Japan Full 100% 100% Full 100% 100% BNPP SA (Jersey branch) Jersey Full 100% 100% E2 S1 BNPP SA (Kuwait branch) Kuwait Full 100% 100% Full 100% 100% BNPP SA (Luxembourg branch) Luxembourg Full 100% 100% Full 100% 100% BNPP SA (Malaysia branch) Malaysia Full 100% 100% Full 100% 100% BNPP SA (Monaco branch) Monaco Full 100% 100% Full 100% 100% BNPP SA (Netherlands branch) Netherlands Full 100% 100% Full 100% 100% BNPP SA (Norway branch) Norway Full 100% 100% Full 100% 100% BNPP SA (Panama branch) Panama S1 Full 100% 100% BNPP SA (Philippines branch) Philippines Full 100% 100% Full 100% 100% BNPP SA (Poland branch) Poland Full 100% 100% Full 100% 100% BNPP SA (Portugal branch) Portugal Full 100% 100% Full 100% 100% BNPP SA (Qatar branch) Qatar Full 100% 100% Full 100% 100% BNPP SA (Republic of Korea branch) Rep. of Korea Full 100% 100% Full 100% 100% BNPP SA (Romania branch) Romania Full 100% 100% Full 100% 100% BNPP SA (Saudi Arabia branch) Saudi Arabia Full 100% 100% Full 100% 100% BNPP SA (Singapore branch) Singapore Full 100% 100% Full 100% 100% BNPP SA (South Africa branch) South Africa Full 100% 100% Full 100% 100% BNPP SA (Spain branch) Spain Full 100% 100% Full 100% 100% BNPP SA (Sweden branch) Sweden Full 100% 100% Full 100% 100% BNPP SA (Switzerland branch) Switzerland Full 100% 100% E2 BNPP SA (Taiwan branch) Taiwan Full 100% 100% Full 100% 100% BNPP SA (Thailand branch) Thailand Full 100% 100% Full 100% 100% BNPP SA (United Arab Emirates branch) United Arab Emirates Full 100% 100% Full 100% 100% BNPP SA (United Kingdom branch) UK Full 100% 100% Full 100% 100% BNPP SA (United States branch) USA Full 100% 100% Full 100% 100% BNPP SA (Viet Nam branch) Viet Nam Full 100% 100% Full 100% 100% CORPORATE & INSTITUTIONAL BANKING EMEA (Europe, Middle East, Africa) France Atargatis (s) France S4 Full - - Austin Finance (s) France Full - - Full - - BNPP Arbitrage France Full (1) 100% 100% Full (1) 100% 100% BNPP Securities Services France S4 Full (1) 100% 100% BNPP Securities Services (Australia branch) Australia S4 Full (1) 100% 100% BNPP Securities Services (Belgium branch) Belgium S4 Full (1) 100% 100% BNPP Securities Services (Germany branch) Germany S4 Full (1) 100% 100% Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. BNPP Securities Services (Greece branch) Greece S4 Full (1) 100% 100% BNPP Securities Services (Guernsey branch) Guernsey S4 Full (1) 100% 100% BNPP Securities Services (Hong Kong branch) Hong Kong S4 Full (1) 100% 100% BNPP Securities Services (Hungary branch) Hungary S4 Full (1) 100% 100% BNPP Securities Services (Ireland branch) Ireland S4 Full (1) 100% 100% BNPP Securities Services (Italy branch) Italy S4 Full (1) 100% 100% BNPP Securities Services (Jersey branch) Jersey S4 Full (1) 100% 100% BNPP Securities Services (Luxembourg branch) Luxembourg S4 Full (1) 100% 100% BNPP Securities Services (Netherlands branch) Netherlands S4 Full (1) 100% 100% BNPP Securities Services (Poland branch) Poland S4 Full (1) 100% 100% BNPP Securities Services (Portugal branch) Portugal S4 Full (1) 100% 100% BNPP Securities Services (Singapore branch) Singapore S4 Full (1) 100% 100% BNPP Securities Services (Spain branch) Spain S4 Full (1) 100% 100% BNPP Securities Services (Switzerland branch) Switzerland S4 Full (1) 100% 100% BNPP Securities Services (United Kingdom branch) UK S4 Full (1) 100% 100% Compagnie d\u2019Investissement Italiens (s) France S4 Full - - Compagnie d\u2019Investissement Op\u00e9ra (s) France S4 Full - - Ellipsis Asset Management France S2 Full 100% 100% V1/D3 Eurotitrisation France Equity 21.7% 21.7% Equity 21.7% 21.7% V3 Exane France Full 100% 100% Full 100% 100% V1/D3 Exane (Germany branch) Germany Full 100% 100% Full 100% 100% V1/D3 Exane (Italy branch) Italy Full 100% 100% Full 100% 100% V1/D3 Exane (Spain branch) Spain Full 100% 100% Full 100% 100% V1/D3 Exane (Sweden branch) Sweden Full 100% 100% Full 100% 100% V1/D3 Exane (Switzerland branch) Switzerland Full 100% 100% Full 100% 100% V1/D3 Exane (United Kingdom branch) UK Full 100% 100% Full 100% 100% V1/D3 Exane Asset Management France Equity 51% 51% V1 Equity 50% 50% V1/D3 Exane Derivatives France Full 100% 100% Full 100% 100% V1/D3 Exane Derivatives (Italy branch) Italy S1 Full 100% 100% V1/D3 Exane Derivatives (Switzerland branch) Switzerland Full 100% 100% Full 100% 100% V1/D3 Exane Derivatives (United Kingdom branch) UK Full 100% 100% Full 100% 100% V1/D3 Exane Derivatives Gerance France Full 100% 100% Full 100% 100% V1/D3 Exane Finance France Full 100% 100% Full 100% 100% V1/D3 Exane Participations France S4 Full 99% 99% V1/D3 FCT Juice (t) France Full - - Full - - Financi\u00e8re des Italiens (s) France Full - - Full - - Financi\u00e8re du March\u00e9 Saint Honor\u00e9 France Full 100% 100% Full 100% 100% Financi\u00e8re Paris Haussmann (s) France S4 Full - - Financi\u00e8re Taitbout (s) France S4 Full - - Mediterranea (s) France S4 Full - - Optichamps (s) France Full - - Full - - Parilease France Full (1) 100% 100% Full (1) 100% 100% Participations Op\u00e9ra (s) France Full - - Full - - BNP Paribas, a soci\u00e9t\u00e9 anonyme (Public Limited Company), registered in France, is the Group\u2019s lead company, which holds key positions in its three operating divisions: Corporate & Institutional Banking (CIB), Commercial, Personal Banking & Services (CPBS) and Investment & Protection Services (IPS). During the year, the parent company did not change its name. BNP Paribas has its principal place of business in France and its head of\ufb01ce is located at 16 boulevard des Italiens 75009 Paris, France. 7.l SCOPE OF CONSOLIDATION 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 288 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Services Logiciels d\u2019Int\u00e9gration Boursi\u00e8re France Equity (3) 66.6% 66.6% Equity (3) 66.6% 66.6% SNC Taitbout Participation 3 France Full 100% 100% Full 100% 100% Soci\u00e9t\u00e9 Orbaisienne de Participations France Full 100% 100% Full 100% 100% Verner Investissements France S4 Full 100% 100% V1/D3 Verner Investissements NewCo1 France S4 Full 100% 100% E3 Verner Investissements NewCo2 France S4 Full 100% 100% E3 Other European countries Alectra Finance PLC (t) Ireland S3 Allfunds Group PLC UK Equity 12.1% 12% V2 Equity 13.8% 13.7% V2 Aquarius + Investments PLC (t) Ireland S3 Full - - Aries Capital DAC (s) Ireland Full - - Full - - AssetMetrix Germany Equity 20.8% 20.8% V4 Equity 14.9% 14.9% V4 Auseter Real Estate Opportunities SARL (t) Luxembourg S2 Full - - BNP PUK Holding Ltd UK Full 100% 100% Full 100% 100% BNPP Bank JSC Russia Full 100% 100% Full 100% 100% BNPP Emissions Und Handels GmbH (s) Germany Full - - Full - - BNPP Fund Administration Services Ireland Ltd Ireland Full 100% 100% Full 100% 100% BNPP Invest Holdings BV Netherlands S1 Full 100% 100% BNPP Ireland Unlimited Co Ireland Full 100% 100% Full 100% 100% BNPP Islamic Issuance BV (s) Netherlands Full - - Full - - BNPP Issuance BV (s) Netherlands Full - - Full - - BNPP Net Ltd UK Full 100% 100% Full 100% 100% BNPP Prime Brokerage International Ltd Ireland Full 100% 100% Full 100% 100% BNPP Suisse SA Switzerland Full 100% 100% Full 100% 100% BNPP Suisse SA (Guernsey branch) Guernsey Full 100% 100% Full 100% 100% BNPP Technology LLC Russia Full 100% 100% Full 100% 100% BNPP Trust Corp UK Ltd UK Full 100% 100% E1 BNPP Vartry Reinsurance DAC Ireland Full (2) 100% 100% Full (2) 100% 100% Diamante Re SRL Italy Full 100% 100% Full 100% 100% Ejesur SA Spain Full 100% 100% Full 100% 100% Ellipsis AM Suisse SARL Switzerland S2 Full 100% 100% V1/D3 Exane Solutions Luxembourg SA Luxembourg Full 100% 100% Full 100% 100% V1/D3 Expo Atlantico EAII Investimentos Imobiliarios SA (s) Portugal Full - - E2 Expo Indico EIII Investimentos Imobiliarios SA (s) Portugal Full - - E2 FScholen Belgium Equity (3) 50% 50% Equity (3) 50% 50% Greenstars BNPP Luxembourg Full (2) 100% 100% Full (2) 100% 100% Kantox Holding Ltd (Ex- Kantox Ltd) UK Equity 9.5% 9.5% Equity 9.5% 9.5% V4 Madison Arbor Ltd (t) Ireland Full - - Full - - Matchpoint Finance PLC (t) Ireland Full - - Full - - Ribera Del Loira Arbitrage Spain Full 100% 100% Full 100% 100% Securasset SA (s) Luxembourg Full - - Full - - E1 Single Platform Investment Repackaging Entity SA (s) Luxembourg Full - - Full - - Utexam Logistics Ltd Ireland Full 100% 100% Full 100% 100% Utexam Solutions Ltd Ireland Full 100% 100% Full 100% 100% Middle East BNPP Investment Co KSA Saudi Arabia Full 100% 100% Full 100% 100% AMERICAS Banco BNPP Brasil SA Brazil Full 100% 100% Full 100% 100% BNPP Canada Corp Canada Full 100% 100% Full 100% 100% BNPP Capital Services Inc USA Full 100% 100% Full 100% 100% BNPP Colombia Corporacion Financiera SA Colombia Full 100% 100% Full 100% 100% BNPP EQD Brazil Fund Fundo de Investmento Multimercado (s) Brazil Full - - Full - - BNPP Financial Services LLC USA Full 100% 100% Full 100% 100% BNPP FS LLC USA Full 100% 100% Full 100% 100% BNPP IT Solutions Canada Inc Canada Full 100% 100% Full 100% 100% BNPP Mexico Holding Mexico Full 100% 100% Full 100% 100% E1 BNPP Mexico SA Institucion de Banca Multiple Mexico Full 100% 100% Full 100% 100% E1 BNPP Proprietario Fundo de Investimento Multimercado (s) Brazil Full - - Full - - BNPP RCC Inc USA Full 100% 100% Full 100% 100% Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. BNPP Securities Corp USA Full 100% 100% Full 100% 100% BNPP US Investments Inc USA Full 100% 100% Full 100% 100% BNPP US Wholesale Holdings Corp USA Full 100% 100% Full 100% 100% BNPP USA Inc USA Full 100% 100% Full 100% 100% BNPP VPG Brookline Cre LLC (s) USA Full - - Full - - BNPP VPG EDMC Holdings LLC (s) USA Full - - Full - - BNPP VPG Express LLC (s) USA Full - - Full - - BNPP VPG I LLC (s) USA Full - - Full - - BNPP VPG II LLC (s) USA Full - - Full - - BNPP VPG III LLC (s) USA Full - - Full - - BNPP VPG Master LLC (s) USA Full - - Full - - Dale Bakken Partners 2012 LLC USA FV 4.9% 23.8% V3 FV 23.8% 23.8% Decart Re Ltd (s) Bermuda Full (2) - - Full (2) - - Exane Inc USA S1 Full 100% 100% V1/D3 FSI Holdings Inc USA Full 100% 100% Full 100% 100% Starbird Funding Corp (t) USA Full - - Full - - PACIFIC ASIA Bank BNPP Indonesia PT Indonesia Full 100% 100% Full 100% 100% BNPP Arbitrage Hong Kong Ltd Hong Kong Full 100% 100% Full 100% 100% BNPP China Ltd China Full 100% 100% Full 100% 100% BNPP Finance Hong Kong Ltd Hong Kong Full 100% 100% Full 100% 100% BNPP Fund Services Australasia Pty Ltd Australia Full 100% 100% Full 100% 100% BNPP Fund Services Australasia Pty Ltd (New Zealand branch) New Zealand Full 100% 100% Full 100% 100% BNPP Global Securities Operations Private Ltd India Full 100% 100% Full 100% 100% BNPP India Holding Private Ltd India Full 100% 100% Full 100% 100% BNPP India Solutions Private Ltd India Full 100% 100% Full 100% 100% BNPP Malaysia Berhad Malaysia Full 100% 100% Full 100% 100% BNPP Securities Asia Ltd Hong Kong Full 100% 100% Full 100% 100% BNPP Securities India Private Ltd India Full 100% 100% Full 100% 100% BNPP Securities Japan Ltd Japan Full 100% 100% Full 100% 100% BNPP Securities Korea Co Ltd Rep. of Korea Full 100% 100% Full 100% 100% BNPP Securities Taiwan Co Ltd Taiwan Full 100% 100% Full 100% 100% BNPP Sekuritas Indonesia PT Indonesia Full 100% 100% V4 Full 99% 99% BPP Holdings Pte Ltd Singapore Full 100% 100% Full 100% 100% Contour Pte Ltd Singapore S2 Pt Andalan Multi Guna Indonesia Full 100% 100% D1 COMMERCIAL, PERSONAL BANKING & SERVICES COMMERCIAL & PERSONAL BANKING IN THE EUROZONE Commercial & Personal Banking in France 2SF - Soci\u00e9t\u00e9 des Services Fiduciaires France Equity 33.3% 33.3% E2 Banque de Wallis et Futuna France Full (1) 51% 51% Full (1) 51% 51% BNPP Antilles Guyane France Full (1) 100% 100% Full (1) 100% 100% BNPP D\u00e9veloppement France Full 100% 100% Full 100% 100% BNPP D\u00e9veloppement Oblig France Full 100% 100% Full 100% 100% BNPP Factor France Full (1) 100% 100% Full (1) 100% 100% BNPP Factor (Spain branch) Spain Full (1) 100% 100% Full (1) 100% 100% BNPP Factor Sociedade Financeira de Credito SA Portugal Full 100% 100% Full 100% 100% BNPP Nouvelle Cal\u00e9donie France Full (1) 100% 100% Full (1) 100% 100% BNPP R\u00e9union France Full (1) 100% 100% Full (1) 100% 100% Compagnie pour le Financement des Loisirs France Full 100% 100% V1/D5 Equity 46% 46% Copartis France Full 100% 100% Full 100% 100% Euro Securities Partners France Equity (3) 50% 50% Equity (3) 50% 50% GIE Ocean France Full 100% 100% Full 100% 100% Jivago Holding France Full 100% 100% Full 100% 100% E3 Partecis France Equity (3) 50% 50% Equity (3) 50% 50% Paylib Services France Equity 14.3% 14.3% Equity 14.3% 14.3% Portzamparc France Full (1) 100% 100% Full (1) 100% 100% Protection 24 France S2 Soci\u00e9t\u00e9 Lairoise de Participations France S4 Full 100% 100% BNL banca commerciale Artigiancassa SPA Italy Full 73.9% 73.9% Full 73.9% 73.9% Banca Nazionale Del Lavoro SPA Italy Full 100% 100% Full 100% 100% EMF IT 2008 1 SRL (t) Italy Full - - Full - - Era Uno SRL (t) Italy Full - - Full - - E2 Eutimm SRL Italy Full 100% 100% Full 100% 100% Financit SPA Italy Full 60% 60% Full 60% 60% V2 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 289 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Immera SRL (t) Italy Full - - Full - - E1 International Factors Italia SPA Italy Full 99.7% 99.7% Full 99.7% 99.7% Permicro SPA Italy Equity 21.9% 21.9% V4 Equity 21.6% 21.6% Serfactoring SPA Italy S2 Servizio Italia SPA Italy Full 100% 100% Full 100% 100% Sviluppo HQ Tiburtina SRL Italy Full 100% 100% Full 100% 100% Tierre Securitisation SRL (t) Italy Full - - Full - - Vela Consumer 2 SRL (t) Italy S1 Vela Home SRL (t) Italy S3 Full - - Vela Mortgages SRL (t) Italy S3 Full - - Vela OBG SRL (t) Italy Full - - Full - - Vela RMBS SRL (t) Italy Full - - Full - - Worldline Merchant Services Italia SPA (Ex-Axepta SPA) Italy Equity 20% 20% V2/ D6 Full 100% 100% Commercial & Personal Banking in Belgium Axepta BNPP Benelux Belgium Full 100% 99.9% Full 100% 99.9% Bancontact Paytoniq Company Belgium Equity 22.5% 22.5% Equity 22.5% 22.5% Banking Funding Company SA Belgium S3 Equity 33.5% 33.5% BASS Master Issuer NV (t) Belgium Full - - Full - - Batopin Belgium Equity 25% 25% Equity 25% 25% E1 Belgian Mobile ID Belgium Equity 12.2% 12.2% Equity 12.2% 12.2% V3 BNPP Commercial Finance Ltd UK Full 100% 99.9% Full 100% 99.9% BNPP Factor AB Sweden S1 BNPP Factor AS Denmark Full 100% 99.9% Full 100% 99.9% BNPP Factor GmbH Germany Full 100% 99.9% Full 100% 99.9% BNPP Factor NV Netherlands S1 BNPP Factoring Support Netherlands Full 100% 99.9% Full 100% 99.9% BNPP Fortis Belgium Full 99.9% 99.9% Full 99.9% 99.9% BNPP Fortis (Spain branch) Spain Full 99.9% 99.9% Full 99.9% 99.9% BNPP Fortis (United States branch) USA Full 99.9% 99.9% Full 99.9% 99.9% BNPP Fortis Factor NV Belgium Full 100% 99.9% Full 100% 99.9% BNPP Fortis Film Finance Belgium Full 100% 99.9% Full 100% 99.9% V4 BNPP Fortis Funding SA Luxembourg Full 100% 99.9% Full 100% 99.9% BNPP FPE Belgium Belgium Full 100% 99.9% Full 100% 99.9% BNPP FPE Expansion Belgium Full 100% 99.9% Full 100% 99.9% BNPP FPE Management Belgium Full 100% 99.9% Full 100% 99.9% Bpost Bank Belgium Full 100% 99.9% V1/D7 Equity (3) 50% 50% Credissimo Belgium Full 100% 99.9% Full 100% 99.9% Credissimo Hainaut SA Belgium Full 99.7% 99.7% Full 99.7% 99.7% Cr\u00e9dit pour Habitations Sociales Belgium Full 81.7% 81.6% Full 81.7% 81.6% Demetris NV Belgium Full 100% 99.9% E1 Epimede (s) Belgium Equity - - Equity - - Esmee Master Issuer (t) Belgium Full - - Full - - Immobili\u00e8re Sauveniere SA Belgium Full 100% 99.9% Full 100% 99.9% Isabel SA NV Belgium Equity 25.3% 25.3% Equity 25.3% 25.3% Microstart Belgium Full 42.3% 76.8% Full 42.3% 76.8% V4 Private Equity Investments (a) BE/FR/LU FV - - FV - - Sagip Belgium Full 100% 100% Full 100% 100% Sowo Invest SA NV Belgium Full 87.5% 87.5% Full 87.5% 87.5% Commercial & Personal Banking in Luxembourg BGL BNPP Luxembourg Full 66% 65.9% Full 66% 65.9% BGL BNPP (Germany branch) Germany Full 66% 65.9% Full 66% 65.9% BNPP Lease Group Luxembourg SA Luxembourg Full 100% 65.9% Full 100% 65.9% BNPP SB Re Luxembourg Full (2) 100% 100% Full (2) 100% 100% Cofhylux SA Luxembourg Full 100% 65.9% Full 100% 65.9% Compagnie Financi\u00e8re Ottomane SA Luxembourg Full 97.3% 97.3% Full 97.3% 97.3% Le Sphinx Assurances Luxembourg SA Luxembourg Full (2) 100% 100% Full (2) 100% 100% Lion International Investments SA Luxembourg S4 Full 100% 100% Luxhub SA Luxembourg Equity 28% 18.5% Equity 28% 18.5% Visalux Luxembourg Equity 25.3% 16.7% Equity 25.3% 16.7% COMMERCIAL & PERSONAL BANKING IN THE REST OF THE WORLD Europe-Mediterranean Bank of Nanjing China Equity 13.9% 13.9% V3 Equity 15% 15% V1 Banque Internationale pour le Commerce et l\u2019Industrie de la C\u00f4te d\u2019Ivoire Ivory Coast Full 59.8% 59.8% Full 59.8% 59.8% Banque Internationale pour le Commerce et l\u2019Industrie de la Guin\u00e9e Guinea S2 Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Banque Internationale pour le Commerce et l\u2019Industrie du Burkina Faso Burkina Faso S2 Banque Internationale pour le Commerce et l\u2019Industrie du S\u00e9n\u00e9gal Senegal Full 54.1% 54.1% Full 54.1% 54.1% Banque Marocaine pour le Commerce et l\u2019Industrie Morocco Full 67% 67% Full 67% 67% Banque Marocaine pour le Commerce et l\u2019Industrie Banque Offshore Morocco Full 100% 67% Full 100% 67% Bantas Nakit AS T\u00fcrkiye Equity (3) 33.3% 16.7% Equity (3) 33.3% 16.7% BDSI Morocco Full 100% 96.4% Full 100% 96.4% BGZ Poland ABS1 DAC (t) Ireland Full - - Full - - BICI Bourse Ivory Coast Full 90% 52% Full 90% 52% V4 BMCI Leasing Morocco Full 86.9% 58.2% Full 86.9% 58.2% BNPP Bank Polska SA Poland Full 87.4% 87.4% Full 87.4% 87.4% V3 BNPP El Djazair Algeria Full 100% 100% Full 100% 100% BNPP Faktoring Spolka ZOO Poland Full 100% 100% Full 100% 100% BNPP Fortis Yatirimlar Holding AS T\u00fcrkiye Full 100% 99.9% Full 100% 99.9% BNPP Group Service Center SA Poland Full 100% 87.4% E1 BNPP IRB Participations France Full 100% 100% Full 100% 100% BNPP Solutions Spolka ZOO Poland S3 Full 100% 87.4% V3 BNPP Yatirimlar Holding AS T\u00fcrkiye Full 100% 100% Full 100% 100% Dreams Sustainable AB Sweden Full 57.5% 57.5% E3 Joint Stock Company Ukrsibbank Ukraine Equity 60% 60% D1 Full 60% 60% TEB ARF Teknoloji Anonim Sirketi T\u00fcrkiye Full 100% 72.5% Full 100% 72.5% E2 TEB Faktoring AS T\u00fcrkiye Full 100% 72.5% Full 100% 72.5% TEB Holding AS T\u00fcrkiye Full 50% 50% Full 50% 50% TEB SH A Serbia Full 100% 50% Full 100% 50% TEB Yatirim Menkul Degerler AS T\u00fcrkiye Full 100% 72.5% Full 100% 72.5% Turk Ekonomi Bankasi AS T\u00fcrkiye Full 100% 72.5% Full 100% 72.5% Union Bancaire pour le Commerce et l\u2019Industrie Tunisia S2 BancWest BancWest Holding Inc USA Full 100% 100% D2 Full 100% 100% D2 BancWest Holding Inc Grantor Trust ERC Subaccount (s) USA Full - - D2 Full - - D2 BancWest Holding Inc Umbrella Trust (s) USA Full - - D2 Full - - D2 BancWest Investment Services Inc USA Full 100% 100% D2 Full 100% 100% D2 Bank of the West USA Full 100% 100% D2 Full 100% 100% D2 Bank of the West Auto Trust 2018-1 (t) USA S1 Full - - D2 Bank of the West Auto Trust 2019-1 (t) USA Full - - D2 Full - - D2 Bank of the West Auto Trust 2019-2 (t) USA Full - - D2 Full - - D2 BNPP Leasing Solutions Canada Inc Canada Full 100% 100% D2 Full 100% 100% BOW Auto Receivables LLC (t) USA Full - - D2 Full - - D2 BWC Opportunity Fund 2 Inc (t) USA Full - - D2 Full - - D2 BWC Opportunity Fund Inc (t) USA Full - - D2 Full - - D2 CFB Community Development Corp USA Full 100% 100% D2 Full 100% 100% D2 Claas Financial Services LLC USA Full 51% 51% D2 Full 51% 51% D2 Commercial Federal Affordable Housing Inc USA Full 100% 100% D2 Full 100% 100% D2 Commercial Federal Community Development Corp USA S1 Commercial Federal Insurance Corp USA S1 Commercial Federal Investment Service Inc USA S1 First Santa Clara Corp (s) USA Full - - D2 Full - - D2 Liberty Leasing Co USA S1 United California Bank Deferred Compensation Plan Trust (s) USA Full - - D2 Full - - D2 Ursus Real Estate Inc USA Full 100% 100% D2 Full 100% 100% D2 SPECIALISED BUSINESSES Personal Finance Alpha Cr\u00e9dit SA Belgium Full 100% 99.9% Full 100% 99.9% AutoFlorence 1 SRL (t) Italy Full - - Full - - AutoFlorence 2 SRL (t) Italy Full - - Full - - E2 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 290 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Autonoria 2019 (t) France Full - - Full - - Autonoria Spain 2019 (t) Spain Full - - Full - - Autonoria Spain 2021 FT (t) Spain Full - - Full - - E2 Autonoria Spain 2022 FT (t) Spain Full - - E2 Autop Ocean Indien France S4 Full 100% 97.8% Axa Banque Financement France Equity 35% 35% Equity 35% 35% Banco Cetelem SA Spain Full 100% 100% Full 100% 100% Banco Cetelem SA Brazil Full 100% 100% Full 100% 100% BGN Mercantil E Servicos Ltda Brazil Full 100% 100% Full 100% 100% BNPP Personal Finance France Full 100% 100% Full 100% 100% BNPP Personal Finance (Austria branch) Austria Full 100% 100% Full 100% 100% BNPP Personal Finance (Bulgaria branch) Bulgaria Full 100% 100% Full 100% 100% BNPP Personal Finance (Czech Republic branch) Czech Rep. Full 100% 100% Full 100% 100% BNPP Personal Finance (Portugal branch) Portugal Full 100% 100% Full 100% 100% BNPP Personal Finance (Romania branch) Romania Full 100% 100% Full 100% 100% BNPP Personal Finance (Slovakia branch) Slovakia Full 100% 100% Full 100% 100% BNPP Personal Finance BV Netherlands Full 100% 100% Full 100% 100% BNPP Personal Finance South Africa Ltd South Africa Full 100% 100% Full 100% 100% BON BNPP Consumer Finance Co Ltd (Ex-Suning Consumer Finance Co Ltd) China Equity 18% 18% V1 Equity 15% 15% Ca\ufb01neo France Full (1) 51% 50.8% Full (1) 51% 50.8% Carrefour Banque France Equity 40% 40% Equity 40% 40% Central Europe Technologies SRL Romania Full 100% 100% Full 100% 100% E1 Cetelem Alg\u00e9rie Algeria S1 Cetelem America Ltda Brazil Full 100% 100% Full 100% 100% Cetelem Business Consulting Shanghai Co Ltd China Full 100% 100% E1 Cetelem Gestion AIE Spain Full 100% 96% Full 100% 96% Cetelem SA de CV Mexico Full 100% 100% Full 100% 100% Cetelem Servicios Informaticos AIE Spain Full 100% 81% Full 100% 81% Cetelem Servicios SA de CV Mexico S4 Full 100% 100% Cetelem Servicos Ltda Brazil Full 100% 100% Full 100% 100% Co\ufb01ca Bail France Full (1) 100% 100% Full (1) 100% 100% Co\ufb01noga Funding Two LP (s) UK S1 Co\ufb01plan France Full (1) 100% 100% Full (1) 100% 100% Creation Consumer Finance Ltd UK Full 100% 100% Full 100% 100% Creation Financial Services Ltd UK Full 100% 100% Full 100% 100% Cr\u00e9dit Moderne Antilles Guyane France Full (1) 100% 100% Full (1) 100% 100% Cr\u00e9dit Moderne Oc\u00e9an Indien France Full (1) 97.8% 97.8% Full (1) 97.8% 97.8% Domo\ufb01nance France Full (1) 55% 55% Full (1) 55% 55% Domos 2017 (t) France S1 Full - - E Carat 10 (t) France Full - - Full - - E Carat 7 PLC (t) UK S3 E Carat 8 PLC (t) UK S3 E Carat 9 PLC (t) UK S3 E Carat 10 PLC (t) UK S3 Full - - E Carat 11 PLC (t) UK Full - - Full - - E Carat 12 PLC (t) UK Full - - Full - - E2 E Carat SA (t) Luxembourg S3 Ekspres Bank AS Denmark Full 100% 100% Full 100% 100% Ekspres Bank AS (Norway branch) Norway Full 100% 100% Full 100% 100% Ekspres Bank AS (Sweden branch) Sweden Full 100% 100% Full 100% 100% Eos Aremas Belgium SA NV Belgium Equity 50% 49.9% Equity 50% 49.9% Evollis France Equity 41% 41% Equity 41% 41% E3 Findomestic Banca SPA Italy Full 100% 100% Full 100% 100% Florence Real Estate Developments SPA Italy Full 100% 100% Full 100% 100% E1 Florence SPV SRL (t) Italy Full - - Full - - GCC Consumo Establecimiento Financiero de Credito SA Spain Full 51% 51% Full 51% 51% Genius Auto Finance Co Ltd China Equity (3) 20% 20% Equity (3) 20% 20% International Development Resources AS Services SA Spain Full 100% 100% Full 100% 100% E1 Iqera Services France Equity 24.5% 24.5% Equity 24.5% 24.5% Loisirs Finance France Full (1) 51% 51% Full (1) 51% 51% Magyar Cetelem Bank ZRT Hungary Full 100% 100% Full 100% 100% Neuilly Contentieux France Full 95.9% 95.6% Full 95.9% 95.6% Noria 2018-1 (t) France Full - - Full - - Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Noria 2020 (t) France Full - - Full - - Noria 2021 (t) France Full - - Full - - E2 Noria Spain 2020 FT (t) Spain Full - - Full - - Olympia SAS France S3 Opel Bank France Full 50% 50% Full 50% 50% Opel Bank (Austria branch) Austria Full 50% 50% Full 50% 50% Opel Bank (Germany branch) Germany Full 50% 50% Full 50% 50% Opel Bank (Greece branch) Greece S1 Opel Bank (Italy branch) Italy Full 50% 50% Full 50% 50% Opel Bank (Spain branch) Spain Full 50% 50% Full 50% 50% Opel Finance BV Belgium S3 Full 100% 50% Opel Finance NV Netherlands Full 100% 50% Full 100% 50% Opel Finance SA Switzerland Full 100% 50% Full 100% 50% Personal Finance Location France Full 100% 100% Full 100% 100% E1 PF Services GmbH Germany Full 100% 100% Full 100% 100% E1 Phedina Hypotheken 2010 BV (t) Netherlands Full - - Full - - RCS Botswana Pty Ltd Botswana Full 100% 100% Full 100% 100% RCS Cards Pty Ltd South Africa Full 100% 100% Full 100% 100% RCS Investment Holdings Namibia Pty Ltd Namibia Full 100% 100% Full 100% 100% Securitisation funds UCI and RMBS Prado (b) (t) Spain Equity (3) - - Equity (3) - - Servicios Financieros Carrefour EFC SA Spain Equity 37.3% 40% Equity 37.3% 40% Sol\ufb01n\u00e9a France S3 Sygma Fundings Two Ltd UK S3 Symag France S2 TEB Finansman AS T\u00fcrkiye Full 100% 92.8% Full 100% 92.8% Union de Creditos Inmobiliarios SA Spain Equity (3) 50% 50% Equity (3) 50% 50% United Partnership France Equity (3) 50% 50% Equity (3) 50% 50% Vauxhall Finance PLC UK Full 100% 50% Full 100% 50% XFERA Consumer Finance EFC SA Spain Full 51% 51% Full 51% 51% Zhejiang Wisdom Puhua Financial Leasing Co Ltd China Equity (3) 20% 20% Equity (3) 20% 20% E3 Arval Artel France Full (2) 100% 99.9% Full (2) 100% 99.9% Arval AB Sweden Full (2) 100% 99.9% Full (2) 100% 99.9% Arval AS Denmark Full (2) 100% 99.9% Full (2) 100% 99.9% Arval AS Norway Norway Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Austria GmbH Austria Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Belgium NV SA Belgium Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Benelux BV Netherlands S4 Full (2) 100% 99.9% Arval Brasil Ltda Brazil Full (2) 100% 99.9% Full (2) 100% 99.9% Arval BV Netherlands Full (2) 100% 99.9% Full (2) 100% 99.9% Arval CZ SRO Czech Rep. Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Deutschland GmbH Germany Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Fleet Services France Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Fuhrparkmanagement GmbH Austria S4 Arval Hellas Car Rental SA Greece Full (2) 100% 99.9% Full (2) 100% 99.9% Arval India Private Ltd India S3 Arval LLC Russia Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Luxembourg SA Luxembourg Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Magyarorszag KFT Hungary Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Maroc SA Morocco Full (2) 100% 89% Full (2) 100% 89% Arval OY Finland Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Relsa SPA Chile Equity 50% 50% Equity 50% 50% Arval Schweiz AG Switzerland Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Service Lease France Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Service Lease Aluger Operational Automoveis SA Portugal Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Service Lease Italia SPA Italy Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Service Lease Polska SP ZOO Poland Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Service Lease Romania SRL Romania Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Service Lease SA Spain Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Slovakia SRO Slovakia Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Trading France Full (2) 100% 99.9% Full (2) 100% 99.9% Arval UK Group Ltd UK Full (2) 100% 99.9% Full (2) 100% 99.9% Arval UK Leasing Services Ltd UK Full (2) 100% 99.9% Full (2) 100% 99.9% Arval UK Ltd UK Full (2) 100% 99.9% Full (2) 100% 99.9% BNPP Fleet Holdings Ltd UK Full (2) 100% 99.9% Full (2) 100% 99.9% Cent ASL France Full (2) 100% 99.9% Full (2) 100% 99.9% E2 Co\ufb01parc France Full (2) 100% 99.9% Full (2) 100% 99.9% FCT Pulse France 2022 (s) France Full (2) - - E2 Greenval Insurance DAC Ireland Full (2) 100% 99.9% Full (2) 100% 99.9% Locadif Belgium Full (2) 100% 99.9% Full (2) 100% 99.9% 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 291 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Louveo France Full (2) 100% 99.9% Full (2) 100% 99.9% Personal Car Lease BV Netherlands Full (2) 100% 99.9% E3 Public Location Longue Dur\u00e9e France Full (2) 100% 99.9% Full (2) 100% 99.9% TEB Arval Arac Filo Kiralama AS T\u00fcrkiye Full (2) 100% 75% Full (2) 100% 75% Terberg Busines Lease Group BV Netherlands Full (2) 100% 99.9% E3 Terberg Leasing Justlease Belgium BV Belgium Full (2) 100% 99.9% E3 Leasing Solutions All In One Vermietung GmbH Austria Full 100% 83% Full 100% 83% Aprolis Finance France Full 51% 42.3% Full 51% 42.3% Artegy France Full 100% 83% Full 100% 83% BNL Leasing SPA Italy Full 100% 95.5% Full 100% 95.5% BNPP 3 Step IT France Full 51% 42.3% Full 51% 42.3% BNPP 3 Step IT (Belgium branch) Belgium Full 51% 42.3% Full 51% 42.3% BNPP 3 Step IT (Germany branch) Germany Full 51% 42.3% Full 51% 42.3% BNPP 3 Step IT (Italy branch) Italy Full 51% 42.3% Full 51% 42.3% BNPP 3 Step IT (Netherlands branch) Netherlands Full 51% 42.3% Full 51% 42.3% BNPP 3 Step IT (United Kingdom branch) UK Full 51% 42.3% Full 51% 42.3% BNPP Finansal Kiralama AS T\u00fcrkiye Full 100% 82.5% Full 100% 82.5% BNPP Lease Group France Full (1) 100% 83% Full (1) 100% 83% BNPP Lease Group (Germany branch) Germany Full (1) 100% 83% Full (1) 100% 83% BNPP Lease Group (Italy branch) Italy Full (1) 100% 83% Full (1) 100% 83% BNPP Lease Group (Portugal branch) Portugal Full (1) 100% 83% Full (1) 100% 83% BNPP Lease Group (Spain branch) Spain Full (1) 100% 83% Full (1) 100% 83% BNPP Lease Group Belgium Belgium Full 100% 83% Full 100% 83% BNPP Lease Group GmbH & Co KG Austria S4 BNPP Lease Group Leasing Solutions SPA Italy Full 100% 95.5% Full 100% 95.5% BNPP Lease Group PLC UK Full 100% 83% Full 100% 83% BNPP Lease Group Rentals Ltd UK S1 BNPP Lease Group SP ZOO Poland Full 100% 83% Full 100% 83% BNPP Leasing Services Poland Full 100% 87.4% Full 100% 87.4% V3 BNPP Leasing Solution AS Norway Full 100% 83% Full 100% 83% BNPP Leasing Solutions Luxembourg Full 100% 83% Full 100% 83% BNPP Leasing Solutions AB Sweden Full 100% 83% Full 100% 83% E1 BNPP Leasing Solutions AS Denmark Full 100% 83% E1 BNPP Leasing Solutions IFN SA Romania Full 100% 83% Full 100% 83% BNPP Leasing Solutions Ltd UK Full 100% 83% Full 100% 83% BNPP Leasing Solutions NV Netherlands Full 100% 83% Full 100% 83% BNPP Leasing Solutions Suisse SA Switzerland Full 100% 83% Full 100% 83% BNPP Rental Solutions Ltd UK Full 100% 83% Full 100% 83% BNPP Rental Solutions SPA Italy Full 100% 83% Full 100% 83% Claas Financial Services France Full (1) 51% 42.3% Full (1) 51% 42.3% Claas Financial Services (Germany branch) Germany Full (1) 51% 42.3% Full (1) 51% 42.3% Claas Financial Services (Italy branch) Italy Full (1) 51% 42.3% Full (1) 51% 42.3% Claas Financial Services (Poland branch) Poland Full (1) 51% 42.3% Full (1) 51% 42.3% Claas Financial Services (Spain branch) Spain Full (1) 51% 42.3% Full (1) 51% 42.3% Claas Financial Services Ltd UK Full 51% 42.3% Full 51% 42.3% CNH Industrial Capital Europe France Full (1) 50.1% 41.6% Full (1) 50.1% 41.6% CNH Industrial Capital Europe (Belgium branch) Belgium Full (1) 50.1% 41.6% Full (1) 50.1% 41.6% CNH Industrial Capital Europe (Germany branch) Germany Full (1) 50.1% 41.6% Full (1) 50.1% 41.6% CNH Industrial Capital Europe (Italy branch) Italy Full (1) 50.1% 41.6% Full (1) 50.1% 41.6% CNH Industrial Capital Europe (Poland branch) Poland Full (1) 50.1% 41.6% Full (1) 50.1% 41.6% CNH Industrial Capital Europe (Spain branch) Spain Full (1) 50.1% 41.6% Full (1) 50.1% 41.6% CNH Industrial Capital Europe BV Netherlands Full 100% 41.6% Full 100% 41.6% CNH Industrial Capital Europe GmbH Austria Full 100% 41.6% Full 100% 41.6% CNH Industrial Capital Europe Ltd UK Full 100% 41.6% Full 100% 41.6% ES Finance Belgium Full 100% 99.9% Full 100% 99.9% FL Zeebrugge (s) Belgium Full - - Full - - Folea Grundstucksverwaltungs und Vermietungs Gmbh & Co (s) Germany S1 Full - - Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Fortis Lease France Full (1) 100% 83% Full (1) 100% 83% Fortis Lease Belgium Belgium Full 100% 83% Full 100% 83% Fortis Lease Deutschland GmbH Germany Full 100% 83% Full 100% 83% Fortis Lease Iberia SA Spain Full 100% 86.6% Full 100% 86.6% Fortis Lease Portugal Portugal Full 100% 83% Full 100% 83% Fortis Lease UK Ltd UK Full 100% 83% Full 100% 83% Fortis Vastgoedlease BV Netherlands Full 100% 83% Full 100% 83% Hef\ufb01q Heftruck Verhuur BV Netherlands Full 50.1% 41.5% Full 50.1% 41.5% JCB Finance France Full (1) 100% 41.6% Full (1) 100% 41.6% JCB Finance (Germany branch) Germany Full (1) 100% 41.6% Full (1) 100% 41.6% JCB Finance (Italy branch) Italy Full (1) 100% 41.6% Full (1) 100% 41.6% JCB Finance Holdings Ltd UK Full 50.1% 41.6% Full 50.1% 41.6% Manitou Finance Ltd UK Full 51% 42.3% Full 51% 42.3% MGF France Full (1) 51% 42.3% Full (1) 51% 42.3% MGF (Germany branch) Germany Full (1) 51% 42.3% Full (1) 51% 42.3% MGF (Italy branch) Italy Full (1) 51% 42.3% Full (1) 51% 42.3% Natio Energie 2 France Full 100% 100% Full 100% 100% Natiocredibail France Full (1) 100% 100% Full (1) 100% 100% Pixel 2021 (t) France Full - - Full - - E2 RD Leasing IFN SA Romania S4 Same Deutz Fahr Finance France Full (1) 100% 83% Full (1) 100% 83% SNC Natiocredimurs France Full (1) 100% 100% Full (1) 100% 100% New Digital Businesses Financi\u00e8re des Paiements \u00c9lectroniques France Full 95% 95% Full 95% 95% Financi\u00e8re des Paiements \u00c9lectroniques (Belgium branch) Belgium Full 95% 95% Full 95% 95% E2 Financi\u00e8re des Paiements \u00c9lectroniques (Germany branch) Germany Full 95% 95% E2 Financi\u00e8re des Paiements \u00c9lectroniques (Portugal branch) Portugal Full 95% 95% Full 95% 95% E2 Financi\u00e8re des Paiements \u00c9lectroniques (Spain branch) Spain Full 95% 95% Full 95% 95% Floa France Full 100% 100% E3 Lyf SA France Equity (3) 43.8% 43.8% Equity (3) 43.8% 43.8% Lyf SAS France Equity (3) 49.9% 49.9% V4 Equity (3) 49.1% 49.1% Personal Investors Espresso Financial Services Private Ltd India Full 100% 100% Full 100% 100% Geojit Technologies Private Ltd India Equity 35% 35% Equity 35% 35% Human Value Developers Private Ltd India Full 100% 100% Full 100% 100% Sharekhan BNPP Financial Services Ltd India Full 100% 100% Full 100% 100% Sharekhan Ltd India Full 100% 100% Full 100% 100% INVESTMENT & PROTECTION SERVICES Insurance AEW Immocommercial (s) France FV - - FV - - AG Insurance Belgium Equity 25% 25% Equity 25% 25% Agathe Retail France France FV 33.3% 33.3% FV 33.3% 33.3% Ambrosia Avril 2025 (s) France S1 Ambrosia Mars 2026 (s) France S1 Astridplaza Belgium Full (2) 100% 98.5% Full (2) 100% 98.5% V4 Batipart Participations SAS Luxembourg FV 29.7% 29.7% FV 29.7% 29.7% Becquerel (s) France Full (4) - - Full (4) - - BNPP Actions Croissance (s) France Full (4) - - Full (4) - - BNPP Actions Entrepreneurs (s) France S3 Full (4) - - BNPP Actions Euro (s) France Full (4) - - Full (4) - - BNPP Actions Monde (s) France Full (4) - - Full (4) - - BNPP Actions PME (s) France S3 Full (4) - - BNPP Actions PME ETI (s) France Full (4) - - Full (4) - - E1 BNPP Aqua (s) France Full (4) - - Full (4) - - BNPP Best Selection Actions Euro (s) France Full (4) - - Full (4) - - BNPP Cardif France Full (2) 100% 100% Full (2) 100% 100% BNPP Cardif BV Netherlands Full (2) 100% 100% Full (2) 100% 100% BNPP Cardif Compania de Seguros y Reaseguros SA Peru Equity  * 100% 100% Equity  * 100% 100% BNPP Cardif Emeklilik AS T\u00fcrkiye Full (2) 100% 100% Full (2) 100% 100% BNPP Cardif General Insurance Co Ltd Rep. of Korea S2 Equity  * 94.5% 94.5% V4 BNPP Cardif Hayat Sigorta AS T\u00fcrkiye Equity  * 100% 100% Equity  * 100% 100% BNPP Cardif Levensverzekeringen NV Netherlands S4 BNPP Cardif Livforsakring AB Sweden Full (2) 100% 100% Full (2) 100% 100% D1 BNPP Cardif Livforsakring AB (Denmark branch) Denmark Full (2) 100% 100% Full (2) 100% 100% D1 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 292 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. BNPP Cardif Livforsakring AB (Norway branch) Norway Full (2) 100% 100% Full (2) 100% 100% D1 BNPP Cardif Pojistovna AS Czech Rep. Full (2) 100% 100% Full (2) 100% 100% BNPP Cardif Schadeverzekeringen NV Netherlands S4 BNPP Cardif Seguros de Vida SA Chile Full (2) 100% 100% Full (2) 100% 100% BNPP Cardif Seguros Generales SA Chile Full (2) 100% 100% Full (2) 100% 100% BNPP Cardif Services SRO Czech Rep. Equity  * 100% 100% Equity  * 100% 100% BNPP Cardif Servicios y Asistencia Ltda Chile Equity  * 100% 100% Equity  * 100% 100% BNPP Cardif Sigorta AS T\u00fcrkiye Equity  * 100% 100% Equity  * 100% 100% BNPP Cardif TCB Life Insurance Co Ltd Taiwan Equity 49% 49% Equity 49% 49% BNPP Cardif Vita Compagnia di Assicurazione E Riassicurazione SPA Italy Full (2) 100% 100% Full (2) 100% 100% BNPP Convictions (s) France Full (4) - - Full (4) - - BNPP CP Cardif Alternative (s) France S3 Full (2) - - BNPP CP Cardif Private Debt (s) France Full (4) - - Full (4) - - BNPP CP Infrastructure Investments Fund (s) France Full (4) - - Full (4) - - BNPP Deep Value (s) France Full (4) - - Full (4) - - BNPP D\u00e9veloppement Humain (s) France Full (4) - - Full (4) - - BNPP Diversipierre (s) France Full (2) - - Full (2) - - BNPP Europe High Conviction Bond (s) France S1 BNPP France Cr\u00e9dit (s) France Full (2) - - Full (2) - - BNPP Global Senior Corporate Loans (s) France Full (4) - - Full (4) - - BNPP Indice Amerique du Nord (s) France Full (4) - - Full (4) - - BNPP Indice Euro (s) France S3 BNPP Midcap France (s) France S3 BNPP Moderate Focus Italia (s) France Full (4) - - Full (4) - - BNPP Mon\u00e9taire Assurance (s) France Full (4) - - Full (4) - - BNPP Multistrat\u00e9gies Protection 80 (s) France Full (4) - - Full (4) - - BNPP Next Tech (s) France Full (4) - - Full (4) - - E1 BNPP Protection Monde (s) France Full (4) - - Full (4) - - BNPP S\u00e9lection Dynamique Monde (s) France Full (4) - - Full (4) - - BNPP S\u00e9lection Flexible (s) France S3 Full (4) - - BNPP Smallcap Euroland (s) France Full (4) - - Full (4) - - BNPP Social Business France (s) France Full (4) - - Full (4) - - BOB Cardif Life Insurance Co Ltd China Equity 50% 50% Equity 50% 50% C Sant\u00e9 (s) France Full (2) - - Full (2) - - Camgestion Obli\ufb02exible (s) France Full (2) - - Full (2) - - Capital France Hotel France Full (2) 98.5% 98.5% Full (2) 98.5% 98.5% V4 Cardif Alternatives Part I (s) France Full (2) - - Full (2) - - Cardif Assurance Vie France Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Austria branch) Austria Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Belgium branch) Belgium Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Bulgaria branch) Bulgaria Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Germany branch) Germany Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Italy branch) Italy Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Netherlands branch) Netherlands Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Portugal branch) Portugal Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Romania branch) Romania Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Spain branch) Spain Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Switzerland branch) Switzerland Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Taiwan branch) Taiwan Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers France Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Austria branch) Austria Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Belgium branch) Belgium Full (2) 100% 100% Full (2) 100% 100% Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Cardif Assurances Risques Divers (Bulgaria branch) Bulgaria Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Germany branch) Germany Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Italy branch) Italy Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Netherlands branch) Netherlands Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Poland branch) Poland Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Portugal branch) Portugal Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Romania branch) Romania Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Spain branch) Spain Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Switzerland branch) Switzerland Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Taiwan branch) Taiwan Full (2) 100% 100% Full (2) 100% 100% Cardif Biztosito Magyarorszag ZRT Hungary Equity  * 100% 100% Equity  * 100% 100% Cardif BNPP AM Emerging Bond (s) France Full (2) - - Full (2) - - Cardif BNPP AM Global Senior Corporate Loans (s) France Full (4) - - Full (4) - - Cardif BNPP IP Convertibles World (s) France S3 Full (2) - - Cardif BNPP IP Signatures (s) France Full (2) - - Full (2) - - Cardif BNPP IP Smid Cap Euro (s) France Full (2) - - Full (2) - - Cardif BNPP IP Smid Cap Europe (s) France S3 Full (4) - - E1 Cardif Colombia Seguros Generales SA Colombia Full (2) 100% 100% Full (2) 100% 100% Cardif CPR Global Return (s) France Full (2) - - Full (2) - - Cardif do Brasil Seguros e Garantias SA Brazil Full (2) 100% 100% Full (2) 100% 100% Cardif do Brasil Vida e Previdencia SA Brazil Full (2) 100% 100% Full (2) 100% 100% Cardif Edrim Signatures (s) France Full (2) - - Full (2) - - Cardif El Djazair Algeria Equity  * 100% 100% Equity  * 100% 100% Cardif Forsakring AB Sweden Full (2) 100% 100% Full (2) 100% 100% D1 Cardif Forsakring AB (Denmark branch) Denmark Full (2) 100% 100% Full (2) 100% 100% D1 Cardif Forsakring AB (Norway branch) Norway Full (2) 100% 100% Full (2) 100% 100% D1 Cardif IARD France Full (2) 66% 66% Full (2) 66% 66% Cardif Insurance Co LLC Russia Full (2) 100% 100% Full (2) 100% 100% Cardif Life Insurance Co Ltd Rep. of Korea Full (2) 85% 85% Full (2) 85% 85% Cardif Life Insurance Japan Japan Full (2) 75% 75% Full (2) 75% 75% Cardif Ltda Brazil Equity  * 100% 100% Equity  * 100% 100% Cardif Lux Vie Luxembourg Full (2) 100% 88.6% Full (2) 100% 88.6% Cardif Mexico Seguros de Vida SA de CV Mexico Equity  * 100% 100% Equity  * 100% 100% Cardif Mexico Seguros Generales SA de CV Mexico Equity  * 100% 100% Equity  * 100% 100% Cardif Non Life Insurance Japan Japan Full (2) 100% 75% Full (2) 100% 75% Cardif Nordic AB Sweden Full (2) 100% 100% Full (2) 100% 100% Cardif Pinnacle Insurance Holdings PLC UK Full (2) 100% 100% Full (2) 100% 100% Cardif Pinnacle Insurance Management Services PLC UK S2 Full (2) 100% 100% Cardif Polska Towarzystwo Ubezpieczen Na Zycie SA Poland Equity  * 100% 100% Equity  * 100% 100% Cardif Retraite France Full (2) 100% 100% E1 Cardif Seguros SA Argentina Equity  * 100% 100% Equity  * 100% 100% D1 Cardif Services AEIE Portugal Full (2) 100% 100% Full (2) 100% 100% Cardif Servicios SAC Peru Equity  * 100% 100% Equity  * 100% 100% Cardif Vita Convex Fund Eur (s) France Full (2) - - Full (2) - - Cardimmo France Full (2) 100% 100% Full (2) 100% 100% Cargeas Assicurazioni SPA Italy S2 Carma Grand Horizon SARL France Full (2) 100% 100% Full (2) 100% 100% Cedrus Carbon Initiative Trends (s) France Full (2) - - Full (2) - - Centre Commercial Francilia France FV 21.7% 21.7% E3 CFH Algonquin Management Partners France Italia Italy Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Bercy France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Bercy Hotel France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Bercy Interm\u00e9diaire France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 293 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. CFH Berlin Holdco SARL Luxembourg Full (2) 100% 98.5% Full (2) 100% 98.5% E2 CFH Boulogne France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Cap d\u2019Ail France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Milan Holdco SRL Italy Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Montmartre France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Montparnasse France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 Corosa France Full (2) 100% 100% Full (2) 100% 100% Darnell DAC Ireland Full (2) 100% 100% Full (2) 100% 100% D\u00e9fense CB3 SAS France FV 25% 25% FV 25% 25% Diversipierre DVP 1 France Full (2) 100% 88.1% V3 Full (2) 100% 88.7% E1 Diversipierre Germany GmbH Germany Equity  * 100% 88.1% V3 Equity  * 100% 88.7% E1 DVP European Channel France Equity  * 100% 88.1% V3 Equity  * 100% 88.7% E1 DVP Green Clover France Equity  * 100% 88.1% V3 Equity  * 100% 88.7% E1 DVP Haussmann France Equity  * 100% 88.1% V3 Equity  * 100% 88.7% E1 DVP Heron France Equity  * 100% 88.1% V3 Equity  * 100% 88.7% E1 Eclair (s) France Full (4) - - Full (4) - - Elegia Septembre 2028 (s) France S1 EP L (s) France Full (2) - - Full (2) - - EP1 Grands Moulins (s) France Equity  * - - Equity  * - - FDI Poncelet France Full (2) 100% 100% Full (2) 100% 100% Fleur SAS France FV 33.3% 33.3% FV 33.3% 33.3% Fonci\u00e8re Partenaires (s) France FV - - FV - - Fonds d\u2019Investissements Immobiliers pour le Commerce et la Distribution France FV 25% 25% FV 25% 25% FP Cardif Convex Fund USD (s) France Full (2) - - Full (2) - - Fundamenta (s) Italy Full (2) - - Full (2) - - G C Thematic Opportunities II (s) Ireland Full (2) - - Full (2) - - GIE BNPP Cardif France Full (2) 100% 100% V4 Full (2) 99.9% 99.9% V2 GPinvest 10 France FV 50% 50% FV 50% 50% E3 Harewood Helena 2 Ltd UK Full (2) 100% 100% Full (2) 100% 100% Hemisphere Holding France Equity 20% 20% Equity 20% 20% Hibernia France France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 High Street Retail France S2 Horizon Development GmbH Germany FV 66.7% 62.9% FV 66.7% 62.9% V3 Icare France Full (2) 100% 100% Full (2) 100% 100% Icare Assurance France Full (2) 100% 100% Full (2) 100% 100% ID Cologne A1 GmbH Germany Equity  * 79.2% 74.1% Equity  * 79.2% 74.1% E3 ID Cologne A2 GmbH Germany Equity  * 79.2% 74.1% Equity  * 79.2% 74.1% E3 Karapass Courtage France Equity  * 100% 100% Equity  * 100% 100% Korian et Partenaires Immobilier 1 France FV 24.5% 24.5% FV 24.5% 24.5% Korian et Partenaires Immobilier 2 France FV 24.5% 24.5% FV 24.5% 24.5% Luizaseg Brazil Equity 50% 50% Equity 50% 50% Natio Assurance France Full (2) 100% 100% Full (2) 100% 100% Natio Fonds Amp\u00e8re 1 (s) France Full (4) - - Full (4) - - Natio Fonds Athenes Investissement N 5 (s) France Full (2) - - Full (2) - - Natio Fonds Colline International (s) France Full (2) - - Full (2) - - Natio Fonds Collines Investissement N 1 (s) France Full (2) - - Full (2) - - Natio Fonds Collines Investissement N 3 (s) France Full (2) - - Full (2) - - NCVP Participacoes Societarias SA Brazil Full (2) 100% 100% Full (2) 100% 100% New Alpha Cardif Incubator Fund (s) France Full (2) - - Full (2) - - OC Health Real Estate GmbH Germany FV 35% 31% FV 35% 31% E3 Op\u00e9ra Rendement (s) France Full (2) - - Full (2) - - Paris Management Consultant Co Ltd Taiwan Equity  * 100% 100% Equity  * 100% 100% Permal Cardif Co Investment Fund (s) France Full (2) - - Full (2) - - Pinnacle Insurance PLC UK S2 Full (2) 100% 100% Pinnacle Pet Holding Ltd UK Equity 30% 30% E3 Poistovna Cardif Slovakia AS Slovakia Equity  * 100% 100% Equity  * 100% 100% Preim Healthcare SAS (s) France FV - - FV - - PWH France FV 47.5% 47.5% FV 47.5% 47.5% Reumal Investissements France Full (2) 100% 100% Full (2) 100% 100% Rubin SARL Luxembourg FV 50% 50% FV 50% 50% Rueil Ariane France Full (2) 100% 100% Full (2) 100% 100% SAS HVP France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 Schroder European Operating Hotels Fund 1 (s) Luxembourg FV - - FV - - E1 SCI 68/70 rue de Lagny \u2013 Montreuil France Full (2) 99.9% 99.9% V3 Full (2) 100% 100% Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. SCI Alpha Park France FV 50% 50% FV 50% 50% SCI Batipart Chadesrent France FV 20% 20% FV 20% 20% E2 SCI Biv Malakoff France FV 23.3% 23.3% FV 23.3% 23.3% E3 SCI BNPP Pierre I France Full (2) 100% 100% Full (2) 100% 100% SCI BNPP Pierre II France Full (2) 100% 100% Full (2) 100% 100% SCI Bobigny Jean Rostand France Full (2) 100% 100% Full (2) 100% 100% SCI Bouleragny France FV 50% 50% FV 50% 50% SCI Cardif Logement France Full (2) 100% 100% Full (2) 100% 100% SCI Citylight Boulogne France Full (2) 100% 100% Full (2) 100% 100% SCI Clichy Nuovo France FV 50% 50% FV 50% 50% SCI D\u00e9fense \u00c9toile France Full (2) 100% 100% Full (2) 100% 100% SCI D\u00e9fense Vend\u00f4me France Full (2) 100% 100% Full (2) 100% 100% SCI \u00c9toile du Nord France Full (2) 100% 100% Full (2) 100% 100% SCI Fontenay Plaisance France Full (2) 100% 100% Full (2) 100% 100% SCI Imefa Velizy France FV 21.8% 21.8% FV 21.8% 21.8% SCI Le Mans Gare France Full (2) 100% 100% Full (2) 100% 100% SCI Libert\u00e9 France S2 SCI Nanterre Guilleraies France Full (2) 100% 100% Full (2) 100% 100% SCI Nantes Carnot France Full (2) 100% 100% Full (2) 100% 100% SCI Odyss\u00e9e France Full (2) 100% 100% Full (2) 100% 100% SCI Pantin Les Moulins France Full (2) 100% 100% Full (2) 100% 100% SCI Paris Batignolles France Full (2) 100% 100% Full (2) 100% 100% SCI Paris Cours de Vincennes France Full (2) 100% 100% Full (2) 100% 100% SCI Paris Grande Arm\u00e9e France Full (2) 100% 100% Full (2) 100% 100% SCI Paris Turenne France Full (2) 100% 100% Full (2) 100% 100% SCI Portes de Claye France Equity 45% 45% Equity 45% 45% SCI Rue Moussorgski France Full (2) 100% 100% Full (2) 100% 100% SCI Rueil Caudron France Full (2) 100% 100% Full (2) 100% 100% SCI Saint Denis Landy France Full (2) 100% 100% Full (2) 100% 100% SCI Saint Denis Mitterrand France Full (2) 100% 100% Full (2) 100% 100% SCI Saint-Denis Jade France Full (2) 100% 100% Full (2) 100% 100% SCI SCOO France Equity 46.4% 46.4% Equity 46.4% 46.4% SCI Vend\u00f4me Ath\u00e8nes France FV 50% 50% FV 50% 50% SCI Villeurbanne Stalingrad France Full (2) 100% 100% Full (2) 100% 100% Secar France FV 55.1% 55.1% FV 55.1% 55.1% Seniorenzentren Deutschland Holding SARL Luxembourg FV 20% 17.7% FV 20% 17.7% Seniorenzentren Reinbeck Oberursel M\u00fcnchen Objekt GmbH Germany FV 35% 31% FV 35% 31% Seniorenzentrum Butzbach Objekt GmbH Germany FV 35% 31% FV 35% 31% Seniorenzentrum Heilbronn Objekt GmbH Germany FV 35% 31% FV 35% 31% Seniorenzentrum Kassel Objekt GmbH Germany FV 35% 31% FV 35% 31% Seniorenzentrum Wolfratshausen Objekt GmbH Germany FV 35% 31% FV 35% 31% Services Epargne Entreprise France Equity 35.6% 35.6% Equity 35.6% 35.6% SNC Batipart Mermoz France FV 25% 25% FV 25% 25% E2 SNC Batipart Poncelet France FV 25% 25% FV 25% 25% V1 Soci\u00e9t\u00e9 Francaise d\u2019Assurances sur la Vie France Equity 50% 50% Equity 50% 50% Soci\u00e9t\u00e9 Immobili\u00e8re du Royal Building SA Luxembourg Full (2) 100% 88.6% Full (2) 100% 88.6% Tikehau Cardif Loan Europe (s) France Full (2) - - Full (2) - - Valeur Pierre Epargne France Full (2) 100% 100% Full (2) 100% 100% Valtitres FCP (s) France Full (2) - - Full (2) - - Velizy Holding France FV 33.3% 33.3% FV 33.3% 33.3% Wealth Management BNPP Wealth Management DIFC Ltd United Arab Emirates S3 Full 100% 100% BNPP Wealth Management Monaco Monaco Full (1) 100% 100% Full (1) 100% 100% Asset Management Alfred Berg Kapitalforvaltning AS Norway Full 100% 98.2% Full 100% 98.2% Alfred Berg Kapitalforvaltning AS (Sweden branch) Sweden Full 100% 98.2% Full 100% 98.2% Bancoestado Administradora General de Fondos SA Chile Equity 50% 49.1% Equity 50% 49.1% Baroda BNPP AMC Private Ltd (Ex-BNPP Asset Management India Private Ltd) India Equity (3) 49.9% 49% V3/ D8 Full 100% 98.2% BNPP AM International Hedged Strategies (s) France Full (4) - - Full (4) - - E1 BNPP Asset Management Asia Ltd Hong Kong Full 100% 98.2% Full 100% 98.2% 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 294 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. BNPP Asset Management Be Holding Belgium Full 100% 98.2% Full 100% 98.2% BNPP Asset Management Belgium Belgium S4 Full 100% 98.2% BNPP Asset Management Brasil Ltda Brazil Full 100% 99.5% Full 100% 99.5% BNPP Asset Management France France Full 100% 98.2% Full 100% 98.2% BNPP Asset Management France (Austria branch) Austria Full 100% 98.2% Full 100% 98.2% BNPP Asset Management France (Belgium branch) Belgium Full 100% 98.2% E2 BNPP Asset Management France (Germany branch) Germany Full 100% 98.2% Full 100% 98.2% BNPP Asset Management France (Italy branch) Italy Full 100% 98.2% Full 100% 98.2% BNPP Asset Management France (Netherlands branch) Netherlands Full 100% 98.2% Full 100% 98.2% BNPP Asset Management Holding France Full 99.9% 98.2% Full 99.9% 98.2% BNPP Asset Management Japan Ltd Japan Full 100% 98.2% Full 100% 98.2% BNPP Asset Management Luxembourg Luxembourg Full 99.7% 97.9% Full 99.7% 97.9% BNPP Asset Management Nederland NV Netherlands S4 BNPP Asset Management NL Holding NV Netherlands Full 100% 98.2% Full 100% 98.2% BNPP Asset Management PT Indonesia Full 100% 98.2% Full 100% 98.2% BNPP Asset Management Services Grouping France Full 100% 98.2% Full 100% 98.2% BNPP Asset Management UK Ltd UK Full 100% 98.2% Full 100% 98.2% BNPP Asset Management USA Holdings Inc USA Full 100% 100% Full 100% 100% BNPP Asset Management USA Inc USA Full 100% 100% Full 100% 100% BNPP B Institutional II (s) Belgium Full (4) - - Full (4) - - BNPP Capital Partners France S4 BNPP Dealing Services France Full 100% 98.2% Full 100% 98.2% BNPP Diversi\ufb02ex (s) France Full (4) - - E1 BNPP Easy (s) Luxembourg Full (4) - - E1 BNPP European SME Debt Fund 2 SCSp RAIF (s) Luxembourg S2 Full (4) - - E1 BNPP Flexi I (s) Luxembourg Full (4) - - Full (4) - - BNPP Funds (s) Luxembourg Full (4) - - Full (4) - - BNPP L1 (s) Luxembourg S3 BNPP Multigestion (s) France S3 Full (4) - - BNPP Perspectives (s) France S3 Drypnir AS Norway Full 100% 0% Full 100% 0% EAB Group PLC Finland S2 Equity 17.6% 17.3% Fundquest Advisor France S4 Full 100% 98.2% Fundquest Advisor (United Kingdom branch) UK S1 Full 100% 98.2% Gambit Financial Solutions Belgium Full 100% 98.2% Full 100% 98.2% V1 Groeivermogen NV Netherlands S3 Haitong Fortis Private Equity Fund Management Co Ltd China Equity 33% 32.4% Equity 33% 32.4% Harewood Helena 1 Ltd UK Full 100% 100% Full 100% 100% Harmony Prime (s) France Full (4) - - E1 HFT Investment Management Co Ltd China Equity 49% 48.1% Equity 49% 48.1% Impax Asset Management Group PLC UK Equity 13.8% 13.5% Equity 13.8% 13.5% V3 Shinhan BNPP Asset Management Co Ltd Rep. of Korea S2 SME Alternative Financing DAC (s) Ireland Full - - Full - - Theam Quant (s) Luxembourg Full (4) - - Full (4) - - Theam Quant Europe Climate Carbon Offset Plan (s) France Full (4) - - E1 Real Estate Auguste Thouard Expertise France Full (2) 100% 100% Full (2) 100% 100% BNPP Immobilier Promotion Immobilier d\u2019Entreprise France S4 Full (2) 100% 100% BNPP Immobilier R\u00e9sidences Services France Full (2) 100% 100% Full (2) 100% 100% BNPP Immobilier R\u00e9sidentiel France Full (2) 100% 100% Full (2) 100% 100% BNPP Immobilier R\u00e9sidentiel Service Clients France S4 Full (2) 100% 100% BNPP Real Estate France Full (2) 100% 100% Full (2) 100% 100% Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. BNPP Real Estate (United Arab Emirates branch) United Arab Emirates Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Advisory & Property Management Luxembourg SA Luxembourg Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Advisory & Property Management UK Ltd UK Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Advisory and Property Management Ireland Ltd Ireland Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Advisory Belgium SA Belgium S4 BNPP Real Estate Advisory Italy SPA Italy Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Advisory Netherlands BV Netherlands Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate APM CR SRO Czech Rep. S2 BNPP Real Estate Conseil Habitation & Hospitality France Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Consult France France Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Consult GmbH Germany Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Facilities Management Ltd UK Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Financial Partner France Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate GmbH Germany Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Holding Benelux SA Belgium Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Holding GmbH Germany Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Investment Management Belgium Belgium Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Investment Management France France Full 100% 100% Full 100% 100% BNPP Real Estate Investment Management Germany GmbH Germany Full 94.9% 94.9% Full 94.9% 94.9% BNPP Real Estate Investment Management Germany GmbH (Italy branch) Italy Full 94.9% 94.9% Full 94.9% 94.9% BNPP Real Estate Investment Management Germany GmbH (Spain branch) Spain Full 94.9% 94.9% Full 94.9% 94.9% BNPP Real Estate Investment Management Germany GmbH Lisbon Representative Of\ufb01ce Portugal Full 94.9% 94.9% E1 BNPP Real Estate Investment Management Italy SPA Italy Full 100% 100% Full 100% 100% BNPP Real Estate Investment Management Ltd UK Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Investment Management Luxembourg SA Luxembourg Full 100% 100% Full 100% 100% BNPP Real Estate Investment Management Spain SA Spain Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Investment Management UK Ltd UK Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Italy SRL Italy S4 Full (2) 100% 100% BNPP Real Estate Magyarorszag Tanacsado Es Ingatlankezelo ZRT Hungary S2 BNPP Real Estate Poland SP ZOO Poland Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Portugal Unipersonal LDA Portugal Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Property Development & Services GmbH Germany Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Property Development UK Ltd UK Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Property Developpement Italy SPA Italy S4 Full (2) 100% 100% BNPP Real Estate Property Management Belgium Belgium S4 BNPP Real Estate Property Management France SAS France Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Property Management GmbH Germany Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Property Management Italy SRL Italy Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Singapore Pte Ltd Singapore Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Spain SA Spain Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Transaction France France Full (2) 96.8% 96.8% V1 Full (2) 96.6% 96.6% V2 BNPP Real Estate Valuation France France Full (2) 100% 100% Full (2) 100% 100% 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 295 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Cariboo Development SL Spain Equity 65% 65% Equity 65% 65% Construction-Sale Companies (c) France Full/ Equity (2) - - Full/ Equity (2) - - Exeo Aura & Echo Of\ufb01ces Lda Portugal Equity 31% 31% E2 GIE BNPP Real Estate (Ex-GIE Si\u00e8ge Issy) France Full (2) 100% 100% Full (2) 100% 100% Horti Milano SRL Italy Full (2) 100% 100% Full (2) 100% 100% Li\ufb01zz France S4 Nanterre Arboretum France Full (2) 100% 100% Full (2) 100% 100% Parker Tower Ltd UK Full (2) 100% 100% Full (2) 100% 100% Partner\u2019s & Services France Full (2) 100% 100% Full (2) 100% 100% REPD Parker Ltd UK Full (2) 100% 100% Full (2) 100% 100% Sviluppo Residenziale Italia SRL Italy Full (2) 100% 100% Full (2) 100% 100% Wapiti Development SL Spain Equity 65% 65% Equity 65% 65% E1 Principal Investments BNPP Agility Capital France Full 100% 100% Full 100% 100% BNPP Agility Fund Equity SLP (s) France Full (4) - - Full (4) - - BNPP Agility Fund Private Debt SLP (s) France Full (4) - - Full (4) - - OTHER BUSINESS UNITS Property Companies (Property Used In Operations) and Others Antin Participation 5 France Full 100% 100% Full 100% 100% BNPP Home Loan SFH France Full (1) 100% 100% Full (1) 100% 100% BNPP Partners for Innovation France Full 100% 100% Full 100% 100% V1/D4 BNPP Partners for Innovation Belgium Belgium Full 100% 100% Full 100% 100% V1/D4 BNPP Partners for Innovation Italia SRL Italy Full 100% 100% Full 100% 100% V1/D4 BNPP Procurement Tech France Full 100% 100% Full 100% 100% BNPP Public Sector SA France Full 100% 100% Full 100% 100% Euro Secured Notes Issuer (s) France S3 Full - - FCT Lafayette 2021 (t) France Full - - Full - - E2 Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. FCT Laf\ufb01tte 2016 (t) France S1 FCT Laf\ufb01tte 2021 (t) France Full - - Full - - E2 FCT Op\u00e9ra 2014 (t) France Full - - Full - - FCT Pyramides 2022 (t) France Full - - E2 GIE Groupement Auxiliaire de Moyens France Full 100% 100% Full 100% 100% GIE Groupement d\u2019Etudes et de Prestations France Full 100% 100% Full 100% 100% Transvalor France Equity 20.2% 20.2% Equity 20.2% 20.2% E1 (a) At 31 December 2022, 14 Private Equity investment entities versus 11 Private Equity investment entities at 31 December 2021. (b) At 31 December 2022, the securitisation funds UCI and RMBS Prado include 14 funds (FCC UCI 11, 12, 14 to 17, RMBS Prado V to X, Green Belem I and RMBS Belem No 2) versus 15 funds (FCC UCI 11, 12, 14 to 17, Fondo de Titulizacion Structured Covered Bonds, RMBS Prado III to IX and Green Belem I) at 31 December 2021. (c) At 31 December 2022, 125 Construction-sale companies (91 Full and 34 Equity) versus 115 (89 Full and 26 Equity) at 31 December 2021. As requested by the ANC 2016 regulation, the list of entities that are controlled by the Group, jointly controlled or under signi\ufb01cant in\ufb02uence, but excluded from the scope of consolidation since their contribution to the consolidated \ufb01nancial statements would be immaterial to the Group, and the list of equity investments, are available on the \u201cRegulated Information\u201d page of the https://invest.bnpparibas.com website. Changes in the scope of consolidation New entries (E) in the scope of consolidation E1 Passing qualifying thresholds E2 Incorporation E3 Purchase, gain of control or signi\ufb01cant in\ufb02uence Removals (S) from the scope of consolidation S1 Cessation of activity (dissolution, liquidation, etc.) S2 Disposal, loss of control or loss of signi\ufb01cant in\ufb02uence S3 Passing qualifying thresholds S4 Merger, Universal transfer of assets and liabilities Variance (V) in voting or ownership interest V1 Additional purchase V2 Partial disposal V3 Dilution V4 Increase in % Miscellaneous D1 Consolidation method change not related to \ufb02uctuation in voting or ownership interest D2 Entities of a business held for sale D3 The Verner Investissements group was consolidated under the equity method in BNP Paribas Group until 13 July 2021. Following the additional purchase of interest by BNP Paribas Group, the Verner Investments group was fully consolidated (see note 7.c) D4 The BNPP Partners for Innovation group was consolidated under the equity method in BNP Paribas Group until 31 December 2021. Following the additional purchase of interest by BNP Paribas Group, the BNPP Partners for Innovation group was fully consolidated. D5 Compagnie pour le Financement des Loisirs was consolidated under the equity method in BNP Paribas Group until 31 December 2021. Following the additional purchase of interest by BNP Paribas Group, Compagnie pour le Financement des Loisirs was fully consolidated. D6 Worldline Merchant Services Italia SPA was fully consolidated in BNP Paribas Group until 31 December 2021. Following the partial disposal by the Group, Worldline Merchant Services Italia SPA was consolidated under the equity method. D7 bpost bank was consolidated under the equity method in BNP Paribas Group until 31 December 2021. Following the additional purchase of interest by BNP Paribas Group, bpost bank was fully consolidated. D8 Baroda BNPP AMC Private Ltd was fully consolidated in BNP Paribas Group until 31 December 2021. Following the partial disposal by the Group, Baroda BNPP AMC Private Ltd was consolidated under the equity method. Equity Controlled but non material entities consolidated under the equity method as associates FV Joint control or investment in associates measured at Fair Value through P&L (s) Structured entities (t) Securitisation funds Prudential scope of consolidation (1) French subsidiaries for which supervision of prudential requirements is complied with through the supervision on a consolidated basis of BNP Paribas SA, in accordance with article 7.1 of Regulation n\u00b0575/2013 of the European Parliament and of the Council. (2) Entities consolidated under the equity method in the prudential scope (3) Jointly controlled entities under proportional consolidation in the prudential scope (4) Collective investment undertaking excluded from the prudential scope. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 296 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfCompositionOfGroupExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9561": {
   "value": "1.b.1 Scope of consolidation The consolidated \ufb01nancial statements of BNP Paribas include entities that are controlled by the Group, jointly controlled, and under signi\ufb01cant in\ufb02uence, with the exception of those entities whose consolidation is regarded as immaterial to the Group. Companies that hold shares in consolidated companies are also consolidated. Subsidiaries are consolidated from the date on which the Group obtains effective control. Entities under temporary control are included in the consolidated \ufb01nancial statements until the date of disposal.Exclusive control Controlled enterprises are fully consolidated. The Group controls a subsidiary when it is exposed, or has rights, to variable returns from its involvement with the entity and has the ability to affect those returns through its power over the entity. For entities governed by voting rights, the Group generally controls the entity if it holds, directly or indirectly, the majority of the voting rights (and if there are no contractual provisions that alter the power of these voting rights) or if the power to direct the relevant activities of the entity is conferred on it by contractual agreements. Structured entities are entities established so that they are not governed by voting rights, for instance when those voting rights relate to administrative tasks only, whereas the relevant activities are directed by means of contractual arrangements. They often have the following features or attributes: restricted activities, a narrow and well-de\ufb01ned objective and insuf\ufb01cient equity to permit them to \ufb01nance their activities without subordinated \ufb01nancial support. (1) Including change in assets and liabilities recognised in changes in equity that may be reclassi\ufb01ed to pro\ufb01t or loss. (2) Including amendments to other standards related to the application of IFRS 17, of which the impact of the EUR 1.5 billion in relation to the revaluation of buildings at fair value, offset by the corresponding revaluation of liabilities in direct participating contracts. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 189 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements For these entities, the analysis of control shall consider the purpose and design of the entity, the risks to which the entity is designed to be exposed and to what extent the Group absorbs the related variability. The assessment of control shall consider all facts and circumstances able to determine the Group\u2019s practical ability to make decisions that could signi\ufb01cantly affect its returns, even if such decisions are contingent on uncertain future events or circumstances. In assessing whether it has power, the Group considers only substantive rights which it holds or which are held by third parties. For a right to be substantive, the holder must have the practical ability to exercise that right when decisions about the relevant activities of the entity need to be made. Control is reassessed if facts and circumstances indicate that there are changes to one or more of the elements of control. Where the Group contractually holds the decision-making power, for instance where the Group acts as fund manager, it shall determine whether it is acting as agent or principal. Indeed, when associated with a certain level of exposure to the variability of returns, this decision-making power may indicate that the Group is acting on its own account and that it thus has control over those entities. Minority interests are presented separately in the consolidated pro\ufb01t and loss account and balance sheet within consolidated equity. The calculation of minority interests takes into account the outstanding cumulative preferred shares classi\ufb01ed as equity instruments issued by subsidiaries, when such shares are held outside the Group. As regards fully consolidated funds, units held by third-party investors are recognised as debts at fair value through pro\ufb01t or loss, inasmuch as they are redeemable at fair value at the subscriber\u2019s initiative. For transactions resulting in a loss of control, any equity interest retained by the Group is remeasured at its fair value through pro\ufb01t or loss.Joint control Where the Group carries out an activity with one or more partners, sharing control by virtue of a contractual agreement which requires unanimous consent on relevant activities (those that signi\ufb01cantly affect the entity\u2019s returns), the Group exercises joint control over the activity. Where the jointly controlled activity is structured through a separate vehicle in which the partners have rights to the net assets, this joint venture is accounted for using the equity method. Where the jointly controlled activity is not structured through a separate vehicle or where the partners have rights to the assets and obligations for the liabilities of the jointly controlled activity, the Group accounts for its share of the assets, liabilities, revenues and expenses in accordance with the applicable IFRS.Significant influence Companies over which the Group exercises signi\ufb01cant in\ufb02uence or associates are accounted for by the equity method. Signi\ufb01cant in\ufb02uence is the power to participate in the \ufb01nancial and operating policy decisions of a company without exercising control. Signi\ufb01cant in\ufb02uence is presumed to exist when the Group holds, directly or indirectly, 20% or more of the voting rights of a company. Interests of less than 20% can be included in the consolidation scope if the Group effectively exercises signi\ufb01cant in\ufb02uence. This is the case for example for entities developed in partnership with other associates, where the BNP Paribas Group participates in strategic decisions of the enterprise through representation on the Board of directors or equivalent governing body, or exercises in\ufb02uence over the enterprise\u2019s operational management by supplying management systems or senior managers, or provides technical assistance to support the enterprise\u2019s development. Changes in the net assets of associates (companies accounted for under the equity method) are recognised on the assets side of the balance sheet under \u201cInvestments in equity-method entities\u201d and in the relevant component of shareholders\u2019 equity. Goodwill recorded on associates is also included under \u201cEquity-method investments\u201d. Whenever there is an indication of impairment, the carrying amount of the investment consolidated under the equity method (including goodwill) is subjected to an impairment test, by comparing its recoverable value (the higher of value-in-use and market value less costs to sell) to its carrying amount. Where appropriate, impairment is recognised under \u201cShare of earnings of equity-method entities\u201d in the consolidated income statement and can be reversed at a later date. If the Group\u2019s share of losses of an equity-method entity equals or exceeds the carrying amount of its investment in this entity, the Group discontinues including its share of further losses. The investment is reported at nil value. Additional losses of the equity-method entity are provided for only to the extent that the Group has contracted a legal or constructive obligation, or has made payments on behalf of this entity. Where the Group holds an interest in an associate, directly or indirectly through an entity that is a venture capital organisation, a mutual fund, an open-ended investment company or similar entity such as an investment-related insurance fund, it may elect to measure that interest at fair value through pro\ufb01t or loss. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 190 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Realised gains and losses on investments in consolidated undertakings are recognised in the pro\ufb01t and loss account under \u201cNet gain on non-current assets\u201d. The consolidated \ufb01nancial statements are prepared using uniform accounting policies for similar transactions and other events occurring in similar circumstances.Equity method investments Investments in entities or real estate funds over which the Group exercises signi\ufb01cant in\ufb02uence or joint control and for which the equity method is applied are recognised in the line \u201cEquity method investments\u201d.2.i NET GAIN ON NON-CURRENT ASSETS In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Gain or loss on investments in consolidated undertakings (note 6.c) (257) 355 Gain or loss on tangible and intangible assets 7 479 Results from net monetary position (3) Net gain on non-current assets (253) 834 According to IAS 29 in connection with the hyperin\ufb02ation situation of the economy in T\u00fcrkiye, the line \u201cResults from net monetary positions\u201d mainly includes the effect of the evolution of the consumer price index in T\u00fcrkiye on the valuation of non-monetary assets and liabilities (-EUR 434 million) and on accrued income from the Turkish government bonds portfolio indexed to in\ufb02ation and held by Turk Ekonomi Bankasi AS (+EUR 431 million, reclassi\ufb01ed from interest margin). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 223 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements4.m EQUITY-METHOD INVESTMENTS Cumulated \ufb01nancial information of associates and joint ventures is presented in the following table: In millions of euros Year to 31 December 2022 31 December 2022 Year to 31 December 2021 31 December 2021 Share of net income Share of changes in assets and liabilities recognised directly in equity Share of net income and changes in assets and liabilities recognised directly in equity Equity-method investments Share of net income Share of changes in assets and liabilities recognised directly in equity Share of net income and changes in assets and liabilities recognised directly in equity Equity-method investments Joint ventures 34 130 164 1,447 5 128 133 1,022 Associates (1) 665 (990) (325) 4,816 489 184 673 5,506 TOTAL EQUITY- METHOD ENTITIES 699 (860) (161) 6,263 494 312 806 6,528 (1) Including controlled but non-material entities consolidated under the equity method. Financing and guarantee commitments given by the Group to joint ventures are listed in note 7.j Other related parties. The carrying amount of the Group\u2019s investment in the main joint ventures and associates is presented in the following table: In millions of euros Country of registration Activity Interest (%) 31 December 2022 31 December 2021 Joint ventures bpost bank (1) Belgium Retail Banking 100% - 111 Union de Creditos Inmobiliarios Spain Retail mortgage 50% 327 203 BoB Cardif Life Insurance China Life Insurance 50% 232 231 BNPP Cardif TCB Life Insurance Taiwan Life Insurance 49% 161 214 Associates AG Insurance Belgium Insurance 25% 597 1,704 Bank of Nanjing China Retail Banking 14% 2,757 2,306 Allfunds Group Plc United Kingdom Financial Services 12% 318 370 (1) On 3 January 2022, the Group BNP Paribas took exclusive control of bpost bank. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 251 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements7.c BUSINESS COMBINATIONS AND LOSS OF CONTROL OR SIGNIFICANT INFLUENCE Allfunds Group Plc At 31 December 2020, BNP Paribas held a stake of 22.5% in Allfunds Plc Ltd, European market leader in fund distribution platforms. On 23 April 2021, the Group participated in the initial public offering of Allfunds, contributing 6.7% of the capital. The disposal led to the recognition of a result of EUR 300 million. On 16 September 2021, the Group sold a stake of 2% of Allfunds. The disposal led to the recognition of a result of EUR 144 million. On 24 September 2022, the Group sold a stake of 2% of Allfunds and retained a signi\ufb01cant in\ufb02uence with 12.2% of the capital of AFB Group Plc. The disposal led to the recognition of a result of EUR 31 million. Verner Investissements On 13 July 2021, BNP Paribas SA purchased the residual 50% stake in Verner Investissements, the holding company of Exane entities. The Group BNP Paribas took therefore exclusive control of this entity and fully consolidated it from the second half of 2021. Consequently, this operation increased the Group\u2019s balance sheet by EUR 6 billion at the acquisition date, in particular EUR 3.7 billion in \ufb01nancial assets at fair value through pro\ufb01t and loss, and led to the recognition of badwill of EUR 111 million in the pro\ufb01t and loss account. Including the remeasurement of the previously held stake through pro\ufb01t or loss, the net impact on net income of the acquisition is -EUR 51 million. bpost bank On 3 January 2022, BNP Paribas Fortis purchased the residual 50% stake in bpost bank. The Group BNP Paribas took therefore exclusive control of this entity and fully consolidated it from the \ufb01rst quarter of 2022. Consequently, this operation increased the Group\u2019s balance sheet by EUR 12 billion at the acquisition date, in particular EUR 11 billion in \ufb01nancial assets at amortised cost and led to the recognition of badwill of EUR 245 million in the pro\ufb01t and loss account. Axepta SpA On 4 January 2022, Banca Nazionale del Lavoro sold 80% of its stake of Wordline Merchant Services Italia (ex-Axepta Spa). The Group BNP Paribas lost exclusive control of this entity but kept a signi\ufb01cant in\ufb02uence. The disposal led to the recognition of a result of EUR 204 million on the line \u201cNet gain on non-current assets\u201d. The residual stake of 20% was consolidated using the equity method for its remeasured value, including goodwill of EUR 41 million. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 275 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Floa On 31 January 2022, BNP Paribas purchased 100% of Floa. The Group BNP Paribas took exclusive control of this entity and fully consolidated it from the \ufb01rst quarter of 2022. The Group\u2019s balance sheet increased by EUR 2 billion at the acquisition date, in particular in \ufb01nancial assets at amortised cost. The goodwill related to this operation was EUR 122 million. UkrSibbank In the context of the con\ufb02ict in Ukraine, the Group reassessed the nature of control over its subsidiary UkrSibbank and concluded to the loss of exclusive control, and the maintain of a signi\ufb01cant in\ufb02uence. This situation led the Group to consolidate the entity using the equity method from 1 March 2022. The loss of exclusive control involved the recognition of a loss on disposal of -EUR 159 million and the reclassi\ufb01cation to the pro\ufb01t and loss account of cumulated changes in assets and liabilities for exchange differences of -EUR 274 million, in \u201cNet gain on non-current assets\u201d. The Group\u2019s balance sheet decreased by EUR 2 billion at the date of loss of exclusive control, in particular in \ufb01nancial assets at amortised cost. Terberg Leasing Group BV On 30 November 2022, Arval Service Lease purchased 100% of Terberg Leasing Group BV. The Group BNP Paribas took exclusive control of these entities and fully consolidated them from the last quarter of 2022. The Group\u2019s balance sheet increased by EUR 1 billion at the acquisition date, in particular in tangible assets. The goodwill related to this operation was EUR 96 million.7.f MINORITY INTERESTS In millions of euros Capital and retained earnings Changes in assets and liabilities recognised directly in equity that will not be reclassi\ufb01ed to pro\ufb01t or loss Changes in assets and liabilities recognised directly in equity that may be reclassi\ufb01ed to pro\ufb01t or loss Minority interests Balance at 1 January 2021 4,640 9 (99) 4,550 Appropriation of net income for 2020 (221) (221) Increases in capital and issues 10 10 Reduction or redemption of capital (73) (73) Movements in consolidation scope impacting minority shareholders (139) (139) Acquisitions of additional interests or partial sales of interests 55 55 Change in commitments to repurchase minority shareholders\u2019 interests 38 38 Other movements 9 9 Realised gains or losses reclassi\ufb01ed to retained earnings 1 (1) - Changes in assets and liabilities recognised directly in equity 7 (7) - Net income for 2021 392 392 Balance at 31 December 2021 4,712 15 (106) 4,621 IAS 29 Impact (14) 62 48 Balance at 1 January 2022 4,698 15 (44) 4,669 Appropriation of net income for 2021 (133) (133) Increases in capital and issues 34 34 Impact of internal transactions on minority shareholders 2 2 Movements in consolidation scope impacting minority shareholders (136) (136) Change in commitments to repurchase minority shareholders\u2019 interests (157) (157) Other movements (1) (1) Changes in assets and liabilities recognised directly in equity 6 78 84 Net income for 2022 401 401 Balance at 31 December 2022 4,708 21 34 4,763 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 279 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 MAIN MINORITY INTERESTS The assessment of the material nature of minority interests is based on the contribution of the relevant subsidiaries to the Group balance sheet (before elimination of intragroup balances and transactions) and to the Group pro\ufb01t and loss account. In millions of euros 31 December 2022 Year to 31 Dec. 2022 Total assets before elimination of intragroup transactions Revenues Net income Net income and changes in assets and liabilities recognised directly in equity Minority shareholders\u2019 interest (%) Net income attributable to minority interests Net income and changes in assets and liabilities recognised directly in equity \u2013 attributable to minority interests Dividends paid to minority shareholders Contribution of the entities belonging to the BGL BNP Paribas Group 95,376 1,851 604 269 34% 189 121 81 Other minority interests 212 364 52 TOTAL 401 485 133 In millions of euros 31 December 2021 Year to 31 Dec. 2021 Total assets before elimination of intragroup transactions Revenues Net income Net income and changes in assets and liabilities recognised directly in equity Minority shareholders\u2019 interest (%) Net income attributable to minority interests Net income and changes in assets and liabilities recognised directly in equity \u2013 attributable to minority interests Dividends paid to minority shareholders Contribution of the entities belonging to the BGL BNP Paribas Group 98,967 1,779 585 557 34% 179 167 163 Other minority interests 213 225 58 TOTAL 392 392 221 There are no particular contractual restrictions on the assets of BGL BNP Paribas related to the presence of the minority shareholder. \u27a4 INTERNAL RESTRUCTURING THAT LED TO A CHANGE IN MINORITY SHAREHOLDERS\u2019 INTEREST IN THE EQUITY OF SUBSIDIARIES No signi\ufb01cant internal restructuring operation occurred during the year 2022, nor during the year 2021. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 280 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 ACQUISITIONS OF ADDITIONAL INTERESTS AND PARTIAL SALES OF INTERESTS LEADING TO CHANGES IN MINORITY INTERESTS IN THE EQUITY OF SUBSIDIARIES In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Attributable to shareholders Minority interests Attributable to shareholders Minority interests Bank BGZ BNP Paribas Partial disposal of 1.26% of the total share, reducing the Group\u2019s share to 87.43% (11) 37 Financit Spa Implementation of a partnership, reducing the Group\u2019s share to 60% 21 18 Other (2) TOTAL - - 8 55 Commitments to repurchase minority shareholders\u2019 interests In connection with the acquisition of certain entities, the Group granted minority shareholders put options on their holdings. The total value of these commitments, which are recorded as a reduction in shareholders\u2019 equity, amounts to EUR 361 million at 31 December 2022, compared with EUR 322 million at 31 December 2021.7.g SIGNIFICANT RESTRICTIONS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES Significant restrictions related to the ability of entities to transfer cash to the Group The ability of entities to pay dividends or to repay loans and advances depends, inter alia, on local regulatory requirements for capitalisation and legal reserves, as well as the entities\u2019 \ufb01nancial and operating performance. During 2022, none of the BNP Paribas Group entities were subject to signi\ufb01cant restrictions other than those related to regulatory requirements. Significant restrictions relative to the Group\u2019s ability to use the assets lodged in consolidated structured entities Access to the assets of consolidated structured entities in which third-party investors have invested is limited inasmuch as these entities\u2019 assets are reserved for the holders of units or securities. These assets total EUR 37 billion at 31 December 2022 (EUR 34 billion at 31 December 2021). Significant restrictions related to the Group\u2019s ability to use assets pledged as collateral or under repurchase agreements The \ufb01nancial instruments pledged by the BNP Paribas Group as collateral or under repurchase agreements are presented in notes 4.r and 5.d. Significant restrictions related to liquidity reserves Signi\ufb01cant restrictions related to liquidity reserves correspond to the mandatory deposits placed with central banks presented in chapter 5 of the Universal registration document under Liquidity risk. Assets representative of unit-linked insurance contracts Financial assets representative of unit-linked insurance contracts designated as at fair value through pro\ufb01t or loss, which amount to EUR 80 billion at 31 December 2022 (compared with EUR 87 billion at 31 December 2021), are held for the bene\ufb01t of the holders of these contracts. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 281 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements 7.h STRUCTURED ENTITIES The BNP Paribas Group is engaged in transactions with sponsored structured entities mainly through its activities of securitisation of \ufb01nancial assets \u2013 as either originator or sponsor, fund management and specialised asset \ufb01nancing. In addition, the BNP Paribas Group is also engaged in transactions with structured entities that it has not sponsored, notably in the form of investments in funds or securitisation vehicles. The method for assessing control for structured entities is detailed in note 1.b.2. Consolidation methods.Consolidated structured entities The main categories of consolidated structured entities are: \u25a0 ABCP (Asset-Backed Commercial Paper) conduits: the ABCP securitisation conduits Starbird, Matchpoint and Scaldis fund securitisation transactions managed by the BNP Paribas Group on behalf of its customers. Details on how these are \ufb01nanced and the Group\u2019s risk exposure are presented in chapter 5 of the Universal registration document under Securitisation as sponsor on behalf of clients/Short-term re\ufb01nancing; \u25a0 Proprietary securitisation: proprietary securitisation positions originated and held by the BNP Paribas Group are detailed in chapter 5 of the Universal registration document under Proprietary securitisation activities (originator); \u25a0 Funds managed by the Group: the BNP Paribas Group structures different types of funds for which it may act as fund manager, investor, custodian or guarantor. These funds are consolidated when the Group is both the manager and a signi\ufb01cant investor and is therefore exposed to variable returns.Unconsolidated structured entities The BNP Paribas Group has entered into relations with unconsolidated structured entities in the course of its business activities to meet the needs of its customers. Information relative to interests in sponsored structured entities The main categories of unconsolidated sponsored structured entities are as follows: \u25a0 Securitisation: the BNP Paribas Group structures securitisation vehicles for the purposes of offering customers \ufb01nancing solutions for their assets, either directly or through consolidated ABCP conduits. Each vehicle \ufb01nances the purchase of customers\u2019 assets (receivables, bonds, etc.) primarily by issuing bonds backed by these assets and whose redemption is linked to their performance; \u25a0 Funds: the Group structures and manages funds to offer investment opportunities to its customers. Dedicated or public funds are offered to institutional and individual customers and are distributed and commercially monitored by the BNP Paribas Group. The entities of the BNP Paribas Group responsible for managing these funds may receive management fees and performance commission. The BNP Paribas Group may hold units in these funds, as well as units in funds dedicated to the insurance activity not managed by the BNP Paribas Group; \u25a0 Asset financing: the BNP Paribas Group establishes and \ufb01nances structured entities that acquire assets (aircraft, ships, etc.) intended for lease, and the lease payments received by the structured entity are used to repay the \ufb01nancing, which is guaranteed by the asset held by the structured entity; \u25a0 Other: on behalf of its customers, the Group may also structure entities which invest in assets or are involved in debt restructuring. An interest in an unconsolidated structured entity is a contractual or non-contractual link that exposes the BNP Paribas Group to variable returns from the performance of the entity. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 282 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The Group\u2019s assets and liabilities related to the interests held in sponsored structured entities are as follows: In millions of euros, at 31 December 2022 Securitisation Funds Asset Financing Others Total INTERESTS ON THE GROUP BALANCE SHEET ASSETS Financial instruments at fair value through pro\ufb01t or loss 7 1,468 449 1,924 Derivatives used for hedging purposes 9 1,067 13 19 1,108 Financial instruments at fair value through equity 147 147 Financial assets at amortised cost 21,058 278 2,150 228 23,714 Other assets 2 110 26 138 Financial investments of insurance activities 34,933 34,933 TOTAL ASSETS 21,223 37,856 2,189 696 61,964 LIABILITIES Financial instruments at fair value through pro\ufb01t or loss 14 597 53 230 894 Derivatives used for hedging purposes Financial liabilities at amortised cost 553 10,907 181 27 11,668 Other liabilities 4 296 117 417 TOTAL LIABILITIES 571 11,800 351 257 12,979 MAXIMUM EXPOSURE TO LOSS 29,679 38,505 3,527 753 72,464 SIZE OF STRUCTURED ENTITIES (1) 163,455 308,773 5,755 4,365 482,348 In millions of euros, at 31 December 2021 Securitisation Funds Asset Financing Others Total INTERESTS ON THE GROUP BALANCE SHEET ASSETS Financial instruments at fair value through pro\ufb01t or loss 5 1,009 4 95 1,113 Derivatives used for hedging purposes 11 1,404 23 18 1,456 Financial instruments at fair value through equity 190 190 Financial assets at amortised cost 14,230 117 1,709 9 16,065 Other assets 3 93 96 Financial investments of insurance activities 24,114 24,114 TOTAL ASSETS 14,439 26,737 1,736 122 43,034 LIABILITIES Financial instruments at fair value through pro\ufb01t or loss 18 542 3 54 617 Derivatives used for hedging purposes Financial liabilities at amortised cost 1,058 12,809 140 27 14,034 Other liabilities 5 140 118 263 TOTAL LIABILITIES 1,081 13,491 261 81 14,914 MAXIMUM EXPOSURE TO LOSS 21,888 27,061 3,047 212 52,208 SIZE OF STRUCTURED ENTITIES (1) 121,665 332,150 4,933 5,263 464,011 (1) The size of sponsored structured entities equals the total assets of the structured entity for securitisation vehicles, the net asset value for funds (excluding management mandates) and the structured entity\u2019s total assets or the amount of the BNP Paribas Group\u2019s commitment for asset \ufb01nancing and other structures. The BNP Paribas Group\u2019s maximum exposure to losses on sponsored structured entities is the carrying amount of the assets, excluding, for \ufb01nancial assets at fair value through equity, changes in value taken directly to equity, as well as the nominal amount of the \ufb01nancing commitments and guarantee commitments given and the notional amount of credit default swaps (CDS) sold. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 283 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Information relative to interests in non-sponsored structured entities The main interests held by the BNP Paribas Group when it acts solely as an investor in non-sponsored structured entities are detailed below: \u25a0 Units in funds that are not managed by the Group, which are held by the Insurance business line: as part of the asset allocation strategy corresponding to investments related to the premiums for unit-linked contracts or for the general fund, the Insurance business line subscribes to units of structured entities. These short- or medium-term investments are held for their \ufb01nancial performance and meet the risk diversi\ufb01cation criteria inherent to the business. They amounted to EUR 30 billion at 31 December 2022 (EUR 39 billion at 31 December 2021). Changes in value and the majority of the risks associated with these investments are borne by policyholders in the case of assets representative of unit-linked contracts, and by the insurer in the case of assets representative of the general fund; \u25a0 Other investments in funds not managed by the Group: as part of its trading business, the BNP Paribas Group invests in structured entities without any involvement in either managing or structuring these entities (investments in mutual funds, securities funds or alternative funds), particularly as economic hedge for structured products sold to customers. The Group also invests in minority holdings in investment funds, in support of companies, as part of its venture capital business. These investments amounted to EUR 8 billion at 31 December 2022 (10 billion at 31 December 2021); \u25a0 Investments in securitisation vehicles: the breakdown of the Group\u2019s exposure and the nature of the securities held are presented in chapter 5 of the Universal registration document in the section Securitisation as investor. Besides, in the framework of its asset \ufb01nancing activity, the BNP Paribas Group provides \ufb01nancing to structured entities that are established by and for its clients and whose purpose is to acquire assets (aircraft, ships, etc.) intended for lease to those same clients. These \ufb01nancings amount to EUR 4 billion at 31 December 2022 (EUR 5 billion at 31 December 2021).2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 287 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. BNP Paribas SA France Full (1) 100% 100% (1) BNPP SA (Argentina branch) Argentina Full 100% 100% Full 100% 100% BNPP SA (Australia branch) Australia Full 100% 100% Full 100% 100% BNPP SA (Austria branch) Austria Full 100% 100% Full 100% 100% BNPP SA (Bahrain branch) Bahrain Full 100% 100% Full 100% 100% BNPP SA (Belgium branch) Belgium Full 100% 100% Full 100% 100% BNPP SA (Bulgaria branch) Bulgaria Full 100% 100% Full 100% 100% BNPP SA (Canada branch) Canada Full 100% 100% Full 100% 100% BNPP SA (Czech Republic branch) Czech Rep. Full 100% 100% Full 100% 100% BNPP SA (Denmark branch) Denmark Full 100% 100% Full 100% 100% BNPP SA (Finland branch) Finland Full 100% 100% Full 100% 100% BNPP SA (Germany branch) Germany Full 100% 100% Full 100% 100% BNPP SA (Greece branch) Greece Full 100% 100% E2 BNPP SA (Guernsey branch) Guernsey Full 100% 100% E2 BNPP SA (Hong Kong branch) Hong Kong Full 100% 100% Full 100% 100% BNPP SA (Hungary branch) Hungary Full 100% 100% Full 100% 100% BNPP SA (India branch) India Full 100% 100% Full 100% 100% BNPP SA (Ireland branch) Ireland Full 100% 100% Full 100% 100% BNPP SA (Italy branch) Italy Full 100% 100% Full 100% 100% BNPP SA (Japan branch) Japan Full 100% 100% Full 100% 100% BNPP SA (Jersey branch) Jersey Full 100% 100% E2 S1 BNPP SA (Kuwait branch) Kuwait Full 100% 100% Full 100% 100% BNPP SA (Luxembourg branch) Luxembourg Full 100% 100% Full 100% 100% BNPP SA (Malaysia branch) Malaysia Full 100% 100% Full 100% 100% BNPP SA (Monaco branch) Monaco Full 100% 100% Full 100% 100% BNPP SA (Netherlands branch) Netherlands Full 100% 100% Full 100% 100% BNPP SA (Norway branch) Norway Full 100% 100% Full 100% 100% BNPP SA (Panama branch) Panama S1 Full 100% 100% BNPP SA (Philippines branch) Philippines Full 100% 100% Full 100% 100% BNPP SA (Poland branch) Poland Full 100% 100% Full 100% 100% BNPP SA (Portugal branch) Portugal Full 100% 100% Full 100% 100% BNPP SA (Qatar branch) Qatar Full 100% 100% Full 100% 100% BNPP SA (Republic of Korea branch) Rep. of Korea Full 100% 100% Full 100% 100% BNPP SA (Romania branch) Romania Full 100% 100% Full 100% 100% BNPP SA (Saudi Arabia branch) Saudi Arabia Full 100% 100% Full 100% 100% BNPP SA (Singapore branch) Singapore Full 100% 100% Full 100% 100% BNPP SA (South Africa branch) South Africa Full 100% 100% Full 100% 100% BNPP SA (Spain branch) Spain Full 100% 100% Full 100% 100% BNPP SA (Sweden branch) Sweden Full 100% 100% Full 100% 100% BNPP SA (Switzerland branch) Switzerland Full 100% 100% E2 BNPP SA (Taiwan branch) Taiwan Full 100% 100% Full 100% 100% BNPP SA (Thailand branch) Thailand Full 100% 100% Full 100% 100% BNPP SA (United Arab Emirates branch) United Arab Emirates Full 100% 100% Full 100% 100% BNPP SA (United Kingdom branch) UK Full 100% 100% Full 100% 100% BNPP SA (United States branch) USA Full 100% 100% Full 100% 100% BNPP SA (Viet Nam branch) Viet Nam Full 100% 100% Full 100% 100% CORPORATE & INSTITUTIONAL BANKING EMEA (Europe, Middle East, Africa) France Atargatis (s) France S4 Full - - Austin Finance (s) France Full - - Full - - BNPP Arbitrage France Full (1) 100% 100% Full (1) 100% 100% BNPP Securities Services France S4 Full (1) 100% 100% BNPP Securities Services (Australia branch) Australia S4 Full (1) 100% 100% BNPP Securities Services (Belgium branch) Belgium S4 Full (1) 100% 100% BNPP Securities Services (Germany branch) Germany S4 Full (1) 100% 100% Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. BNPP Securities Services (Greece branch) Greece S4 Full (1) 100% 100% BNPP Securities Services (Guernsey branch) Guernsey S4 Full (1) 100% 100% BNPP Securities Services (Hong Kong branch) Hong Kong S4 Full (1) 100% 100% BNPP Securities Services (Hungary branch) Hungary S4 Full (1) 100% 100% BNPP Securities Services (Ireland branch) Ireland S4 Full (1) 100% 100% BNPP Securities Services (Italy branch) Italy S4 Full (1) 100% 100% BNPP Securities Services (Jersey branch) Jersey S4 Full (1) 100% 100% BNPP Securities Services (Luxembourg branch) Luxembourg S4 Full (1) 100% 100% BNPP Securities Services (Netherlands branch) Netherlands S4 Full (1) 100% 100% BNPP Securities Services (Poland branch) Poland S4 Full (1) 100% 100% BNPP Securities Services (Portugal branch) Portugal S4 Full (1) 100% 100% BNPP Securities Services (Singapore branch) Singapore S4 Full (1) 100% 100% BNPP Securities Services (Spain branch) Spain S4 Full (1) 100% 100% BNPP Securities Services (Switzerland branch) Switzerland S4 Full (1) 100% 100% BNPP Securities Services (United Kingdom branch) UK S4 Full (1) 100% 100% Compagnie d\u2019Investissement Italiens (s) France S4 Full - - Compagnie d\u2019Investissement Op\u00e9ra (s) France S4 Full - - Ellipsis Asset Management France S2 Full 100% 100% V1/D3 Eurotitrisation France Equity 21.7% 21.7% Equity 21.7% 21.7% V3 Exane France Full 100% 100% Full 100% 100% V1/D3 Exane (Germany branch) Germany Full 100% 100% Full 100% 100% V1/D3 Exane (Italy branch) Italy Full 100% 100% Full 100% 100% V1/D3 Exane (Spain branch) Spain Full 100% 100% Full 100% 100% V1/D3 Exane (Sweden branch) Sweden Full 100% 100% Full 100% 100% V1/D3 Exane (Switzerland branch) Switzerland Full 100% 100% Full 100% 100% V1/D3 Exane (United Kingdom branch) UK Full 100% 100% Full 100% 100% V1/D3 Exane Asset Management France Equity 51% 51% V1 Equity 50% 50% V1/D3 Exane Derivatives France Full 100% 100% Full 100% 100% V1/D3 Exane Derivatives (Italy branch) Italy S1 Full 100% 100% V1/D3 Exane Derivatives (Switzerland branch) Switzerland Full 100% 100% Full 100% 100% V1/D3 Exane Derivatives (United Kingdom branch) UK Full 100% 100% Full 100% 100% V1/D3 Exane Derivatives Gerance France Full 100% 100% Full 100% 100% V1/D3 Exane Finance France Full 100% 100% Full 100% 100% V1/D3 Exane Participations France S4 Full 99% 99% V1/D3 FCT Juice (t) France Full - - Full - - Financi\u00e8re des Italiens (s) France Full - - Full - - Financi\u00e8re du March\u00e9 Saint Honor\u00e9 France Full 100% 100% Full 100% 100% Financi\u00e8re Paris Haussmann (s) France S4 Full - - Financi\u00e8re Taitbout (s) France S4 Full - - Mediterranea (s) France S4 Full - - Optichamps (s) France Full - - Full - - Parilease France Full (1) 100% 100% Full (1) 100% 100% Participations Op\u00e9ra (s) France Full - - Full - - BNP Paribas, a soci\u00e9t\u00e9 anonyme (Public Limited Company), registered in France, is the Group\u2019s lead company, which holds key positions in its three operating divisions: Corporate & Institutional Banking (CIB), Commercial, Personal Banking & Services (CPBS) and Investment & Protection Services (IPS). During the year, the parent company did not change its name. BNP Paribas has its principal place of business in France and its head of\ufb01ce is located at 16 boulevard des Italiens 75009 Paris, France. 7.l SCOPE OF CONSOLIDATION 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 288 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Services Logiciels d\u2019Int\u00e9gration Boursi\u00e8re France Equity (3) 66.6% 66.6% Equity (3) 66.6% 66.6% SNC Taitbout Participation 3 France Full 100% 100% Full 100% 100% Soci\u00e9t\u00e9 Orbaisienne de Participations France Full 100% 100% Full 100% 100% Verner Investissements France S4 Full 100% 100% V1/D3 Verner Investissements NewCo1 France S4 Full 100% 100% E3 Verner Investissements NewCo2 France S4 Full 100% 100% E3 Other European countries Alectra Finance PLC (t) Ireland S3 Allfunds Group PLC UK Equity 12.1% 12% V2 Equity 13.8% 13.7% V2 Aquarius + Investments PLC (t) Ireland S3 Full - - Aries Capital DAC (s) Ireland Full - - Full - - AssetMetrix Germany Equity 20.8% 20.8% V4 Equity 14.9% 14.9% V4 Auseter Real Estate Opportunities SARL (t) Luxembourg S2 Full - - BNP PUK Holding Ltd UK Full 100% 100% Full 100% 100% BNPP Bank JSC Russia Full 100% 100% Full 100% 100% BNPP Emissions Und Handels GmbH (s) Germany Full - - Full - - BNPP Fund Administration Services Ireland Ltd Ireland Full 100% 100% Full 100% 100% BNPP Invest Holdings BV Netherlands S1 Full 100% 100% BNPP Ireland Unlimited Co Ireland Full 100% 100% Full 100% 100% BNPP Islamic Issuance BV (s) Netherlands Full - - Full - - BNPP Issuance BV (s) Netherlands Full - - Full - - BNPP Net Ltd UK Full 100% 100% Full 100% 100% BNPP Prime Brokerage International Ltd Ireland Full 100% 100% Full 100% 100% BNPP Suisse SA Switzerland Full 100% 100% Full 100% 100% BNPP Suisse SA (Guernsey branch) Guernsey Full 100% 100% Full 100% 100% BNPP Technology LLC Russia Full 100% 100% Full 100% 100% BNPP Trust Corp UK Ltd UK Full 100% 100% E1 BNPP Vartry Reinsurance DAC Ireland Full (2) 100% 100% Full (2) 100% 100% Diamante Re SRL Italy Full 100% 100% Full 100% 100% Ejesur SA Spain Full 100% 100% Full 100% 100% Ellipsis AM Suisse SARL Switzerland S2 Full 100% 100% V1/D3 Exane Solutions Luxembourg SA Luxembourg Full 100% 100% Full 100% 100% V1/D3 Expo Atlantico EAII Investimentos Imobiliarios SA (s) Portugal Full - - E2 Expo Indico EIII Investimentos Imobiliarios SA (s) Portugal Full - - E2 FScholen Belgium Equity (3) 50% 50% Equity (3) 50% 50% Greenstars BNPP Luxembourg Full (2) 100% 100% Full (2) 100% 100% Kantox Holding Ltd (Ex- Kantox Ltd) UK Equity 9.5% 9.5% Equity 9.5% 9.5% V4 Madison Arbor Ltd (t) Ireland Full - - Full - - Matchpoint Finance PLC (t) Ireland Full - - Full - - Ribera Del Loira Arbitrage Spain Full 100% 100% Full 100% 100% Securasset SA (s) Luxembourg Full - - Full - - E1 Single Platform Investment Repackaging Entity SA (s) Luxembourg Full - - Full - - Utexam Logistics Ltd Ireland Full 100% 100% Full 100% 100% Utexam Solutions Ltd Ireland Full 100% 100% Full 100% 100% Middle East BNPP Investment Co KSA Saudi Arabia Full 100% 100% Full 100% 100% AMERICAS Banco BNPP Brasil SA Brazil Full 100% 100% Full 100% 100% BNPP Canada Corp Canada Full 100% 100% Full 100% 100% BNPP Capital Services Inc USA Full 100% 100% Full 100% 100% BNPP Colombia Corporacion Financiera SA Colombia Full 100% 100% Full 100% 100% BNPP EQD Brazil Fund Fundo de Investmento Multimercado (s) Brazil Full - - Full - - BNPP Financial Services LLC USA Full 100% 100% Full 100% 100% BNPP FS LLC USA Full 100% 100% Full 100% 100% BNPP IT Solutions Canada Inc Canada Full 100% 100% Full 100% 100% BNPP Mexico Holding Mexico Full 100% 100% Full 100% 100% E1 BNPP Mexico SA Institucion de Banca Multiple Mexico Full 100% 100% Full 100% 100% E1 BNPP Proprietario Fundo de Investimento Multimercado (s) Brazil Full - - Full - - BNPP RCC Inc USA Full 100% 100% Full 100% 100% Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. BNPP Securities Corp USA Full 100% 100% Full 100% 100% BNPP US Investments Inc USA Full 100% 100% Full 100% 100% BNPP US Wholesale Holdings Corp USA Full 100% 100% Full 100% 100% BNPP USA Inc USA Full 100% 100% Full 100% 100% BNPP VPG Brookline Cre LLC (s) USA Full - - Full - - BNPP VPG EDMC Holdings LLC (s) USA Full - - Full - - BNPP VPG Express LLC (s) USA Full - - Full - - BNPP VPG I LLC (s) USA Full - - Full - - BNPP VPG II LLC (s) USA Full - - Full - - BNPP VPG III LLC (s) USA Full - - Full - - BNPP VPG Master LLC (s) USA Full - - Full - - Dale Bakken Partners 2012 LLC USA FV 4.9% 23.8% V3 FV 23.8% 23.8% Decart Re Ltd (s) Bermuda Full (2) - - Full (2) - - Exane Inc USA S1 Full 100% 100% V1/D3 FSI Holdings Inc USA Full 100% 100% Full 100% 100% Starbird Funding Corp (t) USA Full - - Full - - PACIFIC ASIA Bank BNPP Indonesia PT Indonesia Full 100% 100% Full 100% 100% BNPP Arbitrage Hong Kong Ltd Hong Kong Full 100% 100% Full 100% 100% BNPP China Ltd China Full 100% 100% Full 100% 100% BNPP Finance Hong Kong Ltd Hong Kong Full 100% 100% Full 100% 100% BNPP Fund Services Australasia Pty Ltd Australia Full 100% 100% Full 100% 100% BNPP Fund Services Australasia Pty Ltd (New Zealand branch) New Zealand Full 100% 100% Full 100% 100% BNPP Global Securities Operations Private Ltd India Full 100% 100% Full 100% 100% BNPP India Holding Private Ltd India Full 100% 100% Full 100% 100% BNPP India Solutions Private Ltd India Full 100% 100% Full 100% 100% BNPP Malaysia Berhad Malaysia Full 100% 100% Full 100% 100% BNPP Securities Asia Ltd Hong Kong Full 100% 100% Full 100% 100% BNPP Securities India Private Ltd India Full 100% 100% Full 100% 100% BNPP Securities Japan Ltd Japan Full 100% 100% Full 100% 100% BNPP Securities Korea Co Ltd Rep. of Korea Full 100% 100% Full 100% 100% BNPP Securities Taiwan Co Ltd Taiwan Full 100% 100% Full 100% 100% BNPP Sekuritas Indonesia PT Indonesia Full 100% 100% V4 Full 99% 99% BPP Holdings Pte Ltd Singapore Full 100% 100% Full 100% 100% Contour Pte Ltd Singapore S2 Pt Andalan Multi Guna Indonesia Full 100% 100% D1 COMMERCIAL, PERSONAL BANKING & SERVICES COMMERCIAL & PERSONAL BANKING IN THE EUROZONE Commercial & Personal Banking in France 2SF - Soci\u00e9t\u00e9 des Services Fiduciaires France Equity 33.3% 33.3% E2 Banque de Wallis et Futuna France Full (1) 51% 51% Full (1) 51% 51% BNPP Antilles Guyane France Full (1) 100% 100% Full (1) 100% 100% BNPP D\u00e9veloppement France Full 100% 100% Full 100% 100% BNPP D\u00e9veloppement Oblig France Full 100% 100% Full 100% 100% BNPP Factor France Full (1) 100% 100% Full (1) 100% 100% BNPP Factor (Spain branch) Spain Full (1) 100% 100% Full (1) 100% 100% BNPP Factor Sociedade Financeira de Credito SA Portugal Full 100% 100% Full 100% 100% BNPP Nouvelle Cal\u00e9donie France Full (1) 100% 100% Full (1) 100% 100% BNPP R\u00e9union France Full (1) 100% 100% Full (1) 100% 100% Compagnie pour le Financement des Loisirs France Full 100% 100% V1/D5 Equity 46% 46% Copartis France Full 100% 100% Full 100% 100% Euro Securities Partners France Equity (3) 50% 50% Equity (3) 50% 50% GIE Ocean France Full 100% 100% Full 100% 100% Jivago Holding France Full 100% 100% Full 100% 100% E3 Partecis France Equity (3) 50% 50% Equity (3) 50% 50% Paylib Services France Equity 14.3% 14.3% Equity 14.3% 14.3% Portzamparc France Full (1) 100% 100% Full (1) 100% 100% Protection 24 France S2 Soci\u00e9t\u00e9 Lairoise de Participations France S4 Full 100% 100% BNL banca commerciale Artigiancassa SPA Italy Full 73.9% 73.9% Full 73.9% 73.9% Banca Nazionale Del Lavoro SPA Italy Full 100% 100% Full 100% 100% EMF IT 2008 1 SRL (t) Italy Full - - Full - - Era Uno SRL (t) Italy Full - - Full - - E2 Eutimm SRL Italy Full 100% 100% Full 100% 100% Financit SPA Italy Full 60% 60% Full 60% 60% V2 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 289 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Immera SRL (t) Italy Full - - Full - - E1 International Factors Italia SPA Italy Full 99.7% 99.7% Full 99.7% 99.7% Permicro SPA Italy Equity 21.9% 21.9% V4 Equity 21.6% 21.6% Serfactoring SPA Italy S2 Servizio Italia SPA Italy Full 100% 100% Full 100% 100% Sviluppo HQ Tiburtina SRL Italy Full 100% 100% Full 100% 100% Tierre Securitisation SRL (t) Italy Full - - Full - - Vela Consumer 2 SRL (t) Italy S1 Vela Home SRL (t) Italy S3 Full - - Vela Mortgages SRL (t) Italy S3 Full - - Vela OBG SRL (t) Italy Full - - Full - - Vela RMBS SRL (t) Italy Full - - Full - - Worldline Merchant Services Italia SPA (Ex-Axepta SPA) Italy Equity 20% 20% V2/ D6 Full 100% 100% Commercial & Personal Banking in Belgium Axepta BNPP Benelux Belgium Full 100% 99.9% Full 100% 99.9% Bancontact Paytoniq Company Belgium Equity 22.5% 22.5% Equity 22.5% 22.5% Banking Funding Company SA Belgium S3 Equity 33.5% 33.5% BASS Master Issuer NV (t) Belgium Full - - Full - - Batopin Belgium Equity 25% 25% Equity 25% 25% E1 Belgian Mobile ID Belgium Equity 12.2% 12.2% Equity 12.2% 12.2% V3 BNPP Commercial Finance Ltd UK Full 100% 99.9% Full 100% 99.9% BNPP Factor AB Sweden S1 BNPP Factor AS Denmark Full 100% 99.9% Full 100% 99.9% BNPP Factor GmbH Germany Full 100% 99.9% Full 100% 99.9% BNPP Factor NV Netherlands S1 BNPP Factoring Support Netherlands Full 100% 99.9% Full 100% 99.9% BNPP Fortis Belgium Full 99.9% 99.9% Full 99.9% 99.9% BNPP Fortis (Spain branch) Spain Full 99.9% 99.9% Full 99.9% 99.9% BNPP Fortis (United States branch) USA Full 99.9% 99.9% Full 99.9% 99.9% BNPP Fortis Factor NV Belgium Full 100% 99.9% Full 100% 99.9% BNPP Fortis Film Finance Belgium Full 100% 99.9% Full 100% 99.9% V4 BNPP Fortis Funding SA Luxembourg Full 100% 99.9% Full 100% 99.9% BNPP FPE Belgium Belgium Full 100% 99.9% Full 100% 99.9% BNPP FPE Expansion Belgium Full 100% 99.9% Full 100% 99.9% BNPP FPE Management Belgium Full 100% 99.9% Full 100% 99.9% Bpost Bank Belgium Full 100% 99.9% V1/D7 Equity (3) 50% 50% Credissimo Belgium Full 100% 99.9% Full 100% 99.9% Credissimo Hainaut SA Belgium Full 99.7% 99.7% Full 99.7% 99.7% Cr\u00e9dit pour Habitations Sociales Belgium Full 81.7% 81.6% Full 81.7% 81.6% Demetris NV Belgium Full 100% 99.9% E1 Epimede (s) Belgium Equity - - Equity - - Esmee Master Issuer (t) Belgium Full - - Full - - Immobili\u00e8re Sauveniere SA Belgium Full 100% 99.9% Full 100% 99.9% Isabel SA NV Belgium Equity 25.3% 25.3% Equity 25.3% 25.3% Microstart Belgium Full 42.3% 76.8% Full 42.3% 76.8% V4 Private Equity Investments (a) BE/FR/LU FV - - FV - - Sagip Belgium Full 100% 100% Full 100% 100% Sowo Invest SA NV Belgium Full 87.5% 87.5% Full 87.5% 87.5% Commercial & Personal Banking in Luxembourg BGL BNPP Luxembourg Full 66% 65.9% Full 66% 65.9% BGL BNPP (Germany branch) Germany Full 66% 65.9% Full 66% 65.9% BNPP Lease Group Luxembourg SA Luxembourg Full 100% 65.9% Full 100% 65.9% BNPP SB Re Luxembourg Full (2) 100% 100% Full (2) 100% 100% Cofhylux SA Luxembourg Full 100% 65.9% Full 100% 65.9% Compagnie Financi\u00e8re Ottomane SA Luxembourg Full 97.3% 97.3% Full 97.3% 97.3% Le Sphinx Assurances Luxembourg SA Luxembourg Full (2) 100% 100% Full (2) 100% 100% Lion International Investments SA Luxembourg S4 Full 100% 100% Luxhub SA Luxembourg Equity 28% 18.5% Equity 28% 18.5% Visalux Luxembourg Equity 25.3% 16.7% Equity 25.3% 16.7% COMMERCIAL & PERSONAL BANKING IN THE REST OF THE WORLD Europe-Mediterranean Bank of Nanjing China Equity 13.9% 13.9% V3 Equity 15% 15% V1 Banque Internationale pour le Commerce et l\u2019Industrie de la C\u00f4te d\u2019Ivoire Ivory Coast Full 59.8% 59.8% Full 59.8% 59.8% Banque Internationale pour le Commerce et l\u2019Industrie de la Guin\u00e9e Guinea S2 Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Banque Internationale pour le Commerce et l\u2019Industrie du Burkina Faso Burkina Faso S2 Banque Internationale pour le Commerce et l\u2019Industrie du S\u00e9n\u00e9gal Senegal Full 54.1% 54.1% Full 54.1% 54.1% Banque Marocaine pour le Commerce et l\u2019Industrie Morocco Full 67% 67% Full 67% 67% Banque Marocaine pour le Commerce et l\u2019Industrie Banque Offshore Morocco Full 100% 67% Full 100% 67% Bantas Nakit AS T\u00fcrkiye Equity (3) 33.3% 16.7% Equity (3) 33.3% 16.7% BDSI Morocco Full 100% 96.4% Full 100% 96.4% BGZ Poland ABS1 DAC (t) Ireland Full - - Full - - BICI Bourse Ivory Coast Full 90% 52% Full 90% 52% V4 BMCI Leasing Morocco Full 86.9% 58.2% Full 86.9% 58.2% BNPP Bank Polska SA Poland Full 87.4% 87.4% Full 87.4% 87.4% V3 BNPP El Djazair Algeria Full 100% 100% Full 100% 100% BNPP Faktoring Spolka ZOO Poland Full 100% 100% Full 100% 100% BNPP Fortis Yatirimlar Holding AS T\u00fcrkiye Full 100% 99.9% Full 100% 99.9% BNPP Group Service Center SA Poland Full 100% 87.4% E1 BNPP IRB Participations France Full 100% 100% Full 100% 100% BNPP Solutions Spolka ZOO Poland S3 Full 100% 87.4% V3 BNPP Yatirimlar Holding AS T\u00fcrkiye Full 100% 100% Full 100% 100% Dreams Sustainable AB Sweden Full 57.5% 57.5% E3 Joint Stock Company Ukrsibbank Ukraine Equity 60% 60% D1 Full 60% 60% TEB ARF Teknoloji Anonim Sirketi T\u00fcrkiye Full 100% 72.5% Full 100% 72.5% E2 TEB Faktoring AS T\u00fcrkiye Full 100% 72.5% Full 100% 72.5% TEB Holding AS T\u00fcrkiye Full 50% 50% Full 50% 50% TEB SH A Serbia Full 100% 50% Full 100% 50% TEB Yatirim Menkul Degerler AS T\u00fcrkiye Full 100% 72.5% Full 100% 72.5% Turk Ekonomi Bankasi AS T\u00fcrkiye Full 100% 72.5% Full 100% 72.5% Union Bancaire pour le Commerce et l\u2019Industrie Tunisia S2 BancWest BancWest Holding Inc USA Full 100% 100% D2 Full 100% 100% D2 BancWest Holding Inc Grantor Trust ERC Subaccount (s) USA Full - - D2 Full - - D2 BancWest Holding Inc Umbrella Trust (s) USA Full - - D2 Full - - D2 BancWest Investment Services Inc USA Full 100% 100% D2 Full 100% 100% D2 Bank of the West USA Full 100% 100% D2 Full 100% 100% D2 Bank of the West Auto Trust 2018-1 (t) USA S1 Full - - D2 Bank of the West Auto Trust 2019-1 (t) USA Full - - D2 Full - - D2 Bank of the West Auto Trust 2019-2 (t) USA Full - - D2 Full - - D2 BNPP Leasing Solutions Canada Inc Canada Full 100% 100% D2 Full 100% 100% BOW Auto Receivables LLC (t) USA Full - - D2 Full - - D2 BWC Opportunity Fund 2 Inc (t) USA Full - - D2 Full - - D2 BWC Opportunity Fund Inc (t) USA Full - - D2 Full - - D2 CFB Community Development Corp USA Full 100% 100% D2 Full 100% 100% D2 Claas Financial Services LLC USA Full 51% 51% D2 Full 51% 51% D2 Commercial Federal Affordable Housing Inc USA Full 100% 100% D2 Full 100% 100% D2 Commercial Federal Community Development Corp USA S1 Commercial Federal Insurance Corp USA S1 Commercial Federal Investment Service Inc USA S1 First Santa Clara Corp (s) USA Full - - D2 Full - - D2 Liberty Leasing Co USA S1 United California Bank Deferred Compensation Plan Trust (s) USA Full - - D2 Full - - D2 Ursus Real Estate Inc USA Full 100% 100% D2 Full 100% 100% D2 SPECIALISED BUSINESSES Personal Finance Alpha Cr\u00e9dit SA Belgium Full 100% 99.9% Full 100% 99.9% AutoFlorence 1 SRL (t) Italy Full - - Full - - AutoFlorence 2 SRL (t) Italy Full - - Full - - E2 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 290 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Autonoria 2019 (t) France Full - - Full - - Autonoria Spain 2019 (t) Spain Full - - Full - - Autonoria Spain 2021 FT (t) Spain Full - - Full - - E2 Autonoria Spain 2022 FT (t) Spain Full - - E2 Autop Ocean Indien France S4 Full 100% 97.8% Axa Banque Financement France Equity 35% 35% Equity 35% 35% Banco Cetelem SA Spain Full 100% 100% Full 100% 100% Banco Cetelem SA Brazil Full 100% 100% Full 100% 100% BGN Mercantil E Servicos Ltda Brazil Full 100% 100% Full 100% 100% BNPP Personal Finance France Full 100% 100% Full 100% 100% BNPP Personal Finance (Austria branch) Austria Full 100% 100% Full 100% 100% BNPP Personal Finance (Bulgaria branch) Bulgaria Full 100% 100% Full 100% 100% BNPP Personal Finance (Czech Republic branch) Czech Rep. Full 100% 100% Full 100% 100% BNPP Personal Finance (Portugal branch) Portugal Full 100% 100% Full 100% 100% BNPP Personal Finance (Romania branch) Romania Full 100% 100% Full 100% 100% BNPP Personal Finance (Slovakia branch) Slovakia Full 100% 100% Full 100% 100% BNPP Personal Finance BV Netherlands Full 100% 100% Full 100% 100% BNPP Personal Finance South Africa Ltd South Africa Full 100% 100% Full 100% 100% BON BNPP Consumer Finance Co Ltd (Ex-Suning Consumer Finance Co Ltd) China Equity 18% 18% V1 Equity 15% 15% Ca\ufb01neo France Full (1) 51% 50.8% Full (1) 51% 50.8% Carrefour Banque France Equity 40% 40% Equity 40% 40% Central Europe Technologies SRL Romania Full 100% 100% Full 100% 100% E1 Cetelem Alg\u00e9rie Algeria S1 Cetelem America Ltda Brazil Full 100% 100% Full 100% 100% Cetelem Business Consulting Shanghai Co Ltd China Full 100% 100% E1 Cetelem Gestion AIE Spain Full 100% 96% Full 100% 96% Cetelem SA de CV Mexico Full 100% 100% Full 100% 100% Cetelem Servicios Informaticos AIE Spain Full 100% 81% Full 100% 81% Cetelem Servicios SA de CV Mexico S4 Full 100% 100% Cetelem Servicos Ltda Brazil Full 100% 100% Full 100% 100% Co\ufb01ca Bail France Full (1) 100% 100% Full (1) 100% 100% Co\ufb01noga Funding Two LP (s) UK S1 Co\ufb01plan France Full (1) 100% 100% Full (1) 100% 100% Creation Consumer Finance Ltd UK Full 100% 100% Full 100% 100% Creation Financial Services Ltd UK Full 100% 100% Full 100% 100% Cr\u00e9dit Moderne Antilles Guyane France Full (1) 100% 100% Full (1) 100% 100% Cr\u00e9dit Moderne Oc\u00e9an Indien France Full (1) 97.8% 97.8% Full (1) 97.8% 97.8% Domo\ufb01nance France Full (1) 55% 55% Full (1) 55% 55% Domos 2017 (t) France S1 Full - - E Carat 10 (t) France Full - - Full - - E Carat 7 PLC (t) UK S3 E Carat 8 PLC (t) UK S3 E Carat 9 PLC (t) UK S3 E Carat 10 PLC (t) UK S3 Full - - E Carat 11 PLC (t) UK Full - - Full - - E Carat 12 PLC (t) UK Full - - Full - - E2 E Carat SA (t) Luxembourg S3 Ekspres Bank AS Denmark Full 100% 100% Full 100% 100% Ekspres Bank AS (Norway branch) Norway Full 100% 100% Full 100% 100% Ekspres Bank AS (Sweden branch) Sweden Full 100% 100% Full 100% 100% Eos Aremas Belgium SA NV Belgium Equity 50% 49.9% Equity 50% 49.9% Evollis France Equity 41% 41% Equity 41% 41% E3 Findomestic Banca SPA Italy Full 100% 100% Full 100% 100% Florence Real Estate Developments SPA Italy Full 100% 100% Full 100% 100% E1 Florence SPV SRL (t) Italy Full - - Full - - GCC Consumo Establecimiento Financiero de Credito SA Spain Full 51% 51% Full 51% 51% Genius Auto Finance Co Ltd China Equity (3) 20% 20% Equity (3) 20% 20% International Development Resources AS Services SA Spain Full 100% 100% Full 100% 100% E1 Iqera Services France Equity 24.5% 24.5% Equity 24.5% 24.5% Loisirs Finance France Full (1) 51% 51% Full (1) 51% 51% Magyar Cetelem Bank ZRT Hungary Full 100% 100% Full 100% 100% Neuilly Contentieux France Full 95.9% 95.6% Full 95.9% 95.6% Noria 2018-1 (t) France Full - - Full - - Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Noria 2020 (t) France Full - - Full - - Noria 2021 (t) France Full - - Full - - E2 Noria Spain 2020 FT (t) Spain Full - - Full - - Olympia SAS France S3 Opel Bank France Full 50% 50% Full 50% 50% Opel Bank (Austria branch) Austria Full 50% 50% Full 50% 50% Opel Bank (Germany branch) Germany Full 50% 50% Full 50% 50% Opel Bank (Greece branch) Greece S1 Opel Bank (Italy branch) Italy Full 50% 50% Full 50% 50% Opel Bank (Spain branch) Spain Full 50% 50% Full 50% 50% Opel Finance BV Belgium S3 Full 100% 50% Opel Finance NV Netherlands Full 100% 50% Full 100% 50% Opel Finance SA Switzerland Full 100% 50% Full 100% 50% Personal Finance Location France Full 100% 100% Full 100% 100% E1 PF Services GmbH Germany Full 100% 100% Full 100% 100% E1 Phedina Hypotheken 2010 BV (t) Netherlands Full - - Full - - RCS Botswana Pty Ltd Botswana Full 100% 100% Full 100% 100% RCS Cards Pty Ltd South Africa Full 100% 100% Full 100% 100% RCS Investment Holdings Namibia Pty Ltd Namibia Full 100% 100% Full 100% 100% Securitisation funds UCI and RMBS Prado (b) (t) Spain Equity (3) - - Equity (3) - - Servicios Financieros Carrefour EFC SA Spain Equity 37.3% 40% Equity 37.3% 40% Sol\ufb01n\u00e9a France S3 Sygma Fundings Two Ltd UK S3 Symag France S2 TEB Finansman AS T\u00fcrkiye Full 100% 92.8% Full 100% 92.8% Union de Creditos Inmobiliarios SA Spain Equity (3) 50% 50% Equity (3) 50% 50% United Partnership France Equity (3) 50% 50% Equity (3) 50% 50% Vauxhall Finance PLC UK Full 100% 50% Full 100% 50% XFERA Consumer Finance EFC SA Spain Full 51% 51% Full 51% 51% Zhejiang Wisdom Puhua Financial Leasing Co Ltd China Equity (3) 20% 20% Equity (3) 20% 20% E3 Arval Artel France Full (2) 100% 99.9% Full (2) 100% 99.9% Arval AB Sweden Full (2) 100% 99.9% Full (2) 100% 99.9% Arval AS Denmark Full (2) 100% 99.9% Full (2) 100% 99.9% Arval AS Norway Norway Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Austria GmbH Austria Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Belgium NV SA Belgium Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Benelux BV Netherlands S4 Full (2) 100% 99.9% Arval Brasil Ltda Brazil Full (2) 100% 99.9% Full (2) 100% 99.9% Arval BV Netherlands Full (2) 100% 99.9% Full (2) 100% 99.9% Arval CZ SRO Czech Rep. Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Deutschland GmbH Germany Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Fleet Services France Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Fuhrparkmanagement GmbH Austria S4 Arval Hellas Car Rental SA Greece Full (2) 100% 99.9% Full (2) 100% 99.9% Arval India Private Ltd India S3 Arval LLC Russia Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Luxembourg SA Luxembourg Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Magyarorszag KFT Hungary Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Maroc SA Morocco Full (2) 100% 89% Full (2) 100% 89% Arval OY Finland Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Relsa SPA Chile Equity 50% 50% Equity 50% 50% Arval Schweiz AG Switzerland Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Service Lease France Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Service Lease Aluger Operational Automoveis SA Portugal Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Service Lease Italia SPA Italy Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Service Lease Polska SP ZOO Poland Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Service Lease Romania SRL Romania Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Service Lease SA Spain Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Slovakia SRO Slovakia Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Trading France Full (2) 100% 99.9% Full (2) 100% 99.9% Arval UK Group Ltd UK Full (2) 100% 99.9% Full (2) 100% 99.9% Arval UK Leasing Services Ltd UK Full (2) 100% 99.9% Full (2) 100% 99.9% Arval UK Ltd UK Full (2) 100% 99.9% Full (2) 100% 99.9% BNPP Fleet Holdings Ltd UK Full (2) 100% 99.9% Full (2) 100% 99.9% Cent ASL France Full (2) 100% 99.9% Full (2) 100% 99.9% E2 Co\ufb01parc France Full (2) 100% 99.9% Full (2) 100% 99.9% FCT Pulse France 2022 (s) France Full (2) - - E2 Greenval Insurance DAC Ireland Full (2) 100% 99.9% Full (2) 100% 99.9% Locadif Belgium Full (2) 100% 99.9% Full (2) 100% 99.9% 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 291 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Louveo France Full (2) 100% 99.9% Full (2) 100% 99.9% Personal Car Lease BV Netherlands Full (2) 100% 99.9% E3 Public Location Longue Dur\u00e9e France Full (2) 100% 99.9% Full (2) 100% 99.9% TEB Arval Arac Filo Kiralama AS T\u00fcrkiye Full (2) 100% 75% Full (2) 100% 75% Terberg Busines Lease Group BV Netherlands Full (2) 100% 99.9% E3 Terberg Leasing Justlease Belgium BV Belgium Full (2) 100% 99.9% E3 Leasing Solutions All In One Vermietung GmbH Austria Full 100% 83% Full 100% 83% Aprolis Finance France Full 51% 42.3% Full 51% 42.3% Artegy France Full 100% 83% Full 100% 83% BNL Leasing SPA Italy Full 100% 95.5% Full 100% 95.5% BNPP 3 Step IT France Full 51% 42.3% Full 51% 42.3% BNPP 3 Step IT (Belgium branch) Belgium Full 51% 42.3% Full 51% 42.3% BNPP 3 Step IT (Germany branch) Germany Full 51% 42.3% Full 51% 42.3% BNPP 3 Step IT (Italy branch) Italy Full 51% 42.3% Full 51% 42.3% BNPP 3 Step IT (Netherlands branch) Netherlands Full 51% 42.3% Full 51% 42.3% BNPP 3 Step IT (United Kingdom branch) UK Full 51% 42.3% Full 51% 42.3% BNPP Finansal Kiralama AS T\u00fcrkiye Full 100% 82.5% Full 100% 82.5% BNPP Lease Group France Full (1) 100% 83% Full (1) 100% 83% BNPP Lease Group (Germany branch) Germany Full (1) 100% 83% Full (1) 100% 83% BNPP Lease Group (Italy branch) Italy Full (1) 100% 83% Full (1) 100% 83% BNPP Lease Group (Portugal branch) Portugal Full (1) 100% 83% Full (1) 100% 83% BNPP Lease Group (Spain branch) Spain Full (1) 100% 83% Full (1) 100% 83% BNPP Lease Group Belgium Belgium Full 100% 83% Full 100% 83% BNPP Lease Group GmbH & Co KG Austria S4 BNPP Lease Group Leasing Solutions SPA Italy Full 100% 95.5% Full 100% 95.5% BNPP Lease Group PLC UK Full 100% 83% Full 100% 83% BNPP Lease Group Rentals Ltd UK S1 BNPP Lease Group SP ZOO Poland Full 100% 83% Full 100% 83% BNPP Leasing Services Poland Full 100% 87.4% Full 100% 87.4% V3 BNPP Leasing Solution AS Norway Full 100% 83% Full 100% 83% BNPP Leasing Solutions Luxembourg Full 100% 83% Full 100% 83% BNPP Leasing Solutions AB Sweden Full 100% 83% Full 100% 83% E1 BNPP Leasing Solutions AS Denmark Full 100% 83% E1 BNPP Leasing Solutions IFN SA Romania Full 100% 83% Full 100% 83% BNPP Leasing Solutions Ltd UK Full 100% 83% Full 100% 83% BNPP Leasing Solutions NV Netherlands Full 100% 83% Full 100% 83% BNPP Leasing Solutions Suisse SA Switzerland Full 100% 83% Full 100% 83% BNPP Rental Solutions Ltd UK Full 100% 83% Full 100% 83% BNPP Rental Solutions SPA Italy Full 100% 83% Full 100% 83% Claas Financial Services France Full (1) 51% 42.3% Full (1) 51% 42.3% Claas Financial Services (Germany branch) Germany Full (1) 51% 42.3% Full (1) 51% 42.3% Claas Financial Services (Italy branch) Italy Full (1) 51% 42.3% Full (1) 51% 42.3% Claas Financial Services (Poland branch) Poland Full (1) 51% 42.3% Full (1) 51% 42.3% Claas Financial Services (Spain branch) Spain Full (1) 51% 42.3% Full (1) 51% 42.3% Claas Financial Services Ltd UK Full 51% 42.3% Full 51% 42.3% CNH Industrial Capital Europe France Full (1) 50.1% 41.6% Full (1) 50.1% 41.6% CNH Industrial Capital Europe (Belgium branch) Belgium Full (1) 50.1% 41.6% Full (1) 50.1% 41.6% CNH Industrial Capital Europe (Germany branch) Germany Full (1) 50.1% 41.6% Full (1) 50.1% 41.6% CNH Industrial Capital Europe (Italy branch) Italy Full (1) 50.1% 41.6% Full (1) 50.1% 41.6% CNH Industrial Capital Europe (Poland branch) Poland Full (1) 50.1% 41.6% Full (1) 50.1% 41.6% CNH Industrial Capital Europe (Spain branch) Spain Full (1) 50.1% 41.6% Full (1) 50.1% 41.6% CNH Industrial Capital Europe BV Netherlands Full 100% 41.6% Full 100% 41.6% CNH Industrial Capital Europe GmbH Austria Full 100% 41.6% Full 100% 41.6% CNH Industrial Capital Europe Ltd UK Full 100% 41.6% Full 100% 41.6% ES Finance Belgium Full 100% 99.9% Full 100% 99.9% FL Zeebrugge (s) Belgium Full - - Full - - Folea Grundstucksverwaltungs und Vermietungs Gmbh & Co (s) Germany S1 Full - - Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Fortis Lease France Full (1) 100% 83% Full (1) 100% 83% Fortis Lease Belgium Belgium Full 100% 83% Full 100% 83% Fortis Lease Deutschland GmbH Germany Full 100% 83% Full 100% 83% Fortis Lease Iberia SA Spain Full 100% 86.6% Full 100% 86.6% Fortis Lease Portugal Portugal Full 100% 83% Full 100% 83% Fortis Lease UK Ltd UK Full 100% 83% Full 100% 83% Fortis Vastgoedlease BV Netherlands Full 100% 83% Full 100% 83% Hef\ufb01q Heftruck Verhuur BV Netherlands Full 50.1% 41.5% Full 50.1% 41.5% JCB Finance France Full (1) 100% 41.6% Full (1) 100% 41.6% JCB Finance (Germany branch) Germany Full (1) 100% 41.6% Full (1) 100% 41.6% JCB Finance (Italy branch) Italy Full (1) 100% 41.6% Full (1) 100% 41.6% JCB Finance Holdings Ltd UK Full 50.1% 41.6% Full 50.1% 41.6% Manitou Finance Ltd UK Full 51% 42.3% Full 51% 42.3% MGF France Full (1) 51% 42.3% Full (1) 51% 42.3% MGF (Germany branch) Germany Full (1) 51% 42.3% Full (1) 51% 42.3% MGF (Italy branch) Italy Full (1) 51% 42.3% Full (1) 51% 42.3% Natio Energie 2 France Full 100% 100% Full 100% 100% Natiocredibail France Full (1) 100% 100% Full (1) 100% 100% Pixel 2021 (t) France Full - - Full - - E2 RD Leasing IFN SA Romania S4 Same Deutz Fahr Finance France Full (1) 100% 83% Full (1) 100% 83% SNC Natiocredimurs France Full (1) 100% 100% Full (1) 100% 100% New Digital Businesses Financi\u00e8re des Paiements \u00c9lectroniques France Full 95% 95% Full 95% 95% Financi\u00e8re des Paiements \u00c9lectroniques (Belgium branch) Belgium Full 95% 95% Full 95% 95% E2 Financi\u00e8re des Paiements \u00c9lectroniques (Germany branch) Germany Full 95% 95% E2 Financi\u00e8re des Paiements \u00c9lectroniques (Portugal branch) Portugal Full 95% 95% Full 95% 95% E2 Financi\u00e8re des Paiements \u00c9lectroniques (Spain branch) Spain Full 95% 95% Full 95% 95% Floa France Full 100% 100% E3 Lyf SA France Equity (3) 43.8% 43.8% Equity (3) 43.8% 43.8% Lyf SAS France Equity (3) 49.9% 49.9% V4 Equity (3) 49.1% 49.1% Personal Investors Espresso Financial Services Private Ltd India Full 100% 100% Full 100% 100% Geojit Technologies Private Ltd India Equity 35% 35% Equity 35% 35% Human Value Developers Private Ltd India Full 100% 100% Full 100% 100% Sharekhan BNPP Financial Services Ltd India Full 100% 100% Full 100% 100% Sharekhan Ltd India Full 100% 100% Full 100% 100% INVESTMENT & PROTECTION SERVICES Insurance AEW Immocommercial (s) France FV - - FV - - AG Insurance Belgium Equity 25% 25% Equity 25% 25% Agathe Retail France France FV 33.3% 33.3% FV 33.3% 33.3% Ambrosia Avril 2025 (s) France S1 Ambrosia Mars 2026 (s) France S1 Astridplaza Belgium Full (2) 100% 98.5% Full (2) 100% 98.5% V4 Batipart Participations SAS Luxembourg FV 29.7% 29.7% FV 29.7% 29.7% Becquerel (s) France Full (4) - - Full (4) - - BNPP Actions Croissance (s) France Full (4) - - Full (4) - - BNPP Actions Entrepreneurs (s) France S3 Full (4) - - BNPP Actions Euro (s) France Full (4) - - Full (4) - - BNPP Actions Monde (s) France Full (4) - - Full (4) - - BNPP Actions PME (s) France S3 Full (4) - - BNPP Actions PME ETI (s) France Full (4) - - Full (4) - - E1 BNPP Aqua (s) France Full (4) - - Full (4) - - BNPP Best Selection Actions Euro (s) France Full (4) - - Full (4) - - BNPP Cardif France Full (2) 100% 100% Full (2) 100% 100% BNPP Cardif BV Netherlands Full (2) 100% 100% Full (2) 100% 100% BNPP Cardif Compania de Seguros y Reaseguros SA Peru Equity  * 100% 100% Equity  * 100% 100% BNPP Cardif Emeklilik AS T\u00fcrkiye Full (2) 100% 100% Full (2) 100% 100% BNPP Cardif General Insurance Co Ltd Rep. of Korea S2 Equity  * 94.5% 94.5% V4 BNPP Cardif Hayat Sigorta AS T\u00fcrkiye Equity  * 100% 100% Equity  * 100% 100% BNPP Cardif Levensverzekeringen NV Netherlands S4 BNPP Cardif Livforsakring AB Sweden Full (2) 100% 100% Full (2) 100% 100% D1 BNPP Cardif Livforsakring AB (Denmark branch) Denmark Full (2) 100% 100% Full (2) 100% 100% D1 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 292 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. BNPP Cardif Livforsakring AB (Norway branch) Norway Full (2) 100% 100% Full (2) 100% 100% D1 BNPP Cardif Pojistovna AS Czech Rep. Full (2) 100% 100% Full (2) 100% 100% BNPP Cardif Schadeverzekeringen NV Netherlands S4 BNPP Cardif Seguros de Vida SA Chile Full (2) 100% 100% Full (2) 100% 100% BNPP Cardif Seguros Generales SA Chile Full (2) 100% 100% Full (2) 100% 100% BNPP Cardif Services SRO Czech Rep. Equity  * 100% 100% Equity  * 100% 100% BNPP Cardif Servicios y Asistencia Ltda Chile Equity  * 100% 100% Equity  * 100% 100% BNPP Cardif Sigorta AS T\u00fcrkiye Equity  * 100% 100% Equity  * 100% 100% BNPP Cardif TCB Life Insurance Co Ltd Taiwan Equity 49% 49% Equity 49% 49% BNPP Cardif Vita Compagnia di Assicurazione E Riassicurazione SPA Italy Full (2) 100% 100% Full (2) 100% 100% BNPP Convictions (s) France Full (4) - - Full (4) - - BNPP CP Cardif Alternative (s) France S3 Full (2) - - BNPP CP Cardif Private Debt (s) France Full (4) - - Full (4) - - BNPP CP Infrastructure Investments Fund (s) France Full (4) - - Full (4) - - BNPP Deep Value (s) France Full (4) - - Full (4) - - BNPP D\u00e9veloppement Humain (s) France Full (4) - - Full (4) - - BNPP Diversipierre (s) France Full (2) - - Full (2) - - BNPP Europe High Conviction Bond (s) France S1 BNPP France Cr\u00e9dit (s) France Full (2) - - Full (2) - - BNPP Global Senior Corporate Loans (s) France Full (4) - - Full (4) - - BNPP Indice Amerique du Nord (s) France Full (4) - - Full (4) - - BNPP Indice Euro (s) France S3 BNPP Midcap France (s) France S3 BNPP Moderate Focus Italia (s) France Full (4) - - Full (4) - - BNPP Mon\u00e9taire Assurance (s) France Full (4) - - Full (4) - - BNPP Multistrat\u00e9gies Protection 80 (s) France Full (4) - - Full (4) - - BNPP Next Tech (s) France Full (4) - - Full (4) - - E1 BNPP Protection Monde (s) France Full (4) - - Full (4) - - BNPP S\u00e9lection Dynamique Monde (s) France Full (4) - - Full (4) - - BNPP S\u00e9lection Flexible (s) France S3 Full (4) - - BNPP Smallcap Euroland (s) France Full (4) - - Full (4) - - BNPP Social Business France (s) France Full (4) - - Full (4) - - BOB Cardif Life Insurance Co Ltd China Equity 50% 50% Equity 50% 50% C Sant\u00e9 (s) France Full (2) - - Full (2) - - Camgestion Obli\ufb02exible (s) France Full (2) - - Full (2) - - Capital France Hotel France Full (2) 98.5% 98.5% Full (2) 98.5% 98.5% V4 Cardif Alternatives Part I (s) France Full (2) - - Full (2) - - Cardif Assurance Vie France Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Austria branch) Austria Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Belgium branch) Belgium Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Bulgaria branch) Bulgaria Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Germany branch) Germany Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Italy branch) Italy Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Netherlands branch) Netherlands Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Portugal branch) Portugal Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Romania branch) Romania Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Spain branch) Spain Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Switzerland branch) Switzerland Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Taiwan branch) Taiwan Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers France Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Austria branch) Austria Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Belgium branch) Belgium Full (2) 100% 100% Full (2) 100% 100% Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Cardif Assurances Risques Divers (Bulgaria branch) Bulgaria Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Germany branch) Germany Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Italy branch) Italy Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Netherlands branch) Netherlands Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Poland branch) Poland Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Portugal branch) Portugal Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Romania branch) Romania Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Spain branch) Spain Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Switzerland branch) Switzerland Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Taiwan branch) Taiwan Full (2) 100% 100% Full (2) 100% 100% Cardif Biztosito Magyarorszag ZRT Hungary Equity  * 100% 100% Equity  * 100% 100% Cardif BNPP AM Emerging Bond (s) France Full (2) - - Full (2) - - Cardif BNPP AM Global Senior Corporate Loans (s) France Full (4) - - Full (4) - - Cardif BNPP IP Convertibles World (s) France S3 Full (2) - - Cardif BNPP IP Signatures (s) France Full (2) - - Full (2) - - Cardif BNPP IP Smid Cap Euro (s) France Full (2) - - Full (2) - - Cardif BNPP IP Smid Cap Europe (s) France S3 Full (4) - - E1 Cardif Colombia Seguros Generales SA Colombia Full (2) 100% 100% Full (2) 100% 100% Cardif CPR Global Return (s) France Full (2) - - Full (2) - - Cardif do Brasil Seguros e Garantias SA Brazil Full (2) 100% 100% Full (2) 100% 100% Cardif do Brasil Vida e Previdencia SA Brazil Full (2) 100% 100% Full (2) 100% 100% Cardif Edrim Signatures (s) France Full (2) - - Full (2) - - Cardif El Djazair Algeria Equity  * 100% 100% Equity  * 100% 100% Cardif Forsakring AB Sweden Full (2) 100% 100% Full (2) 100% 100% D1 Cardif Forsakring AB (Denmark branch) Denmark Full (2) 100% 100% Full (2) 100% 100% D1 Cardif Forsakring AB (Norway branch) Norway Full (2) 100% 100% Full (2) 100% 100% D1 Cardif IARD France Full (2) 66% 66% Full (2) 66% 66% Cardif Insurance Co LLC Russia Full (2) 100% 100% Full (2) 100% 100% Cardif Life Insurance Co Ltd Rep. of Korea Full (2) 85% 85% Full (2) 85% 85% Cardif Life Insurance Japan Japan Full (2) 75% 75% Full (2) 75% 75% Cardif Ltda Brazil Equity  * 100% 100% Equity  * 100% 100% Cardif Lux Vie Luxembourg Full (2) 100% 88.6% Full (2) 100% 88.6% Cardif Mexico Seguros de Vida SA de CV Mexico Equity  * 100% 100% Equity  * 100% 100% Cardif Mexico Seguros Generales SA de CV Mexico Equity  * 100% 100% Equity  * 100% 100% Cardif Non Life Insurance Japan Japan Full (2) 100% 75% Full (2) 100% 75% Cardif Nordic AB Sweden Full (2) 100% 100% Full (2) 100% 100% Cardif Pinnacle Insurance Holdings PLC UK Full (2) 100% 100% Full (2) 100% 100% Cardif Pinnacle Insurance Management Services PLC UK S2 Full (2) 100% 100% Cardif Polska Towarzystwo Ubezpieczen Na Zycie SA Poland Equity  * 100% 100% Equity  * 100% 100% Cardif Retraite France Full (2) 100% 100% E1 Cardif Seguros SA Argentina Equity  * 100% 100% Equity  * 100% 100% D1 Cardif Services AEIE Portugal Full (2) 100% 100% Full (2) 100% 100% Cardif Servicios SAC Peru Equity  * 100% 100% Equity  * 100% 100% Cardif Vita Convex Fund Eur (s) France Full (2) - - Full (2) - - Cardimmo France Full (2) 100% 100% Full (2) 100% 100% Cargeas Assicurazioni SPA Italy S2 Carma Grand Horizon SARL France Full (2) 100% 100% Full (2) 100% 100% Cedrus Carbon Initiative Trends (s) France Full (2) - - Full (2) - - Centre Commercial Francilia France FV 21.7% 21.7% E3 CFH Algonquin Management Partners France Italia Italy Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Bercy France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Bercy Hotel France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Bercy Interm\u00e9diaire France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 293 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. CFH Berlin Holdco SARL Luxembourg Full (2) 100% 98.5% Full (2) 100% 98.5% E2 CFH Boulogne France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Cap d\u2019Ail France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Milan Holdco SRL Italy Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Montmartre France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Montparnasse France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 Corosa France Full (2) 100% 100% Full (2) 100% 100% Darnell DAC Ireland Full (2) 100% 100% Full (2) 100% 100% D\u00e9fense CB3 SAS France FV 25% 25% FV 25% 25% Diversipierre DVP 1 France Full (2) 100% 88.1% V3 Full (2) 100% 88.7% E1 Diversipierre Germany GmbH Germany Equity  * 100% 88.1% V3 Equity  * 100% 88.7% E1 DVP European Channel France Equity  * 100% 88.1% V3 Equity  * 100% 88.7% E1 DVP Green Clover France Equity  * 100% 88.1% V3 Equity  * 100% 88.7% E1 DVP Haussmann France Equity  * 100% 88.1% V3 Equity  * 100% 88.7% E1 DVP Heron France Equity  * 100% 88.1% V3 Equity  * 100% 88.7% E1 Eclair (s) France Full (4) - - Full (4) - - Elegia Septembre 2028 (s) France S1 EP L (s) France Full (2) - - Full (2) - - EP1 Grands Moulins (s) France Equity  * - - Equity  * - - FDI Poncelet France Full (2) 100% 100% Full (2) 100% 100% Fleur SAS France FV 33.3% 33.3% FV 33.3% 33.3% Fonci\u00e8re Partenaires (s) France FV - - FV - - Fonds d\u2019Investissements Immobiliers pour le Commerce et la Distribution France FV 25% 25% FV 25% 25% FP Cardif Convex Fund USD (s) France Full (2) - - Full (2) - - Fundamenta (s) Italy Full (2) - - Full (2) - - G C Thematic Opportunities II (s) Ireland Full (2) - - Full (2) - - GIE BNPP Cardif France Full (2) 100% 100% V4 Full (2) 99.9% 99.9% V2 GPinvest 10 France FV 50% 50% FV 50% 50% E3 Harewood Helena 2 Ltd UK Full (2) 100% 100% Full (2) 100% 100% Hemisphere Holding France Equity 20% 20% Equity 20% 20% Hibernia France France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 High Street Retail France S2 Horizon Development GmbH Germany FV 66.7% 62.9% FV 66.7% 62.9% V3 Icare France Full (2) 100% 100% Full (2) 100% 100% Icare Assurance France Full (2) 100% 100% Full (2) 100% 100% ID Cologne A1 GmbH Germany Equity  * 79.2% 74.1% Equity  * 79.2% 74.1% E3 ID Cologne A2 GmbH Germany Equity  * 79.2% 74.1% Equity  * 79.2% 74.1% E3 Karapass Courtage France Equity  * 100% 100% Equity  * 100% 100% Korian et Partenaires Immobilier 1 France FV 24.5% 24.5% FV 24.5% 24.5% Korian et Partenaires Immobilier 2 France FV 24.5% 24.5% FV 24.5% 24.5% Luizaseg Brazil Equity 50% 50% Equity 50% 50% Natio Assurance France Full (2) 100% 100% Full (2) 100% 100% Natio Fonds Amp\u00e8re 1 (s) France Full (4) - - Full (4) - - Natio Fonds Athenes Investissement N 5 (s) France Full (2) - - Full (2) - - Natio Fonds Colline International (s) France Full (2) - - Full (2) - - Natio Fonds Collines Investissement N 1 (s) France Full (2) - - Full (2) - - Natio Fonds Collines Investissement N 3 (s) France Full (2) - - Full (2) - - NCVP Participacoes Societarias SA Brazil Full (2) 100% 100% Full (2) 100% 100% New Alpha Cardif Incubator Fund (s) France Full (2) - - Full (2) - - OC Health Real Estate GmbH Germany FV 35% 31% FV 35% 31% E3 Op\u00e9ra Rendement (s) France Full (2) - - Full (2) - - Paris Management Consultant Co Ltd Taiwan Equity  * 100% 100% Equity  * 100% 100% Permal Cardif Co Investment Fund (s) France Full (2) - - Full (2) - - Pinnacle Insurance PLC UK S2 Full (2) 100% 100% Pinnacle Pet Holding Ltd UK Equity 30% 30% E3 Poistovna Cardif Slovakia AS Slovakia Equity  * 100% 100% Equity  * 100% 100% Preim Healthcare SAS (s) France FV - - FV - - PWH France FV 47.5% 47.5% FV 47.5% 47.5% Reumal Investissements France Full (2) 100% 100% Full (2) 100% 100% Rubin SARL Luxembourg FV 50% 50% FV 50% 50% Rueil Ariane France Full (2) 100% 100% Full (2) 100% 100% SAS HVP France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 Schroder European Operating Hotels Fund 1 (s) Luxembourg FV - - FV - - E1 SCI 68/70 rue de Lagny \u2013 Montreuil France Full (2) 99.9% 99.9% V3 Full (2) 100% 100% Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. SCI Alpha Park France FV 50% 50% FV 50% 50% SCI Batipart Chadesrent France FV 20% 20% FV 20% 20% E2 SCI Biv Malakoff France FV 23.3% 23.3% FV 23.3% 23.3% E3 SCI BNPP Pierre I France Full (2) 100% 100% Full (2) 100% 100% SCI BNPP Pierre II France Full (2) 100% 100% Full (2) 100% 100% SCI Bobigny Jean Rostand France Full (2) 100% 100% Full (2) 100% 100% SCI Bouleragny France FV 50% 50% FV 50% 50% SCI Cardif Logement France Full (2) 100% 100% Full (2) 100% 100% SCI Citylight Boulogne France Full (2) 100% 100% Full (2) 100% 100% SCI Clichy Nuovo France FV 50% 50% FV 50% 50% SCI D\u00e9fense \u00c9toile France Full (2) 100% 100% Full (2) 100% 100% SCI D\u00e9fense Vend\u00f4me France Full (2) 100% 100% Full (2) 100% 100% SCI \u00c9toile du Nord France Full (2) 100% 100% Full (2) 100% 100% SCI Fontenay Plaisance France Full (2) 100% 100% Full (2) 100% 100% SCI Imefa Velizy France FV 21.8% 21.8% FV 21.8% 21.8% SCI Le Mans Gare France Full (2) 100% 100% Full (2) 100% 100% SCI Libert\u00e9 France S2 SCI Nanterre Guilleraies France Full (2) 100% 100% Full (2) 100% 100% SCI Nantes Carnot France Full (2) 100% 100% Full (2) 100% 100% SCI Odyss\u00e9e France Full (2) 100% 100% Full (2) 100% 100% SCI Pantin Les Moulins France Full (2) 100% 100% Full (2) 100% 100% SCI Paris Batignolles France Full (2) 100% 100% Full (2) 100% 100% SCI Paris Cours de Vincennes France Full (2) 100% 100% Full (2) 100% 100% SCI Paris Grande Arm\u00e9e France Full (2) 100% 100% Full (2) 100% 100% SCI Paris Turenne France Full (2) 100% 100% Full (2) 100% 100% SCI Portes de Claye France Equity 45% 45% Equity 45% 45% SCI Rue Moussorgski France Full (2) 100% 100% Full (2) 100% 100% SCI Rueil Caudron France Full (2) 100% 100% Full (2) 100% 100% SCI Saint Denis Landy France Full (2) 100% 100% Full (2) 100% 100% SCI Saint Denis Mitterrand France Full (2) 100% 100% Full (2) 100% 100% SCI Saint-Denis Jade France Full (2) 100% 100% Full (2) 100% 100% SCI SCOO France Equity 46.4% 46.4% Equity 46.4% 46.4% SCI Vend\u00f4me Ath\u00e8nes France FV 50% 50% FV 50% 50% SCI Villeurbanne Stalingrad France Full (2) 100% 100% Full (2) 100% 100% Secar France FV 55.1% 55.1% FV 55.1% 55.1% Seniorenzentren Deutschland Holding SARL Luxembourg FV 20% 17.7% FV 20% 17.7% Seniorenzentren Reinbeck Oberursel M\u00fcnchen Objekt GmbH Germany FV 35% 31% FV 35% 31% Seniorenzentrum Butzbach Objekt GmbH Germany FV 35% 31% FV 35% 31% Seniorenzentrum Heilbronn Objekt GmbH Germany FV 35% 31% FV 35% 31% Seniorenzentrum Kassel Objekt GmbH Germany FV 35% 31% FV 35% 31% Seniorenzentrum Wolfratshausen Objekt GmbH Germany FV 35% 31% FV 35% 31% Services Epargne Entreprise France Equity 35.6% 35.6% Equity 35.6% 35.6% SNC Batipart Mermoz France FV 25% 25% FV 25% 25% E2 SNC Batipart Poncelet France FV 25% 25% FV 25% 25% V1 Soci\u00e9t\u00e9 Francaise d\u2019Assurances sur la Vie France Equity 50% 50% Equity 50% 50% Soci\u00e9t\u00e9 Immobili\u00e8re du Royal Building SA Luxembourg Full (2) 100% 88.6% Full (2) 100% 88.6% Tikehau Cardif Loan Europe (s) France Full (2) - - Full (2) - - Valeur Pierre Epargne France Full (2) 100% 100% Full (2) 100% 100% Valtitres FCP (s) France Full (2) - - Full (2) - - Velizy Holding France FV 33.3% 33.3% FV 33.3% 33.3% Wealth Management BNPP Wealth Management DIFC Ltd United Arab Emirates S3 Full 100% 100% BNPP Wealth Management Monaco Monaco Full (1) 100% 100% Full (1) 100% 100% Asset Management Alfred Berg Kapitalforvaltning AS Norway Full 100% 98.2% Full 100% 98.2% Alfred Berg Kapitalforvaltning AS (Sweden branch) Sweden Full 100% 98.2% Full 100% 98.2% Bancoestado Administradora General de Fondos SA Chile Equity 50% 49.1% Equity 50% 49.1% Baroda BNPP AMC Private Ltd (Ex-BNPP Asset Management India Private Ltd) India Equity (3) 49.9% 49% V3/ D8 Full 100% 98.2% BNPP AM International Hedged Strategies (s) France Full (4) - - Full (4) - - E1 BNPP Asset Management Asia Ltd Hong Kong Full 100% 98.2% Full 100% 98.2% 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 294 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. BNPP Asset Management Be Holding Belgium Full 100% 98.2% Full 100% 98.2% BNPP Asset Management Belgium Belgium S4 Full 100% 98.2% BNPP Asset Management Brasil Ltda Brazil Full 100% 99.5% Full 100% 99.5% BNPP Asset Management France France Full 100% 98.2% Full 100% 98.2% BNPP Asset Management France (Austria branch) Austria Full 100% 98.2% Full 100% 98.2% BNPP Asset Management France (Belgium branch) Belgium Full 100% 98.2% E2 BNPP Asset Management France (Germany branch) Germany Full 100% 98.2% Full 100% 98.2% BNPP Asset Management France (Italy branch) Italy Full 100% 98.2% Full 100% 98.2% BNPP Asset Management France (Netherlands branch) Netherlands Full 100% 98.2% Full 100% 98.2% BNPP Asset Management Holding France Full 99.9% 98.2% Full 99.9% 98.2% BNPP Asset Management Japan Ltd Japan Full 100% 98.2% Full 100% 98.2% BNPP Asset Management Luxembourg Luxembourg Full 99.7% 97.9% Full 99.7% 97.9% BNPP Asset Management Nederland NV Netherlands S4 BNPP Asset Management NL Holding NV Netherlands Full 100% 98.2% Full 100% 98.2% BNPP Asset Management PT Indonesia Full 100% 98.2% Full 100% 98.2% BNPP Asset Management Services Grouping France Full 100% 98.2% Full 100% 98.2% BNPP Asset Management UK Ltd UK Full 100% 98.2% Full 100% 98.2% BNPP Asset Management USA Holdings Inc USA Full 100% 100% Full 100% 100% BNPP Asset Management USA Inc USA Full 100% 100% Full 100% 100% BNPP B Institutional II (s) Belgium Full (4) - - Full (4) - - BNPP Capital Partners France S4 BNPP Dealing Services France Full 100% 98.2% Full 100% 98.2% BNPP Diversi\ufb02ex (s) France Full (4) - - E1 BNPP Easy (s) Luxembourg Full (4) - - E1 BNPP European SME Debt Fund 2 SCSp RAIF (s) Luxembourg S2 Full (4) - - E1 BNPP Flexi I (s) Luxembourg Full (4) - - Full (4) - - BNPP Funds (s) Luxembourg Full (4) - - Full (4) - - BNPP L1 (s) Luxembourg S3 BNPP Multigestion (s) France S3 Full (4) - - BNPP Perspectives (s) France S3 Drypnir AS Norway Full 100% 0% Full 100% 0% EAB Group PLC Finland S2 Equity 17.6% 17.3% Fundquest Advisor France S4 Full 100% 98.2% Fundquest Advisor (United Kingdom branch) UK S1 Full 100% 98.2% Gambit Financial Solutions Belgium Full 100% 98.2% Full 100% 98.2% V1 Groeivermogen NV Netherlands S3 Haitong Fortis Private Equity Fund Management Co Ltd China Equity 33% 32.4% Equity 33% 32.4% Harewood Helena 1 Ltd UK Full 100% 100% Full 100% 100% Harmony Prime (s) France Full (4) - - E1 HFT Investment Management Co Ltd China Equity 49% 48.1% Equity 49% 48.1% Impax Asset Management Group PLC UK Equity 13.8% 13.5% Equity 13.8% 13.5% V3 Shinhan BNPP Asset Management Co Ltd Rep. of Korea S2 SME Alternative Financing DAC (s) Ireland Full - - Full - - Theam Quant (s) Luxembourg Full (4) - - Full (4) - - Theam Quant Europe Climate Carbon Offset Plan (s) France Full (4) - - E1 Real Estate Auguste Thouard Expertise France Full (2) 100% 100% Full (2) 100% 100% BNPP Immobilier Promotion Immobilier d\u2019Entreprise France S4 Full (2) 100% 100% BNPP Immobilier R\u00e9sidences Services France Full (2) 100% 100% Full (2) 100% 100% BNPP Immobilier R\u00e9sidentiel France Full (2) 100% 100% Full (2) 100% 100% BNPP Immobilier R\u00e9sidentiel Service Clients France S4 Full (2) 100% 100% BNPP Real Estate France Full (2) 100% 100% Full (2) 100% 100% Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. BNPP Real Estate (United Arab Emirates branch) United Arab Emirates Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Advisory & Property Management Luxembourg SA Luxembourg Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Advisory & Property Management UK Ltd UK Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Advisory and Property Management Ireland Ltd Ireland Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Advisory Belgium SA Belgium S4 BNPP Real Estate Advisory Italy SPA Italy Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Advisory Netherlands BV Netherlands Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate APM CR SRO Czech Rep. S2 BNPP Real Estate Conseil Habitation & Hospitality France Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Consult France France Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Consult GmbH Germany Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Facilities Management Ltd UK Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Financial Partner France Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate GmbH Germany Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Holding Benelux SA Belgium Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Holding GmbH Germany Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Investment Management Belgium Belgium Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Investment Management France France Full 100% 100% Full 100% 100% BNPP Real Estate Investment Management Germany GmbH Germany Full 94.9% 94.9% Full 94.9% 94.9% BNPP Real Estate Investment Management Germany GmbH (Italy branch) Italy Full 94.9% 94.9% Full 94.9% 94.9% BNPP Real Estate Investment Management Germany GmbH (Spain branch) Spain Full 94.9% 94.9% Full 94.9% 94.9% BNPP Real Estate Investment Management Germany GmbH Lisbon Representative Of\ufb01ce Portugal Full 94.9% 94.9% E1 BNPP Real Estate Investment Management Italy SPA Italy Full 100% 100% Full 100% 100% BNPP Real Estate Investment Management Ltd UK Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Investment Management Luxembourg SA Luxembourg Full 100% 100% Full 100% 100% BNPP Real Estate Investment Management Spain SA Spain Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Investment Management UK Ltd UK Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Italy SRL Italy S4 Full (2) 100% 100% BNPP Real Estate Magyarorszag Tanacsado Es Ingatlankezelo ZRT Hungary S2 BNPP Real Estate Poland SP ZOO Poland Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Portugal Unipersonal LDA Portugal Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Property Development & Services GmbH Germany Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Property Development UK Ltd UK Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Property Developpement Italy SPA Italy S4 Full (2) 100% 100% BNPP Real Estate Property Management Belgium Belgium S4 BNPP Real Estate Property Management France SAS France Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Property Management GmbH Germany Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Property Management Italy SRL Italy Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Singapore Pte Ltd Singapore Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Spain SA Spain Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Transaction France France Full (2) 96.8% 96.8% V1 Full (2) 96.6% 96.6% V2 BNPP Real Estate Valuation France France Full (2) 100% 100% Full (2) 100% 100% 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 295 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Cariboo Development SL Spain Equity 65% 65% Equity 65% 65% Construction-Sale Companies (c) France Full/ Equity (2) - - Full/ Equity (2) - - Exeo Aura & Echo Of\ufb01ces Lda Portugal Equity 31% 31% E2 GIE BNPP Real Estate (Ex-GIE Si\u00e8ge Issy) France Full (2) 100% 100% Full (2) 100% 100% Horti Milano SRL Italy Full (2) 100% 100% Full (2) 100% 100% Li\ufb01zz France S4 Nanterre Arboretum France Full (2) 100% 100% Full (2) 100% 100% Parker Tower Ltd UK Full (2) 100% 100% Full (2) 100% 100% Partner\u2019s & Services France Full (2) 100% 100% Full (2) 100% 100% REPD Parker Ltd UK Full (2) 100% 100% Full (2) 100% 100% Sviluppo Residenziale Italia SRL Italy Full (2) 100% 100% Full (2) 100% 100% Wapiti Development SL Spain Equity 65% 65% Equity 65% 65% E1 Principal Investments BNPP Agility Capital France Full 100% 100% Full 100% 100% BNPP Agility Fund Equity SLP (s) France Full (4) - - Full (4) - - BNPP Agility Fund Private Debt SLP (s) France Full (4) - - Full (4) - - OTHER BUSINESS UNITS Property Companies (Property Used In Operations) and Others Antin Participation 5 France Full 100% 100% Full 100% 100% BNPP Home Loan SFH France Full (1) 100% 100% Full (1) 100% 100% BNPP Partners for Innovation France Full 100% 100% Full 100% 100% V1/D4 BNPP Partners for Innovation Belgium Belgium Full 100% 100% Full 100% 100% V1/D4 BNPP Partners for Innovation Italia SRL Italy Full 100% 100% Full 100% 100% V1/D4 BNPP Procurement Tech France Full 100% 100% Full 100% 100% BNPP Public Sector SA France Full 100% 100% Full 100% 100% Euro Secured Notes Issuer (s) France S3 Full - - FCT Lafayette 2021 (t) France Full - - Full - - E2 Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. FCT Laf\ufb01tte 2016 (t) France S1 FCT Laf\ufb01tte 2021 (t) France Full - - Full - - E2 FCT Op\u00e9ra 2014 (t) France Full - - Full - - FCT Pyramides 2022 (t) France Full - - E2 GIE Groupement Auxiliaire de Moyens France Full 100% 100% Full 100% 100% GIE Groupement d\u2019Etudes et de Prestations France Full 100% 100% Full 100% 100% Transvalor France Equity 20.2% 20.2% Equity 20.2% 20.2% E1 (a) At 31 December 2022, 14 Private Equity investment entities versus 11 Private Equity investment entities at 31 December 2021. (b) At 31 December 2022, the securitisation funds UCI and RMBS Prado include 14 funds (FCC UCI 11, 12, 14 to 17, RMBS Prado V to X, Green Belem I and RMBS Belem No 2) versus 15 funds (FCC UCI 11, 12, 14 to 17, Fondo de Titulizacion Structured Covered Bonds, RMBS Prado III to IX and Green Belem I) at 31 December 2021. (c) At 31 December 2022, 125 Construction-sale companies (91 Full and 34 Equity) versus 115 (89 Full and 26 Equity) at 31 December 2021. As requested by the ANC 2016 regulation, the list of entities that are controlled by the Group, jointly controlled or under signi\ufb01cant in\ufb02uence, but excluded from the scope of consolidation since their contribution to the consolidated \ufb01nancial statements would be immaterial to the Group, and the list of equity investments, are available on the \u201cRegulated Information\u201d page of the https://invest.bnpparibas.com website. Changes in the scope of consolidation New entries (E) in the scope of consolidation E1 Passing qualifying thresholds E2 Incorporation E3 Purchase, gain of control or signi\ufb01cant in\ufb02uence Removals (S) from the scope of consolidation S1 Cessation of activity (dissolution, liquidation, etc.) S2 Disposal, loss of control or loss of signi\ufb01cant in\ufb02uence S3 Passing qualifying thresholds S4 Merger, Universal transfer of assets and liabilities Variance (V) in voting or ownership interest V1 Additional purchase V2 Partial disposal V3 Dilution V4 Increase in % Miscellaneous D1 Consolidation method change not related to \ufb02uctuation in voting or ownership interest D2 Entities of a business held for sale D3 The Verner Investissements group was consolidated under the equity method in BNP Paribas Group until 13 July 2021. Following the additional purchase of interest by BNP Paribas Group, the Verner Investments group was fully consolidated (see note 7.c) D4 The BNPP Partners for Innovation group was consolidated under the equity method in BNP Paribas Group until 31 December 2021. Following the additional purchase of interest by BNP Paribas Group, the BNPP Partners for Innovation group was fully consolidated. D5 Compagnie pour le Financement des Loisirs was consolidated under the equity method in BNP Paribas Group until 31 December 2021. Following the additional purchase of interest by BNP Paribas Group, Compagnie pour le Financement des Loisirs was fully consolidated. D6 Worldline Merchant Services Italia SPA was fully consolidated in BNP Paribas Group until 31 December 2021. Following the partial disposal by the Group, Worldline Merchant Services Italia SPA was consolidated under the equity method. D7 bpost bank was consolidated under the equity method in BNP Paribas Group until 31 December 2021. Following the additional purchase of interest by BNP Paribas Group, bpost bank was fully consolidated. D8 Baroda BNPP AMC Private Ltd was fully consolidated in BNP Paribas Group until 31 December 2021. Following the partial disposal by the Group, Baroda BNPP AMC Private Ltd was consolidated under the equity method. Equity Controlled but non material entities consolidated under the equity method as associates FV Joint control or investment in associates measured at Fair Value through P&L (s) Structured entities (t) Securitisation funds Prudential scope of consolidation (1) French subsidiaries for which supervision of prudential requirements is complied with through the supervision on a consolidated basis of BNP Paribas SA, in accordance with article 7.1 of Regulation n\u00b0575/2013 of the European Parliament and of the Council. (2) Entities consolidated under the equity method in the prudential scope (3) Jointly controlled entities under proportional consolidation in the prudential scope (4) Collective investment undertaking excluded from the prudential scope. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 296 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfInterestsInOtherEntitiesExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-686": {
   "value": "1.b.1 Scope of consolidation The consolidated \ufb01nancial statements of BNP Paribas include entities that are controlled by the Group, jointly controlled, and under signi\ufb01cant in\ufb02uence, with the exception of those entities whose consolidation is regarded as immaterial to the Group. Companies that hold shares in consolidated companies are also consolidated. Subsidiaries are consolidated from the date on which the Group obtains effective control. Entities under temporary control are included in the consolidated \ufb01nancial statements until the date of disposal.2.i NET GAIN ON NON-CURRENT ASSETS In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Gain or loss on investments in consolidated undertakings (note 6.c) (257) 355 Gain or loss on tangible and intangible assets 7 479 Results from net monetary position (3) Net gain on non-current assets (253) 834 According to IAS 29 in connection with the hyperin\ufb02ation situation of the economy in T\u00fcrkiye, the line \u201cResults from net monetary positions\u201d mainly includes the effect of the evolution of the consumer price index in T\u00fcrkiye on the valuation of non-monetary assets and liabilities (-EUR 434 million) and on accrued income from the Turkish government bonds portfolio indexed to in\ufb02ation and held by Turk Ekonomi Bankasi AS (+EUR 431 million, reclassi\ufb01ed from interest margin). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 223 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statementsConsolidated structured entities The main categories of consolidated structured entities are: \u25a0 ABCP (Asset-Backed Commercial Paper) conduits: the ABCP securitisation conduits Starbird, Matchpoint and Scaldis fund securitisation transactions managed by the BNP Paribas Group on behalf of its customers. Details on how these are \ufb01nanced and the Group\u2019s risk exposure are presented in chapter 5 of the Universal registration document under Securitisation as sponsor on behalf of clients/Short-term re\ufb01nancing; \u25a0 Proprietary securitisation: proprietary securitisation positions originated and held by the BNP Paribas Group are detailed in chapter 5 of the Universal registration document under Proprietary securitisation activities (originator); \u25a0 Funds managed by the Group: the BNP Paribas Group structures different types of funds for which it may act as fund manager, investor, custodian or guarantor. These funds are consolidated when the Group is both the manager and a signi\ufb01cant investor and is therefore exposed to variable returns.2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 287 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. BNP Paribas SA France Full (1) 100% 100% (1) BNPP SA (Argentina branch) Argentina Full 100% 100% Full 100% 100% BNPP SA (Australia branch) Australia Full 100% 100% Full 100% 100% BNPP SA (Austria branch) Austria Full 100% 100% Full 100% 100% BNPP SA (Bahrain branch) Bahrain Full 100% 100% Full 100% 100% BNPP SA (Belgium branch) Belgium Full 100% 100% Full 100% 100% BNPP SA (Bulgaria branch) Bulgaria Full 100% 100% Full 100% 100% BNPP SA (Canada branch) Canada Full 100% 100% Full 100% 100% BNPP SA (Czech Republic branch) Czech Rep. Full 100% 100% Full 100% 100% BNPP SA (Denmark branch) Denmark Full 100% 100% Full 100% 100% BNPP SA (Finland branch) Finland Full 100% 100% Full 100% 100% BNPP SA (Germany branch) Germany Full 100% 100% Full 100% 100% BNPP SA (Greece branch) Greece Full 100% 100% E2 BNPP SA (Guernsey branch) Guernsey Full 100% 100% E2 BNPP SA (Hong Kong branch) Hong Kong Full 100% 100% Full 100% 100% BNPP SA (Hungary branch) Hungary Full 100% 100% Full 100% 100% BNPP SA (India branch) India Full 100% 100% Full 100% 100% BNPP SA (Ireland branch) Ireland Full 100% 100% Full 100% 100% BNPP SA (Italy branch) Italy Full 100% 100% Full 100% 100% BNPP SA (Japan branch) Japan Full 100% 100% Full 100% 100% BNPP SA (Jersey branch) Jersey Full 100% 100% E2 S1 BNPP SA (Kuwait branch) Kuwait Full 100% 100% Full 100% 100% BNPP SA (Luxembourg branch) Luxembourg Full 100% 100% Full 100% 100% BNPP SA (Malaysia branch) Malaysia Full 100% 100% Full 100% 100% BNPP SA (Monaco branch) Monaco Full 100% 100% Full 100% 100% BNPP SA (Netherlands branch) Netherlands Full 100% 100% Full 100% 100% BNPP SA (Norway branch) Norway Full 100% 100% Full 100% 100% BNPP SA (Panama branch) Panama S1 Full 100% 100% BNPP SA (Philippines branch) Philippines Full 100% 100% Full 100% 100% BNPP SA (Poland branch) Poland Full 100% 100% Full 100% 100% BNPP SA (Portugal branch) Portugal Full 100% 100% Full 100% 100% BNPP SA (Qatar branch) Qatar Full 100% 100% Full 100% 100% BNPP SA (Republic of Korea branch) Rep. of Korea Full 100% 100% Full 100% 100% BNPP SA (Romania branch) Romania Full 100% 100% Full 100% 100% BNPP SA (Saudi Arabia branch) Saudi Arabia Full 100% 100% Full 100% 100% BNPP SA (Singapore branch) Singapore Full 100% 100% Full 100% 100% BNPP SA (South Africa branch) South Africa Full 100% 100% Full 100% 100% BNPP SA (Spain branch) Spain Full 100% 100% Full 100% 100% BNPP SA (Sweden branch) Sweden Full 100% 100% Full 100% 100% BNPP SA (Switzerland branch) Switzerland Full 100% 100% E2 BNPP SA (Taiwan branch) Taiwan Full 100% 100% Full 100% 100% BNPP SA (Thailand branch) Thailand Full 100% 100% Full 100% 100% BNPP SA (United Arab Emirates branch) United Arab Emirates Full 100% 100% Full 100% 100% BNPP SA (United Kingdom branch) UK Full 100% 100% Full 100% 100% BNPP SA (United States branch) USA Full 100% 100% Full 100% 100% BNPP SA (Viet Nam branch) Viet Nam Full 100% 100% Full 100% 100% CORPORATE & INSTITUTIONAL BANKING EMEA (Europe, Middle East, Africa) France Atargatis (s) France S4 Full - - Austin Finance (s) France Full - - Full - - BNPP Arbitrage France Full (1) 100% 100% Full (1) 100% 100% BNPP Securities Services France S4 Full (1) 100% 100% BNPP Securities Services (Australia branch) Australia S4 Full (1) 100% 100% BNPP Securities Services (Belgium branch) Belgium S4 Full (1) 100% 100% BNPP Securities Services (Germany branch) Germany S4 Full (1) 100% 100% Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. BNPP Securities Services (Greece branch) Greece S4 Full (1) 100% 100% BNPP Securities Services (Guernsey branch) Guernsey S4 Full (1) 100% 100% BNPP Securities Services (Hong Kong branch) Hong Kong S4 Full (1) 100% 100% BNPP Securities Services (Hungary branch) Hungary S4 Full (1) 100% 100% BNPP Securities Services (Ireland branch) Ireland S4 Full (1) 100% 100% BNPP Securities Services (Italy branch) Italy S4 Full (1) 100% 100% BNPP Securities Services (Jersey branch) Jersey S4 Full (1) 100% 100% BNPP Securities Services (Luxembourg branch) Luxembourg S4 Full (1) 100% 100% BNPP Securities Services (Netherlands branch) Netherlands S4 Full (1) 100% 100% BNPP Securities Services (Poland branch) Poland S4 Full (1) 100% 100% BNPP Securities Services (Portugal branch) Portugal S4 Full (1) 100% 100% BNPP Securities Services (Singapore branch) Singapore S4 Full (1) 100% 100% BNPP Securities Services (Spain branch) Spain S4 Full (1) 100% 100% BNPP Securities Services (Switzerland branch) Switzerland S4 Full (1) 100% 100% BNPP Securities Services (United Kingdom branch) UK S4 Full (1) 100% 100% Compagnie d\u2019Investissement Italiens (s) France S4 Full - - Compagnie d\u2019Investissement Op\u00e9ra (s) France S4 Full - - Ellipsis Asset Management France S2 Full 100% 100% V1/D3 Eurotitrisation France Equity 21.7% 21.7% Equity 21.7% 21.7% V3 Exane France Full 100% 100% Full 100% 100% V1/D3 Exane (Germany branch) Germany Full 100% 100% Full 100% 100% V1/D3 Exane (Italy branch) Italy Full 100% 100% Full 100% 100% V1/D3 Exane (Spain branch) Spain Full 100% 100% Full 100% 100% V1/D3 Exane (Sweden branch) Sweden Full 100% 100% Full 100% 100% V1/D3 Exane (Switzerland branch) Switzerland Full 100% 100% Full 100% 100% V1/D3 Exane (United Kingdom branch) UK Full 100% 100% Full 100% 100% V1/D3 Exane Asset Management France Equity 51% 51% V1 Equity 50% 50% V1/D3 Exane Derivatives France Full 100% 100% Full 100% 100% V1/D3 Exane Derivatives (Italy branch) Italy S1 Full 100% 100% V1/D3 Exane Derivatives (Switzerland branch) Switzerland Full 100% 100% Full 100% 100% V1/D3 Exane Derivatives (United Kingdom branch) UK Full 100% 100% Full 100% 100% V1/D3 Exane Derivatives Gerance France Full 100% 100% Full 100% 100% V1/D3 Exane Finance France Full 100% 100% Full 100% 100% V1/D3 Exane Participations France S4 Full 99% 99% V1/D3 FCT Juice (t) France Full - - Full - - Financi\u00e8re des Italiens (s) France Full - - Full - - Financi\u00e8re du March\u00e9 Saint Honor\u00e9 France Full 100% 100% Full 100% 100% Financi\u00e8re Paris Haussmann (s) France S4 Full - - Financi\u00e8re Taitbout (s) France S4 Full - - Mediterranea (s) France S4 Full - - Optichamps (s) France Full - - Full - - Parilease France Full (1) 100% 100% Full (1) 100% 100% Participations Op\u00e9ra (s) France Full - - Full - - BNP Paribassoci\u00e9t\u00e9 anonyme (Public Limited Company)FranceCorporate & Institutional Banking (CIB), Commercial, Personal Banking & Services (CPBS) and Investment & Protection Services (IPS)During the year, the parent company did not change its nameFrance7.l SCOPE OF CONSOLIDATION 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 288 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Services Logiciels d\u2019Int\u00e9gration Boursi\u00e8re France Equity (3) 66.6% 66.6% Equity (3) 66.6% 66.6% SNC Taitbout Participation 3 France Full 100% 100% Full 100% 100% Soci\u00e9t\u00e9 Orbaisienne de Participations France Full 100% 100% Full 100% 100% Verner Investissements France S4 Full 100% 100% V1/D3 Verner Investissements NewCo1 France S4 Full 100% 100% E3 Verner Investissements NewCo2 France S4 Full 100% 100% E3 Other European countries Alectra Finance PLC (t) Ireland S3 Allfunds Group PLC UK Equity 12.1% 12% V2 Equity 13.8% 13.7% V2 Aquarius + Investments PLC (t) Ireland S3 Full - - Aries Capital DAC (s) Ireland Full - - Full - - AssetMetrix Germany Equity 20.8% 20.8% V4 Equity 14.9% 14.9% V4 Auseter Real Estate Opportunities SARL (t) Luxembourg S2 Full - - BNP PUK Holding Ltd UK Full 100% 100% Full 100% 100% BNPP Bank JSC Russia Full 100% 100% Full 100% 100% BNPP Emissions Und Handels GmbH (s) Germany Full - - Full - - BNPP Fund Administration Services Ireland Ltd Ireland Full 100% 100% Full 100% 100% BNPP Invest Holdings BV Netherlands S1 Full 100% 100% BNPP Ireland Unlimited Co Ireland Full 100% 100% Full 100% 100% BNPP Islamic Issuance BV (s) Netherlands Full - - Full - - BNPP Issuance BV (s) Netherlands Full - - Full - - BNPP Net Ltd UK Full 100% 100% Full 100% 100% BNPP Prime Brokerage International Ltd Ireland Full 100% 100% Full 100% 100% BNPP Suisse SA Switzerland Full 100% 100% Full 100% 100% BNPP Suisse SA (Guernsey branch) Guernsey Full 100% 100% Full 100% 100% BNPP Technology LLC Russia Full 100% 100% Full 100% 100% BNPP Trust Corp UK Ltd UK Full 100% 100% E1 BNPP Vartry Reinsurance DAC Ireland Full (2) 100% 100% Full (2) 100% 100% Diamante Re SRL Italy Full 100% 100% Full 100% 100% Ejesur SA Spain Full 100% 100% Full 100% 100% Ellipsis AM Suisse SARL Switzerland S2 Full 100% 100% V1/D3 Exane Solutions Luxembourg SA Luxembourg Full 100% 100% Full 100% 100% V1/D3 Expo Atlantico EAII Investimentos Imobiliarios SA (s) Portugal Full - - E2 Expo Indico EIII Investimentos Imobiliarios SA (s) Portugal Full - - E2 FScholen Belgium Equity (3) 50% 50% Equity (3) 50% 50% Greenstars BNPP Luxembourg Full (2) 100% 100% Full (2) 100% 100% Kantox Holding Ltd (Ex- Kantox Ltd) UK Equity 9.5% 9.5% Equity 9.5% 9.5% V4 Madison Arbor Ltd (t) Ireland Full - - Full - - Matchpoint Finance PLC (t) Ireland Full - - Full - - Ribera Del Loira Arbitrage Spain Full 100% 100% Full 100% 100% Securasset SA (s) Luxembourg Full - - Full - - E1 Single Platform Investment Repackaging Entity SA (s) Luxembourg Full - - Full - - Utexam Logistics Ltd Ireland Full 100% 100% Full 100% 100% Utexam Solutions Ltd Ireland Full 100% 100% Full 100% 100% Middle East BNPP Investment Co KSA Saudi Arabia Full 100% 100% Full 100% 100% AMERICAS Banco BNPP Brasil SA Brazil Full 100% 100% Full 100% 100% BNPP Canada Corp Canada Full 100% 100% Full 100% 100% BNPP Capital Services Inc USA Full 100% 100% Full 100% 100% BNPP Colombia Corporacion Financiera SA Colombia Full 100% 100% Full 100% 100% BNPP EQD Brazil Fund Fundo de Investmento Multimercado (s) Brazil Full - - Full - - BNPP Financial Services LLC USA Full 100% 100% Full 100% 100% BNPP FS LLC USA Full 100% 100% Full 100% 100% BNPP IT Solutions Canada Inc Canada Full 100% 100% Full 100% 100% BNPP Mexico Holding Mexico Full 100% 100% Full 100% 100% E1 BNPP Mexico SA Institucion de Banca Multiple Mexico Full 100% 100% Full 100% 100% E1 BNPP Proprietario Fundo de Investimento Multimercado (s) Brazil Full - - Full - - BNPP RCC Inc USA Full 100% 100% Full 100% 100% Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. BNPP Securities Corp USA Full 100% 100% Full 100% 100% BNPP US Investments Inc USA Full 100% 100% Full 100% 100% BNPP US Wholesale Holdings Corp USA Full 100% 100% Full 100% 100% BNPP USA Inc USA Full 100% 100% Full 100% 100% BNPP VPG Brookline Cre LLC (s) USA Full - - Full - - BNPP VPG EDMC Holdings LLC (s) USA Full - - Full - - BNPP VPG Express LLC (s) USA Full - - Full - - BNPP VPG I LLC (s) USA Full - - Full - - BNPP VPG II LLC (s) USA Full - - Full - - BNPP VPG III LLC (s) USA Full - - Full - - BNPP VPG Master LLC (s) USA Full - - Full - - Dale Bakken Partners 2012 LLC USA FV 4.9% 23.8% V3 FV 23.8% 23.8% Decart Re Ltd (s) Bermuda Full (2) - - Full (2) - - Exane Inc USA S1 Full 100% 100% V1/D3 FSI Holdings Inc USA Full 100% 100% Full 100% 100% Starbird Funding Corp (t) USA Full - - Full - - PACIFIC ASIA Bank BNPP Indonesia PT Indonesia Full 100% 100% Full 100% 100% BNPP Arbitrage Hong Kong Ltd Hong Kong Full 100% 100% Full 100% 100% BNPP China Ltd China Full 100% 100% Full 100% 100% BNPP Finance Hong Kong Ltd Hong Kong Full 100% 100% Full 100% 100% BNPP Fund Services Australasia Pty Ltd Australia Full 100% 100% Full 100% 100% BNPP Fund Services Australasia Pty Ltd (New Zealand branch) New Zealand Full 100% 100% Full 100% 100% BNPP Global Securities Operations Private Ltd India Full 100% 100% Full 100% 100% BNPP India Holding Private Ltd India Full 100% 100% Full 100% 100% BNPP India Solutions Private Ltd India Full 100% 100% Full 100% 100% BNPP Malaysia Berhad Malaysia Full 100% 100% Full 100% 100% BNPP Securities Asia Ltd Hong Kong Full 100% 100% Full 100% 100% BNPP Securities India Private Ltd India Full 100% 100% Full 100% 100% BNPP Securities Japan Ltd Japan Full 100% 100% Full 100% 100% BNPP Securities Korea Co Ltd Rep. of Korea Full 100% 100% Full 100% 100% BNPP Securities Taiwan Co Ltd Taiwan Full 100% 100% Full 100% 100% BNPP Sekuritas Indonesia PT Indonesia Full 100% 100% V4 Full 99% 99% BPP Holdings Pte Ltd Singapore Full 100% 100% Full 100% 100% Contour Pte Ltd Singapore S2 Pt Andalan Multi Guna Indonesia Full 100% 100% D1 COMMERCIAL, PERSONAL BANKING & SERVICES COMMERCIAL & PERSONAL BANKING IN THE EUROZONE Commercial & Personal Banking in France 2SF - Soci\u00e9t\u00e9 des Services Fiduciaires France Equity 33.3% 33.3% E2 Banque de Wallis et Futuna France Full (1) 51% 51% Full (1) 51% 51% BNPP Antilles Guyane France Full (1) 100% 100% Full (1) 100% 100% BNPP D\u00e9veloppement France Full 100% 100% Full 100% 100% BNPP D\u00e9veloppement Oblig France Full 100% 100% Full 100% 100% BNPP Factor France Full (1) 100% 100% Full (1) 100% 100% BNPP Factor (Spain branch) Spain Full (1) 100% 100% Full (1) 100% 100% BNPP Factor Sociedade Financeira de Credito SA Portugal Full 100% 100% Full 100% 100% BNPP Nouvelle Cal\u00e9donie France Full (1) 100% 100% Full (1) 100% 100% BNPP R\u00e9union France Full (1) 100% 100% Full (1) 100% 100% Compagnie pour le Financement des Loisirs France Full 100% 100% V1/D5 Equity 46% 46% Copartis France Full 100% 100% Full 100% 100% Euro Securities Partners France Equity (3) 50% 50% Equity (3) 50% 50% GIE Ocean France Full 100% 100% Full 100% 100% Jivago Holding France Full 100% 100% Full 100% 100% E3 Partecis France Equity (3) 50% 50% Equity (3) 50% 50% Paylib Services France Equity 14.3% 14.3% Equity 14.3% 14.3% Portzamparc France Full (1) 100% 100% Full (1) 100% 100% Protection 24 France S2 Soci\u00e9t\u00e9 Lairoise de Participations France S4 Full 100% 100% BNL banca commerciale Artigiancassa SPA Italy Full 73.9% 73.9% Full 73.9% 73.9% Banca Nazionale Del Lavoro SPA Italy Full 100% 100% Full 100% 100% EMF IT 2008 1 SRL (t) Italy Full - - Full - - Era Uno SRL (t) Italy Full - - Full - - E2 Eutimm SRL Italy Full 100% 100% Full 100% 100% Financit SPA Italy Full 60% 60% Full 60% 60% V2 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 289 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Immera SRL (t) Italy Full - - Full - - E1 International Factors Italia SPA Italy Full 99.7% 99.7% Full 99.7% 99.7% Permicro SPA Italy Equity 21.9% 21.9% V4 Equity 21.6% 21.6% Serfactoring SPA Italy S2 Servizio Italia SPA Italy Full 100% 100% Full 100% 100% Sviluppo HQ Tiburtina SRL Italy Full 100% 100% Full 100% 100% Tierre Securitisation SRL (t) Italy Full - - Full - - Vela Consumer 2 SRL (t) Italy S1 Vela Home SRL (t) Italy S3 Full - - Vela Mortgages SRL (t) Italy S3 Full - - Vela OBG SRL (t) Italy Full - - Full - - Vela RMBS SRL (t) Italy Full - - Full - - Worldline Merchant Services Italia SPA (Ex-Axepta SPA) Italy Equity 20% 20% V2/ D6 Full 100% 100% Commercial & Personal Banking in Belgium Axepta BNPP Benelux Belgium Full 100% 99.9% Full 100% 99.9% Bancontact Paytoniq Company Belgium Equity 22.5% 22.5% Equity 22.5% 22.5% Banking Funding Company SA Belgium S3 Equity 33.5% 33.5% BASS Master Issuer NV (t) Belgium Full - - Full - - Batopin Belgium Equity 25% 25% Equity 25% 25% E1 Belgian Mobile ID Belgium Equity 12.2% 12.2% Equity 12.2% 12.2% V3 BNPP Commercial Finance Ltd UK Full 100% 99.9% Full 100% 99.9% BNPP Factor AB Sweden S1 BNPP Factor AS Denmark Full 100% 99.9% Full 100% 99.9% BNPP Factor GmbH Germany Full 100% 99.9% Full 100% 99.9% BNPP Factor NV Netherlands S1 BNPP Factoring Support Netherlands Full 100% 99.9% Full 100% 99.9% BNPP Fortis Belgium Full 99.9% 99.9% Full 99.9% 99.9% BNPP Fortis (Spain branch) Spain Full 99.9% 99.9% Full 99.9% 99.9% BNPP Fortis (United States branch) USA Full 99.9% 99.9% Full 99.9% 99.9% BNPP Fortis Factor NV Belgium Full 100% 99.9% Full 100% 99.9% BNPP Fortis Film Finance Belgium Full 100% 99.9% Full 100% 99.9% V4 BNPP Fortis Funding SA Luxembourg Full 100% 99.9% Full 100% 99.9% BNPP FPE Belgium Belgium Full 100% 99.9% Full 100% 99.9% BNPP FPE Expansion Belgium Full 100% 99.9% Full 100% 99.9% BNPP FPE Management Belgium Full 100% 99.9% Full 100% 99.9% Bpost Bank Belgium Full 100% 99.9% V1/D7 Equity (3) 50% 50% Credissimo Belgium Full 100% 99.9% Full 100% 99.9% Credissimo Hainaut SA Belgium Full 99.7% 99.7% Full 99.7% 99.7% Cr\u00e9dit pour Habitations Sociales Belgium Full 81.7% 81.6% Full 81.7% 81.6% Demetris NV Belgium Full 100% 99.9% E1 Epimede (s) Belgium Equity - - Equity - - Esmee Master Issuer (t) Belgium Full - - Full - - Immobili\u00e8re Sauveniere SA Belgium Full 100% 99.9% Full 100% 99.9% Isabel SA NV Belgium Equity 25.3% 25.3% Equity 25.3% 25.3% Microstart Belgium Full 42.3% 76.8% Full 42.3% 76.8% V4 Private Equity Investments (a) BE/FR/LU FV - - FV - - Sagip Belgium Full 100% 100% Full 100% 100% Sowo Invest SA NV Belgium Full 87.5% 87.5% Full 87.5% 87.5% Commercial & Personal Banking in Luxembourg BGL BNPP Luxembourg Full 66% 65.9% Full 66% 65.9% BGL BNPP (Germany branch) Germany Full 66% 65.9% Full 66% 65.9% BNPP Lease Group Luxembourg SA Luxembourg Full 100% 65.9% Full 100% 65.9% BNPP SB Re Luxembourg Full (2) 100% 100% Full (2) 100% 100% Cofhylux SA Luxembourg Full 100% 65.9% Full 100% 65.9% Compagnie Financi\u00e8re Ottomane SA Luxembourg Full 97.3% 97.3% Full 97.3% 97.3% Le Sphinx Assurances Luxembourg SA Luxembourg Full (2) 100% 100% Full (2) 100% 100% Lion International Investments SA Luxembourg S4 Full 100% 100% Luxhub SA Luxembourg Equity 28% 18.5% Equity 28% 18.5% Visalux Luxembourg Equity 25.3% 16.7% Equity 25.3% 16.7% COMMERCIAL & PERSONAL BANKING IN THE REST OF THE WORLD Europe-Mediterranean Bank of Nanjing China Equity 13.9% 13.9% V3 Equity 15% 15% V1 Banque Internationale pour le Commerce et l\u2019Industrie de la C\u00f4te d\u2019Ivoire Ivory Coast Full 59.8% 59.8% Full 59.8% 59.8% Banque Internationale pour le Commerce et l\u2019Industrie de la Guin\u00e9e Guinea S2 Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Banque Internationale pour le Commerce et l\u2019Industrie du Burkina Faso Burkina Faso S2 Banque Internationale pour le Commerce et l\u2019Industrie du S\u00e9n\u00e9gal Senegal Full 54.1% 54.1% Full 54.1% 54.1% Banque Marocaine pour le Commerce et l\u2019Industrie Morocco Full 67% 67% Full 67% 67% Banque Marocaine pour le Commerce et l\u2019Industrie Banque Offshore Morocco Full 100% 67% Full 100% 67% Bantas Nakit AS T\u00fcrkiye Equity (3) 33.3% 16.7% Equity (3) 33.3% 16.7% BDSI Morocco Full 100% 96.4% Full 100% 96.4% BGZ Poland ABS1 DAC (t) Ireland Full - - Full - - BICI Bourse Ivory Coast Full 90% 52% Full 90% 52% V4 BMCI Leasing Morocco Full 86.9% 58.2% Full 86.9% 58.2% BNPP Bank Polska SA Poland Full 87.4% 87.4% Full 87.4% 87.4% V3 BNPP El Djazair Algeria Full 100% 100% Full 100% 100% BNPP Faktoring Spolka ZOO Poland Full 100% 100% Full 100% 100% BNPP Fortis Yatirimlar Holding AS T\u00fcrkiye Full 100% 99.9% Full 100% 99.9% BNPP Group Service Center SA Poland Full 100% 87.4% E1 BNPP IRB Participations France Full 100% 100% Full 100% 100% BNPP Solutions Spolka ZOO Poland S3 Full 100% 87.4% V3 BNPP Yatirimlar Holding AS T\u00fcrkiye Full 100% 100% Full 100% 100% Dreams Sustainable AB Sweden Full 57.5% 57.5% E3 Joint Stock Company Ukrsibbank Ukraine Equity 60% 60% D1 Full 60% 60% TEB ARF Teknoloji Anonim Sirketi T\u00fcrkiye Full 100% 72.5% Full 100% 72.5% E2 TEB Faktoring AS T\u00fcrkiye Full 100% 72.5% Full 100% 72.5% TEB Holding AS T\u00fcrkiye Full 50% 50% Full 50% 50% TEB SH A Serbia Full 100% 50% Full 100% 50% TEB Yatirim Menkul Degerler AS T\u00fcrkiye Full 100% 72.5% Full 100% 72.5% Turk Ekonomi Bankasi AS T\u00fcrkiye Full 100% 72.5% Full 100% 72.5% Union Bancaire pour le Commerce et l\u2019Industrie Tunisia S2 BancWest BancWest Holding Inc USA Full 100% 100% D2 Full 100% 100% D2 BancWest Holding Inc Grantor Trust ERC Subaccount (s) USA Full - - D2 Full - - D2 BancWest Holding Inc Umbrella Trust (s) USA Full - - D2 Full - - D2 BancWest Investment Services Inc USA Full 100% 100% D2 Full 100% 100% D2 Bank of the West USA Full 100% 100% D2 Full 100% 100% D2 Bank of the West Auto Trust 2018-1 (t) USA S1 Full - - D2 Bank of the West Auto Trust 2019-1 (t) USA Full - - D2 Full - - D2 Bank of the West Auto Trust 2019-2 (t) USA Full - - D2 Full - - D2 BNPP Leasing Solutions Canada Inc Canada Full 100% 100% D2 Full 100% 100% BOW Auto Receivables LLC (t) USA Full - - D2 Full - - D2 BWC Opportunity Fund 2 Inc (t) USA Full - - D2 Full - - D2 BWC Opportunity Fund Inc (t) USA Full - - D2 Full - - D2 CFB Community Development Corp USA Full 100% 100% D2 Full 100% 100% D2 Claas Financial Services LLC USA Full 51% 51% D2 Full 51% 51% D2 Commercial Federal Affordable Housing Inc USA Full 100% 100% D2 Full 100% 100% D2 Commercial Federal Community Development Corp USA S1 Commercial Federal Insurance Corp USA S1 Commercial Federal Investment Service Inc USA S1 First Santa Clara Corp (s) USA Full - - D2 Full - - D2 Liberty Leasing Co USA S1 United California Bank Deferred Compensation Plan Trust (s) USA Full - - D2 Full - - D2 Ursus Real Estate Inc USA Full 100% 100% D2 Full 100% 100% D2 SPECIALISED BUSINESSES Personal Finance Alpha Cr\u00e9dit SA Belgium Full 100% 99.9% Full 100% 99.9% AutoFlorence 1 SRL (t) Italy Full - - Full - - AutoFlorence 2 SRL (t) Italy Full - - Full - - E2 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 290 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Autonoria 2019 (t) France Full - - Full - - Autonoria Spain 2019 (t) Spain Full - - Full - - Autonoria Spain 2021 FT (t) Spain Full - - Full - - E2 Autonoria Spain 2022 FT (t) Spain Full - - E2 Autop Ocean Indien France S4 Full 100% 97.8% Axa Banque Financement France Equity 35% 35% Equity 35% 35% Banco Cetelem SA Spain Full 100% 100% Full 100% 100% Banco Cetelem SA Brazil Full 100% 100% Full 100% 100% BGN Mercantil E Servicos Ltda Brazil Full 100% 100% Full 100% 100% BNPP Personal Finance France Full 100% 100% Full 100% 100% BNPP Personal Finance (Austria branch) Austria Full 100% 100% Full 100% 100% BNPP Personal Finance (Bulgaria branch) Bulgaria Full 100% 100% Full 100% 100% BNPP Personal Finance (Czech Republic branch) Czech Rep. Full 100% 100% Full 100% 100% BNPP Personal Finance (Portugal branch) Portugal Full 100% 100% Full 100% 100% BNPP Personal Finance (Romania branch) Romania Full 100% 100% Full 100% 100% BNPP Personal Finance (Slovakia branch) Slovakia Full 100% 100% Full 100% 100% BNPP Personal Finance BV Netherlands Full 100% 100% Full 100% 100% BNPP Personal Finance South Africa Ltd South Africa Full 100% 100% Full 100% 100% BON BNPP Consumer Finance Co Ltd (Ex-Suning Consumer Finance Co Ltd) China Equity 18% 18% V1 Equity 15% 15% Ca\ufb01neo France Full (1) 51% 50.8% Full (1) 51% 50.8% Carrefour Banque France Equity 40% 40% Equity 40% 40% Central Europe Technologies SRL Romania Full 100% 100% Full 100% 100% E1 Cetelem Alg\u00e9rie Algeria S1 Cetelem America Ltda Brazil Full 100% 100% Full 100% 100% Cetelem Business Consulting Shanghai Co Ltd China Full 100% 100% E1 Cetelem Gestion AIE Spain Full 100% 96% Full 100% 96% Cetelem SA de CV Mexico Full 100% 100% Full 100% 100% Cetelem Servicios Informaticos AIE Spain Full 100% 81% Full 100% 81% Cetelem Servicios SA de CV Mexico S4 Full 100% 100% Cetelem Servicos Ltda Brazil Full 100% 100% Full 100% 100% Co\ufb01ca Bail France Full (1) 100% 100% Full (1) 100% 100% Co\ufb01noga Funding Two LP (s) UK S1 Co\ufb01plan France Full (1) 100% 100% Full (1) 100% 100% Creation Consumer Finance Ltd UK Full 100% 100% Full 100% 100% Creation Financial Services Ltd UK Full 100% 100% Full 100% 100% Cr\u00e9dit Moderne Antilles Guyane France Full (1) 100% 100% Full (1) 100% 100% Cr\u00e9dit Moderne Oc\u00e9an Indien France Full (1) 97.8% 97.8% Full (1) 97.8% 97.8% Domo\ufb01nance France Full (1) 55% 55% Full (1) 55% 55% Domos 2017 (t) France S1 Full - - E Carat 10 (t) France Full - - Full - - E Carat 7 PLC (t) UK S3 E Carat 8 PLC (t) UK S3 E Carat 9 PLC (t) UK S3 E Carat 10 PLC (t) UK S3 Full - - E Carat 11 PLC (t) UK Full - - Full - - E Carat 12 PLC (t) UK Full - - Full - - E2 E Carat SA (t) Luxembourg S3 Ekspres Bank AS Denmark Full 100% 100% Full 100% 100% Ekspres Bank AS (Norway branch) Norway Full 100% 100% Full 100% 100% Ekspres Bank AS (Sweden branch) Sweden Full 100% 100% Full 100% 100% Eos Aremas Belgium SA NV Belgium Equity 50% 49.9% Equity 50% 49.9% Evollis France Equity 41% 41% Equity 41% 41% E3 Findomestic Banca SPA Italy Full 100% 100% Full 100% 100% Florence Real Estate Developments SPA Italy Full 100% 100% Full 100% 100% E1 Florence SPV SRL (t) Italy Full - - Full - - GCC Consumo Establecimiento Financiero de Credito SA Spain Full 51% 51% Full 51% 51% Genius Auto Finance Co Ltd China Equity (3) 20% 20% Equity (3) 20% 20% International Development Resources AS Services SA Spain Full 100% 100% Full 100% 100% E1 Iqera Services France Equity 24.5% 24.5% Equity 24.5% 24.5% Loisirs Finance France Full (1) 51% 51% Full (1) 51% 51% Magyar Cetelem Bank ZRT Hungary Full 100% 100% Full 100% 100% Neuilly Contentieux France Full 95.9% 95.6% Full 95.9% 95.6% Noria 2018-1 (t) France Full - - Full - - Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Noria 2020 (t) France Full - - Full - - Noria 2021 (t) France Full - - Full - - E2 Noria Spain 2020 FT (t) Spain Full - - Full - - Olympia SAS France S3 Opel Bank France Full 50% 50% Full 50% 50% Opel Bank (Austria branch) Austria Full 50% 50% Full 50% 50% Opel Bank (Germany branch) Germany Full 50% 50% Full 50% 50% Opel Bank (Greece branch) Greece S1 Opel Bank (Italy branch) Italy Full 50% 50% Full 50% 50% Opel Bank (Spain branch) Spain Full 50% 50% Full 50% 50% Opel Finance BV Belgium S3 Full 100% 50% Opel Finance NV Netherlands Full 100% 50% Full 100% 50% Opel Finance SA Switzerland Full 100% 50% Full 100% 50% Personal Finance Location France Full 100% 100% Full 100% 100% E1 PF Services GmbH Germany Full 100% 100% Full 100% 100% E1 Phedina Hypotheken 2010 BV (t) Netherlands Full - - Full - - RCS Botswana Pty Ltd Botswana Full 100% 100% Full 100% 100% RCS Cards Pty Ltd South Africa Full 100% 100% Full 100% 100% RCS Investment Holdings Namibia Pty Ltd Namibia Full 100% 100% Full 100% 100% Securitisation funds UCI and RMBS Prado (b) (t) Spain Equity (3) - - Equity (3) - - Servicios Financieros Carrefour EFC SA Spain Equity 37.3% 40% Equity 37.3% 40% Sol\ufb01n\u00e9a France S3 Sygma Fundings Two Ltd UK S3 Symag France S2 TEB Finansman AS T\u00fcrkiye Full 100% 92.8% Full 100% 92.8% Union de Creditos Inmobiliarios SA Spain Equity (3) 50% 50% Equity (3) 50% 50% United Partnership France Equity (3) 50% 50% Equity (3) 50% 50% Vauxhall Finance PLC UK Full 100% 50% Full 100% 50% XFERA Consumer Finance EFC SA Spain Full 51% 51% Full 51% 51% Zhejiang Wisdom Puhua Financial Leasing Co Ltd China Equity (3) 20% 20% Equity (3) 20% 20% E3 Arval Artel France Full (2) 100% 99.9% Full (2) 100% 99.9% Arval AB Sweden Full (2) 100% 99.9% Full (2) 100% 99.9% Arval AS Denmark Full (2) 100% 99.9% Full (2) 100% 99.9% Arval AS Norway Norway Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Austria GmbH Austria Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Belgium NV SA Belgium Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Benelux BV Netherlands S4 Full (2) 100% 99.9% Arval Brasil Ltda Brazil Full (2) 100% 99.9% Full (2) 100% 99.9% Arval BV Netherlands Full (2) 100% 99.9% Full (2) 100% 99.9% Arval CZ SRO Czech Rep. Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Deutschland GmbH Germany Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Fleet Services France Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Fuhrparkmanagement GmbH Austria S4 Arval Hellas Car Rental SA Greece Full (2) 100% 99.9% Full (2) 100% 99.9% Arval India Private Ltd India S3 Arval LLC Russia Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Luxembourg SA Luxembourg Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Magyarorszag KFT Hungary Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Maroc SA Morocco Full (2) 100% 89% Full (2) 100% 89% Arval OY Finland Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Relsa SPA Chile Equity 50% 50% Equity 50% 50% Arval Schweiz AG Switzerland Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Service Lease France Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Service Lease Aluger Operational Automoveis SA Portugal Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Service Lease Italia SPA Italy Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Service Lease Polska SP ZOO Poland Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Service Lease Romania SRL Romania Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Service Lease SA Spain Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Slovakia SRO Slovakia Full (2) 100% 99.9% Full (2) 100% 99.9% Arval Trading France Full (2) 100% 99.9% Full (2) 100% 99.9% Arval UK Group Ltd UK Full (2) 100% 99.9% Full (2) 100% 99.9% Arval UK Leasing Services Ltd UK Full (2) 100% 99.9% Full (2) 100% 99.9% Arval UK Ltd UK Full (2) 100% 99.9% Full (2) 100% 99.9% BNPP Fleet Holdings Ltd UK Full (2) 100% 99.9% Full (2) 100% 99.9% Cent ASL France Full (2) 100% 99.9% Full (2) 100% 99.9% E2 Co\ufb01parc France Full (2) 100% 99.9% Full (2) 100% 99.9% FCT Pulse France 2022 (s) France Full (2) - - E2 Greenval Insurance DAC Ireland Full (2) 100% 99.9% Full (2) 100% 99.9% Locadif Belgium Full (2) 100% 99.9% Full (2) 100% 99.9% 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 291 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Louveo France Full (2) 100% 99.9% Full (2) 100% 99.9% Personal Car Lease BV Netherlands Full (2) 100% 99.9% E3 Public Location Longue Dur\u00e9e France Full (2) 100% 99.9% Full (2) 100% 99.9% TEB Arval Arac Filo Kiralama AS T\u00fcrkiye Full (2) 100% 75% Full (2) 100% 75% Terberg Busines Lease Group BV Netherlands Full (2) 100% 99.9% E3 Terberg Leasing Justlease Belgium BV Belgium Full (2) 100% 99.9% E3 Leasing Solutions All In One Vermietung GmbH Austria Full 100% 83% Full 100% 83% Aprolis Finance France Full 51% 42.3% Full 51% 42.3% Artegy France Full 100% 83% Full 100% 83% BNL Leasing SPA Italy Full 100% 95.5% Full 100% 95.5% BNPP 3 Step IT France Full 51% 42.3% Full 51% 42.3% BNPP 3 Step IT (Belgium branch) Belgium Full 51% 42.3% Full 51% 42.3% BNPP 3 Step IT (Germany branch) Germany Full 51% 42.3% Full 51% 42.3% BNPP 3 Step IT (Italy branch) Italy Full 51% 42.3% Full 51% 42.3% BNPP 3 Step IT (Netherlands branch) Netherlands Full 51% 42.3% Full 51% 42.3% BNPP 3 Step IT (United Kingdom branch) UK Full 51% 42.3% Full 51% 42.3% BNPP Finansal Kiralama AS T\u00fcrkiye Full 100% 82.5% Full 100% 82.5% BNPP Lease Group France Full (1) 100% 83% Full (1) 100% 83% BNPP Lease Group (Germany branch) Germany Full (1) 100% 83% Full (1) 100% 83% BNPP Lease Group (Italy branch) Italy Full (1) 100% 83% Full (1) 100% 83% BNPP Lease Group (Portugal branch) Portugal Full (1) 100% 83% Full (1) 100% 83% BNPP Lease Group (Spain branch) Spain Full (1) 100% 83% Full (1) 100% 83% BNPP Lease Group Belgium Belgium Full 100% 83% Full 100% 83% BNPP Lease Group GmbH & Co KG Austria S4 BNPP Lease Group Leasing Solutions SPA Italy Full 100% 95.5% Full 100% 95.5% BNPP Lease Group PLC UK Full 100% 83% Full 100% 83% BNPP Lease Group Rentals Ltd UK S1 BNPP Lease Group SP ZOO Poland Full 100% 83% Full 100% 83% BNPP Leasing Services Poland Full 100% 87.4% Full 100% 87.4% V3 BNPP Leasing Solution AS Norway Full 100% 83% Full 100% 83% BNPP Leasing Solutions Luxembourg Full 100% 83% Full 100% 83% BNPP Leasing Solutions AB Sweden Full 100% 83% Full 100% 83% E1 BNPP Leasing Solutions AS Denmark Full 100% 83% E1 BNPP Leasing Solutions IFN SA Romania Full 100% 83% Full 100% 83% BNPP Leasing Solutions Ltd UK Full 100% 83% Full 100% 83% BNPP Leasing Solutions NV Netherlands Full 100% 83% Full 100% 83% BNPP Leasing Solutions Suisse SA Switzerland Full 100% 83% Full 100% 83% BNPP Rental Solutions Ltd UK Full 100% 83% Full 100% 83% BNPP Rental Solutions SPA Italy Full 100% 83% Full 100% 83% Claas Financial Services France Full (1) 51% 42.3% Full (1) 51% 42.3% Claas Financial Services (Germany branch) Germany Full (1) 51% 42.3% Full (1) 51% 42.3% Claas Financial Services (Italy branch) Italy Full (1) 51% 42.3% Full (1) 51% 42.3% Claas Financial Services (Poland branch) Poland Full (1) 51% 42.3% Full (1) 51% 42.3% Claas Financial Services (Spain branch) Spain Full (1) 51% 42.3% Full (1) 51% 42.3% Claas Financial Services Ltd UK Full 51% 42.3% Full 51% 42.3% CNH Industrial Capital Europe France Full (1) 50.1% 41.6% Full (1) 50.1% 41.6% CNH Industrial Capital Europe (Belgium branch) Belgium Full (1) 50.1% 41.6% Full (1) 50.1% 41.6% CNH Industrial Capital Europe (Germany branch) Germany Full (1) 50.1% 41.6% Full (1) 50.1% 41.6% CNH Industrial Capital Europe (Italy branch) Italy Full (1) 50.1% 41.6% Full (1) 50.1% 41.6% CNH Industrial Capital Europe (Poland branch) Poland Full (1) 50.1% 41.6% Full (1) 50.1% 41.6% CNH Industrial Capital Europe (Spain branch) Spain Full (1) 50.1% 41.6% Full (1) 50.1% 41.6% CNH Industrial Capital Europe BV Netherlands Full 100% 41.6% Full 100% 41.6% CNH Industrial Capital Europe GmbH Austria Full 100% 41.6% Full 100% 41.6% CNH Industrial Capital Europe Ltd UK Full 100% 41.6% Full 100% 41.6% ES Finance Belgium Full 100% 99.9% Full 100% 99.9% FL Zeebrugge (s) Belgium Full - - Full - - Folea Grundstucksverwaltungs und Vermietungs Gmbh & Co (s) Germany S1 Full - - Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Fortis Lease France Full (1) 100% 83% Full (1) 100% 83% Fortis Lease Belgium Belgium Full 100% 83% Full 100% 83% Fortis Lease Deutschland GmbH Germany Full 100% 83% Full 100% 83% Fortis Lease Iberia SA Spain Full 100% 86.6% Full 100% 86.6% Fortis Lease Portugal Portugal Full 100% 83% Full 100% 83% Fortis Lease UK Ltd UK Full 100% 83% Full 100% 83% Fortis Vastgoedlease BV Netherlands Full 100% 83% Full 100% 83% Hef\ufb01q Heftruck Verhuur BV Netherlands Full 50.1% 41.5% Full 50.1% 41.5% JCB Finance France Full (1) 100% 41.6% Full (1) 100% 41.6% JCB Finance (Germany branch) Germany Full (1) 100% 41.6% Full (1) 100% 41.6% JCB Finance (Italy branch) Italy Full (1) 100% 41.6% Full (1) 100% 41.6% JCB Finance Holdings Ltd UK Full 50.1% 41.6% Full 50.1% 41.6% Manitou Finance Ltd UK Full 51% 42.3% Full 51% 42.3% MGF France Full (1) 51% 42.3% Full (1) 51% 42.3% MGF (Germany branch) Germany Full (1) 51% 42.3% Full (1) 51% 42.3% MGF (Italy branch) Italy Full (1) 51% 42.3% Full (1) 51% 42.3% Natio Energie 2 France Full 100% 100% Full 100% 100% Natiocredibail France Full (1) 100% 100% Full (1) 100% 100% Pixel 2021 (t) France Full - - Full - - E2 RD Leasing IFN SA Romania S4 Same Deutz Fahr Finance France Full (1) 100% 83% Full (1) 100% 83% SNC Natiocredimurs France Full (1) 100% 100% Full (1) 100% 100% New Digital Businesses Financi\u00e8re des Paiements \u00c9lectroniques France Full 95% 95% Full 95% 95% Financi\u00e8re des Paiements \u00c9lectroniques (Belgium branch) Belgium Full 95% 95% Full 95% 95% E2 Financi\u00e8re des Paiements \u00c9lectroniques (Germany branch) Germany Full 95% 95% E2 Financi\u00e8re des Paiements \u00c9lectroniques (Portugal branch) Portugal Full 95% 95% Full 95% 95% E2 Financi\u00e8re des Paiements \u00c9lectroniques (Spain branch) Spain Full 95% 95% Full 95% 95% Floa France Full 100% 100% E3 Lyf SA France Equity (3) 43.8% 43.8% Equity (3) 43.8% 43.8% Lyf SAS France Equity (3) 49.9% 49.9% V4 Equity (3) 49.1% 49.1% Personal Investors Espresso Financial Services Private Ltd India Full 100% 100% Full 100% 100% Geojit Technologies Private Ltd India Equity 35% 35% Equity 35% 35% Human Value Developers Private Ltd India Full 100% 100% Full 100% 100% Sharekhan BNPP Financial Services Ltd India Full 100% 100% Full 100% 100% Sharekhan Ltd India Full 100% 100% Full 100% 100% INVESTMENT & PROTECTION SERVICES Insurance AEW Immocommercial (s) France FV - - FV - - AG Insurance Belgium Equity 25% 25% Equity 25% 25% Agathe Retail France France FV 33.3% 33.3% FV 33.3% 33.3% Ambrosia Avril 2025 (s) France S1 Ambrosia Mars 2026 (s) France S1 Astridplaza Belgium Full (2) 100% 98.5% Full (2) 100% 98.5% V4 Batipart Participations SAS Luxembourg FV 29.7% 29.7% FV 29.7% 29.7% Becquerel (s) France Full (4) - - Full (4) - - BNPP Actions Croissance (s) France Full (4) - - Full (4) - - BNPP Actions Entrepreneurs (s) France S3 Full (4) - - BNPP Actions Euro (s) France Full (4) - - Full (4) - - BNPP Actions Monde (s) France Full (4) - - Full (4) - - BNPP Actions PME (s) France S3 Full (4) - - BNPP Actions PME ETI (s) France Full (4) - - Full (4) - - E1 BNPP Aqua (s) France Full (4) - - Full (4) - - BNPP Best Selection Actions Euro (s) France Full (4) - - Full (4) - - BNPP Cardif France Full (2) 100% 100% Full (2) 100% 100% BNPP Cardif BV Netherlands Full (2) 100% 100% Full (2) 100% 100% BNPP Cardif Compania de Seguros y Reaseguros SA Peru Equity  * 100% 100% Equity  * 100% 100% BNPP Cardif Emeklilik AS T\u00fcrkiye Full (2) 100% 100% Full (2) 100% 100% BNPP Cardif General Insurance Co Ltd Rep. of Korea S2 Equity  * 94.5% 94.5% V4 BNPP Cardif Hayat Sigorta AS T\u00fcrkiye Equity  * 100% 100% Equity  * 100% 100% BNPP Cardif Levensverzekeringen NV Netherlands S4 BNPP Cardif Livforsakring AB Sweden Full (2) 100% 100% Full (2) 100% 100% D1 BNPP Cardif Livforsakring AB (Denmark branch) Denmark Full (2) 100% 100% Full (2) 100% 100% D1 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 292 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. BNPP Cardif Livforsakring AB (Norway branch) Norway Full (2) 100% 100% Full (2) 100% 100% D1 BNPP Cardif Pojistovna AS Czech Rep. Full (2) 100% 100% Full (2) 100% 100% BNPP Cardif Schadeverzekeringen NV Netherlands S4 BNPP Cardif Seguros de Vida SA Chile Full (2) 100% 100% Full (2) 100% 100% BNPP Cardif Seguros Generales SA Chile Full (2) 100% 100% Full (2) 100% 100% BNPP Cardif Services SRO Czech Rep. Equity  * 100% 100% Equity  * 100% 100% BNPP Cardif Servicios y Asistencia Ltda Chile Equity  * 100% 100% Equity  * 100% 100% BNPP Cardif Sigorta AS T\u00fcrkiye Equity  * 100% 100% Equity  * 100% 100% BNPP Cardif TCB Life Insurance Co Ltd Taiwan Equity 49% 49% Equity 49% 49% BNPP Cardif Vita Compagnia di Assicurazione E Riassicurazione SPA Italy Full (2) 100% 100% Full (2) 100% 100% BNPP Convictions (s) France Full (4) - - Full (4) - - BNPP CP Cardif Alternative (s) France S3 Full (2) - - BNPP CP Cardif Private Debt (s) France Full (4) - - Full (4) - - BNPP CP Infrastructure Investments Fund (s) France Full (4) - - Full (4) - - BNPP Deep Value (s) France Full (4) - - Full (4) - - BNPP D\u00e9veloppement Humain (s) France Full (4) - - Full (4) - - BNPP Diversipierre (s) France Full (2) - - Full (2) - - BNPP Europe High Conviction Bond (s) France S1 BNPP France Cr\u00e9dit (s) France Full (2) - - Full (2) - - BNPP Global Senior Corporate Loans (s) France Full (4) - - Full (4) - - BNPP Indice Amerique du Nord (s) France Full (4) - - Full (4) - - BNPP Indice Euro (s) France S3 BNPP Midcap France (s) France S3 BNPP Moderate Focus Italia (s) France Full (4) - - Full (4) - - BNPP Mon\u00e9taire Assurance (s) France Full (4) - - Full (4) - - BNPP Multistrat\u00e9gies Protection 80 (s) France Full (4) - - Full (4) - - BNPP Next Tech (s) France Full (4) - - Full (4) - - E1 BNPP Protection Monde (s) France Full (4) - - Full (4) - - BNPP S\u00e9lection Dynamique Monde (s) France Full (4) - - Full (4) - - BNPP S\u00e9lection Flexible (s) France S3 Full (4) - - BNPP Smallcap Euroland (s) France Full (4) - - Full (4) - - BNPP Social Business France (s) France Full (4) - - Full (4) - - BOB Cardif Life Insurance Co Ltd China Equity 50% 50% Equity 50% 50% C Sant\u00e9 (s) France Full (2) - - Full (2) - - Camgestion Obli\ufb02exible (s) France Full (2) - - Full (2) - - Capital France Hotel France Full (2) 98.5% 98.5% Full (2) 98.5% 98.5% V4 Cardif Alternatives Part I (s) France Full (2) - - Full (2) - - Cardif Assurance Vie France Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Austria branch) Austria Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Belgium branch) Belgium Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Bulgaria branch) Bulgaria Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Germany branch) Germany Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Italy branch) Italy Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Netherlands branch) Netherlands Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Portugal branch) Portugal Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Romania branch) Romania Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Spain branch) Spain Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Switzerland branch) Switzerland Full (2) 100% 100% Full (2) 100% 100% Cardif Assurance Vie (Taiwan branch) Taiwan Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers France Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Austria branch) Austria Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Belgium branch) Belgium Full (2) 100% 100% Full (2) 100% 100% Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Cardif Assurances Risques Divers (Bulgaria branch) Bulgaria Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Germany branch) Germany Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Italy branch) Italy Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Netherlands branch) Netherlands Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Poland branch) Poland Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Portugal branch) Portugal Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Romania branch) Romania Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Spain branch) Spain Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Switzerland branch) Switzerland Full (2) 100% 100% Full (2) 100% 100% Cardif Assurances Risques Divers (Taiwan branch) Taiwan Full (2) 100% 100% Full (2) 100% 100% Cardif Biztosito Magyarorszag ZRT Hungary Equity  * 100% 100% Equity  * 100% 100% Cardif BNPP AM Emerging Bond (s) France Full (2) - - Full (2) - - Cardif BNPP AM Global Senior Corporate Loans (s) France Full (4) - - Full (4) - - Cardif BNPP IP Convertibles World (s) France S3 Full (2) - - Cardif BNPP IP Signatures (s) France Full (2) - - Full (2) - - Cardif BNPP IP Smid Cap Euro (s) France Full (2) - - Full (2) - - Cardif BNPP IP Smid Cap Europe (s) France S3 Full (4) - - E1 Cardif Colombia Seguros Generales SA Colombia Full (2) 100% 100% Full (2) 100% 100% Cardif CPR Global Return (s) France Full (2) - - Full (2) - - Cardif do Brasil Seguros e Garantias SA Brazil Full (2) 100% 100% Full (2) 100% 100% Cardif do Brasil Vida e Previdencia SA Brazil Full (2) 100% 100% Full (2) 100% 100% Cardif Edrim Signatures (s) France Full (2) - - Full (2) - - Cardif El Djazair Algeria Equity  * 100% 100% Equity  * 100% 100% Cardif Forsakring AB Sweden Full (2) 100% 100% Full (2) 100% 100% D1 Cardif Forsakring AB (Denmark branch) Denmark Full (2) 100% 100% Full (2) 100% 100% D1 Cardif Forsakring AB (Norway branch) Norway Full (2) 100% 100% Full (2) 100% 100% D1 Cardif IARD France Full (2) 66% 66% Full (2) 66% 66% Cardif Insurance Co LLC Russia Full (2) 100% 100% Full (2) 100% 100% Cardif Life Insurance Co Ltd Rep. of Korea Full (2) 85% 85% Full (2) 85% 85% Cardif Life Insurance Japan Japan Full (2) 75% 75% Full (2) 75% 75% Cardif Ltda Brazil Equity  * 100% 100% Equity  * 100% 100% Cardif Lux Vie Luxembourg Full (2) 100% 88.6% Full (2) 100% 88.6% Cardif Mexico Seguros de Vida SA de CV Mexico Equity  * 100% 100% Equity  * 100% 100% Cardif Mexico Seguros Generales SA de CV Mexico Equity  * 100% 100% Equity  * 100% 100% Cardif Non Life Insurance Japan Japan Full (2) 100% 75% Full (2) 100% 75% Cardif Nordic AB Sweden Full (2) 100% 100% Full (2) 100% 100% Cardif Pinnacle Insurance Holdings PLC UK Full (2) 100% 100% Full (2) 100% 100% Cardif Pinnacle Insurance Management Services PLC UK S2 Full (2) 100% 100% Cardif Polska Towarzystwo Ubezpieczen Na Zycie SA Poland Equity  * 100% 100% Equity  * 100% 100% Cardif Retraite France Full (2) 100% 100% E1 Cardif Seguros SA Argentina Equity  * 100% 100% Equity  * 100% 100% D1 Cardif Services AEIE Portugal Full (2) 100% 100% Full (2) 100% 100% Cardif Servicios SAC Peru Equity  * 100% 100% Equity  * 100% 100% Cardif Vita Convex Fund Eur (s) France Full (2) - - Full (2) - - Cardimmo France Full (2) 100% 100% Full (2) 100% 100% Cargeas Assicurazioni SPA Italy S2 Carma Grand Horizon SARL France Full (2) 100% 100% Full (2) 100% 100% Cedrus Carbon Initiative Trends (s) France Full (2) - - Full (2) - - Centre Commercial Francilia France FV 21.7% 21.7% E3 CFH Algonquin Management Partners France Italia Italy Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Bercy France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Bercy Hotel France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Bercy Interm\u00e9diaire France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 293 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. CFH Berlin Holdco SARL Luxembourg Full (2) 100% 98.5% Full (2) 100% 98.5% E2 CFH Boulogne France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Cap d\u2019Ail France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Milan Holdco SRL Italy Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Montmartre France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 CFH Montparnasse France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 Corosa France Full (2) 100% 100% Full (2) 100% 100% Darnell DAC Ireland Full (2) 100% 100% Full (2) 100% 100% D\u00e9fense CB3 SAS France FV 25% 25% FV 25% 25% Diversipierre DVP 1 France Full (2) 100% 88.1% V3 Full (2) 100% 88.7% E1 Diversipierre Germany GmbH Germany Equity  * 100% 88.1% V3 Equity  * 100% 88.7% E1 DVP European Channel France Equity  * 100% 88.1% V3 Equity  * 100% 88.7% E1 DVP Green Clover France Equity  * 100% 88.1% V3 Equity  * 100% 88.7% E1 DVP Haussmann France Equity  * 100% 88.1% V3 Equity  * 100% 88.7% E1 DVP Heron France Equity  * 100% 88.1% V3 Equity  * 100% 88.7% E1 Eclair (s) France Full (4) - - Full (4) - - Elegia Septembre 2028 (s) France S1 EP L (s) France Full (2) - - Full (2) - - EP1 Grands Moulins (s) France Equity  * - - Equity  * - - FDI Poncelet France Full (2) 100% 100% Full (2) 100% 100% Fleur SAS France FV 33.3% 33.3% FV 33.3% 33.3% Fonci\u00e8re Partenaires (s) France FV - - FV - - Fonds d\u2019Investissements Immobiliers pour le Commerce et la Distribution France FV 25% 25% FV 25% 25% FP Cardif Convex Fund USD (s) France Full (2) - - Full (2) - - Fundamenta (s) Italy Full (2) - - Full (2) - - G C Thematic Opportunities II (s) Ireland Full (2) - - Full (2) - - GIE BNPP Cardif France Full (2) 100% 100% V4 Full (2) 99.9% 99.9% V2 GPinvest 10 France FV 50% 50% FV 50% 50% E3 Harewood Helena 2 Ltd UK Full (2) 100% 100% Full (2) 100% 100% Hemisphere Holding France Equity 20% 20% Equity 20% 20% Hibernia France France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 High Street Retail France S2 Horizon Development GmbH Germany FV 66.7% 62.9% FV 66.7% 62.9% V3 Icare France Full (2) 100% 100% Full (2) 100% 100% Icare Assurance France Full (2) 100% 100% Full (2) 100% 100% ID Cologne A1 GmbH Germany Equity  * 79.2% 74.1% Equity  * 79.2% 74.1% E3 ID Cologne A2 GmbH Germany Equity  * 79.2% 74.1% Equity  * 79.2% 74.1% E3 Karapass Courtage France Equity  * 100% 100% Equity  * 100% 100% Korian et Partenaires Immobilier 1 France FV 24.5% 24.5% FV 24.5% 24.5% Korian et Partenaires Immobilier 2 France FV 24.5% 24.5% FV 24.5% 24.5% Luizaseg Brazil Equity 50% 50% Equity 50% 50% Natio Assurance France Full (2) 100% 100% Full (2) 100% 100% Natio Fonds Amp\u00e8re 1 (s) France Full (4) - - Full (4) - - Natio Fonds Athenes Investissement N 5 (s) France Full (2) - - Full (2) - - Natio Fonds Colline International (s) France Full (2) - - Full (2) - - Natio Fonds Collines Investissement N 1 (s) France Full (2) - - Full (2) - - Natio Fonds Collines Investissement N 3 (s) France Full (2) - - Full (2) - - NCVP Participacoes Societarias SA Brazil Full (2) 100% 100% Full (2) 100% 100% New Alpha Cardif Incubator Fund (s) France Full (2) - - Full (2) - - OC Health Real Estate GmbH Germany FV 35% 31% FV 35% 31% E3 Op\u00e9ra Rendement (s) France Full (2) - - Full (2) - - Paris Management Consultant Co Ltd Taiwan Equity  * 100% 100% Equity  * 100% 100% Permal Cardif Co Investment Fund (s) France Full (2) - - Full (2) - - Pinnacle Insurance PLC UK S2 Full (2) 100% 100% Pinnacle Pet Holding Ltd UK Equity 30% 30% E3 Poistovna Cardif Slovakia AS Slovakia Equity  * 100% 100% Equity  * 100% 100% Preim Healthcare SAS (s) France FV - - FV - - PWH France FV 47.5% 47.5% FV 47.5% 47.5% Reumal Investissements France Full (2) 100% 100% Full (2) 100% 100% Rubin SARL Luxembourg FV 50% 50% FV 50% 50% Rueil Ariane France Full (2) 100% 100% Full (2) 100% 100% SAS HVP France Full (2) 100% 98.5% Full (2) 100% 98.5% V4 Schroder European Operating Hotels Fund 1 (s) Luxembourg FV - - FV - - E1 SCI 68/70 rue de Lagny \u2013 Montreuil France Full (2) 99.9% 99.9% V3 Full (2) 100% 100% Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. SCI Alpha Park France FV 50% 50% FV 50% 50% SCI Batipart Chadesrent France FV 20% 20% FV 20% 20% E2 SCI Biv Malakoff France FV 23.3% 23.3% FV 23.3% 23.3% E3 SCI BNPP Pierre I France Full (2) 100% 100% Full (2) 100% 100% SCI BNPP Pierre II France Full (2) 100% 100% Full (2) 100% 100% SCI Bobigny Jean Rostand France Full (2) 100% 100% Full (2) 100% 100% SCI Bouleragny France FV 50% 50% FV 50% 50% SCI Cardif Logement France Full (2) 100% 100% Full (2) 100% 100% SCI Citylight Boulogne France Full (2) 100% 100% Full (2) 100% 100% SCI Clichy Nuovo France FV 50% 50% FV 50% 50% SCI D\u00e9fense \u00c9toile France Full (2) 100% 100% Full (2) 100% 100% SCI D\u00e9fense Vend\u00f4me France Full (2) 100% 100% Full (2) 100% 100% SCI \u00c9toile du Nord France Full (2) 100% 100% Full (2) 100% 100% SCI Fontenay Plaisance France Full (2) 100% 100% Full (2) 100% 100% SCI Imefa Velizy France FV 21.8% 21.8% FV 21.8% 21.8% SCI Le Mans Gare France Full (2) 100% 100% Full (2) 100% 100% SCI Libert\u00e9 France S2 SCI Nanterre Guilleraies France Full (2) 100% 100% Full (2) 100% 100% SCI Nantes Carnot France Full (2) 100% 100% Full (2) 100% 100% SCI Odyss\u00e9e France Full (2) 100% 100% Full (2) 100% 100% SCI Pantin Les Moulins France Full (2) 100% 100% Full (2) 100% 100% SCI Paris Batignolles France Full (2) 100% 100% Full (2) 100% 100% SCI Paris Cours de Vincennes France Full (2) 100% 100% Full (2) 100% 100% SCI Paris Grande Arm\u00e9e France Full (2) 100% 100% Full (2) 100% 100% SCI Paris Turenne France Full (2) 100% 100% Full (2) 100% 100% SCI Portes de Claye France Equity 45% 45% Equity 45% 45% SCI Rue Moussorgski France Full (2) 100% 100% Full (2) 100% 100% SCI Rueil Caudron France Full (2) 100% 100% Full (2) 100% 100% SCI Saint Denis Landy France Full (2) 100% 100% Full (2) 100% 100% SCI Saint Denis Mitterrand France Full (2) 100% 100% Full (2) 100% 100% SCI Saint-Denis Jade France Full (2) 100% 100% Full (2) 100% 100% SCI SCOO France Equity 46.4% 46.4% Equity 46.4% 46.4% SCI Vend\u00f4me Ath\u00e8nes France FV 50% 50% FV 50% 50% SCI Villeurbanne Stalingrad France Full (2) 100% 100% Full (2) 100% 100% Secar France FV 55.1% 55.1% FV 55.1% 55.1% Seniorenzentren Deutschland Holding SARL Luxembourg FV 20% 17.7% FV 20% 17.7% Seniorenzentren Reinbeck Oberursel M\u00fcnchen Objekt GmbH Germany FV 35% 31% FV 35% 31% Seniorenzentrum Butzbach Objekt GmbH Germany FV 35% 31% FV 35% 31% Seniorenzentrum Heilbronn Objekt GmbH Germany FV 35% 31% FV 35% 31% Seniorenzentrum Kassel Objekt GmbH Germany FV 35% 31% FV 35% 31% Seniorenzentrum Wolfratshausen Objekt GmbH Germany FV 35% 31% FV 35% 31% Services Epargne Entreprise France Equity 35.6% 35.6% Equity 35.6% 35.6% SNC Batipart Mermoz France FV 25% 25% FV 25% 25% E2 SNC Batipart Poncelet France FV 25% 25% FV 25% 25% V1 Soci\u00e9t\u00e9 Francaise d\u2019Assurances sur la Vie France Equity 50% 50% Equity 50% 50% Soci\u00e9t\u00e9 Immobili\u00e8re du Royal Building SA Luxembourg Full (2) 100% 88.6% Full (2) 100% 88.6% Tikehau Cardif Loan Europe (s) France Full (2) - - Full (2) - - Valeur Pierre Epargne France Full (2) 100% 100% Full (2) 100% 100% Valtitres FCP (s) France Full (2) - - Full (2) - - Velizy Holding France FV 33.3% 33.3% FV 33.3% 33.3% Wealth Management BNPP Wealth Management DIFC Ltd United Arab Emirates S3 Full 100% 100% BNPP Wealth Management Monaco Monaco Full (1) 100% 100% Full (1) 100% 100% Asset Management Alfred Berg Kapitalforvaltning AS Norway Full 100% 98.2% Full 100% 98.2% Alfred Berg Kapitalforvaltning AS (Sweden branch) Sweden Full 100% 98.2% Full 100% 98.2% Bancoestado Administradora General de Fondos SA Chile Equity 50% 49.1% Equity 50% 49.1% Baroda BNPP AMC Private Ltd (Ex-BNPP Asset Management India Private Ltd) India Equity (3) 49.9% 49% V3/ D8 Full 100% 98.2% BNPP AM International Hedged Strategies (s) France Full (4) - - Full (4) - - E1 BNPP Asset Management Asia Ltd Hong Kong Full 100% 98.2% Full 100% 98.2% 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 294 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. BNPP Asset Management Be Holding Belgium Full 100% 98.2% Full 100% 98.2% BNPP Asset Management Belgium Belgium S4 Full 100% 98.2% BNPP Asset Management Brasil Ltda Brazil Full 100% 99.5% Full 100% 99.5% BNPP Asset Management France France Full 100% 98.2% Full 100% 98.2% BNPP Asset Management France (Austria branch) Austria Full 100% 98.2% Full 100% 98.2% BNPP Asset Management France (Belgium branch) Belgium Full 100% 98.2% E2 BNPP Asset Management France (Germany branch) Germany Full 100% 98.2% Full 100% 98.2% BNPP Asset Management France (Italy branch) Italy Full 100% 98.2% Full 100% 98.2% BNPP Asset Management France (Netherlands branch) Netherlands Full 100% 98.2% Full 100% 98.2% BNPP Asset Management Holding France Full 99.9% 98.2% Full 99.9% 98.2% BNPP Asset Management Japan Ltd Japan Full 100% 98.2% Full 100% 98.2% BNPP Asset Management Luxembourg Luxembourg Full 99.7% 97.9% Full 99.7% 97.9% BNPP Asset Management Nederland NV Netherlands S4 BNPP Asset Management NL Holding NV Netherlands Full 100% 98.2% Full 100% 98.2% BNPP Asset Management PT Indonesia Full 100% 98.2% Full 100% 98.2% BNPP Asset Management Services Grouping France Full 100% 98.2% Full 100% 98.2% BNPP Asset Management UK Ltd UK Full 100% 98.2% Full 100% 98.2% BNPP Asset Management USA Holdings Inc USA Full 100% 100% Full 100% 100% BNPP Asset Management USA Inc USA Full 100% 100% Full 100% 100% BNPP B Institutional II (s) Belgium Full (4) - - Full (4) - - BNPP Capital Partners France S4 BNPP Dealing Services France Full 100% 98.2% Full 100% 98.2% BNPP Diversi\ufb02ex (s) France Full (4) - - E1 BNPP Easy (s) Luxembourg Full (4) - - E1 BNPP European SME Debt Fund 2 SCSp RAIF (s) Luxembourg S2 Full (4) - - E1 BNPP Flexi I (s) Luxembourg Full (4) - - Full (4) - - BNPP Funds (s) Luxembourg Full (4) - - Full (4) - - BNPP L1 (s) Luxembourg S3 BNPP Multigestion (s) France S3 Full (4) - - BNPP Perspectives (s) France S3 Drypnir AS Norway Full 100% 0% Full 100% 0% EAB Group PLC Finland S2 Equity 17.6% 17.3% Fundquest Advisor France S4 Full 100% 98.2% Fundquest Advisor (United Kingdom branch) UK S1 Full 100% 98.2% Gambit Financial Solutions Belgium Full 100% 98.2% Full 100% 98.2% V1 Groeivermogen NV Netherlands S3 Haitong Fortis Private Equity Fund Management Co Ltd China Equity 33% 32.4% Equity 33% 32.4% Harewood Helena 1 Ltd UK Full 100% 100% Full 100% 100% Harmony Prime (s) France Full (4) - - E1 HFT Investment Management Co Ltd China Equity 49% 48.1% Equity 49% 48.1% Impax Asset Management Group PLC UK Equity 13.8% 13.5% Equity 13.8% 13.5% V3 Shinhan BNPP Asset Management Co Ltd Rep. of Korea S2 SME Alternative Financing DAC (s) Ireland Full - - Full - - Theam Quant (s) Luxembourg Full (4) - - Full (4) - - Theam Quant Europe Climate Carbon Offset Plan (s) France Full (4) - - E1 Real Estate Auguste Thouard Expertise France Full (2) 100% 100% Full (2) 100% 100% BNPP Immobilier Promotion Immobilier d\u2019Entreprise France S4 Full (2) 100% 100% BNPP Immobilier R\u00e9sidences Services France Full (2) 100% 100% Full (2) 100% 100% BNPP Immobilier R\u00e9sidentiel France Full (2) 100% 100% Full (2) 100% 100% BNPP Immobilier R\u00e9sidentiel Service Clients France S4 Full (2) 100% 100% BNPP Real Estate France Full (2) 100% 100% Full (2) 100% 100% Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. BNPP Real Estate (United Arab Emirates branch) United Arab Emirates Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Advisory & Property Management Luxembourg SA Luxembourg Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Advisory & Property Management UK Ltd UK Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Advisory and Property Management Ireland Ltd Ireland Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Advisory Belgium SA Belgium S4 BNPP Real Estate Advisory Italy SPA Italy Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Advisory Netherlands BV Netherlands Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate APM CR SRO Czech Rep. S2 BNPP Real Estate Conseil Habitation & Hospitality France Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Consult France France Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Consult GmbH Germany Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Facilities Management Ltd UK Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Financial Partner France Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate GmbH Germany Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Holding Benelux SA Belgium Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Holding GmbH Germany Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Investment Management Belgium Belgium Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Investment Management France France Full 100% 100% Full 100% 100% BNPP Real Estate Investment Management Germany GmbH Germany Full 94.9% 94.9% Full 94.9% 94.9% BNPP Real Estate Investment Management Germany GmbH (Italy branch) Italy Full 94.9% 94.9% Full 94.9% 94.9% BNPP Real Estate Investment Management Germany GmbH (Spain branch) Spain Full 94.9% 94.9% Full 94.9% 94.9% BNPP Real Estate Investment Management Germany GmbH Lisbon Representative Of\ufb01ce Portugal Full 94.9% 94.9% E1 BNPP Real Estate Investment Management Italy SPA Italy Full 100% 100% Full 100% 100% BNPP Real Estate Investment Management Ltd UK Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Investment Management Luxembourg SA Luxembourg Full 100% 100% Full 100% 100% BNPP Real Estate Investment Management Spain SA Spain Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Investment Management UK Ltd UK Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Italy SRL Italy S4 Full (2) 100% 100% BNPP Real Estate Magyarorszag Tanacsado Es Ingatlankezelo ZRT Hungary S2 BNPP Real Estate Poland SP ZOO Poland Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Portugal Unipersonal LDA Portugal Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Property Development & Services GmbH Germany Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Property Development UK Ltd UK Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Property Developpement Italy SPA Italy S4 Full (2) 100% 100% BNPP Real Estate Property Management Belgium Belgium S4 BNPP Real Estate Property Management France SAS France Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Property Management GmbH Germany Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Property Management Italy SRL Italy Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Singapore Pte Ltd Singapore Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Spain SA Spain Full (2) 100% 100% Full (2) 100% 100% BNPP Real Estate Transaction France France Full (2) 96.8% 96.8% V1 Full (2) 96.6% 96.6% V2 BNPP Real Estate Valuation France France Full (2) 100% 100% Full (2) 100% 100% 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 295 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. Cariboo Development SL Spain Equity 65% 65% Equity 65% 65% Construction-Sale Companies (c) France Full/ Equity (2) - - Full/ Equity (2) - - Exeo Aura & Echo Of\ufb01ces Lda Portugal Equity 31% 31% E2 GIE BNPP Real Estate (Ex-GIE Si\u00e8ge Issy) France Full (2) 100% 100% Full (2) 100% 100% Horti Milano SRL Italy Full (2) 100% 100% Full (2) 100% 100% Li\ufb01zz France S4 Nanterre Arboretum France Full (2) 100% 100% Full (2) 100% 100% Parker Tower Ltd UK Full (2) 100% 100% Full (2) 100% 100% Partner\u2019s & Services France Full (2) 100% 100% Full (2) 100% 100% REPD Parker Ltd UK Full (2) 100% 100% Full (2) 100% 100% Sviluppo Residenziale Italia SRL Italy Full (2) 100% 100% Full (2) 100% 100% Wapiti Development SL Spain Equity 65% 65% Equity 65% 65% E1 Principal Investments BNPP Agility Capital France Full 100% 100% Full 100% 100% BNPP Agility Fund Equity SLP (s) France Full (4) - - Full (4) - - BNPP Agility Fund Private Debt SLP (s) France Full (4) - - Full (4) - - OTHER BUSINESS UNITS Property Companies (Property Used In Operations) and Others Antin Participation 5 France Full 100% 100% Full 100% 100% BNPP Home Loan SFH France Full (1) 100% 100% Full (1) 100% 100% BNPP Partners for Innovation France Full 100% 100% Full 100% 100% V1/D4 BNPP Partners for Innovation Belgium Belgium Full 100% 100% Full 100% 100% V1/D4 BNPP Partners for Innovation Italia SRL Italy Full 100% 100% Full 100% 100% V1/D4 BNPP Procurement Tech France Full 100% 100% Full 100% 100% BNPP Public Sector SA France Full 100% 100% Full 100% 100% Euro Secured Notes Issuer (s) France S3 Full - - FCT Lafayette 2021 (t) France Full - - Full - - E2 Name Country 31 December 2022 31 December 2021 Method Voting (%) Inte- rest (%) Ref. Method Voting (%) Inte- rest (%) Ref. FCT Laf\ufb01tte 2016 (t) France S1 FCT Laf\ufb01tte 2021 (t) France Full - - Full - - E2 FCT Op\u00e9ra 2014 (t) France Full - - Full - - FCT Pyramides 2022 (t) France Full - - E2 GIE Groupement Auxiliaire de Moyens France Full 100% 100% Full 100% 100% GIE Groupement d\u2019Etudes et de Prestations France Full 100% 100% Full 100% 100% Transvalor France Equity 20.2% 20.2% Equity 20.2% 20.2% E1 (a) At 31 December 2022, 14 Private Equity investment entities versus 11 Private Equity investment entities at 31 December 2021. (b) At 31 December 2022, the securitisation funds UCI and RMBS Prado include 14 funds (FCC UCI 11, 12, 14 to 17, RMBS Prado V to X, Green Belem I and RMBS Belem No 2) versus 15 funds (FCC UCI 11, 12, 14 to 17, Fondo de Titulizacion Structured Covered Bonds, RMBS Prado III to IX and Green Belem I) at 31 December 2021. (c) At 31 December 2022, 125 Construction-sale companies (91 Full and 34 Equity) versus 115 (89 Full and 26 Equity) at 31 December 2021. As requested by the ANC 2016 regulation, the list of entities that are controlled by the Group, jointly controlled or under signi\ufb01cant in\ufb02uence, but excluded from the scope of consolidation since their contribution to the consolidated \ufb01nancial statements would be immaterial to the Group, and the list of equity investments, are available on the \u201cRegulated Information\u201d page of the https://invest.bnpparibas.com website. Changes in the scope of consolidation New entries (E) in the scope of consolidation E1 Passing qualifying thresholds E2 Incorporation E3 Purchase, gain of control or signi\ufb01cant in\ufb02uence Removals (S) from the scope of consolidation S1 Cessation of activity (dissolution, liquidation, etc.) S2 Disposal, loss of control or loss of signi\ufb01cant in\ufb02uence S3 Passing qualifying thresholds S4 Merger, Universal transfer of assets and liabilities Variance (V) in voting or ownership interest V1 Additional purchase V2 Partial disposal V3 Dilution V4 Increase in % Miscellaneous D1 Consolidation method change not related to \ufb02uctuation in voting or ownership interest D2 Entities of a business held for sale D3 The Verner Investissements group was consolidated under the equity method in BNP Paribas Group until 13 July 2021. Following the additional purchase of interest by BNP Paribas Group, the Verner Investments group was fully consolidated (see note 7.c) D4 The BNPP Partners for Innovation group was consolidated under the equity method in BNP Paribas Group until 31 December 2021. Following the additional purchase of interest by BNP Paribas Group, the BNPP Partners for Innovation group was fully consolidated. D5 Compagnie pour le Financement des Loisirs was consolidated under the equity method in BNP Paribas Group until 31 December 2021. Following the additional purchase of interest by BNP Paribas Group, Compagnie pour le Financement des Loisirs was fully consolidated. D6 Worldline Merchant Services Italia SPA was fully consolidated in BNP Paribas Group until 31 December 2021. Following the partial disposal by the Group, Worldline Merchant Services Italia SPA was consolidated under the equity method. D7 bpost bank was consolidated under the equity method in BNP Paribas Group until 31 December 2021. Following the additional purchase of interest by BNP Paribas Group, bpost bank was fully consolidated. D8 Baroda BNPP AMC Private Ltd was fully consolidated in BNP Paribas Group until 31 December 2021. Following the partial disposal by the Group, Baroda BNPP AMC Private Ltd was consolidated under the equity method. Equity Controlled but non material entities consolidated under the equity method as associates FV Joint control or investment in associates measured at Fair Value through P&L (s) Structured entities (t) Securitisation funds Prudential scope of consolidation (1) French subsidiaries for which supervision of prudential requirements is complied with through the supervision on a consolidated basis of BNP Paribas SA, in accordance with article 7.1 of Regulation n\u00b0575/2013 of the European Parliament and of the Council. (2) Entities consolidated under the equity method in the prudential scope (3) Jointly controlled entities under proportional consolidation in the prudential scope (4) Collective investment undertaking excluded from the prudential scope. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 296 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfInterestsInSubsidiariesExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9562": {
   "value": "Exclusive control Controlled enterprises are fully consolidated. The Group controls a subsidiary when it is exposed, or has rights, to variable returns from its involvement with the entity and has the ability to affect those returns through its power over the entity. For entities governed by voting rights, the Group generally controls the entity if it holds, directly or indirectly, the majority of the voting rights (and if there are no contractual provisions that alter the power of these voting rights) or if the power to direct the relevant activities of the entity is conferred on it by contractual agreements. Structured entities are entities established so that they are not governed by voting rights, for instance when those voting rights relate to administrative tasks only, whereas the relevant activities are directed by means of contractual arrangements. They often have the following features or attributes: restricted activities, a narrow and well-de\ufb01ned objective and insuf\ufb01cient equity to permit them to \ufb01nance their activities without subordinated \ufb01nancial support. (1) Including change in assets and liabilities recognised in changes in equity that may be reclassi\ufb01ed to pro\ufb01t or loss. (2) Including amendments to other standards related to the application of IFRS 17, of which the impact of the EUR 1.5 billion in relation to the revaluation of buildings at fair value, offset by the corresponding revaluation of liabilities in direct participating contracts. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 189 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements For these entities, the analysis of control shall consider the purpose and design of the entity, the risks to which the entity is designed to be exposed and to what extent the Group absorbs the related variability. The assessment of control shall consider all facts and circumstances able to determine the Group\u2019s practical ability to make decisions that could signi\ufb01cantly affect its returns, even if such decisions are contingent on uncertain future events or circumstances. In assessing whether it has power, the Group considers only substantive rights which it holds or which are held by third parties. For a right to be substantive, the holder must have the practical ability to exercise that right when decisions about the relevant activities of the entity need to be made. Control is reassessed if facts and circumstances indicate that there are changes to one or more of the elements of control. Where the Group contractually holds the decision-making power, for instance where the Group acts as fund manager, it shall determine whether it is acting as agent or principal. Indeed, when associated with a certain level of exposure to the variability of returns, this decision-making power may indicate that the Group is acting on its own account and that it thus has control over those entities. Minority interests are presented separately in the consolidated pro\ufb01t and loss account and balance sheet within consolidated equity. The calculation of minority interests takes into account the outstanding cumulative preferred shares classi\ufb01ed as equity instruments issued by subsidiaries, when such shares are held outside the Group. As regards fully consolidated funds, units held by third-party investors are recognised as debts at fair value through pro\ufb01t or loss, inasmuch as they are redeemable at fair value at the subscriber\u2019s initiative. For transactions resulting in a loss of control, any equity interest retained by the Group is remeasured at its fair value through pro\ufb01t or loss.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForSubsidiariesExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-703": {
   "value": "Exclusive control Controlled enterprises are fully consolidated. The Group controls a subsidiary when it is exposed, or has rights, to variable returns from its involvement with the entity and has the ability to affect those returns through its power over the entity. For entities governed by voting rights, the Group generally controls the entity if it holds, directly or indirectly, the majority of the voting rights (and if there are no contractual provisions that alter the power of these voting rights) or if the power to direct the relevant activities of the entity is conferred on it by contractual agreements. Structured entities are entities established so that they are not governed by voting rights, for instance when those voting rights relate to administrative tasks only, whereas the relevant activities are directed by means of contractual arrangements. They often have the following features or attributes: restricted activities, a narrow and well-de\ufb01ned objective and insuf\ufb01cient equity to permit them to \ufb01nance their activities without subordinated \ufb01nancial support. (1) Including change in assets and liabilities recognised in changes in equity that may be reclassi\ufb01ed to pro\ufb01t or loss. (2) Including amendments to other standards related to the application of IFRS 17, of which the impact of the EUR 1.5 billion in relation to the revaluation of buildings at fair value, offset by the corresponding revaluation of liabilities in direct participating contracts. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 189 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements For these entities, the analysis of control shall consider the purpose and design of the entity, the risks to which the entity is designed to be exposed and to what extent the Group absorbs the related variability. The assessment of control shall consider all facts and circumstances able to determine the Group\u2019s practical ability to make decisions that could signi\ufb01cantly affect its returns, even if such decisions are contingent on uncertain future events or circumstances. In assessing whether it has power, the Group considers only substantive rights which it holds or which are held by third parties. For a right to be substantive, the holder must have the practical ability to exercise that right when decisions about the relevant activities of the entity need to be made. Control is reassessed if facts and circumstances indicate that there are changes to one or more of the elements of control. Where the Group contractually holds the decision-making power, for instance where the Group acts as fund manager, it shall determine whether it is acting as agent or principal. Indeed, when associated with a certain level of exposure to the variability of returns, this decision-making power may indicate that the Group is acting on its own account and that it thus has control over those entities. Minority interests are presented separately in the consolidated pro\ufb01t and loss account and balance sheet within consolidated equity. The calculation of minority interests takes into account the outstanding cumulative preferred shares classi\ufb01ed as equity instruments issued by subsidiaries, when such shares are held outside the Group. As regards fully consolidated funds, units held by third-party investors are recognised as debts at fair value through pro\ufb01t or loss, inasmuch as they are redeemable at fair value at the subscriber\u2019s initiative. For transactions resulting in a loss of control, any equity interest retained by the Group is remeasured at its fair value through pro\ufb01t or loss.7.f MINORITY INTERESTS In millions of euros Capital and retained earnings Changes in assets and liabilities recognised directly in equity that will not be reclassi\ufb01ed to pro\ufb01t or loss Changes in assets and liabilities recognised directly in equity that may be reclassi\ufb01ed to pro\ufb01t or loss Minority interests Balance at 1 January 2021 4,640 9 (99) 4,550 Appropriation of net income for 2020 (221) (221) Increases in capital and issues 10 10 Reduction or redemption of capital (73) (73) Movements in consolidation scope impacting minority shareholders (139) (139) Acquisitions of additional interests or partial sales of interests 55 55 Change in commitments to repurchase minority shareholders\u2019 interests 38 38 Other movements 9 9 Realised gains or losses reclassi\ufb01ed to retained earnings 1 (1) - Changes in assets and liabilities recognised directly in equity 7 (7) - Net income for 2021 392 392 Balance at 31 December 2021 4,712 15 (106) 4,621 IAS 29 Impact (14) 62 48 Balance at 1 January 2022 4,698 15 (44) 4,669 Appropriation of net income for 2021 (133) (133) Increases in capital and issues 34 34 Impact of internal transactions on minority shareholders 2 2 Movements in consolidation scope impacting minority shareholders (136) (136) Change in commitments to repurchase minority shareholders\u2019 interests (157) (157) Other movements (1) (1) Changes in assets and liabilities recognised directly in equity 6 78 84 Net income for 2022 401 401 Balance at 31 December 2022 4,708 21 34 4,763 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 279 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 MAIN MINORITY INTERESTS The assessment of the material nature of minority interests is based on the contribution of the relevant subsidiaries to the Group balance sheet (before elimination of intragroup balances and transactions) and to the Group pro\ufb01t and loss account. In millions of euros 31 December 2022 Year to 31 Dec. 2022 Total assets before elimination of intragroup transactions Revenues Net income Net income and changes in assets and liabilities recognised directly in equity Minority shareholders\u2019 interest (%) Net income attributable to minority interests Net income and changes in assets and liabilities recognised directly in equity \u2013 attributable to minority interests Dividends paid to minority shareholders Contribution of the entities belonging to the BGL BNP Paribas Group 95,376 1,851 604 269 34% 189 121 81 Other minority interests 212 364 52 TOTAL 401 485 133 In millions of euros 31 December 2021 Year to 31 Dec. 2021 Total assets before elimination of intragroup transactions Revenues Net income Net income and changes in assets and liabilities recognised directly in equity Minority shareholders\u2019 interest (%) Net income attributable to minority interests Net income and changes in assets and liabilities recognised directly in equity \u2013 attributable to minority interests Dividends paid to minority shareholders Contribution of the entities belonging to the BGL BNP Paribas Group 98,967 1,779 585 557 34% 179 167 163 Other minority interests 213 225 58 TOTAL 392 392 221 There are no particular contractual restrictions on the assets of BGL BNP Paribas related to the presence of the minority shareholder. \u27a4 INTERNAL RESTRUCTURING THAT LED TO A CHANGE IN MINORITY SHAREHOLDERS\u2019 INTEREST IN THE EQUITY OF SUBSIDIARIES No signi\ufb01cant internal restructuring operation occurred during the year 2022, nor during the year 2021. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 280 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 ACQUISITIONS OF ADDITIONAL INTERESTS AND PARTIAL SALES OF INTERESTS LEADING TO CHANGES IN MINORITY INTERESTS IN THE EQUITY OF SUBSIDIARIES In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Attributable to shareholders Minority interests Attributable to shareholders Minority interests Bank BGZ BNP Paribas Partial disposal of 1.26% of the total share, reducing the Group\u2019s share to 87.43% (11) 37 Financit Spa Implementation of a partnership, reducing the Group\u2019s share to 60% 21 18 Other (2) TOTAL - - 8 55 Commitments to repurchase minority shareholders\u2019 interests In connection with the acquisition of certain entities, the Group granted minority shareholders put options on their holdings. The total value of these commitments, which are recorded as a reduction in shareholders\u2019 equity, amounts to EUR 361 million at 31 December 2022, compared with EUR 322 million at 31 December 2021.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfSignificantInvestmentsInSubsidiariesExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9563": {
   "value": "Joint control Where the Group carries out an activity with one or more partners, sharing control by virtue of a contractual agreement which requires unanimous consent on relevant activities (those that signi\ufb01cantly affect the entity\u2019s returns), the Group exercises joint control over the activity. Where the jointly controlled activity is structured through a separate vehicle in which the partners have rights to the net assets, this joint venture is accounted for using the equity method. Where the jointly controlled activity is not structured through a separate vehicle or where the partners have rights to the assets and obligations for the liabilities of the jointly controlled activity, the Group accounts for its share of the assets, liabilities, revenues and expenses in accordance with the applicable IFRS.Equity method investments Investments in entities or real estate funds over which the Group exercises signi\ufb01cant in\ufb02uence or joint control and for which the equity method is applied are recognised in the line \u201cEquity method investments\u201d.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForInvestmentsInJointVentures",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-819": {
   "value": "Joint control Where the Group carries out an activity with one or more partners, sharing control by virtue of a contractual agreement which requires unanimous consent on relevant activities (those that signi\ufb01cantly affect the entity\u2019s returns), the Group exercises joint control over the activity. Where the jointly controlled activity is structured through a separate vehicle in which the partners have rights to the net assets, this joint venture is accounted for using the equity method. Where the jointly controlled activity is not structured through a separate vehicle or where the partners have rights to the assets and obligations for the liabilities of the jointly controlled activity, the Group accounts for its share of the assets, liabilities, revenues and expenses in accordance with the applicable IFRS.Significant influence Companies over which the Group exercises signi\ufb01cant in\ufb02uence or associates are accounted for by the equity method. Signi\ufb01cant in\ufb02uence is the power to participate in the \ufb01nancial and operating policy decisions of a company without exercising control. Signi\ufb01cant in\ufb02uence is presumed to exist when the Group holds, directly or indirectly, 20% or more of the voting rights of a company. Interests of less than 20% can be included in the consolidation scope if the Group effectively exercises signi\ufb01cant in\ufb02uence. This is the case for example for entities developed in partnership with other associates, where the BNP Paribas Group participates in strategic decisions of the enterprise through representation on the Board of directors or equivalent governing body, or exercises in\ufb02uence over the enterprise\u2019s operational management by supplying management systems or senior managers, or provides technical assistance to support the enterprise\u2019s development. Changes in the net assets of associates (companies accounted for under the equity method) are recognised on the assets side of the balance sheet under \u201cInvestments in equity-method entities\u201d and in the relevant component of shareholders\u2019 equity. Goodwill recorded on associates is also included under \u201cEquity-method investments\u201d. Whenever there is an indication of impairment, the carrying amount of the investment consolidated under the equity method (including goodwill) is subjected to an impairment test, by comparing its recoverable value (the higher of value-in-use and market value less costs to sell) to its carrying amount. Where appropriate, impairment is recognised under \u201cShare of earnings of equity-method entities\u201d in the consolidated income statement and can be reversed at a later date. If the Group\u2019s share of losses of an equity-method entity equals or exceeds the carrying amount of its investment in this entity, the Group discontinues including its share of further losses. The investment is reported at nil value. Additional losses of the equity-method entity are provided for only to the extent that the Group has contracted a legal or constructive obligation, or has made payments on behalf of this entity. Where the Group holds an interest in an associate, directly or indirectly through an entity that is a venture capital organisation, a mutual fund, an open-ended investment company or similar entity such as an investment-related insurance fund, it may elect to measure that interest at fair value through pro\ufb01t or loss. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 190 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Realised gains and losses on investments in consolidated undertakings are recognised in the pro\ufb01t and loss account under \u201cNet gain on non-current assets\u201d. The consolidated \ufb01nancial statements are prepared using uniform accounting policies for similar transactions and other events occurring in similar circumstances.Equity method investments Investments in entities or real estate funds over which the Group exercises signi\ufb01cant in\ufb02uence or joint control and for which the equity method is applied are recognised in the line \u201cEquity method investments\u201d.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForInvestmentInAssociatesAndJointVenturesExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-818": {
   "value": "Joint control Where the Group carries out an activity with one or more partners, sharing control by virtue of a contractual agreement which requires unanimous consent on relevant activities (those that signi\ufb01cantly affect the entity\u2019s returns), the Group exercises joint control over the activity. Where the jointly controlled activity is structured through a separate vehicle in which the partners have rights to the net assets, this joint venture is accounted for using the equity method. Where the jointly controlled activity is not structured through a separate vehicle or where the partners have rights to the assets and obligations for the liabilities of the jointly controlled activity, the Group accounts for its share of the assets, liabilities, revenues and expenses in accordance with the applicable IFRS.Equity method investments Investments in entities or real estate funds over which the Group exercises signi\ufb01cant in\ufb02uence or joint control and for which the equity method is applied are recognised in the line \u201cEquity method investments\u201d.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfJointVenturesExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-817": {
   "value": "Joint control Where the Group carries out an activity with one or more partners, sharing control by virtue of a contractual agreement which requires unanimous consent on relevant activities (those that signi\ufb01cantly affect the entity\u2019s returns), the Group exercises joint control over the activity. Where the jointly controlled activity is structured through a separate vehicle in which the partners have rights to the net assets, this joint venture is accounted for using the equity method. Where the jointly controlled activity is not structured through a separate vehicle or where the partners have rights to the assets and obligations for the liabilities of the jointly controlled activity, the Group accounts for its share of the assets, liabilities, revenues and expenses in accordance with the applicable IFRS.Significant influence Companies over which the Group exercises signi\ufb01cant in\ufb02uence or associates are accounted for by the equity method. Signi\ufb01cant in\ufb02uence is the power to participate in the \ufb01nancial and operating policy decisions of a company without exercising control. Signi\ufb01cant in\ufb02uence is presumed to exist when the Group holds, directly or indirectly, 20% or more of the voting rights of a company. Interests of less than 20% can be included in the consolidation scope if the Group effectively exercises signi\ufb01cant in\ufb02uence. This is the case for example for entities developed in partnership with other associates, where the BNP Paribas Group participates in strategic decisions of the enterprise through representation on the Board of directors or equivalent governing body, or exercises in\ufb02uence over the enterprise\u2019s operational management by supplying management systems or senior managers, or provides technical assistance to support the enterprise\u2019s development. Changes in the net assets of associates (companies accounted for under the equity method) are recognised on the assets side of the balance sheet under \u201cInvestments in equity-method entities\u201d and in the relevant component of shareholders\u2019 equity. Goodwill recorded on associates is also included under \u201cEquity-method investments\u201d. Whenever there is an indication of impairment, the carrying amount of the investment consolidated under the equity method (including goodwill) is subjected to an impairment test, by comparing its recoverable value (the higher of value-in-use and market value less costs to sell) to its carrying amount. Where appropriate, impairment is recognised under \u201cShare of earnings of equity-method entities\u201d in the consolidated income statement and can be reversed at a later date. If the Group\u2019s share of losses of an equity-method entity equals or exceeds the carrying amount of its investment in this entity, the Group discontinues including its share of further losses. The investment is reported at nil value. Additional losses of the equity-method entity are provided for only to the extent that the Group has contracted a legal or constructive obligation, or has made payments on behalf of this entity. Where the Group holds an interest in an associate, directly or indirectly through an entity that is a venture capital organisation, a mutual fund, an open-ended investment company or similar entity such as an investment-related insurance fund, it may elect to measure that interest at fair value through pro\ufb01t or loss. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 190 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Realised gains and losses on investments in consolidated undertakings are recognised in the pro\ufb01t and loss account under \u201cNet gain on non-current assets\u201d. The consolidated \ufb01nancial statements are prepared using uniform accounting policies for similar transactions and other events occurring in similar circumstances.Equity method investments Investments in entities or real estate funds over which the Group exercises signi\ufb01cant in\ufb02uence or joint control and for which the equity method is applied are recognised in the line \u201cEquity method investments\u201d.2.i NET GAIN ON NON-CURRENT ASSETS In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Gain or loss on investments in consolidated undertakings (note 6.c) (257) 355 Gain or loss on tangible and intangible assets 7 479 Results from net monetary position (3) Net gain on non-current assets (253) 834 According to IAS 29 in connection with the hyperin\ufb02ation situation of the economy in T\u00fcrkiye, the line \u201cResults from net monetary positions\u201d mainly includes the effect of the evolution of the consumer price index in T\u00fcrkiye on the valuation of non-monetary assets and liabilities (-EUR 434 million) and on accrued income from the Turkish government bonds portfolio indexed to in\ufb02ation and held by Turk Ekonomi Bankasi AS (+EUR 431 million, reclassi\ufb01ed from interest margin). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 223 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements4.m EQUITY-METHOD INVESTMENTS Cumulated \ufb01nancial information of associates and joint ventures is presented in the following table: In millions of euros Year to 31 December 2022 31 December 2022 Year to 31 December 2021 31 December 2021 Share of net income Share of changes in assets and liabilities recognised directly in equity Share of net income and changes in assets and liabilities recognised directly in equity Equity-method investments Share of net income Share of changes in assets and liabilities recognised directly in equity Share of net income and changes in assets and liabilities recognised directly in equity Equity-method investments Joint ventures 34 130 164 1,447 5 128 133 1,022 Associates (1) 665 (990) (325) 4,816 489 184 673 5,506 TOTAL EQUITY- METHOD ENTITIES 699 (860) (161) 6,263 494 312 806 6,528 (1) Including controlled but non-material entities consolidated under the equity method. Financing and guarantee commitments given by the Group to joint ventures are listed in note 7.j Other related parties. The carrying amount of the Group\u2019s investment in the main joint ventures and associates is presented in the following table: In millions of euros Country of registration Activity Interest (%) 31 December 2022 31 December 2021 Joint ventures bpost bank (1) Belgium Retail Banking 100% - 111 Union de Creditos Inmobiliarios Spain Retail mortgage 50% 327 203 BoB Cardif Life Insurance China Life Insurance 50% 232 231 BNPP Cardif TCB Life Insurance Taiwan Life Insurance 49% 161 214 Associates AG Insurance Belgium Insurance 25% 597 1,704 Bank of Nanjing China Retail Banking 14% 2,757 2,306 Allfunds Group Plc United Kingdom Financial Services 12% 318 370 (1) On 3 January 2022, the Group BNP Paribas took exclusive control of bpost bank. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 251 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements7.c BUSINESS COMBINATIONS AND LOSS OF CONTROL OR SIGNIFICANT INFLUENCE Allfunds Group Plc At 31 December 2020, BNP Paribas held a stake of 22.5% in Allfunds Plc Ltd, European market leader in fund distribution platforms. On 23 April 2021, the Group participated in the initial public offering of Allfunds, contributing 6.7% of the capital. The disposal led to the recognition of a result of EUR 300 million. On 16 September 2021, the Group sold a stake of 2% of Allfunds. The disposal led to the recognition of a result of EUR 144 million. On 24 September 2022, the Group sold a stake of 2% of Allfunds and retained a signi\ufb01cant in\ufb02uence with 12.2% of the capital of AFB Group Plc. The disposal led to the recognition of a result of EUR 31 million. Verner Investissements On 13 July 2021, BNP Paribas SA purchased the residual 50% stake in Verner Investissements, the holding company of Exane entities. The Group BNP Paribas took therefore exclusive control of this entity and fully consolidated it from the second half of 2021. Consequently, this operation increased the Group\u2019s balance sheet by EUR 6 billion at the acquisition date, in particular EUR 3.7 billion in \ufb01nancial assets at fair value through pro\ufb01t and loss, and led to the recognition of badwill of EUR 111 million in the pro\ufb01t and loss account. Including the remeasurement of the previously held stake through pro\ufb01t or loss, the net impact on net income of the acquisition is -EUR 51 million. bpost bank On 3 January 2022, BNP Paribas Fortis purchased the residual 50% stake in bpost bank. The Group BNP Paribas took therefore exclusive control of this entity and fully consolidated it from the \ufb01rst quarter of 2022. Consequently, this operation increased the Group\u2019s balance sheet by EUR 12 billion at the acquisition date, in particular EUR 11 billion in \ufb01nancial assets at amortised cost and led to the recognition of badwill of EUR 245 million in the pro\ufb01t and loss account. Axepta SpA On 4 January 2022, Banca Nazionale del Lavoro sold 80% of its stake of Wordline Merchant Services Italia (ex-Axepta Spa). The Group BNP Paribas lost exclusive control of this entity but kept a signi\ufb01cant in\ufb02uence. The disposal led to the recognition of a result of EUR 204 million on the line \u201cNet gain on non-current assets\u201d. The residual stake of 20% was consolidated using the equity method for its remeasured value, including goodwill of EUR 41 million. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 275 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Floa On 31 January 2022, BNP Paribas purchased 100% of Floa. The Group BNP Paribas took exclusive control of this entity and fully consolidated it from the \ufb01rst quarter of 2022. The Group\u2019s balance sheet increased by EUR 2 billion at the acquisition date, in particular in \ufb01nancial assets at amortised cost. The goodwill related to this operation was EUR 122 million. UkrSibbank In the context of the con\ufb02ict in Ukraine, the Group reassessed the nature of control over its subsidiary UkrSibbank and concluded to the loss of exclusive control, and the maintain of a signi\ufb01cant in\ufb02uence. This situation led the Group to consolidate the entity using the equity method from 1 March 2022. The loss of exclusive control involved the recognition of a loss on disposal of -EUR 159 million and the reclassi\ufb01cation to the pro\ufb01t and loss account of cumulated changes in assets and liabilities for exchange differences of -EUR 274 million, in \u201cNet gain on non-current assets\u201d. The Group\u2019s balance sheet decreased by EUR 2 billion at the date of loss of exclusive control, in particular in \ufb01nancial assets at amortised cost. Terberg Leasing Group BV On 30 November 2022, Arval Service Lease purchased 100% of Terberg Leasing Group BV. The Group BNP Paribas took exclusive control of these entities and fully consolidated them from the last quarter of 2022. The Group\u2019s balance sheet increased by EUR 1 billion at the acquisition date, in particular in tangible assets. The goodwill related to this operation was EUR 96 million.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfInvestmentsAccountedForUsingEquityMethodExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9564": {
   "value": "Significant influence Companies over which the Group exercises signi\ufb01cant in\ufb02uence or associates are accounted for by the equity method. Signi\ufb01cant in\ufb02uence is the power to participate in the \ufb01nancial and operating policy decisions of a company without exercising control. Signi\ufb01cant in\ufb02uence is presumed to exist when the Group holds, directly or indirectly, 20% or more of the voting rights of a company. Interests of less than 20% can be included in the consolidation scope if the Group effectively exercises signi\ufb01cant in\ufb02uence. This is the case for example for entities developed in partnership with other associates, where the BNP Paribas Group participates in strategic decisions of the enterprise through representation on the Board of directors or equivalent governing body, or exercises in\ufb02uence over the enterprise\u2019s operational management by supplying management systems or senior managers, or provides technical assistance to support the enterprise\u2019s development. Changes in the net assets of associates (companies accounted for under the equity method) are recognised on the assets side of the balance sheet under \u201cInvestments in equity-method entities\u201d and in the relevant component of shareholders\u2019 equity. Goodwill recorded on associates is also included under \u201cEquity-method investments\u201d. Whenever there is an indication of impairment, the carrying amount of the investment consolidated under the equity method (including goodwill) is subjected to an impairment test, by comparing its recoverable value (the higher of value-in-use and market value less costs to sell) to its carrying amount. Where appropriate, impairment is recognised under \u201cShare of earnings of equity-method entities\u201d in the consolidated income statement and can be reversed at a later date. If the Group\u2019s share of losses of an equity-method entity equals or exceeds the carrying amount of its investment in this entity, the Group discontinues including its share of further losses. The investment is reported at nil value. Additional losses of the equity-method entity are provided for only to the extent that the Group has contracted a legal or constructive obligation, or has made payments on behalf of this entity. Where the Group holds an interest in an associate, directly or indirectly through an entity that is a venture capital organisation, a mutual fund, an open-ended investment company or similar entity such as an investment-related insurance fund, it may elect to measure that interest at fair value through pro\ufb01t or loss. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 190 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Realised gains and losses on investments in consolidated undertakings are recognised in the pro\ufb01t and loss account under \u201cNet gain on non-current assets\u201d. The consolidated \ufb01nancial statements are prepared using uniform accounting policies for similar transactions and other events occurring in similar circumstances.Equity method investments Investments in entities or real estate funds over which the Group exercises signi\ufb01cant in\ufb02uence or joint control and for which the equity method is applied are recognised in the line \u201cEquity method investments\u201d.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForInvestmentInAssociates",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-853": {
   "value": "Significant influence Companies over which the Group exercises signi\ufb01cant in\ufb02uence or associates are accounted for by the equity method. Signi\ufb01cant in\ufb02uence is the power to participate in the \ufb01nancial and operating policy decisions of a company without exercising control. Signi\ufb01cant in\ufb02uence is presumed to exist when the Group holds, directly or indirectly, 20% or more of the voting rights of a company. Interests of less than 20% can be included in the consolidation scope if the Group effectively exercises signi\ufb01cant in\ufb02uence. This is the case for example for entities developed in partnership with other associates, where the BNP Paribas Group participates in strategic decisions of the enterprise through representation on the Board of directors or equivalent governing body, or exercises in\ufb02uence over the enterprise\u2019s operational management by supplying management systems or senior managers, or provides technical assistance to support the enterprise\u2019s development. Changes in the net assets of associates (companies accounted for under the equity method) are recognised on the assets side of the balance sheet under \u201cInvestments in equity-method entities\u201d and in the relevant component of shareholders\u2019 equity. Goodwill recorded on associates is also included under \u201cEquity-method investments\u201d. Whenever there is an indication of impairment, the carrying amount of the investment consolidated under the equity method (including goodwill) is subjected to an impairment test, by comparing its recoverable value (the higher of value-in-use and market value less costs to sell) to its carrying amount. Where appropriate, impairment is recognised under \u201cShare of earnings of equity-method entities\u201d in the consolidated income statement and can be reversed at a later date. If the Group\u2019s share of losses of an equity-method entity equals or exceeds the carrying amount of its investment in this entity, the Group discontinues including its share of further losses. The investment is reported at nil value. Additional losses of the equity-method entity are provided for only to the extent that the Group has contracted a legal or constructive obligation, or has made payments on behalf of this entity. Where the Group holds an interest in an associate, directly or indirectly through an entity that is a venture capital organisation, a mutual fund, an open-ended investment company or similar entity such as an investment-related insurance fund, it may elect to measure that interest at fair value through pro\ufb01t or loss. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 190 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Realised gains and losses on investments in consolidated undertakings are recognised in the pro\ufb01t and loss account under \u201cNet gain on non-current assets\u201d. The consolidated \ufb01nancial statements are prepared using uniform accounting policies for similar transactions and other events occurring in similar circumstances.Equity method investments Investments in entities or real estate funds over which the Group exercises signi\ufb01cant in\ufb02uence or joint control and for which the equity method is applied are recognised in the line \u201cEquity method investments\u201d.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfSignificantInvestmentsInAssociatesExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9565": {
   "value": "1.b.4 Business combination and measurement of goodwill Business combinations Business combinations are accounted for using the purchase method. Under this method, the acquiree\u2019s identi\ufb01able assets and liabilities assumed are measured at fair value at the acquisition date except for non-current assets classi\ufb01ed as assets held for sale which are accounted for at fair value less costs to sell. The acquiree\u2019s contingent liabilities are not recognised in the consolidated balance sheet unless they represent a present obligation on the acquisition date and their fair value can be measured reliably. The cost of a business combination is the fair value, at the date of exchange, of assets given, liabilities incurred or assumed, and equity instruments issued to obtain control of the acquiree. Costs directly attributable to the business combination are treated as a separate transaction and recognised through pro\ufb01t or loss. Any contingent consideration is included in the cost, as soon as control is obtained, at fair value on the date when control was acquired. Subsequent changes in the value of any contingent consideration recognised as a \ufb01nancial liability are recognised through pro\ufb01t or loss. The Group may recognise any adjustments to the provisional accounting within 12 months of the acquisition date. Goodwill represents the difference between the cost of the combination and the acquirer\u2019s interest in the net fair value of the identi\ufb01able assets and liabilities of the acquiree at the acquisition date. Positive goodwill is recognised in the acquirer\u2019s balance sheet, while negative goodwill is recognised immediately in pro\ufb01t or loss, on the acquisition date. Minority interests are measured at their share of the fair value of the acquiree\u2019s identi\ufb01able assets and liabilities. However, for each business combination, the Group can elect to measure minority interests at fair value, in which case a proportion of goodwill is allocated to them. To date, the Group has never used this latter option. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 191 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Goodwill is recognised in the functional currency of the acquiree and translated at the closing exchange rate. On the acquisition date, any previously held equity interest in the acquiree is remeasured at its fair value through pro\ufb01t or loss. In the case of a step acquisition, the goodwill is therefore determined by reference to the acquisition-date fair value. Since the revised IFRS 3 has been applied prospectively, business combinations completed prior to 1 January 2010 were not restated for the effects of changes to IFRS 3. As permitted under IFRS 1, business combinations that took place before 1 January 2004 and were recorded in accordance with the previously applicable accounting standards (French GAAP), had not been restated in accordance with the principles of IFRS 3.Measurement of goodwill The BNP Paribas Group tests goodwill for impairment on a regular basis. Cash-generating units The BNP Paribas Group has split all its activities into cash-generating units (1) representing major business lines. This split is consistent with the Group\u2019s organisational structure and management methods, and re\ufb02ects the independence of each unit in terms of results and management approach. It is reviewed on a regular basis in order to take account of events likely to affect the composition of cash-generating units, such as acquisitions, disposals and major reorganisations. Testing cash-generating units for impairment Goodwill allocated to cash-generating units is tested for impairment annually and whenever there is an indication that a unit may be impaired, by comparing the carrying amount of the unit with its recoverable amount. If the recoverable amount is less than the carrying amount, an irreversible impairment loss is recognised, and the goodwill is written down by the excess of the carrying amount of the unit over its recoverable amount. Recoverable amount of a cash-generating unit The recoverable amount of a cash-generating unit is the higher of the fair value of the unit less costs to sell, and its value in use. Fair value is the price that would be obtained from selling the unit at the market conditions prevailing at the date of measurement, as determined mainly by reference to actual prices of recent transactions involving similar entities or on the basis of stock market multiples for comparable companies. Value in use is based on an estimate of the future cash \ufb02ows to be generated by the cash-generating unit, derived from the annual forecasts prepared by the unit\u2019s management and approved by Group Executive Management, and from analyses of changes in the relative positioning of the unit\u2019s activities on their market. These cash \ufb02ows are discounted at a rate that re\ufb02ects the return that investors would require from an investment in the business sector and region involved.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForBusinessCombinationsAndGoodwillExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-1050": {
   "value": "1.b.4 Business combination and measurement of goodwill Measurement of goodwill The BNP Paribas Group tests goodwill for impairment on a regular basis. Cash-generating units The BNP Paribas Group has split all its activities into cash-generating units (1) representing major business lines. This split is consistent with the Group\u2019s organisational structure and management methods, and re\ufb02ects the independence of each unit in terms of results and management approach. It is reviewed on a regular basis in order to take account of events likely to affect the composition of cash-generating units, such as acquisitions, disposals and major reorganisations. Testing cash-generating units for impairment Goodwill allocated to cash-generating units is tested for impairment annually and whenever there is an indication that a unit may be impaired, by comparing the carrying amount of the unit with its recoverable amount. If the recoverable amount is less than the carrying amount, an irreversible impairment loss is recognised, and the goodwill is written down by the excess of the carrying amount of the unit over its recoverable amount. Recoverable amount of a cash-generating unit The recoverable amount of a cash-generating unit is the higher of the fair value of the unit less costs to sell, and its value in use. Fair value is the price that would be obtained from selling the unit at the market conditions prevailing at the date of measurement, as determined mainly by reference to actual prices of recent transactions involving similar entities or on the basis of stock market multiples for comparable companies. Value in use is based on an estimate of the future cash \ufb02ows to be generated by the cash-generating unit, derived from the annual forecasts prepared by the unit\u2019s management and approved by Group Executive Management, and from analyses of changes in the relative positioning of the unit\u2019s activities on their market. These cash \ufb02ows are discounted at a rate that re\ufb02ects the return that investors would require from an investment in the business sector and region involved.1.g PROPERTY, PLANT, EQUIPMENT AND INTANGIBLE ASSETS Property, plant and equipment and intangible assets shown in the consolidated balance sheet are composed of assets used in operations and investment property. Rights-of-use related to leased assets (see note 1.h.2) are presented by the lessee within \ufb01xed assets in the same category as similar assets held. Assets used in operations are those used in the provision of services or for administrative purposes, and include non-property assets leased by the Group as lessor under operating leases. Investment property comprises property assets held to generate rental income and capital gains. Investment property is recognised at cost, with the exception of those representing insurance or investment contracts whose risk is borne by policyholders (unit-linked contracts), which are measured at fair value through pro\ufb01t or loss and presented in the balance sheet under \u201cFinancial investments and other assets related to insurance activities\u201d (note 1.f.2). Property, plant and equipment and intangible assets are initially recognised at purchase price plus directly attributable costs, together with borrowing costs where a long period of construction or adaptation is required before the asset can be brought into service. Software developed internally by the BNP Paribas Group that ful\ufb01ls the criteria for capitalisation is capitalised at direct development cost, which includes external costs and the labour costs of employees directly attributable to the project. Subsequent to initial recognition, property, plant and equipment and intangible assets are measured at cost less accumulated depreciation or amortisation and any impairment losses. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 206 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The depreciable amount of property, plant and equipment and intangible assets is calculated after deducting the residual value of the asset. Only assets leased by the Group as the lessor under operating leases are presumed to have a residual value, as the useful life of property, plant and equipment and intangible assets used in operations is generally the same as their economic life. Property, plant and equipment and intangible assets are depreciated or amortised using the straight-line method over the useful life of the asset. Depreciation and amortisation expense is recognised in the pro\ufb01t and loss account under \u201cDepreciation, amortisation and impairment of property, plant and equipment and intangible assets\u201d. Where an asset consists of a number of components which may require replacement at regular intervals, or which have different uses or generate economic bene\ufb01ts at different rates, each component is recognised separately and depreciated using a method appropriate to that component. The BNP Paribas Group has adopted the component-based approach for property used in operations and for investment property. The depreciation periods used for of\ufb01ce property are as follows: 80 years or 60 years for the shell (for prime and other property respectively); 30 years for facades; 20 years for general and technical installations; and 10 years for \ufb01xtures and \ufb01ttings. Software is amortised, depending on its type, over periods of no more than 8 years in the case of infrastructure developments and 3 years or 5 years in the case of software developed primarily for the purpose of providing services to customers. Software maintenance costs are expensed as incurred. However, expenditure that is regarded as upgrading the software or extending its useful life is included in the initial acquisition or production cost. Depreciable property, plant and equipment and intangible assets are tested for impairment if there is an indication of potential impairment at the balance sheet date. Non-depreciable assets are tested for impairment at least annually, using the same method as for goodwill allocated to cash-generating units. If there is an indication of impairment, the new recoverable amount of the asset is compared with the carrying amount. If the asset is found to be impaired, an impairment loss is recognised in the pro\ufb01t and loss account. This loss is reversed in the event of a change in the estimated recoverable amount or if there is no longer an indication of impairment. Impairment losses are taken to the pro\ufb01t and loss account in \u201cDepreciation, amortisation and impairment of property, plant and equipment and intangible assets\u201d. Gains and losses on disposals of property, plant and equipment and intangible assets used in operations are recognised in the pro\ufb01t and loss account in \u201cNet gain on non-current assets\u201d. Gains and losses on disposals of investment property are recognised in the pro\ufb01t and loss account in \u201cIncome from other activities\u201d or \u201cExpense on other activities\u201d.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForIntangibleAssetsAndGoodwillExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-1049": {
   "value": "1.b.4 Business combination and measurement of goodwill Measurement of goodwill The BNP Paribas Group tests goodwill for impairment on a regular basis. Cash-generating units The BNP Paribas Group has split all its activities into cash-generating units (1) representing major business lines. This split is consistent with the Group\u2019s organisational structure and management methods, and re\ufb02ects the independence of each unit in terms of results and management approach. It is reviewed on a regular basis in order to take account of events likely to affect the composition of cash-generating units, such as acquisitions, disposals and major reorganisations. Testing cash-generating units for impairment Goodwill allocated to cash-generating units is tested for impairment annually and whenever there is an indication that a unit may be impaired, by comparing the carrying amount of the unit with its recoverable amount. If the recoverable amount is less than the carrying amount, an irreversible impairment loss is recognised, and the goodwill is written down by the excess of the carrying amount of the unit over its recoverable amount. Recoverable amount of a cash-generating unit The recoverable amount of a cash-generating unit is the higher of the fair value of the unit less costs to sell, and its value in use. Fair value is the price that would be obtained from selling the unit at the market conditions prevailing at the date of measurement, as determined mainly by reference to actual prices of recent transactions involving similar entities or on the basis of stock market multiples for comparable companies. Value in use is based on an estimate of the future cash \ufb02ows to be generated by the cash-generating unit, derived from the annual forecasts prepared by the unit\u2019s management and approved by Group Executive Management, and from analyses of changes in the relative positioning of the unit\u2019s activities on their market. These cash \ufb02ows are discounted at a rate that re\ufb02ects the return that investors would require from an investment in the business sector and region involved.4.o GOODWILL In millions of euros 31 December 2022 31 December 2021 CARRYING AMOUNT AT START OF PERIOD 5,121 7,493 Acquisitions 215 47 Divestments (15) (90) Impairment recognised during the period (28) (26) Transfer to assets held for sale (note 7.d) (2,533) Exchange rate adjustments 1 230 CARRYING AMOUNT AT END OF PERIOD 5,294 5,121 Gross value 8,413 8,350 Accumulated impairment recognised at the end of period (3,119) (3,229) Goodwill by cash-generating unit is as follows: In millions of euros Carrying amount Recognised impairment Acquisitions 31 December 2022 31 December 2021 Year to 31 Dec. 2022 Year to 31 Dec. 2021 31 December 2022 31 December 2021 Corporate & Institutional Banking 1,215 1,210 Global Banking 279 276 Global Markets 490 478 Securities Services 446 456 Commercial, Personal Banking & Services 2,894 2,704 (19) (26) 215 32 Arval 608 523 96 1 Leasing Solutions 148 150 Personal Finance 1,291 1,236 (19) 61 Personal Investors 564 568 (26) New Digital Businesses 220 159 61 Other 63 68 (3) 31 Investment & Protection Services 1,182 1,204 (9) - 15 Asset Management 190 186 Insurance 281 296 Real Estate 402 406 Wealth Management 309 316 (9) 15 Other Activities 3 3 TOTAL GOODWILL 5,294 5,121 (28) (26) 215 47 Negative goodwill 277 117 CHANGE IN VALUE OF GOODWILL RECOGNISED IN THE PROFIT AND LOSS ACCOUNT 249 91 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 253 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The Group carried out a detailed analysis of goodwill to identify whether impairments were necessary in connection with the health crisis. This analysis is based in particular on the assumptions of economic scenarios (see note 2.h). The cash-generating units to which goodwill is allocated are: Global Banking: Global Banking combines \ufb01nancing solutions to corporates, all transaction banking products, corporate \ufb01nance advisory services in mergers and acquisitions and primary equity activities. Global Markets: Global Markets provides investment, hedging, \ufb01nancing and research services across asset classes, to corporate and institutional clients \u2013 as well as private and retail banking networks. The sustainable, long-term business model of Global Markets connects clients to capital markets throughout EMEA (Europe, Middle East & Africa), Asia Paci\ufb01c and the Americas, with innovative solutions and digital platforms. Global Markets includes activities of Fixed Income, Currencies & Commodities and Equity & Prime Services. Securities Services: Securities Services provides integrated solutions for all actors involved in the investment cycle, sell side, buy side and issuers. BNP Paribas is one of the major global players in securities services. Arval: Specialist in vehicle long-term leasing and mobility, Arval offers corporates (from multinational companies to small and medium companies), employees and individuals tailored solutions that optimise their mobility. Leasing Solutions: BNP Paribas Leasing Solutions uses a multi-channel partnership approach (sales via referrals, partnerships, direct sales and banking networks) to offer corporate and small business clients an array of leasing and rental solutions, ranging from equipment \ufb01nancing to \ufb02eet outsourcing. Personal Finance: BNP Paribas Personal Finance is the Group\u2019s consumer credit specialist. Through its brands and partnerships such as Cetelem, Co\ufb01noga, Findomestic, AlphaCredit or Opel Vauxhall, Personal Finance provides a full range of consumer loans at point of sale (retail stores and car dealerships) or through its customer relation centres, websites and mobile applications. The business line, in some countries outside the domestic markets, is integrated into the BNP Paribas Group\u2019s retail banking. Personal Investors: BNP Paribas Personal Investors is a digital specialist of banking and investment services. Based in Germany and India, it provides a wide range of banking, savings and long and short-term investment services to individual clients via the internet, and also on the phone and face-to- face. In addition to its activities destined to private clients, Personal Investors offers its services and IT platform to independent \ufb01nancial consultants, asset managers and FinTechs. New digital businesses: they include in particular the account management service \u201cNickel\u201d, open to all, without any conditions regarding income, deposits or personal wealth, and without any overdraft or credit facility. This service, which operates in real time using the latest technology, is available through over 9,000 points of sale in France, Spain, Belgium and Portugal. BancWest: In the United States, the Retail Banking business is conducted through Bank of the West, which markets a very broad range of retail banking products and services to individuals, small businesses and corporate clients, through branches and of\ufb01ces in 24 States, mainly in western and mid-western America. It also has strong positions across the USA in several specialised lending activities, such as marine, recreational vehicles and agribusiness, and develops its commercial set up particularly in Corporate Banking, Wealth Management, and Small and Medium Enterprise businesses. On 18 December 2021, the Group concluded an agreement with BMO Financial Group for the sale of its retail and commercial banking activities in the United States operated by BancWest for a total price of USD 16.3 billion to be paid in cash at the time of the transaction. The Group applies the provisions of IFRS 5 on groups of assets and liabilities held for sale, leading to the reclassi\ufb01cation of the goodwill into \u201cAssets held for sale\u201d (see note 7.d). Asset Management: BNP Paribas Asset Management is the dedicated asset management business line of the BNP Paribas Group and offers services to individual investors (through internal distributors \u2013 BNP Paribas private and retail banking \u2013 and external distributors), to corporates and to institutional investors (insurance companies, retirement funds, of\ufb01cial institutions, consultants). Its aim is to offer an added value based on a broad range of expertise throughout its active management of equities and bonds, its activity of private debt and real asset management and its multi-asset, quantitative and solutions division. Insurance: BNP Paribas Cardif, a world leader in personal insurance, has designed, developed and marketed savings and protection products and services to protect individuals, their projects and their assets. BNP Paribas Cardif also offer products in damage insurance, health insurance, budget insurance, revenue and means of payment insurance, unexpected event protection (unemployment, accident, death, theft or breakage) or the protection of private digital data to meet the evolution of customers\u2019 needs. Real Estate: BNP Paribas Real Estate serves the needs of its clients, whether institutional investors, corporates, public entities or individuals, at all stages of the life cycle of their property (from the conception of a construction project to its daily management). Wealth Management: Wealth Management encompasses the private banking activities of BNP Paribas and serves a clientele of wealthy individuals, shareholder families and entrepreneurs seeking a one-stop shop for all their wealth management and \ufb01nancial needs. Goodwill impairment tests are based on three different methods: observation of transactions related to comparable businesses, share price data for listed companies with comparable businesses, and discounted future cash \ufb02ows (DCF). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 254 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements If one of the two comparables-based methods indicates the need for impairment, the DCF method is used to validate the results and determine the amount of impairment required. The DCF method is based on a number of assumptions in terms of future revenues, expenses and cost of risk (cash \ufb02ows) based on medium-term business plans over a period of \ufb01ve years. Cash \ufb02ow projections beyond the 5-year forecast period are based on a growth rate to perpetuity and are normalised when the short-term environment does not re\ufb02ect the normal conditions of the economic cycle. The key parameters which are sensitive to the assumptions made are the cost of capital, the cost/income ratio, the cost of risk and the growth rate to perpetuity. Cost of capital is determined on the basis of a risk-free rate, an observed market risk premium weighted by a risk factor based on comparables speci\ufb01c to each cash-generating unit. The values of these parameters are obtained from external information sources. Allocated capital is determined for each cash-generating unit based on the \u201cCommon Equity Tier One\u201d regulatory requirements for the legal entity to which the cash-generating unit belongs, with a minimum of 7%. The growth rate to perpetuity used is 2% for mature economies in Europe. For CGUs implemented in countries with high levels of in\ufb02ation, a speci\ufb01c add-on is taken into account (calculated according to in\ufb02ation rates disclosed by external sources). The following table shows the sensitivity of the valuation of the Personal Finance cash generating unit to changes in the value of parameters used in the DCF calculation: the cost of capital, the cost/income ratio in terminal value, the cost of risk in terminal value and the growth rate to perpetuity. \u27a4 SENSITIVITY OF THE MAIN GOODWILL VALUATIONS TO A 10-BASIS POINT CHANGE IN THE COST OF CAPITAL, A 1% CHANGE IN THE COST/INCOME RATIO IN TERMINAL VALUE, A 5% CHANGE OF THE COST OF RISK IN TERMINAL VALUE AND A 50-BASIS POINT CHANGE IN THE GROWTH RATE TO PERPETUITY In millions of euros Personal Finance Cost of capital 10.8% Adverse change (+10 basis points) (159) Positive change (-10 basis points) 162 Cost/income ratio 47.8% Adverse change (+1%) (351) Positive change (-1%) 351 Cost of risk (1,503) Adverse change (+5%) (408) Positive change (-5%) 408 Growth rate to perpetuity 2.0% Adverse change (-50 basis points) (257) Positive change (+50 basis points) 288 Concerning the homogeneous Personal Finance set, there would be no need to depreciate even by using, for the impairment test, the four most unfavourable variations in the table. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 255 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
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  "corporatings-nesting-fix-POfkYD-1048": {
   "value": "1.b.4 Business combination and measurement of goodwill Measurement of goodwill The BNP Paribas Group tests goodwill for impairment on a regular basis. Cash-generating units The BNP Paribas Group has split all its activities into cash-generating units (1) representing major business lines. This split is consistent with the Group\u2019s organisational structure and management methods, and re\ufb02ects the independence of each unit in terms of results and management approach. It is reviewed on a regular basis in order to take account of events likely to affect the composition of cash-generating units, such as acquisitions, disposals and major reorganisations. Testing cash-generating units for impairment Goodwill allocated to cash-generating units is tested for impairment annually and whenever there is an indication that a unit may be impaired, by comparing the carrying amount of the unit with its recoverable amount. If the recoverable amount is less than the carrying amount, an irreversible impairment loss is recognised, and the goodwill is written down by the excess of the carrying amount of the unit over its recoverable amount. Recoverable amount of a cash-generating unit The recoverable amount of a cash-generating unit is the higher of the fair value of the unit less costs to sell, and its value in use. Fair value is the price that would be obtained from selling the unit at the market conditions prevailing at the date of measurement, as determined mainly by reference to actual prices of recent transactions involving similar entities or on the basis of stock market multiples for comparable companies. Value in use is based on an estimate of the future cash \ufb02ows to be generated by the cash-generating unit, derived from the annual forecasts prepared by the unit\u2019s management and approved by Group Executive Management, and from analyses of changes in the relative positioning of the unit\u2019s activities on their market. These cash \ufb02ows are discounted at a rate that re\ufb02ects the return that investors would require from an investment in the business sector and region involved.1.g PROPERTY, PLANT, EQUIPMENT AND INTANGIBLE ASSETS Property, plant and equipment and intangible assets shown in the consolidated balance sheet are composed of assets used in operations and investment property. Rights-of-use related to leased assets (see note 1.h.2) are presented by the lessee within \ufb01xed assets in the same category as similar assets held. Assets used in operations are those used in the provision of services or for administrative purposes, and include non-property assets leased by the Group as lessor under operating leases. Investment property comprises property assets held to generate rental income and capital gains. Investment property is recognised at cost, with the exception of those representing insurance or investment contracts whose risk is borne by policyholders (unit-linked contracts), which are measured at fair value through pro\ufb01t or loss and presented in the balance sheet under \u201cFinancial investments and other assets related to insurance activities\u201d (note 1.f.2). Property, plant and equipment and intangible assets are initially recognised at purchase price plus directly attributable costs, together with borrowing costs where a long period of construction or adaptation is required before the asset can be brought into service. Software developed internally by the BNP Paribas Group that ful\ufb01ls the criteria for capitalisation is capitalised at direct development cost, which includes external costs and the labour costs of employees directly attributable to the project. Subsequent to initial recognition, property, plant and equipment and intangible assets are measured at cost less accumulated depreciation or amortisation and any impairment losses. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 206 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The depreciable amount of property, plant and equipment and intangible assets is calculated after deducting the residual value of the asset. Only assets leased by the Group as the lessor under operating leases are presumed to have a residual value, as the useful life of property, plant and equipment and intangible assets used in operations is generally the same as their economic life. Property, plant and equipment and intangible assets are depreciated or amortised using the straight-line method over the useful life of the asset. Depreciation and amortisation expense is recognised in the pro\ufb01t and loss account under \u201cDepreciation, amortisation and impairment of property, plant and equipment and intangible assets\u201d. Where an asset consists of a number of components which may require replacement at regular intervals, or which have different uses or generate economic bene\ufb01ts at different rates, each component is recognised separately and depreciated using a method appropriate to that component. The BNP Paribas Group has adopted the component-based approach for property used in operations and for investment property. The depreciation periods used for of\ufb01ce property are as follows: 80 years or 60 years for the shell (for prime and other property respectively); 30 years for facades; 20 years for general and technical installations; and 10 years for \ufb01xtures and \ufb01ttings. Software is amortised, depending on its type, over periods of no more than 8 years in the case of infrastructure developments and 3 years or 5 years in the case of software developed primarily for the purpose of providing services to customers. Software maintenance costs are expensed as incurred. However, expenditure that is regarded as upgrading the software or extending its useful life is included in the initial acquisition or production cost. Depreciable property, plant and equipment and intangible assets are tested for impairment if there is an indication of potential impairment at the balance sheet date. Non-depreciable assets are tested for impairment at least annually, using the same method as for goodwill allocated to cash-generating units. If there is an indication of impairment, the new recoverable amount of the asset is compared with the carrying amount. If the asset is found to be impaired, an impairment loss is recognised in the pro\ufb01t and loss account. This loss is reversed in the event of a change in the estimated recoverable amount or if there is no longer an indication of impairment. Impairment losses are taken to the pro\ufb01t and loss account in \u201cDepreciation, amortisation and impairment of property, plant and equipment and intangible assets\u201d. Gains and losses on disposals of property, plant and equipment and intangible assets used in operations are recognised in the pro\ufb01t and loss account in \u201cNet gain on non-current assets\u201d. Gains and losses on disposals of investment property are recognised in the pro\ufb01t and loss account in \u201cIncome from other activities\u201d or \u201cExpense on other activities\u201d.2.i NET GAIN ON NON-CURRENT ASSETS In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Gain or loss on investments in consolidated undertakings (note 6.c) (257) 355 Gain or loss on tangible and intangible assets 7 479 Results from net monetary position (3) Net gain on non-current assets (253) 834 According to IAS 29 in connection with the hyperin\ufb02ation situation of the economy in T\u00fcrkiye, the line \u201cResults from net monetary positions\u201d mainly includes the effect of the evolution of the consumer price index in T\u00fcrkiye on the valuation of non-monetary assets and liabilities (-EUR 434 million) and on accrued income from the Turkish government bonds portfolio indexed to in\ufb02ation and held by Turk Ekonomi Bankasi AS (+EUR 431 million, reclassi\ufb01ed from interest margin). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 223 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements2.j CORPORATE INCOME TAX Reconciliation of the effective tax expense to the theoretical tax expense at standard tax rate in France Year to 31 Dec. 2022 Year to 31 Dec. 2021 in millions of euros tax rate in millions of euros tax rate Corporate income tax expense on pre-tax income at standard tax rate in France (1) (3,275) 25.8% (3,454) 28.4% Impact of differently taxed foreign pro\ufb01ts (61) 0.5% 201 -1.7% Impact of dividends and disposals taxed at reduced rate 54 -0.4% 153 -1.3% Impact of the non-deductibility of taxes and bank levies (2) (300) 2.4% (253) 2.1% Other items (134) 1.0% (231) 2.0% Corporate income tax expense from continuing activities (3,716) 29.3% (3,584) 29.5% Current tax expense for the year to 31 December (2,844) (2,806) Deferred tax expense for the year to 31 December (note 4.k) (872) (778) (1) Restated for the share of pro\ufb01ts in equity-method entities and goodwill impairment. (2) Contribution to the Single Resolution Fund and other non-deductible banking taxes.4.n PROPERTY, PLANT, EQUIPMENT AND INTANGIBLE ASSETS USED IN OPERATIONS, INVESTMENT PROPERTY In millions of euros 31 December 2022 31 December 2021 Gross value Accumulated depreciation, amortisation and impairment Carrying amount Gross value Accumulated depreciation, amortisation and impairment Carrying amount INVESTMENT PROPERTY 827 (298) 529 869 (294) 575 Land and buildings 11,507 (4,704) 6,803 12,023 (4,817) 7,206 Equipment, furniture and \ufb01xtures 7,177 (5,400) 1,777 7,172 (5,312) 1,860 Plant and equipment leased as lessor under operating leases 38,817 (10,658) 28,159 33,890 (9,285) 24,605 Other property, plant and equipment 2,318 (1,118) 1,200 1,932 (1,095) 837 PROPERTY, PLANT AND EQUIPMENT 59,819 (21,880) 37,939 55,017 (20,509) 34,508 Of which right of use 6,000 (3,294) 2,706 6,117 (3,314) 2,803 PROPERTY, PLANT AND EQUIPMENT AND INVESTMENT PROPERTY 60,646 (22,178) 38,468 55,886 (20,803) 35,083 Purchased software 3,690 (3,035) 655 3,303 (2,651) 652 Internally developed software 6,345 (5,000) 1,345 5,995 (4,657) 1,338 Other intangible assets 2,367 (577) 1,790 2,157 (488) 1,669 INTANGIBLE ASSETS 12,402 (8,612) 3,790 11,455 (7,796) 3,659Intangible assets Other intangible assets include leasehold rights, goodwill and trademarks acquired by the Group.4.o GOODWILL In millions of euros 31 December 2022 31 December 2021 CARRYING AMOUNT AT START OF PERIOD 5,121 7,493 Acquisitions 215 47 Divestments (15) (90) Impairment recognised during the period (28) (26) Transfer to assets held for sale (note 7.d) (2,533) Exchange rate adjustments 1 230 CARRYING AMOUNT AT END OF PERIOD 5,294 5,121 Gross value 8,413 8,350 Accumulated impairment recognised at the end of period (3,119) (3,229) Goodwill by cash-generating unit is as follows: In millions of euros Carrying amount Recognised impairment Acquisitions 31 December 2022 31 December 2021 Year to 31 Dec. 2022 Year to 31 Dec. 2021 31 December 2022 31 December 2021 Corporate & Institutional Banking 1,215 1,210 Global Banking 279 276 Global Markets 490 478 Securities Services 446 456 Commercial, Personal Banking & Services 2,894 2,704 (19) (26) 215 32 Arval 608 523 96 1 Leasing Solutions 148 150 Personal Finance 1,291 1,236 (19) 61 Personal Investors 564 568 (26) New Digital Businesses 220 159 61 Other 63 68 (3) 31 Investment & Protection Services 1,182 1,204 (9) - 15 Asset Management 190 186 Insurance 281 296 Real Estate 402 406 Wealth Management 309 316 (9) 15 Other Activities 3 3 TOTAL GOODWILL 5,294 5,121 (28) (26) 215 47 Negative goodwill 277 117 CHANGE IN VALUE OF GOODWILL RECOGNISED IN THE PROFIT AND LOSS ACCOUNT 249 91 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 253 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The Group carried out a detailed analysis of goodwill to identify whether impairments were necessary in connection with the health crisis. This analysis is based in particular on the assumptions of economic scenarios (see note 2.h). The cash-generating units to which goodwill is allocated are: Global Banking: Global Banking combines \ufb01nancing solutions to corporates, all transaction banking products, corporate \ufb01nance advisory services in mergers and acquisitions and primary equity activities. Global Markets: Global Markets provides investment, hedging, \ufb01nancing and research services across asset classes, to corporate and institutional clients \u2013 as well as private and retail banking networks. The sustainable, long-term business model of Global Markets connects clients to capital markets throughout EMEA (Europe, Middle East & Africa), Asia Paci\ufb01c and the Americas, with innovative solutions and digital platforms. Global Markets includes activities of Fixed Income, Currencies & Commodities and Equity & Prime Services. Securities Services: Securities Services provides integrated solutions for all actors involved in the investment cycle, sell side, buy side and issuers. BNP Paribas is one of the major global players in securities services. Arval: Specialist in vehicle long-term leasing and mobility, Arval offers corporates (from multinational companies to small and medium companies), employees and individuals tailored solutions that optimise their mobility. Leasing Solutions: BNP Paribas Leasing Solutions uses a multi-channel partnership approach (sales via referrals, partnerships, direct sales and banking networks) to offer corporate and small business clients an array of leasing and rental solutions, ranging from equipment \ufb01nancing to \ufb02eet outsourcing. Personal Finance: BNP Paribas Personal Finance is the Group\u2019s consumer credit specialist. Through its brands and partnerships such as Cetelem, Co\ufb01noga, Findomestic, AlphaCredit or Opel Vauxhall, Personal Finance provides a full range of consumer loans at point of sale (retail stores and car dealerships) or through its customer relation centres, websites and mobile applications. The business line, in some countries outside the domestic markets, is integrated into the BNP Paribas Group\u2019s retail banking. Personal Investors: BNP Paribas Personal Investors is a digital specialist of banking and investment services. Based in Germany and India, it provides a wide range of banking, savings and long and short-term investment services to individual clients via the internet, and also on the phone and face-to- face. In addition to its activities destined to private clients, Personal Investors offers its services and IT platform to independent \ufb01nancial consultants, asset managers and FinTechs. New digital businesses: they include in particular the account management service \u201cNickel\u201d, open to all, without any conditions regarding income, deposits or personal wealth, and without any overdraft or credit facility. This service, which operates in real time using the latest technology, is available through over 9,000 points of sale in France, Spain, Belgium and Portugal. BancWest: In the United States, the Retail Banking business is conducted through Bank of the West, which markets a very broad range of retail banking products and services to individuals, small businesses and corporate clients, through branches and of\ufb01ces in 24 States, mainly in western and mid-western America. It also has strong positions across the USA in several specialised lending activities, such as marine, recreational vehicles and agribusiness, and develops its commercial set up particularly in Corporate Banking, Wealth Management, and Small and Medium Enterprise businesses. On 18 December 2021, the Group concluded an agreement with BMO Financial Group for the sale of its retail and commercial banking activities in the United States operated by BancWest for a total price of USD 16.3 billion to be paid in cash at the time of the transaction. The Group applies the provisions of IFRS 5 on groups of assets and liabilities held for sale, leading to the reclassi\ufb01cation of the goodwill into \u201cAssets held for sale\u201d (see note 7.d). Asset Management: BNP Paribas Asset Management is the dedicated asset management business line of the BNP Paribas Group and offers services to individual investors (through internal distributors \u2013 BNP Paribas private and retail banking \u2013 and external distributors), to corporates and to institutional investors (insurance companies, retirement funds, of\ufb01cial institutions, consultants). Its aim is to offer an added value based on a broad range of expertise throughout its active management of equities and bonds, its activity of private debt and real asset management and its multi-asset, quantitative and solutions division. Insurance: BNP Paribas Cardif, a world leader in personal insurance, has designed, developed and marketed savings and protection products and services to protect individuals, their projects and their assets. BNP Paribas Cardif also offer products in damage insurance, health insurance, budget insurance, revenue and means of payment insurance, unexpected event protection (unemployment, accident, death, theft or breakage) or the protection of private digital data to meet the evolution of customers\u2019 needs. Real Estate: BNP Paribas Real Estate serves the needs of its clients, whether institutional investors, corporates, public entities or individuals, at all stages of the life cycle of their property (from the conception of a construction project to its daily management). Wealth Management: Wealth Management encompasses the private banking activities of BNP Paribas and serves a clientele of wealthy individuals, shareholder families and entrepreneurs seeking a one-stop shop for all their wealth management and \ufb01nancial needs. Goodwill impairment tests are based on three different methods: observation of transactions related to comparable businesses, share price data for listed companies with comparable businesses, and discounted future cash \ufb02ows (DCF). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 254 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements If one of the two comparables-based methods indicates the need for impairment, the DCF method is used to validate the results and determine the amount of impairment required. The DCF method is based on a number of assumptions in terms of future revenues, expenses and cost of risk (cash \ufb02ows) based on medium-term business plans over a period of \ufb01ve years. Cash \ufb02ow projections beyond the 5-year forecast period are based on a growth rate to perpetuity and are normalised when the short-term environment does not re\ufb02ect the normal conditions of the economic cycle. The key parameters which are sensitive to the assumptions made are the cost of capital, the cost/income ratio, the cost of risk and the growth rate to perpetuity. Cost of capital is determined on the basis of a risk-free rate, an observed market risk premium weighted by a risk factor based on comparables speci\ufb01c to each cash-generating unit. The values of these parameters are obtained from external information sources. Allocated capital is determined for each cash-generating unit based on the \u201cCommon Equity Tier One\u201d regulatory requirements for the legal entity to which the cash-generating unit belongs, with a minimum of 7%. The growth rate to perpetuity used is 2% for mature economies in Europe. For CGUs implemented in countries with high levels of in\ufb02ation, a speci\ufb01c add-on is taken into account (calculated according to in\ufb02ation rates disclosed by external sources). The following table shows the sensitivity of the valuation of the Personal Finance cash generating unit to changes in the value of parameters used in the DCF calculation: the cost of capital, the cost/income ratio in terminal value, the cost of risk in terminal value and the growth rate to perpetuity. \u27a4 SENSITIVITY OF THE MAIN GOODWILL VALUATIONS TO A 10-BASIS POINT CHANGE IN THE COST OF CAPITAL, A 1% CHANGE IN THE COST/INCOME RATIO IN TERMINAL VALUE, A 5% CHANGE OF THE COST OF RISK IN TERMINAL VALUE AND A 50-BASIS POINT CHANGE IN THE GROWTH RATE TO PERPETUITY In millions of euros Personal Finance Cost of capital 10.8% Adverse change (+10 basis points) (159) Positive change (-10 basis points) 162 Cost/income ratio 47.8% Adverse change (+1%) (351) Positive change (-1%) 351 Cost of risk (1,503) Adverse change (+5%) (408) Positive change (-5%) 408 Growth rate to perpetuity 2.0% Adverse change (-50 basis points) (257) Positive change (+50 basis points) 288 Concerning the homogeneous Personal Finance set, there would be no need to depreciate even by using, for the impairment test, the four most unfavourable variations in the table. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 255 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
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  "corporatings-nesting-fix-POfkYD-1047": {
   "value": "1.b.4 Business combination and measurement of goodwill Measurement of goodwill The BNP Paribas Group tests goodwill for impairment on a regular basis. Cash-generating units The BNP Paribas Group has split all its activities into cash-generating units (1) representing major business lines. This split is consistent with the Group\u2019s organisational structure and management methods, and re\ufb02ects the independence of each unit in terms of results and management approach. It is reviewed on a regular basis in order to take account of events likely to affect the composition of cash-generating units, such as acquisitions, disposals and major reorganisations. Testing cash-generating units for impairment Goodwill allocated to cash-generating units is tested for impairment annually and whenever there is an indication that a unit may be impaired, by comparing the carrying amount of the unit with its recoverable amount. If the recoverable amount is less than the carrying amount, an irreversible impairment loss is recognised, and the goodwill is written down by the excess of the carrying amount of the unit over its recoverable amount. Recoverable amount of a cash-generating unit The recoverable amount of a cash-generating unit is the higher of the fair value of the unit less costs to sell, and its value in use. Fair value is the price that would be obtained from selling the unit at the market conditions prevailing at the date of measurement, as determined mainly by reference to actual prices of recent transactions involving similar entities or on the basis of stock market multiples for comparable companies. Value in use is based on an estimate of the future cash \ufb02ows to be generated by the cash-generating unit, derived from the annual forecasts prepared by the unit\u2019s management and approved by Group Executive Management, and from analyses of changes in the relative positioning of the unit\u2019s activities on their market. These cash \ufb02ows are discounted at a rate that re\ufb02ects the return that investors would require from an investment in the business sector and region involved.",
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  "corporatings-nesting-fix-POfkYD-1046": {
   "value": "1.b.4 Business combination and measurement of goodwill Business combinations Business combinations are accounted for using the purchase method. Under this method, the acquiree\u2019s identi\ufb01able assets and liabilities assumed are measured at fair value at the acquisition date except for non-current assets classi\ufb01ed as assets held for sale which are accounted for at fair value less costs to sell. The acquiree\u2019s contingent liabilities are not recognised in the consolidated balance sheet unless they represent a present obligation on the acquisition date and their fair value can be measured reliably. The cost of a business combination is the fair value, at the date of exchange, of assets given, liabilities incurred or assumed, and equity instruments issued to obtain control of the acquiree. Costs directly attributable to the business combination are treated as a separate transaction and recognised through pro\ufb01t or loss. Any contingent consideration is included in the cost, as soon as control is obtained, at fair value on the date when control was acquired. Subsequent changes in the value of any contingent consideration recognised as a \ufb01nancial liability are recognised through pro\ufb01t or loss. The Group may recognise any adjustments to the provisional accounting within 12 months of the acquisition date. Goodwill represents the difference between the cost of the combination and the acquirer\u2019s interest in the net fair value of the identi\ufb01able assets and liabilities of the acquiree at the acquisition date. Positive goodwill is recognised in the acquirer\u2019s balance sheet, while negative goodwill is recognised immediately in pro\ufb01t or loss, on the acquisition date. Minority interests are measured at their share of the fair value of the acquiree\u2019s identi\ufb01able assets and liabilities. However, for each business combination, the Group can elect to measure minority interests at fair value, in which case a proportion of goodwill is allocated to them. To date, the Group has never used this latter option. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 191 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Goodwill is recognised in the functional currency of the acquiree and translated at the closing exchange rate. On the acquisition date, any previously held equity interest in the acquiree is remeasured at its fair value through pro\ufb01t or loss. In the case of a step acquisition, the goodwill is therefore determined by reference to the acquisition-date fair value. Since the revised IFRS 3 has been applied prospectively, business combinations completed prior to 1 January 2010 were not restated for the effects of changes to IFRS 3. As permitted under IFRS 1, business combinations that took place before 1 January 2004 and were recorded in accordance with the previously applicable accounting standards (French GAAP), had not been restated in accordance with the principles of IFRS 3.7.c BUSINESS COMBINATIONS AND LOSS OF CONTROL OR SIGNIFICANT INFLUENCE Allfunds Group Plc At 31 December 2020, BNP Paribas held a stake of 22.5% in Allfunds Plc Ltd, European market leader in fund distribution platforms. On 23 April 2021, the Group participated in the initial public offering of Allfunds, contributing 6.7% of the capital. The disposal led to the recognition of a result of EUR 300 million. On 16 September 2021, the Group sold a stake of 2% of Allfunds. The disposal led to the recognition of a result of EUR 144 million. On 24 September 2022, the Group sold a stake of 2% of Allfunds and retained a signi\ufb01cant in\ufb02uence with 12.2% of the capital of AFB Group Plc. The disposal led to the recognition of a result of EUR 31 million. Verner Investissements On 13 July 2021, BNP Paribas SA purchased the residual 50% stake in Verner Investissements, the holding company of Exane entities. The Group BNP Paribas took therefore exclusive control of this entity and fully consolidated it from the second half of 2021. Consequently, this operation increased the Group\u2019s balance sheet by EUR 6 billion at the acquisition date, in particular EUR 3.7 billion in \ufb01nancial assets at fair value through pro\ufb01t and loss, and led to the recognition of badwill of EUR 111 million in the pro\ufb01t and loss account. Including the remeasurement of the previously held stake through pro\ufb01t or loss, the net impact on net income of the acquisition is -EUR 51 million. bpost bank On 3 January 2022, BNP Paribas Fortis purchased the residual 50% stake in bpost bank. The Group BNP Paribas took therefore exclusive control of this entity and fully consolidated it from the \ufb01rst quarter of 2022. Consequently, this operation increased the Group\u2019s balance sheet by EUR 12 billion at the acquisition date, in particular EUR 11 billion in \ufb01nancial assets at amortised cost and led to the recognition of badwill of EUR 245 million in the pro\ufb01t and loss account. Axepta SpA On 4 January 2022, Banca Nazionale del Lavoro sold 80% of its stake of Wordline Merchant Services Italia (ex-Axepta Spa). The Group BNP Paribas lost exclusive control of this entity but kept a signi\ufb01cant in\ufb02uence. The disposal led to the recognition of a result of EUR 204 million on the line \u201cNet gain on non-current assets\u201d. The residual stake of 20% was consolidated using the equity method for its remeasured value, including goodwill of EUR 41 million. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 275 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Floa On 31 January 2022, BNP Paribas purchased 100% of Floa. The Group BNP Paribas took exclusive control of this entity and fully consolidated it from the \ufb01rst quarter of 2022. The Group\u2019s balance sheet increased by EUR 2 billion at the acquisition date, in particular in \ufb01nancial assets at amortised cost. The goodwill related to this operation was EUR 122 million. UkrSibbank In the context of the con\ufb02ict in Ukraine, the Group reassessed the nature of control over its subsidiary UkrSibbank and concluded to the loss of exclusive control, and the maintain of a signi\ufb01cant in\ufb02uence. This situation led the Group to consolidate the entity using the equity method from 1 March 2022. The loss of exclusive control involved the recognition of a loss on disposal of -EUR 159 million and the reclassi\ufb01cation to the pro\ufb01t and loss account of cumulated changes in assets and liabilities for exchange differences of -EUR 274 million, in \u201cNet gain on non-current assets\u201d. The Group\u2019s balance sheet decreased by EUR 2 billion at the date of loss of exclusive control, in particular in \ufb01nancial assets at amortised cost. Terberg Leasing Group BV On 30 November 2022, Arval Service Lease purchased 100% of Terberg Leasing Group BV. The Group BNP Paribas took exclusive control of these entities and fully consolidated them from the last quarter of 2022. The Group\u2019s balance sheet increased by EUR 1 billion at the acquisition date, in particular in tangible assets. The goodwill related to this operation was EUR 96 million.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfBusinessCombinationsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-1045": {
   "value": "1.b.4 Business combination and measurement of goodwill Business combinations Business combinations are accounted for using the purchase method. Under this method, the acquiree\u2019s identi\ufb01able assets and liabilities assumed are measured at fair value at the acquisition date except for non-current assets classi\ufb01ed as assets held for sale which are accounted for at fair value less costs to sell. The acquiree\u2019s contingent liabilities are not recognised in the consolidated balance sheet unless they represent a present obligation on the acquisition date and their fair value can be measured reliably. The cost of a business combination is the fair value, at the date of exchange, of assets given, liabilities incurred or assumed, and equity instruments issued to obtain control of the acquiree. Costs directly attributable to the business combination are treated as a separate transaction and recognised through pro\ufb01t or loss. Any contingent consideration is included in the cost, as soon as control is obtained, at fair value on the date when control was acquired. Subsequent changes in the value of any contingent consideration recognised as a \ufb01nancial liability are recognised through pro\ufb01t or loss. The Group may recognise any adjustments to the provisional accounting within 12 months of the acquisition date. Goodwill represents the difference between the cost of the combination and the acquirer\u2019s interest in the net fair value of the identi\ufb01able assets and liabilities of the acquiree at the acquisition date. Positive goodwill is recognised in the acquirer\u2019s balance sheet, while negative goodwill is recognised immediately in pro\ufb01t or loss, on the acquisition date. Minority interests are measured at their share of the fair value of the acquiree\u2019s identi\ufb01able assets and liabilities. However, for each business combination, the Group can elect to measure minority interests at fair value, in which case a proportion of goodwill is allocated to them. To date, the Group has never used this latter option. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 191 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Goodwill is recognised in the functional currency of the acquiree and translated at the closing exchange rate. On the acquisition date, any previously held equity interest in the acquiree is remeasured at its fair value through pro\ufb01t or loss. In the case of a step acquisition, the goodwill is therefore determined by reference to the acquisition-date fair value. Since the revised IFRS 3 has been applied prospectively, business combinations completed prior to 1 January 2010 were not restated for the effects of changes to IFRS 3. As permitted under IFRS 1, business combinations that took place before 1 January 2004 and were recorded in accordance with the previously applicable accounting standards (French GAAP), had not been restated in accordance with the principles of IFRS 3.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForBusinessCombinationsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9568": {
   "value": "1.c TRANSLATION OF FOREIGN CURRENCY TRANSACTIONS The methods used to account for assets and liabilities relating to foreign currency transactions entered into by the Group, and to measure the foreign exchange risk arising on such transactions, depend on whether the asset or liability in question is classi\ufb01ed as a monetary or a non-monetary item. Monetary assets and liabilities (2) expressed in foreign currencies Monetary assets and liabilities expressed in foreign currencies are translated into the functional currency of the relevant Group entity at the closing rate. Foreign exchange differences are recognised in the pro\ufb01t and loss account, except for those arising from \ufb01nancial instruments designated as a cash \ufb02ow hedge or a net foreign investment hedge, which are recognised in shareholders\u2019 equity. (1) As de\ufb01ned by IAS 36. (2) Monetary assets and liabilities are assets and liabilities to be received or paid in \ufb01xed or determinable amounts of cash. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 192 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Non-monetary assets and liabilities expressed in foreign currencies Non-monetary assets may be measured either at historical cost or at fair value. Non-monetary assets expressed in foreign currencies are translated using the exchange rate at the date of the transaction (i.e. date of initial recognition of the non-monetary asset) if they are measured at historical cost, and at the closing rate if they are measured at fair value. Foreign exchange differences relating to non-monetary assets denominated in foreign currencies and recognised at fair value (equity instruments) are recognised in pro\ufb01t or loss when the asset is classi\ufb01ed in \u201cFinancial assets at fair value through pro\ufb01t or loss\u201d and in equity when the asset is classi\ufb01ed under \u201cFinancial assets at fair value through equity\u201d.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForForeignCurrencyTranslationExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-1209": {
   "value": "1.c TRANSLATION OF FOREIGN CURRENCY TRANSACTIONS The methods used to account for assets and liabilities relating to foreign currency transactions entered into by the Group, and to measure the foreign exchange risk arising on such transactions, depend on whether the asset or liability in question is classi\ufb01ed as a monetary or a non-monetary item. Monetary assets and liabilities (2) expressed in foreign currencies Monetary assets and liabilities expressed in foreign currencies are translated into the functional currency of the relevant Group entity at the closing rate. Foreign exchange differences are recognised in the pro\ufb01t and loss account, except for those arising from \ufb01nancial instruments designated as a cash \ufb02ow hedge or a net foreign investment hedge, which are recognised in shareholders\u2019 equity. (1) As de\ufb01ned by IAS 36. (2) Monetary assets and liabilities are assets and liabilities to be received or paid in \ufb01xed or determinable amounts of cash. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 192 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Non-monetary assets and liabilities expressed in foreign currencies Non-monetary assets may be measured either at historical cost or at fair value. Non-monetary assets expressed in foreign currencies are translated using the exchange rate at the date of the transaction (i.e. date of initial recognition of the non-monetary asset) if they are measured at historical cost, and at the closing rate if they are measured at fair value. Foreign exchange differences relating to non-monetary assets denominated in foreign currencies and recognised at fair value (equity instruments) are recognised in pro\ufb01t or loss when the asset is classi\ufb01ed in \u201cFinancial assets at fair value through pro\ufb01t or loss\u201d and in equity when the asset is classi\ufb01ed under \u201cFinancial assets at fair value through equity\u201d.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfEffectOfChangesInForeignExchangeRatesExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9569": {
   "value": "1.d.1 Net interest income Income and expenses relating to debt instruments measured at amortised cost and at fair value through shareholders\u2019 equity are recognised in the income statement using the effective interest rate method. The effective interest rate is the rate that ensures the discounted value of estimated future cash \ufb02ows through the expected life of the \ufb01nancial instrument or, when appropriate, a shorter period, is equal to the carrying amount of the asset or liability in the balance sheet. The effective interest rate measurement takes into account all fees received or paid that are an integral part of the effective interest rate of the contract, transaction costs, and premiums and discounts. Commissions considered as an additional component of interest are included in the effective interest rate and are recognised in the pro\ufb01t and loss account in \u201cNet interest income\u201d. This category includes notably commissions on \ufb01nancing commitments when it is considered that the setting up of a loan is more likely than unlikely. Commissions received in respect of \ufb01nancing commitments are deferred until they are drawn and then included in the effective interest rate calculation and amortised over the life of the loan. Syndication commissions are also included in this category for the portion of the commission equivalent to the remuneration of other syndication participants.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForInterestIncomeAndExpenseExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-1240": {
   "value": "1.d.1 Net interest income Income and expenses relating to debt instruments measured at amortised cost and at fair value through shareholders\u2019 equity are recognised in the income statement using the effective interest rate method. The effective interest rate is the rate that ensures the discounted value of estimated future cash \ufb02ows through the expected life of the \ufb01nancial instrument or, when appropriate, a shorter period, is equal to the carrying amount of the asset or liability in the balance sheet. The effective interest rate measurement takes into account all fees received or paid that are an integral part of the effective interest rate of the contract, transaction costs, and premiums and discounts. Commissions considered as an additional component of interest are included in the effective interest rate and are recognised in the pro\ufb01t and loss account in \u201cNet interest income\u201d. This category includes notably commissions on \ufb01nancing commitments when it is considered that the setting up of a loan is more likely than unlikely. Commissions received in respect of \ufb01nancing commitments are deferred until they are drawn and then included in the effective interest rate calculation and amortised over the life of the loan. Syndication commissions are also included in this category for the portion of the commission equivalent to the remuneration of other syndication participants.2.a NET INTEREST INCOME The BNP Paribas Group includes in \u201cInterest income\u201d and \u201cInterest expense\u201d all income and expense calculated using the effective interest method (interest, fees and transaction costs) from \ufb01nancial instruments measured at amortised cost and \ufb01nancial instruments measured at fair value through equity. These items also include the interest income and expense of non-trading \ufb01nancial instruments the characteristics of which do not allow for recognition at amortised cost or at fair value through equity, as well as of \ufb01nancial instruments that the Group has designated as at fair value through pro\ufb01t or loss. The change in fair value on \ufb01nancial instruments at fair value through pro\ufb01t or loss (excluding accrued interest) is recognised under \u201cNet gain on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d. Interest income and expense on derivatives accounted for as fair value hedges are included with the revenues generated by the hedged item. Similarly, interest income and expense arising from derivatives used to hedge transactions designated as at fair value through pro\ufb01t or loss is allocated to the same accounts as the interest income and expense relating to the underlying transactions. In the case of a negative interest rates related to loans and receivables or deposits from customers and credit institutions, they are accounted for in interest expense or interest income respectively. In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Income Expense Net Income Expense Net Financial instruments at amortised cost 34,794 (15,507) 19,287 24,122 (7,032) 17,090 Deposits, loans and borrowings 30,749 (11,714) 19,035 21,423 (5,024) 16,399 Repurchase agreements 274 (83) 191 199 (56) 143 Finance leases 1,762 (102) 1,660 1,626 (101) 1,525 Debt securities 2,009 2,009 874 874 Issued debt securities and subordinated debt (3,608) (3,608) (1,851) (1,851) Financial instruments at fair value through equity 738 - 738 851 - 851 Financial instruments at fair value through pro\ufb01t or loss (Trading securities excluded) 59 (279) (220) 36 (163) (127) Cash \ufb02ow hedge instruments 3,025 (1,449) 1,576 1,982 (1,010) 972 Interest rate portfolio hedge instruments 2,466 (2,966) (500) 2,527 (2,031) 496 Lease liabilities - (50) (50) - (44) (44) TOTAL INTEREST INCOME/(EXPENSE) 41,082 (20,251) 20,831 29,518 (10,280) 19,238 Interest income on individually impaired loans amounted to EUR 287 million for the year ended 2022, compared to EUR 331 million for the year ended 2021. The Group subscribed to the TLTRO III (Targeted Longer-Term Re\ufb01nancing Operations) programme, as modi\ufb01ed by the Governing Council of the European Central Bank in March 2020, in December 2020 and in October 2022 (see note 4.g). The Group achieved the lending performance thresholds that enabled it to bene\ufb01t from favourable interest rate conditions applicable for each of the reference period, namely: \u25a0 over the two special interest periods (i.e. from June 2020 to June 2022): the average deposit facility rate (\u201cDFR\u201d) -50 basis points, or -1%; \u25a0 over the next period (i.e. from June 2022 to November 2022): the average of the DFR between the TLTRO III initial date of subscription and 22 November 2022, i.e. for the main draws, -0.36% for the June 2020 tranche and -0.29% for the March 2021 tranche; \u25a0 over the last period (since 23 November 2022): the average of the DFR between 23 November 2022 and the redemption date. The average effective interest rate for the latter period was 1.64% at 31 December 2022. This \ufb02oating interest rate is considered as a market rate since it is applicable to all \ufb01nancial institutions meeting the lending criteria de\ufb01ned by the European Central Bank. The effective interest rate of these \ufb01nancial liabilities is determined for each reference period, its two components (reference rate and margin) being adjustable; it corresponds to the nominal interest rate. The addition of the last interest period in October 2022 is part of the European Central Bank\u2019s monetary policy and is therefore not considered a contractual amendment according to IFRS 9 but a revision of the market rate. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 212 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfInterestIncomeExpenseExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-1239": {
   "value": "1.d.1 Net interest income Income and expenses relating to debt instruments measured at amortised cost and at fair value through shareholders\u2019 equity are recognised in the income statement using the effective interest rate method. The effective interest rate is the rate that ensures the discounted value of estimated future cash \ufb02ows through the expected life of the \ufb01nancial instrument or, when appropriate, a shorter period, is equal to the carrying amount of the asset or liability in the balance sheet. The effective interest rate measurement takes into account all fees received or paid that are an integral part of the effective interest rate of the contract, transaction costs, and premiums and discounts. Commissions considered as an additional component of interest are included in the effective interest rate and are recognised in the pro\ufb01t and loss account in \u201cNet interest income\u201d. This category includes notably commissions on \ufb01nancing commitments when it is considered that the setting up of a loan is more likely than unlikely. Commissions received in respect of \ufb01nancing commitments are deferred until they are drawn and then included in the effective interest rate calculation and amortised over the life of the loan. Syndication commissions are also included in this category for the portion of the commission equivalent to the remuneration of other syndication participants.2.a NET INTEREST INCOME The BNP Paribas Group includes in \u201cInterest income\u201d and \u201cInterest expense\u201d all income and expense calculated using the effective interest method (interest, fees and transaction costs) from \ufb01nancial instruments measured at amortised cost and \ufb01nancial instruments measured at fair value through equity. These items also include the interest income and expense of non-trading \ufb01nancial instruments the characteristics of which do not allow for recognition at amortised cost or at fair value through equity, as well as of \ufb01nancial instruments that the Group has designated as at fair value through pro\ufb01t or loss. The change in fair value on \ufb01nancial instruments at fair value through pro\ufb01t or loss (excluding accrued interest) is recognised under \u201cNet gain on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d. Interest income and expense on derivatives accounted for as fair value hedges are included with the revenues generated by the hedged item. Similarly, interest income and expense arising from derivatives used to hedge transactions designated as at fair value through pro\ufb01t or loss is allocated to the same accounts as the interest income and expense relating to the underlying transactions. In the case of a negative interest rates related to loans and receivables or deposits from customers and credit institutions, they are accounted for in interest expense or interest income respectively. In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Income Expense Net Income Expense Net Financial instruments at amortised cost 34,794 (15,507) 19,287 24,122 (7,032) 17,090 Deposits, loans and borrowings 30,749 (11,714) 19,035 21,423 (5,024) 16,399 Repurchase agreements 274 (83) 191 199 (56) 143 Finance leases 1,762 (102) 1,660 1,626 (101) 1,525 Debt securities 2,009 2,009 874 874 Issued debt securities and subordinated debt (3,608) (3,608) (1,851) (1,851) Financial instruments at fair value through equity 738 - 738 851 - 851 Financial instruments at fair value through pro\ufb01t or loss (Trading securities excluded) 59 (279) (220) 36 (163) (127) Cash \ufb02ow hedge instruments 3,025 (1,449) 1,576 1,982 (1,010) 972 Interest rate portfolio hedge instruments 2,466 (2,966) (500) 2,527 (2,031) 496 Lease liabilities - (50) (50) - (44) (44) TOTAL INTEREST INCOME/(EXPENSE) 41,082 (20,251) 20,831 29,518 (10,280) 19,238 Interest income on individually impaired loans amounted to EUR 287 million for the year ended 2022, compared to EUR 331 million for the year ended 2021. The Group subscribed to the TLTRO III (Targeted Longer-Term Re\ufb01nancing Operations) programme, as modi\ufb01ed by the Governing Council of the European Central Bank in March 2020, in December 2020 and in October 2022 (see note 4.g). The Group achieved the lending performance thresholds that enabled it to bene\ufb01t from favourable interest rate conditions applicable for each of the reference period, namely: \u25a0 over the two special interest periods (i.e. from June 2020 to June 2022): the average deposit facility rate (\u201cDFR\u201d) -50 basis points, or -1%; \u25a0 over the next period (i.e. from June 2022 to November 2022): the average of the DFR between the TLTRO III initial date of subscription and 22 November 2022, i.e. for the main draws, -0.36% for the June 2020 tranche and -0.29% for the March 2021 tranche; \u25a0 over the last period (since 23 November 2022): the average of the DFR between 23 November 2022 and the redemption date. The average effective interest rate for the latter period was 1.64% at 31 December 2022. This \ufb02oating interest rate is considered as a market rate since it is applicable to all \ufb01nancial institutions meeting the lending criteria de\ufb01ned by the European Central Bank. The effective interest rate of these \ufb01nancial liabilities is determined for each reference period, its two components (reference rate and margin) being adjustable; it corresponds to the nominal interest rate. The addition of the last interest period in October 2022 is part of the European Central Bank\u2019s monetary policy and is therefore not considered a contractual amendment according to IFRS 9 but a revision of the market rate. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 212 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfFinanceIncomeExpenseExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9570": {
   "value": "1.d.2 Commissions and income from other activitiesIncome from other activities Income from property development as well as income from services provided in connection with lease contracts is recorded under \u201cincome from other activities\u201d in the income statement. As regards property development income, the Group records it in pro\ufb01t or loss: \u25a0 over time, when the performance obligation creates or enhances an asset on which the customer obtains control as it is created or enhanced (e.g. work in progress controlled by the client on the land in which the asset is located, etc.), or where the service performed does not create an asset 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 193 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements that the entity could otherwise use and gives it enforceable right to payment for performance completed to date. This is the case for contracts such as VEFA (sale in the future state of completion) in France; \u25a0 at completion in other cases. Regarding income from services provided in connection with lease contracts, the Group records them in pro\ufb01t or loss as the service is rendered, i.e. in proportion to the costs incurred for maintenance contracts.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForRecognitionOfRevenue",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-1265": {
   "value": "1.d.2 Commissions and income from other activitiesIncome from other activities Income from property development as well as income from services provided in connection with lease contracts is recorded under \u201cincome from other activities\u201d in the income statement. As regards property development income, the Group records it in pro\ufb01t or loss: \u25a0 over time, when the performance obligation creates or enhances an asset on which the customer obtains control as it is created or enhanced (e.g. work in progress controlled by the client on the land in which the asset is located, etc.), or where the service performed does not create an asset 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 193 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements that the entity could otherwise use and gives it enforceable right to payment for performance completed to date. This is the case for contracts such as VEFA (sale in the future state of completion) in France; \u25a0 at completion in other cases. Regarding income from services provided in connection with lease contracts, the Group records them in pro\ufb01t or loss as the service is rendered, i.e. in proportion to the costs incurred for maintenance contracts.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfRevenueExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9571": {
   "value": "Commissions received with regards to banking and similar services provided (except for those that are integral part of the effective interest rate), revenues from property development and revenues from services provided in connection with lease contracts fall within the scope of IFRS 15 \u201cRevenue from Contracts with Customers\u201d. This standard de\ufb01nes a single model for recognising revenue based on \ufb01ve-step principles. These \ufb01ve steps enable to identify the distinct performance obligations included in the contracts and allocate the transaction price among them. The income related to those performance obligations is recognised as revenue when the latter are satis\ufb01ed, namely when the control of the promised goods or services has been transferred. The price of a service may contain a variable component. Variable amounts may be recognised in the income statement only if it is highly probable that the amounts recorded will not result in a signi\ufb01cant downward adjustment. Commission The Group records commission income and expense in pro\ufb01t or loss either: \u25a0 over time as the service is rendered when the client receives continuous service. These include, for example, certain commissions on transactions with customers when services are rendered on a continuous basis, commissions on \ufb01nancing commitments that are not included in the interest margin, because the probability that they give rise to the drawing up of a loan is low, commissions on \ufb01nancial collateral, clearing commissions on \ufb01nancial instruments, commissions related to trust and similar activities, securities custody fees, etc. Commissions received under \ufb01nancial guarantee commitments are deemed to represent the initial fair value of the commitment. The resulting liability is subsequently amortised over the term of the commitment, in Commission income; or \u25a0 at a point in time when the service is rendered, in other cases. These include, for example, distribution fees received, loan syndication fees remunerating the arrangement service, advisory fees, etc.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForFeeAndCommissionIncomeAndExpenseExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-1267": {
   "value": "Commissions received with regards to banking and similar services provided (except for those that are integral part of the effective interest rate), revenues from property development and revenues from services provided in connection with lease contracts fall within the scope of IFRS 15 \u201cRevenue from Contracts with Customers\u201d. This standard de\ufb01nes a single model for recognising revenue based on \ufb01ve-step principles. These \ufb01ve steps enable to identify the distinct performance obligations included in the contracts and allocate the transaction price among them. The income related to those performance obligations is recognised as revenue when the latter are satis\ufb01ed, namely when the control of the promised goods or services has been transferred. The price of a service may contain a variable component. Variable amounts may be recognised in the income statement only if it is highly probable that the amounts recorded will not result in a signi\ufb01cant downward adjustment. Commission The Group records commission income and expense in pro\ufb01t or loss either: \u25a0 over time as the service is rendered when the client receives continuous service. These include, for example, certain commissions on transactions with customers when services are rendered on a continuous basis, commissions on \ufb01nancing commitments that are not included in the interest margin, because the probability that they give rise to the drawing up of a loan is low, commissions on \ufb01nancial collateral, clearing commissions on \ufb01nancial instruments, commissions related to trust and similar activities, securities custody fees, etc. Commissions received under \ufb01nancial guarantee commitments are deemed to represent the initial fair value of the commitment. The resulting liability is subsequently amortised over the term of the commitment, in Commission income; or \u25a0 at a point in time when the service is rendered, in other cases. These include, for example, distribution fees received, loan syndication fees remunerating the arrangement service, advisory fees, etc.2.b COMMISSION INCOME AND EXPENSE In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Income Expense Net Income Expense Net Customer transactions 4,772 (1,172) 3,600 4,489 (1,024) 3,465 Securities and derivatives transactions 2,051 (1,578) 473 2,363 (1,628) 735 Financing and guarantee commitments 1,181 (100) 1,081 1,152 (55) 1,097 Asset management and other services 5,425 (337) 5,088 5,912 (748) 5,164 Others 1,193 (1,257) (64) 1,121 (1,220) (99) COMMISSION INCOME/EXPENSE 14,622 (4,444) 10,178 15,037 (4,675) 10,362 of which net commission income related to trust and similar activities through which the Group holds or invests assets on behalf of clients, trusts, pension and personal risk funds or other institutions 3,248 (268) 2,980 3,333 (357) 2,976 of which commission income and expense on \ufb01nancial instruments not measured at fair value through pro\ufb01t or loss 3,048 (370) 2,678 3,129 (337) 2,792",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfFeeAndCommissionIncomeExpenseExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9572": {
   "value": "Income from other activities Income from property development as well as income from services provided in connection with lease contracts is recorded under \u201cincome from other activities\u201d in the income statement. As regards property development income, the Group records it in pro\ufb01t or loss: \u25a0 over time, when the performance obligation creates or enhances an asset on which the customer obtains control as it is created or enhanced (e.g. work in progress controlled by the client on the land in which the asset is located, etc.), or where the service performed does not create an asset 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 193 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements that the entity could otherwise use and gives it enforceable right to payment for performance completed to date. This is the case for contracts such as VEFA (sale in the future state of completion) in France; \u25a0 at completion in other cases. Regarding income from services provided in connection with lease contracts, the Group records them in pro\ufb01t or loss as the service is rendered, i.e. in proportion to the costs incurred for maintenance contracts.",
   "dimensions": {
    "concept": "bnpp:DescriptionOfAccountingPolicyForOtherOperatingIncomeExpenseExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9573": {
   "value": "1.e FINANCIAL ASSETS AND LIABILITIES Financial assets, except those relating to insurance activities (see note 1.f) are classi\ufb01ed at amortised cost, at fair value through shareholders\u2019 equity or at fair value through pro\ufb01t or loss depending on the business model and the contractual features of the instruments at initial recognition. Financial liabilities are classi\ufb01ed at amortised cost or at fair value through pro\ufb01t or loss at initial recognition. Financial assets and liabilities are recognised in the balance sheet when the Group becomes a party to the contractual provisions of the instrument. Purchases and sales of \ufb01nancial assets made within a period established by the regulations or by a convention in the relevant marketplace are recognised in the balance sheet at the settlement date.1.e.1 Financial assets at amortised cost Financial assets are classi\ufb01ed at amortised cost if the following two criteria are met: the business model objective is to hold the instrument in order to collect the contractual cash \ufb02ows and the cash \ufb02ows consist solely of payments relating to principal and interest on the principal. Business model criterion Financial assets are managed within a business model whose objective is to hold \ufb01nancial assets in order to collect cash \ufb02ows through the collection of contractual payments over the life of the instrument. The realisation of disposals close to the maturity of the instrument and for an amount close to the remaining contractual cash-\ufb02ows, or due to an increase in the counterparty\u2019s credit risk is consistent with a business model whose objective is to collect the contractual cash \ufb02ows (\u201ccollect\u201d). Sales imposed by regulatory requirements or to manage the concentration of credit risk (without an increase in the asset\u2019s credit risk) are also consistent with this business model when they are infrequent or insigni\ufb01cant in value. Cash flow criterion The cash \ufb02ow criterion is satis\ufb01ed if the contractual terms of the debt instrument give rise, on speci\ufb01ed dates, to cash \ufb02ows that are solely repayments of principal and interest on the principal amount outstanding. The criterion is not met in the event of a contractual characteristic that exposes the holder to risks or to the volatility of contractual cash \ufb02ows that are inconsistent with those of a non-structured or \u201cbasic lending\u201d arrangement. It is also not satis\ufb01ed in the event of leverage that increases the variability of the contractual cash \ufb02ows. Interest consists of consideration for the time value of money, for the credit risk, and for the remuneration of other risks (e.g. liquidity risk), costs (e.g. administration fees), and a pro\ufb01t margin consistent with that of a basic lending arrangement. The existence of negative interest does not call into question the cash \ufb02ow criterion. The time value of money is the component of interest \u2013 usually referred to as the \u201crate\u201d component \u2013 which provides consideration for only the passage of time. The relationship between the interest rate and the passage of time must not be modi\ufb01ed by speci\ufb01c characteristics that could call into question the respect of the cash \ufb02ow criterion. Thus, when the variable interest rate of the \ufb01nancial asset is periodically reset at a frequency that does not match the duration for which the interest rate is established, the time value of money may be considered as modi\ufb01ed and, depending on the signi\ufb01cance of that modi\ufb01cation, the cash \ufb02ow criterion may not be met. Some \ufb01nancial assets held by the Group present a mismatch between the interest rate reset frequency and the maturity of the index, or interest rates indexed to an average of benchmark rate. The Group has developed a consistent methodology for analysing this alteration of the time value of money. Regulated rates meet the cash \ufb02ow criterion when they provide consideration that is broadly consistent with the passage of time and does not expose to risks or volatility in the contractual cash \ufb02ows that would be inconsistent with those of a basic lending arrangement (example: loans granted in the context of Livret A savings accounts). Some contractual clauses may change the timing or the amount of cash \ufb02ows. Early redemption options do not call into question the cash \ufb02ow criterion if the prepayment amount substantially represents the principal amount outstanding and the interest thereon, which may include reasonable compensation for the early termination of the contract. For example, as regards loans to retail customers, the compensation limited to 6 months of interest or 3% 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 194 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements of the capital outstanding is considered reasonable. Actuarial penalties, corresponding to the discounted value of the difference between the residual contractual cash-\ufb02ows of the loan, and their reinvestment in a loan to a similar counterparty or in the interbank market for a similar residual maturity are also considered as reasonable, even when the compensation can be positive or negative (i.e. \u201csymmetric\u201d compensation). An option that permits the issuer or the holder of a \ufb01nancial instrument to change the interest rate from \ufb02oating to \ufb01xed rate does not breach the cash \ufb02ow criterion if the \ufb01xed rate is determined at origination, or if it represents the time value of money for the residual maturity of the instrument at the date of exercise of the option. Clauses included in \ufb01nancing granted to encourage the sustainable development of companies which adjust the interest margin depending on the achievement of environmental, social or governance (ESG) objectives do not call into question the cash \ufb02ow criterion when such an adjustment is considered to be minimal. Structured instruments indexed to ESG market indices do not meet the cash \ufb02ow criterion. In the particular case of \ufb01nancial assets contractually linked to payments received on a portfolio of underlying assets and which include a priority order for payment of cash \ufb02ows between investors (\u201ctranches\u201d), thereby creating concentrations of credit risk, a speci\ufb01c analysis is carried out. The contractual characteristics of the tranche and those of the underlying \ufb01nancial instrument portfolios must meet the cash \ufb02ow criterion and the credit risk exposure of the tranche must be equal to or lower than the exposure to credit risk of the underlying pool of \ufb01nancial instruments. Certain loans may be \u201cnon-recourse\u201d, either contractually, or in substance when they are granted to a special purpose entity. That is in particular the case of numerous project \ufb01nancing or asset \ufb01nancing loans. The cash-\ufb02ow criterion is met as long as these loans do not represent a direct exposure on the assets acting as collateral. In practice, the sole fact that the \ufb01nancial asset explicitly gives rise to cash \ufb02ows that are consistent with payments of principal and interest is not suf\ufb01cient to conclude that the instrument meets the cash \ufb02ow criterion. In that case, the particular underlying assets to which there is limited recourse shall be analysed using the \u201clook-through\u201d approach. If those assets do not themselves meet the cash \ufb02ow criterion, the existing credit enhancement is assessed. The following aspects are considered: structuring and sizing of the transaction, own funds level of the structure, expected source of repayment, price volatility of the underlying assets. This analysis is applied to \u201cnon-recourse\u201d loans granted by the Group. The \u201c\ufb01nancial assets at amortised cost\u201d category includes, in particular, loans granted by the Group, as well as reverse repurchase agreements and securities held by the Group ALM Treasury in order to collect contractual \ufb02ows and meeting the cash \ufb02ow criterion. Recognition On initial recognition, \ufb01nancial assets are recognised at fair value, including transaction costs directly attributable to the transaction as well as commissions related to the origination of the loans. They are subsequently measured at amortised cost, including accrued interest and net of repayments of principal and interest during the past period. These \ufb01nancial assets are also subject from their initial recognition, to the measurement of a loss allowance for expected credit losses (note 1.e.5). Interest is calculated using the effective interest method determined at inception of the contract.1.e.2 Financial assets at fair value through shareholders\u2019 equity Debt instruments Debt instruments are classi\ufb01ed at fair value through shareholders\u2019 equity if the following two criteria are met: \u25a0 business model criterion: Financial assets are held in a business model whose objective is achieved by both holding the \ufb01nancial assets in order to collect contractual cash \ufb02ows and selling the \ufb01nancial assets (\u201ccollect and sale\u201d). The latter is not incidental but is an integral part of the business model; \u25a0 cash \ufb02ow criterion: The principles are identical to those applicable to \ufb01nancial assets at amortised cost. The securities held by the Group ALM Treasury in order to collect contractual \ufb02ows or to be sold and meeting the cash \ufb02ow criterion are in particular classi\ufb01ed in this category. On initial recognition, \ufb01nancial assets are recognised at their fair value, including transaction costs directly attributable to the transaction. They are subsequently measured at fair value and changes in fair value are recognised, under a speci\ufb01c line of shareholders\u2019 equity entitled \u201cChanges in assets and liabilities recognised directly in equity that may be reclassi\ufb01ed to pro\ufb01t or loss\u201d. These \ufb01nancial assets are also subject to the measurement of a loss allowance for expected credit losses on the same approach as for debt instruments at amortised cost. The counterparty of the related impact in cost of risk is recognised in the same speci\ufb01c line of shareholders\u2019 equity. On disposal, changes in fair value previously recognised in shareholders\u2019 equity are reclassi\ufb01ed to pro\ufb01t or loss. In addition, interest is recognised in the income statement using the effective interest method determined at the inception of the contract. Equity instruments Investments in equity instruments such as shares are classi\ufb01ed on option, and on a case-by-case basis, at fair value through shareholders\u2019 equity (under a speci\ufb01c line). On disposal of the shares, changes in fair value previously recognised in equity are not recognised in pro\ufb01t or loss. Only dividends, if they represent remuneration for the investment and not repayment of capital, are recognised in pro\ufb01t or loss. These instruments are not subject to impairment. Investments in mutual funds puttable to the issuer do not meet the de\ufb01nition of equity instruments. They do not meet the cash \ufb02ow criterion either, and thus are recognised at fair value through pro\ufb01t or loss. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 195 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements1.e.3 Financing and guarantee commitments Financing and \ufb01nancial guarantee commitments that are not recognised at fair value through pro\ufb01t or loss are presented in the note relating to \ufb01nancing and guarantee commitments. They are subject to the measurement of a loss allowance for expected credit losses. These loss allowances are presented under \u201cProvisions for contingencies and charges\u201d.1.e.5 Impairment of financial assets measured at amortised cost and debt instruments measured at fair value through shareholders\u2019 equity The impairment model for credit risk is based on expected losses. This model applies to loans and debt instruments measured at amortised cost or at fair value through equity, to loan commitments and \ufb01nancial guarantee contracts that are not recognised at fair value, as well as to lease receivables, trade receivables and contract assets. General model The Group identi\ufb01es three \u201cstages\u201d that each correspond to a speci\ufb01c status with regards to the evolution of counterparty credit risk since the initial recognition of the asset: \u25a0 12-month expected credit losses (\u201cstage 1\u201d): If at the reporting date, the credit risk of the \ufb01nancial instrument has not increased signi\ufb01cantly since its initial recognition, this instrument is impaired at an amount equal to 12-month expected credit losses (resulting from the risk of default within the next 12 months); \u25a0 Lifetime expected credit losses for non-impaired assets (\u201cstage 2\u201d): The loss allowance is measured at an amount equal to the lifetime expected credit losses if the credit risk of the \ufb01nancial instrument has increased signi\ufb01cantly since initial recognition, but the \ufb01nancial asset is not considered credit-impaired or doubtful; \u25a0 Lifetime expected credit losses for credit-impaired or doubtful \ufb01nancial assets (\u201cstage 3\u201d): The loss allowance is also measured for an amount equal to the lifetime expected credit losses. This general model is applied to all instruments within the scope of IFRS 9 impairment, except for purchased or originated credit-impaired \ufb01nancial assets and instruments for which a simpli\ufb01ed model is used (see below). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 196 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The IFRS 9 expected credit loss approach is symmetrical, i.e. if lifetime expected credit losses have been recognised in a previous reporting period, and if it is assessed in the current reporting period that there is no longer any signi\ufb01cant increase in credit risk since initial recognition, the loss allowance reverts to a 12-months expected credit loss. As regards interest income, under \u201cstages 1 and 2\u201d, it is calculated on the gross carrying amount. Under \u201cstage 3\u201d, interest income is calculated on the amortised cost (i.e. the gross carrying amount adjusted for the loss allowance). Definition of default The de\ufb01nition of default is aligned with the Basel regulatory default de\ufb01nition, with a rebuttable presumption that the default occurs no later than 90 days past due. This de\ufb01nition takes into account the EBA guidelines of 28 September 2016, notably those regarding the thresholds applicable for the counting of past-due and probation periods. The de\ufb01nition of default is used consistently for assessing the increase in credit risk and measuring expected credit losses. Credit-impaired or doubtful financial assets Definition A \ufb01nancial asset is considered credit-impaired or doubtful and classi\ufb01ed in \u201cstage 3\u201d when one or more events that have a detrimental impact on the estimated future cash \ufb02ows of that \ufb01nancial asset have occurred. At an individual level, objective evidence that a \ufb01nancial asset is credit-impaired includes observable data regarding the following events: the existence of accounts that are more than 90 days past due; knowledge or indications that the borrower is experiencing signi\ufb01cant \ufb01nancial dif\ufb01culties, such that a risk can be considered to have arisen regardless of whether the borrower has missed any payments; concessions with respect to the credit terms granted to the borrower that the lender would not have considered had the borrower not been in \ufb01nancial dif\ufb01culty (see section Restructuring of \ufb01nancial assets for \ufb01nancial dif\ufb01culties). Specific cases of purchased or originated credit-impaired assets In some cases, \ufb01nancial assets are credit-impaired at initial recognition. For these assets, no loss allowance is recorded on initial recognition. The effective interest rate is calculated taking into account the lifetime expected credit losses in the initial estimated cash \ufb02ows. Any change in lifetime expected credit losses since initial recognition, positive or negative, is recognised as a loss allowance adjustment in pro\ufb01t or loss. Simplified model The simpli\ufb01ed approach consists in accounting for a loss allowance corresponding to lifetime expected credit losses since initial recognition, and at each reporting date. The Group applies this model to trade receivables with a maturity shorter than 12 months. Significant increase in credit risk A signi\ufb01cant increase in credit risk may be assessed on an individual basis or on a collective basis (by grouping \ufb01nancial instruments according to common credit risk characteristics), taking into account all reasonable and supportable information and comparing the risk of default of the \ufb01nancial instrument at the reporting date with the risk of default of the \ufb01nancial instrument at the date of initial recognition. Assessment of deterioration is based on the comparison of the probabilities of default derived from the ratings on the date of initial recognition with those existing at the reporting date. There is also, according to the standard, a rebuttable presumption that the credit risk of an instrument has signi\ufb01cantly increased since initial recognition when the contractual payments are more than 30 days past due. In the consumer credit specialist business, a signi\ufb01cant increase in credit risk is also considered when a past due event has occurred within the last 12 months, even if it has since been regularised. In the context of the health crisis, the granting of moratoria that meet the criteria de\ufb01ned in the EBA guidelines published on 2 April 2020, and amended on 2 December 2020, has not been considered, in isolation, as an indicator of a signi\ufb01cant increase in credit risk leading to an automatic transfer to stage 2. The granting of \u201cprivate\u201d moratoria that meet equivalent criteria to those de\ufb01ned in the EBA guidelines has followed the same treatment. Moratoria do not trigger the counting of past-due days as long as the new payment schedule is respected. The principles applied to assess the signi\ufb01cant increase in credit risk are detailed in note 2.h Cost of risk. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 197 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Measurement of expected credit losses Expected credit losses are de\ufb01ned as an estimate of credit losses (i.e. the present value of all cash shortfalls) weighted by the probability of occurrence of these losses over the expected life of the \ufb01nancial instruments. They are measured on an individual basis, for all exposures. In practice, for exposures classi\ufb01ed in stage 1 and stage 2, expected credit losses are measured as the product of the probability of default (\u201cPD\u201d), Loss Given Default (\u201cLGD\u201d) and exposure at default (\u201cEAD\u201d), discounted at the effective interest rate of the exposure (EIR). They result from the risk of default within the next 12 months (stage 1), or from the risk of default over the maturity of the facility (stage 2). In the consumer credit specialist business, because of the speci\ufb01city of credit exposures, the methodology used is based on the probability of transition to term forfeiture, and on discounted loss rates after term forfeiture. These parameters are measured on a statistical basis for homogeneous populations. For exposures classi\ufb01ed in stage 3, expected credit losses are measured as the value, discounted at the effective interest rate, of all cash shortfalls over the life of the \ufb01nancial instrument. Cash shortfalls represent the difference between the cash-\ufb02ows that are due in accordance with the contract, and the cash-\ufb02ows that are expected to be received. Where appropriate, the estimate of expected cash \ufb02ows takes into account a cash \ufb02ow scenario arising from the sale of the defaulted loans or groups of loans. Proceeds from the sale are recorded net of costs to sell. The methodology developed is based on existing concepts and methods (in particular the Basel framework) on exposures for which capital requirement for credit risk is measured according to the IRBA methodology. This method is also applied to portfolios for which capital requirement for credit risk is measured according to the standardised approach. Besides, the Basel framework has been adjusted in order to be compliant with IFRS 9 requirements, in particular the use of forward-looking information. Maturity All contractual terms of the \ufb01nancial instrument are taken into account, including prepayment, extension and similar options. In the rare cases where the expected life of the \ufb01nancial instrument cannot be estimated reliably, the residual contractual term is used. The standard speci\ufb01es that the maximum period to consider when measuring expected credit losses is the maximum contractual period. However, for revolving credit cards and overdrafts, in accordance with the exception provided by IFRS 9 for these products, the maturity considered for measuring expected credit losses is the period over which the entity is exposed to credit risk, which may extend beyond the contractual maturity (notice period). For revolving credits and overdrafts to non-retail counterparties, the contractual maturity can be used, for example if the next review date is the contractual maturity as they are individually managed. Probabilities of Default (PD) Probability of Default is an estimate of the likelihood of default over a given time horizon. The determination of the PD is based on the Group\u2019s internal rating system, which is described in chapter 5 of the Universal registration document (section 5.4 Credit risk \u2013 Credit risk management policy). This section describes how environmental, social and governance (ESG) risks are taken into account in credit and rating policies, notably with the introduction of a new tool: the ESG Assessment. The measurement of expected credit losses requires the estimation of both 1-year probabilities of default and lifetime probabilities of default. 1-year PDs are derived from long term average regulatory \u201cthrough the cycle\u201d PDs to re\ufb02ect the current situation (\u201cPoint in Time\u201d or \u201cPIT\u201d). Lifetime PDs are determined based on the rating migration matrices re\ufb02ecting the expected changes in the rating of the exposure until maturity, and the associated probabilities of default. Loss Given Default (LGD) Loss Given Default is the difference between contractual cash-\ufb02ows and expected cash-\ufb02ows, discounted using the effective interest rate (or an approximation thereof) at the default date. LGD is expressed as a percentage of the Exposure At Default (EAD). The estimate of expected cash \ufb02ows takes into account cash \ufb02ows resulting from the sale of collateral held or other credit enhancements if they are part of the contractual terms and are not accounted for separately by the entity (for example, a mortgage associated with a residential loan), net of the costs of obtaining and selling the collateral. For guaranteed loans, the guarantee is considered as integral to the loan agreement if it is embedded in the contractual clauses of the loan, or if it was granted concomitantly to the loan, and if the expected reimbursement amount can be attached to a loan in particular (i.e. absence of pooling effect by means of a tranching mechanism, or the existence of a global cap for a whole portfolio). In such case, the guarantee is taken into account when measuring the expected credit losses. Otherwise, it is accounted for as a separate reimbursement asset. The LGD used for IFRS 9 purposes is derived from the Basel LGD parameters. It is adjusted for downturn and conservatism margins (in particular regulatory margins), except for margins for model uncertainties. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 198 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Exposure At Default (EAD) Exposure At Default (EAD) of an instrument is the anticipated outstanding amount owed by the obligor at the time of default. It is determined by the expected payment pro\ufb01le taking into account, depending on the product type: the contractual repayment schedule, expected early repayments and expected future drawings for revolving facilities. Forward-looking information The amount of expected credit losses is measured on the basis of probability-weighted scenarios, in view of past events, current conditions and reasonable and supportable economic forecasts. The principles applied to take into account forward-looking information when measuring expected credit losses are detailed in note 2.h Cost of risk. Write-offs A write-off consists in reducing the gross carrying amount of a \ufb01nancial asset when there are no longer reasonable expectations of recovering that \ufb01nancial asset in its entirety or a portion thereof, or when it has been fully or partially forgiven. The write-off is recorded when all other means available to the Bank for recovering the receivables or guarantees have failed, and also generally depends on the context speci\ufb01c to each jurisdiction. If the amount of loss on write-off is greater than the accumulated loss allowance, the difference is recognised as an additional impairment loss in \u201cCost of risk\u201d. For any recovery once the \ufb01nancial asset (or part thereof) is no longer recognised on the balance sheet, the amount received is recorded as a gain in \u201cCost of risk\u201d. Recoveries through the repossession of the collateral When a loan is secured by a \ufb01nancial or a non-\ufb01nancial asset serving as a guarantee and the counterparty is in default, the Group may decide to exercise the guarantee and, depending on the jurisdiction, it may then become owner of the asset. In such a situation, the loan is written-off against the asset received as collateral. Once ownership of the asset is effective, it is recognised at fair value and classi\ufb01ed according to the intent of use. Restructuring of financial assets for financial difficulties A restructuring due to the borrower\u2019s \ufb01nancial dif\ufb01culties is de\ufb01ned as a change in the terms and conditions of the initial transaction that the Group is considering only for economic or legal reasons related to the borrower\u2019s \ufb01nancial dif\ufb01culties. For restructurings not resulting in derecognition of the \ufb01nancial asset, the restructured asset\u2019s gross carrying amount is reduced to the discounted amount, using the original effective interest rate of the asset, of the new expected future \ufb02ows. The change in the gross carrying amount of the asset is recorded in the income statement in \u201cCost of risk\u201d. The existence of a signi\ufb01cant increase in credit risk for the \ufb01nancial instrument is then assessed by comparing the risk of default after the restructuring (under the revised contractual terms) and the risk of default at the initial recognition date (under the original contractual terms). In order to demonstrate that the criteria for recognising lifetime expected credit losses are no longer met, good payment behaviour will have to be observed over a certain period of time. When the restructuring consists of a partial or total exchange against other substantially different assets (for example, the exchange of a debt instrument against an equity instrument), it results in the extinction of the original asset and the recognition of the assets remitted in exchange, measured at their fair value at the date of exchange. The difference in value is recorded in the income statement in \u201cCost of risk\u201d. As a reminder, in response to the health crisis, several moratoria have been granted to clients. These moratoria mostly consisted in payment suspension of a few months, with additional interest that may or not continue to accrue during the suspension period. Accordingly, the modi\ufb01cation was generally considered as not substantial. The associated discount (linked to the absence of interest accruing, or interest accruing at a rate that was lower than the EIR of the loan) was therefore recognised in NBI, subject to meeting certain criteria (1) . In such cases, the moratorium was considered as not being granted in response to the borrower\u2019s \ufb01nancial dif\ufb01culties, but in response to a temporary liquidity crisis and the credit risk was not considered to have signi\ufb01cantly increased. Modi\ufb01cations to \ufb01nancial assets that are not due to a borrower\u2019s \ufb01nancial dif\ufb01culties, or granted in the context of a moratorium (i.e. commercial renegotiations) are generally analysed as the early repayment of the former loan, which is then derecognised, followed by the set-up of a new loan at market conditions. They consist in resetting the interest rate of the loan at market conditions, with the client being in a position to change lender and not encountering any \ufb01nancial dif\ufb01culties. Probation periods The Group applies observation periods to assess the possible return to a better stage. Accordingly, a 3-month probation period is observed for the transition from stage 3 to stage 2, which is extended to 12 months in the event of restructuring due to \ufb01nancial dif\ufb01culties. For the transition from stage 2 to stage 1, a probation period of two years is observed for loans that have been restructured due to \ufb01nancial dif\ufb01culties. (1) Moratoria quali\ufb01ed as \u201cCovid-19 General moratorium Measure\u201d (i.e. meeting the criteria de\ufb01ned in EBA Guidelines published on 2 April 2020 and amended on 2 December 2020) or similar measures that do not lead to a transfer to stage 3. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 199 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements 1.e.6 Cost of risk Cost of risk includes the following items of pro\ufb01t or loss: \u25a0 impairment gains and losses resulting from the accounting of loss allowances for 12-month expected credit losses and lifetime expected credit losses (\u201cstage 1\u201d and \u201cstage 2\u201d) relating to debt instruments measured at amortised cost or at fair value through shareholders\u2019 equity, loan commitments and \ufb01nancial guarantee contracts that are not recognised at fair value as well as lease receivables, contract assets and trade receivables; \u25a0 impairment gains and losses resulting from the accounting of loss allowances relating to \ufb01nancial assets (including those at fair value through pro\ufb01t or loss) for which there is objective evidence of impairment (\u201cstage 3\u201d), write-offs on irrecoverable loans and amounts recovered on loans written-off; \u25a0 impairment gains and losses relating to \ufb01xed-income securities of insurance entities that are individually impaired (which fall under IAS 39). It also includes expenses relating to fraud and to disputes inherent to the \ufb01nancing activity.1.e.7 Financial instruments at fair value through profit or loss Trading portfolio and other financial assets measured at fair value through profit or loss The trading portfolio includes instruments held for trading (trading transactions), including derivatives. Other \ufb01nancial assets measured at fair value through pro\ufb01t or loss include debt instruments that do not meet the \u201ccollect\u201d or \u201ccollect and sale\u201d business model criterion or that do not meet the cash \ufb02ow criterion, as well as equity instruments for which the fair value through shareholders\u2019 equity option has not been retained. All those \ufb01nancial instruments are measured at fair value at initial recognition, with transaction costs directly posted in pro\ufb01t or loss. At the reporting date, they are measured at fair value, with changes presented in \u201cNet gain/loss on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d. Income, dividends, and realised gains and losses on disposal related to held-for-trading transactions are accounted for in the same pro\ufb01t or loss account. Financial liabilities designated as at fair value through profit or loss Financial liabilities are recognised under option in this category in the two following situations: \u25a0 for hybrid \ufb01nancial instruments containing one or more embedded derivatives which otherwise would have been separated and accounted for separately. An embedded derivative is such that its economic characteristics and risks are not closely related to those of the host contract; \u25a0 when using the option enables the entity to eliminate or signi\ufb01cantly reduce a mismatch in the measurement and accounting treatment of assets and liabilities that would otherwise arise if they were to be classi\ufb01ed in separate categories. Changes in fair value due to the own credit risk are recognised under a speci\ufb01c heading of shareholders\u2019 equity.1.e.8 Financial liabilities and equity instruments A \ufb01nancial instrument issued or its various components are classi\ufb01ed as a \ufb01nancial liability or equity instrument, in accordance with the economic substance of the legal contract. Financial instruments issued by the Group are quali\ufb01ed as debt instruments if the entity in the Group issuing the instruments has a contractual obligation to deliver cash or another \ufb01nancial asset to the holder of the instrument. The same applies if the Group is required to exchange \ufb01nancial assets or \ufb01nancial liabilities with another entity under conditions that are potentially unfavourable to the Group, or to deliver a variable number of the Group\u2019s own equity instruments. Equity instruments result from contracts evidencing a residual interest in an entity\u2019s assets after deducting all of its liabilities. Debt securities and subordinated debt Debt securities and subordinated debt are measured at amortised cost unless they are recognised at fair value through pro\ufb01t or loss. Debt securities are initially recognised at the issue value including transaction costs and are subsequently measured at amortised cost using the effective interest method. Bonds redeemable or convertible into own equity are hybrid instruments that may contain a debt component and an equity component, determined upon initial recognition of the transaction. Equity instruments The term \u201cown equity instruments\u201d refers to shares issued by the parent company (BNP Paribas SA) and by its fully consolidated subsidiaries. External costs that are directly attributable to an issue of new shares are deducted from equity net of all related taxes. Own equity instruments held by the Group, also known as treasury shares, are deducted from consolidated shareholders\u2019 equity irrespective of the purpose for which they are held. Gains and losses arising on such instruments are eliminated from the consolidated pro\ufb01t and loss account. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 200 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements When the Group acquires equity instruments issued by subsidiaries under the exclusive control of BNP Paribas, the difference between the acquisition price and the share of net assets acquired is recorded in retained earnings attributable to BNP Paribas shareholders. Similarly, the liability corresponding to put options granted to minority shareholders in such subsidiaries, and changes in the value of that liability, are offset against minority interests, with any surplus offset against retained earnings attributable to BNP Paribas shareholders. Until these options have been exercised, the portion of net income attributable to minority interests is allocated to minority interests in the pro\ufb01t and loss account. A decrease in the Group\u2019s interest in a fully consolidated subsidiary is recognised in the Group\u2019s accounts as a change in shareholders\u2019 equity. Financial instruments issued by the Group and classi\ufb01ed as equity instruments (e.g. Undated Super Subordinated Notes) are presented in the balance sheet in \u201cCapital and retained earnings\u201d. Distributions from a \ufb01nancial instrument classi\ufb01ed as an equity instrument are recognised directly as a deduction from equity. Similarly, the transaction costs of an instrument classi\ufb01ed as equity are recognised as a deduction from shareholders\u2019 equity. Own equity instrument derivatives are treated as follows, depending on the method of settlement: \u25a0 as equity instruments if they are settled by physical delivery of a \ufb01xed number of own equity instruments for a \ufb01xed amount of cash or other \ufb01nancial asset. Such instruments are not revalued; \u25a0 as derivatives if they are settled in cash or by choice by physical delivery of the shares or in cash. Changes in value of such instruments are taken to the pro\ufb01t and loss account. If the contract includes an obligation, whether contingent or not, for the bank to repurchase its own shares, the bank recognises the debt at its present value with an offsetting entry in shareholders\u2019 equity.1.e.9 Hedge accounting The Group retained the option provided by the standard to maintain the hedge accounting requirements of IAS 39 until the future standard on macro- hedging is entered into force. Furthermore, IFRS 9 does not explicitly address the fair value hedge of the interest rate risk on a portfolio of \ufb01nancial assets or liabilities. The provisions in IAS 39 for these portfolio hedges, as adopted by the European Union, continue to apply. Derivatives contracted as part of a hedging relationship are designated according to the purpose of the hedge. Fair value hedges are particularly used to hedge interest rate risk on \ufb01xed-rate assets and liabilities, both for identi\ufb01ed \ufb01nancial instruments (securities, debt issues, loans, borrowings) and for portfolios of \ufb01nancial instruments (in particular, demand deposits and \ufb01xed-rate loans). Cash \ufb02ow hedges are particularly used to hedge interest rate risk on \ufb02oating-rate assets and liabilities, including rollovers, and foreign exchange risks on highly probable forecast foreign currency revenues. At the inception of the hedge, the Group prepares formal documentation which details the hedging relationship, identifying the instrument, or portion of the instrument, or portion of risk that is being hedged, the hedging strategy and the type of risk hedged, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship. On inception and at least quarterly, the Group assesses, in consistency with the original documentation, the actual (retrospective) and expected (prospective) effectiveness of the hedging relationship. Retrospective effectiveness tests are designed to assess whether the ratio of actual changes in the fair value or cash \ufb02ows of the hedging instrument to those in the hedged item is within a range of 80% to 125%. Prospective effectiveness tests are designed to ensure that expected changes in the fair value or cash \ufb02ows of the derivative over the residual life of the hedge adequately offset those of the hedged item. For highly probable forecast transactions, effectiveness is assessed largely on the basis of historical data for similar transactions. Under IAS 39 as adopted by the European Union, which excludes certain provisions on portfolio hedging, interest rate risk hedging relationships based on portfolios of assets or liabilities qualify for fair value hedge accounting as follows: \u25a0 the risk designated as being hedged is the interest rate risk associated with the interbank rate component of interest rates on commercial banking transactions (loans to customers, savings accounts and demand deposits); \u25a0 the instruments designated as being hedged correspond, for each maturity band, to a portion of the interest rate gap associated with the hedged underlying; \u25a0 the hedging instruments used consist exclusively of \u201cplain vanilla\u201d swaps; \u25a0 prospective hedge effectiveness is established by the fact that all derivatives must, on inception, have the effect of reducing interest rate risk in the portfolio of hedged underlying. Retrospectively, a hedge will be disquali\ufb01ed from hedge accounting once a shortfall arises in the underlying speci\ufb01cally associated with that hedge for each maturity band (due to prepayment of loans or withdrawals of deposits). The accounting treatment of derivatives and hedged items depends on the hedging strategy. In a fair value hedging relationship, the derivative instrument is remeasured at fair value in the balance sheet, with changes in fair value recognised in pro\ufb01t or loss in \u201cNet gain/loss on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d, symmetrically with the remeasurement of the hedged item to re\ufb02ect the hedged risk. In the balance sheet, the fair value remeasurement of the hedged component is recognised in accordance with the classi\ufb01cation of the hedged item in the case of a hedge of identi\ufb01ed assets and liabilities, or under \u201cRemeasurement adjustment on interest rate risk hedged portfolios\u201d in the case of a portfolio hedging relationship. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 201 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements If a hedging relationship ceases or no longer ful\ufb01ls the effectiveness criteria, the hedging instrument is transferred to the trading book and accounted for using the treatment applied to this category. In the case of identi\ufb01ed \ufb01xed-income instruments, the remeasurement adjustment recognised in the balance sheet is amortised at the effective interest rate over the remaining life of the instrument. In the case of interest rate risk hedged \ufb01xed-income portfolios, the adjustment is amortised on a straight-line basis over the remainder of the original term of the hedge. If the hedged item no longer appears in the balance sheet, in particular due to prepayments, the adjustment is taken to the pro\ufb01t and loss account immediately. In a cash \ufb02ow hedging relationship, the derivative is measured at fair value in the balance sheet, with changes in fair value taken to shareholders\u2019 equity on a separate line, \u201cChanges in fair value recognised directly in equity\u201d. The amounts taken to shareholders\u2019 equity over the life of the hedge are transferred to the pro\ufb01t and loss account under \u201cNet interest income\u201d as and when the cash \ufb02ows from the hedged item impact pro\ufb01t or loss. The hedged items continue to be accounted for using the treatment speci\ufb01c to the category to which they belong. If the hedging relationship ceases or no longer ful\ufb01ls the effectiveness criteria, the cumulative amounts recognised in shareholders\u2019 equity as a result of the remeasurement of the hedging instrument remain in equity until the hedged transaction itself impacts pro\ufb01t or loss, or until it becomes clear that the transaction will not occur, at which point they are transferred to the pro\ufb01t and loss account. If the hedged item ceases to exist, the cumulative amounts recognised in shareholders\u2019 equity are immediately taken to the pro\ufb01t and loss account. Whatever the hedging strategy used, any ineffective portion of the hedge is recognised in the pro\ufb01t and loss account under \u201cNet gain/loss on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d. Hedges of net foreign currency investments in subsidiaries and branches are accounted for in the same way as cash \ufb02ow hedges. Hedging instruments may be foreign exchange derivatives or any other non-derivative \ufb01nancial instrument.1.e.11 Derecognition of financial assets and financial liabilities Derecognition of financial assets The Group derecognises all or part of a \ufb01nancial asset when the contractual rights to the cash \ufb02ows of the asset expire, or when the Group transfers the asset \u2013 either on the basis of a transfer of the contractual rights to its cash \ufb02ows, or by retaining the contractual rights to receive the cash \ufb02ows of the asset while assuming an obligation to pay the cash \ufb02ows of the asset under an eligible pass-through arrangement \u2013 as well as substantially all the risks and rewards of the asset. Where the Group has transferred the cash \ufb02ows of a \ufb01nancial asset but has neither transferred nor retained substantially all the risks and rewards of ownership of the \ufb01nancial asset and has not in practice retained control of the \ufb01nancial asset, the Group derecognises the \ufb01nancial asset and then records separately, if necessary, an asset or liability representing the rights and obligations created or held as part of the transfer of the asset. If the Group has retained control of the \ufb01nancial asset, it maintains it on its balance sheet to the extent of its continuing involvement in that asset. Upon the derecognition of a \ufb01nancial asset in its entirety, a gain or loss on disposal is recognised in the pro\ufb01t and loss account for an amount equal to the difference between the carrying amount of the asset and the value of the consideration received, adjusted where appropriate for any unrealised gain or loss previously recognised directly in equity. If all these conditions are not met, the Group retains the asset in its balance sheet and recognises a liability for the obligations arising on the transfer of the asset. Derecognition of financial liabilities The Group derecognises all or part of a \ufb01nancial liability when the liability is extinguished, i.e. when the obligation speci\ufb01ed in the contract is extinguished, cancelled or expired. A \ufb01nancial liability may also be derecognised in the event of a substantial change in its contractual terms or if exchanged with the lender for an instrument with substantially different contractual terms. Repurchase agreements and securities lending/borrowing Securities temporarily sold under repurchase agreements continue to be recognised in the Group\u2019s balance sheet in the category of securities to which they belong. The corresponding liability is recognised at amortised cost under the appropriate \u201cFinancial liabilities at amortised cost\u201d category on the balance sheet, except in the case of repurchase agreements contracted for trading purposes, for which the corresponding liability is recognised in \u201cFinancial liabilities at fair value through pro\ufb01t or loss\u201d. Securities temporarily acquired under reverse repurchase agreements are not recognised in the Group\u2019s balance sheet. The corresponding receivable is recognised at amortised cost under the appropriate \u201cFinancial assets at amortised cost\u201d category in the balance sheet, except in the case of reverse repurchase agreements contracted for trading purposes, for which the corresponding receivable is recognised in \u201cFinancial assets at fair value through pro\ufb01t or loss\u201d. Securities lending transactions do not result in derecognition of the lent securities, and securities borrowing transactions do not result in recognition of the borrowed securities on the balance sheet. In cases where the borrowed securities are subsequently sold by the Group, the obligation to deliver the borrowed securities on maturity is recognised on the balance sheet under \u201cFinancial liabilities at fair value through pro\ufb01t or loss\u201d.1.e.12 Offsetting financial assets and financial liabilities A \ufb01nancial asset and a \ufb01nancial liability are offset and the net amount presented in the balance sheet if, and only if, the Group has a legally enforceable right to set off the recognised amounts, and intends either to settle on a net basis, or to realise the asset and settle the liability simultaneously. Repurchase agreements and derivatives that meet the two criteria set out in the accounting standard are offset in the balance sheet.1.f.2 Financial investments and other assets related to insurance activities Financial investments and other assets related to insurance activities mainly include: \u25a0 investments by insurance entities in \ufb01nancial instruments that are recognised in accordance with the principles of IAS 39, which include investments representing technical reserves of insurance activities and notably unit-linked contracts; \u25a0 derivative instruments with a positive fair value. Group insurance entities underwrite derivative instruments for hedging purposes; \u25a0 investment properties; \u25a0 equity method investments; \u25a0 reinsurers\u2019 share in liabilities arising from insurance and investment contracts; and \u25a0 policyholders\u2019 surplus reserve. Investments in financial instruments Financial investments held by the Group\u2019s insurance entities are classi\ufb01ed in one of the four categories provided for in IAS 39: Financial assets at fair value through pro\ufb01t or loss, held-to-maturity \ufb01nancial assets, loans and receivables and available-for-sale \ufb01nancial assets. Financial assets at fair value through profit or loss The category \u2018Financial assets at fair value through pro\ufb01t or loss\u2019 includes derivatives and \ufb01nancial assets that the Group has elected to recognise and measure at fair value through pro\ufb01t or loss at inception, in accordance with the option offered by IAS 39. Financial assets may be designated at fair value through pro\ufb01t or loss in the following cases (in accordance with IAS 39): \u25a0 hybrid \ufb01nancial instruments containing one or more embedded derivatives which otherwise would have been separated and accounted for separately. An embedded derivative is such that its economic characteristics and risks are not closely related to those of the host contract; \u25a0 where using the option enables the entity to eliminate or signi\ufb01cantly reduce a mismatch in the measurement and accounting treatment of assets and liabilities that would arise if they were to be classi\ufb01ed in separate accounting categories; \u25a0 when the group of \ufb01nancial assets and/or \ufb01nancial liabilities is managed and measured on the basis of fair value, in accordance with a documented risk management and investment strategy. Investments held in respect of insurance or investment contracts where the \ufb01nancial risk is borne by policyholders (unit-linked contracts) are recognised at fair value option through pro\ufb01t or loss. When the Group measures at fair value through pro\ufb01t or loss investments made in respect of its insurance activities in entities over which it exercises signi\ufb01cant in\ufb02uence or joint control, these investments are presented under the line \u201cFinancial assets at fair value through pro\ufb01t or loss\u201d (see note 1.b.2). Financial instruments classi\ufb01ed in this category are initially recognised at their fair value, with transaction costs being directly recognised in the income statement. At the closing date, they are valued at their fair value. Changes in value compared to the last valuation, income, dividends and realised gains and losses are presented under \u201cNet income from insurance activities\u201d and under \u201cNet gain on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 204 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Loans and advances Fixed or determinable income securities, which are not quoted in an active market, other than those for which the holder may not recover substantially all of its initial investment for reasons other than credit deterioration, are classi\ufb01ed as \u201cLoans and receivables\u201d when they do not meet the conditions for classi\ufb01cation as \ufb01nancial assets at fair value through pro\ufb01t or loss. Loans and receivables are initially recognised at their fair value or equivalent, which generally corresponds to the net amount originally paid. Loans and receivables are subsequently measured at amortised cost using the effective interest method and net of repayments of principal and interest. Interest is calculated using the effective interest method, which includes interest, transaction costs and commissions included in their initial value and is presented under \u201cNet income from insurance activities\u201d and under sub-heading \u201cNet gain on \ufb01nancial instruments at amortised cost\u201d. Impairment losses recognised when there is objective evidence of impairment related to an event subsequent to the acquisition of the asset are presented under \u201cCost of risk\u201d.Held-to-maturity financial assets \u201cHeld-to-maturity \ufb01nancial assets\u201d include debt securities, with \ufb01xed maturity, that the Group has the intention and ability to hold until maturity. Securities classi\ufb01ed in this category are recognised at amortised cost using the effective interest method. Income received on these securities is presented under \u201cNet income from insurance activities\u201d and under sub-heading \u201cNet gain on \ufb01nancial instruments at amortised cost\u201d. Impairment losses recognised when there is objective evidence of impairment related to an event subsequent to the acquisition of the asset are presented under \u201cCost of risk\u201d.Available-for-sale financial assets The category \u201cAvailable-for-sale \ufb01nancial assets\u201d includes debt or equity securities that do not fall within the previous three categories. Assets included in the available-for-sale category are initially recorded at fair value, plus transaction costs where material. At the end of the reporting period, they are valued at their fair value and the changes in the latter, excluding accrued income, are presented under a speci\ufb01c heading of equity. On disposal of the securities, these unrealised gains or losses previously recognised in equity are reclassi\ufb01ed in the income statement under the heading \u201cNet income from insurance activities\u201d. Income recognised using the effective interest method on debt securities, dividends received and impairment (in the event of a signi\ufb01cant or lasting decline in the value of the securities) of equity securities are presented under \u201cNet income from insurance activities\u201d and under section \u201cNet gain on available-for-sale \ufb01nancial assets\u201d. Impairment losses on debt securities are presented under \u201cCost of risk\u201d.Investment property Investment property corresponds to buildings held directly by insurance companies and property companies controlled. Investment property, except for those used for unit-linked contracts, is recognised at cost and follows the accounting methods of the assets described elsewhere. Investment property, held in respect of unit-linked contracts, is valued at fair value or equivalent, with changes in value recognised in the income statement.Equity method investments Investments in entities or real estate funds over which the Group exercises signi\ufb01cant in\ufb02uence or joint control and for which the equity method is applied are recognised in the line \u201cEquity method investments\u201d.The accounting classi\ufb01cation of securitisation positions in the banking book is shown in Table 9 Prudential balance sheet by risk type (EU LI1-B). Securitisation positions classi\ufb01ed as \u201cFinancial assets at amortised cost\u201d are measured using the method described in note 1.e.1 to the \ufb01nancial statements: the ef\ufb01cient interest rate used to recognise interest income is measured on the basis of an expected cash \ufb02ow model. From the outset, these positions are subject to an impairment calculation for expected credit risk losses (see note 1.e.5). Securitisation positions classi\ufb01ed on an accounting basis as \u201cFinancial assets at fair value through equity\u201d are measured using the method described in note 1.e.2 to the financial statements. Changes in fair value determined according to the principles listed in note 1.e.10 to the \ufb01nancial statements (excluding revenue recognised using the ef\ufb01cient interest method) are presented in a speci\ufb01c subsection of shareholders\u2019 equity along with expected credit risk losses calculated using the methods described in note 1.e.5 to the financial statements. Upon disposal, amounts previously recognised in recyclable equity are transferred to the pro\ufb01t and loss account. Securitisation positions classi\ufb01ed on an accounting basis as \u201cFinancial instruments at fair value through pro\ufb01t or loss\u201d are measured using the method described in note 1.e.7 to the \ufb01nancial statements. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 462 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Securitisation in the banking book Proceeds from the sale of securitisation positions are recognised in accordance with rules for the category of origin of positions sold. Synthetic securitisations in the form of credit derivatives (credit default swaps) or guarantees received follow accounting rules appertaining respectively: \u25a0 to trading portfolio derivatives. These are measured at fair value through pro\ufb01t or loss (see note 1.e.7 to the \ufb01nancial statements); \u25a0 to financial guarantees received, which cannot be considered as forming an integral part of secured assets. If it is virtually certain that a loss caused by a defaulting debtor will be offset by the guarantor, the guarantee is then recognised as a reimbursement asset (right to reimbursement for expected credit losses) and expected credit losses on the asset are, at the same time, recognised in pro\ufb01t or loss. The overall impact in terms of pro\ufb01t or loss is the same as if the guarantee had been recognised in the measurement of expected credit losses, with the difference that the guarantee received is shown as a reimbursement asset rather than as a reduction in the expected credit losses on the asset. Assets awaiting securitisation are classi\ufb01ed as: \u25a0 \ufb01nancial instruments at amortised cost or at fair value through equity and in the prudential banking book in the case of exposures resulting from the bank\u2019s balance sheet, for which the Bank will be originator in the future securitisation within the meaning of Basel 3; \u25a0 \ufb01nancial instruments at fair value through pro\ufb01t or loss and in the prudential banking book in the case of exposures purchased and put into warehousing, for which the bank will be sponsor in the future securitisation within the meaning of regulation.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForFinancialInstrumentsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9574": {
   "value": "1.e FINANCIAL ASSETS AND LIABILITIES Financial assets, except those relating to insurance activities (see note 1.f) are classi\ufb01ed at amortised cost, at fair value through shareholders\u2019 equity or at fair value through pro\ufb01t or loss depending on the business model and the contractual features of the instruments at initial recognition. Financial liabilities are classi\ufb01ed at amortised cost or at fair value through pro\ufb01t or loss at initial recognition. Financial assets and liabilities are recognised in the balance sheet when the Group becomes a party to the contractual provisions of the instrument. Purchases and sales of \ufb01nancial assets made within a period established by the regulations or by a convention in the relevant marketplace are recognised in the balance sheet at the settlement date.1.e.1 Financial assets at amortised cost Financial assets are classi\ufb01ed at amortised cost if the following two criteria are met: the business model objective is to hold the instrument in order to collect the contractual cash \ufb02ows and the cash \ufb02ows consist solely of payments relating to principal and interest on the principal. Business model criterion Financial assets are managed within a business model whose objective is to hold \ufb01nancial assets in order to collect cash \ufb02ows through the collection of contractual payments over the life of the instrument. The realisation of disposals close to the maturity of the instrument and for an amount close to the remaining contractual cash-\ufb02ows, or due to an increase in the counterparty\u2019s credit risk is consistent with a business model whose objective is to collect the contractual cash \ufb02ows (\u201ccollect\u201d). Sales imposed by regulatory requirements or to manage the concentration of credit risk (without an increase in the asset\u2019s credit risk) are also consistent with this business model when they are infrequent or insigni\ufb01cant in value. Cash flow criterion The cash \ufb02ow criterion is satis\ufb01ed if the contractual terms of the debt instrument give rise, on speci\ufb01ed dates, to cash \ufb02ows that are solely repayments of principal and interest on the principal amount outstanding. The criterion is not met in the event of a contractual characteristic that exposes the holder to risks or to the volatility of contractual cash \ufb02ows that are inconsistent with those of a non-structured or \u201cbasic lending\u201d arrangement. It is also not satis\ufb01ed in the event of leverage that increases the variability of the contractual cash \ufb02ows. Interest consists of consideration for the time value of money, for the credit risk, and for the remuneration of other risks (e.g. liquidity risk), costs (e.g. administration fees), and a pro\ufb01t margin consistent with that of a basic lending arrangement. The existence of negative interest does not call into question the cash \ufb02ow criterion. The time value of money is the component of interest \u2013 usually referred to as the \u201crate\u201d component \u2013 which provides consideration for only the passage of time. The relationship between the interest rate and the passage of time must not be modi\ufb01ed by speci\ufb01c characteristics that could call into question the respect of the cash \ufb02ow criterion. Thus, when the variable interest rate of the \ufb01nancial asset is periodically reset at a frequency that does not match the duration for which the interest rate is established, the time value of money may be considered as modi\ufb01ed and, depending on the signi\ufb01cance of that modi\ufb01cation, the cash \ufb02ow criterion may not be met. Some \ufb01nancial assets held by the Group present a mismatch between the interest rate reset frequency and the maturity of the index, or interest rates indexed to an average of benchmark rate. The Group has developed a consistent methodology for analysing this alteration of the time value of money. Regulated rates meet the cash \ufb02ow criterion when they provide consideration that is broadly consistent with the passage of time and does not expose to risks or volatility in the contractual cash \ufb02ows that would be inconsistent with those of a basic lending arrangement (example: loans granted in the context of Livret A savings accounts). Some contractual clauses may change the timing or the amount of cash \ufb02ows. Early redemption options do not call into question the cash \ufb02ow criterion if the prepayment amount substantially represents the principal amount outstanding and the interest thereon, which may include reasonable compensation for the early termination of the contract. For example, as regards loans to retail customers, the compensation limited to 6 months of interest or 3% 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 194 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements of the capital outstanding is considered reasonable. Actuarial penalties, corresponding to the discounted value of the difference between the residual contractual cash-\ufb02ows of the loan, and their reinvestment in a loan to a similar counterparty or in the interbank market for a similar residual maturity are also considered as reasonable, even when the compensation can be positive or negative (i.e. \u201csymmetric\u201d compensation). An option that permits the issuer or the holder of a \ufb01nancial instrument to change the interest rate from \ufb02oating to \ufb01xed rate does not breach the cash \ufb02ow criterion if the \ufb01xed rate is determined at origination, or if it represents the time value of money for the residual maturity of the instrument at the date of exercise of the option. Clauses included in \ufb01nancing granted to encourage the sustainable development of companies which adjust the interest margin depending on the achievement of environmental, social or governance (ESG) objectives do not call into question the cash \ufb02ow criterion when such an adjustment is considered to be minimal. Structured instruments indexed to ESG market indices do not meet the cash \ufb02ow criterion. In the particular case of \ufb01nancial assets contractually linked to payments received on a portfolio of underlying assets and which include a priority order for payment of cash \ufb02ows between investors (\u201ctranches\u201d), thereby creating concentrations of credit risk, a speci\ufb01c analysis is carried out. The contractual characteristics of the tranche and those of the underlying \ufb01nancial instrument portfolios must meet the cash \ufb02ow criterion and the credit risk exposure of the tranche must be equal to or lower than the exposure to credit risk of the underlying pool of \ufb01nancial instruments. Certain loans may be \u201cnon-recourse\u201d, either contractually, or in substance when they are granted to a special purpose entity. That is in particular the case of numerous project \ufb01nancing or asset \ufb01nancing loans. The cash-\ufb02ow criterion is met as long as these loans do not represent a direct exposure on the assets acting as collateral. In practice, the sole fact that the \ufb01nancial asset explicitly gives rise to cash \ufb02ows that are consistent with payments of principal and interest is not suf\ufb01cient to conclude that the instrument meets the cash \ufb02ow criterion. In that case, the particular underlying assets to which there is limited recourse shall be analysed using the \u201clook-through\u201d approach. If those assets do not themselves meet the cash \ufb02ow criterion, the existing credit enhancement is assessed. The following aspects are considered: structuring and sizing of the transaction, own funds level of the structure, expected source of repayment, price volatility of the underlying assets. This analysis is applied to \u201cnon-recourse\u201d loans granted by the Group. The \u201c\ufb01nancial assets at amortised cost\u201d category includes, in particular, loans granted by the Group, as well as reverse repurchase agreements and securities held by the Group ALM Treasury in order to collect contractual \ufb02ows and meeting the cash \ufb02ow criterion. Recognition On initial recognition, \ufb01nancial assets are recognised at fair value, including transaction costs directly attributable to the transaction as well as commissions related to the origination of the loans. They are subsequently measured at amortised cost, including accrued interest and net of repayments of principal and interest during the past period. These \ufb01nancial assets are also subject from their initial recognition, to the measurement of a loss allowance for expected credit losses (note 1.e.5). Interest is calculated using the effective interest method determined at inception of the contract.Loans and advances Fixed or determinable income securities, which are not quoted in an active market, other than those for which the holder may not recover substantially all of its initial investment for reasons other than credit deterioration, are classi\ufb01ed as \u201cLoans and receivables\u201d when they do not meet the conditions for classi\ufb01cation as \ufb01nancial assets at fair value through pro\ufb01t or loss. Loans and receivables are initially recognised at their fair value or equivalent, which generally corresponds to the net amount originally paid. Loans and receivables are subsequently measured at amortised cost using the effective interest method and net of repayments of principal and interest. Interest is calculated using the effective interest method, which includes interest, transaction costs and commissions included in their initial value and is presented under \u201cNet income from insurance activities\u201d and under sub-heading \u201cNet gain on \ufb01nancial instruments at amortised cost\u201d. Impairment losses recognised when there is objective evidence of impairment related to an event subsequent to the acquisition of the asset are presented under \u201cCost of risk\u201d.",
   "dimensions": {
    "concept": "bnpp:DescriptionOfAccountingPolicyForFinancialAssetsAtAmortisedCostExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-1318": {
   "value": "1.e FINANCIAL ASSETS AND LIABILITIES Financial assets, except those relating to insurance activities (see note 1.f) are classi\ufb01ed at amortised cost, at fair value through shareholders\u2019 equity or at fair value through pro\ufb01t or loss depending on the business model and the contractual features of the instruments at initial recognition. Financial liabilities are classi\ufb01ed at amortised cost or at fair value through pro\ufb01t or loss at initial recognition. Financial assets and liabilities are recognised in the balance sheet when the Group becomes a party to the contractual provisions of the instrument. Purchases and sales of \ufb01nancial assets made within a period established by the regulations or by a convention in the relevant marketplace are recognised in the balance sheet at the settlement date.1.e.1 Financial assets at amortised cost Financial assets are classi\ufb01ed at amortised cost if the following two criteria are met: the business model objective is to hold the instrument in order to collect the contractual cash \ufb02ows and the cash \ufb02ows consist solely of payments relating to principal and interest on the principal. Business model criterion Financial assets are managed within a business model whose objective is to hold \ufb01nancial assets in order to collect cash \ufb02ows through the collection of contractual payments over the life of the instrument. The realisation of disposals close to the maturity of the instrument and for an amount close to the remaining contractual cash-\ufb02ows, or due to an increase in the counterparty\u2019s credit risk is consistent with a business model whose objective is to collect the contractual cash \ufb02ows (\u201ccollect\u201d). Sales imposed by regulatory requirements or to manage the concentration of credit risk (without an increase in the asset\u2019s credit risk) are also consistent with this business model when they are infrequent or insigni\ufb01cant in value. Cash flow criterion The cash \ufb02ow criterion is satis\ufb01ed if the contractual terms of the debt instrument give rise, on speci\ufb01ed dates, to cash \ufb02ows that are solely repayments of principal and interest on the principal amount outstanding. The criterion is not met in the event of a contractual characteristic that exposes the holder to risks or to the volatility of contractual cash \ufb02ows that are inconsistent with those of a non-structured or \u201cbasic lending\u201d arrangement. It is also not satis\ufb01ed in the event of leverage that increases the variability of the contractual cash \ufb02ows. Interest consists of consideration for the time value of money, for the credit risk, and for the remuneration of other risks (e.g. liquidity risk), costs (e.g. administration fees), and a pro\ufb01t margin consistent with that of a basic lending arrangement. The existence of negative interest does not call into question the cash \ufb02ow criterion. The time value of money is the component of interest \u2013 usually referred to as the \u201crate\u201d component \u2013 which provides consideration for only the passage of time. The relationship between the interest rate and the passage of time must not be modi\ufb01ed by speci\ufb01c characteristics that could call into question the respect of the cash \ufb02ow criterion. Thus, when the variable interest rate of the \ufb01nancial asset is periodically reset at a frequency that does not match the duration for which the interest rate is established, the time value of money may be considered as modi\ufb01ed and, depending on the signi\ufb01cance of that modi\ufb01cation, the cash \ufb02ow criterion may not be met. Some \ufb01nancial assets held by the Group present a mismatch between the interest rate reset frequency and the maturity of the index, or interest rates indexed to an average of benchmark rate. The Group has developed a consistent methodology for analysing this alteration of the time value of money. Regulated rates meet the cash \ufb02ow criterion when they provide consideration that is broadly consistent with the passage of time and does not expose to risks or volatility in the contractual cash \ufb02ows that would be inconsistent with those of a basic lending arrangement (example: loans granted in the context of Livret A savings accounts). Some contractual clauses may change the timing or the amount of cash \ufb02ows. Early redemption options do not call into question the cash \ufb02ow criterion if the prepayment amount substantially represents the principal amount outstanding and the interest thereon, which may include reasonable compensation for the early termination of the contract. For example, as regards loans to retail customers, the compensation limited to 6 months of interest or 3% 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 194 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements of the capital outstanding is considered reasonable. Actuarial penalties, corresponding to the discounted value of the difference between the residual contractual cash-\ufb02ows of the loan, and their reinvestment in a loan to a similar counterparty or in the interbank market for a similar residual maturity are also considered as reasonable, even when the compensation can be positive or negative (i.e. \u201csymmetric\u201d compensation). An option that permits the issuer or the holder of a \ufb01nancial instrument to change the interest rate from \ufb02oating to \ufb01xed rate does not breach the cash \ufb02ow criterion if the \ufb01xed rate is determined at origination, or if it represents the time value of money for the residual maturity of the instrument at the date of exercise of the option. Clauses included in \ufb01nancing granted to encourage the sustainable development of companies which adjust the interest margin depending on the achievement of environmental, social or governance (ESG) objectives do not call into question the cash \ufb02ow criterion when such an adjustment is considered to be minimal. Structured instruments indexed to ESG market indices do not meet the cash \ufb02ow criterion. In the particular case of \ufb01nancial assets contractually linked to payments received on a portfolio of underlying assets and which include a priority order for payment of cash \ufb02ows between investors (\u201ctranches\u201d), thereby creating concentrations of credit risk, a speci\ufb01c analysis is carried out. The contractual characteristics of the tranche and those of the underlying \ufb01nancial instrument portfolios must meet the cash \ufb02ow criterion and the credit risk exposure of the tranche must be equal to or lower than the exposure to credit risk of the underlying pool of \ufb01nancial instruments. Certain loans may be \u201cnon-recourse\u201d, either contractually, or in substance when they are granted to a special purpose entity. That is in particular the case of numerous project \ufb01nancing or asset \ufb01nancing loans. The cash-\ufb02ow criterion is met as long as these loans do not represent a direct exposure on the assets acting as collateral. In practice, the sole fact that the \ufb01nancial asset explicitly gives rise to cash \ufb02ows that are consistent with payments of principal and interest is not suf\ufb01cient to conclude that the instrument meets the cash \ufb02ow criterion. In that case, the particular underlying assets to which there is limited recourse shall be analysed using the \u201clook-through\u201d approach. If those assets do not themselves meet the cash \ufb02ow criterion, the existing credit enhancement is assessed. The following aspects are considered: structuring and sizing of the transaction, own funds level of the structure, expected source of repayment, price volatility of the underlying assets. This analysis is applied to \u201cnon-recourse\u201d loans granted by the Group. The \u201c\ufb01nancial assets at amortised cost\u201d category includes, in particular, loans granted by the Group, as well as reverse repurchase agreements and securities held by the Group ALM Treasury in order to collect contractual \ufb02ows and meeting the cash \ufb02ow criterion. Recognition On initial recognition, \ufb01nancial assets are recognised at fair value, including transaction costs directly attributable to the transaction as well as commissions related to the origination of the loans. They are subsequently measured at amortised cost, including accrued interest and net of repayments of principal and interest during the past period. These \ufb01nancial assets are also subject from their initial recognition, to the measurement of a loss allowance for expected credit losses (note 1.e.5). Interest is calculated using the effective interest method determined at inception of the contract.1.e.2 Financial assets at fair value through shareholders\u2019 equity Debt instruments Debt instruments are classi\ufb01ed at fair value through shareholders\u2019 equity if the following two criteria are met: \u25a0 business model criterion: Financial assets are held in a business model whose objective is achieved by both holding the \ufb01nancial assets in order to collect contractual cash \ufb02ows and selling the \ufb01nancial assets (\u201ccollect and sale\u201d). The latter is not incidental but is an integral part of the business model; \u25a0 cash \ufb02ow criterion: The principles are identical to those applicable to \ufb01nancial assets at amortised cost. The securities held by the Group ALM Treasury in order to collect contractual \ufb02ows or to be sold and meeting the cash \ufb02ow criterion are in particular classi\ufb01ed in this category. On initial recognition, \ufb01nancial assets are recognised at their fair value, including transaction costs directly attributable to the transaction. They are subsequently measured at fair value and changes in fair value are recognised, under a speci\ufb01c line of shareholders\u2019 equity entitled \u201cChanges in assets and liabilities recognised directly in equity that may be reclassi\ufb01ed to pro\ufb01t or loss\u201d. These \ufb01nancial assets are also subject to the measurement of a loss allowance for expected credit losses on the same approach as for debt instruments at amortised cost. The counterparty of the related impact in cost of risk is recognised in the same speci\ufb01c line of shareholders\u2019 equity. On disposal, changes in fair value previously recognised in shareholders\u2019 equity are reclassi\ufb01ed to pro\ufb01t or loss. In addition, interest is recognised in the income statement using the effective interest method determined at the inception of the contract. Equity instruments Investments in equity instruments such as shares are classi\ufb01ed on option, and on a case-by-case basis, at fair value through shareholders\u2019 equity (under a speci\ufb01c line). On disposal of the shares, changes in fair value previously recognised in equity are not recognised in pro\ufb01t or loss. Only dividends, if they represent remuneration for the investment and not repayment of capital, are recognised in pro\ufb01t or loss. These instruments are not subject to impairment. Investments in mutual funds puttable to the issuer do not meet the de\ufb01nition of equity instruments. They do not meet the cash \ufb02ow criterion either, and thus are recognised at fair value through pro\ufb01t or loss. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 195 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements1.e.3 Financing and guarantee commitments Financing and \ufb01nancial guarantee commitments that are not recognised at fair value through pro\ufb01t or loss are presented in the note relating to \ufb01nancing and guarantee commitments. They are subject to the measurement of a loss allowance for expected credit losses. These loss allowances are presented under \u201cProvisions for contingencies and charges\u201d.1.e.5 Impairment of financial assets measured at amortised cost and debt instruments measured at fair value through shareholders\u2019 equity The impairment model for credit risk is based on expected losses. This model applies to loans and debt instruments measured at amortised cost or at fair value through equity, to loan commitments and \ufb01nancial guarantee contracts that are not recognised at fair value, as well as to lease receivables, trade receivables and contract assets. General model The Group identi\ufb01es three \u201cstages\u201d that each correspond to a speci\ufb01c status with regards to the evolution of counterparty credit risk since the initial recognition of the asset: \u25a0 12-month expected credit losses (\u201cstage 1\u201d): If at the reporting date, the credit risk of the \ufb01nancial instrument has not increased signi\ufb01cantly since its initial recognition, this instrument is impaired at an amount equal to 12-month expected credit losses (resulting from the risk of default within the next 12 months); \u25a0 Lifetime expected credit losses for non-impaired assets (\u201cstage 2\u201d): The loss allowance is measured at an amount equal to the lifetime expected credit losses if the credit risk of the \ufb01nancial instrument has increased signi\ufb01cantly since initial recognition, but the \ufb01nancial asset is not considered credit-impaired or doubtful; \u25a0 Lifetime expected credit losses for credit-impaired or doubtful \ufb01nancial assets (\u201cstage 3\u201d): The loss allowance is also measured for an amount equal to the lifetime expected credit losses. This general model is applied to all instruments within the scope of IFRS 9 impairment, except for purchased or originated credit-impaired \ufb01nancial assets and instruments for which a simpli\ufb01ed model is used (see below). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 196 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The IFRS 9 expected credit loss approach is symmetrical, i.e. if lifetime expected credit losses have been recognised in a previous reporting period, and if it is assessed in the current reporting period that there is no longer any signi\ufb01cant increase in credit risk since initial recognition, the loss allowance reverts to a 12-months expected credit loss. As regards interest income, under \u201cstages 1 and 2\u201d, it is calculated on the gross carrying amount. Under \u201cstage 3\u201d, interest income is calculated on the amortised cost (i.e. the gross carrying amount adjusted for the loss allowance). Definition of default The de\ufb01nition of default is aligned with the Basel regulatory default de\ufb01nition, with a rebuttable presumption that the default occurs no later than 90 days past due. This de\ufb01nition takes into account the EBA guidelines of 28 September 2016, notably those regarding the thresholds applicable for the counting of past-due and probation periods. The de\ufb01nition of default is used consistently for assessing the increase in credit risk and measuring expected credit losses. Credit-impaired or doubtful financial assets Definition A \ufb01nancial asset is considered credit-impaired or doubtful and classi\ufb01ed in \u201cstage 3\u201d when one or more events that have a detrimental impact on the estimated future cash \ufb02ows of that \ufb01nancial asset have occurred. At an individual level, objective evidence that a \ufb01nancial asset is credit-impaired includes observable data regarding the following events: the existence of accounts that are more than 90 days past due; knowledge or indications that the borrower is experiencing signi\ufb01cant \ufb01nancial dif\ufb01culties, such that a risk can be considered to have arisen regardless of whether the borrower has missed any payments; concessions with respect to the credit terms granted to the borrower that the lender would not have considered had the borrower not been in \ufb01nancial dif\ufb01culty (see section Restructuring of \ufb01nancial assets for \ufb01nancial dif\ufb01culties). Specific cases of purchased or originated credit-impaired assets In some cases, \ufb01nancial assets are credit-impaired at initial recognition. For these assets, no loss allowance is recorded on initial recognition. The effective interest rate is calculated taking into account the lifetime expected credit losses in the initial estimated cash \ufb02ows. Any change in lifetime expected credit losses since initial recognition, positive or negative, is recognised as a loss allowance adjustment in pro\ufb01t or loss. Simplified model The simpli\ufb01ed approach consists in accounting for a loss allowance corresponding to lifetime expected credit losses since initial recognition, and at each reporting date. The Group applies this model to trade receivables with a maturity shorter than 12 months. Significant increase in credit risk A signi\ufb01cant increase in credit risk may be assessed on an individual basis or on a collective basis (by grouping \ufb01nancial instruments according to common credit risk characteristics), taking into account all reasonable and supportable information and comparing the risk of default of the \ufb01nancial instrument at the reporting date with the risk of default of the \ufb01nancial instrument at the date of initial recognition. Assessment of deterioration is based on the comparison of the probabilities of default derived from the ratings on the date of initial recognition with those existing at the reporting date. There is also, according to the standard, a rebuttable presumption that the credit risk of an instrument has signi\ufb01cantly increased since initial recognition when the contractual payments are more than 30 days past due. In the consumer credit specialist business, a signi\ufb01cant increase in credit risk is also considered when a past due event has occurred within the last 12 months, even if it has since been regularised. In the context of the health crisis, the granting of moratoria that meet the criteria de\ufb01ned in the EBA guidelines published on 2 April 2020, and amended on 2 December 2020, has not been considered, in isolation, as an indicator of a signi\ufb01cant increase in credit risk leading to an automatic transfer to stage 2. The granting of \u201cprivate\u201d moratoria that meet equivalent criteria to those de\ufb01ned in the EBA guidelines has followed the same treatment. Moratoria do not trigger the counting of past-due days as long as the new payment schedule is respected. The principles applied to assess the signi\ufb01cant increase in credit risk are detailed in note 2.h Cost of risk. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 197 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Measurement of expected credit losses Expected credit losses are de\ufb01ned as an estimate of credit losses (i.e. the present value of all cash shortfalls) weighted by the probability of occurrence of these losses over the expected life of the \ufb01nancial instruments. They are measured on an individual basis, for all exposures. In practice, for exposures classi\ufb01ed in stage 1 and stage 2, expected credit losses are measured as the product of the probability of default (\u201cPD\u201d), Loss Given Default (\u201cLGD\u201d) and exposure at default (\u201cEAD\u201d), discounted at the effective interest rate of the exposure (EIR). They result from the risk of default within the next 12 months (stage 1), or from the risk of default over the maturity of the facility (stage 2). In the consumer credit specialist business, because of the speci\ufb01city of credit exposures, the methodology used is based on the probability of transition to term forfeiture, and on discounted loss rates after term forfeiture. These parameters are measured on a statistical basis for homogeneous populations. For exposures classi\ufb01ed in stage 3, expected credit losses are measured as the value, discounted at the effective interest rate, of all cash shortfalls over the life of the \ufb01nancial instrument. Cash shortfalls represent the difference between the cash-\ufb02ows that are due in accordance with the contract, and the cash-\ufb02ows that are expected to be received. Where appropriate, the estimate of expected cash \ufb02ows takes into account a cash \ufb02ow scenario arising from the sale of the defaulted loans or groups of loans. Proceeds from the sale are recorded net of costs to sell. The methodology developed is based on existing concepts and methods (in particular the Basel framework) on exposures for which capital requirement for credit risk is measured according to the IRBA methodology. This method is also applied to portfolios for which capital requirement for credit risk is measured according to the standardised approach. Besides, the Basel framework has been adjusted in order to be compliant with IFRS 9 requirements, in particular the use of forward-looking information. Maturity All contractual terms of the \ufb01nancial instrument are taken into account, including prepayment, extension and similar options. In the rare cases where the expected life of the \ufb01nancial instrument cannot be estimated reliably, the residual contractual term is used. The standard speci\ufb01es that the maximum period to consider when measuring expected credit losses is the maximum contractual period. However, for revolving credit cards and overdrafts, in accordance with the exception provided by IFRS 9 for these products, the maturity considered for measuring expected credit losses is the period over which the entity is exposed to credit risk, which may extend beyond the contractual maturity (notice period). For revolving credits and overdrafts to non-retail counterparties, the contractual maturity can be used, for example if the next review date is the contractual maturity as they are individually managed. Probabilities of Default (PD) Probability of Default is an estimate of the likelihood of default over a given time horizon. The determination of the PD is based on the Group\u2019s internal rating system, which is described in chapter 5 of the Universal registration document (section 5.4 Credit risk \u2013 Credit risk management policy). This section describes how environmental, social and governance (ESG) risks are taken into account in credit and rating policies, notably with the introduction of a new tool: the ESG Assessment. The measurement of expected credit losses requires the estimation of both 1-year probabilities of default and lifetime probabilities of default. 1-year PDs are derived from long term average regulatory \u201cthrough the cycle\u201d PDs to re\ufb02ect the current situation (\u201cPoint in Time\u201d or \u201cPIT\u201d). Lifetime PDs are determined based on the rating migration matrices re\ufb02ecting the expected changes in the rating of the exposure until maturity, and the associated probabilities of default. Loss Given Default (LGD) Loss Given Default is the difference between contractual cash-\ufb02ows and expected cash-\ufb02ows, discounted using the effective interest rate (or an approximation thereof) at the default date. LGD is expressed as a percentage of the Exposure At Default (EAD). The estimate of expected cash \ufb02ows takes into account cash \ufb02ows resulting from the sale of collateral held or other credit enhancements if they are part of the contractual terms and are not accounted for separately by the entity (for example, a mortgage associated with a residential loan), net of the costs of obtaining and selling the collateral. For guaranteed loans, the guarantee is considered as integral to the loan agreement if it is embedded in the contractual clauses of the loan, or if it was granted concomitantly to the loan, and if the expected reimbursement amount can be attached to a loan in particular (i.e. absence of pooling effect by means of a tranching mechanism, or the existence of a global cap for a whole portfolio). In such case, the guarantee is taken into account when measuring the expected credit losses. Otherwise, it is accounted for as a separate reimbursement asset. The LGD used for IFRS 9 purposes is derived from the Basel LGD parameters. It is adjusted for downturn and conservatism margins (in particular regulatory margins), except for margins for model uncertainties. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 198 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Exposure At Default (EAD) Exposure At Default (EAD) of an instrument is the anticipated outstanding amount owed by the obligor at the time of default. It is determined by the expected payment pro\ufb01le taking into account, depending on the product type: the contractual repayment schedule, expected early repayments and expected future drawings for revolving facilities. Forward-looking information The amount of expected credit losses is measured on the basis of probability-weighted scenarios, in view of past events, current conditions and reasonable and supportable economic forecasts. The principles applied to take into account forward-looking information when measuring expected credit losses are detailed in note 2.h Cost of risk. Write-offs A write-off consists in reducing the gross carrying amount of a \ufb01nancial asset when there are no longer reasonable expectations of recovering that \ufb01nancial asset in its entirety or a portion thereof, or when it has been fully or partially forgiven. The write-off is recorded when all other means available to the Bank for recovering the receivables or guarantees have failed, and also generally depends on the context speci\ufb01c to each jurisdiction. If the amount of loss on write-off is greater than the accumulated loss allowance, the difference is recognised as an additional impairment loss in \u201cCost of risk\u201d. For any recovery once the \ufb01nancial asset (or part thereof) is no longer recognised on the balance sheet, the amount received is recorded as a gain in \u201cCost of risk\u201d. Recoveries through the repossession of the collateral When a loan is secured by a \ufb01nancial or a non-\ufb01nancial asset serving as a guarantee and the counterparty is in default, the Group may decide to exercise the guarantee and, depending on the jurisdiction, it may then become owner of the asset. In such a situation, the loan is written-off against the asset received as collateral. Once ownership of the asset is effective, it is recognised at fair value and classi\ufb01ed according to the intent of use. Restructuring of financial assets for financial difficulties A restructuring due to the borrower\u2019s \ufb01nancial dif\ufb01culties is de\ufb01ned as a change in the terms and conditions of the initial transaction that the Group is considering only for economic or legal reasons related to the borrower\u2019s \ufb01nancial dif\ufb01culties. For restructurings not resulting in derecognition of the \ufb01nancial asset, the restructured asset\u2019s gross carrying amount is reduced to the discounted amount, using the original effective interest rate of the asset, of the new expected future \ufb02ows. The change in the gross carrying amount of the asset is recorded in the income statement in \u201cCost of risk\u201d. The existence of a signi\ufb01cant increase in credit risk for the \ufb01nancial instrument is then assessed by comparing the risk of default after the restructuring (under the revised contractual terms) and the risk of default at the initial recognition date (under the original contractual terms). In order to demonstrate that the criteria for recognising lifetime expected credit losses are no longer met, good payment behaviour will have to be observed over a certain period of time. When the restructuring consists of a partial or total exchange against other substantially different assets (for example, the exchange of a debt instrument against an equity instrument), it results in the extinction of the original asset and the recognition of the assets remitted in exchange, measured at their fair value at the date of exchange. The difference in value is recorded in the income statement in \u201cCost of risk\u201d. As a reminder, in response to the health crisis, several moratoria have been granted to clients. These moratoria mostly consisted in payment suspension of a few months, with additional interest that may or not continue to accrue during the suspension period. Accordingly, the modi\ufb01cation was generally considered as not substantial. The associated discount (linked to the absence of interest accruing, or interest accruing at a rate that was lower than the EIR of the loan) was therefore recognised in NBI, subject to meeting certain criteria (1) . In such cases, the moratorium was considered as not being granted in response to the borrower\u2019s \ufb01nancial dif\ufb01culties, but in response to a temporary liquidity crisis and the credit risk was not considered to have signi\ufb01cantly increased. Modi\ufb01cations to \ufb01nancial assets that are not due to a borrower\u2019s \ufb01nancial dif\ufb01culties, or granted in the context of a moratorium (i.e. commercial renegotiations) are generally analysed as the early repayment of the former loan, which is then derecognised, followed by the set-up of a new loan at market conditions. They consist in resetting the interest rate of the loan at market conditions, with the client being in a position to change lender and not encountering any \ufb01nancial dif\ufb01culties. Probation periods The Group applies observation periods to assess the possible return to a better stage. Accordingly, a 3-month probation period is observed for the transition from stage 3 to stage 2, which is extended to 12 months in the event of restructuring due to \ufb01nancial dif\ufb01culties. For the transition from stage 2 to stage 1, a probation period of two years is observed for loans that have been restructured due to \ufb01nancial dif\ufb01culties. (1) Moratoria quali\ufb01ed as \u201cCovid-19 General moratorium Measure\u201d (i.e. meeting the criteria de\ufb01ned in EBA Guidelines published on 2 April 2020 and amended on 2 December 2020) or similar measures that do not lead to a transfer to stage 3. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 199 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements 1.e.6 Cost of risk Cost of risk includes the following items of pro\ufb01t or loss: \u25a0 impairment gains and losses resulting from the accounting of loss allowances for 12-month expected credit losses and lifetime expected credit losses (\u201cstage 1\u201d and \u201cstage 2\u201d) relating to debt instruments measured at amortised cost or at fair value through shareholders\u2019 equity, loan commitments and \ufb01nancial guarantee contracts that are not recognised at fair value as well as lease receivables, contract assets and trade receivables; \u25a0 impairment gains and losses resulting from the accounting of loss allowances relating to \ufb01nancial assets (including those at fair value through pro\ufb01t or loss) for which there is objective evidence of impairment (\u201cstage 3\u201d), write-offs on irrecoverable loans and amounts recovered on loans written-off; \u25a0 impairment gains and losses relating to \ufb01xed-income securities of insurance entities that are individually impaired (which fall under IAS 39). It also includes expenses relating to fraud and to disputes inherent to the \ufb01nancing activity.1.e.7 Financial instruments at fair value through profit or loss Trading portfolio and other financial assets measured at fair value through profit or loss The trading portfolio includes instruments held for trading (trading transactions), including derivatives. Other \ufb01nancial assets measured at fair value through pro\ufb01t or loss include debt instruments that do not meet the \u201ccollect\u201d or \u201ccollect and sale\u201d business model criterion or that do not meet the cash \ufb02ow criterion, as well as equity instruments for which the fair value through shareholders\u2019 equity option has not been retained. All those \ufb01nancial instruments are measured at fair value at initial recognition, with transaction costs directly posted in pro\ufb01t or loss. At the reporting date, they are measured at fair value, with changes presented in \u201cNet gain/loss on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d. Income, dividends, and realised gains and losses on disposal related to held-for-trading transactions are accounted for in the same pro\ufb01t or loss account. Financial liabilities designated as at fair value through profit or loss Financial liabilities are recognised under option in this category in the two following situations: \u25a0 for hybrid \ufb01nancial instruments containing one or more embedded derivatives which otherwise would have been separated and accounted for separately. An embedded derivative is such that its economic characteristics and risks are not closely related to those of the host contract; \u25a0 when using the option enables the entity to eliminate or signi\ufb01cantly reduce a mismatch in the measurement and accounting treatment of assets and liabilities that would otherwise arise if they were to be classi\ufb01ed in separate categories. Changes in fair value due to the own credit risk are recognised under a speci\ufb01c heading of shareholders\u2019 equity.1.e.8 Financial liabilities and equity instruments A \ufb01nancial instrument issued or its various components are classi\ufb01ed as a \ufb01nancial liability or equity instrument, in accordance with the economic substance of the legal contract. Financial instruments issued by the Group are quali\ufb01ed as debt instruments if the entity in the Group issuing the instruments has a contractual obligation to deliver cash or another \ufb01nancial asset to the holder of the instrument. The same applies if the Group is required to exchange \ufb01nancial assets or \ufb01nancial liabilities with another entity under conditions that are potentially unfavourable to the Group, or to deliver a variable number of the Group\u2019s own equity instruments. Equity instruments result from contracts evidencing a residual interest in an entity\u2019s assets after deducting all of its liabilities. Debt securities and subordinated debt Debt securities and subordinated debt are measured at amortised cost unless they are recognised at fair value through pro\ufb01t or loss. Debt securities are initially recognised at the issue value including transaction costs and are subsequently measured at amortised cost using the effective interest method. Bonds redeemable or convertible into own equity are hybrid instruments that may contain a debt component and an equity component, determined upon initial recognition of the transaction. Equity instruments The term \u201cown equity instruments\u201d refers to shares issued by the parent company (BNP Paribas SA) and by its fully consolidated subsidiaries. External costs that are directly attributable to an issue of new shares are deducted from equity net of all related taxes. Own equity instruments held by the Group, also known as treasury shares, are deducted from consolidated shareholders\u2019 equity irrespective of the purpose for which they are held. Gains and losses arising on such instruments are eliminated from the consolidated pro\ufb01t and loss account. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 200 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements When the Group acquires equity instruments issued by subsidiaries under the exclusive control of BNP Paribas, the difference between the acquisition price and the share of net assets acquired is recorded in retained earnings attributable to BNP Paribas shareholders. Similarly, the liability corresponding to put options granted to minority shareholders in such subsidiaries, and changes in the value of that liability, are offset against minority interests, with any surplus offset against retained earnings attributable to BNP Paribas shareholders. Until these options have been exercised, the portion of net income attributable to minority interests is allocated to minority interests in the pro\ufb01t and loss account. A decrease in the Group\u2019s interest in a fully consolidated subsidiary is recognised in the Group\u2019s accounts as a change in shareholders\u2019 equity. Financial instruments issued by the Group and classi\ufb01ed as equity instruments (e.g. Undated Super Subordinated Notes) are presented in the balance sheet in \u201cCapital and retained earnings\u201d. Distributions from a \ufb01nancial instrument classi\ufb01ed as an equity instrument are recognised directly as a deduction from equity. Similarly, the transaction costs of an instrument classi\ufb01ed as equity are recognised as a deduction from shareholders\u2019 equity. Own equity instrument derivatives are treated as follows, depending on the method of settlement: \u25a0 as equity instruments if they are settled by physical delivery of a \ufb01xed number of own equity instruments for a \ufb01xed amount of cash or other \ufb01nancial asset. Such instruments are not revalued; \u25a0 as derivatives if they are settled in cash or by choice by physical delivery of the shares or in cash. Changes in value of such instruments are taken to the pro\ufb01t and loss account. If the contract includes an obligation, whether contingent or not, for the bank to repurchase its own shares, the bank recognises the debt at its present value with an offsetting entry in shareholders\u2019 equity.1.e.9 Hedge accounting The Group retained the option provided by the standard to maintain the hedge accounting requirements of IAS 39 until the future standard on macro- hedging is entered into force. Furthermore, IFRS 9 does not explicitly address the fair value hedge of the interest rate risk on a portfolio of \ufb01nancial assets or liabilities. The provisions in IAS 39 for these portfolio hedges, as adopted by the European Union, continue to apply. Derivatives contracted as part of a hedging relationship are designated according to the purpose of the hedge. Fair value hedges are particularly used to hedge interest rate risk on \ufb01xed-rate assets and liabilities, both for identi\ufb01ed \ufb01nancial instruments (securities, debt issues, loans, borrowings) and for portfolios of \ufb01nancial instruments (in particular, demand deposits and \ufb01xed-rate loans). Cash \ufb02ow hedges are particularly used to hedge interest rate risk on \ufb02oating-rate assets and liabilities, including rollovers, and foreign exchange risks on highly probable forecast foreign currency revenues. At the inception of the hedge, the Group prepares formal documentation which details the hedging relationship, identifying the instrument, or portion of the instrument, or portion of risk that is being hedged, the hedging strategy and the type of risk hedged, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship. On inception and at least quarterly, the Group assesses, in consistency with the original documentation, the actual (retrospective) and expected (prospective) effectiveness of the hedging relationship. Retrospective effectiveness tests are designed to assess whether the ratio of actual changes in the fair value or cash \ufb02ows of the hedging instrument to those in the hedged item is within a range of 80% to 125%. Prospective effectiveness tests are designed to ensure that expected changes in the fair value or cash \ufb02ows of the derivative over the residual life of the hedge adequately offset those of the hedged item. For highly probable forecast transactions, effectiveness is assessed largely on the basis of historical data for similar transactions. Under IAS 39 as adopted by the European Union, which excludes certain provisions on portfolio hedging, interest rate risk hedging relationships based on portfolios of assets or liabilities qualify for fair value hedge accounting as follows: \u25a0 the risk designated as being hedged is the interest rate risk associated with the interbank rate component of interest rates on commercial banking transactions (loans to customers, savings accounts and demand deposits); \u25a0 the instruments designated as being hedged correspond, for each maturity band, to a portion of the interest rate gap associated with the hedged underlying; \u25a0 the hedging instruments used consist exclusively of \u201cplain vanilla\u201d swaps; \u25a0 prospective hedge effectiveness is established by the fact that all derivatives must, on inception, have the effect of reducing interest rate risk in the portfolio of hedged underlying. Retrospectively, a hedge will be disquali\ufb01ed from hedge accounting once a shortfall arises in the underlying speci\ufb01cally associated with that hedge for each maturity band (due to prepayment of loans or withdrawals of deposits). The accounting treatment of derivatives and hedged items depends on the hedging strategy. In a fair value hedging relationship, the derivative instrument is remeasured at fair value in the balance sheet, with changes in fair value recognised in pro\ufb01t or loss in \u201cNet gain/loss on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d, symmetrically with the remeasurement of the hedged item to re\ufb02ect the hedged risk. In the balance sheet, the fair value remeasurement of the hedged component is recognised in accordance with the classi\ufb01cation of the hedged item in the case of a hedge of identi\ufb01ed assets and liabilities, or under \u201cRemeasurement adjustment on interest rate risk hedged portfolios\u201d in the case of a portfolio hedging relationship. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 201 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements If a hedging relationship ceases or no longer ful\ufb01ls the effectiveness criteria, the hedging instrument is transferred to the trading book and accounted for using the treatment applied to this category. In the case of identi\ufb01ed \ufb01xed-income instruments, the remeasurement adjustment recognised in the balance sheet is amortised at the effective interest rate over the remaining life of the instrument. In the case of interest rate risk hedged \ufb01xed-income portfolios, the adjustment is amortised on a straight-line basis over the remainder of the original term of the hedge. If the hedged item no longer appears in the balance sheet, in particular due to prepayments, the adjustment is taken to the pro\ufb01t and loss account immediately. In a cash \ufb02ow hedging relationship, the derivative is measured at fair value in the balance sheet, with changes in fair value taken to shareholders\u2019 equity on a separate line, \u201cChanges in fair value recognised directly in equity\u201d. The amounts taken to shareholders\u2019 equity over the life of the hedge are transferred to the pro\ufb01t and loss account under \u201cNet interest income\u201d as and when the cash \ufb02ows from the hedged item impact pro\ufb01t or loss. The hedged items continue to be accounted for using the treatment speci\ufb01c to the category to which they belong. If the hedging relationship ceases or no longer ful\ufb01ls the effectiveness criteria, the cumulative amounts recognised in shareholders\u2019 equity as a result of the remeasurement of the hedging instrument remain in equity until the hedged transaction itself impacts pro\ufb01t or loss, or until it becomes clear that the transaction will not occur, at which point they are transferred to the pro\ufb01t and loss account. If the hedged item ceases to exist, the cumulative amounts recognised in shareholders\u2019 equity are immediately taken to the pro\ufb01t and loss account. Whatever the hedging strategy used, any ineffective portion of the hedge is recognised in the pro\ufb01t and loss account under \u201cNet gain/loss on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d. Hedges of net foreign currency investments in subsidiaries and branches are accounted for in the same way as cash \ufb02ow hedges. Hedging instruments may be foreign exchange derivatives or any other non-derivative \ufb01nancial instrument.1.e.11 Derecognition of financial assets and financial liabilities Derecognition of financial assets The Group derecognises all or part of a \ufb01nancial asset when the contractual rights to the cash \ufb02ows of the asset expire, or when the Group transfers the asset \u2013 either on the basis of a transfer of the contractual rights to its cash \ufb02ows, or by retaining the contractual rights to receive the cash \ufb02ows of the asset while assuming an obligation to pay the cash \ufb02ows of the asset under an eligible pass-through arrangement \u2013 as well as substantially all the risks and rewards of the asset. Where the Group has transferred the cash \ufb02ows of a \ufb01nancial asset but has neither transferred nor retained substantially all the risks and rewards of ownership of the \ufb01nancial asset and has not in practice retained control of the \ufb01nancial asset, the Group derecognises the \ufb01nancial asset and then records separately, if necessary, an asset or liability representing the rights and obligations created or held as part of the transfer of the asset. If the Group has retained control of the \ufb01nancial asset, it maintains it on its balance sheet to the extent of its continuing involvement in that asset. Upon the derecognition of a \ufb01nancial asset in its entirety, a gain or loss on disposal is recognised in the pro\ufb01t and loss account for an amount equal to the difference between the carrying amount of the asset and the value of the consideration received, adjusted where appropriate for any unrealised gain or loss previously recognised directly in equity. If all these conditions are not met, the Group retains the asset in its balance sheet and recognises a liability for the obligations arising on the transfer of the asset. Derecognition of financial liabilities The Group derecognises all or part of a \ufb01nancial liability when the liability is extinguished, i.e. when the obligation speci\ufb01ed in the contract is extinguished, cancelled or expired. A \ufb01nancial liability may also be derecognised in the event of a substantial change in its contractual terms or if exchanged with the lender for an instrument with substantially different contractual terms. Repurchase agreements and securities lending/borrowing Securities temporarily sold under repurchase agreements continue to be recognised in the Group\u2019s balance sheet in the category of securities to which they belong. The corresponding liability is recognised at amortised cost under the appropriate \u201cFinancial liabilities at amortised cost\u201d category on the balance sheet, except in the case of repurchase agreements contracted for trading purposes, for which the corresponding liability is recognised in \u201cFinancial liabilities at fair value through pro\ufb01t or loss\u201d. Securities temporarily acquired under reverse repurchase agreements are not recognised in the Group\u2019s balance sheet. The corresponding receivable is recognised at amortised cost under the appropriate \u201cFinancial assets at amortised cost\u201d category in the balance sheet, except in the case of reverse repurchase agreements contracted for trading purposes, for which the corresponding receivable is recognised in \u201cFinancial assets at fair value through pro\ufb01t or loss\u201d. Securities lending transactions do not result in derecognition of the lent securities, and securities borrowing transactions do not result in recognition of the borrowed securities on the balance sheet. In cases where the borrowed securities are subsequently sold by the Group, the obligation to deliver the borrowed securities on maturity is recognised on the balance sheet under \u201cFinancial liabilities at fair value through pro\ufb01t or loss\u201d.1.e.12 Offsetting financial assets and financial liabilities A \ufb01nancial asset and a \ufb01nancial liability are offset and the net amount presented in the balance sheet if, and only if, the Group has a legally enforceable right to set off the recognised amounts, and intends either to settle on a net basis, or to realise the asset and settle the liability simultaneously. Repurchase agreements and derivatives that meet the two criteria set out in the accounting standard are offset in the balance sheet.1.f.2 Financial investments and other assets related to insurance activities Financial investments and other assets related to insurance activities mainly include: \u25a0 investments by insurance entities in \ufb01nancial instruments that are recognised in accordance with the principles of IAS 39, which include investments representing technical reserves of insurance activities and notably unit-linked contracts; \u25a0 derivative instruments with a positive fair value. Group insurance entities underwrite derivative instruments for hedging purposes; \u25a0 investment properties; \u25a0 equity method investments; \u25a0 reinsurers\u2019 share in liabilities arising from insurance and investment contracts; and \u25a0 policyholders\u2019 surplus reserve. Investments in financial instruments Financial investments held by the Group\u2019s insurance entities are classi\ufb01ed in one of the four categories provided for in IAS 39: Financial assets at fair value through pro\ufb01t or loss, held-to-maturity \ufb01nancial assets, loans and receivables and available-for-sale \ufb01nancial assets. Financial assets at fair value through profit or loss The category \u2018Financial assets at fair value through pro\ufb01t or loss\u2019 includes derivatives and \ufb01nancial assets that the Group has elected to recognise and measure at fair value through pro\ufb01t or loss at inception, in accordance with the option offered by IAS 39. Financial assets may be designated at fair value through pro\ufb01t or loss in the following cases (in accordance with IAS 39): \u25a0 hybrid \ufb01nancial instruments containing one or more embedded derivatives which otherwise would have been separated and accounted for separately. An embedded derivative is such that its economic characteristics and risks are not closely related to those of the host contract; \u25a0 where using the option enables the entity to eliminate or signi\ufb01cantly reduce a mismatch in the measurement and accounting treatment of assets and liabilities that would arise if they were to be classi\ufb01ed in separate accounting categories; \u25a0 when the group of \ufb01nancial assets and/or \ufb01nancial liabilities is managed and measured on the basis of fair value, in accordance with a documented risk management and investment strategy. Investments held in respect of insurance or investment contracts where the \ufb01nancial risk is borne by policyholders (unit-linked contracts) are recognised at fair value option through pro\ufb01t or loss. When the Group measures at fair value through pro\ufb01t or loss investments made in respect of its insurance activities in entities over which it exercises signi\ufb01cant in\ufb02uence or joint control, these investments are presented under the line \u201cFinancial assets at fair value through pro\ufb01t or loss\u201d (see note 1.b.2). Financial instruments classi\ufb01ed in this category are initially recognised at their fair value, with transaction costs being directly recognised in the income statement. At the closing date, they are valued at their fair value. Changes in value compared to the last valuation, income, dividends and realised gains and losses are presented under \u201cNet income from insurance activities\u201d and under \u201cNet gain on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 204 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Loans and advances Fixed or determinable income securities, which are not quoted in an active market, other than those for which the holder may not recover substantially all of its initial investment for reasons other than credit deterioration, are classi\ufb01ed as \u201cLoans and receivables\u201d when they do not meet the conditions for classi\ufb01cation as \ufb01nancial assets at fair value through pro\ufb01t or loss. Loans and receivables are initially recognised at their fair value or equivalent, which generally corresponds to the net amount originally paid. Loans and receivables are subsequently measured at amortised cost using the effective interest method and net of repayments of principal and interest. Interest is calculated using the effective interest method, which includes interest, transaction costs and commissions included in their initial value and is presented under \u201cNet income from insurance activities\u201d and under sub-heading \u201cNet gain on \ufb01nancial instruments at amortised cost\u201d. Impairment losses recognised when there is objective evidence of impairment related to an event subsequent to the acquisition of the asset are presented under \u201cCost of risk\u201d.Held-to-maturity financial assets \u201cHeld-to-maturity \ufb01nancial assets\u201d include debt securities, with \ufb01xed maturity, that the Group has the intention and ability to hold until maturity. Securities classi\ufb01ed in this category are recognised at amortised cost using the effective interest method. Income received on these securities is presented under \u201cNet income from insurance activities\u201d and under sub-heading \u201cNet gain on \ufb01nancial instruments at amortised cost\u201d. Impairment losses recognised when there is objective evidence of impairment related to an event subsequent to the acquisition of the asset are presented under \u201cCost of risk\u201d.Available-for-sale financial assets The category \u201cAvailable-for-sale \ufb01nancial assets\u201d includes debt or equity securities that do not fall within the previous three categories. Assets included in the available-for-sale category are initially recorded at fair value, plus transaction costs where material. At the end of the reporting period, they are valued at their fair value and the changes in the latter, excluding accrued income, are presented under a speci\ufb01c heading of equity. On disposal of the securities, these unrealised gains or losses previously recognised in equity are reclassi\ufb01ed in the income statement under the heading \u201cNet income from insurance activities\u201d. Income recognised using the effective interest method on debt securities, dividends received and impairment (in the event of a signi\ufb01cant or lasting decline in the value of the securities) of equity securities are presented under \u201cNet income from insurance activities\u201d and under section \u201cNet gain on available-for-sale \ufb01nancial assets\u201d. Impairment losses on debt securities are presented under \u201cCost of risk\u201d.Investment property Investment property corresponds to buildings held directly by insurance companies and property companies controlled. Investment property, except for those used for unit-linked contracts, is recognised at cost and follows the accounting methods of the assets described elsewhere. Investment property, held in respect of unit-linked contracts, is valued at fair value or equivalent, with changes in value recognised in the income statement.Equity method investments Investments in entities or real estate funds over which the Group exercises signi\ufb01cant in\ufb02uence or joint control and for which the equity method is applied are recognised in the line \u201cEquity method investments\u201d.2.c NET GAIN ON FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH PROFIT OR LOSS Net gain on \ufb01nancial instruments measured at fair value through pro\ufb01t or loss includes all pro\ufb01t and loss items relating to \ufb01nancial instruments held for trading, \ufb01nancial instruments that the Group has designated as at fair value through pro\ufb01t or loss, non-trading equity instruments that the Group did not choose to measure at fair value through equity, as well as debt instruments whose cash \ufb02ows are not solely repayments of principal and interest on the principal or whose business model is not to collect cash \ufb02ows nor to collect cash \ufb02ows and sell the assets. These income items include dividends on these instruments and exclude interest income and expense from \ufb01nancial instruments designated as at fair value through pro\ufb01t or loss and instruments whose cash \ufb02ows are not only repayments of principal and interest on the principal or whose business model is not to collect cash \ufb02ows nor to collect cash \ufb02ows and sell the assets, which are presented in \u201cNet interest income\u201d (note 2.a). In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Financial instruments held for trading (2,017) 6,293 Interest rate and credit instruments (6,014) (2,633) Equity \ufb01nancial instruments (3,268) 5,641 Foreign exchange \ufb01nancial instruments 5,898 2,317 Loans and repurchase agreements (1,320) (116) Other \ufb01nancial instruments 2,687 1,084 Financial instruments designated as at fair value through pro\ufb01t or loss 11,328 281 Other \ufb01nancial instruments at fair value through pro\ufb01t or loss 143 956 Impact of hedge accounting (96) 85 Fair value hedging derivatives (9,123) (2,445) Hedged items in fair value hedge 9,027 2,530 NET GAIN ON FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH PROFIT OR LOSS 9,358 7,615 Gains and losses on \ufb01nancial instruments designated as at fair value through pro\ufb01t or loss are mainly related to instruments for which changes in value may be compensated by changes in the value of economic hedging derivative \ufb01nancial instruments held for trading. Net gain on \ufb01nancial instruments held for trading in 2022 and 2021 includes a non-material amount related to the ineffective portion of cash \ufb02ow hedges. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 213 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Potential sources of ineffectiveness can be the differences between hedging instruments and hedged items, notably generated by mismatches in the terms of hedged and hedging instruments, such as the frequency and timing of interest rates resetting, the frequency of payments and the discounting factors, or when hedging derivatives have a non-zero fair value at the inception date of the hedging relationship. Credit valuation adjustments applied to hedging derivatives are also sources of ineffectiveness. Cumulated changes in fair value related to discontinued cash \ufb02ow hedge relationships, previously recognised in equity and included in 2022 in pro\ufb01t and loss accounts are not material, whether the hedged item ceased to exist or not.2.d NET GAIN ON FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH EQUITY In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Net gain on debt instruments 9 58 Dividend income on equity instruments 129 106 NET GAIN ON FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH EQUITY 138 164 Interest income from debt instruments is included in note 2.a Net interest income, and impairment losses related to potential issuer default are included in note 2.h Cost of risk.2.h COST OF RISK The general model for impairment described in note 1.e.5 used by the Group relies on the following two steps: \u25a0 assessing whether there has been a signi\ufb01cant increase in credit risk since initial recognition; and \u25a0 measuring impairment allowance as either 12-month expected credit losses or lifetime expected credit loss (i.e. loss expected at maturity). Both steps rely on forward-looking information. Significant increase in credit risk At 31 December 2022, BNP Paribas revised its criteria for assessing the signi\ufb01cant increase in credit risk in line with the recommendations issued by the European Banking Authority and the European Central Bank. Previously, except for the consumer credit specialist business, the credit risk deterioration was mainly evaluated based on changes in the internal credit rating, an indicator of the average 1-year probability of default through the cycle. In order to fully consider forward-looking information, the new criteria use the probability of default to maturity, which is derived from the internal rating, incorporating the expected consequences of changes in macroeconomic scenarios, as the main indicator. Under these new criteria, credit risk is assumed to have signi\ufb01cantly increased, and the asset is classi\ufb01ed in stage 2, if the probability of default to maturity of the instrument has increased at least threefold since its origination. This relative variation criterion is supplemented by an absolute variation criterion of the default probability of 400 basis points. Furthermore, for all portfolios (except for the consumer credit specialist business): \u25a0 the facility is assumed to be in stage 1 when its 1-year \u201cPoint in Time\u201d probability of default (PiT PD) is below 0.3% at the reporting date, since changes in probability of default due to credit downgrades in this zone are not material, and therefore not considered \u201csigni\ufb01cant\u201d; \u25a0 when the 1-year PiT PD is greater than 20% at the reporting date, given the Group\u2019s credit issuance practices, the deterioration is considered signi\ufb01cant, and the facility is classi\ufb01ed in stage 2 (as long as the facility is not credit-impaired). In the consumer credit specialist business, the existence of a potentially regularised payment incident during the last 12 months is considered to be an indication of signi\ufb01cant increase in credit risk and the facility is therefore classi\ufb01ed in stage 2. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 215 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The table below shows a comparison between the previous and the new criteria for assessing the signi\ufb01cant increase in credit risk: Previous criteria Retail Small and Medium Entreprises Large Corporates * Probability of default through the cycle. ** \"Point in Time\" (PiT) probability of default including forward-looking. One year probability of default * < 0.25% Stage 1 presumption Rating \u2264 4- One year PiT probability of default ** < 0.3% Deterioration from origination leading to transfer to stage 2 Rating downgrade \u2265 6 notches Rating downgrade \u2265 3 notches One year probability of default > 10% Stage 2 presumption Rating \u2265 9+ One year PiT probability of default > 20% One year probability of default One year probability of default at origination Rating downgrade \u2265 6 notches > 4 or Lifetime PiT probability of default Lifetime PiT probability of default at origination Variation of lifetime PiT probability of default since origination > 400 bps > 3 or New criteria Credit risk is assumed to have increased signi\ufb01cantly since initial recognition and the asset is classi\ufb01ed in stage 2 in the event of late payment of more than 30 days or restructuring due to \ufb01nancial dif\ufb01culties (as long as the facility is not credit-impaired). In the \ufb01rst half of 2022, the internal ratings of the Russian counterparties (including the sovereign rating) were systematically downgraded to take into account recent events, thus leading to the transfer of their outstandings to stage 2. However, given the Group\u2019s limited level of exposure to this country, this deterioration had no signi\ufb01cant effect on the cost of risk for the period. Forward-Looking Information The Group considers forward-looking information both when assessing signi\ufb01cant increase in credit risk and when measuring Expected Credit Losses (ECL). Regarding the measurement of expected credit losses, the Group has chosen to use 3 macroeconomic scenarios by geographic area covering a wide range of potential future economic conditions: \u25a0 a baseline scenario, consistent with the scenario used for budgeting; \u25a0 an adverse scenario, corresponding to the scenario used for the Group\u2019s quarterly stress tests; \u25a0 a favourable scenario, capturing situations where the economy performs better than anticipated. The link between the macroeconomic scenarios and the ECL measurement is mainly achieved through a modelling of the probabilities of default and deformation of migration matrices based on internal rating (or risk parameter). The probabilities of default determined according to these scenarios are used to measure expected credit losses in each of these scenarios. The Group\u2019s setup is broken down by sector to take into account the heterogeneity of sectoral dynamics when assessing the probability of default for corporates. Forward-looking information is also considered when determining the signi\ufb01cant deterioration in credit risk, since the probabilities of default used as the basis for this assessment include forward-looking multi-scenario information in the same way as for the calculation of the ECL. The weight to be attributed to the expected credit losses calculated in each of the scenarios is de\ufb01ned as 50% for the baseline scenario, and: \u25a0 the weight of the two alternative scenarios is de\ufb01ned according to the position in the credit cycle. In this approach, the adverse scenario carries more weight in situations at the upper end of the cycle than those at the lower end of the cycle, in anticipation of a potential downturn in the economy; \u25a0 the minimum weight of each the alternative scenarios is 10% and therefore the maximum weight is 40%. When appropriate, the ECL measurement can take into account asset sale scenarios. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 216 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Macroeconomic scenarios The three macroeconomic scenarios are de\ufb01ned over a three-year projection horizon. They correspond to: \u25a0 a baseline scenario, which describes the most likely path of the economy over the projection horizon. This scenario is updated on a quarterly basis and is prepared by the Group Economic Research Department in collaboration with various experts within the Group. Projections are designed for each key market of the Group (France, Belgium, Italy, the United States and the eurozone) using key macroeconomic variables (Gross Domestic Product \u2013 GDP \u2013 and its components, unemployment rate, consumer prices, interest rates, foreign exchange rates, oil prices, real estate prices, etc.) which are key drivers for modeling risk parameters used in the stress test process; \u25a0 an adverse scenario, which describes the impact of the materialisation of some of the risks weighing on the baseline scenario, resulting in a much less favourable economic path than in the baseline scenario. The GDP shock is applied with varying magnitudes, but simultaneously, to the economies under consideration. Generally, these assumptions are broadly consistent with those proposed by the regulators. The calibration of shocks on other variables (e.g. unemployment, consumer prices, interest rates, etc.) is based on models and expert judgment; \u25a0 a favourable scenario, which re\ufb02ects the impact of the materialisation of some of the upside risks for the economy, resulting in a more favourable economic path. The favourable shock on GDP is deducted from the adverse shock on GDP in such a way that the probabilities of the two shocks are equal on average over the cycle. Other variables (e.g. unemployment, in\ufb02ation, interest rates, etc.) are de\ufb01ned in the same way as in the adverse scenario. Since June 2021, the favourable shocks applied have been substantially reduced, as any stronger path than in the baseline scenario could be limited by supply side constraints. The link between the macroeconomic scenarios and the measurement of the ECL is complemented by an approach allowing to take into account anticipation aspects not captured by the models in the generic approach. This is particularly the case when unprecedented events in the historical chronicle taken into account to build the models occur or are anticipated, or when the nature or amplitude of change in macroeconomic parameter calls into question past correlations. Thus, the situation of high in\ufb02ation and the current and projected increase in interest rates correspond to aspects not observed in the reference history. In this context, the Group has developed an approach to take into account the future economic outlook when assessing the \ufb01nancial strength of counterparties. This approach consists in simulating the impact of rate hikes on their \ufb01nancial ratios and the effect on their ratings. In addition, post-model adjustments are considered to take into account, where applicable, the consequences of climatic events on expected credit losses. Baseline scenario Several major developments have contributed to a more marked deterioration than anticipated (after a rebound year in 2021), in both Europe and the United States. Beyond the humanitarian aspects, the consequences of the invasion of Ukraine have had a number of adverse economic effects, the \ufb01rst of which is to contribute to raising in\ufb02ation to very high levels due to severe disruptions in energy and food markets. European countries have been particularly affected from this point of view. In response to expected in\ufb02ation levels, central banks have carried out the most severe monetary tightening in decades, leading to a sharp tightening of \ufb01nancial conditions, which in turn penalise activity. Finally, the health crisis has continued to strongly disrupt activity in some countries, particularly in Asia, where there is less vaccine protection or stricter measures to contain the health crisis. Faced with these combined energy and monetary shocks, activity is expected to contract in a number of economies (including the eurozone and the United States) in late 2022 and early 2023, leading to substantial downward revisions to growth projections for 2023. Activity is expected to stagnate in both the eurozone and the United States in 2023 (while, at 30 June 2022, GDP was expected to grow by around 1.5% in both regions). Activity growth is generally expected to rebound in 2024 and 2025. After reaching very high levels in late 2022, in\ufb02ation is expected to moderate in the course of 2023, mainly due to lower energy in\ufb02ation and to the consequences of the slowdown in activity (e.g. higher unemployment, more limited supply chain disruptions). However, on an annual average, in\ufb02ation will remain very high in 2023 in many countries, signi\ufb01cantly exceeding central bank targets in most cases (notably in Europe and in the United States). In\ufb02ation is expected to come down to more usual levels in 2024 and 2025. In this context, major central banks have so far prioritised the \ufb01ght against in\ufb02ation by tightening monetary policy. By the end of 2022, both short- term and long-term interest rates were at much higher levels than those observed in the past ten years, even though the central banks have not yet completed their tightening cycle. Key interest rates are expected to peak in 2023, before moderating in 2024 and 2025 (when the central banks are expected to lower policy rates in line with more moderate in\ufb02ation). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 217 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The graph below presents a comparison of eurozone GDP projections used in the baseline scenario for the calculation of ECLs at 31 December 2021 and 2022. \u27a4 EUROZONE GDP: INDEX BASE 100 AT THE FOURTH QUARTER OF 2019 85 90 95 100 105 110 GDP index Dec-22 Dec-23 Dec-24 Dec-21 Dec-20 Dec-19 Dec-18 Baseline scenario at 31 December 2022 Baseline scenario at 31 December 2021 \u27a4 MACROECONOMIC VARIABLES, BASELINE SCENARIO AT 31 DECEMBER 2022 (annual averages) 2022 2023 2024 2025 GDP growth rate Eurozone 3.2% 0.1% 1.6% 1.3% France 2.5% 0.1% 1.4% 1.2% Italy 3.7% -0.2% 1.1% 0.9% Belgium 2.3% 0.0% 1.5% 1.2% United States 1.7% 0.0% 1.7% 1.6% Unemployment rate Eurozone 6.8% 7.5% 7.6% 7.3% France 7.5% 8.0% 8.1% 7.9% Italy 8.1% 8.6% 8.4% 8.3% Belgium 5.8% 6.4% 6.3% 6.1% United States 3.7% 4.7% 4.6% 4.5% In\ufb02ation rate Eurozone 8.5% 6.3% 2.4% 2.0% France 6.0% 5.4% 2.5% 2.0% Italy 8.7% 7.3% 2.1% 1.7% Belgium 10.6% 7.5% 2.7% 2.2% United States 8.1% 3.9% 2.3% 2.2% 10-year sovereign bond yields Germany 1.22% 2.64% 2.19% 2.00% France 1.76% 3.19% 2.74% 2.55% Italy 3.18% 4.94% 4.49% 4.30% Belgium 1.76% 3.24% 2.79% 2.60% United States 3.02% 4.24% 3.44% 3.25% 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 218 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Adverse Scenario The adverse scenario is based on the assumption that certain downside risks will materialise, resulting in a much less favourable economic path than in the baseline scenario. The following risks are identi\ufb01ed: \u25a0 A dominant risk, the invasion of Ukraine and its implications (especially higher in\ufb02ation): the impacts mentioned in the baseline scenario could worsen due to additional negative developments. In particular, the adverse scenario assumes a more pronounced shock on commodity prices, further fueling in\ufb02ation and leading to more severe disruptions in activity. Higher in\ufb02ation would have a direct negative effect on consumption and production. In addition, governments of the most exposed economies could take rationing measures targeting the most energy-intensive sectors (with potential indirect consequences for other sectors). Activity can also be negatively affected by other channels (e.g. supply chain disruptions, trade, \ufb01nancial stress, uncertainty and con\ufb01dence effects). \u25a0 The remaining risk related to the health crisis: although the link between health challenges and economic disruptions has eased markedly in many economies, particularly thanks to vaccination, health crisis-related challenges remain a signi\ufb01cant risk, at least in some countries. \u25a0 Less favourable public finances: public debt-to-GDP ratios are high and central banks are tightening their monetary policy, leading to a rise in bond yields that could generate tensions in some countries due to the widening of spreads between sovereign bonds. \u25a0 China\u2019s economy-related risks: additional dif\ufb01culties in China (e.g. sanitary measures, real estate) could affect global markets and activity in other countries through trade and supply-chain channels. \u25a0 Geopolitical risks: geopolitical tensions can weigh on the global economy through shocks to commodity prices, \ufb01nancial markets and business con\ufb01dence. Beyond the invasion of Ukraine, other regions are also worth to be monitored (Asia and the Middle East). \u25a0 Developments in trade and globalisation: the invasion of Ukraine creates additional obstacles to trade and globalisation, adding to already negative developments of recent years (trade disagreements between the United States and China, willingness of some western governments to become more self-suf\ufb01cient in certain strategic areas). The adverse scenario assumes the materialisation of these identi\ufb01ed latent risks from the \ufb01rst quarter of 2023. The risks related to the invasion of Ukraine are taken into account in the adverse scenario through some speci\ufb01cities. First, an additional activity shock is applied to the different economies, depending on their perceived exposure to this situation. This shock re\ufb02ects the countries\u2019 dependence on Russian gas as well as their vulnerability to other transmission channels (exports, dependence on the supply chain, weight of food and energy in in\ufb02ation, investment links, political ties with Russia). Second, in\ufb02ation is higher in the adverse scenario than in the baseline scenario in the \ufb01rst year of the projection horizon, in order to materialise the speci\ufb01c effects of this crisis in this area (re\ufb02ecting more upward pressure on commodity prices and supply chain disruptions). Among the countries considered, GDP levels in the adverse scenario stand between 5.8% and 12.2% lower than in the baseline scenario at the end of the shock period (three years). In particular, this deviation reaches 10.2% on average in the eurozone and 5.8% in the United States. Scenario weighting and cost of risk sensitivity At 31 December 2022, the weight of the adverse scenario considered by the Group was 16% and 34% for the favourable scenario. At 31 December 2021, the weight of the adverse scenario was on average equivalent to that of the favourable scenario. The sensitivity of the amount of expected credit losses for all \ufb01nancial assets at amortised cost or at fair value through equity and credit commitments is assessed by comparing the estimated expected credit losses resulting from the weighting of the above scenarios with that resulting from each of the two alternative scenarios: \u25a0 an increase in ECL of 22%, or EUR 1,250 million according to the adverse scenario (18% at 31 December 2021); \u25a0 a decrease in ECL of 7%, or EUR 400 million according to the favourable scenario (12% at 31 December 2021). Adaptation of the ECL assessment process to factor in the specific nature of the health crisis Macroeconomic scenarios provisioning the models The measurement of the impact of macroeconomic scenarios on expected credit losses was adjusted to re\ufb02ect the speci\ufb01cities of the current health crisis. Given the exceptional nature of the shock linked to the temporary lockdown measures and strong support provided by governments and central banks, macroeconomic parameters for each country or geographic area included in the pre-existing models (calibrated on past crises) were adapted in order to extract information on the medium-term impacts on the macroeconomic environment and thus minimise excessive short-term volatility. In 2020, the medium-term perspective adopted for the baseline scenario reduced the loss of income for the eurozone by an amount much lower than that of governments and European Central Bank support measures. Conversely, it moderated the favourable impacts of the economic rebounds observed in 2021. This adaptation ended in 2021. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 219 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Moratoria and state guarantees For the loans secured by a state guarantee (mainly in France and Italy), the calculation of expected credit losses is adjusted accordingly. The absence of a general maturity extension scheme for individuals, notably in France, led to classify as forborne the loans that bene\ufb01ted from accompanying measures that were not initially provided for under the contract. However, these measures were not considered as an automatic criterion for transfer to stage 2. Post-model adjustments Conservative adjustments were taken into account when the models used were based on indicators that show unusual levels in the context of the health crisis and the support programmes, such as the increase in deposits and the decrease in past due events for retail customers and entrepreneurs. For the consumer credit specialist business, a conservative adjustment had been considered in 2020 for loans that bene\ufb01tted from a moratorium. In 2021, this adjustment was reversed in connection with the satisfactory return to payment observed on these loans. However, a conservative adjustment was made to compensate for the atypical level of late payments. These post-model adjustments were reversed in 2022. Adaptation of the ECL assessment process to factor in the significant rise in inflation and in interest rates Additional adjustments were made in 2022 to take into account the effects of in\ufb02ation and interest rate hikes when this effect is not directly estimated by the models. For example, within the consumer credit specialist business, adjustments were considered for the categories of customers most sensitive to the gradual decline in the level of their net income. All of these adjustments represent 6.1% of the total amount of expected credit losses at 31 December 2022, compared to 4.8% at 31 December 2021. \u27a4 COST OF CREDIT RISK FOR THE PERIOD In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Net allowances to impairment (2,444) (2,591) Recoveries on loans and receivables previously written off 343 321 Losses on irrecoverable loans (714) (701) Act on assistance to borrowers in Poland (189) TOTAL COST OF RISK FOR THE PERIOD (3,004) (2,971) \u27a4 COST OF RISK FOR THE PERIOD BY ACCOUNTING CATEGORY AND ASSET TYPE In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Cash and balances at central banks (6) (8) Financial instruments at fair value through pro\ufb01t or loss (28) 6 Financial assets at fair value through equity 14 (6) Financial assets at amortised cost (2,853) (2,779) Loans and receivables (2,845) (2,763) Debt securities (8) (16) Other assets (17) 12 Financing and guarantee commitments and other items (114) (196) TOTAL COST OF RISK FOR THE PERIOD (3,004) (2,971) Cost of risk on unimpaired assets and commitments (570) (17) of which stage 1 (511) 268 of which stage 2 (59) (285) Cost of risk on impaired assets and commitments \u2013 stage 3 (2,434) (2,954) 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 220 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 CREDIT RISK IMPAIRMENT Changes in impairment by accounting category and asset type during the period In millions of euros 31 December 2021 Net allowance to impairment Impairment provisions used Changes in scope, exchange rates and other items 31 December 2022 Assets impairment Amounts due from central banks 18 5 (2) 21 Financial instruments at fair value through pro\ufb01t or loss 121 15 (28) 108 Financial assets at fair value through equity 140 (14) 4 130 Financial assets at amortised cost 20,196 2,374 (4,187) 128 18,511 Loans and receivables 20,028 2,329 (4,106) 130 18,381 Debt securities 168 45 (81) (2) 130 Other assets 59 (6) (3) (5) 45 Total impairment of \ufb01nancial assets 20,534 2,374 (4,190) 97 18,815 of which stage 1 1,891 223 (4) (36) 2,074 of which stage 2 2,748 87 (3) 49 2,881 of which stage 3 15,895 2,064 (4,183) 84 13,860 Provisions recognised as liabilities Provisions for commitments 958 32 (15) 5 980 Other provisions 467 38 (56) 1 450 Total provisions recognised for credit commitments 1,425 70 (71) 6 1,430 of which stage 1 230 94 2 326 of which stage 2 374 (33) (3) 338 of which stage 3 821 9 (71) 7 766 TOTAL IMPAIRMENT AND PROVISIONS 21,959 2,444 (4,261) 103 20,245 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 221 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Change in impairment by accounting category and asset type during the previous period In millions of euros 31 December 2020 Net allowance to impairment Impairment provisions used Changes in scope, exchange rates and other items 31 December 2021 Assets impairment Amounts due from central banks 17 9 (8) 18 Financial instruments at fair value through pro\ufb01t or loss 148 (20) (7) 121 Financial assets at fair value through equity 132 6 2 140 Financial assets at amortised cost 21,704 2,438 (3,867) (79) 20,196 Loans and receivables 21,546 2,421 (3,867) (72) 20,028 Debt securities 158 17 (7) 168 Other assets 104 (15) (29) (1) 59 Total impairment of \ufb01nancial assets 22,105 2,418 (3,896) (93) 20,534 of which stage 1 2,379 (219) (8) (261) 1,891 of which stage 2 3,166 176 (6) (588) 2,748 of which stage 3 16,560 2,461 (3,882) 756 15,895 Provisions recognised as liabilities Provisions for commitments 964 60 (1) (65) 958 Other provisions 383 113 (52) 23 467 Total provisions recognised for credit commitments 1,347 173 (53) (42) 1,425 of which stage 1 319 (55) (34) 230 of which stage 2 297 100 (23) 374 of which stage 3 731 128 (53) 15 821 TOTAL IMPAIRMENT AND PROVISIONS 23,452 2,591 (3,949) (135) 21,959 Changes in impairment of \ufb01nancial assets at amortised cost during the period In millions of euros Impairment on assets subject to 12-month Expected Credit Losses (Stage 1) Impairment on assets subject to lifetime Expected Credit Losses (Stage 2) Impairment on doubtful assets (Stage 3) Total At 31 December 2021 1,867 2,714 15,615 20,196 Net allowance to impairment 211 102 2,061 2,374 Financial assets purchased or originated during the period 682 234 916 Financial assets derecognised during the period (1) (390) (388) (822) (1,600) Transfer to stage 2 (133) 1,773 (212) 1,428 Transfer to stage 3 (65) (665) 1,806 1,076 Transfer to stage 1 63 (502) (36) (475) Change in the signi\ufb01cant increase in credit risk assessment criteria 29 (280) (251) Other allowances/reversals without stage transfer (2) 25 (70) 1,325 1,280 Impairment provisions used (3) (3) (4,181) (4,187) Changes in exchange rates (6) (30) 104 68 Changes in scope of consolidation and other items (34) 77 17 60 At 31 December 2022 2,035 2,860 13,616 18,511 (1) Including disposals. (2) Including amortisation. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 222 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In 2022, the increase in \ufb01nancial assets subject to impairment relates mainly to outstandings classi\ufb01ed in stage 1. Thus, the gross value of loans and advances to customers classi\ufb01ed in stage 1 increased by EUR 61 billion compared to 31 December 2021 (see note 4.e Financial assets at amortised cost). This change includes transfers of outstandings from stage 2 to stage 1 for a net amount of EUR 27 billion as a result of the change in the criteria used to assess the signi\ufb01cant increase in credit risk, mainly within the French and Belgian Commercial & Personal Banking activities. This transfer mainly concerns the least risky outstandings among those previously classi\ufb01ed in stage 2 (see section 5.4 Credit risk of the Universal registration document, Table 52: Breakdown of \ufb01nancial assets subject to impairment by stage and internal rating). The impact of this transfer on the amount of expected credit losses is a net reversal of provision of EUR 251 million. Excluding the effect of this change in estimate, outstandings in stage 2 increased by EUR 10 billion during the year ended 31 December 2022. This development is closely linked to the deterioration of the economic environment that weighed on the assessment of the signi\ufb01cant increase in credit risk criterion. These combined effects led to net additions to impairment in stages 1 and 2 in 2022. The provisioning rate for loans and advances to customers classi\ufb01ed in stage 2 increased to 3.2% at 31 December 2022, compared with 2.6% at 31 December 2021. Changes in impairment of \ufb01nancial assets at amortised cost during the previous period In millions of euros Impairment on assets subject to 12-month Expected Credit Losses (Stage 1) Impairment on assets subject to lifetime Expected Credit Losses (Stage 2) Impairment on doubtful assets (Stage 3) Total At 31 December 2020 2,343 3,142 16,219 21,704 Net allowance to impairment (216) 168 2,486 2,438 Financial assets purchased or originated during the period 608 242 850 Financial assets derecognised during the period (1) (353) (295) (896) (1,544) Transfer to stage 2 (190) 1,726 (393) 1,143 Transfer to stage 3 (22) (598) 1,837 1,217 Transfer to stage 1 117 (724) (45) (652) Other allowances/reversals without stage transfer (2) (376) (183) 1,983 1,424 Impairment provisions used (8) (6) (3,853) (3,867) Changes in exchange rates (1) (32) 95 62 Changes in scope of consolidation and other items (28) (355) 739 356 Reclassi\ufb01cation of assets held for sale (223) (203) (71) (497) At 31 December 2021 1,867 2,714 15,615 20,196 (1) Including disposals. (2) Including amortisation.4.a FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH PROFIT OR LOSS Financial assets and liabilities at fair value through profit or loss Financial assets and \ufb01nancial liabilities at fair value through pro\ufb01t or loss consist of held-for-trading transactions \u2013 including derivatives, of certain liabilities designated by the Group as at fair value through pro\ufb01t or loss at the time of issuance and of non-trading instruments whose characteristics prevent their accounting at amortised cost or at fair value through equity. In millions of euros 31 December 2022 31 December 2021 Financial instruments held for trading Financial instruments designated as at fair value through pro\ufb01t or loss Other \ufb01nancial assets at fair value through pro\ufb01t or loss Total Financial instruments held for trading Financial instruments designated as at fair value through pro\ufb01t or loss Other \ufb01nancial assets at fair value through pro\ufb01t or loss Total Securities 157,138 1,273 7,666 166,077 181,079 2,898 7,530 191,507 Loans and repurchase agreements 186,968 4,157 191,125 247,507 2,301 249,808 FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS 344,106 1,273 11,823 357,202 428,586 2,898 9,831 441,315 Securities 99,155 99,155 112,338 112,338 Deposits and repurchase agreements 232,351 1,725 234,076 291,577 1,879 293,456 Issued debt securities (note 4.h) 70,460 70,460 70,383 70,383 of which subordinated debt 675 675 947 947 of which non subordinated debt 64,110 64,110 62,334 62,334 of which debt representative of shares of consolidated funds held by third parties 5,675 5,675 7,102 7,102 FINANCIAL LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS 331,506 72,185 403,691 403,915 72,262 476,177 Detail of these assets and liabilities is provided in note 4.d. Financial liabilities designated as at fair value through profit or loss Financial liabilities at fair value through pro\ufb01t or loss mainly consist of issued debt securities, originated and structured on behalf of customers, where the risk exposure is managed in combination with the hedging strategy. These types of issued debt securities contain signi\ufb01cant embedded derivatives, which changes in value may be compensated by changes in the value of economic hedging derivatives. The redemption value of debt issued and designated as at fair value through pro\ufb01t or loss at 31 December 2022 was EUR 70,940 million (EUR 59,958 million at 31 December 2021). Other financial assets measured at fair value through profit or loss Other \ufb01nancial assets at fair value through pro\ufb01t or loss are \ufb01nancial assets not held for trading: \u25a0 debt instruments that do not meet the criteria de\ufb01ned by IFRS 9 to be classi\ufb01ed as \ufb01nancial instruments at \u201cfair value through equity\u201d or at \u201camortised cost\u201d: \u25a0 their business model is not to \u201ccollect contractual cash \ufb02ows\u201d nor \u201ccollect contractual cash \ufb02ows and sell the instruments\u201d, and/or \u25a0 their cash \ufb02ows are not solely repayments of principal and interest on the principal amount outstanding; \u25a0 equity instruments that the Group did not choose to classify as at \u201cfair value through equity\u201d. Derivative financial instruments The majority of derivative \ufb01nancial instruments held for trading are related to transactions initiated for trading purposes. They may result from market- making or arbitrage activities. BNP Paribas actively trades in derivatives. Transactions include trades in \u201cordinary\u201d instruments such as credit default swaps, and structured transactions with complex risk pro\ufb01les tailored to meet the needs of its customers. The net position is in all cases subject to limits. Some derivative instruments are also contracted to hedge \ufb01nancial assets or \ufb01nancial liabilities for which the Group has not documented a hedging relationship, or which do not qualify for hedge accounting under IFRS. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 228 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In millions of euros 31 December 2022 31 December 2021 Positive market value Negative market value Positive market value Negative market value Interest rate derivatives 150,122 125,215 119,219 107,490 Foreign exchange derivatives 134,382 129,274 75,314 75,694 Credit derivatives 7,294 7,731 8,371 8,451 Equity derivatives 22,602 27,291 24,217 35,071 Other derivatives 13,532 10,610 13,302 10,691 DERIVATIVE FINANCIAL INSTRUMENTS 327,932 300,121 240,423 237,397 The table below shows the total notional amount of trading derivatives. The notional amounts of derivative instruments are merely an indication of the volume of the Group\u2019s activities in \ufb01nancial instruments markets, and do not re\ufb02ect the market risks associated with such instruments. In millions of euros 31 December 2022 31 December 2021 Exchange- traded Over-the- counter, cleared through central clearing houses Over-the- counter Total Exchange- traded Over-the- counter, cleared through central clearing houses Over-the- counter Total Interest rate derivatives 1,442,663 12,349,703 5,254,166 19,046,532 1,319,006 9,761,179 4,846,327 15,926,512 Foreign exchange derivatives 40,292 130,148 7,610,392 7,780,832 56,415 133,330 6,873,623 7,063,368 Credit derivatives 464,228 518,926 983,154 392,338 545,919 938,257 Equity derivatives 1,177,728 535,465 1,713,193 799,005 506,164 1,305,169 Other derivatives 133,820 95,722 229,542 107,162 92,077 199,239 DERIVATIVE FINANCIAL INSTRUMENTS 2,794,503 12,944,079 14,014,671 29,753,253 2,281,588 10,286,847 12,864,110 25,432,545 As part of its Client Clearing activity, the Group guarantees the risk of default of its clients to central counterparties. The corresponding notional amount is EUR 1,187 billion at 31 December 2022 (EUR 1,050 billion at 31 December 2021).4.b DERIVATIVES USED FOR HEDGING PURPOSES The table below shows the notional amounts and the fair value of derivatives used for hedging purposes. In millions of euros 31 December 2022 31 December 2021 Notional amounts Positive fair value Negative fair value Notional amounts Positive fair value Negative fair value Fair value hedges 1,103,455 24,213 36,872 755,989 7,010 9,593 Interest rate derivatives 1,094,689 23,955 36,525 746,253 6,689 9,512 Foreign exchange derivatives 8,766 258 347 9,736 321 81 Cash \ufb02ow hedges 213,866 1,126 3,070 213,743 1,606 481 Interest rate derivatives 59,641 429 1,602 50,509 1,085 254 Foreign exchange derivatives 153,811 664 1,416 162,827 442 209 Other derivatives 414 33 52 407 79 18 Net foreign investment hedges 1,719 62 59 2,659 64 2 Foreign exchange derivatives 1,719 62 59 2,659 64 2 DERIVATIVES USED FOR HEDGING PURPOSES 1,319,040 25,401 40,001 972,391 8,680 10,076 Interest rate risk and foreign exchange risk management strategies are described in chapter 5 Pillar 3 of the Universal registration document (section 5.7 Market risk \u2013 Market risk related to banking activities). Quantitative information related to foreign currency borrowings used for net investment hedges is also mentioned in this chapter. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 229 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The table below presents the detail of fair value hedge relationships for identi\ufb01ed \ufb01nancial instruments and portfolios of \ufb01nancial instruments that are continuing at 31 December 2022: In millions of euros, at 31 December 2022 Hedging instruments Hedged instruments Notional amounts Positive fair value Negative fair value Cumulated changes in fair value used as the basis for recognising ineffectiveness Carrying amount \u2013 asset Cumulated changes in fair value \u2013 asset Carrying amount \u2013 liability Cumulated changes in fair value \u2013 liability Fair value hedges of identi\ufb01ed instruments 332,749 11,155 12,711 1,500 114,741 (12,204) 122,280 (10,588) Interest rate derivatives hedging the interest rate risk related to 325,470 10,992 12,376 1,487 110,376 (12,128) 119,694 (10,540) Loans and receivables 19,827 613 171 527 18,394 (541) Securities 131,460 10,297 1,258 11,521 91,982 (11,587) Deposits 8,081 31 291 (375) 7,878 (388) Debt securities 166,102 51 10,656 (10,186) 111,816 (10,152) Foreign exchange derivatives hedging the interest rate and foreign exchange risks related to 7,279 163 335 13 4,365 (76) 2,586 (48) Loans and receivables 2,619 95 64 35 2,410 (42) Securities 1,957 55 12 34 1,955 (34) Deposits 64 30 2 76 2 Debt securities 2,639 13 229 (58) 2,510 (50) Interest rate risk hedged portfolios 770,706 13,058 24,161 (11,240) 204,827 (8,877) 310,192 (20,063) Interest rate derivatives hedging the interest rate risk related to (1) 769,218 12,963 24,149 (11,292) 203,490 (8,830) 310,192 (20,063) Loans and receivables 346,924 9,243 162 9,680 203,490 (8,830) Deposits 422,294 3,720 23,987 (20,972) 310,192 (20,063) Foreign exchange derivatives hedging the interest rate and foreign exchange risks related to 1,488 95 12 52 1,337 (47) Loans and receivables 1,488 95 12 52 1,337 (47) TOTAL FAIR VALUE HEDGE 1,103,455 24,213 36,872 (9,740) 319,568 (21,081) 432,472 (30,651) (1) Are included in this section the notional amounts of hedging derivatives and of swaps that reverse the interest rate positions, thus reducing the hedge relationship, when the hedged item still exists, for respectively EUR 121,183 million for derivatives hedging loans and receivables and EUR 103,261 million for derivatives hedging deposits. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 230 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The table below presents the detail of fair value hedge relationships for identi\ufb01ed \ufb01nancial instruments and portfolios of \ufb01nancial instruments that are continuing at 31 December 2021: In millions of euros, at 31 December 2021 Hedging instruments Hedged instruments Notional amounts Positive fair value Negative fair value Cumulated changes in fair value used as the basis for recognising ineffectiveness Carrying amount \u2013 asset Cumulated changes in fair value \u2013 asset Carrying amount \u2013 liability Cumulated changes in fair value \u2013 liability Fair value hedges of identi\ufb01ed instruments 302,733 3,013 6,008 (643) 110,232 1,530 116,360 1,131 Interest rate derivatives hedging the interest rate risk related to 294,121 2,818 5,939 (741) 105,419 1,601 112,726 1,099 Loans and receivables 20,854 213 518 (278) 19,242 276 Securities 112,596 1,179 5,399 (1,531) 86,177 1,325 Deposits 6,725 351 17 274 6,644 271 Debt securities 153,946 1,075 5 794 106,082 828 Foreign exchange derivatives hedging the interest rate and foreign exchange risks related to 8,612 195 69 98 4,813 (71) 3,634 32 Loans and receivables 2,433 140 2 48 2,308 (51) Securities 2,518 28 12 20 2,505 (20) Deposits 181 3 21 9 197 9 Debt securities 3,480 24 34 21 3,437 23 Interest rate risk hedged portfolios 453,256 3,997 3,585 (16) 109,933 1,463 178,771 1,320 Interest rate derivatives hedging the interest rate risk related to (1) 452,132 3,871 3,573 (58) 108,893 1,504 178,771 1,320 Loans and receivables 183,765 606 2,574 (1,603) 108,893 1,504 Deposits 268,367 3,265 999 1,545 178,771 1,320 Foreign exchange derivatives hedging the interest rate and foreign exchange risks related to 1,124 126 12 42 1,040 (41) Loans and receivables 1,124 126 12 42 1,040 (41) TOTAL FAIR VALUE HEDGE 755,989 7,010 9,593 (659) 220,165 2,993 295,131 2,451 (1) Are included in this section the notional amounts of hedging derivatives and of swaps that reverse the interest rate positions, thus reducing the hedge relationship, when the hedged item still exists, for respectively EUR 55,414 million for derivatives hedging loans and receivables and EUR 86,139 million for derivatives hedging deposits. An asset or a liability or set of assets and liabilities, can be hedged over several periods of time with different derivative \ufb01nancial instruments. Besides, some hedges are achieved by the combination of two derivative instruments. In this case, the notional amounts add up and their total amount is higher than the hedged amount. The \ufb01rst situation is observed more particularly for interest rate risk hedged portfolios and the second for hedges of issued debt securities. As regards discontinued fair value hedge relationships where the derivative contract was terminated, the cumulated amount of revaluation remaining to be amortised over the residual life of the hedged instruments amounts to EUR 1,399 million in assets at 31 December 2022, and to EUR -138 million in liabilities, for hedges of portfolios of \ufb01nancial instruments. At 31 December 2021, these amounts were EUR 1,509 million in assets and 14 million in liabilities. Regarding hedges of identi\ufb01ed instruments, the cumulated amount of revaluation remaining to be amortised over the residual life of the hedged instruments amounts to EUR 111 million in assets at 31 December 2022. At 31 December 2021, this amount was EUR 117 million in assets. The notional amount of cash \ufb02ow hedge derivatives is EUR 213,866 million at 31 December 2022. Changes in assets and liabilities recognised directly in equity amount to EUR -245 million. At 31 December 2021, the notional amount of cash \ufb02ow hedge derivatives was EUR 213,743 million and changes in assets and liabilities recognised directly in equity amounted to EUR 1,329 million. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 231 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The tables below present the notional amounts of hedging derivatives by maturity at 31 December 2022 and at 31 December 2021: In millions of euros, at 31 December 2022 Maturity date Less than 1 year Between 1 and 5 years Over 5 years Total Fair value hedges 382,063 430,968 290,424 1,103,455 Interest rate derivatives 378,055 426,364 290,270 1,094,689 Foreign exchange derivatives 4,008 4,604 154 8,766 Cash \ufb02ow hedges 142,568 51,041 20,257 213,866 Interest rate derivatives 18,178 30,041 11,422 59,641 Foreign exchange derivatives 124,223 20,753 8,835 153,811 Other derivatives 167 247 414 Net foreign investment hedges 1,719 - - 1,719 Foreign exchange derivatives 1,719 1,719 In millions of euros, at 31 December 2021 Maturity date Less than 1 year Between 1 and 5 years Over 5 years Total Fair value hedges 149,613 340,799 265,577 755,989 Interest rate derivatives 146,649 334,411 265,193 746,253 Foreign exchange derivatives 2,964 6,388 384 9,736 Cash \ufb02ow hedges 146,392 43,108 24,243 213,743 Interest rate derivatives 10,350 27,777 12,382 50,509 Foreign exchange derivatives 135,867 15,099 11,861 162,827 Other derivatives 175 232 407 Net foreign investment hedges 2,559 100 - 2,659 Foreign exchange derivatives 2,559 100 2,6594.c FINANCIAL ASSETS AT FAIR VALUE THROUGH EQUITY In millions of euros 31 December 2022 31 December 2021 Fair value of which changes in value recognised directly to equity Fair value of which changes in value recognised directly to equity Debt securities 35,878 (866) 38,906 (1) Governments 18,682 (350) 19,980 117 Other public administrations 9,921 (197) 13,000 51 Credit institutions 3,816 (302) 4,138 (169) Others 3,459 (17) 1,788 Equity securities 2,188 623 2,558 933 TOTAL FINANCIAL ASSETS AT FAIR VALUE THROUGH EQUITY 38,066 (243) 41,464 932 Debt securities at fair value through equity include EUR 108 million classi\ufb01ed as stage 3 at 31 December 2022 (EUR 105 million at 31 December 2021). For these securities, the credit impairment recognised in the pro\ufb01t and loss account has been charged to the negative changes in value recognised in equity for EUR 100 million at 31 December 2022 (EUR 104 million at 31 December 2021). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 232 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The option to recognise certain equity instruments at fair value through equity was retained in particular for shares held through strategic partnerships and shares that the Group is required to hold in order to carry out certain activities. During the year ended 31 December 2022, the Group sold two of these investments and an unrealised gain of EUR 267 million was transferred to \u201cretained earnings\u201d (EUR 12 million at 31 December 2021).4.d MEASUREMENT OF THE FAIR VALUE OF FINANCIAL INSTRUMENTS Valuation process BNP Paribas has retained the fundamental principle that it should have a unique and integrated processing chain for producing and controlling the valuations of \ufb01nancial instruments that are used for the purpose of daily risk management and \ufb01nancial reporting. All these processes are based on a common economic valuation which is a core component of business decisions and risk management strategies. Economic value is composed of mid-market value, to which valuation adjustments are made. Mid-market value is derived from external data or valuation techniques that maximise the use of observable and market-based data. Mid-market value is a theoretical additive value which does not take account of i) the direction of the transaction or its impact on the existing risks in the portfolio, ii) the nature of the counterparties, and iii) the aversion of a market participant to particular risks inherent in the instrument, the market in which it is traded, or the risk management strategy. Valuation adjustments take into account valuation uncertainty and include market and credit risk premiums to re\ufb02ect costs that could be incurred in case of an exit transaction in the principal market. Fair value generally equals the economic value, subject to limited adjustments, such as own credit adjustments, which are speci\ufb01cally required by IFRS standards. The main valuation adjustments are presented in the section below. Valuation adjustments Valuation adjustments retained by BNP Paribas for determining fair values are as follows: Bid/offer adjustments: the bid/offer range re\ufb02ects the additional exit cost for a price taker and symmetrically the compensation sought by dealers to bear the risk of holding the position or closing it out by accepting another dealer\u2019s price. BNP Paribas assumes that the best estimate of an exit price is the bid or offer price, unless there is evidence that another point in the bid/offer range would provide a more representative exit price. Input uncertainty adjustments: when the observation of prices or data inputs required by valuation techniques is dif\ufb01cult or irregular, an uncertainty exists on the exit price. There are several ways to gauge the degree of uncertainty on the exit price such as measuring the dispersion of the available price indications or estimating the possible ranges of the inputs to a valuation technique. Model uncertainty adjustments: these relate to situations where valuation uncertainty is due to the valuation technique used, even though observable inputs might be available. This situation arises when the risks inherent in the instruments are different from those available in the observable data, and therefore the valuation technique involves assumptions that cannot be easily corroborated. Future Hedging Costs adjustments (FHC): this adjustment applies to positions classi\ufb01ed in Level 3 that require dynamic hedging throughout their lifetime leading to additional bid/offer costs. Calculation methods capture these expected costs in particular based on the optimal hedging frequency. Credit valuation adjustment (CVA): the CVA adjustment applies to valuations and market quotations whereby the credit worthiness of the counterparty is not re\ufb02ected. It aims to account for the possibility that the counterparty may default and that BNP Paribas may not receive the full fair value of the transactions. In determining the cost of exiting or transferring counterparty risk exposures, the relevant market is deemed to be an inter-dealer market. However, the determination of CVA remains judgemental due to: \u25a0 the possible absence or lack of price discovery in the inter-dealer market; \u25a0 the in\ufb02uence of the regulatory landscape relating to counterparty risk on the market participants\u2019 pricing behaviour; and \u25a0 the absence of a dominant business model for managing counterparty risk. The CVA model is grounded on the same exposures as those used for regulatory purposes. The model attempts to estimate the cost of an optimal risk management strategy based on i) implicit incentives and constraints inherent in the regulations in force and their evolutions, ii) market perception of the probability of default, and iii) default parameters used for regulatory purposes. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 233 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Funding valuation adjustment (FVA): when valuation techniques are used for the purpose of deriving fair value, funding assumptions related to the future expected cash \ufb02ows are an integral part of the mid-market valuation, notably through the use of appropriate discount rates. These assumptions re\ufb02ect what the Bank anticipates as being the effective funding conditions of the instrument that a market participant would consider. This notably takes into account the existence and terms of any collateral agreement. In particular, for non- or imperfectly collateralised derivative instruments, they include an explicit adjustment to the interbank interest rate. Own-credit valuation adjustment for debts (OCA) and for derivatives (debit valuation adjustment \u2013 DVA): OCA and DVA are adjustments re\ufb02ecting the effect of credit worthiness of BNP Paribas, on respectively the value of debt securities designated as at fair value through pro\ufb01t or loss and derivatives. Both adjustments are based on the expected future liability pro\ufb01les of such instruments. The own credit worthiness is inferred from the market-based observation of the relevant bond issuance levels. The DVA adjustment is determined after taking into account the Funding Valuation Adjustment (FVA). Thus, the carrying value of debt securities designated as at fair value though pro\ufb01t or loss is decreased by EUR 160 million at 31 December 2022, compared with an increase in value of EUR 359 million at 31 December 2021, i.e. a -EUR 519 million variation recognised directly in equity that will not be reclassi\ufb01ed to pro\ufb01t or loss. Instrument classes and classification within the fair value hierarchy for assets and liabilities measured at fair value As explained in the summary of signi\ufb01cant accounting policies (note 1.e.10), \ufb01nancial instruments measured at fair value are categorised into a fair value hierarchy consisting of three levels. In millions of euros 31 December 2022 Financial instruments held for trading Instruments at fair value through pro\ufb01t or loss not held for trading Financial assets at fair value through equity Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Securities 130,589 25,744 805 157,138 1,643 1,495 5,801 8,939 32,727 4,395 944 38,066 Governments 59,860 10,136 28 70,024 - 16,783 1,770 127 18,680 Other debt securities 16,454 14,695 630 31,779 1,152 500 333 1,985 14,497 2,412 288 17,197 Equities and other equity securities 54,275 913 147 55,335 491 995 5,468 6,954 1,447 213 529 2,189 Loans and repurchase agreements - 186,170 798 186,968 - 1,274 2,883 4,157 - - - - Loans 6,428 5 6,433 1,274 2,883 4,157 Repurchase agreements 179,742 793 180,535 - FINANCIAL ASSETS AT FAIR VALUE 130,589 211,914 1,603 344,106 1,643 2,769 8,684 13,096 32,727 4,395 944 38,066 Securities 97,367 1,716 72 99,155 - - - - Governments 57,949 92 16 58,057 - Other debt securities 13,183 1,581 47 14,811 - Equities and other equity securities 26,235 43 9 26,287 - Borrowings and repurchase agreements - 230,303 2,048 232,351 - 1,472 253 1,725 Borrowings 6,952 6,952 1,472 253 1,725 Repurchase agreements 223,351 2,048 225,399 - Issued debt securities (note 4.h) - - - - 1,885 49,630 18,945 70,460 Subordinated debt (note 4.h) - 675 675 Non subordinated debt (note 4.h) - 4 45,161 18,945 64,110 Debt representative of shares of consolidated funds held by third parties - 1,881 3,794 5,675 FINANCIAL LIABILITIES AT FAIR VALUE 97,367 232,019 2,120 331,506 1,885 51,102 19,198 72,185 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 234 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In millions of euros 31 December 2021 Financial instruments held for trading Instruments at fair value through pro\ufb01t or loss not held for trading Financial assets at fair value through equity Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Securities 152,215 28,234 630 181,079 3,520 1,865 5,043 10,428 33,356 6,987 1,121 41,464 Governments 82,556 10,962 36 93,554 - 16,263 3,717 19,980 Other debt securities 20,921 15,697 404 37,022 2,867 696 404 3,967 15,551 3,057 318 18,926 Equities and other equity securities 48,738 1,575 190 50,503 653 1,169 4,639 6,461 1,542 213 803 2,558 Loans and repurchase agreements - 246,895 612 247,507 - 1,398 903 2,301 - - - - Loans 6,525 13 6,538 1,398 903 2,301 Repurchase agreements 240,370 599 240,969 - FINANCIAL ASSETS AT FAIR VALUE 152,215 275,129 1,242 428,586 3,520 3,263 5,946 12,729 33,356 6,987 1,121 41,464 Securities 110,117 2,064 157 112,338 - - - - Governments 76,019 267 76,286 Other debt securities 14,382 1,683 117 16,182 Equities and other equity securities 19,716 114 40 19,870 Borrowings and repurchase agreements - 290,659 918 291,577 - 1,556 323 1,879 Borrowings 1,758 1,758 1,556 323 1,879 Repurchase agreements 288,901 918 289,819 Issued debt securities (note 4.h) - - - - 2,716 47,409 20,258 70,383 Subordinated debt (note 4.h) 947 947 Non subordinated debt (note 4.h) 42,076 20,258 62,334 Debt representative of shares of consolidated funds held by third parties 2,716 4,386 7,102 FINANCIAL LIABILITIES AT FAIR VALUE 110,117 292,723 1,075 403,915 2,716 48,965 20,581 72,262 Fair values of derivatives are broken down by dominant risk factor, namely interest rate, foreign exchange, credit and equity. Derivatives used for hedging purposes are mainly interest rate derivatives. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 235 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In millions of euros 31 December 2022 Positive market value Negative market value Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Interest rate derivatives 873 147,853 1,396 150,122 503 122,659 2,053 125,215 Foreign exchange derivatives 33 133,628 721 134,382 35 129,204 35 129,274 Credit derivatives 6,382 912 7,294 6,822 909 7,731 Equity derivatives 6,760 13,512 2,330 22,602 9,177 13,290 4,824 27,291 Other derivatives 1,295 12,158 79 13,532 843 9,629 138 10,610 DERIVATIVE FINANCIAL INSTRUMENTS NOT USED FOR HEDGING PURPOSES 8,961 313,533 5,438 327,932 10,558 281,604 7,959 300,121 DERIVATIVE FINANCIAL INSTRUMENTS USED FOR HEDGING PURPOSES - 25,401 - 25,401 - 40,001 - 40,001 In millions of euros 31 December 2021 Positive market value Negative market value Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Interest rate derivatives 331 117,854 1,034 119,219 318 105,988 1,184 107,490 Foreign exchange derivatives 40 74,827 447 75,314 36 75,388 270 75,694 Credit derivatives 7,532 839 8,371 7,562 889 8,451 Equity derivatives 9,770 12,741 1,706 24,217 12,593 15,795 6,683 35,071 Other derivatives 1,284 11,962 56 13,302 1,179 9,359 153 10,691 DERIVATIVE FINANCIAL INSTRUMENTS NOT USED FOR HEDGING PURPOSES 11,425 224,916 4,082 240,423 14,126 214,092 9,179 237,397 DERIVATIVE FINANCIAL INSTRUMENTS USED FOR HEDGING PURPOSES - 8,680 - 8,680 - 10,076 - 10,076 Transfers between levels may occur when an instrument ful\ufb01ls the criteria de\ufb01ned, which are generally market and product dependent. The main factors in\ufb02uencing transfers are changes in the observation capabilities, passage of time, and events during the transaction lifetime. The timing of recognising transfers is determined at the beginning of the reporting period. During the year ended 2022, transfers between Level 1 and Level 2 were not signi\ufb01cant. Description of main instruments in each level The following section provides a description of the instruments in each level in the hierarchy. It describes notably instruments classi\ufb01ed in Level 3 and the associated valuation methodologies. For main trading book instruments and derivatives classi\ufb01ed in Level 3, further quantitative information is provided about the inputs used to derive fair value. Level 1 This level encompasses all derivatives and securities that are listed on exchanges or quoted continuously in other active markets. Level 1 includes notably equity securities and liquid bonds, shortselling of these instruments, derivative instruments traded on organised markets (futures, options, etc.). It includes shares of funds and UCITS, for which the net asset value is calculated on a daily basis, as well as debt representative of shares of consolidated funds held by third parties. Level 2 The Level 2 stock of securities is composed of securities which are less liquid than the Level 1 bonds. They are predominantly corporate debt securities, government bonds, mortgage-backed securities, fund shares and short-term securities such as certi\ufb01cates of deposit. They are classi\ufb01ed in Level 2 notably when external prices for the same security can be regularly observed from a reasonable number of market makers that are active in this security, but these prices do not represent directly tradable prices. This comprises amongst other, consensus pricing services with a reasonable number of contributors that are active market makers as well as indicative runs from active brokers and/or dealers. Other sources such as primary issuance market, may also be used where relevant. Repurchase agreements are classi\ufb01ed predominantly in Level 2. The classi\ufb01cation is primarily based on the observability and liquidity of the repo market, depending on the underlying collateral and the maturity of the repo transaction. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 236 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Debts issued designated as at fair value through pro\ufb01t and loss, are classi\ufb01ed in the same level as the one that would apply to the embedded derivative taken individually. The issuance spread is considered observable. Derivatives classi\ufb01ed in Level 2 comprise mainly the following instruments: \u25a0 vanilla instruments such as interest rate swaps, caps, \ufb02oors and swaptions, credit default swaps, equity/foreign exchange (FX)/commodities forwards and options; \u25a0 structured derivatives for which model uncertainty is not signi\ufb01cant such as exotic FX options, mono- and multi-underlying equity/funds derivatives, single curve exotic interest rate derivatives and derivatives based on structured rates. The above derivatives are classi\ufb01ed in Level 2 when there is a documented stream of evidence supporting one of the following: \u25a0 fair value is predominantly derived from prices or quotations of other Level 1 and Level 2 instruments, through standard market interpolation or stripping techniques whose results are regularly corroborated by real transactions; \u25a0 fair value is derived from other standard techniques such as replication or discounted cash \ufb02ows that are calibrated to observable prices, that bear limited model risk and enable an effective offset of the risks of the instrument through trading Level 1 or Level 2 instruments; \u25a0 fair value is derived from more sophisticated or proprietary valuation techniques but is directly evidenced through regular back-testing using external market-based data. Determining whether an over-the-counter (OTC) derivative is eligible for Level 2 classi\ufb01cation involves judgement. Consideration is given to the origin, transparency and reliability of external data used, and the amount of uncertainty associated with the use of models. It follows that the Level 2 classi\ufb01cation criteria involve multiple analysis axis within an \u201cobservability zone\u201d whose limits are determined by i) a predetermined list of product categories and ii) the underlying and maturity bands. These criteria are regularly reviewed and updated, together with the applicable valuation adjustments, so that the classi\ufb01cation by level remains consistent with the valuation adjustment policy. Level 3 Level 3 securities of the trading book mainly comprise units of funds and unlisted equity shares measured at fair value through pro\ufb01t or loss or through equity. Unlisted private equities are systematically classi\ufb01ed as Level 3, with the exception of UCITS with a daily net asset value, which are classi\ufb01ed in the Level 1 of the fair value hierarchy. Shares and other unlisted variable income securities in Level 3 are valued using one of the following methods: a share of revalued net book value, multiples of comparable companies, future cash \ufb02ows method, multi-criteria approach. Some repurchase agreements: mainly long-term or structured repurchase agreements on corporate bonds and ABSs when the valuation of these transactions requires proprietary methodologies given the bespoke nature of the transactions and the lack of activity and price discovery in the long- term repo market. The curves used in the valuation are corroborated using available data such as recent long-term repo trade data and price enquiry data. Valuation adjustments applicable to these exposures are commensurate with the degree of uncertainty inherent in the modelling choices and amount of data available. Debts issued designated as at fair value through pro\ufb01t or loss, are classi\ufb01ed in the same level as the one that would apply to the embedded derivative taken individually. The issuance spread is considered observable. Derivatives Vanilla derivatives are classi\ufb01ed in Level 3 when the exposure is beyond the observation zone for rate curves or volatility surfaces, or relates to less liquid markets such as tranches on old credit index series or emerging markets interest rates markets. The main instruments are: \u25a0 Interest rate derivatives: exposures mainly comprise swap products in less liquid currencies. Classi\ufb01cation is driven by the lower liquidity of some maturities, while observation capabilities through consensus may be available. The valuation technique is standard, and uses external market information and extrapolation techniques; \u25a0 Credit derivatives (CDS): exposures mainly comprise CDSs beyond the maximum observable maturity and, to a much lesser extent, CDSs on illiquid or distressed names and CDSs on loan indices. Classi\ufb01cation is driven by the lack of liquidity while observation capabilities may be available notably through consensus. Level 3 exposures also comprise CDS and Total Return Swaps (TRS) positions on securitised assets. These are priced along the same modelling techniques as the underlying bonds, taking into consideration the funding basis and speci\ufb01c risk premium; \u25a0 Equity derivatives: exposures essentially comprise long dated forward or volatility products or exposures where there is a limited market for optional products. The marking of the forward curves and volatility surfaces beyond the maximum observable maturity relies on extrapolation techniques. However, when there is no market for model input, volatility or forward is generally determined on the basis of proxy or historical analysis. Similarly, long-term transactions on equity baskets are also classi\ufb01ed in Level 3, based on the absence of equity correlation observability on long maturities. These vanilla derivatives are subject to valuation adjustments linked to uncertainty on liquidity, specialised by nature of underlying and liquidity bands. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 237 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Structured derivatives classi\ufb01ed in Level 3 predominantly comprise hybrid products (FX/Interest Rates hybrids, Equity hybrids), credit correlation products, prepayment-sensitive products, some stock basket optional products and some interest rate optional instruments. The main exposures are described below, with insight into the related valuation techniques and on the source of uncertainty: \u25a0 structured interest rate options are classi\ufb01ed in Level 3 when they involve currencies where there is not suf\ufb01cient observation or when they include a quanto feature where the pay-off is measured with a forex forward \ufb01xed rate (except for the main currencies). Long term structured derivatives are also classi\ufb01ed in Level 3; \u25a0 hybrid FX/Interest rate products essentially comprise a speci\ufb01c product family known as Power Reverse Dual Currency (PRDC) when there is material valuation uncertainty. When valuation of PRDCs requires sophisticated modelling of joint behaviour of FX and interest rate, and is notably sensitive to the unobservable FX/interest rate correlations, such products are classi\ufb01ed as Level 3. PRDCs valuations are corroborated with recent trade data and consensus data; \u25a0 securitisation swaps mainly comprise \ufb01xed-rate swaps, cross-currency or basis swaps whose notional is indexed to the prepayment behaviour of some underlying portfolio. The estimation of the maturity pro\ufb01le of securitisation swaps is corroborated by statistical estimates using external historical data; \u25a0 forward volatility options are generally products whose pay-off is indexed to the future variability of a rate index such as volatility swaps. These products involve material model risk as it is dif\ufb01cult to infer forward volatility information from market-traded instruments. The valuation adjustment framework is calibrated to the uncertainty inherent in the product, and to the range of uncertainty from the existing external consensus data; \u25a0 inflation derivatives classi\ufb01ed in Level 3 mainly comprise swap products on in\ufb02ation indices that are not associated with a liquid indexed bond market, optional products on in\ufb02ation indices (such as caps and \ufb02oors) and other forms of in\ufb02ation indices involving optionality on the in\ufb02ation indices or on the in\ufb02ation annual rate. Valuation techniques used for in\ufb02ation derivatives are predominantly standard market models. Proxy techniques are used for a few limited exposures. Although the valuations are corroborated through monthly consensus data, these products are classi\ufb01ed as Level 3 due to their lack of liquidity and some uncertainties inherent in the calibration; \u25a0 the valuation of bespoke CDOs requires correlation of default events when there is material valuation uncertainty. This information is inferred from the active index tranche market through a proprietary projection technique and involves proprietary extrapolation and interpolation techniques. Multi-geography CDOs further require an additional correlation assumption. Finally, the bespoke CDO model also involves proprietary assumptions and parameters related to the dynamic of the recovery factor. CDO modelling, is calibrated on the observable index tranche markets, and is regularly back-tested against consensus data on standardised pools. The uncertainty arises from the model risk associated with the projection and geography mixing technique, and the uncertainty of associated parameters, together with the recovery modelling; \u25a0 N to Default baskets are other forms of credit correlation products, modelled through standard copula techniques. The main inputs required are the pair-wise correlations between the basket components which can be observed in the consensus and the transactions. Linear baskets are considered observable; \u25a0 equity and equity-hybrid correlation products are instruments whose pay-off is dependent on the joint behaviour of a basket of equities/indices leading to a sensitivity of the fair value measurement to the correlation amongst the basket components. Hybrid versions of these instruments involve baskets that mix equity and non-equity underlyings such as commodity indices, or foreign exchange rates. Only a subset of the Equity/index correlation matrix is regularly observable and traded, while most cross-asset correlations are not active. Therefore, classi\ufb01cation in Level 3 depends on the composition of the basket, the maturity, and the hybrid nature of the product. The correlation input is derived from a proprietary model combining historical estimators, and other adjustment factors, that are corroborated by reference to recent trades or external data. The correlation matrix is essentially available from consensus services, and when a correlation between two underlying instruments is not available, it might be obtained from extrapolation or proxy techniques. These structured derivatives are subject to speci\ufb01c valuation adjustments to cover uncertainties linked to liquidity, parameters and model risk. Valuation adjustments (CVA, DVA and FVA) The valuation adjustment for counterparty credit risk (CVA), own-credit risk for derivatives (DVA) and the explicit funding valuation adjustment (FVA) are deemed to be unobservable components of the valuation framework and therefore classi\ufb01ed in Level 3. This does not impact, in general cases, the classi\ufb01cation of individual transactions into the fair value hierarchy. However, a speci\ufb01c process allows to identify individual deals for which the marginal contribution of these adjustments and related uncertainty is signi\ufb01cant and justi\ufb01es classifying these transactions in Level 3. The table below provides the range of values of main unobservable inputs for the valuation of Level 3 \ufb01nancial instruments. The ranges displayed correspond to a variety of different underlying instruments and are meaningful only in the context of the valuation technique implemented by BNP Paribas. The weighted averages, where relevant and available, are based on fair values, nominal amounts or sensitivities. The main unobservable parameters used for the valuation of debt issued in Level 3 are equivalent to those of their economic hedge derivative. Information on those derivatives, displayed in the following table, is also applicable to these debts. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 238 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Risk classes Balance Sheet valuation (in millions of euros) Main product types composing the Level 3 stock within the risk class Valuation technique used for the product types considered Main unobservable inputs for the product types considered Range of unobservable input across Level 3 population considered Weighted average Asset Liability Repurchase agreements 793 2,048 Long-term repo and reverse- repo agreements Proxy techniques, based amongst other on the funding basis of a benchmark bond pool, that is actively traded and representative of the repo underlying Long-term repo spread on private bonds (High Yield, High Grade) and on ABSs 0 bp to 80 bp 21 bp (a) Interest rate derivatives 1,396 2,053 Hybrid Forex/Interest rates derivatives Hybrid Forex interest rate option pricing model Correlation between FX rate and interest rates. Main currency pairs are EUR/JPY, USD/JPY, AUD/JPY -13% to 53% 17% (a) Hybrid in\ufb02ation rates/Interest rates derivatives Hybrid in\ufb02ation interest rate option pricing model Correlation between interest rates and in\ufb02ation rates mainly in Europe. 3% to 14% 12% Floors and caps on in\ufb02ation rate or on the cumulative in\ufb02ation (such as redemption \ufb02oors), predominantly on European and French in\ufb02ation In\ufb02ation pricing model Volatility of cumulative in\ufb02ation 1% to 11.7% (b) Volatility of the year-on-year in\ufb02ation rate 0.4% to 3.3% Forward Volatility products such as volatility swaps, mainly in euros Interest rates option pricing model Forward volatility of interest rates 0.6% to 1.2% (b) Balance-guaranteed \ufb01xed rate, basis or cross currency swaps, predominantly on European collateral pools Prepayment modelling Discounted cash \ufb02ows Constant prepayment rates 0% to 18% 1% (a) Credit derivatives 912 909 Collateralised Debt Obligations and index tranches for inactive index series Base correlation projection technique and recovery modelling Base correlation curve for bespoke portfolios 17% to 85% (b) Recovery rate variance for single name underlyings 0 to 25% (b) N-to-default baskets Credit default model Default correlation 48% to 73% 53% (a) Single name Credit Default Swaps (other than CDS on ABSs and loans indices) Stripping, extrapolation and interpolation Credit default spreads beyond observation limit (10 years) 45 bp to 535 bp (1) 435 bp (c) Illiquid credit default spread curves (across main tenors) 8 bp to 610 bp (2) 99 bp (c) Equity derivatives 2,330 4,824 Simple and complex derivatives on multi- underlying baskets on stocks Various volatility option models Unobservable equity volatility 0% to 124% (3) 33% (d) Unobservable equity correlation 25% to 100% 73% (c) (1) The upper part of the range relates to a signi\ufb01cant balance sheet position on an issuer belonging to the European telecommunication sector. The remaining positions relate mainly to sovereign and \ufb01nancial issuers. (2) The upper bound of the range relates to distribution, consumer and transportation sector issuers that represent an insigni\ufb01cant portion of the balance sheet (CDSs with illiquid underlying instruments). (3) The upper part of the range relates to 6 equities representing a non-material portion of the balance sheet on options with equity underlying instruments. Including these inputs, the upper bound of the range would be around 289%. (a) Weights based on relevant risk axis at portfolio level. (b) No weighting, since no explicit sensitivity is attributed to these inputs. (c) Weighting is not based on risks, but on an alternative methodology in relation with the Level 3 instruments (present value or notional). (d) Simple averaging. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 239 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Table of movements in Level 3 financial instruments For Level 3 \ufb01nancial instruments, the following movements occurred during the year ended 31 December 2022: In millions of euros Financial assets Financial liabilities Financial instruments at fair value through pro\ufb01t or loss held for trading Financial instruments at fair value through pro\ufb01t or loss not held for trading Financial assets at fair value through equity TOTAL Financial instruments at fair value through pro\ufb01t or loss held for trading Financial instruments designated as at fair value through pro\ufb01t or loss TOTAL AT 31 DECEMBER 2021 5,324 5,946 1,121 12,391 (10,254) (20,581) (30,835) Purchases 1,507 1,497 257 3,261 - Issues - (6,810) (6,810) Sales (1,591) (1,219) (502) (3,312) (24) (24) Settlements (1) 2,682 1,824 135 4,641 2,905 7,904 10,809 Transfers to Level 3 1,657 26 36 1,719 (733) (1,760) (2,493) Transfers from Level 3 (2,126) (34) (2,160) 1,391 1,007 2,398 Gains (or losses) recognised in pro\ufb01t or loss with respect to transactions expired or terminated during the period (434) 651 (41) 176 (2,983) 2,800 (183) Gains (or losses) recognised in pro\ufb01t or loss with respect to unexpired instruments at the end of the period 20 1 21 (383) (1,758) (2,141) Changes in fair value of assets and liabilities recognised directly in equity - - Items related to exchange rate movements 2 (8) (3) (9) 2 2 Changes in fair value of assets and liabilities recognised in equity (59) (59) - AT 31 DECEMBER 2022 7,041 8,684 944 16,669 (10,079) (19,198) (29,277) (1) For the assets, includes redemptions of principal, interest payments as well as cash in\ufb02ows and out\ufb02ows relating to derivatives. For the liabilities, includes principal redemptions, interest payments as well as cash in\ufb02ows and out\ufb02ows relating to derivatives the fair value of which is negative. Transfers out of Level 3 of derivatives at fair value include mainly the update of the observability tenor of certain yield curves, and of market parameters related to repurchase agreements and credit transactions but also the effect of derivatives becoming only or mainly sensitive to observable inputs due to the shortening of their lifetime. Transfers into Level 3 of instruments at fair value re\ufb02ect the effect of the regular update of the observability zones. Transfers have been re\ufb02ected as if they had taken place at the beginning of the reporting period. The Level 3 \ufb01nancial instruments may be hedged by other Level 1 and Level 2 instruments, the gains and losses of which are not shown in this table. Consequently, the gains and losses shown in this table are not representative of the gains and losses arising from management of the net risk on all these instruments. Sensitivity of fair value to reasonably possible changes in Level 3 assumptions The following table summarises those \ufb01nancial assets and \ufb01nancial liabilities classi\ufb01ed as Level 3 for which alternative assumptions in one or more of the unobservable inputs would change fair value signi\ufb01cantly. The amounts disclosed are intended to illustrate the range of possible uncertainty inherent to the judgement applied when estimating Level 3 parameters, or when selecting valuation techniques. These amounts re\ufb02ect valuation uncertainties that prevail at the measurement date, and even though such uncertainties predominantly derive from the portfolio sensitivities that prevailed at that measurement date, they are not predictive or indicative of future movements in fair value, nor do they represent the effect of market stress on the portfolio value. In estimating sensitivities, BNP Paribas either remeasured the \ufb01nancial instruments using reasonably possible inputs, or applied assumptions based on the valuation adjustment policy. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 240 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements For the sake of simplicity, the sensitivity on cash instruments that are not relating to securitised instruments was based on a uniform 1% shift in the price. More speci\ufb01c shifts were however calibrated for each class of the Level 3 securitised exposures, based on the possible ranges of the unobservable inputs. For derivative exposures, the sensitivity measurement is based on the credit valuation adjustment (CVA), the explicit funding valuation adjustment (FVA) and the parameter and model uncertainty adjustments related to Level 3. Regarding the credit valuation adjustment (CVA) and the explicit funding valuation adjustment (FVA), the uncertainty was calibrated based on prudent valuation adjustments described in the technical standard \u201cPrudent Valuation\u201d published by the European Banking Authority. For other valuation adjustments, two scenarios were considered: a favourable scenario where all or portion of the valuation adjustment is not considered by market participants, and an unfavourable scenario where market participants would require twice the amount of valuation adjustments considered by BNP Paribas for entering into a transaction. In millions of euros 31 December 2022 31 December 2021 Potential impact on income Potential impact on equity Potential impact on income Potential impact on equity Debt securities +/-8 +/-3 +/-7 +/-3 Equities and other equity securities +/-56 +/-5 +/-48 +/-8 Loans and repurchase agreements +/-42 +/-12 Derivative \ufb01nancial instruments +/-576 +/-588 Interest rate and foreign exchange derivatives +/-227 +/-322 Credit derivatives +/-98 +/-35 Equity derivatives +/-245 +/-227 Other derivatives +/-6 +/-4 SENSITIVITY OF LEVEL 3 FINANCIAL INSTRUMENTS +/-682 +/-8 +/-655 +/-11 Deferred margin on financial instruments measured using techniques developed internally and based on inputs partly unobservable in active markets Deferred margin on \ufb01nancial instruments (\u201cDay One Pro\ufb01t\u201d) primarily concerns the scope of \ufb01nancial instruments eligible for Level 3 and to a lesser extent some \ufb01nancial instruments eligible for Level 2 where valuation adjustments for uncertainties regarding parameters or models are not negligible compared to the initial margin. The Day One Pro\ufb01t is calculated after setting aside valuation adjustments for uncertainties as described previously and released to pro\ufb01t or loss over the expected period for which the inputs will be unobservable. The unamortised amount is included under \u201cFinancial instruments at fair value through pro\ufb01t or loss\u201d as a reduction in the fair value of the relevant transactions. In millions of euros Deferred margin at 31 December 2021 Deferred margin on transactions during the period Margin taken to the pro\ufb01t and loss account during the period Deferred margin at 31 December 2022 Interest rate and foreign exchange derivatives 204 142 (152) 194 Credit derivatives 164 150 (140) 174 Equity derivatives 401 449 (424) 426 Other instruments 9 31 (30) 10 Financial instruments 778 772 (746) 804 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 241 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements4.e FINANCIAL ASSETS AT AMORTISED COST \u27a4 DETAIL OF LOANS AND ADVANCES BY NATURE In millions of euros 31 December 2022 31 December 2021 Gross value Impairment (note 2.h) Carrying amount Gross value Impairment (note 2.h) Carrying amount Loans and advances to credit institutions 32,716 (100) 32,616 21,844 (93) 21,751 On demand accounts 11,000 (8) 10,992 9,009 (8) 9,001 Loans (1) 15,767 (92) 15,675 10,635 (85) 10,550 Repurchase agreements 5,949 5,949 2,200 2,200 Loans and advances to customers 875,301 (18,281) 857,020 833,935 (19,935) 814,000 On demand accounts 42,963 (2,844) 40,119 52,488 (3,157) 49,331 Loans to customers 788,971 (14,354) 774,617 740,080 (15,658) 724,422 Finance leases 42,574 (1,083) 41,491 41,026 (1,120) 39,906 Repurchase agreements 793 793 341 341 TOTAL LOANS AND ADVANCES AT AMORTISED COST 908,017 (18,381) 889,636 855,779 (20,028) 835,751 (1) Loans and advances to credit institutions include term deposits made with central banks. \u27a4 CONTRACTUAL MATURITIES OF FINANCE LEASES In millions of euros 31 December 2022 31 December 2021 Gross investment 45,602 43,823 Receivable within 1 year 13,278 12,276 Receivable after 1 year but within 5 years 28,068 27,399 Receivable beyond 5 years 4,256 4,148 Unearned interest income (3,028) (2,797) Net investment before impairment 42,574 41,026 Receivable within 1 year 12,176 11,289 Receivable after 1 year but within 5 years 26,396 25,845 Receivable beyond 5 years 4,002 3,892 Impairment provisions (1,083) (1,120) Net investment after impairment 41,491 39,906 \u27a4DETAIL OF DEBT SECURITIES BY TYPE OF ISSUER In millions of euros 31 December 2022 31 December 2021 Gross value Impairment (note 2.h) Carrying amount Gross value Impairment (note 2.h) Carrying amount Governments 59,961 (23) 59,938 57,221 (20) 57,201 Other public administration 15,686 (2) 15,684 17,317 (2) 17,315 Credit institutions 9,062 (2) 9,060 10,593 (2) 10,591 Others 29,435 (103) 29,332 23,547 (144) 23,403 TOTAL DEBT SECURITIES AT AMORTISED COST 114,144 (130) 114,014 108,678 (168) 108,510 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 242 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4DETAIL OF FINANCIAL ASSETS AT AMORTISED COST BY STAGE In millions of euros 31 December 2022 31 December 2021 Gross Value Impairment (note 2.h) Carrying amount Gross Value Impairment (note 2.h) Carrying amount Loans and advances to credit institutions 32,716 (100) 32,616 21,844 (93) 21,751 Stage 1 32,439 (11) 32,428 21,516 (13) 21,503 Stage 2 191 (10) 181 242 (2) 240 Stage 3 86 (79) 7 86 (78) 8 Loans and advances to customers 875,301 (18,281) 857,020 833,935 (19,935) 814,000 Stage 1 761,930 (1,998) 759,932 701,259 (1,834) 699,425 Stage 2 (1) 88,095 (2,839) 85,256 104,857 (2,687) 102,170 Stage 3 25,276 (13,444) 11,832 27,819 (15,414) 12,405 Debt securities 114,144 (130) 114,014 108,678 (168) 108,510 Stage 1 113,602 (27) 113,575 108,006 (20) 107,986 Stage 2 387 (10) 377 412 (25) 387 Stage 3 155 (93) 62 260 (123) 137 TOTAL FINANCIAL ASSETS AT AMORTISED COST 1,022,161 (18,511) 1,003,650 964,457 (20,196) 944,261 (1) The variation on loans classi\ufb01ed as stage 2 is presented in note 2.h.4.f IMPAIRED FINANCIAL ASSETS (STAGE 3) The following tables present the carrying amounts of impaired \ufb01nancial assets carried at amortised cost and of impaired \ufb01nancing and guarantee commitments, as well as related collateral and other guarantees. The amounts shown for collateral and other guarantees correspond to the lower of the value of the collateral or other guarantee and the value of the secured assets. In millions of euros 31 December 2022 Impaired \ufb01nancial assets (Stage 3) Collateral received Gross value Impairment Net Loans and advances to credit institutions (note 4.e) 86 (79) 7 1 Loans and advances to customers (note 4.e) 25,276 (13,444) 11,832 7,651 Debt securities at amortised cost (note 4.e) 155 (93) 62 14 TOTAL AMORTISED-COST IMPAIRED ASSETS (STAGE 3) 25,517 (13,616) 11,901 7,666 Financing commitments given 898 (73) 825 198 Guarantee commitments given 820 (243) 577 135 TOTAL OFF-BALANCE SHEET IMPAIRED COMMITMENTS (STAGE 3) 1,718 (316) 1,402 333 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 243 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In millions of euros 31 December 2021 Impaired \ufb01nancial assets (Stage 3) Collateral received Gross value Impairment Net Loans and advances to credit institutions (note 4.e) 86 (78) 8 1 Loans and advances to customers (note 4.e) 27,819 (15,414) 12,405 8,068 Debt securities at amortised cost (note 4.e) 260 (123) 137 25 TOTAL AMORTISED-COST IMPAIRED ASSETS (STAGE 3) 28,165 (15,615) 12,550 8,094 Financing commitments given 1,088 (89) 999 65 Guarantee commitments given 833 (265) 568 192 TOTAL OFF-BALANCE SHEET IMPAIRED COMMITMENTS (STAGE 3) 1,921 (354) 1,567 257 The following table presents the changes in gross exposures of stage 3 assets (EU CR2): Gross value In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 IMPAIRED EXPOSURES (STAGE 3) AT OPENING BALANCE 28,165 30,420 Transfer to stage 3 6,125 6,432 Transfer to stage 1 or stage 2 (1,672) (2,548) Assets written off (4,827) (4,491) Other changes (2,274) (1,648) IMPAIRED EXPOSURES (STAGE 3) AT CLOSING BALANCE 25,517 28,1654.g FINANCIAL LIABILITIES AT AMORTISED COST DUE TO CREDIT INSTITUTIONS AND CUSTOMERS In millions of euros 31 December 2022 31 December 2021 Deposits from credit institutions 124,718 165,699 On demand accounts 12,538 9,105 Interbank borrowings (1) 104,135 147,635 Repurchase agreements 8,045 8,959 Deposits from customers 1,008,054 957,684 On demand deposits 592,267 634,784 Savings accounts 162,354 158,932 Term accounts and short-term notes 253,210 163,429 Repurchase agreements 223 539 (1) Interbank borrowings from credit institutions include term borrowings from central banks, of which EUR 67 billion of TLTRO III at 31 December 2022 compared to EUR 120.1 billion at 31 December 2021 (see note 2.a Net Interest Income). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 244 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements4.h DEBT SECURITIES AND SUBORDINATED DEBT This note covers all issued debt securities and subordinated debt measured at amortised cost and designated as at fair value through pro\ufb01t or loss. \u27a4 DEBT SECURITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS (NOTE 4.A) Issuer/Issue date In millions of euros Currency Original amount in foreign currency (millions) Date of call or interest step-up Interest rate Interest step-up Conditions precedent for coupon payment (1) 31 December 2022 31 December 2021 Debt securities 64,110 62,334 Subordinated debt 676 947 Redeemable subordinated debt (2) 16 41 Perpetual subordinated debt 660 906 BNP Paribas Fortis Dec. 2007 (3) EUR 3,000 Dec.-14 3-month Euribor +200 bp A 660 906 (1) Conditions precedent for coupon payment: A Coupon payments are halted should the issuer have insuf\ufb01cient capital or the underwriters become insolvent or when the dividend declared for Ageas shares falls below a certain threshold. (2) After agreement from the banking supervisory authority and at the issuer\u2019s initiative, redeemable subordinated debt issues may contain a call provision authorising the Group to redeem the securities prior to maturity by repurchasing them in the stock market, via public tender offers, or in the case of private placements over the counter. Debt issued by BNP Paribas SA or foreign subsidiaries of the Group via placements in the international markets may be subject to early redemption of the capital and early payment of interest due at maturity at the issuer\u2019s discretion on or after a date stipulated in the issue particulars (call option), or in the event that changes in the applicable tax rules oblige the BNP Paribas Group issuer to compensate debt-holders for the consequences of such changes. Redemption may be subject to a notice period of between 15 and 60 days, and is in all cases subject to approval by the banking supervisory authorities. (3) Convertible And Subordinated Hybrid Equity-linked Securities (CASHES) issued by BNP Paribas Fortis (previously Fortis Banque) in December 2007. The CASHES are perpetual securities but may be exchanged for Ageas (previously Fortis SA/NV) shares at the holder\u2019s sole discretion at a price of EUR 239.40. However, as of 19 December 2014, the CASHES will be automatically exchanged into Ageas shares if their price is equal to or higher than EUR 359.10 for twenty consecutive trading days. The principal amount will never be redeemed in cash. The rights of the CASHES holders are limited to the Ageas shares held by BNP Paribas Fortis and pledged to them. Ageas and BNP Paribas Fortis have entered into a Relative Performance Note (RPN) contract, the value of which varies contractually so as to offset the impact on BNP Paribas Fortis of the relative difference between changes in the value of the CASHES and changes in the value of the Ageas shares. Since 1 January 2022, the liability is no longer eligible to prudential own funds. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 245 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 DEBT SECURITIES MEASURED AT AMORTISED COST Issuer/Issue date In millions of euros Currency Original amount in foreign currency (millions) Date of call or interest step-up Interest rate Interest step-up Conditions precedent for coupon payment (1) 31 December 2022 31 December 2021 Debt securities 154,143 149,723 Debt securities in issue with an initial maturity of less than one year 58,042 47,293 Negotiable debt securities 58,042 47,293 Debt securities in issue with an initial maturity of more than one year 96,101 102,430 Negotiable debt securities 17,587 27,256 Bonds 78,514 75,174 Subordinated debt 24,156 24,720 Redeemable subordinated debt (2) 22,419 23,000 Undated subordinated notes 1,509 1,494 BNP Paribas SA Oct. 85 EUR 305 - TMO - 0.25% - B 254 254 BNP Paribas SA Sept. 86 USD 500 - 6 month - Libor +0.075% - C 255 240 BNP Paribas Cardif Nov. 14 EUR 1,000 Nov. 25 4.032% 3-month Euribor +393 bp D 1,000 1,000 Participating notes 222 222 BNP Paribas SA July 84 (3) EUR 337 - (4) - 215 215 Others 7 7 Expenses and commission, related debt 6 4 (1) Conditions precedent for coupon payment B Payment of the interest is mandatory, unless the Board of directors decides to postpone these payments after the Shareholders\u2019 General Meeting has of\ufb01cially noted that there is no income available for distribution, where this occurs within the 12-month period preceding the due date for payment of the interest. Interest payments are cumulative and are payable in full once dividend payments resume. C Payment of the interest is mandatory, unless the Board of directors decides to postpone these payments after the Shareholders\u2019 General Meeting has validated the decision not to pay out a dividend, where this occurs within the 12-month period preceding the due date for payment of the interest. Interest payments are cumulative and are payable in full once dividend payments resume. The bank has the option of resuming payment of interest arrears, even where no dividend is paid out. D Payment of the interest is mandatory, except for cases of regulatory de\ufb01ciency, in agreement with the regulator, or of suspension of payments. Interest payments are cumulative and are payable in full, once coupon payments resume, or, if these events occur before, when the issuance is redeemed or when the issuer is liquidated. (2) See reference relating to \u201cDebt securities at fair value through pro\ufb01t or loss\u201d. (3) The participating notes issued by BNP Paribas SA may be repurchased as provided for in the law of 3 January 1983. The number of notes in the market is 1,434,092. (4) Depending on net income subject to a minimum of 85% of the TMO rate and a maximum of 130% of the TMO rate. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 246 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements4.i FINANCIAL INVESTMENTS AND OTHER ASSETS RELATED TO INSURANCE ACTIVITIES In millions of euros 31 December 2022 31 December 2021 Assets not representative of unit-linked insurance contracts Assets representative of unit-linked insurance contracts (\ufb01nancial risk supported by policyholders) Total Assets not representative of unit-linked insurance contracts Assets representative of unit-linked insurance contracts (\ufb01nancial risk supported by policyholders) Total Financial instruments designated as at fair value through pro\ufb01t or loss 44,317 79,648 123,965 50,940 87,108 138,048 Derivative \ufb01nancial instruments 1,675 1,675 1,033 1,033 Available-for-sale \ufb01nancial assets 104,961 104,961 127,413 127,413 Held-to-maturity \ufb01nancial assets 970 970 981 981 Loans and receivables 3,074 3,074 3,145 3,145 Equity-method investments 342 342 349 349 Investment property 2,855 4,402 7,257 2,875 4,354 7,229 TOTAL 158,194 84,050 242,244 186,736 91,462 278,198 Reinsurers\u2019 share of technical reserves 2,277 2,277 2,568 2,568 Policyholders\u2019 surplus reserve \u2013 assets 2,882 2,882 FINANCIAL INVESTMENTS AND OTHER ASSETS RELATED TO INSURANCE ACTIVITIES 163,353 84,050 247,403 189,304 91,462 280,766 Investments in \ufb01nancial instruments of insurance activities are accounted for according to IAS 39 principles. The fair value of \ufb01nancial assets with contractual cash-\ufb02ows corresponding only to payments of principal and interest on principal amounts to EUR 91.9 billion at 31 December 2022. It amounted to EUR 108.6 billion at 31 December 2021, which represents a variation of -EUR 16.7 billion over the period. The fair value of other \ufb01nancial assets amounts to EUR 150.4 billion and corresponds to all \ufb01nancial instruments that do not meet the previously mentioned criteria, derivatives and \ufb01nancial assets managed on a market value basis. It amounted to EUR 170 billion at 31 December 2021, which represents a variation of -EUR 19.6 billion over the period. The fair value of investment properties which are not representative of unit-linked insurance contracts accounted for at amortised cost amounts to EUR 4.2 billion at 31 December 2022, compared with EUR 4.4 billion at 31 December 2021.\u27a4 MEASUREMENT OF THE FAIR VALUE OF FINANCIAL INSTRUMENTS The criteria for allocating instruments to the levels of the fair value hierarchy, the corresponding valuation methodologies and the principles of transfer between the levels of the hierarchy for insurance investments are similar to those applied for the Group\u2019s other \ufb01nancial instruments (note 4.d). In millions of euros 31 December 2022 31 December 2021 Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Available-for-sale \ufb01nancial assets 91,640 12,720 601 104,961 110,750 16,196 467 127,413 Equity instruments 7,627 1,390 437 9,454 9,767 1,338 367 11,472 Debt securities 84,013 11,330 164 95,507 100,983 14,858 100 115,941 Financial instruments designated as at fair value through pro\ufb01t or loss 70,018 41,471 12,476 123,965 86,497 43,486 8,065 138,048 Equity instruments 69,439 32,669 12,452 114,560 85,749 34,660 8,037 128,446 Debt securities 579 8,802 24 9,405 748 8,826 28 9,602 Derivative \ufb01nancial instruments 10 1,622 43 1,675 1 909 123 1,033 FINANCIAL ASSETS MEASURED AT FAIR VALUE 161,668 55,813 13,120 230,601 197,248 60,591 8,655 266,494 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 247 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Level 1: this level comprises equities and liquid bonds, derivative instruments traded on organised markets (futures, options, etc.), units of funds and UCITS for which the net asset value is calculated on a daily basis. Level 2: this level comprises equities, certain government or corporate bonds, other fund units and UCITS and over-the-counter derivatives. Level 3: this level consists mainly of fund units and shares which are not quoted on active markets, consisting mainly of units in venture capital companies and funds. \u27a4 TABLE OF MOVEMENTS IN LEVEL 3 FINANCIAL INSTRUMENTS For Level 3 \ufb01nancial instruments, the following movements occurred during the period: In millions of euros Financial assets Available-for- sale \ufb01nancial instruments Financial instruments as at fair value through pro\ufb01t or loss Total AT 31 DECEMBER 2021 467 8,188 8,655 Purchases 290 3,701 3,991 Sales (371) (2,875) (3,246) Settlements (16) (393) (409) Transfers to Level 3 312 2,423 2,735 Transfers from Level 3 (80) (41) (121) Gains recognised in pro\ufb01t or loss 5 1,509 1,514 Items related to exchange rate movements 8 8 Changes in fair value of assets and liabilities recognised in equity (6) (6) AT 31 DECEMBER 2022 601 12,519 13,120 \u27a4DETAILS OF AVAILABLE-FOR-SALE FINANCIAL ASSETS In millions of euros 31 December 2022 31 December 2021 Balance sheet value of which impairment of which changes in value recognised directly in equity Balance sheet value of which impairment of which changes in value recognised directly in equity Debt securities 95,507 (11,744) 115,941 9,408 Equity instruments 9,454 (698) 2,041 11,472 (664) 3,257 TOTAL AVAILABLE-FOR-SALE FINANCIAL ASSETS 104,961 (698) (9,703) 127,413 (664) 12,665\u27a4 FAIR VALUE OF FINANCIAL INSTRUMENTS CARRIED AT AMORTISED COST In millions of euros 31 December 2022 31 December 2021 Level 1 Level 2 Level 3 Total Carrying value Level 1 Level 2 Level 3 Total Carrying value Held-to-maturity \ufb01nancial assets 1,016 1,016 970 1,150 1,150 981 Loans and receivables 3,069 7 3,076 3,074 3,152 3 3,155 3,145 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 248 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements4.q OFFSETTING OF FINANCIAL ASSETS AND LIABILITIES The following tables present the amounts of \ufb01nancial assets and liabilities before and after offsetting. This information, required by IFRS 7, aims to enable the comparability with the accounting treatment applicable in accordance with generally accepted accounting principles in the United States (US GAAP), which are less restrictive than IAS 32 as regards offsetting. \u201cAmounts set off on the balance sheet\u201d have been determined according to IAS 32. Thus, a \ufb01nancial asset and a \ufb01nancial liability are offset and the net amount presented on the balance sheet when, and only when, the Group has a legally enforceable right to set off the recognised amounts and intends either to settle on a net basis, or to realise the asset and settle the liability simultaneously. Amounts set off derive mainly from repurchase agreements and derivative instruments traded with clearing houses. The \u201cimpacts of master netting agreements and similar agreements\u201d are relative to outstanding amounts of transactions within an enforceable agreement, which do not meet the offsetting criteria de\ufb01ned by IAS 32. This is the case of transactions for which offsetting can only be performed in case of default, insolvency or bankruptcy of one of the contracting parties. \u201cFinancial instruments given or received as collateral\u201d include guarantee deposits and securities collateral recognised at fair value. These guarantees can only be exercised in case of default, insolvency or bankruptcy of one of the contracting parties. Regarding master netting agreements, the guarantee deposits received or given in compensation for the positive or negative fair values of \ufb01nancial instruments are recognised in the balance sheet in accrued income or expenses and other assets or liabilities. In millions of euros, at 31 December 2022 Gross amounts of \ufb01nancial assets Gross amounts set off on the balance sheet Net amounts presented on the balance sheet Impact of Master Netting Agreements (MNA) and similar agreements Financial instruments received as collateral Net amounts Assets Financial instruments at fair value through pro\ufb01t or loss Securities 166,077 166,077 166,077 Loans and repurchase agreements 334,401 (143,276) 191,125 (27,377) (147,368) 16,380 Derivative \ufb01nancial instruments (including derivatives used for hedging purposes) 980,161 (626,829) 353,333 (228,379) (64,980) 59,974 Financial assets at amortised cost 1,003,650 1,003,650 (966) (5,198) 997,486 of which repurchase agreements 6,742 6,742 (966) (5,198) 578 Accrued income and other assets 209,092 209,092 (44,982) 164,110 of which guarantee deposits paid 155,199 155,199 (44,982) 110,217 Other assets not subject to offsetting 743,099 743,099 743,099 TOTAL ASSETS 3,436,480 (770,105) 2,666,376 (256,722) (262,528) 2,147,126 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 257 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In millions of euros, at 31 December 2022 Gross amounts of \ufb01nancial liabilities Gross amounts set off on the balance sheet Net amounts presented on the balance sheet Impact of Master Netting Agreements (MNA) and similar agreements Financial instruments given as collateral Net amounts Liabilities Financial instruments at fair value through pro\ufb01t or loss Securities 99,155 99,155 99,155 Deposits and repurchase agreements 377,352 (143,276) 234,076 (27,376) (184,013) 22,687 Issued debt securities 70,460 70,460 70,460 Derivative \ufb01nancial instruments (including derivatives used for hedging purposes) 966,951 (626,829) 340,122 (228,379) (44,335) 67,408 Financial liabilities at amortised cost 1,132,772 1,132,772 (967) (6,500) 1,125,305 of which repurchase agreements 8,268 8,268 (967) (6,500) 801 Accrued expense and other liabilities 185,456 185,456 (57,443) 128,013 of which guarantee deposits received 124,047 124,047 (57,443) 66,604 Other liabilities not subject to offsetting 477,780 477,780 477,780 TOTAL LIABILITIES 3,309,926 (770,105) 2,539,821 (256,722) (292,291) 1,990,808 In millions of euros, at 31 December 2021 Gross amounts of \ufb01nancial assets Gross amounts set off on the balance sheet Net amounts presented on the balance sheet Impact of Master Netting Agreements (MNA) and similar agreements Financial instruments received as collateral Net amounts Assets Financial instruments at fair value through pro\ufb01t or loss Securities 191,507 191,507 191,507 Loans and repurchase agreements 398,413 (148,605) 249,808 (34,906) (194,920) 19,982 Derivative \ufb01nancial instruments (including derivatives used for hedging purposes) 711,002 (461,899) 249,103 (159,997) (32,435) 56,671 Financial assets at amortised cost 944,261 944,261 (355) (1,983) 941,923 of which repurchase agreements 2,541 2,541 (355) (1,983) 203 Accrued income and other assets 179,123 179,123 (31,945) 147,178 of which guarantee deposits paid 136,142 136,142 (31,945) 104,197 Other assets not subject to offsetting 820,642 820,642 820,642 TOTAL ASSETS 3,244,948 (610,504) 2,634,444 (195,258) (261,283) 2,177,903 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 258 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In millions of euros, at 31 December 2021 Gross amounts of \ufb01nancial liabilities Gross amounts set off on the balance sheet Net amounts presented on the balance sheet Impact of Master Netting Agreements (MNA) and similar agreements Financial instruments given as collateral Net amounts Liabilities Financial instruments at fair value through pro\ufb01t or loss Securities 112,338 112,338 112,338 Deposits and repurchase agreements 442,061 (148,605) 293,456 (34,156) (241,481) 17,819 Issued debt securities 70,383 70,383 70,383 Derivative \ufb01nancial instruments (including derivatives used for hedging purposes) 709,373 (461,899) 247,474 (159,997) (34,076) 53,401 Financial liabilities at amortised cost 1,123,383 1,123,383 (1,105) (7,816) 1,114,462 of which repurchase agreements 9,498 9,498 (1,105) (7,816) 577 Accrued expense and other liabilities 145,399 145,399 (30,655) 114,744 of which guarantee deposits received 101,923 101,923 (30,655) 71,268 Other liabilities not subject to offsetting 519,504 519,504 519,504 TOTAL LIABILITIES 3,122,441 (610,504) 2,511,937 (195,258) (314,028) 2,002,651 4.r TRANSFERS OF FINANCIAL ASSETS Financial assets that have been transferred but not derecognised by the Group are mainly composed of securities sold temporarily under repurchase agreements or securities lending transactions, as well as securitised assets. The liabilities associated to securities temporarily sold under repurchase agreements consist of debts recognised under the \u201crepurchase agreements\u201d heading. The liabilities associated to securitised assets consist of the securitisation notes purchased by third parties. \u27a4 SECURITIES LENDING, REPURCHASE AGREEMENTS AND OTHER TRANSACTIONS In millions of euros, at 31 December 2022 31 December 2021 Carrying amount of transferred assets Carrying amount of associated liabilities Carrying amount of transferred assets Carrying amount of associated liabilities Securities lending operations Financial instruments at fair value through pro\ufb01t or loss 6,274 7,382 Financial assets at amortised cost 1,410 1,613 Financial assets at fair value through equity 75 317 Repurchase agreements Financial instruments at fair value through pro\ufb01t or loss 33,550 33,547 28,413 28,413 Financial assets at amortised cost 6,311 6,287 6,437 6,437 Financial assets at fair value through equity 459 459 1,524 1,524 Financial investments of insurance activities 6,312 6,895 6,180 6,226 TOTAL 54,391 47,188 51,866 42,600 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 259 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 SECURITISATION TRANSACTIONS PARTIALLY REFINANCED BY EXTERNAL INVESTORS, WHOSE RECOURSE IS LIMITED TO THE TRANSFERRED ASSETS In millions of euros, at 31 December 2022 Carrying amount of transferred assets Carrying amount of associated liabilities Fair value of transferred assets Fair value of associated liabilities Net position Securitisation Financial assets at amortised cost 24,126 23,326 24,164 22,112 2,052 TOTAL 24,126 23,326 24,164 22,112 2,052 In millions of euros, at 31 December 2021 Carrying amount of transferred assets Carrying amount of associated liabilities Fair value of transferred assets Fair value of associated liabilities Net position Securitisation Financial assets at amortised cost 19,129 17,747 19,134 17,748 1,386 TOTAL 19,129 17,747 19,134 17,748 1,386 There have been no signi\ufb01cant transfers leading to partial or full derecognition of the \ufb01nancial assets in which the Bank has a continuing involvement. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 260 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements7.k FAIR VALUE OF FINANCIAL INSTRUMENTS CARRIED AT AMORTISED COST The information supplied in this note must be used and interpreted with the greatest caution for the following reasons: \u25a0 these fair values are an estimate of the value of the relevant instruments at 31 December 2022. They are liable to \ufb02uctuate from day to day as a result of changes in various parameters, such as interest rates and credit quality of the counterparty. In particular, they may differ signi\ufb01cantly from the amounts actually received or paid on maturity of the instrument. In most cases, the fair value is not intended to be realised immediately, and in practice might not be realised immediately. Consequently, this fair value does not re\ufb02ect the actual value of the instrument to BNP Paribas as a going concern; \u25a0 most of these fair values are not meaningful, and hence are not taken into account in the management of the commercial banking activities which use these instruments; \u25a0 estimating a fair value for \ufb01nancial instruments carried at historical cost often requires the use of modelling techniques, hypotheses and assumptions that may vary from bank to bank. This means that comparisons between the fair values of \ufb01nancial instruments carried at historical cost as disclosed by different banks may not be meaningful; \u25a0 the fair values shown below do not include the fair values of \ufb01nance lease transactions, non-\ufb01nancial instruments such as property, plant and equipment, goodwill and other intangible assets such as the value attributed to demand deposit portfolios or customer relationships. Consequently, these fair values should not be regarded as the actual contribution of the instruments concerned to the overall valuation of the BNP Paribas Group. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 286 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In millions of euros, at 31 December 2022 Estimated fair value Carrying value Level 1 Level 2 Level 3 Total FINANCIAL ASSETS Loans and advances to credit institutions and customers (1) 92,635 731,555 824,190 848,145 Debt securities at amortised cost (note 4.e) 85,758 26,235 771 112,764 114,014 Assets held for sale 4,440 9,980 53,325 67,746 72,176 FINANCIAL LIABILITIES Deposits from credit institutions and customers 1,132,280 1,132,280 1,132,772 Debt securities (note 4.h) 64,889 88,999 153,888 154,143 Subordinated debt (note 4.h) 17,193 6,624 23,817 24,156 Liabilities associated with assets held for sale 74,567 74,567 74,563 (1) Finance leases excluded. In millions of euros, at 31 December 2021 Estimated fair value Carrying value Level 1 Level 2 Level 3 Total FINANCIAL ASSETS Loans and advances to credit institutions and customers (1) 88,058 716,147 804,205 795,845 Debt securities at amortised cost (note 4.e) 89,374 17,203 3,172 109,749 108,510 Assets held for sale 4,587 11,081 49,838 65,507 64,847 FINANCIAL LIABILITIES Deposits from credit institutions and customers 1,123,937 1,123,937 1,123,383 Debt securities (note 4.h) 64,660 86,854 151,514 149,723 Subordinated debt (note 4.h) 18,211 7,360 25,571 24,720 Liabilities associated with assets held for sale 73,077 73,077 73,041 (1) Finance leases excluded. The valuation techniques and assumptions used by BNP Paribas ensure that the fair value of \ufb01nancial assets and liabilities carried at amortised cost is measured on a consistent basis throughout the Group. Fair value is based on prices quoted in an active market when these are available. In other cases, fair value is determined using valuation techniques such as discounting of estimated future cash \ufb02ows for loans, liabilities and debt securities at amortised cost, or speci\ufb01c valuation models for other \ufb01nancial instruments as described in note 1, Summary of signi\ufb01cant accounting policies applied by the BNP Paribas Group. The description of the fair value hierarchy levels is also presented in the accounting principles (see note 1.e.10). In the case of loans, liabilities and debt securities at amortised cost that have an initial maturity of less than one year (including demand deposits) or of most regulated savings products, fair value equates to carrying amount. These instruments have been classi\ufb01ed in Level 2, except for loans to customers, which are classi\ufb01ed in Level 3. CREDIT POLICIES [Audited] The Bank\u2019s lending activities are governed by the Global Credit Policy. It applies to all Group activities that generate credit or counterparty risk. The Global Credit Policy provides general principles (including the risk assessment and decision-making process, adherence to the highest standards of compliance and ethics) applicable to all credit risk, as well as speci\ufb01c principles applicable to country risk, economic sector risks, clients selection and the transaction structures. It is supplemented by speci\ufb01c policies tailored to each type of business or counterparty. These policies are regularly updated in line with developments in the credit environment in which the Group operates. Corporate Social and Environmental Responsibility (CSR) Since 2012, clauses on Corporate Social and Environmental Responsibility (CSR) are included in speci\ufb01c new credit policies or when existing policies are updated. Furthermore, sectoral policies and financing exclusions for certain sectors presenting signi\ufb01cant Environmental, Social and Governance (ESG) challenges (described in the Commitment 3 section of chapter 7 Systematic integration and management of Environmental, social and governance risks (ESG)) have been implemented since 2011 and steadily strengthened since then. These risks are also analysed in the context of sector reviews and country envelope limits. The Group is also taking a number of steps to improve the incorporation of ESG risks factors, especially those linked to climate change, in its credit risk system. Within this context, the Group continues to strengthen the ESG assessment of its clients to make it more systematic and to better understand the ESG risk pro\ufb01le associated. Expanding the ESG analysis of corporate customers thanks to a risk assessment tool: the ESG Assessment BNP Paribas takes ESG criteria into account in its decision-making processes. ESG criteria are integrated into the Know Your Client (KYC) as well as into the Global Credit policy and, when more precise criteria are deemed relevant, in speci\ufb01c credit policies. In addition to the current ESG risk assessment framework (sectoral policies, specific credit policies), an ESG assessment tool has been deployed since June 2021: ESG Assessment, which progressively replaces all existing set-ups (CSR screening, questionnaire on Duty of care law). It makes it possible to identify, assess and monitor the ESG performance and risks of corporate customers by sector with a common approach within the Group for a given customer segment. The assessment aims to perform a systematic ESG analysis at business group level as part of the credit process, one of the foundations of the banking activity, thus integrating ESG criteria with the other criteria included in the assessment of the counterparty\u2019s credit pro\ufb01le. The ESG Assessment covers the environmental (climate and biodiversity), social (health, safety and impact on communities) and governance (business ethics) dimensions through a set of questions, supplemented by an analysis of controversies affecting the client. The questionnaires developed in this context are speci\ufb01c to each sector in order to better integrate the challenges and issues speci\ufb01c to their activities. This tool makes it possible to assess clients\u2019 compliance with sector policies, as well as the maturity of their ESG strategy and its implementation. The deployment of ESG Assessment, included in the credit \ufb01les for all business sectors and business groups, will enable the RISK Function to exercise greater control over the ESG dimensions during Credit Committees on a documented basis. Currently designed for large companies, this framework will be gradually adapted and extended to different customer segments. INDIVIDUAL DECISION- MAKING PROCEDURES [Audited] A system of discretionary credit delegations has been established, under which all lending decisions must be approved by managers or representatives of the business teams, with the concurrence of a formally designated RISK representative. Approvals are systematically evidenced in writing, possibly electronically either by means of a signed approval form or in the minutes of formal Credit Committee meetings. Discretionary credit delegations correspond to aggregate commitments by business group and vary according to internal credit ratings and the speci\ufb01c nature of the business concerned. All transactions proposed are subject to a detailed review of the borrower\u2019s current and future position. The review, conducted when granting the transaction and updated at least on an annual basis. It is designed to ensure the Group has a comprehensive understanding of the borrower and can monitor any potential changes in its situation. Certain types of lending commitments, such as loans to \ufb01nancial institutions, sovereign loans and loans to customers operating in certain industries that are exposed to cyclical risks or to a rapid pace of change, are subject to speci\ufb01c authorisation procedures and require the sign-off of an industry expert or designated specialist. In Retail Banking, simpli\ufb01ed procedures are applied, based on statistical decision-making aids. Credit applications must comply with the Bank\u2019s Global Credit Policy and any relevant speci\ufb01c policies. Material exceptions undergo a special approval process. Before making any commitments, BNP Paribas carries out an in-depth review of any known development plans of the borrower, and ensures that it has thorough knowledge of all the structural aspects of the borrower\u2019s operations and that adequate monitoring will be possible. CREDIT RISK MANAGEMENT POLICY 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 379 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk The General Management Credit Committee (CCDG) is the highest-level Group committee for all decisions related to credit and counterparty risk. It has in particular ultimate decision-making authority for all credit applications notably for amounts in excess of individual discretionary credit delegations or applications that would not comply with the Global Credit Policy. MONITORING AND PORTFOLIO MANAGEMENT PROCEDURES [Audited] Monitoring exposures A comprehensive risk monitoring system is organised around control units, which are responsible for ensuring that lending commitments comply with the credit decision, that credit risk reporting data are reliable and that risks are effectively monitored. Daily irregular exception reports are produced and various early warning tools are used to identify early the deterioration of credit risks. The various monitoring levels are carried out under the supervision of RISK. Non-performing loans or those placed under credit watch (see Exposures, provisions and cost of risk) are overseen more closely via dedicated quarterly committee meetings (see the Governance part of section 5.3 Risk management). To supplement this mechanism, the Doubtful Committee meets on a monthly basis to to validate the proposed changes in individual provisions for doubtful loans for which an adjustment is necessary based on expected \ufb01nancial \ufb02ows. The responsibilities of the control teams include the monitoring of exposures against approved authorisations, covenants, and guarantees. This allows the identi\ufb01cation of any signs of deterioration against the risk pro\ufb01le approved by the Credit Committee. Control teams \ufb02ag up (to the RISK teams and business units) any cases that fail to comply with Credit Committee decisions and oversee their resolution. In some cases, a speci\ufb01c alert is sent to the senior management of RISK and of the relevant business unit. These are mainly where exceptions remain unresolved and/ or where there are serious indications of deterioration in the risk pro\ufb01le compared with that approved by the Credit Committee. Furthermore, since 2018 the General Credit Policy has included speci\ufb01c checks to be conducted for loans granted to clients presenting high leverage ratios, in accordance with European Central Bank guidelines. Overall portfolio management and monitoring The selection and careful evaluation of individual risks taken are supported by a monitoring and risk control system based on more aggregated portfolio levels in terms of division/business line, regions, industry, business/product. The overall portfolio management policy, including concentration of risk by single name, industry and country, is based on this monitoring system and Group Risk Committees review all reports and analyses produced: \u25a0 risk concentration by country is managed through country risk limits that are set at the appropriate level of delegated authority for each country. The Group, which is naturally present in most economically active areas endeavours to avoid excessive concentrations of risk in countries with a high geopolitical risk or fragile political and economic structures or which economic position has been undermined. Country envelope limits are reviewed at least once a year, and quarterly reports are drawn up on their use; \u25a0 the Group closely monitors individual concentrations, in particular on business groups, corporates, banks or sovereign debts. These concentrations are reported in the quarterly risk report to CCIRC. Related policies implemented by the Group are described under Credit risk diversi\ufb01cation of this section; \u25a0 regular reviews by the Group are carried out of portfolios in certain industries, either because of the magnitude of the Group\u2019s exposure to the sector or because of sector-speci\ufb01c risks, such as the cyclical nature of the industry or rapid technological developments. In these reviews, special focus is placed on CSR issues in potentially sensitive sectors. The Group draws on the expertise of the relevant business lines and independent industry specialists working in RISK (Industry and Sector Studies). These reviews provide Executive Management, and if appropriate the CCIRC, with an overview of the Group\u2019s exposure to the sector under consideration, and assist it to decide on strategic guidelines. As an illustration, in 2022, an internal portfolio review was undertaken on electricity production, commercial real estate, residential real estate, shipping \ufb01nancing and aviation sectors; \u25a0 stress tests assess portfolio vulnerabilities by measuring the impact of various adverse scenarios. They are conducted on a quarterly basis on the entire portfolio and on an ad hoc basis on sub-portfolios to identify any concentrations. They help to ensure that the Bank\u2019s credit risk exposure is in line with its risk appetite. Lastly, BNP Paribas may use credit risk transfer instruments, such as securitisation programmes, credit derivatives or credit insurance, to mitigate individual risks, reduce portfolio concentration or cap potential losses arising from crisis scenarios. IMPAIRMENT VALUATION PROCEDURES [Audited] The Group applies the impairment procedures described below for all loans subject to impairment (see note 1.e.5 Impairment of \ufb01nancial assets at amortised cost and of debt instruments at market value through equity): \u25a0 impairment valuation procedure for performing loans: A loss allowance for loans in stage 1 or stage 2 is constituted by each operating division based on an estimation of expected credit losses. This is validated on a quarterly basis during a committee meeting attended by the Chief Financial Of\ufb01cer and Chief Risk Of\ufb01cer of each operating division. Estimations of expected credit losses result from the default risk in the coming twelve months for \ufb01nancial instruments whose credit risk has not signi\ufb01cantly increased since initial recognition (stage 1) or upon maturity for unimpaired loans whose credit risk has signi\ufb01cantly increased since initial recognition (stage 2). A tool used by most of the Group\u2019s business lines enables calculations to be performed based on the parameters of the rating system described below and integrating the potential impact of macroeconomic and sectoral dynamics; 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 380 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u25a0 impairment valuation procedure for defaulted exposures: Monthly, RISK reviews corporate, bank and sovereign loans, requiring a review of their impairment, to determine the amount of any decrease in value to be recognised, either by reducing the carrying amount or by recording a provision for impairment, in accordance with applicable accounting standards (see note 1.e.5). The Group uses various methodologies (expert opinions, statistical calculations) for defaulted exposures to retail customers. These impairments are referred to as stage 3. The amount of this impairment loss is based on the present value of probable recovered net cash \ufb02ows issued from several scenarios, including from the possible realisation of the collateral held. The amount of this impairment loss is based on the present value of probable recovered net cash \ufb02ows under various scenarios and including from the possible realisation of the collateral held. Estimated expected cash \ufb02ows also includes a cash \ufb02ow scenario from the possible sale of non-performing loans or all loans. Proceeds from the sale is net of costs associated to the sale. RATING SYSTEM [Audited] Each counterparty is rated internally by the Group using uniform principles, regardless of the approach used to calculate regulatory capital requirements. The Bank has a comprehensive internal rating system compliant with regulatory requirements regarding capital adequacy. A periodic assessment and control process has been deployed within the Bank to ensure that the system is appropriate and correctly implemented. The system was formally validated by the supervisor in December 2007 and is inspected on a regular basis. For loans to institutions, corporates, sovereigns and specialised lendings, the system is based on three parameters: the counterparty\u2019s probability of default (PD) expressed via a rating, the Global Recovery Rate (GRR) or its complement, Loss Given Default (LGD), which depends on the structure of the transaction, and the Credit Conversion Factor (CCF) which estimates the off-balance sheet exposure at risk. There are twelve counterparty ratings. Ten cover performing clients with credit assessments ranging from \u201cexcellent\u201d to \u201cvery concerning\u201d, and two relate to clients classi\ufb01ed as in default, as per the de\ufb01nition by the banking supervisor. Con\ufb01rmation or amendments to the probability of default parameters and GRR applicable to each transaction are reviewed at least once a year as part of the loan approval process or annual credit review. These are based on the combined expertise of business line staff and, as a second look, the RISK representatives (who have the \ufb01nal say in case of disagreement). It uses appropriate tools including analysis aids and credit scoring systems. The decision to use these tools and the choice of technique depends on the nature of the risk. For retail counterparties, the system is also based on three parameters: Probability of Default (PD), the Global Recovery Rate (GRR) and the Credit Conversion Factor (CCF). On the other hand, rating methods are applied automatically to determine the loan parameters. Internal estimates of risk parameters are used in the Bank\u2019s day-to- day management in line with regulation recommendations. Thus, apart from calculating capital requirements, they are used for example when setting delegated limits, granting new loans or reviewing existing loans to measure pro\ufb01tability, determine impairments and for book analyses. \u27a4 TABLE 27: INDICATIVE MAPPING OF INTERNAL COUNTERPARTY RATING WITH AGENCY RATING SCALE AND AVERAGE EXPECTED PD Internal rating BNP Paribas LT Issuer/ Unsecured issuer\u2019s ratings S&P/Fitch Average expected PD Investment Grade 1+ AAA 0.01% 1 AA+ 0.01% 1- AA 0.01% 2+ AA- 0.02% 2 A+/A 0.03% 2- A- 0.04% 3+/3/3- BBB+ 0.06% to 0.10% 4+/4/4- BBB 0.13% to 0.21% 5+/5/5- BBB- 0.26% to 0.48% Non-Investment Grade 6+ BB+ 0.69% 6/6- BB 1.00% to 1.46% 7+/7 BB- 2.11% to 3.07% 7- B+ 4.01% 8+/8/8- B 5.23% to 8.06% 9+/9/9- B- 9.53% to 13.32% 10+ CCC 15.75% 10 CC 18.62% 10- C 21.81% Defaut 11 D 100% 12 D 100% The Group has developed an indicative equivalence between the Bank\u2019s internal ratings and the long-term issuer ratings assigned by the major rating agencies. Nevertheless, the Bank has a much broader clientele than just those counterparties rated by an external rating agency. An indicative equivalence is not relevant in Retail Banking. It is used when the internal ratings are assigned or reviewed in order to identify any differences between the Bank\u2019s assessment of a borrower\u2019s probability of default and that of one or more of the rating agencies. However, the internal ratings do not aim to reproduce or even approximate the external ratings. There are signi\ufb01cant variances in both directions within the portfolio. Some counterparties rated 6 or 7 by BNP Paribas could be considered Investment Grade by the rating agencies. For further details, see the sections Internal rating system \u2013 sovereign, \ufb01nancial institution, corporate and specialised \ufb01nancing portfolios and Internal rating system speci\ufb01c to retail customers. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 381 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit riskEXPOSURES, PROVISIONS AND COST OF RISK [Audited] Impaired exposures (stage 3) related to assets at amortised cost and \ufb01nancing and guarantee commitments given, as well as the guarantees received as collateral, are presented in note 4.f to the financial statements. The de\ufb01nition of impaired loans (stage 3) is presented in note 1.e.5 paragraph De\ufb01nition of default. The following table shows the carrying amount of performing and non- performing (1) \ufb01nancial assets included in the prudential consolidation scope. An exposure is deemed to be non-performing when it falls into one of the following categories: \u25a0 exposures in default; \u25a0 90 days past-due exposures which are not in default; \u25a0 restructured loans (see the Restructured loans section) during the one- year minimal period required before returning to performing status. In this part, in accordance with the Implementing Regulation (EU) No. 2021/637, the scope of the tables in this section includes the following items: \u25a0 current accounts with central banks (cash accounts are not considered); \u25a0 loans and receivables and debt securities at amortised cost; \u25a0 loans and receivables and debt securities at fair value through equity; \u25a0 loans and receivables and debt securities at fair value through pro\ufb01t or loss excluding the trading portfolio; \u25a0 \ufb01nancing and guarantee commitments outside the trading portfolio. Exposures in default include impaired outstandings (stage 3) as well as doubtful loans and receivables and debt securities at fair value through pro\ufb01t or loss excluding the trading portfolio. The classi\ufb01cations used for exposures shown are taken from \ufb01nancial reports intended for the supervisory authority (2) and so differ from the exposure classes usually used within the context of Pillar 3. The classi\ufb01cation includes: \u25a0 central banks; \u25a0 public administrations including mainly central governments, regional or local authorities and international organisations; \u25a0 credit institutions including credit institutions and multilateral development banks; \u25a0 other \ufb01nancial corporations including institutions (notably supervised investment companies and clearing houses) and corporations (mainly investment funds, pension funds and insurance companies); \u25a0 non-\ufb01nancial corporations including mainly corporations and small and medium enterprises (SME); \u25a0 households: mainly non-SME retail portfolio. In addition, in accordance with Appendices III and V of Implementing Regulation (EU) No. 680/2014 regarding supervisory reporting of \ufb01nancial institutions, the assets of activities held for sale (3) for the items listed above, are presented on a separate line in the tables. (1) At 31 December 2022, the Group\u2019s non-performing loans ratio was 2.1%, compared with 2.3% at 31 December 2021. This ratio is used by the European Banking Authority to monitor non-performing outstandings in Europe. It is calculated on the basis of gross outstanding of loans, receivables and deposits with central banks, not netted of guarantees received. (2) Appendices III and V of Implementing Regulation (EU) No. 680/2014 on supervisory reporting. (3) See note 7.d Discontinued activities to the consolidated \ufb01nancial statements. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 430 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u27a4 TABLE 48: PERFORMING AND NON-PERFORMING EXPOSURES AND RELATED PROVISIONS (EU CR1) [Audited] a b c d e f g h i j k l n o In millions of euros 31 December 2022 Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collateral and \ufb01nancial 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 defaulted of which stage 1 of which stage 2 of which stage 1 & 2 of which defaulted 005 Current accounts at central banks and other demand deposits 326,410 325,762 648 4 1 3 (29) (20) (9) (1) (1) 829 010 Loans and advances 905,208 818,136 87,072 26,337 447 25,890 (4,862) (2,045) (2,817) (13,513) (10) (13,503) 540,589 8,359 020 Central banks 13,619 13,612 7 4,807 030 General governments 31,523 30,155 1,368 199 99 100 (15) (6) (9) (26) (2) (24) 8,138 151 040 Credit institutions 8,044 7,912 132 84 1 83 (13) (6) (7) (79) (79) 3,817 1 050 Other \ufb01nancial corporations 84,667 79,895 4,772 1,106 1,106 (169) (70) (99) (778) (778) 25,770 284 060 Non-\ufb01nancial corporations 437,918 374,954 62,964 13,196 329 12,867 (2,267) (803) (1,464) (6,920) (7) (6,913) 267,929 4,711 070 of which SMEs 125,350 110,545 14,805 4,984 89 4,895 (804) (327) (477) (2,277) (4) (2,273) 87,527 2,154 080 Households 329,437 311,608 17,829 11,752 18 11,734 (2,398) (1,160) (1,238) (5,710) (1) (5,709) 230,128 3,212 090 Debt Securities 154,741 154,209 532 348 348 (68) (42) (26) (231) (231) 3,182 20 100 Central banks 6,012 6,012 110 General governments 105,318 104,965 353 (32) (23) (9) 476 120 Credit institutions 13,320 13,320 103 103 (5) (5) (103) (103) 2,390 130 Other \ufb01nancial corporations 24,801 24,635 166 111 111 (24) (7) (17) (44) (44) 316 140 Non-\ufb01nancial corporations 5,290 5,277 13 134 134 (7) (7) (84) (84) 20 Assets held for sale 79,542 76,392 3,150 553 553 (267) (141) (126) (62) (62) 46,754 283 150 Off-balance sheet exposures 565,733 533,619 32,114 1,730 1,730 (664) (325) (339) (316) (316) 127,110 386 160 Central banks 50,759 50,742 17 1 1 48,718 170 General governments 12,256 11,128 1,128 10 10 (6) (2) (4) 947 180 Credit institutions 13,832 13,033 799 1 1 (12) (5) (7) 652 190 Other \ufb01nancial corporations 68,425 66,541 1,884 24 24 (50) (36) (14) (9) (9) 15,334 5 200 Non-\ufb01nancial corporations 363,252 336,133 27,119 1,489 1,489 (500) (221) (279) (299) (299) 57,571 377 210 Households 57,209 56,042 1,167 205 205 (96) (61) (35) (8) (8) 3,888 4 220 TOTAL 2,031,634 1,908,118 123,516 28,972 448 28,524 (5,890) (2,573) (3,317) (14,123) (10) (14,113) 718,464 9,048 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 431 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk a b c d e f g h i j k l n o In millions of euros 31 December 2021 Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collateral and \ufb01nancial 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 defaulted of which stage 1 of which stage 2 of which stage 1 & 2 of which defaulted 005 Current accounts at central banks and other demand deposits 354,453 354,163 290 9 1 8 (22) (16) (6) (4) (4) 287 010 Loans and advances 852,797 748,331 104,466 28,994 390 28,604 (4,578) (1,881) (2,697) (15,517) (6) (15,511) 494,028 8,907 020 Central banks 2,885 2,883 2 1,674 030 General governments 28,873 27,293 1,580 209 116 93 (20) (5) (15) (29) (3) (26) 7,743 120 040 Credit institutions 10,071 9,905 166 78 78 (11) (10) (1) (74) (74) 3,003 1 050 Other \ufb01nancial corporations 91,970 87,352 4,618 1,066 7 1,059 (159) (54) (105) (672) (672) 15,584 301 060 Non-\ufb01nancial corporations 402,999 340,888 62,111 14,607 234 14,373 (2,063) (607) (1,456) (8,182) (2) (8,180) 240,729 5,018 070 of which SMEs 121,242 100,494 20,748 5,678 73 5,605 (820) (269) (551) (2,797) (1) (2,796) 85,405 2,332 080 Households 315,999 280,010 35,989 13,034 33 13,001 (2,325) (1,205) (1,120) (6,560) (1) (6,559) 225,295 3,467 090 Debt Securities 155,295 154,680 615 491 491 (81) (27) (54) (278) (278) 924 25 100 Central banks 6,274 6,250 24 1 1 (1) (1) 110 General governments 110,911 110,680 231 7 7 (29) (25) (4) 120 Credit institutions 15,907 15,907 102 102 (101) (101) 924 130 Other \ufb01nancial corporations 18,582 18,258 324 146 146 (50) (1) (49) (32) (32) 140 Non-\ufb01nancial corporations 3,621 3,585 36 235 235 (2) (1) (1) (144) (144) 25 Assets held for sale 85,135 80,765 4,370 409 409 (389) (172) (217) (87) (87) 44,531 271 150 Off-balance sheet exposures 536,752 502,063 34,689 1,951 18 1,933 (603) (230) (373) (354) (354) 116,926 259 160 Central banks 20,209 20,207 2 18,283 170 General governments 34,137 32,701 1,436 8 8 (8) (1) (7) 22,896 1 180 Credit institutions 13,513 12,976 537 (11) (4) (7) 300 190 Other \ufb01nancial corporations 79,424 76,596 2,828 50 50 (35) (16) (19) (16) (16) 22,455 2 200 Non-\ufb01nancial corporations 332,992 304,779 28,213 1,660 14 1,646 (458) (150) (308) (328) (328) 49,284 251 210 Households 56,477 54,804 1,673 233 4 229 (91) (59) (32) (10) (10) 3,708 5 220 TOTAL 1,984,432 1,840,002 144,430 31,854 409 31,445 (5,673) (2,326) (3,347) (16,240) (6) (16,234) 656,696 9,462 Changes in the stock of non-performing loans and advances (EU CR2) are presented in note 4.f to the \ufb01nancial statements. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 432 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u27a4 TABLE 49: PERFORMING AND NON-PERFORMING EXPOSURES BY PAST DUE DAYS (EU CQ3) [Audited] a b c d e f g h i j k l In millions of euros 31 December 2021 Performing exposures Non-performing exposures Not past due or \u2264 30 days > 30 days \u2264 90 days Unlikely to pay that are not past due or are past due \u2264 90 days > 90 days \u2264 180 days > 180 days \u2264 1 year > 1 year \u2264 2 years > 2 years \u2264 5 years > 5 year \u2264 7 years > 7 years of which defaulted 005 Current accounts at central banks and other demand deposits 326,410 326,410 4 1 3 3 010 Loans and advances 905,208 900,706 4,502 26,337 7,736 1,773 2,163 2,246 5,434 1,662 5,323 25,890 020 Central banks 13,619 13,619 030 General governments 31,523 31,462 61 199 35 6 7 40 68 35 8 100 040 Credit institutions 8,044 8,028 16 84 3 81 83 050 Other \ufb01nancial corporations 84,667 84,598 69 1,106 572 1 10 64 251 5 203 1,106 060 Non-\ufb01nancial corporations 437,918 434,683 3,235 13,196 4,314 687 970 903 2,286 968 3,068 12,867 070 of which SMEs 125,350 124,698 652 4,984 1,422 365 472 508 914 401 902 4,895 080 Households 329,437 328,316 1,121 11,752 2,815 1,079 1,176 1,236 2,829 654 1,963 11,734 090 Debt securities 154,741 154,741 348 232 4 101 11 348 100 Central banks 6,012 6,012 110 General governments 105,318 105,318 120 Credit institutions 13,320 13,320 103 4 99 103 130 Other \ufb01nancial corporations 24,801 24,801 111 100 2 9 111 140 Non-\ufb01nancial corporations 5,290 5,290 134 128 4 2 134 Assets held for sale 79,542 79,130 412 553 372 67 91 15 8 553 150 Off-balance sheet exposures 565,733 1,730 1,730 160 Central banks 50,759 1 1 170 General governments 12,256 10 10 180 Credit institutions 13,832 1 1 190 Other \ufb01nancial corporations 68,425 24 24 200 Non-\ufb01nancial corporations 363,252 1,489 1,489 210 Households 57,209 205 205 220 TOTAL 2,031,634 1,460,987 4,914 28,972 8,341 1,840 2,254 2,261 5,446 1,763 5,337 28,524 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 433 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk a b c d e f g h i j k l In millions of euros 31 December 2021 Performing exposures Non-performing exposures Not past due or \u2264 30 days > 30 days \u2264 90 days Unlikely to pay that are not past due or are past due \u2264 90 days > 90 days \u2264 180 days > 180 days \u2264 1 year > 1 year \u2264 2 years > 2 years \u2264 5 years > 5 year \u2264 7 years > 7 years of which defaulted 005 Current accounts at central banks and other demand deposits 354,453 354,452 1 9 6 3 8 010 Loans and advances 852,797 849,748 3,049 28,994 8,481 1,381 1,590 3,445 5,629 2,140 6,328 28,604 020 Central banks 2,885 2,885 030 General governments 28,873 28,850 23 209 20 46 5 1 104 19 14 93 040 Credit institutions 10,071 10,069 2 78 2 11 65 78 050 Other \ufb01nancial corporations 91,970 91,955 15 1,066 478 22 42 119 189 27 189 1,059 060 Non-\ufb01nancial corporations 402,999 401,013 1,986 14,607 4,850 380 571 1,837 2,045 1,176 3,748 14,373 070 of which SMEs 121,242 120,709 533 5,678 1,508 236 352 624 1,174 548 1,236 5,605 080 Households 315,999 314,976 1,023 13,034 3,133 933 972 1,486 3,291 907 2,312 13,001 090 Debt securities 155,295 155,295 491 365 4 102 20 491 100 Central banks 6,274 6,274 1 1 1 110 General governments 110,911 110,911 7 7 7 120 Credit institutions 15,907 15,907 102 1 99 2 102 130 Other \ufb01nancial corporations 18,582 18,582 146 131 3 12 146 140 Non-\ufb01nancial corporations 3,621 3,621 235 225 4 6 235 Assets held for sale 85,135 84,583 552 409 304 40 45 18 2 409 150 Off-balance sheet exposures 536,752 1,951 1,933 160 Central banks 20,209 170 General governments 34,137 8 8 180 Credit institutions 13,513 190 Other \ufb01nancial corporations 79,424 50 50 200 Non-\ufb01nancial corporations 332,992 1,660 1,646 210 Households 56,477 233 229 220 TOTAL 1,984,432 1,444,078 3,602 31,854 9,156 1,421 1,635 3,467 5,733 2,140 6,351 31,445 The table (EU CQ4) below shows the on- and off-balance sheet exposures. These exposures contribute to all Group risks, mainly credit risk. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 434 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u27a4 TABLEAU 50: EXPOSURES AND PROVISIONS BY GEOGRAPHIC BREAKDOWN (EU CQ4) [Audited] a b c d e f g In millions of euros 31 December 2022 Gross carrying amount/Nominal amount Accumulated impairment Provisions on off-balance sheet commitments and \ufb01nancial guarantees given Accumulated negative due to credit risk on non- performing exposures changes in fair value of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit- impaired (Stage 2) of which non-performing of which loans and advances subject to impairment of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit- impaired (Stage 2) of which defaulted of which defaulted 010 On balance sheet exposures 1,493,143 91,775 27,242 26,794 1,486,697 (18,972) (2,978) (13,736) - (61) of which balance sheet exposures of continuing activities 1,413,048 88,625 26,689 26,241 1,406,602 (18,643) (2,852) (13,674) (61) Europe (*) 1,122,545 67,479 22,341 22,137 1,118,922 (14,740) (2,322) (10,662) (61) France 518,296 25,082 7,657 7,518 516,899 (4,949) (855) (3,518) (17) Belgium 172,415 9,047 2,361 2,353 172,402 (1,368) (180) (1,035) Luxembourg 52,880 2,334 300 298 52,674 (176) (34) (113) (22) Italy 135,910 8,587 5,823 5,818 135,218 (4,068) (543) (3,132) (16) United Kingdom 54,639 6,040 1,149 1,145 54,172 (799) (119) (585) (3) Germany 47,965 5,405 1,224 1,207 47,620 (976) (178) (673) Netherlands 21,341 1,803 118 114 21,321 (135) (63) (52) Other European countries 119,099 9,181 3,709 3,684 118,616 (2,269) (350) (1,554) (3) North America 103,128 7,354 330 200 101,157 (238) (112) (94) Asia Paci\ufb01c 96,915 5,109 379 375 96,707 (356) (78) (174) Japan 23,942 1,225 70 70 23,942 (9) (5) (3) North Asia 29,143 2,162 63 61 29,129 (132) (24) (41) South-East Asia (ASEAN) 23,895 665 166 165 23,825 (168) (38) (108) Indian peninsula & Paci\ufb01c 19,935 1,057 80 79 19,811 (47) (11) (22) 070 Rest of the world 90,460 8,683 3,639 3,529 89,816 (3,309) (340) (2,744) T\u00fcrkiye 14,962 911 233 233 14,962 (338) (115) (151) Mediterranean 8,886 1,485 818 809 8,886 (722) (75) (608) Gulf States & Africa 14,696 1,099 2,005 2,003 14,696 (1,734) (71) (1,613) Latin America 17,922 1,999 295 294 17,922 (313) (37) (226) Other countries 33,994 3,189 288 190 33,350 (202) (42) (146) of which balance sheet exposures of assets held for sale 80,095 3,150 553 553 80,095 (329) (126) (62) 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 435 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk a b c d e f g In millions of euros 31 December 2022 Gross carrying amount/Nominal amount Accumulated impairment Provisions on off-balance sheet commitments and \ufb01nancial guarantees given Accumulated negative due to credit risk on non- performing exposures changes in fair value of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit- impaired (Stage 2) of which non-performing of which loans and advances subject to impairment of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit- impaired (Stage 2) of which defaulted of which defaulted 080 Off-balance sheet exposures 567,463 32,114 1,729 1,730 567,463 (980) (338) (316) (980) - Europe (*) 345,858 18,237 1,286 1,286 345,858 (633) (204) (196) (633) France 101,899 4,072 179 179 101,899 (158) (49) (41) (158) Belgium 40,336 3,115 252 252 40,336 (125) (22) (70) (125) Luxembourg 16,102 614 20 20 16,102 (20) (7) (1) (20) Italy 36,399 1,519 340 340 36,399 (104) (30) (44) (104) United Kingdom 42,349 3,014 326 326 42,349 (60) (33) (1) (60) Germany 31,969 1,545 50 50 31,969 (64) (25) (18) (64) Netherlands 15,774 946 20 20 15,774 (24) (11) (5) (24) Other European countries 61,030 3,412 99 99 61,030 (78) (27) (16) (78) North America 125,435 8,554 115 115 125,435 (133) (67) (19) (133) Asia Paci\ufb01c 34,728 1,655 3 3 34,728 (20) (8) (20) Japan 2,764 158 2,764 (1) (1) North Asia 18,354 588 18,354 (10) (4) (10) South-East Asia (ASEAN) 5,841 263 3 3 5,841 (4) (1) (5) Indian peninsula & Paci\ufb01c 7,769 646 7,769 (5) (3) (4) 140 Rest of the world 61,442 3,668 325 325 61,442 (194) (60) (101) (194) T\u00fcrkiye 4,891 338 13 13 4,891 (35) (19) (7) (35) Mediterranean 2,492 287 92 92 2,492 (54) (11) (37) (54) Gulf States & Africa 40,860 578 73 73 40,860 (79) (14) (56) (79) Latin America 5,316 1,026 141 141 5,316 (16) (10) (1) (16) Other countries 7,883 1,439 6 6 7,883 (10) (6) (10) 150 TOTAL 2,060,606 123,889 28,971 28,524 2,054,160 (19,952) (3,316) (14,052) (980) (61) (*) Within the European Union, the European Free Trade Association (EFTA) and the United Kingdom. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 436 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk a b c d e f g In millions of euros 31 December 2021 Gross carrying amount/Nominal amount Accumulated impairment Provisions on off-balance sheet commitments and \ufb01nancial guarantees given Accumulated negative due to credit risk on non- performing exposures changes in fair value of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit- impaired (Stage 2) of which non-performing of which loans and advances subject to impairment of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit- impaired (Stage 2) of which defaulted of which defaulted 010 On balance sheet exposures 1,477,584 110,059 29,903 29,512 1,470,951 (20,892) (2,980) (15,815) - (64) of which balance sheet exposures of continuing activities 1,392,039 105,689 29,494 29,103 1,385,407 (20,416) (2,763) (15,728) (64) Europe (*) 1,128,857 88,462 24,523 24,280 1,124,518 (16,142) (2,270) (12,245) (62) France 495,890 43,880 7,947 7,828 494,407 (5,479) (987) (4,028) (22) Belgium 186,737 12,722 2,414 2,325 186,714 (1,330) (184) (1,055) Luxembourg 55,596 1,525 199 197 55,452 (154) (33) (94) (3) Italy 135,674 8,038 7,495 7,494 135,226 (4,940) (489) (4,034) (29) United Kingdom 52,301 6,044 1,557 1,552 51,834 (1,023) (92) (809) (1) Germany 53,544 4,436 1,193 1,181 52,396 (876) (125) (643) Netherlands 21,250 2,264 122 120 21,220 (106) (46) (46) Other European countries 127,866 9,552 3,597 3,584 127,270 (2,234) (313) (1,535) (7) North America 82,882 4,570 265 248 82,836 (215) (99) (104) (1) Asia Paci\ufb01c 85,311 4,712 486 483 84,740 (354) (52) (238) (1) Japan 15,456 1,270 71 71 15,456 (14) (11) (2) North Asia 34,369 1,292 74 72 34,038 (97) (12) (42) South-East Asia (ASEAN) 15,412 810 177 176 15,206 (157) (20) (123) Indian peninsula & Paci\ufb01c 20,074 1,339 164 163 20,040 (86) (8) (72) (1) 70 Rest of the world 94,989 7,946 4,220 4,091 93,314 (3,705) (341) (3,142) T\u00fcrkiye 13,707 1,016 393 393 13,706 (412) (117) (230) Mediterranean 8,456 1,584 858 843 8,456 (757) (110) (610) Gulf States & Africa 13,683 1,537 2,048 2,046 13,683 (1,802) (45) (1,703) Latin America 15,485 1,616 291 289 15,485 (229) (35) (158) Other countries 43,659 2,193 630 520 41,984 (505) (34) (440) of which balance sheet exposures of assets held for sale 85,544 4,370 409 409 85,544 (476) (217) (87) 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 437 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk a b c d e f g In millions of euros 31 December 2021 Gross carrying amount/Nominal amount Accumulated impairment Provisions on off-balance sheet commitments and \ufb01nancial guarantees given Accumulated negative due to credit risk on non- performing exposures changes in fair value of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit- impaired (Stage 2) of which non-performing of which loans and advances subject to impairment of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit- impaired (Stage 2) of which defaulted of which defaulted 80 Off-balance sheet exposures 538,703 34,703 1,951 1,933 538,703 (958) (374) (354) (958) - Europe (*) 338,950 22,703 1,730 1,712 338,950 (663) (216) (262) (663) France 97,831 6,668 525 525 97,831 (160) (64) (44) (160) Belgium 40,339 2,532 347 334 40,339 (190) (50) (111) (190) Luxembourg 16,393 1,130 23 23 16,393 (9) (3) (1) (9) Italy 37,174 1,942 285 285 37,174 (101) (28) (39) (101) United Kingdom 37,911 4,335 225 225 37,911 (42) (29) (1) (42) Germany 33,695 1,367 118 118 33,695 (60) (10) (35) (60) Netherlands 15,072 1,180 60 60 15,072 (12) (3) (6) (12) Other European countries 60,536 3,550 147 142 60,536 (87) (29) (27) (87) North America 117,396 6,769 69 69 117,396 (120) (97) (9) (120) Asia Paci\ufb01c 24,381 1,453 3 3 24,381 (21) (12) (21) Japan 2,260 2,260 North Asia 8,259 626 1 1 8,259 (14) (9) (14) South-East Asia (ASEAN) 5,941 230 2 2 5,941 (4) (1) (4) Indian peninsula & Paci\ufb01c 7,920 598 7,920 (4) (2) (4) 140 Rest of the world 57,976 3,777 149 148 57,976 (154) (47) (82) (154) T\u00fcrkiye 3,842 553 16 16 3,842 (25) (16) (3) (25) Mediterranean 2,602 499 91 91 2,602 (43) (10) (25) (43) Gulf States & Africa 39,507 616 31 31 39,507 (73) (13) (53) (73) Latin America 4,901 604 2 2 4,901 (5) (3) (5) Other countries 7,125 1,505 8 8 7,125 (7) (5) (1) (7) 150 TOTAL 2,016,287 144,762 31,854 31,445 2,009,654 (21,850) (3,354) (16,170) (958) (64) (*) Within the European Union, the European Free Trade Association (EFTA) and the United Kingdom. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 438 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u27a4 TABLE 51: BREAKDOWN OF LOANS AND ADVANCES AND PROVISIONS TO NON-FINANCIAL CORPORATIONS BY INDUSTRY (EU CQ5) [Audited] a b c d e f In millions of euros 31 December 2022 Gross carrying amount/Nominal amount Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit impaired (Stage2) of which non-performing of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit impaired (Stage2) of which defaulted of which defaulted of which loans and advances subject to impairment On balance sheet exposures 482,673 64,359 13,622 13,242 479,359 (9,306) (1,492) (6,929) (22) of which balance sheet exposures of continuing activities 451,114 63,221 13,196 12,816 447,800 (9,165) (1,470) (6,892) (22) 010 Agriculture, forestry and \ufb01shing 13,302 1,409 526 510 13,102 (325) (69) (211) 020 Mining and quarrying 9,452 909 156 155 9,452 (123) (15) (93) 030 Manufacturing 90,538 11,715 2,723 2,687 88,733 (2,238) (323) (1,742) 040 Electricity, gas, steam and air conditioning supply 20,640 1,874 137 136 20,477 (135) (43) (68) 050 Water supply 2,934 195 148 148 2,935 (134) (4) (124) 060 Construction 24,991 3,288 2,262 2,226 24,970 (1,593) (83) (1,449) (3) 070 Wholesale and retail trade 62,880 11,433 1,919 1,818 62,857 (1,287) (195) (964) 080 Transport and storage 30,129 6,804 781 777 30,100 (551) (121) (386) 090 Accommodation and food service activities 7,567 2,299 528 527 7,540 (365) (113) (232) 100 Information and communication 15,925 1,824 204 201 15,435 (177) (27) (126) 110 Financial and insurance actvities 24,136 3,361 664 616 24,038 (346) (101) (195) 120 Real estate activities 65,402 6,708 1,199 1,188 65,209 (649) (146) (415) 130 Professional, scienti\ufb01c and technical activities 20,782 2,592 478 472 20,782 (333) (55) (228) 140 Administrative and support service activities 45,608 4,130 855 852 45,342 (588) (103) (444) In accordance with Implementing Regulation (EU) No. 2021/637, the table below (EU CQ5) shows the breakdown of loans and receivables with the scope of non-\ufb01nancial corporations. It does not take into account all exposures to central governments and central banks, credit institutions, \ufb01nancial companies and households. These on-balance sheet and off-balance sheet exposures contribute to all Group risks, mainly credit risk. These same balance sheet exposures of continuing activities, broken down by sector, are included in Table 114 \u2013 Credit quality of exposures by sector and residual maturities of section 5.11 Environmental, social and governance risks of this chapter. In the latter, exposures include, however, debt securities and equity instruments not held for trading. The breakdown by sector is made on the basis of economic activity as de\ufb01ned by the European Statistical Classi\ufb01cation of Economic Activities (NACE), declared by the legal entity counterparty of the asset. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 439 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk a b c d e f In millions of euros 31 December 2022 Gross carrying amount/Nominal amount Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit impaired (Stage2) of which non-performing of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit impaired (Stage2) of which defaulted of which defaulted of which loans and advances subject to impairment 150 Public administration and defence, compulsory social security 288 35 6 5 288 (5) (4) 160 Education 817 91 43 43 817 (18) (2) (14) 170 Human health services and social work activities 5,606 882 190 187 5,606 (134) (29) (94) 180 Arts, entertainment and recreation 2,207 433 153 153 2,207 (74) (17) (54) 190 Other services 7,911 3,239 224 115 7,910 (91) (24) (49) (19) of which balance sheet exposures of assets held for sale 31,559 1,138 426 426 31,559 (141) (22) (37) 200 Off-balance sheet exposures 364,740 27,119 1,489 1,489 364,740 (795) (280) (295) - Agriculture, forestry and \ufb01shing 2,164 132 10 10 2,164 (8) (2) Mining and quarrying 9,136 758 88 88 9,136 (9) (4) Manufacturing 118,678 7,287 326 326 118,678 (219) (89) (50) Electricity, gas, steam and air conditioning supply 26,268 1,300 49 49 26,268 (29) (9) (7) Water supply 3,535 170 4 4 3,535 (2) (1) Construction 34,086 3,754 431 431 34,086 (126) (30) (78) Wholesale and retail trade 42,621 2,591 178 178 42,621 (126) (29) (70) Transport and storage 21,354 4,634 267 267 21,354 (64) (49) (7) Accommodation and food service activities 2,334 167 23 23 2,334 (6) (2) (2) Information and communication 21,653 694 18 18 21,653 (16) (3) (2) Financial and insurance actvities 21,368 1,091 14 14 21,368 (68) (14) (43) Real estate activities 19,422 1,228 29 29 19,422 (22) (5) (8) Professional, scienti\ufb01c and technical activities 17,887 1,097 49 49 17,887 (20) (8) (2) 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 440 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk a b c d e f In millions of euros 31 December 2022 Gross carrying amount/Nominal amount Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit impaired (Stage2) of which non-performing of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit impaired (Stage2) of which defaulted of which defaulted of which loans and advances subject to impairment Administrative and support service activities 14,374 1,152 130 130 14,374 (38) (19) (9) Public administration and defence, compulsory social security 748 28 748 Education 366 21 1 1 366 Human health services and social work activities 1,777 147 2 2 1,777 (16) (2) (12) Arts, entertainment and recreation 1,333 284 7 7 1,333 (6) (4) Other services 5,636 584 39 39 5,636 (20) (11) (4) TOTAL 847,413 91,478 15,111 14,731 844,099 (10,101) (1,772) (7,224) (22) 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 441 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk a b c d e f In millions of euros 31 December 2021 Gross carrying amount/Nominal amount Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures of which non-performing of which loans and advances subject to impairment of which defaulted On balance sheet exposures 446,833 14,827 14,566 44,4752 (10,446) - of which balance sheet exposures of continuing activities 417,607 14,607 14,347 415,526 (10,245) 010 Agriculture, forestry and \ufb01shing 13,096 629 611 12,811 (355) 020 Mining and quarrying 8,768 511 511 8,768 (438) 030 Manufacturing 82,820 3,366 3,353 82,819 (2,741) 040 Electricity, gas, steam and air conditioning supply 21,678 138 138 21,064 (83) 050 Water supply 2,316 158 158 2,316 (139) 060 Construction 23,574 2,326 2,307 23,568 (1,626) 070 Wholesale and retail trade 59,619 2,030 1,978 59,606 (1,491) 080 Transport and storage 30,900 888 886 30,857 (599) 090 Accommodation and food service activities 8,490 664 652 8,486 (395) 100 Information and communication 10,394 172 171 10,394 (139) 110 Financial and insurance actvities 18,733 253 252 17,890 (242) 120 Real estate activities 62,950 1,614 1,589 62,694 (904) 130 Professional, scienti\ufb01c and technical activities 18,865 400 389 18,865 (266) 140 Administrative and support service activities 38,134 772 768 38,127 (371) 150 Public administration and defence, compulsory social security 400 54 54 400 (41) 160 Education 817 36 35 817 (21) 170 Human health services and social work activities 5,220 165 165 5,213 (119) 180 Arts, entertainment and recreation 2,076 129 129 2,076 (115) 190 Other services 8,758 301 200 8,755 (162) of which balance sheet exposures of assets held for sale 29,226 219 219 29,226 (201) Industry risks are monitored in terms of gross exposure (1) and risk- weighted assets. Certain sectors, defined in accordance with the principles of the Group\u2019s Risk Appetite Statement, are subject to increased monitoring and speci\ufb01c reviews. Their monitoring is performed on a broadened scope, taking into account all the exposures of Business Group, and Legal Entities related to these sectors as de\ufb01ned by the internal risk management nomenclature. \u25a0 the leveraged \ufb01nance sector: The Group\u2019s exposure to Leverage Buy-Out transactions (\u201cLBO\u201d) with financial sponsors rises to EUR 18.4 billion at 31 December 2022, or 0.9% of the Group\u2019s gross on-balance sheet and off-balance sheet commitments compared to EUR 15.4 billion, or 0.8% at 31 December 2021. These exposures are individually very small with an average amount of EUR 5 million per commitment (EUR 14 million taking account of all business group exposures). This portfolio has been resilient in the current economic situation, with a decrease of defaulted outstandings (2%, compared to 2.7% in 2021) and also stage 3 provisions (EUR 125 million at 31 December 2022, versus EUR 211 million as at 31 December 2021). Moreover, the Group has reinforced during the year its monitoring and analysis process for leveraged companies, including during the syndication phases, in accordance with the guidelines given by the ECB, the Group introduced a set of new Risk Appetite Statement metrics for Leverage Finance ensuring a reinforced comprehensive supervision of all risks on this portfolio. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 442 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u25a0 the shipping sector: the shipping sector covers a set of segments with very different dynamics: bulk, oil and gas tankers, container carriers, oil services and cruises. In 2022, these different segments were affected in very heterogeneous ways by the evolution of the macro-economic environment. The cruise segment benefitted from a progressive recovery of demand but remains with the burden of banking debt and export \ufb01nance repayments that were delayed during the pandemic. Some signs of slowdown of the maritime container transport are visible since the second half of 2022, however this segment is still doing very well. Lastly, the dry bulk and tanker segments remain subject to high market volatility due to the consequences of the invasion of Ukraine. LNG and Floating Storage and Regasi\ufb01cation Units (FSRUs) bene\ufb01ted from a decrease of Russian natural gas exports to Europe and the change in the geopolitical context. The shipping industry has to face new environmental constraints (International Maritime Organisation (IMO) standards) involving investment efforts. A growing number of new orders concern hybrid LNG (Lique\ufb01ed Natural Gas) propulsion or other technologies with a reduced impact on the environment. At 31 December 2022, gross exposure of the shipping finance sector was EUR 21.5 billion, i.e. 1.1% of the Group\u2019s on-balance sheet and off-balance sheet credit exposures, compared to EUR 20.4 billion or 1.1% at 31 December 2021. Most of this exposure is borne by Corporate and Institutional Banking (more than 90%, stable compared to 2021), with good geographical diversi\ufb01cation of the client base. Doubtful loans account for 3.2% of the Group\u2019s exposure to the shipping \ufb01nance segment (compared to 4.1% of doubtful loans at 31 December 2021) and stage 3 provisions were EUR 230 million (compared to EUR 286 million in provisions at 31 December 2021). \u25a0 the aviation sector: Business activity in this sector is evenly split between airlines and aircraft leasing companies. The gross exposure is EUR 14.4 billion at 31 December 2022, i.e. 0.7% of the Group\u2019s total gross on- and off-balance sheet commitments, versus EUR 12.9 billion, i.e. 0.7% of the Group\u2019s total gross commitments at 31 December 2021. The increase of exposure of EUR 1.5 billion is mainly linked to the dollar increase compared to euro and short-term \ufb01nancings intended to be quickly re\ufb01nanced (bridge, underwriting). Origination continues to be concentrated on leading airlines and the latest technology aircrafts with lower environmental impact. The direct and indirect consequences of the invasion of Ukraine are limited on the cost of risk of this portfolio are limited. Thus, the amount of doubtful loans remains low at 31 December 2022, representing 5.2% of the sector\u2019s outstandings (versus 4.5% in 2021). As aircrafts \ufb01nancing is a highly collateralised business, stage 3 provisions are limited and represent EUR 111 million at 31 December 2022, compared to EUR 91 million at 31 December 2021; \u25a0 the commercial real estate sector: The commercial real estate sector comprises a set of sub-segments with very different dynamics depending on the destination of the asset (logistics, of\ufb01ce properties, accommodation and tourism, shopping centres, etc.) and the nature of the owner (institutional investor, asset manager, Private Equity funds, industrial, promoter, etc.) The portfolio is resilient, although certain sub-segments were more heavily affected, such as of\ufb01ces in the inner suburbs, shopping centers or tourist accommodation, which are gradually recovering from the consequences of the health crisis. At 31 December 2022, the gross exposure to the commercial real estate sector is EUR 82.6 billion, of which EUR 11.2 billion held for sale at Bank of the West (EUR 76.6 billion at 31 December 2021), i.e. 4.2% of the Group\u2019s total gross on- and off-balance sheet commitments (4.0% of total commitments in 2021), mainly in Europe and highly diversified between the various market segments, countries and entities of the Group. Furthermore, 46% of the commercial real estate counterparties have an Investment Grade rating (versus 45% in 2021). Doubtful loans represented 1.5% of the sector\u2019s total gross exposure (versus 1.8% in 2021). The segments most impacted by the health crisis are shopping centres (14% of the commercial real estate portfolio; the same as in 2021) and hotels (4% of the commercial real estate portfolio versus 5% in 2021). Commercial real estate stage 3 provisions represented EUR 411 million at 31 December 2022 (EUR 409 million at 31 December 2021); \u25a0 the electricity sector: The activity of this sector includes the production, transport and distribution of electricity. At 31 December 2022, Gross Exposure to the electricity sector represented EUR 55.3 billion (or 2.8% of the Group\u2019s total gross on- and off-balance sheet commitments) compared to EUR 44.5 billion at 31 December 2021 (2.3% of total commitment in 2021). 84% of the counterparties bene\ufb01t from a good credit quality rating (Investment Grade rating), and the amount of doubtful exposures is low, representing 0.4% of the sector as of 31 December 2022 (compared to 0.5% in 2021). Stage 3 provisions amount to 74 million at 31 December 2022, a stable level compared to last year. The Group remains diversi\ufb01ed. No sector makes up more than 10% of total corporate lending or more than 4.2% of total lending at 31 December 2022, as at 31 December 2021. At 31 December 2022, doubtful loans decreased resulting from a decrease in corporate (-EUR 1.7 billion) and retail (-EUR 1.6 billion), especially in Italy, followed by Personal Finance linked with the disposal of non- performing portfolios. The main effects explaining changes in the amount of doubtful outstandings in 2022 (EU CR2-B) are presented in note 4.f to the consolidated \ufb01nancial statements. The cost of risk and the change in impairment in respect of credit risk are presented in note 2.h to the consolidated \ufb01nancial statements (Cost of risk). The following table shows the carrying amounts of the \ufb01nancial assets and commitments at amortised cost and fair value through equity subject to impairment provisions for credit risk (i.e. excluding instruments at fair value through pro\ufb01t and loss) broken down by stage of impairment and by BNP Paribas internal rating in the prudential scope. Financial assets subject to impairment are recognised in the following accounting categories: \u25a0 amounts due from central banks (excluding cash); \u25a0 debt securities at fair value through equity or at amortised cost; \u25a0 loans and advances at amortised cost; \u25a0 \ufb01nancing and guarantee commitments given (off-balance sheet). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 443 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u27a4 TABLE 52: BREAKDOWN OF FINANCIAL ASSETS SUBJECT TO IMPAIRMENT BY STAGE AND RATING [Audited] In millions of euros 31 December 2022 Gross carrying value Impairments Net carrying value BNP Paribas rating or equivalent TOTAL 1 to 3 4 to 5 6 to 8 9 to 10 Defaulted Central Banks 310,779 2,185 2,368 226 315,558 (21) 315,537 Stage 1 310,779 2,126 2,070 314,975 (15) 314,960 Stage 2 59 298 226 583 (6) 577 Stage 3 Debt securities at fair value through equity 35,431 1,856 1,291 14 108 38,700 (130) 38,570 Stage 1 35,431 1,794 1,208 14 38,447 (15) 38,432 Stage 2 62 83 145 (15) 130 Stage 3 108 108 (100) 8 Loans and advances at amortised cost 224,883 287,238 378,444 22,095 25,842 938,502 (18,361) 920,141 Stage 1 221,538 274,000 321,860 7,752 825,150 (2,050) 823,100 Stage 2 3,345 13,238 56,584 14,343 87,510 (2,829) 84,681 Stage 3 25,842 25,842 (13,482) 12,360 Debt securities at amortised cost 95,454 13,614 4,521 97 155 113,841 (130) 113,711 Stage 1 95,454 13,593 4,199 53 113,299 (27) 113,272 Stage 2 21 322 44 387 (10) 377 Stage 3 155 155 (93) 62 Assets held for sale 24,979 7,923 46,036 605 553 80,096 (329) 79,767 Stage 1 24,979 7,795 43,251 368 76,393 (141) 76,252 Stage 2 128 2,785 237 3,150 (126) 3,024 Stage 3 553 553 (62) 491 Financing and guarantee commitments 268,021 161,600 128,697 7,415 1,730 567,463 (980) 566,483 Stage 1 265,880 154,481 111,371 1,887 533,619 (326) 533,293 Stage 2 2,141 7,119 17,326 5,528 32,114 (338) 31,776 Stage 3 1,730 1,730 (316) 1,414 TOTAL 959,547 474,416 561,357 30,452 28,388 2,054,160 (19,951) 2,034,209 Financial assets subject to impairments were up by EUR 45 billion, an increase of 2% compared to 31 December 2021. This change mainly relates to \ufb01nancial assets and commitments rated 1 to 3 (+EUR 16 billion, i.e. +2% compared to 31 December 2021) and rated 4 to 5 (+EUR 18 billion, i.e. +4% compared to 31 December 2021). The change in the criteria for assessing a signi\ufb01cant increase in credit risk (see note 2.h Cost of risk) also contributed to a transfer of EUR 27 billion in loans and receivables recognised at amortised cost from stage 2 to stage 1. This transfer mainly concerns the least risky outstandings among those previously classi\ufb01ed in stage 2 (mainly \ufb01nancial assets rated 5 to 7). Excluding the effect of this change in estimate, loans and receivables classi\ufb01ed in stage 2 increased by EUR 10 billion during 2022. This change is closely linked to the deterioration of the economic environment, which weighed on the assessment of the signi\ufb01cant increase in credit risk criterion. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 444 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk In millions of euros 31 December 2021 Gross carrying value Impairments Net carrying value BNP Paribas rating or equivalent TOTAL 1 to 3 4 to 5 6 to 8 9 to 10 Defaulted Central Banks 340,622 1,927 2,728 174 345,451 (18) 345,433 Stage 1 340,622 1,927 2,573 114 345,236 (13) 345,223 Stage 2 155 60 215 (5) 210 Stage 3 Debt securities at fair value through equity 37,169 3,076 1,374 13 105 41,737 (140) 41,597 Stage 1 37,169 2,999 1,251 11 41,430 (7) 41,423 Stage 2 77 123 2 202 (29) 173 Stage 3 105 105 (104) 1 Loans and advances at amortised cost 200,532 274,826 368,707 16,050 28,558 888,673 (20,090) 868,583 Stage 1 200,532 255,746 298,977 755,255 (1,884) 753,371 Stage 2 19,080 69,730 16,050 104,860 (2,704) 102,156 Stage 3 28,558 28,558 (15,502) 13,056 Debt securities at amortised cost 94,628 10,513 3,633 513 260 109,547 (168) 109,379 Stage 1 94,628 10,513 3,304 429 108,874 (20) 108,854 Stage 2 329 84 413 (25) 388 Stage 3 260 260 (123) 137 Assets held for sale 35,768 6,548 42,685 134 409 85,544 (476) 85,068 Stage 1 35,768 6,158 38,839 80,765 (172) 80,593 Stage 2 390 3,846 134 4,370 (217) 4,153 Stage 3 409 409 (87) 322 Financing and guarantee commitments 234,745 159,347 133,879 8,799 1,933 538,703 (958) 537,745 Stage 1 234,745 154,075 113,247 502,067 (230) 501,837 Stage 2 5,272 20,632 8,799 34,703 (374) 34,329 Stage 3 1,933 1,933 (354) 1,579 TOTAL 943,464 456,237 553,006 25,683 31,265 2,009,655 (21,850) 1,987,805 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 445 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk RESTRUCTURED LOANS [Audited] When a borrower is bordering on or is in \ufb01nancial dif\ufb01culties, he may receive a concession from the Bank that would otherwise not have been granted if the borrower had not met with \ufb01nancial dif\ufb01culties. The concession may be: \u25a0 a change to the contract terms and conditions; \u25a0 partial or total re\ufb01nancing of the debt. The loan is then said to be \u201crestructured\u201d. It must retain the status of \u201crestructured\u201d during a period of observation, known as a probation period, for at least two years. The concept of restructuring is described in the accounting principles (note 1.e.5 to the consolidated \ufb01nancial statements) and is aligned with the de\ufb01nition in Annex V to Regulation (EU) No. 680/2014. According to the principles for identifying the restructured exposure amounts for the Group as a whole, for the non-retail business, exposures are identified individually during the loan process, notably during Committees. As for restructured exposures for retail customers, they are usually identi\ufb01ed via a systematic process requiring the use of algorithms whose parameters are validated by the RISK and Finance & Strategy Functions. Information on restructured loans is reported to the supervisory authority on a quarterly basis. The following table shows the gross value and impairment amounts of performing and non-performing loans that have been restructured. \u27a4 TABLE 53: CREDIT QUALITY OF RESTRUCTURED LOANS (EU CQ1) [Audited] a b c e f g h In millions of euros 31 December 2022 Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collaterals received and \ufb01nancial guarantees received Performing exposures Non-performing exposures On performing exposures On non- performing exposures of which Collateral and \ufb01nancial guarantees received on non- performing exposures of which defaulted Loans and advances 9,461 7,889 7,866 (491) (3,154) 8,749 2,662 General governments 7 7 7 (1) (4) 4 Credit institutions 5 5 (5) Other \ufb01nancial corporations 313 427 427 (18) (194) 315 206 Non-\ufb01nancial corporations 6,870 3,720 3,701 (319) (1,533) 6,278 1,604 Households 2,271 3,731 3,727 (154) (1,417) 2,151 852 Debt securities 102 102 (53) 20 20 Assets held for sale 123 134 134 (5) (6) 239 127 Loan commitments given 2,209 150 150 (34) (14) 1,401 29 TOTAL 11,793 8,275 8,252 (530) (3,227) 10,409 2,838 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 446 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk a b c e f g h In millions of euros 31 December 2021 Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collaterals received and \ufb01nancial guarantees received Performing exposures Non-performing exposures On performing exposures On non- performing exposures of which Collateral and \ufb01nancial guarantees received on non- performing exposures of which defaulted Loans and advances 11,027 9,042 8,930 (523) (3,614) 9,851 3,054 General governments 7 10 10 (1) (6) 5 1 Credit institutions 4 4 (4) Other \ufb01nancial corporations 478 252 249 (14) (98) 413 120 Non-\ufb01nancial corporations 7,188 4,433 4,345 (300) (1,801) 6,706 2,009 Households 3,354 4,343 4,322 (208) (1,705) 2,727 924 Debt securities 203 203 (81) 25 25 Assets held for sale 98 134 134 (5) (15) 188 106 Loan commitments given 2,768 389 371 (17) (28) 1,884 33 TOTAL 13,893 9,768 9,638 (545) (3,737) 11,948 3,218 EXPOSURES SUBJECT TO MORATORIA AND PUBLIC GUARANTEE SCHEMES EXPOSURES SUBJECT TO MORATORIA In response to the public health crisis, the Group has granted its customers moratoria, most often consisting of extensions of a few months (see also the paragraph Restructuring of \ufb01nancial assets due to \ufb01nancial dif\ufb01culties in note 1.e.5 to the consolidated \ufb01nancial statements). These moratoria may be based on national law (so-called legislative moratoria) or on an agreed or coordinated payment reduction initiative within the banking sector (so-called non-legislative moratoria). At 31 December 2022, the Group\u2019s exposure to loans subject to moratoria (1) (including expired moratoria) amounted to EUR 27.3 billion. Around 425,000 moratoria (2) expired as at 31 December 2022, i.e. 99.9% of the Group\u2019s exposure to loans subject to moratoria. More than 96% of expired moratoria are performing. The amount of unexpired moratoria at 31 December 2022 is EUR 18 million, compared with EUR 113 million at 31 December 2021. (1) Moratoria quali\ufb01ed as \u201cCovid-19 moratorium measure\u201d meeting the criteria de\ufb01ned in EBA Guidelines published on 2 April 2020. (2) Number of individual customers and companies whose moratoria expired. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 447 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u27a4 TABLE 54: BREAKDOWN OF EXPOSURES SUBJECT TO LEGISLATIVE AND NON-LEGISLATIVE MORATORIA (1) BY RESIDUAL MATURITY OF MORATORIA [Audited] In millions of euros 31 December 2022 Number of obligors Gross carrying amount of which legislative moratoria of which expired moratoria Residual maturity of moratoria \u2264 3 months > 3 months \u2264 6 months > 6 months \u2264 9 months > 9 months \u2264 12 months > 12 months Loans and advances for which moratorium was offered 427,260 27,347 Loans and advances subject to moratorium (granted) 427,052 27,316 2,712 27,298 18 of which households 10,156 1,340 10,152 3 of which collateralised by residential immovable property 5,337 1,059 5,337 of which non-\ufb01nancial corporations 16,723 1,357 16,708 15 of which SME 9,727 915 9,727 of which collateralised by commercial immovable property 6,919 261 6,919 In millions of euros 31 December 2021 Number of obligors Gross carrying amount of which legislative moratoria of which expired moratoria Residual maturity of moratoria \u2264 3 months > 3 months \u2264 6 months > 6 months \u2264 9 months > 9 months \u2264 12 months > 12 months Loans and advances for which moratorium was offered 591,841 36,267 Loans and advances subject to moratorium (granted) 591,479 36,199 3,680 36,086 76 15 21 of which households 12,455 1,708 12,418 27 7 2 of which collateralised by residential immovable property 6,048 1,134 6,030 11 4 2 of which non-\ufb01nancial corporations 22,607 1,965 22,530 49 8 19 of which SME 13,410 1,444 13,369 16 7 18 of which collateralised by commercial immovable property 6,284 377 6,284 (1) Moratoria quali\ufb01ed as \u201cCovid-19 moratorium measure\u201d meeting the criteria de\ufb01ned in EBA Guidelines published on 2 April 2020. Loans and advances subject to a moratorium (1) (including expired moratoria) were granted to households in the amount of EUR 10.2 billion and to non-financial companies in the amount of EUR 16.7 billion.. The breakdown of the residual maturities of the moratoria reflects the measures taken in the countries where the Group operates. At 31 December 2022, all of the unexpired moratoria have a residual maturity of less than three months. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 448 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u27a4 TABLE 55: EXPOSURES SUBJECT TO NON-EXPIRED MORATORIA (1) [Audited] In millions of euros Gross carrying amount Performing exposure Non-performing exposure of which exposures with forbearance measures of which stage 2 of which exposures with forbearance measures of which unlikely to pay that are not past-due or past-due \u2264 90 days Loans and advances subject to moratorium 18 16 1 10 2 2 2 of which households 3 1 1 1 2 2 2 of which collateralised by residential immovable property of which non-\ufb01nancial corporations 15 15 9 of which SME of which collateralised by commercial immovable property In millions of euros Gross carrying amount Performing exposure Non-performing exposure of which exposures with forbearance measures of which stage 2 of which exposures with forbearance measures of which unlikely to pay that are not past-due or past-due \u2264 90 days Loans and advances subject to moratorium 113 97 12 41 16 15 4 of which households 37 27 4 7 10 9 3 of which collateralised by residential immovable property 17 11 4 5 6 6 of which non-\ufb01nancial corporations 76 70 8 34 6 6 1 of which SME 41 37 6 7 4 4 1 of which collateralised by commercial immovable property (1) Moratoria quali\ufb01ed as \u201cCovid-19 moratorium measure\u201d meeting the criteria de\ufb01ned in EBA Guidelines published on 2 April 2020. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 449 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk 31 December 2022 Accumulated impairment, accumulated negative changes in fair value due to credit risk Gross carrying amount \u2013 in\ufb02ows to non-performing exposures since 30 June 2022 Performing exposure Non-performing exposure of which exposures with forbearance measures of which stage 2 of which exposures with forbearance measures of which unlikely to pay that are not past-due or past- due \u2264 90 days (2) (1) (1) (1) (1) 1 (1) (1) (1) 1 (1) (1) (1) 31 December 2021 Accumulated impairment, accumulated negative changes in fair value due to credit risk Gross carrying amount \u2013 in\ufb02ows to non-performing exposures since 30 June 2021 Performing exposure Non-performing exposure of which exposures with forbearance measures of which stage 2 of which exposures with forbearance measures of which unlikely to pay that are not past-due or past- due \u2264 90 days (11) (7) (1) (4) (5) (4) (1) 12 (7) (3) (1) (4) (4) (1) 2 (3) (3) (3) (5) (4) (1) (4) 10 (2) (1) (1) (1) 9 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 450 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk PUBLIC GUARANTEE SCHEMES At 31 December 2022, the Group has granted more than 110,000 loans guaranteed by States through its Retail Banking networks of Domestic Markets and international networks. \u27a4 TABLE 56: LOANS AND ADVANCES SUBJECT TO PUBLIC GUARANTEE SCHEMES [Audited] In millions of euros 31 December 2022 Gross carrying amount Public guarantees received Gross carrying amount \u2013 in\ufb02ows to non-performing exposures since 30 June 2022 of which exposures with forbearance measures Newly originated loans and advances subject to public guarantee schemes 17,378 238 15,423 162 of which households 671 12 of which collateralised by residential immovable property 1 of which non-\ufb01nancial corporations 16,342 231 14,497 149 of which SME 8,672 137 of which collateralised by commercial immovable property 211 18 In millions of euros 31 December 2021 Gross carrying amount Public guarantees received Gross carrying amount \u2013 in\ufb02ows to non-performing exposures since 30 June 2021 of which exposures with forbearance measures Newly originated loans and advances subject to public guarantee schemes 20,100 203 17,893 122 of which households 803 8 of which collateralised by residential immovable property 1 of which non-\ufb01nancial corporations 18,708 194 16,633 113 of which SME 10,267 75 of which collateralised by commercial immovable property 250 3 At 31 December 2022, the total amount of loans guaranteed by States, granted by the Group, mainly in France and Italy, amounted to EUR 17.4 billion, for a corresponding guarantee amount of EUR 15.4 billion, (i.e. 89% of outstandings). These loans are spread across all sectors. State-guaranteed loans (SGL) have enabled their subscribers to bene\ufb01t from a repayment grace period of one year. At the end of this \ufb01rst year, subscribers had the option to repay their loan, partially or in full, or to extend it over a maximum period of \ufb01ve years with the possibility of another repayment grace period of one year. CREDIT RISK MITIGATION TECHNIQUES Credit risk mitigation techniques are divided into two main categories: \u25a0 funded credit protection (collateral) pledged to the Bank is used to secure timely performance of a borrower\u2019s \ufb01nancial obligations; \u25a0 unfunded credit protection (personal guarantee) is the commitment by a third party to replace the primary obligor in the event of default. Thus, public guarantee mechanisms are considered as personal guarantees. By extension, credit insurance and credit derivatives (purchased protection) fall into this category. The amount of personal guarantees and collateral recognised on loans and receivables, and debt securities in the prudential reporting scope amounted to EUR 600 billion at 31 December 2022. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 451 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u27a4 TABLE 57: CREDIT RISK MITIGATION TECHNIQUES (EU CR3) [Audited] a b c d e In millions of euros 31 December 2022 Gross carrying amount Unsecured net carrying amount Secured net carrying amount Secured by physical collateral Secured by personal guarantees Secured by credit derivatives 1 Loans and advances 1,257,959 689,778 549,777 298,331 251,446 2 Debt securities 155,088 151,587 3,202 1,122 2,080 Assets held for sale 80,095 32,729 47,037 38,998 8,039 3 TOTAL 1,493,143 874,094 600,016 338,451 261,565 - 4 of which non-performing exposures 26,689 4,565 8,378 5,616 2,762 EU-5 of which defaulted 26,240 4,378 8,217 5,590 2,626 a b c d e In millions of euros 31 December 2021 Gross carrying amount Unsecured net carrying amount Secured net carrying amount Secured by physical collateral Secured by personal guarantees Secured by credit derivatives 1 Loans and advances 1,236,254 712,911 503,222 254,125 249,097 2 Debt securities 155,785 154,477 950 950 Assets held for sale 85,544 40,267 44,802 35,257 9,545 3 TOTAL 1,477,584 907,655 548,973 290,331 258,642 - 4 of which non-performing exposures 29,494 4,762 8,932 6,075 2,857 EU-5 of which defaulted 29,103 4,627 8,718 5,998 2,720\u27a4 TABLE 60: COLLATERAL OBTAINED BY TAKING POSSESSION AND EXECUTION PROCESSES (EU CQ7) [Audited] a b a b In millions of euros 31 December 2022 31 December 2021 Collateral obtained by taking possession accumulated (*) Collateral obtained by taking possession accumulated (*) Value at initial recognition Accumulated negative changes Value at initial recognition Accumulated negative changes 010 Property, Plant and Equipment (PP&E) 020 Other than Property, Plant and Equipment 270 (35) 305 (56) 030 Residential immovable property 224 (35) 258 (56) 040 Commercial immovable property 8 8 050 Movable property (auto, shipping, etc.) 060 Equity and debt instruments 22 24 070 Other collateral 16 15 080 TOTAL 270 (35) 305 (56) (*) The amount of assets held for sale are included in the amounts of collateral presented in the table above. Collateral obtained by taking possession includes assets obtained in exchange for cancellation of the receivable, whether on a voluntary basis or on foot of legal proceedings. The accounting classi\ufb01cation of securitisation positions in the banking book is shown in Table 9 Prudential balance sheet by risk type (EU LI1-B). Securitisation positions classi\ufb01ed as \u201cFinancial assets at amortised cost\u201d are measured using the method described in note 1.e.1 to the \ufb01nancial statements: the ef\ufb01cient interest rate used to recognise interest income is measured on the basis of an expected cash \ufb02ow model. From the outset, these positions are subject to an impairment calculation for expected credit risk losses (see note 1.e.5). Securitisation positions classi\ufb01ed on an accounting basis as \u201cFinancial assets at fair value through equity\u201d are measured using the method described in note 1.e.2 to the financial statements. Changes in fair value determined according to the principles listed in note 1.e.10 to the \ufb01nancial statements (excluding revenue recognised using the ef\ufb01cient interest method) are presented in a speci\ufb01c subsection of shareholders\u2019 equity along with expected credit risk losses calculated using the methods described in note 1.e.5 to the financial statements. Upon disposal, amounts previously recognised in recyclable equity are transferred to the pro\ufb01t and loss account. Securitisation positions classi\ufb01ed on an accounting basis as \u201cFinancial instruments at fair value through pro\ufb01t or loss\u201d are measured using the method described in note 1.e.7 to the \ufb01nancial statements. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 462 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Securitisation in the banking book Proceeds from the sale of securitisation positions are recognised in accordance with rules for the category of origin of positions sold. Synthetic securitisations in the form of credit derivatives (credit default swaps) or guarantees received follow accounting rules appertaining respectively: \u25a0 to trading portfolio derivatives. These are measured at fair value through pro\ufb01t or loss (see note 1.e.7 to the \ufb01nancial statements); \u25a0 to financial guarantees received, which cannot be considered as forming an integral part of secured assets. If it is virtually certain that a loss caused by a defaulting debtor will be offset by the guarantor, the guarantee is then recognised as a reimbursement asset (right to reimbursement for expected credit losses) and expected credit losses on the asset are, at the same time, recognised in pro\ufb01t or loss. The overall impact in terms of pro\ufb01t or loss is the same as if the guarantee had been recognised in the measurement of expected credit losses, with the difference that the guarantee received is shown as a reimbursement asset rather than as a reduction in the expected credit losses on the asset. Assets awaiting securitisation are classi\ufb01ed as: \u25a0 \ufb01nancial instruments at amortised cost or at fair value through equity and in the prudential banking book in the case of exposures resulting from the bank\u2019s balance sheet, for which the Bank will be originator in the future securitisation within the meaning of Basel 3; \u25a0 \ufb01nancial instruments at fair value through pro\ufb01t or loss and in the prudential banking book in the case of exposures purchased and put into warehousing, for which the bank will be sponsor in the future securitisation within the meaning of regulation.\u27a4 TABLE 87: VALUE AT RISK (1-DAY, 99%) [Audited] In millions of euros Exercise 2022 Exercise 2021 Minimum (**) Average Maximum (**) Last measure Average Last measure Interest rate risk 16 24 44 27 25 18 Credit risk 6 11 20 10 14 7 Foreign exchange risk 2 7 16 9 9 5 Equity price risk 10 15 37 12 21 16 Commodity price risk 7 17 40 7 11 10 Netting effect (*) (40) (36) (42) (29) TOTAL VALUE AT RISK 24 34 52 30 38 27 (*) Note that the minimum and maximum \ufb01gures shown above for the various risk types are computed on a standalone basis (i.e. independently from each other as well as the total VaR). While the minimum or maximum for each risk type may not necessarily be observed on the same date, minimum/ maximum Netting Effects are not considered relevant. (**) For minima and maxima, total VaR cannot be read as the sum of VaR by risk type. The VaR (1-day, 99%) stood at a low level throughout 2022 thanks to prudent management.\u27a4 TABLE 88: VALUE AT RISK (10-DAY, 99%) [Audited] In millions of euros Exercise 2022 Exercise 2021 Minimum (**) Average Maximum (**) Last measure Average Last measure Interest rate risk 52 76 140 86 79 57 Credit risk 21 34 63 32 43 22 Foreign exchange risk 7 22 51 28 28 17 Equity price risk 33 48 116 39 67 50 Commodity price risk 21 53 127 22 35 31 Netting effect (*) (125) (113) (132) (92) TOTAL VALUE AT RISK 77 106 164 95 119 85 (*) Note that the minimum and maximum \ufb01gures shown above for the various risk types are computed on a standalone basis (i.e. independently from each other as well as the total VaR). While the minimum or maximum for each risk type may not necessarily be observed on the same date, minimum/ maximum Netting Effects are not considered relevant. (**) For minima and maxima, total VaR cannot be read as the sum of VaR by risk type.Foreign exchange risk and hedging of net income generated in foreign currencies [Audited] So-called \u201coperating\u201d foreign exchange risk exposure relates to net earnings generated by activities conducted in currencies other than the functional currency of the entity concerned. The Group\u2019s policy is to hedge the variability of its net income due to currency movements. To this end, earnings generated in a currency other than the functional currency of a given entity of the Group are hedged locally. Foreign exchange risk and hedging of net investments in foreign operations [Audited] The so-called \u201cstructural\u201d foreign exchange position of an entity relates to investments in currencies other than the functional currency. This position mainly results from the capital endowment of the branches and equity investments in foreign currencies \ufb01nanced by buying the investment currency. This structural foreign exchange position, adjusted for any intangibles, constitutes patrimonial exposure. The Group\u2019s policy is to hedge portfolio exposure to liquid currencies, while at the same time maintaining the solvency ratio\u2019s limited sensitivity to exchange rate \ufb02uctuations. For this, borrowings in the same currency as the investment are used as an alternative to \ufb01nancing by purchasing the currency in question. Borrowings are recognised as hedges of investments. INTEREST RATE RISK [Audited] Interest rate risk in the banking book, or global interest rate risk, is the risk of variability in results as a result of mismatches in interest rates, maturities and nature between assets and liabilities in the banking book. This risk arises in non-trading book portfolios. Organisation of the Group interest risk management The Board of directors assigns responsibility to the Chief Executive Of\ufb01cer for management of interest rate risk in the banking book. The Board of directors is informed quarterly on the principles governing interest rate policy and the Group\u2019s position through the Internal Control, Risk and Compliance Committee (CCIRC). The Chief Executive Officer delegates management responsibility to the Group ALM Treasury Committee (Asset and Liability Management Committee). The permanent members of the Group ALM Treasury Committee are the Group Senior Executive Advisor (Chairman), the Delegate Deputy Chief Operating Of\ufb01cers, the Group Chief Risk Of\ufb01cer, the Group Chief Financial Of\ufb01cer, the Group ALM Treasury Head. The Head of General Inspection and the Head of Compliance are also invited. This committee is responsible for tracking interest rate risk monitoring indicators, proposing the Group\u2019s interest rate risk pro\ufb01le and assigning limits. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 497 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Market risk ALM Treasury is responsible for the analysis of the management proposals and operational implementation of decisions related to managing the interest rate risk of the banking book as part of its delegated management. The RISK Function participates in the Group ALM Treasury Committee and the local ALM Treasury Committees (ALCo) and oversees implementation by ALM Treasury of the relevant decisions made by these committees. It also provides second-line control by reviewing the models and risk indicators, monitoring the level of risk indicators and ensuring compliance with the limits assigned. The banking book consists of the Group\u2019s total bank balance sheet, excluding trading book transactions. This includes intermediation transactions (deposits, loans, etc.), non-commercial balance sheet items (equity, \ufb01xed assets, etc.) and banking book risk management activities, including derivatives used for the management of interest rate risk on the banking book (notably when they are ineligible for hedge accounting under IFRS). Banking book interest rate risk in each BNP Paribas entity is systematically transferred to ALM Treasury, through internal analytic contracts or lending/borrowing transactions. For the Group as a whole, ALM Treasury is responsible for managing the interest rate risk transferred in this way. Decisions concerning the management of interest rate risk are made and monitored during monthly or quarterly committee meetings by entity or group of entities, attended by representatives of local ALM Treasury, Group ALM Treasury, Finance & Strategy and RISK Functions and senior management of the entities and/or businesses. Measurement of interest rate risk Rate positions are measured taking into account the speci\ufb01c features of the risks managed. Hence, the Group has de\ufb01ned the concepts of standard rate risks and structural rate risks. The standard rate risk corresponds to the general case, namely when it is possible to de\ufb01ne uniquely the most appropriate hedging strategy for a given transaction. The structural rate risk is the interest rate risk for equity and non-interest-bearing current accounts: these balance sheet items generate regular revenues but are sensitive to interest rate levels. However, it is not possible to de\ufb01ne a single hedging strategy to fully neutralise this sensitivity. In this case, the Group included all the possible so-called \u201cneutral\u201d management strategies in terms of interest rate risk. Interest rate risks are analysed in terms of interest rate gaps that measure, for each future period, the potential rate characteristic mismatches between assets and liabilities (\ufb01xed rate and indexation type). In the interest rate gaps, the optional effects, in particular linked to behavioural options, are embedded and translated into their delta equivalent. Value indicators are also used. The maturity split is determined on the basis of the contractual terms of the transactions and observations of customer behaviour. For Retail Banking products, behavioural models are based on historical or forward data and econometric studies. These possible management strategies notably relate to early redemption and savings accounts. Moreover, the maturities of non-interest-bearing current accounts and of equity are calculated according to a more conventional approach de\ufb01ning a range of investments taking into account the objective of stabilising results and stability of deposits. For current accounts, average maturities are less than \ufb01ve years and the proportion invested beyond 10 years is negligible. Incorporating dynamic changes in balance sheet items, the interest rate risk is measured through indicators of the sensitivity of revenues to interest rate changes on a going concern basis. This enables the partial or zero correlation between customer interest rates and market interest rates to be taken into account on the one hand, and the volume sensitivities to interest rates on the other hand, which create a risk to future revenues. The choice of indicators and risk modelling are reviewed by RISK. The results and the adjustments following these reviews are presented and monitored to the committees on a regular basis. The interest rate risk measurement indicators are consistently presented to the ALCos and serve as the basis for operating risk management decisions. Risk limits Interest rate risk indicators span the entire banking book as at 31 December 2022. The interest rate gaps are subject to interest rate risk limits across all time horizons. These limits are calibrated based on the nature of the risks (standard or structural) at Group and entity level. They are reviewed annually. The Group\u2019s revenue sensitivity indicator is subject to limits and a warning threshold relative to the overall sensitivity level, also broken down by division and the main entities. Moreover, the Group regularly monitors the impact of stress scenarios on its revenues. Economic hedges transactions that do not qualify for hedge accounting under IFRS are subject to speci\ufb01c limits. Sensitivity of revenues to global interest rate risk Net interest income sensitivities are calculated on the total banking book, over one-, two- and three-year rolling timeframes, for a parallel, instantaneous and de\ufb01nitive increase and decrease in market rates on all currencies over all the terms of \u00b1 50 basis points (+0.5%). These sensitivities are measured as deviations from the NII projection for the central rate scenario corresponding to future interest rates expected by the markets at estimation date (e.g. forward rates seen as of the end of December 2022 for sensitivities as of at the end 2022). They include the direct impacts of market rates and business trends. Indirect effects on commercial activity linked to changes in outstandings and customer rates, are also taken into account. Thus, for the sake of prudence, increases in sight non-interest-bearing current account balances, observed during the period of low or negative interest rates, are considered as situational to the low interest rates environment, and are assumed to decrease gradually when short-term rates return to suf\ufb01ciently positive levels. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 498 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Market risk \u27a4 TABLE 93: SENSITIVITY OF REVENUES TO GLOBAL INTEREST RATE RISK BASED ON A 50 BASIS POINTS INCREASE OR DECREASE IN THE INTEREST RATES (EU IRRBB1A) [Audited] In millions of euros 31 December 2021 For +50 bps shock For -50 bps shock Year 1 127 (187) Year 2 537 (511) Year 3 694 (823) Since the end of December 2021, interest rate increases have been materialised beyond the parallel shocks of +50 pbs presented in the table at the end of December 2021, leading to an increase of the projections of net interest margins for the coming years. As the favourable effects of interest rates increases are re\ufb02ected in the projected net interest margins of the coming years, the potential for additional gains linked to potential further rate increases is gradually diminishing, as illustrated by the estimated decline of the sensitivity based on end-December 2022 interest rates level presented below. \u27a4 TABLE 93: SENSITIVITY OF REVENUES TO GLOBAL INTEREST RATE RISK BASED ON A 50 BASIS POINTS INCREASE OR DECREASE IN THE INTEREST RATES (EU IRRBB1A) [Audited] In millions of euros 31 December 2022 For +50 bps shock For -50 bps shock Year 1 (22) 20 Year 2 (20) (92) Year 3 125 (264) These forecasting sensitivities do not take into account, since December 2021, the speci\ufb01c monetary policy instruments of the European Central Bank (ECB) that are temporary or that can be modi\ufb01ed at the discretion of the ECB. This allows us to present sensibilities more related to the recurring activity of the businesses Sensitivity of the value of the net assets of the banking intermediation activity As the assets and liabilities of the Group\u2019s banking intermediation business are not intended to be sold, they are not recognised or managed on the basis of their theoretical economic value measured by discounting future cash \ufb02ows. Similarly, the theoretical economic value of the net assets does not affect the Group\u2019s capital. However, pursuant to the regulatory requirements and calculation methods laid down by the European Banking Authority (EBA), the ratios of sensitivity of the theoretical economic value of the net assets of the intermediation business in relation to Tier 1 capital are regularly calculated through six interest rate scenarios de\ufb01ned by the EBA (i.e. parallel up/down, steepening/\ufb02attening, short rates up/down). Moreover, the EBA de\ufb01nes thresholds for risk-free rates by maturity (interpolated yield curve between -1% for the overnight rate and 0% for the 20-year yields). These ratios are compared to the 15% threshold used by the supervisor to identify situations where the interest rate risk in the banking book could be material. As of 31 December 2022, the Group sensitivity ratios are far below the regulatory materiality threshold of -15%. In case of parallel up, the ratio decreases compared to the previous year and stands at -6.8Structural foreign exchange risk [Audited] Currency hedges are contracted by the ALM Treasury in relation to the Group\u2019s investments in foreign currencies and its future foreign currency revenues. Each hedging relationship is formally documented at inception. The documentation describes the hedging strategy, identi\ufb01es the hedged item and the hedging instrument, and the nature of the hedged risk and describes the methodology used to test the expected (prospective) and actual (retrospective) effectiveness of the hedge. A hedging relationship is applied and documented for investments in subsidiaries and branches \ufb01nanced by foreign currency loans so as to record movements in exchange rates symmetrically and avoid impacts on the pro\ufb01t and loss account. In this context, these instruments are designated as net investment hedges. The amount of these loans stood at EUR 23 billion at 31 December 2022, compared with EUR 16 billion at 31 December 2021. The changes in value related to exchange differences recognised directly in equity with respect to these hedges was -EUR 303 million in 2022, compared with -EUR 639 million in 2021. During the 2022 \ufb01nancial year, no net investment hedging relationships were disquali\ufb01ed. The amount recorded in the pro\ufb01t and loss account for 2022 with respect to the ineffective portion of hedges of net investments is immaterial. Hedging of \ufb01nancial instruments recognised in the balance sheet (Fair Value Hedge) Fair value hedges of interest rate risks relate either to identi\ufb01ed \ufb01xed- rate assets or liabilities, or to portfolios of \ufb01xed-rate assets or liabilities. Derivatives are contracted to reduce the exposure of the fair value of these instruments to changes in interest rates. Individual assets hedging consists mainly of securities classi\ufb01ed as \u201cFinancial assets at amortised cost\u201d or \u201cFinancial assets at fair value through equity\u201d; individual liabilities hedging consists mainly of \ufb01xed- income securities issued by the Group. Hedges of portfolios of \ufb01nancial assets and liabilities, constructed by currency, relate to: \u25a0 \ufb01xed-rate loans (property loans, equipment loans, consumer credit and export loans); \u25a0 \ufb01xed-rate deposits (mainly demand deposits and funds deposited under home savings contracts). To identify the hedged amount, the residual balance of the hedged item is split into maturity bands, and a separate amount is designated for each band. The maturity split is determined on the basis of the contractual terms of the transactions and historical observations of customer behaviour (early redemption assumptions and estimated default rates). Demand deposits, which do not bear interest at contractual rates, are quali\ufb01ed as \ufb01xed-rate medium-term \ufb01nancial liabilities. Consequently, the value of these liabilities is sensitive to changes in interest rates. Estimates of future cash out\ufb02ows are based on historical analyses. For each hedging relationship, expected hedge effectiveness is measured by ensuring that for each maturity band, the fair value of the hedged items is greater than the fair value of the designated hedging instruments. Actual effectiveness is assessed on an ex-post basis by ensuring that the monthly change in the fair value of hedged items since the start of the month does not indicate any over-hedging. Cash Flow Hedge In terms of interest rate risk, the Group uses derivative instruments to hedge \ufb02uctuations in income and expenses arising on \ufb02oating-rate assets and liabilities. Highly probable forecast transactions are also hedged. Hedged items are split into maturity bands by currency and benchmark interest rate. After factoring in early redemption assumptions and estimated default rates, the Group uses derivatives to hedge some or all of the risk exposure generated by these \ufb02oating-rate instruments. In terms of foreign exchange risk, the Group hedges against variability in components of consolidated net income. In particular, the Group may hedge future revenue \ufb02ows (especially interest income and fees) derived from operations carried out by its main subsidiaries and/or branches in a currency other than their functional currencies. As in the case of interest rate hedges, the effectiveness of these hedging relationships is documented and assessed on the basis of forecast maturity bands. The table below concerns the scope of BNP Paribas SA\u2019s medium- and long-term transactions and shows the amount of hedged future cash \ufb02ows (split by forecast date of realisation), which constitute the majority of the Group\u2019s hedging transactions. \u27a4 TABLE 95: HEDGED CASH FLOWS [Audited] Period to realisation In millions of euros 31 December 2022 31 December 2021 Less than 1 year 1 to 5 years More than 5 years Total Less than 1 year 1 to 5 years More than 5 years Total Hedged cash \ufb02ows 1,769 4,090 739 6,598 318 811 264 1,393 In 2022, no cash \ufb02ow hedges were declassi\ufb01ed on the grounds that achieving these future earnings would no longer be highly probable. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 501 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Liquidity riskLIQUIDITY RISK MANAGEMENT POLICY [Audited] OBJECTIVES The objectives of the Group\u2019s liquidity management policy are to secure a balanced \ufb01nancing structure for the development of BNP Paribas business activities, and to ensure it is suf\ufb01ciently robust to cope with crisis situations. The liquidity risk management framework relies on: \u25a0 management indicators: \u25a0 by volume, to ensure that businesses or activities comply with their liquidity targets set in line with the Group\u2019s funding capacity, \u25a0 by price, via internal liquidity pricing; \u25a0 the de\ufb01nition of monitoring indicators which enable assessment of the Group\u2019s liquidity position under normal conditions and in crisis situations, the ef\ufb01ciency of actions undertaken and compliance with regulatory ratios; \u25a0 the implementation of liquidity risk management strategies based on diversi\ufb01cation of funding sources with maturities in line with needs, and the constitution of liquidity reserves. The Group\u2019s liquidity policy de\ufb01nes the management principles that apply across all Group entities and businesses and across all time horizons. GOVERNANCE As for all risks, the Group Chief Executive Of\ufb01cer is granted authority by the Board of directors to manage the Group\u2019s liquidity risk. The Chief Executive Of\ufb01cer delegates this responsibility to the Group ALM Treasury Committee. The Internal Control, Risk and Compliance Committee (CCIRC) reports quarterly to the Board of directors on liquidity policy principles and the Group\u2019s liquidity position. The Group ALM Treasury Committee is responsible for: \u25a0 proposing the Group\u2019s liquidity risk pro\ufb01le at the CCIRC and the Board of directors, for review and decision; \u25a0 monitoring compliance with regulatory liquidity ratios; \u25a0 de\ufb01ning and monitoring management indicators and calibrating the quantitative thresholds set for the Bank\u2019s businesses; \u25a0 defining and monitoring liquidity risk indicators and associating quantitative thresholds to them if necessary; \u25a0 de\ufb01ning and overseeing implementation of liquidity risk management strategies, including monitoring of business lines, under normal and stressed conditions. In particular, the Group ALM Treasury Committee is informed about funding programmes and programmes to build up liquidity reserves, simulations in crisis conditions (stress tests), and about all events that may arise in crisis situations. The Group ALM Treasury Committee is tasked with defining the management approach in periods of crisis (emergency plan). This framework is based on: \u25a0 supervision of the emergence of a crisis by monitoring the market position and complying with thresholds set for a series of indicators; \u25a0 governance of the activation of crisis management mode and the associated responsibilities; \u25a0 identi\ufb01cation of possible actions for managing a crisis. The Group ALM Treasury Committee meets every month under normal conditions and more often in stressed conditions or to deal with speci\ufb01c issues. The permanent members of the Group ALM Treasury Committee are the Group Senior Executive Advisor (Chairman), the Delegate Deputy Chief Operating Of\ufb01cers, the Chief Risk Of\ufb01cer, the Group Chief Financial Of\ufb01cer and the Group ALM Treasury Head. Other members represent the RISK Function, Finance & Strategy Function and ALM Treasury. The Head of General Inspection and the Head of Compliance are also invited. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 502 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Liquidity risk Across the Group, ALM Treasury is responsible for the operational implementation of the Group ALM Treasury Committee\u2019s liquidity management decisions. The ALM Treasury Committees in entities or groups of entities are responsible for local implementation of the strategy decided by the Group ALM Treasury Committee to manage the Bank\u2019s liquidity risk. ALM Treasury is responsible for managing liquidity for the entire Group across all maturities. In particular, it is responsible for funding and short-term issuance (certi\ufb01cates of deposit, commercial paper, etc.), for senior and subordinated debt issuance (MTNs, bonds, medium/long- term deposits, covered bonds, etc.), preferred share issuance, and loan securitisation programmes for the Group. ALM Treasury is tasked with providing internal funding to the Group\u2019s divisions, operational entities and business lines, and investing their surplus cash. It is also responsible for building up and managing liquidity reserves, which comprise assets that can be easily sold in the event of a liquidity squeeze. RISK participates in the Group and local ALM Treasury Committees and oversees implementation by ALM Treasury of the relevant decisions made by these committees. It provides second-line control by reviewing the models and risk indicators (including liquidity stress tests), monitoring risk indicators and ensuring compliance with the limits assigned. The Finance & Strategy function is responsible for producing the regulatory liquidity indicators, as well as the internal monitoring indicators. Finance oversees the consistency of the internal monitoring indicators with the objectives de\ufb01ned by the Group ALM Treasury Committee. The Finance & Strategy function takes also part in the Group and local ALM Committees. LIQUIDITY RISK MANAGEMENT AND SUPERVISION Internal liquidity risk management and internal monitoring are based on a large range of indicators at various maturities. These indicators are measured on a regular basis by currency and maturity, both at Group level and entity level. BUSINESS LINES\u2019 INTERNAL MONITORING INDICATORS [Audited] The monitoring indicators relate to the funding needs of the Group\u2019s businesses under both normal and stressed conditions. These monitoring indicators are part of the Group\u2019s budget planning exercise with set objectives that are routinely monitored (monthly). Funding needs of the Group\u2019s businesses The funding needs associated with the activity of the Group\u2019s businesses are managed in particular by measuring the difference between commercial funding needs (customer loans and overdrafts, trading assets, etc.) and commercial funding resources (customer deposits, sale of the Group\u2019s debt securities to customers, trading liabilities, etc.). This indicator makes it possible to measure the business lines\u2019 liquidity consumption under a normal business scenario. It is supplemented by indicators to measure the funding needs of the business lines in one month and one year depending on the assumptions de\ufb01ned by European regulations in force (Liquidity Coverage Ratio) or anticipated (Net Stable Funding Ratio). In addition to this commercial funding need indicators, the Group closely monitors the liquidity reserves and the re\ufb01nancing provided by ALM Treasury, as well as the Group\u2019s structural resources (i.e. net own funds). The overall management of the business funding needs, the Group\u2019s structural resources, funding and liquidity reserves made by the ALM Treasury allows the Group to achieve a structurally robust liquidity situation able to resist severe market stresses. Business lines\u2019 consumption of liquidity is thus integrated in the Group\u2019s budget process, wherein each business line estimates its future liquidity needs, in keeping with its pro\ufb01tability targets and capital consumption objectives. During the iterative budget process, liquidity consumption objectives are allotted to the business lines, taking into account the funding provided by ALM Treasury and structural resources, in line with the Group\u2019s overall target. This process is regularly renewed, monitored and adjusted as appropriate throughout the year by the Group ALM Treasury Committee. Internal liquidity pricing All of the Group\u2019s assets and liabilities are subject to internal liquidity pricing, the principles of which are decided by the Group ALM Treasury Committee and aim to take account of trends in the cost of market liquidity and the balance between assets and liabilities within the Group\u2019s development strategy. Change of the liquidity position In 2022, business lines\u2019 consumption of liquidity decreased as a result of the growth in deposits, which exceeded credit growth, particularly for Global Banking. At end-2022, the businesses had a net liquidity surplus. Group\u2019s net equity is added to this surplus leading to an overall liquidity surplus. In this context, the funding provided by ALM Treasury is used to \ufb01nance the liquidity reserve, while also correcting the term structural differences between assets and liabilities and covering TLAC (Total Loss-Absorbing Capacity) requirements, as well as future Minimum Requirement for own funds and Eligible Liabilities (MREL). The Group maintains a large surplus in liquidity, 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 503 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Liquidity risk WHOLESALE FUNDING AND LIQUIDITY RESERVE MONITORING INDICATORS [Audited] Sources of wholesale funding The Group adopted a broad de\ufb01nition of wholesale funding, covering all funds excluding those provided by: \u25a0 retail customers, professionals and corporates; \u25a0 institutional clients for their operating needs (e.g. portion needed for custody management); \u25a0 monetary policy and funding secured by market assets. This de\ufb01nition is broader than market funding. For example, it includes medium- to long-term debt placed in funds for individuals and, in the short-term portion, non-operating deposits in the Securities Services business. The Group has a conservative policy for the management of its wholesale funding by ensuring that it does not depend on very short-term funding and diversifying its funding sources. Thus, wholesale funding with an original maturity of less than one month, so-called very short-term wholesale funding, is systematically \u201csterilised\u201d by being placed in immediately-available deposits in central banks so that they are not used to fund the Bank\u2019s business. The Group ensures that short-term wholesale funding (with original maturity of between one month and one year) is diversi\ufb01ed in terms of counterparty, industry and residual maturity. Any excess concentration on one of these criteria is systematically \u201csterilised\u201d and placed in central bank deposits. Medium- to long-term wholesale market funding (with original maturity over one year) is diversi\ufb01ed in terms of investor type, distribution network, funding programme (secured or unsecured), and by geographical area to ensure diversi\ufb01cation. Furthermore, the Group aims to optimise the term structure of its funding operations. At end-2022, sterilised very short-term wholesale funding totalled EUR 88.9 billion (leading to the sterilisation of an equivalent amount in the Group\u2019s liquidity reserve), diversi\ufb01ed short-term wholesale funding totalled EUR 134.6 billion and diversi\ufb01ed medium-to long-term wholesale funding totalled EUR 180.5 billion. \u27a4 TABLE 96: BREAKDOWN OF THE WHOLESALE FUNDING BY CURRENCY [Audited] The breakdown of funding by currency corresponds to the Group\u2019s needs and to a diversi\ufb01cation objective. In millions of euros 31 December 2022 EUR USD Other Total Sterilised very short-term wholesale funding 49,067 23,948 15,893 88,908 Short-term wholesale funding 48,376 53,690 32,567 134,632 Medium- to long-term wholesale funding 88,954 64,591 26,976 180,521 TOTAL WHOLESALE 186,397 142,228 75,436 404,062 In millions of euros 31 December 2021 EUR USD Other Total Sterilised very short-term wholesale funding 53,271 28,346 14,988 96,606 Short-term wholesale funding 44,047 39,702 24,299 108,048 Medium- to long-term wholesale funding 99,086 60,257 30,133 189,476 TOTAL WHOLESALE 196,405 128,305 69,420 394,130 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 504 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Liquidity risk\u27a4 TABLE 98: TRENDS IN GROUP MEDIUM AND LONG TERM WHOLESALE FUNDING [Audited] In millions of euros 31 December 2021 New origination Redemptions Buy-backs Exercise of calls Perimeter effect and other 31 December 2022 Total MLT funding 322,668 53,767 (30,704) (54,495) (7,739) (22,719) 260,779 MLT debt placed with clients (13,105) (1,905) 740 407 350 342 (13,172) Monetary policy (120,087) 3,000 50,000 (67,087) WHOLESALE MLT FUNDING 189,476 51,862 (26,964) (4,088) (7,389) (22,376) 180,521 Total medium- to long-term wholesale funding outstandings stood at EUR 180.5 billion at 31 December 2022 against EUR 189.5 billion at 31 December 2021. After adjusting for exchange rate movements due to effects of debt micro-hedge accounting, the long-term wholesale funding outstandings rose by EUR 11 billion compared to 2021. Wholesale funding raised by the Group in the markets with an initial maturity of over 1 year reached EUR 51.9 billion in 2022, compared to EUR 55.9 billion in 2021. Wholesale funding trends based on regulatory changes In addition to the Group\u2019s liquidity management targets, use of wholesale funding also satis\ufb01es regulatory requirements relating to recovery and resolution, with the application of the TLAC ratio minimum requirement (see paragraph Recovery and resolution in Capital adequacy and capital planning in section 5.2). In order to comply with the regulatory TLAC ratio requirements of 22.17% at 31 December 2022, BNP Paribas issued EUR 81.1 billion (outstanding principal amount) or EUR 72.2 billion (carrying amount, including in particular accrued unpaid interest and revaluation of the hedged portion) of non-preferred senior debt between 2017 and 2022 (including EUR 75.2 billion in TLAC-eligible debt at 31 December 2022), with different maturity dates and in various currencies, in the form of public issuances and private placements. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 505 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Liquidity risk To meet the TLAC and MREL ratio requirements, the Group plans to issue EUR 15 billion of senior debt (senior preferred and senior non-preferred) in 2023, subject to market conditions. The Group had completed 36% of its issue programme for this category of debt as at 26 January 2023. As a reminder, the main characteristics of these debt instruments are: \u25a0 issuance under EMTN and US MTN programmes; \u25a0 non-preferred senior notes (pursuant to article L.613-30-3-I-4 of the French Monetary and Financial Code); \u25a0 non-structured debt (1) ; \u25a0 initial maturity of more than one year; \u25a0 subject to conversion or impairment before senior preferred debt but after subordinated debt; \u25a0 documentation mandatorily stating that this debt belongs to the new statutory category. MLT secured wholesale funding MLT secured wholesale funding is measured by separating out assets representing securities and loans. Funding obtained from central banks is not included in the table below. \u27a4 TABLE 103: CONTRACTUAL MATURITIES OF THE PRUDENTIAL BALANCE SHEET (EU CR1-A) [Audited] In millions of euros 31 December 2022 Not determined Overnight or demand Up to 1 month (excl. Overnight) 1 to 3 months 3 months to 1 year 1 to 5 years More than 5 years TOTAL ASSETS Cash and amounts due from central banks 318,569 318,569 Financial instruments at fair value through pro\ufb01t and loss Securities 166,946 166,946 Loans and repurchase agreements 64,994 57,714 29,441 24,085 9,961 5,828 192,024 Derivative \ufb01nancial instruments 328,358 328,358 Derivatives used for hedging purposes 25,681 25,681 Financial assets at fair value through equity Debt securities 59 3,890 797 3,787 12,120 17,916 38,570 Equity securities 2,188 2,188 Financial assets at amortised cost Loans and advances to credit institutions 9,987 13,023 5,055 2,463 649 1,297 32,474 Loans and advances to customers 13,851 56,802 78,893 134,620 345,125 258,376 887,667 Debt securities 154 92 3,503 4,100 14,908 47,213 43,741 113,711 Remeasurement adjustment on interest rate risk hedged portfolios (7,477) (7,477) Financial assets 515,910 407,494 134,931 118,287 179,864 415,067 327,158 2,098,711 Other assets 187,930 21,181 6,832 9,241 1,835 1,977 8,727 237,722 Assets held for sale 86,839 86,839 TOTAL ASSETS 703,839 428,674 141,764 214,366 181,699 417,045 335,885 2,423,272 of which Loans and advances - 88,832 127,538 113,389 161,168 355,735 265,501 1,112,165 of which Debt securities 135,238 92 7,393 4,898 18,696 59,333 61,656 287,306 LIABILITIES Deposit from central banks 3,054 3,054 Financial instruments at fair value through pro\ufb01t and loss - Securities 99,155 99,155 Deposits and repurchase agreements 48,048 125,131 39,086 14,922 5,923 965 234,076 Issued debt securities 7 3,672 4,662 12,442 27,376 17,250 65,409 Derivative \ufb01nancial instruments 300,936 300,936 Derivatives used for hedging purposes 40,002 40,002 Financial liabilities at amortised cost - Deposits from credit institutions 14,768 5,518 25,331 49,365 20,950 780 116,714 Deposits from customers 780,457 124,371 63,839 37,088 5,924 2,888 1,014,567 Debt securities 5 9,731 31,847 34,884 42,770 32,952 152,190 Subordinated debt 8 270 8,599 13,511 22,388 Remeasurement adjustment on interest rate risk hedged portfolios (20,201) (20,201) Financial liabilities 419,893 846,339 268,431 164,765 148,972 111,543 68,347 2,028,290 Other liabilities 257,789 13,059 14,228 10,092 2,318 1,818 18,675 317,980 Liabilities associated with assets held for sale 77,002 77,002 TOTAL LIABILITIES AND EQUITY 677,682 859,398 282,659 251,860 151,290 113,361 87,022 2,423,272 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 513 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Liquidity risk In millions of euros 31 December 2021 Not determined Overnight or demand Up to 1 month (excl. Overnight) 1 to 3 months 3 months to 1 year 1 to 5 years More than 5 years TOTAL ASSETS Cash and amounts due from central banks 348,519 348,519 Financial instruments at fair value through pro\ufb01t and loss Securities 192,520 192,520 Loans and repurchase agreements 68,459 114,332 31,876 25,972 8,044 3,820 252,503 Derivative \ufb01nancial instruments 240,940 240,940 Derivatives used for hedging purposes 8,619 8,619 Financial assets at fair value through equity Debt securities 157 382 1,074 3,413 16,398 20,173 41,597 Equity securities 2,558 2,558 Financial assets at amortised cost Loans and advances to credit institutions 8,150 5,270 3,260 3,351 992 912 21,934 Loans and advances to customers 15,431 58,233 77,210 132,998 328,815 233,961 846,649 Debt securities 131 392 3,530 5,404 12,146 43,535 44,241 109,379 Remeasurement adjustment on interest rate risk hedged portfolios 3,049 3,049 Financial assets 447,974 440,951 181,748 118,824 177,879 397,784 303,108 2,068,267 Other assets 164,476 19,357 7,568 6,258 6,065 1,490 4,897 210,111 Assets held for sale 91,267 91,267 TOTAL ASSETS 612,450 460,308 189,315 125,082 275,211 399,274 308,005 2,369,645 of which Loans and advances - 92,040 177,835 112,346 162,320 337,851 238,693 1,121,086 of which Debt securities 135,313 392 3,913 6,478 15,559 59,933 64,414 286,001 LIABILITIES Deposit from central banks 1,244 1,244 Financial instruments at fair value through pro\ufb01t and loss - Securities 112,338 112,338 Deposits and repurchase agreements 113,644 119,041 34,792 23,301 1,383 1,296 293,456 Issued debt securities 20 2,563 4,012 12,231 26,319 18,798 63,944 Derivative \ufb01nancial instruments 237,779 237,779 Derivatives used for hedging purposes 10,211 10,211 Financial liabilities at amortised cost - Deposits from credit institutions 11,688 3,746 18,624 6,665 118,140 506 159,368 Deposits from customers 822,784 71,073 48,335 13,995 8,170 2,606 966,963 Debt securities 3 7,837 26,214 29,816 48,126 39,393 151,388 Subordinated debt 363 317 6,394 15,875 22,949 Remeasurement adjustment on interest rate risk hedged portfolios 1,367 1,367 Financial liabilities 361,695 949,383 204,623 131,977 86,324 208,531 78,474 2,021,007 Other non-\ufb01nancial liabilities 230,280 6,862 15,750 6,606 2,840 1,203 10,731 274,272 Liabilities associated with assets held for sale 74,366 74,366 TOTAL LIABILITIES AND EQUITY 591,975 956,245 220,373 138,583 163,530 209,734 89,205 2,369,645 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 514 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Liquidity risk At 31 December 2022, BancWest\u2019s contribution to the Group\u2019s balance sheet, under the line \u201cAssets held for sale / Liabilities associated with assets held for sale\u201d (see note 7.d Discontinued activities to the consolidated \ufb01nancial statements), amounts to: \u25a0 assets of EUR 3 billion from cash and amounts due from central banks, EUR 17 billion in debt securities at amortised cost, with a maturity mostly over \ufb01ve years, and EUR 56 billion in loans and advances to customers, including EUR 46 billion over one year; \u25a0 liabilities of EUR 71 billion in deposits from customers. At 31 December 2021, BancWest\u2019s contribution to the Group\u2019s balance sheet is as follows: \u25a0 assets of EUR 15 billion from cash and amounts due from central banks, EUR 16 billion in debt securities at amortised cost, with a maturity mostly over \ufb01ve years, and EUR 50 billion in loans and advances to customers, including EUR 41 billion over one year; \u25a0 liabilities of EUR 73 billion in deposits from customers. For the management of liquidity risk, the above schedule is supplemented with economic analyses taking into consideration customer behaviour and the market liquidity of certain assets (such as securities), under normal conditions and stress situations. To this effect, the Group uses a set of tools to anticipate and manage its \ufb01nancial liquidity, in particular as previously indicated: \u25a0 medium- to long-term liquidity status; \u25a0 stress tests and liquidity reserve; \u25a0 monitoring compliance with regulatory liquidity ratios. The following table shows details of Table 103 Contractual maturities of the prudential balance sheet across the scope of the Group\u2019s capital instruments and medium- and long-term debt securities, without taking into account early redemption options.\u27a4 TABLE 108: BREAKDOWN OF BNP PARIBAS CARDIF GROUP INVESTMENTS (EXCLUDING INVESTMENTS IN UNIT-LINKED CONTRACTS) [Audited] In millions of euros 31 December 2022 31 December 2021 Net book value Market value Net book value Market value Equities and variable-income securities (including UCI) 39,522 39,522 45,671 45,671 Real estate 5,540 7,161 5,388 7,164 of which buildings 2,944 4,565 2,965 4,741 of which shares in real estate companies 2,596 2,596 2,423 2,423 Government bonds and similar 47,557 47,604 56,441 56,610 Other bonds 56,665 56,668 69,319 69,329 Derivative instruments and other 3,676 3,676 2,896 2,896 TOTAL 152,961 154,631 179,715 181,670 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 528 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Insurance risks \u27a4 TABLE 109: BOND EXPOSURE BY ISSUER AND RATING (EXCLUDING INVESTMENTS IN UNIT-LINKED CONTRACTS AND EUROCROISSANCE CONTRACTS) [Audited] Exposure by rating 31 December 2022 31 December 2021 Govies Corporate Total Govies Corporate Total AAA 6.9% 3.8% 10.7% 4.0% 2.1% 6.1% AA 22.0% 6.1% 28.0% 23.7% 6.2% 29.9% A 5.4% 19.6% 25.0% 6.6% 21.4% 28.0% BBB 10.9% 16.4% 27.3% 10.4% 16.9% 27.3% < BBB (*) 0.3% 8.6% 8.9% 0.2% 8.4% 8.6% TOTAL 45.5% 54.5% 100.0% 44.9% 55.1% 100% (*) Including unrated bonds. \u27a4 TABLE 110: EXPOSURE TO GOVERNMENT BOND AND SIMILAR BY COUNTRY (EXCLUDING INVESTMENTS IN UNIT-LINKED CONTRACTS AND EUROCROISSANCE CONTRACTS) [Audited] Exposure by country In millions of euros Rating 31 December 2022 31 December 2021 Net book value Net book value France AA 17,211 23,599 Italy BBB 10,991 12,636 Spain A- 3,529 4,922 Belgium AA- 2,668 3,377 Germany AAA 1,213 1,378 Austria AA+ 850 1,056 Netherlands AAA 622 1,067 Ireland A+ 1 699 Portugal BBB 55 63 Other 10,042 7,528 TOTAL 47,183 56,325 The table below presents the gross book value of the BNP Paribas Cardif group\u2019s \ufb01nancial assets meeting the SPPI (Solely Payments of Principal and Interest) criterion, with the exception of the \ufb01nancial assets held for transaction purposes in accordance with IFRS 9 or whose management and performance assessment are based on fair value. \u27a4 TABLE 111: FINANCIAL ASSETS MEETING THE SPPI CRITERION IN ACCORDANCE WITH IFRS 9 [Audited] Rating In millions of euros 31 December 2022 31 December 2021 AAA 10,984 7,219 AA 28,553 36,931 A 22,093 29,693 BBB 26,666 30,770 < BBB (*) 2,852 2,861 TOTAL 91,127 107,475 (*) Including unrated bonds. For the non-Investment Grade or unrated \ufb01nancial assets that meet the cash \ufb02ow criterion, the table below shows the fair value and gross book value in accordance with IAS 39 (in the case of the \ufb01nancial assets valued at amortised cost, not taking into account any value adjustments for impairment). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 529 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Insurance risks \u27a4 TABLE 112: NON INVESTMENT GRADE FINANCIAL ASSETS MEETING THE SPPI CRITERION IN ACCORDANCE WITH IFRS 9 [Audited] Rating In millions of euros 31 December 2022 31 December 2021 Gross book value Market value Gross book value Market value BB+ 1,322 1,322 1,222 1,222 BB 108 108 74 74 BB- 173 173 158 158 B 9 9 18 18 Unrated 1,240 1,240 1,390 1,390 TOTAL 2,852 2,852 2,861 2,861\u27a4 TABLE 113: AVERAGE REDEMPTION RATES FOR BNP PARIBAS CARDIF GROUP GENERAL FUNDS (*) [Audited] Annual redemption rate 2022 2021 France 6.5% 5.4% Italy 9.4% 8.3% Luxembourg 22.5% 8.5% (*) Individual savings.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfFinancialInstrumentsExplanatory",
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    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
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  },
  "fact_9575": {
   "value": "1.e.1 Financial assets at amortised cost Financial assets are classi\ufb01ed at amortised cost if the following two criteria are met: the business model objective is to hold the instrument in order to collect the contractual cash \ufb02ows and the cash \ufb02ows consist solely of payments relating to principal and interest on the principal. Business model criterion Financial assets are managed within a business model whose objective is to hold \ufb01nancial assets in order to collect cash \ufb02ows through the collection of contractual payments over the life of the instrument. The realisation of disposals close to the maturity of the instrument and for an amount close to the remaining contractual cash-\ufb02ows, or due to an increase in the counterparty\u2019s credit risk is consistent with a business model whose objective is to collect the contractual cash \ufb02ows (\u201ccollect\u201d). Sales imposed by regulatory requirements or to manage the concentration of credit risk (without an increase in the asset\u2019s credit risk) are also consistent with this business model when they are infrequent or insigni\ufb01cant in value. Cash flow criterion The cash \ufb02ow criterion is satis\ufb01ed if the contractual terms of the debt instrument give rise, on speci\ufb01ed dates, to cash \ufb02ows that are solely repayments of principal and interest on the principal amount outstanding. The criterion is not met in the event of a contractual characteristic that exposes the holder to risks or to the volatility of contractual cash \ufb02ows that are inconsistent with those of a non-structured or \u201cbasic lending\u201d arrangement. It is also not satis\ufb01ed in the event of leverage that increases the variability of the contractual cash \ufb02ows. Interest consists of consideration for the time value of money, for the credit risk, and for the remuneration of other risks (e.g. liquidity risk), costs (e.g. administration fees), and a pro\ufb01t margin consistent with that of a basic lending arrangement. The existence of negative interest does not call into question the cash \ufb02ow criterion. The time value of money is the component of interest \u2013 usually referred to as the \u201crate\u201d component \u2013 which provides consideration for only the passage of time. The relationship between the interest rate and the passage of time must not be modi\ufb01ed by speci\ufb01c characteristics that could call into question the respect of the cash \ufb02ow criterion. Thus, when the variable interest rate of the \ufb01nancial asset is periodically reset at a frequency that does not match the duration for which the interest rate is established, the time value of money may be considered as modi\ufb01ed and, depending on the signi\ufb01cance of that modi\ufb01cation, the cash \ufb02ow criterion may not be met. Some \ufb01nancial assets held by the Group present a mismatch between the interest rate reset frequency and the maturity of the index, or interest rates indexed to an average of benchmark rate. The Group has developed a consistent methodology for analysing this alteration of the time value of money. Regulated rates meet the cash \ufb02ow criterion when they provide consideration that is broadly consistent with the passage of time and does not expose to risks or volatility in the contractual cash \ufb02ows that would be inconsistent with those of a basic lending arrangement (example: loans granted in the context of Livret A savings accounts). Some contractual clauses may change the timing or the amount of cash \ufb02ows. Early redemption options do not call into question the cash \ufb02ow criterion if the prepayment amount substantially represents the principal amount outstanding and the interest thereon, which may include reasonable compensation for the early termination of the contract. For example, as regards loans to retail customers, the compensation limited to 6 months of interest or 3% 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 194 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements of the capital outstanding is considered reasonable. Actuarial penalties, corresponding to the discounted value of the difference between the residual contractual cash-\ufb02ows of the loan, and their reinvestment in a loan to a similar counterparty or in the interbank market for a similar residual maturity are also considered as reasonable, even when the compensation can be positive or negative (i.e. \u201csymmetric\u201d compensation). An option that permits the issuer or the holder of a \ufb01nancial instrument to change the interest rate from \ufb02oating to \ufb01xed rate does not breach the cash \ufb02ow criterion if the \ufb01xed rate is determined at origination, or if it represents the time value of money for the residual maturity of the instrument at the date of exercise of the option. Clauses included in \ufb01nancing granted to encourage the sustainable development of companies which adjust the interest margin depending on the achievement of environmental, social or governance (ESG) objectives do not call into question the cash \ufb02ow criterion when such an adjustment is considered to be minimal. Structured instruments indexed to ESG market indices do not meet the cash \ufb02ow criterion. In the particular case of \ufb01nancial assets contractually linked to payments received on a portfolio of underlying assets and which include a priority order for payment of cash \ufb02ows between investors (\u201ctranches\u201d), thereby creating concentrations of credit risk, a speci\ufb01c analysis is carried out. The contractual characteristics of the tranche and those of the underlying \ufb01nancial instrument portfolios must meet the cash \ufb02ow criterion and the credit risk exposure of the tranche must be equal to or lower than the exposure to credit risk of the underlying pool of \ufb01nancial instruments. Certain loans may be \u201cnon-recourse\u201d, either contractually, or in substance when they are granted to a special purpose entity. That is in particular the case of numerous project \ufb01nancing or asset \ufb01nancing loans. The cash-\ufb02ow criterion is met as long as these loans do not represent a direct exposure on the assets acting as collateral. In practice, the sole fact that the \ufb01nancial asset explicitly gives rise to cash \ufb02ows that are consistent with payments of principal and interest is not suf\ufb01cient to conclude that the instrument meets the cash \ufb02ow criterion. In that case, the particular underlying assets to which there is limited recourse shall be analysed using the \u201clook-through\u201d approach. If those assets do not themselves meet the cash \ufb02ow criterion, the existing credit enhancement is assessed. The following aspects are considered: structuring and sizing of the transaction, own funds level of the structure, expected source of repayment, price volatility of the underlying assets. This analysis is applied to \u201cnon-recourse\u201d loans granted by the Group. The \u201c\ufb01nancial assets at amortised cost\u201d category includes, in particular, loans granted by the Group, as well as reverse repurchase agreements and securities held by the Group ALM Treasury in order to collect contractual \ufb02ows and meeting the cash \ufb02ow criterion. Recognition On initial recognition, \ufb01nancial assets are recognised at fair value, including transaction costs directly attributable to the transaction as well as commissions related to the origination of the loans. They are subsequently measured at amortised cost, including accrued interest and net of repayments of principal and interest during the past period. These \ufb01nancial assets are also subject from their initial recognition, to the measurement of a loss allowance for expected credit losses (note 1.e.5). Interest is calculated using the effective interest method determined at inception of the contract.1.e.2 Financial assets at fair value through shareholders\u2019 equity Debt instruments Debt instruments are classi\ufb01ed at fair value through shareholders\u2019 equity if the following two criteria are met: \u25a0 business model criterion: Financial assets are held in a business model whose objective is achieved by both holding the \ufb01nancial assets in order to collect contractual cash \ufb02ows and selling the \ufb01nancial assets (\u201ccollect and sale\u201d). The latter is not incidental but is an integral part of the business model; \u25a0 cash \ufb02ow criterion: The principles are identical to those applicable to \ufb01nancial assets at amortised cost. The securities held by the Group ALM Treasury in order to collect contractual \ufb02ows or to be sold and meeting the cash \ufb02ow criterion are in particular classi\ufb01ed in this category. On initial recognition, \ufb01nancial assets are recognised at their fair value, including transaction costs directly attributable to the transaction. They are subsequently measured at fair value and changes in fair value are recognised, under a speci\ufb01c line of shareholders\u2019 equity entitled \u201cChanges in assets and liabilities recognised directly in equity that may be reclassi\ufb01ed to pro\ufb01t or loss\u201d. These \ufb01nancial assets are also subject to the measurement of a loss allowance for expected credit losses on the same approach as for debt instruments at amortised cost. The counterparty of the related impact in cost of risk is recognised in the same speci\ufb01c line of shareholders\u2019 equity. On disposal, changes in fair value previously recognised in shareholders\u2019 equity are reclassi\ufb01ed to pro\ufb01t or loss. In addition, interest is recognised in the income statement using the effective interest method determined at the inception of the contract. Equity instruments Investments in equity instruments such as shares are classi\ufb01ed on option, and on a case-by-case basis, at fair value through shareholders\u2019 equity (under a speci\ufb01c line). On disposal of the shares, changes in fair value previously recognised in equity are not recognised in pro\ufb01t or loss. Only dividends, if they represent remuneration for the investment and not repayment of capital, are recognised in pro\ufb01t or loss. These instruments are not subject to impairment. Investments in mutual funds puttable to the issuer do not meet the de\ufb01nition of equity instruments. They do not meet the cash \ufb02ow criterion either, and thus are recognised at fair value through pro\ufb01t or loss. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 195 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements1.e.5 Impairment of financial assets measured at amortised cost and debt instruments measured at fair value through shareholders\u2019 equity The impairment model for credit risk is based on expected losses. This model applies to loans and debt instruments measured at amortised cost or at fair value through equity, to loan commitments and \ufb01nancial guarantee contracts that are not recognised at fair value, as well as to lease receivables, trade receivables and contract assets. General model The Group identi\ufb01es three \u201cstages\u201d that each correspond to a speci\ufb01c status with regards to the evolution of counterparty credit risk since the initial recognition of the asset: \u25a0 12-month expected credit losses (\u201cstage 1\u201d): If at the reporting date, the credit risk of the \ufb01nancial instrument has not increased signi\ufb01cantly since its initial recognition, this instrument is impaired at an amount equal to 12-month expected credit losses (resulting from the risk of default within the next 12 months); \u25a0 Lifetime expected credit losses for non-impaired assets (\u201cstage 2\u201d): The loss allowance is measured at an amount equal to the lifetime expected credit losses if the credit risk of the \ufb01nancial instrument has increased signi\ufb01cantly since initial recognition, but the \ufb01nancial asset is not considered credit-impaired or doubtful; \u25a0 Lifetime expected credit losses for credit-impaired or doubtful \ufb01nancial assets (\u201cstage 3\u201d): The loss allowance is also measured for an amount equal to the lifetime expected credit losses. This general model is applied to all instruments within the scope of IFRS 9 impairment, except for purchased or originated credit-impaired \ufb01nancial assets and instruments for which a simpli\ufb01ed model is used (see below). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 196 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The IFRS 9 expected credit loss approach is symmetrical, i.e. if lifetime expected credit losses have been recognised in a previous reporting period, and if it is assessed in the current reporting period that there is no longer any signi\ufb01cant increase in credit risk since initial recognition, the loss allowance reverts to a 12-months expected credit loss. As regards interest income, under \u201cstages 1 and 2\u201d, it is calculated on the gross carrying amount. Under \u201cstage 3\u201d, interest income is calculated on the amortised cost (i.e. the gross carrying amount adjusted for the loss allowance). Definition of default The de\ufb01nition of default is aligned with the Basel regulatory default de\ufb01nition, with a rebuttable presumption that the default occurs no later than 90 days past due. This de\ufb01nition takes into account the EBA guidelines of 28 September 2016, notably those regarding the thresholds applicable for the counting of past-due and probation periods. The de\ufb01nition of default is used consistently for assessing the increase in credit risk and measuring expected credit losses. Credit-impaired or doubtful financial assets Definition A \ufb01nancial asset is considered credit-impaired or doubtful and classi\ufb01ed in \u201cstage 3\u201d when one or more events that have a detrimental impact on the estimated future cash \ufb02ows of that \ufb01nancial asset have occurred. At an individual level, objective evidence that a \ufb01nancial asset is credit-impaired includes observable data regarding the following events: the existence of accounts that are more than 90 days past due; knowledge or indications that the borrower is experiencing signi\ufb01cant \ufb01nancial dif\ufb01culties, such that a risk can be considered to have arisen regardless of whether the borrower has missed any payments; concessions with respect to the credit terms granted to the borrower that the lender would not have considered had the borrower not been in \ufb01nancial dif\ufb01culty (see section Restructuring of \ufb01nancial assets for \ufb01nancial dif\ufb01culties). Specific cases of purchased or originated credit-impaired assets In some cases, \ufb01nancial assets are credit-impaired at initial recognition. For these assets, no loss allowance is recorded on initial recognition. The effective interest rate is calculated taking into account the lifetime expected credit losses in the initial estimated cash \ufb02ows. Any change in lifetime expected credit losses since initial recognition, positive or negative, is recognised as a loss allowance adjustment in pro\ufb01t or loss. Simplified model The simpli\ufb01ed approach consists in accounting for a loss allowance corresponding to lifetime expected credit losses since initial recognition, and at each reporting date. The Group applies this model to trade receivables with a maturity shorter than 12 months. Significant increase in credit risk A signi\ufb01cant increase in credit risk may be assessed on an individual basis or on a collective basis (by grouping \ufb01nancial instruments according to common credit risk characteristics), taking into account all reasonable and supportable information and comparing the risk of default of the \ufb01nancial instrument at the reporting date with the risk of default of the \ufb01nancial instrument at the date of initial recognition. Assessment of deterioration is based on the comparison of the probabilities of default derived from the ratings on the date of initial recognition with those existing at the reporting date. There is also, according to the standard, a rebuttable presumption that the credit risk of an instrument has signi\ufb01cantly increased since initial recognition when the contractual payments are more than 30 days past due. In the consumer credit specialist business, a signi\ufb01cant increase in credit risk is also considered when a past due event has occurred within the last 12 months, even if it has since been regularised. In the context of the health crisis, the granting of moratoria that meet the criteria de\ufb01ned in the EBA guidelines published on 2 April 2020, and amended on 2 December 2020, has not been considered, in isolation, as an indicator of a signi\ufb01cant increase in credit risk leading to an automatic transfer to stage 2. The granting of \u201cprivate\u201d moratoria that meet equivalent criteria to those de\ufb01ned in the EBA guidelines has followed the same treatment. Moratoria do not trigger the counting of past-due days as long as the new payment schedule is respected. The principles applied to assess the signi\ufb01cant increase in credit risk are detailed in note 2.h Cost of risk. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 197 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Measurement of expected credit losses Expected credit losses are de\ufb01ned as an estimate of credit losses (i.e. the present value of all cash shortfalls) weighted by the probability of occurrence of these losses over the expected life of the \ufb01nancial instruments. They are measured on an individual basis, for all exposures. In practice, for exposures classi\ufb01ed in stage 1 and stage 2, expected credit losses are measured as the product of the probability of default (\u201cPD\u201d), Loss Given Default (\u201cLGD\u201d) and exposure at default (\u201cEAD\u201d), discounted at the effective interest rate of the exposure (EIR). They result from the risk of default within the next 12 months (stage 1), or from the risk of default over the maturity of the facility (stage 2). In the consumer credit specialist business, because of the speci\ufb01city of credit exposures, the methodology used is based on the probability of transition to term forfeiture, and on discounted loss rates after term forfeiture. These parameters are measured on a statistical basis for homogeneous populations. For exposures classi\ufb01ed in stage 3, expected credit losses are measured as the value, discounted at the effective interest rate, of all cash shortfalls over the life of the \ufb01nancial instrument. Cash shortfalls represent the difference between the cash-\ufb02ows that are due in accordance with the contract, and the cash-\ufb02ows that are expected to be received. Where appropriate, the estimate of expected cash \ufb02ows takes into account a cash \ufb02ow scenario arising from the sale of the defaulted loans or groups of loans. Proceeds from the sale are recorded net of costs to sell. The methodology developed is based on existing concepts and methods (in particular the Basel framework) on exposures for which capital requirement for credit risk is measured according to the IRBA methodology. This method is also applied to portfolios for which capital requirement for credit risk is measured according to the standardised approach. Besides, the Basel framework has been adjusted in order to be compliant with IFRS 9 requirements, in particular the use of forward-looking information. Maturity All contractual terms of the \ufb01nancial instrument are taken into account, including prepayment, extension and similar options. In the rare cases where the expected life of the \ufb01nancial instrument cannot be estimated reliably, the residual contractual term is used. The standard speci\ufb01es that the maximum period to consider when measuring expected credit losses is the maximum contractual period. However, for revolving credit cards and overdrafts, in accordance with the exception provided by IFRS 9 for these products, the maturity considered for measuring expected credit losses is the period over which the entity is exposed to credit risk, which may extend beyond the contractual maturity (notice period). For revolving credits and overdrafts to non-retail counterparties, the contractual maturity can be used, for example if the next review date is the contractual maturity as they are individually managed. Probabilities of Default (PD) Probability of Default is an estimate of the likelihood of default over a given time horizon. The determination of the PD is based on the Group\u2019s internal rating system, which is described in chapter 5 of the Universal registration document (section 5.4 Credit risk \u2013 Credit risk management policy). This section describes how environmental, social and governance (ESG) risks are taken into account in credit and rating policies, notably with the introduction of a new tool: the ESG Assessment. The measurement of expected credit losses requires the estimation of both 1-year probabilities of default and lifetime probabilities of default. 1-year PDs are derived from long term average regulatory \u201cthrough the cycle\u201d PDs to re\ufb02ect the current situation (\u201cPoint in Time\u201d or \u201cPIT\u201d). Lifetime PDs are determined based on the rating migration matrices re\ufb02ecting the expected changes in the rating of the exposure until maturity, and the associated probabilities of default. Loss Given Default (LGD) Loss Given Default is the difference between contractual cash-\ufb02ows and expected cash-\ufb02ows, discounted using the effective interest rate (or an approximation thereof) at the default date. LGD is expressed as a percentage of the Exposure At Default (EAD). The estimate of expected cash \ufb02ows takes into account cash \ufb02ows resulting from the sale of collateral held or other credit enhancements if they are part of the contractual terms and are not accounted for separately by the entity (for example, a mortgage associated with a residential loan), net of the costs of obtaining and selling the collateral. For guaranteed loans, the guarantee is considered as integral to the loan agreement if it is embedded in the contractual clauses of the loan, or if it was granted concomitantly to the loan, and if the expected reimbursement amount can be attached to a loan in particular (i.e. absence of pooling effect by means of a tranching mechanism, or the existence of a global cap for a whole portfolio). In such case, the guarantee is taken into account when measuring the expected credit losses. Otherwise, it is accounted for as a separate reimbursement asset. The LGD used for IFRS 9 purposes is derived from the Basel LGD parameters. It is adjusted for downturn and conservatism margins (in particular regulatory margins), except for margins for model uncertainties. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 198 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Exposure At Default (EAD) Exposure At Default (EAD) of an instrument is the anticipated outstanding amount owed by the obligor at the time of default. It is determined by the expected payment pro\ufb01le taking into account, depending on the product type: the contractual repayment schedule, expected early repayments and expected future drawings for revolving facilities. Forward-looking information The amount of expected credit losses is measured on the basis of probability-weighted scenarios, in view of past events, current conditions and reasonable and supportable economic forecasts. The principles applied to take into account forward-looking information when measuring expected credit losses are detailed in note 2.h Cost of risk. Write-offs A write-off consists in reducing the gross carrying amount of a \ufb01nancial asset when there are no longer reasonable expectations of recovering that \ufb01nancial asset in its entirety or a portion thereof, or when it has been fully or partially forgiven. The write-off is recorded when all other means available to the Bank for recovering the receivables or guarantees have failed, and also generally depends on the context speci\ufb01c to each jurisdiction. If the amount of loss on write-off is greater than the accumulated loss allowance, the difference is recognised as an additional impairment loss in \u201cCost of risk\u201d. For any recovery once the \ufb01nancial asset (or part thereof) is no longer recognised on the balance sheet, the amount received is recorded as a gain in \u201cCost of risk\u201d. Recoveries through the repossession of the collateral When a loan is secured by a \ufb01nancial or a non-\ufb01nancial asset serving as a guarantee and the counterparty is in default, the Group may decide to exercise the guarantee and, depending on the jurisdiction, it may then become owner of the asset. In such a situation, the loan is written-off against the asset received as collateral. Once ownership of the asset is effective, it is recognised at fair value and classi\ufb01ed according to the intent of use. Restructuring of financial assets for financial difficulties A restructuring due to the borrower\u2019s \ufb01nancial dif\ufb01culties is de\ufb01ned as a change in the terms and conditions of the initial transaction that the Group is considering only for economic or legal reasons related to the borrower\u2019s \ufb01nancial dif\ufb01culties. For restructurings not resulting in derecognition of the \ufb01nancial asset, the restructured asset\u2019s gross carrying amount is reduced to the discounted amount, using the original effective interest rate of the asset, of the new expected future \ufb02ows. The change in the gross carrying amount of the asset is recorded in the income statement in \u201cCost of risk\u201d. The existence of a signi\ufb01cant increase in credit risk for the \ufb01nancial instrument is then assessed by comparing the risk of default after the restructuring (under the revised contractual terms) and the risk of default at the initial recognition date (under the original contractual terms). In order to demonstrate that the criteria for recognising lifetime expected credit losses are no longer met, good payment behaviour will have to be observed over a certain period of time. When the restructuring consists of a partial or total exchange against other substantially different assets (for example, the exchange of a debt instrument against an equity instrument), it results in the extinction of the original asset and the recognition of the assets remitted in exchange, measured at their fair value at the date of exchange. The difference in value is recorded in the income statement in \u201cCost of risk\u201d. As a reminder, in response to the health crisis, several moratoria have been granted to clients. These moratoria mostly consisted in payment suspension of a few months, with additional interest that may or not continue to accrue during the suspension period. Accordingly, the modi\ufb01cation was generally considered as not substantial. The associated discount (linked to the absence of interest accruing, or interest accruing at a rate that was lower than the EIR of the loan) was therefore recognised in NBI, subject to meeting certain criteria (1) . In such cases, the moratorium was considered as not being granted in response to the borrower\u2019s \ufb01nancial dif\ufb01culties, but in response to a temporary liquidity crisis and the credit risk was not considered to have signi\ufb01cantly increased. Modi\ufb01cations to \ufb01nancial assets that are not due to a borrower\u2019s \ufb01nancial dif\ufb01culties, or granted in the context of a moratorium (i.e. commercial renegotiations) are generally analysed as the early repayment of the former loan, which is then derecognised, followed by the set-up of a new loan at market conditions. They consist in resetting the interest rate of the loan at market conditions, with the client being in a position to change lender and not encountering any \ufb01nancial dif\ufb01culties. Probation periods The Group applies observation periods to assess the possible return to a better stage. Accordingly, a 3-month probation period is observed for the transition from stage 3 to stage 2, which is extended to 12 months in the event of restructuring due to \ufb01nancial dif\ufb01culties. For the transition from stage 2 to stage 1, a probation period of two years is observed for loans that have been restructured due to \ufb01nancial dif\ufb01culties. (1) Moratoria quali\ufb01ed as \u201cCovid-19 General moratorium Measure\u201d (i.e. meeting the criteria de\ufb01ned in EBA Guidelines published on 2 April 2020 and amended on 2 December 2020) or similar measures that do not lead to a transfer to stage 3. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 199 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements 1.e.6 Cost of risk Cost of risk includes the following items of pro\ufb01t or loss: \u25a0 impairment gains and losses resulting from the accounting of loss allowances for 12-month expected credit losses and lifetime expected credit losses (\u201cstage 1\u201d and \u201cstage 2\u201d) relating to debt instruments measured at amortised cost or at fair value through shareholders\u2019 equity, loan commitments and \ufb01nancial guarantee contracts that are not recognised at fair value as well as lease receivables, contract assets and trade receivables; \u25a0 impairment gains and losses resulting from the accounting of loss allowances relating to \ufb01nancial assets (including those at fair value through pro\ufb01t or loss) for which there is objective evidence of impairment (\u201cstage 3\u201d), write-offs on irrecoverable loans and amounts recovered on loans written-off; \u25a0 impairment gains and losses relating to \ufb01xed-income securities of insurance entities that are individually impaired (which fall under IAS 39). It also includes expenses relating to fraud and to disputes inherent to the \ufb01nancing activity.Held-to-maturity financial assets \u201cHeld-to-maturity \ufb01nancial assets\u201d include debt securities, with \ufb01xed maturity, that the Group has the intention and ability to hold until maturity. Securities classi\ufb01ed in this category are recognised at amortised cost using the effective interest method. Income received on these securities is presented under \u201cNet income from insurance activities\u201d and under sub-heading \u201cNet gain on \ufb01nancial instruments at amortised cost\u201d. Impairment losses recognised when there is objective evidence of impairment related to an event subsequent to the acquisition of the asset are presented under \u201cCost of risk\u201d.Available-for-sale financial assets The category \u201cAvailable-for-sale \ufb01nancial assets\u201d includes debt or equity securities that do not fall within the previous three categories. Assets included in the available-for-sale category are initially recorded at fair value, plus transaction costs where material. At the end of the reporting period, they are valued at their fair value and the changes in the latter, excluding accrued income, are presented under a speci\ufb01c heading of equity. On disposal of the securities, these unrealised gains or losses previously recognised in equity are reclassi\ufb01ed in the income statement under the heading \u201cNet income from insurance activities\u201d. Income recognised using the effective interest method on debt securities, dividends received and impairment (in the event of a signi\ufb01cant or lasting decline in the value of the securities) of equity securities are presented under \u201cNet income from insurance activities\u201d and under section \u201cNet gain on available-for-sale \ufb01nancial assets\u201d. Impairment losses on debt securities are presented under \u201cCost of risk\u201d.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForFinancialAssetsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9576": {
   "value": "1.e.2 Financial assets at fair value through shareholders\u2019 equity Debt instruments Debt instruments are classi\ufb01ed at fair value through shareholders\u2019 equity if the following two criteria are met: \u25a0 business model criterion: Financial assets are held in a business model whose objective is achieved by both holding the \ufb01nancial assets in order to collect contractual cash \ufb02ows and selling the \ufb01nancial assets (\u201ccollect and sale\u201d). The latter is not incidental but is an integral part of the business model; \u25a0 cash \ufb02ow criterion: The principles are identical to those applicable to \ufb01nancial assets at amortised cost. The securities held by the Group ALM Treasury in order to collect contractual \ufb02ows or to be sold and meeting the cash \ufb02ow criterion are in particular classi\ufb01ed in this category. On initial recognition, \ufb01nancial assets are recognised at their fair value, including transaction costs directly attributable to the transaction. They are subsequently measured at fair value and changes in fair value are recognised, under a speci\ufb01c line of shareholders\u2019 equity entitled \u201cChanges in assets and liabilities recognised directly in equity that may be reclassi\ufb01ed to pro\ufb01t or loss\u201d. These \ufb01nancial assets are also subject to the measurement of a loss allowance for expected credit losses on the same approach as for debt instruments at amortised cost. The counterparty of the related impact in cost of risk is recognised in the same speci\ufb01c line of shareholders\u2019 equity. On disposal, changes in fair value previously recognised in shareholders\u2019 equity are reclassi\ufb01ed to pro\ufb01t or loss. In addition, interest is recognised in the income statement using the effective interest method determined at the inception of the contract. Equity instruments Investments in equity instruments such as shares are classi\ufb01ed on option, and on a case-by-case basis, at fair value through shareholders\u2019 equity (under a speci\ufb01c line). On disposal of the shares, changes in fair value previously recognised in equity are not recognised in pro\ufb01t or loss. Only dividends, if they represent remuneration for the investment and not repayment of capital, are recognised in pro\ufb01t or loss. These instruments are not subject to impairment. Investments in mutual funds puttable to the issuer do not meet the de\ufb01nition of equity instruments. They do not meet the cash \ufb02ow criterion either, and thus are recognised at fair value through pro\ufb01t or loss. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 195 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "bnpp:DescriptionOfAccountingPolicyForFinancialAssetsAtFairValueThroughShareholdersEquityExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9577": {
   "value": "1.e.3 Financing and guarantee commitments Financing and \ufb01nancial guarantee commitments that are not recognised at fair value through pro\ufb01t or loss are presented in the note relating to \ufb01nancing and guarantee commitments. They are subject to the measurement of a loss allowance for expected credit losses. These loss allowances are presented under \u201cProvisions for contingencies and charges\u201d.",
   "dimensions": {
    "concept": "bnpp:DescriptionOfAccountingPolicyForFinancingAndGuaranteeCommitmentsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9578": {
   "value": "1.e.4 Regulated savings and loan contracts Home savings accounts (Comptes \u00c9pargne Logement \u2013 \u201cCEL\u201d) and home savings plans (Plans d\u2019\u00c9pargne Logement \u2013 \u201cPEL\u201d) are government-regulated retail products sold in France. They combine a savings phase and a loan phase which are inseparable, with the loan phase contingent upon the savings phase. These products contain two types of obligations for BNP Paribas: an obligation to pay interest on the savings for an inde\ufb01nite period, at a rate set by the government at the inception of the contract (in the case of PEL products) or at a rate reset every six months using an indexation formula set by law (in the case of CEL products); and an obligation to lend to the customer (at the customer\u2019s option) an amount contingent upon the rights acquired during the savings phase, at a rate set at the inception of the contract (in the case of PEL products) or at a rate contingent upon the savings phase (in the case of CEL products). The Group\u2019s future obligations with respect to each generation (in the case of PEL products, a generation comprises all products with the same interest rate at inception; in the case of CEL products, all such products constitute a single generation) are measured by discounting potential future earnings from at-risk outstandings for that generation. At-risk outstandings are estimated on the basis of a historical analysis of customer behaviour, and are equivalent to: \u25a0 for the loan phase: statistically probable loans outstanding and actual loans outstanding; \u25a0 for the savings phase: the difference between statistically probable outstandings and minimum expected outstandings, with minimum expected outstandings being deemed equivalent to unconditional term deposits. Earnings for future periods from the savings phase are estimated as the difference between the reinvestment rate and the \ufb01xed savings interest rate on at-risk savings outstanding for the period in question. Earnings for future periods from the loan phase are estimated as the difference between the re\ufb01nancing rate and the \ufb01xed loan interest rate on at-risk loans outstanding for the period in question. The reinvestment rate for savings and the re\ufb01nancing rate for loans are derived from the swap yield curve and from the spreads expected on \ufb01nancial instruments of similar type and maturity. Spreads are determined on the basis of actual spreads on \ufb01xed-rate home loans in the case of the loan phase and products offered to individual clients in the case of the savings phase. In order to re\ufb02ect the uncertainty of future interest rate trends, and the impact of such trends on customer behaviour models and on at-risk outstandings, the obligations are estimated using the Monte-Carlo method. Where the sum of the Group\u2019s estimated future obligations with respect to the savings and loan phases of any generation of contracts indicates a potentially unfavourable situation for the Group, a provision is recognised (with no offset between generations) in the balance sheet in \u201cProvisions for contingencies and charges\u201d. Movements in this provision are recognised as interest income in the pro\ufb01t and loss account.",
   "dimensions": {
    "concept": "bnpp:DescriptionOfAccountingPolicyForRegulatedSavingsAndLoanContractsExplanatoy",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9579": {
   "value": "1.e.4 Regulated savings and loan contracts Home savings accounts (Comptes \u00c9pargne Logement \u2013 \u201cCEL\u201d) and home savings plans (Plans d\u2019\u00c9pargne Logement \u2013 \u201cPEL\u201d) are government-regulated retail products sold in France. They combine a savings phase and a loan phase which are inseparable, with the loan phase contingent upon the savings phase. These products contain two types of obligations for BNP Paribas: an obligation to pay interest on the savings for an inde\ufb01nite period, at a rate set by the government at the inception of the contract (in the case of PEL products) or at a rate reset every six months using an indexation formula set by law (in the case of CEL products); and an obligation to lend to the customer (at the customer\u2019s option) an amount contingent upon the rights acquired during the savings phase, at a rate set at the inception of the contract (in the case of PEL products) or at a rate contingent upon the savings phase (in the case of CEL products). The Group\u2019s future obligations with respect to each generation (in the case of PEL products, a generation comprises all products with the same interest rate at inception; in the case of CEL products, all such products constitute a single generation) are measured by discounting potential future earnings from at-risk outstandings for that generation. At-risk outstandings are estimated on the basis of a historical analysis of customer behaviour, and are equivalent to: \u25a0 for the loan phase: statistically probable loans outstanding and actual loans outstanding; \u25a0 for the savings phase: the difference between statistically probable outstandings and minimum expected outstandings, with minimum expected outstandings being deemed equivalent to unconditional term deposits. Earnings for future periods from the savings phase are estimated as the difference between the reinvestment rate and the \ufb01xed savings interest rate on at-risk savings outstanding for the period in question. Earnings for future periods from the loan phase are estimated as the difference between the re\ufb01nancing rate and the \ufb01xed loan interest rate on at-risk loans outstanding for the period in question. The reinvestment rate for savings and the re\ufb01nancing rate for loans are derived from the swap yield curve and from the spreads expected on \ufb01nancial instruments of similar type and maturity. Spreads are determined on the basis of actual spreads on \ufb01xed-rate home loans in the case of the loan phase and products offered to individual clients in the case of the savings phase. In order to re\ufb02ect the uncertainty of future interest rate trends, and the impact of such trends on customer behaviour models and on at-risk outstandings, the obligations are estimated using the Monte-Carlo method. Where the sum of the Group\u2019s estimated future obligations with respect to the savings and loan phases of any generation of contracts indicates a potentially unfavourable situation for the Group, a provision is recognised (with no offset between generations) in the balance sheet in \u201cProvisions for contingencies and charges\u201d. Movements in this provision are recognised as interest income in the pro\ufb01t and loss account.Loans and advances Fixed or determinable income securities, which are not quoted in an active market, other than those for which the holder may not recover substantially all of its initial investment for reasons other than credit deterioration, are classi\ufb01ed as \u201cLoans and receivables\u201d when they do not meet the conditions for classi\ufb01cation as \ufb01nancial assets at fair value through pro\ufb01t or loss. Loans and receivables are initially recognised at their fair value or equivalent, which generally corresponds to the net amount originally paid. Loans and receivables are subsequently measured at amortised cost using the effective interest method and net of repayments of principal and interest. Interest is calculated using the effective interest method, which includes interest, transaction costs and commissions included in their initial value and is presented under \u201cNet income from insurance activities\u201d and under sub-heading \u201cNet gain on \ufb01nancial instruments at amortised cost\u201d. Impairment losses recognised when there is objective evidence of impairment related to an event subsequent to the acquisition of the asset are presented under \u201cCost of risk\u201d.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForLoansAndReceivablesExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9580": {
   "value": "1.e.5 Impairment of financial assets measured at amortised cost and debt instruments measured at fair value through shareholders\u2019 equity The impairment model for credit risk is based on expected losses. This model applies to loans and debt instruments measured at amortised cost or at fair value through equity, to loan commitments and \ufb01nancial guarantee contracts that are not recognised at fair value, as well as to lease receivables, trade receivables and contract assets. General model The Group identi\ufb01es three \u201cstages\u201d that each correspond to a speci\ufb01c status with regards to the evolution of counterparty credit risk since the initial recognition of the asset: \u25a0 12-month expected credit losses (\u201cstage 1\u201d): If at the reporting date, the credit risk of the \ufb01nancial instrument has not increased signi\ufb01cantly since its initial recognition, this instrument is impaired at an amount equal to 12-month expected credit losses (resulting from the risk of default within the next 12 months); \u25a0 Lifetime expected credit losses for non-impaired assets (\u201cstage 2\u201d): The loss allowance is measured at an amount equal to the lifetime expected credit losses if the credit risk of the \ufb01nancial instrument has increased signi\ufb01cantly since initial recognition, but the \ufb01nancial asset is not considered credit-impaired or doubtful; \u25a0 Lifetime expected credit losses for credit-impaired or doubtful \ufb01nancial assets (\u201cstage 3\u201d): The loss allowance is also measured for an amount equal to the lifetime expected credit losses. This general model is applied to all instruments within the scope of IFRS 9 impairment, except for purchased or originated credit-impaired \ufb01nancial assets and instruments for which a simpli\ufb01ed model is used (see below). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 196 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The IFRS 9 expected credit loss approach is symmetrical, i.e. if lifetime expected credit losses have been recognised in a previous reporting period, and if it is assessed in the current reporting period that there is no longer any signi\ufb01cant increase in credit risk since initial recognition, the loss allowance reverts to a 12-months expected credit loss. As regards interest income, under \u201cstages 1 and 2\u201d, it is calculated on the gross carrying amount. Under \u201cstage 3\u201d, interest income is calculated on the amortised cost (i.e. the gross carrying amount adjusted for the loss allowance). Definition of default The de\ufb01nition of default is aligned with the Basel regulatory default de\ufb01nition, with a rebuttable presumption that the default occurs no later than 90 days past due. This de\ufb01nition takes into account the EBA guidelines of 28 September 2016, notably those regarding the thresholds applicable for the counting of past-due and probation periods. The de\ufb01nition of default is used consistently for assessing the increase in credit risk and measuring expected credit losses. Credit-impaired or doubtful financial assets Definition A \ufb01nancial asset is considered credit-impaired or doubtful and classi\ufb01ed in \u201cstage 3\u201d when one or more events that have a detrimental impact on the estimated future cash \ufb02ows of that \ufb01nancial asset have occurred. At an individual level, objective evidence that a \ufb01nancial asset is credit-impaired includes observable data regarding the following events: the existence of accounts that are more than 90 days past due; knowledge or indications that the borrower is experiencing signi\ufb01cant \ufb01nancial dif\ufb01culties, such that a risk can be considered to have arisen regardless of whether the borrower has missed any payments; concessions with respect to the credit terms granted to the borrower that the lender would not have considered had the borrower not been in \ufb01nancial dif\ufb01culty (see section Restructuring of \ufb01nancial assets for \ufb01nancial dif\ufb01culties). Specific cases of purchased or originated credit-impaired assets In some cases, \ufb01nancial assets are credit-impaired at initial recognition. For these assets, no loss allowance is recorded on initial recognition. The effective interest rate is calculated taking into account the lifetime expected credit losses in the initial estimated cash \ufb02ows. Any change in lifetime expected credit losses since initial recognition, positive or negative, is recognised as a loss allowance adjustment in pro\ufb01t or loss. Simplified model The simpli\ufb01ed approach consists in accounting for a loss allowance corresponding to lifetime expected credit losses since initial recognition, and at each reporting date. The Group applies this model to trade receivables with a maturity shorter than 12 months. Significant increase in credit risk A signi\ufb01cant increase in credit risk may be assessed on an individual basis or on a collective basis (by grouping \ufb01nancial instruments according to common credit risk characteristics), taking into account all reasonable and supportable information and comparing the risk of default of the \ufb01nancial instrument at the reporting date with the risk of default of the \ufb01nancial instrument at the date of initial recognition. Assessment of deterioration is based on the comparison of the probabilities of default derived from the ratings on the date of initial recognition with those existing at the reporting date. There is also, according to the standard, a rebuttable presumption that the credit risk of an instrument has signi\ufb01cantly increased since initial recognition when the contractual payments are more than 30 days past due. In the consumer credit specialist business, a signi\ufb01cant increase in credit risk is also considered when a past due event has occurred within the last 12 months, even if it has since been regularised. In the context of the health crisis, the granting of moratoria that meet the criteria de\ufb01ned in the EBA guidelines published on 2 April 2020, and amended on 2 December 2020, has not been considered, in isolation, as an indicator of a signi\ufb01cant increase in credit risk leading to an automatic transfer to stage 2. The granting of \u201cprivate\u201d moratoria that meet equivalent criteria to those de\ufb01ned in the EBA guidelines has followed the same treatment. Moratoria do not trigger the counting of past-due days as long as the new payment schedule is respected. The principles applied to assess the signi\ufb01cant increase in credit risk are detailed in note 2.h Cost of risk. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 197 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Measurement of expected credit losses Expected credit losses are de\ufb01ned as an estimate of credit losses (i.e. the present value of all cash shortfalls) weighted by the probability of occurrence of these losses over the expected life of the \ufb01nancial instruments. They are measured on an individual basis, for all exposures. In practice, for exposures classi\ufb01ed in stage 1 and stage 2, expected credit losses are measured as the product of the probability of default (\u201cPD\u201d), Loss Given Default (\u201cLGD\u201d) and exposure at default (\u201cEAD\u201d), discounted at the effective interest rate of the exposure (EIR). They result from the risk of default within the next 12 months (stage 1), or from the risk of default over the maturity of the facility (stage 2). In the consumer credit specialist business, because of the speci\ufb01city of credit exposures, the methodology used is based on the probability of transition to term forfeiture, and on discounted loss rates after term forfeiture. These parameters are measured on a statistical basis for homogeneous populations. For exposures classi\ufb01ed in stage 3, expected credit losses are measured as the value, discounted at the effective interest rate, of all cash shortfalls over the life of the \ufb01nancial instrument. Cash shortfalls represent the difference between the cash-\ufb02ows that are due in accordance with the contract, and the cash-\ufb02ows that are expected to be received. Where appropriate, the estimate of expected cash \ufb02ows takes into account a cash \ufb02ow scenario arising from the sale of the defaulted loans or groups of loans. Proceeds from the sale are recorded net of costs to sell. The methodology developed is based on existing concepts and methods (in particular the Basel framework) on exposures for which capital requirement for credit risk is measured according to the IRBA methodology. This method is also applied to portfolios for which capital requirement for credit risk is measured according to the standardised approach. Besides, the Basel framework has been adjusted in order to be compliant with IFRS 9 requirements, in particular the use of forward-looking information. Maturity All contractual terms of the \ufb01nancial instrument are taken into account, including prepayment, extension and similar options. In the rare cases where the expected life of the \ufb01nancial instrument cannot be estimated reliably, the residual contractual term is used. The standard speci\ufb01es that the maximum period to consider when measuring expected credit losses is the maximum contractual period. However, for revolving credit cards and overdrafts, in accordance with the exception provided by IFRS 9 for these products, the maturity considered for measuring expected credit losses is the period over which the entity is exposed to credit risk, which may extend beyond the contractual maturity (notice period). For revolving credits and overdrafts to non-retail counterparties, the contractual maturity can be used, for example if the next review date is the contractual maturity as they are individually managed. Probabilities of Default (PD) Probability of Default is an estimate of the likelihood of default over a given time horizon. The determination of the PD is based on the Group\u2019s internal rating system, which is described in chapter 5 of the Universal registration document (section 5.4 Credit risk \u2013 Credit risk management policy). This section describes how environmental, social and governance (ESG) risks are taken into account in credit and rating policies, notably with the introduction of a new tool: the ESG Assessment. The measurement of expected credit losses requires the estimation of both 1-year probabilities of default and lifetime probabilities of default. 1-year PDs are derived from long term average regulatory \u201cthrough the cycle\u201d PDs to re\ufb02ect the current situation (\u201cPoint in Time\u201d or \u201cPIT\u201d). Lifetime PDs are determined based on the rating migration matrices re\ufb02ecting the expected changes in the rating of the exposure until maturity, and the associated probabilities of default. Loss Given Default (LGD) Loss Given Default is the difference between contractual cash-\ufb02ows and expected cash-\ufb02ows, discounted using the effective interest rate (or an approximation thereof) at the default date. LGD is expressed as a percentage of the Exposure At Default (EAD). The estimate of expected cash \ufb02ows takes into account cash \ufb02ows resulting from the sale of collateral held or other credit enhancements if they are part of the contractual terms and are not accounted for separately by the entity (for example, a mortgage associated with a residential loan), net of the costs of obtaining and selling the collateral. For guaranteed loans, the guarantee is considered as integral to the loan agreement if it is embedded in the contractual clauses of the loan, or if it was granted concomitantly to the loan, and if the expected reimbursement amount can be attached to a loan in particular (i.e. absence of pooling effect by means of a tranching mechanism, or the existence of a global cap for a whole portfolio). In such case, the guarantee is taken into account when measuring the expected credit losses. Otherwise, it is accounted for as a separate reimbursement asset. The LGD used for IFRS 9 purposes is derived from the Basel LGD parameters. It is adjusted for downturn and conservatism margins (in particular regulatory margins), except for margins for model uncertainties. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 198 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Exposure At Default (EAD) Exposure At Default (EAD) of an instrument is the anticipated outstanding amount owed by the obligor at the time of default. It is determined by the expected payment pro\ufb01le taking into account, depending on the product type: the contractual repayment schedule, expected early repayments and expected future drawings for revolving facilities. Forward-looking information The amount of expected credit losses is measured on the basis of probability-weighted scenarios, in view of past events, current conditions and reasonable and supportable economic forecasts. The principles applied to take into account forward-looking information when measuring expected credit losses are detailed in note 2.h Cost of risk. Write-offs A write-off consists in reducing the gross carrying amount of a \ufb01nancial asset when there are no longer reasonable expectations of recovering that \ufb01nancial asset in its entirety or a portion thereof, or when it has been fully or partially forgiven. The write-off is recorded when all other means available to the Bank for recovering the receivables or guarantees have failed, and also generally depends on the context speci\ufb01c to each jurisdiction. If the amount of loss on write-off is greater than the accumulated loss allowance, the difference is recognised as an additional impairment loss in \u201cCost of risk\u201d. For any recovery once the \ufb01nancial asset (or part thereof) is no longer recognised on the balance sheet, the amount received is recorded as a gain in \u201cCost of risk\u201d. Recoveries through the repossession of the collateral When a loan is secured by a \ufb01nancial or a non-\ufb01nancial asset serving as a guarantee and the counterparty is in default, the Group may decide to exercise the guarantee and, depending on the jurisdiction, it may then become owner of the asset. In such a situation, the loan is written-off against the asset received as collateral. Once ownership of the asset is effective, it is recognised at fair value and classi\ufb01ed according to the intent of use. Restructuring of financial assets for financial difficulties A restructuring due to the borrower\u2019s \ufb01nancial dif\ufb01culties is de\ufb01ned as a change in the terms and conditions of the initial transaction that the Group is considering only for economic or legal reasons related to the borrower\u2019s \ufb01nancial dif\ufb01culties. For restructurings not resulting in derecognition of the \ufb01nancial asset, the restructured asset\u2019s gross carrying amount is reduced to the discounted amount, using the original effective interest rate of the asset, of the new expected future \ufb02ows. The change in the gross carrying amount of the asset is recorded in the income statement in \u201cCost of risk\u201d. The existence of a signi\ufb01cant increase in credit risk for the \ufb01nancial instrument is then assessed by comparing the risk of default after the restructuring (under the revised contractual terms) and the risk of default at the initial recognition date (under the original contractual terms). In order to demonstrate that the criteria for recognising lifetime expected credit losses are no longer met, good payment behaviour will have to be observed over a certain period of time. When the restructuring consists of a partial or total exchange against other substantially different assets (for example, the exchange of a debt instrument against an equity instrument), it results in the extinction of the original asset and the recognition of the assets remitted in exchange, measured at their fair value at the date of exchange. The difference in value is recorded in the income statement in \u201cCost of risk\u201d. As a reminder, in response to the health crisis, several moratoria have been granted to clients. These moratoria mostly consisted in payment suspension of a few months, with additional interest that may or not continue to accrue during the suspension period. Accordingly, the modi\ufb01cation was generally considered as not substantial. The associated discount (linked to the absence of interest accruing, or interest accruing at a rate that was lower than the EIR of the loan) was therefore recognised in NBI, subject to meeting certain criteria (1) . In such cases, the moratorium was considered as not being granted in response to the borrower\u2019s \ufb01nancial dif\ufb01culties, but in response to a temporary liquidity crisis and the credit risk was not considered to have signi\ufb01cantly increased. Modi\ufb01cations to \ufb01nancial assets that are not due to a borrower\u2019s \ufb01nancial dif\ufb01culties, or granted in the context of a moratorium (i.e. commercial renegotiations) are generally analysed as the early repayment of the former loan, which is then derecognised, followed by the set-up of a new loan at market conditions. They consist in resetting the interest rate of the loan at market conditions, with the client being in a position to change lender and not encountering any \ufb01nancial dif\ufb01culties. Probation periods The Group applies observation periods to assess the possible return to a better stage. Accordingly, a 3-month probation period is observed for the transition from stage 3 to stage 2, which is extended to 12 months in the event of restructuring due to \ufb01nancial dif\ufb01culties. For the transition from stage 2 to stage 1, a probation period of two years is observed for loans that have been restructured due to \ufb01nancial dif\ufb01culties. (1) Moratoria quali\ufb01ed as \u201cCovid-19 General moratorium Measure\u201d (i.e. meeting the criteria de\ufb01ned in EBA Guidelines published on 2 April 2020 and amended on 2 December 2020) or similar measures that do not lead to a transfer to stage 3. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 199 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements 1.e.6 Cost of risk Cost of risk includes the following items of pro\ufb01t or loss: \u25a0 impairment gains and losses resulting from the accounting of loss allowances for 12-month expected credit losses and lifetime expected credit losses (\u201cstage 1\u201d and \u201cstage 2\u201d) relating to debt instruments measured at amortised cost or at fair value through shareholders\u2019 equity, loan commitments and \ufb01nancial guarantee contracts that are not recognised at fair value as well as lease receivables, contract assets and trade receivables; \u25a0 impairment gains and losses resulting from the accounting of loss allowances relating to \ufb01nancial assets (including those at fair value through pro\ufb01t or loss) for which there is objective evidence of impairment (\u201cstage 3\u201d), write-offs on irrecoverable loans and amounts recovered on loans written-off; \u25a0 impairment gains and losses relating to \ufb01xed-income securities of insurance entities that are individually impaired (which fall under IAS 39). It also includes expenses relating to fraud and to disputes inherent to the \ufb01nancing activity.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForImpairmentOfFinancialAssetsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-1555": {
   "value": "1.e.5 Impairment of financial assets measured at amortised cost and debt instruments measured at fair value through shareholders\u2019 equity The impairment model for credit risk is based on expected losses. This model applies to loans and debt instruments measured at amortised cost or at fair value through equity, to loan commitments and \ufb01nancial guarantee contracts that are not recognised at fair value, as well as to lease receivables, trade receivables and contract assets. General model The Group identi\ufb01es three \u201cstages\u201d that each correspond to a speci\ufb01c status with regards to the evolution of counterparty credit risk since the initial recognition of the asset: \u25a0 12-month expected credit losses (\u201cstage 1\u201d): If at the reporting date, the credit risk of the \ufb01nancial instrument has not increased signi\ufb01cantly since its initial recognition, this instrument is impaired at an amount equal to 12-month expected credit losses (resulting from the risk of default within the next 12 months); \u25a0 Lifetime expected credit losses for non-impaired assets (\u201cstage 2\u201d): The loss allowance is measured at an amount equal to the lifetime expected credit losses if the credit risk of the \ufb01nancial instrument has increased signi\ufb01cantly since initial recognition, but the \ufb01nancial asset is not considered credit-impaired or doubtful; \u25a0 Lifetime expected credit losses for credit-impaired or doubtful \ufb01nancial assets (\u201cstage 3\u201d): The loss allowance is also measured for an amount equal to the lifetime expected credit losses. This general model is applied to all instruments within the scope of IFRS 9 impairment, except for purchased or originated credit-impaired \ufb01nancial assets and instruments for which a simpli\ufb01ed model is used (see below). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 196 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The IFRS 9 expected credit loss approach is symmetrical, i.e. if lifetime expected credit losses have been recognised in a previous reporting period, and if it is assessed in the current reporting period that there is no longer any signi\ufb01cant increase in credit risk since initial recognition, the loss allowance reverts to a 12-months expected credit loss. As regards interest income, under \u201cstages 1 and 2\u201d, it is calculated on the gross carrying amount. Under \u201cstage 3\u201d, interest income is calculated on the amortised cost (i.e. the gross carrying amount adjusted for the loss allowance). Definition of default The de\ufb01nition of default is aligned with the Basel regulatory default de\ufb01nition, with a rebuttable presumption that the default occurs no later than 90 days past due. This de\ufb01nition takes into account the EBA guidelines of 28 September 2016, notably those regarding the thresholds applicable for the counting of past-due and probation periods. The de\ufb01nition of default is used consistently for assessing the increase in credit risk and measuring expected credit losses. Credit-impaired or doubtful financial assets Definition A \ufb01nancial asset is considered credit-impaired or doubtful and classi\ufb01ed in \u201cstage 3\u201d when one or more events that have a detrimental impact on the estimated future cash \ufb02ows of that \ufb01nancial asset have occurred. At an individual level, objective evidence that a \ufb01nancial asset is credit-impaired includes observable data regarding the following events: the existence of accounts that are more than 90 days past due; knowledge or indications that the borrower is experiencing signi\ufb01cant \ufb01nancial dif\ufb01culties, such that a risk can be considered to have arisen regardless of whether the borrower has missed any payments; concessions with respect to the credit terms granted to the borrower that the lender would not have considered had the borrower not been in \ufb01nancial dif\ufb01culty (see section Restructuring of \ufb01nancial assets for \ufb01nancial dif\ufb01culties). Specific cases of purchased or originated credit-impaired assets In some cases, \ufb01nancial assets are credit-impaired at initial recognition. For these assets, no loss allowance is recorded on initial recognition. The effective interest rate is calculated taking into account the lifetime expected credit losses in the initial estimated cash \ufb02ows. Any change in lifetime expected credit losses since initial recognition, positive or negative, is recognised as a loss allowance adjustment in pro\ufb01t or loss. Simplified model The simpli\ufb01ed approach consists in accounting for a loss allowance corresponding to lifetime expected credit losses since initial recognition, and at each reporting date. The Group applies this model to trade receivables with a maturity shorter than 12 months. Significant increase in credit risk A signi\ufb01cant increase in credit risk may be assessed on an individual basis or on a collective basis (by grouping \ufb01nancial instruments according to common credit risk characteristics), taking into account all reasonable and supportable information and comparing the risk of default of the \ufb01nancial instrument at the reporting date with the risk of default of the \ufb01nancial instrument at the date of initial recognition. Assessment of deterioration is based on the comparison of the probabilities of default derived from the ratings on the date of initial recognition with those existing at the reporting date. There is also, according to the standard, a rebuttable presumption that the credit risk of an instrument has signi\ufb01cantly increased since initial recognition when the contractual payments are more than 30 days past due. In the consumer credit specialist business, a signi\ufb01cant increase in credit risk is also considered when a past due event has occurred within the last 12 months, even if it has since been regularised. In the context of the health crisis, the granting of moratoria that meet the criteria de\ufb01ned in the EBA guidelines published on 2 April 2020, and amended on 2 December 2020, has not been considered, in isolation, as an indicator of a signi\ufb01cant increase in credit risk leading to an automatic transfer to stage 2. The granting of \u201cprivate\u201d moratoria that meet equivalent criteria to those de\ufb01ned in the EBA guidelines has followed the same treatment. Moratoria do not trigger the counting of past-due days as long as the new payment schedule is respected. The principles applied to assess the signi\ufb01cant increase in credit risk are detailed in note 2.h Cost of risk. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 197 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Measurement of expected credit losses Expected credit losses are de\ufb01ned as an estimate of credit losses (i.e. the present value of all cash shortfalls) weighted by the probability of occurrence of these losses over the expected life of the \ufb01nancial instruments. They are measured on an individual basis, for all exposures. In practice, for exposures classi\ufb01ed in stage 1 and stage 2, expected credit losses are measured as the product of the probability of default (\u201cPD\u201d), Loss Given Default (\u201cLGD\u201d) and exposure at default (\u201cEAD\u201d), discounted at the effective interest rate of the exposure (EIR). They result from the risk of default within the next 12 months (stage 1), or from the risk of default over the maturity of the facility (stage 2). In the consumer credit specialist business, because of the speci\ufb01city of credit exposures, the methodology used is based on the probability of transition to term forfeiture, and on discounted loss rates after term forfeiture. These parameters are measured on a statistical basis for homogeneous populations. For exposures classi\ufb01ed in stage 3, expected credit losses are measured as the value, discounted at the effective interest rate, of all cash shortfalls over the life of the \ufb01nancial instrument. Cash shortfalls represent the difference between the cash-\ufb02ows that are due in accordance with the contract, and the cash-\ufb02ows that are expected to be received. Where appropriate, the estimate of expected cash \ufb02ows takes into account a cash \ufb02ow scenario arising from the sale of the defaulted loans or groups of loans. Proceeds from the sale are recorded net of costs to sell. The methodology developed is based on existing concepts and methods (in particular the Basel framework) on exposures for which capital requirement for credit risk is measured according to the IRBA methodology. This method is also applied to portfolios for which capital requirement for credit risk is measured according to the standardised approach. Besides, the Basel framework has been adjusted in order to be compliant with IFRS 9 requirements, in particular the use of forward-looking information. Maturity All contractual terms of the \ufb01nancial instrument are taken into account, including prepayment, extension and similar options. In the rare cases where the expected life of the \ufb01nancial instrument cannot be estimated reliably, the residual contractual term is used. The standard speci\ufb01es that the maximum period to consider when measuring expected credit losses is the maximum contractual period. However, for revolving credit cards and overdrafts, in accordance with the exception provided by IFRS 9 for these products, the maturity considered for measuring expected credit losses is the period over which the entity is exposed to credit risk, which may extend beyond the contractual maturity (notice period). For revolving credits and overdrafts to non-retail counterparties, the contractual maturity can be used, for example if the next review date is the contractual maturity as they are individually managed. Probabilities of Default (PD) Probability of Default is an estimate of the likelihood of default over a given time horizon. The determination of the PD is based on the Group\u2019s internal rating system, which is described in chapter 5 of the Universal registration document (section 5.4 Credit risk \u2013 Credit risk management policy). This section describes how environmental, social and governance (ESG) risks are taken into account in credit and rating policies, notably with the introduction of a new tool: the ESG Assessment. The measurement of expected credit losses requires the estimation of both 1-year probabilities of default and lifetime probabilities of default. 1-year PDs are derived from long term average regulatory \u201cthrough the cycle\u201d PDs to re\ufb02ect the current situation (\u201cPoint in Time\u201d or \u201cPIT\u201d). Lifetime PDs are determined based on the rating migration matrices re\ufb02ecting the expected changes in the rating of the exposure until maturity, and the associated probabilities of default. Loss Given Default (LGD) Loss Given Default is the difference between contractual cash-\ufb02ows and expected cash-\ufb02ows, discounted using the effective interest rate (or an approximation thereof) at the default date. LGD is expressed as a percentage of the Exposure At Default (EAD). The estimate of expected cash \ufb02ows takes into account cash \ufb02ows resulting from the sale of collateral held or other credit enhancements if they are part of the contractual terms and are not accounted for separately by the entity (for example, a mortgage associated with a residential loan), net of the costs of obtaining and selling the collateral. For guaranteed loans, the guarantee is considered as integral to the loan agreement if it is embedded in the contractual clauses of the loan, or if it was granted concomitantly to the loan, and if the expected reimbursement amount can be attached to a loan in particular (i.e. absence of pooling effect by means of a tranching mechanism, or the existence of a global cap for a whole portfolio). In such case, the guarantee is taken into account when measuring the expected credit losses. Otherwise, it is accounted for as a separate reimbursement asset. The LGD used for IFRS 9 purposes is derived from the Basel LGD parameters. It is adjusted for downturn and conservatism margins (in particular regulatory margins), except for margins for model uncertainties. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 198 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Exposure At Default (EAD) Exposure At Default (EAD) of an instrument is the anticipated outstanding amount owed by the obligor at the time of default. It is determined by the expected payment pro\ufb01le taking into account, depending on the product type: the contractual repayment schedule, expected early repayments and expected future drawings for revolving facilities. Forward-looking information The amount of expected credit losses is measured on the basis of probability-weighted scenarios, in view of past events, current conditions and reasonable and supportable economic forecasts. The principles applied to take into account forward-looking information when measuring expected credit losses are detailed in note 2.h Cost of risk. Write-offs A write-off consists in reducing the gross carrying amount of a \ufb01nancial asset when there are no longer reasonable expectations of recovering that \ufb01nancial asset in its entirety or a portion thereof, or when it has been fully or partially forgiven. The write-off is recorded when all other means available to the Bank for recovering the receivables or guarantees have failed, and also generally depends on the context speci\ufb01c to each jurisdiction. If the amount of loss on write-off is greater than the accumulated loss allowance, the difference is recognised as an additional impairment loss in \u201cCost of risk\u201d. For any recovery once the \ufb01nancial asset (or part thereof) is no longer recognised on the balance sheet, the amount received is recorded as a gain in \u201cCost of risk\u201d. Recoveries through the repossession of the collateral When a loan is secured by a \ufb01nancial or a non-\ufb01nancial asset serving as a guarantee and the counterparty is in default, the Group may decide to exercise the guarantee and, depending on the jurisdiction, it may then become owner of the asset. In such a situation, the loan is written-off against the asset received as collateral. Once ownership of the asset is effective, it is recognised at fair value and classi\ufb01ed according to the intent of use. Restructuring of financial assets for financial difficulties A restructuring due to the borrower\u2019s \ufb01nancial dif\ufb01culties is de\ufb01ned as a change in the terms and conditions of the initial transaction that the Group is considering only for economic or legal reasons related to the borrower\u2019s \ufb01nancial dif\ufb01culties. For restructurings not resulting in derecognition of the \ufb01nancial asset, the restructured asset\u2019s gross carrying amount is reduced to the discounted amount, using the original effective interest rate of the asset, of the new expected future \ufb02ows. The change in the gross carrying amount of the asset is recorded in the income statement in \u201cCost of risk\u201d. The existence of a signi\ufb01cant increase in credit risk for the \ufb01nancial instrument is then assessed by comparing the risk of default after the restructuring (under the revised contractual terms) and the risk of default at the initial recognition date (under the original contractual terms). In order to demonstrate that the criteria for recognising lifetime expected credit losses are no longer met, good payment behaviour will have to be observed over a certain period of time. When the restructuring consists of a partial or total exchange against other substantially different assets (for example, the exchange of a debt instrument against an equity instrument), it results in the extinction of the original asset and the recognition of the assets remitted in exchange, measured at their fair value at the date of exchange. The difference in value is recorded in the income statement in \u201cCost of risk\u201d. As a reminder, in response to the health crisis, several moratoria have been granted to clients. These moratoria mostly consisted in payment suspension of a few months, with additional interest that may or not continue to accrue during the suspension period. Accordingly, the modi\ufb01cation was generally considered as not substantial. The associated discount (linked to the absence of interest accruing, or interest accruing at a rate that was lower than the EIR of the loan) was therefore recognised in NBI, subject to meeting certain criteria (1) . In such cases, the moratorium was considered as not being granted in response to the borrower\u2019s \ufb01nancial dif\ufb01culties, but in response to a temporary liquidity crisis and the credit risk was not considered to have signi\ufb01cantly increased. Modi\ufb01cations to \ufb01nancial assets that are not due to a borrower\u2019s \ufb01nancial dif\ufb01culties, or granted in the context of a moratorium (i.e. commercial renegotiations) are generally analysed as the early repayment of the former loan, which is then derecognised, followed by the set-up of a new loan at market conditions. They consist in resetting the interest rate of the loan at market conditions, with the client being in a position to change lender and not encountering any \ufb01nancial dif\ufb01culties. Probation periods The Group applies observation periods to assess the possible return to a better stage. Accordingly, a 3-month probation period is observed for the transition from stage 3 to stage 2, which is extended to 12 months in the event of restructuring due to \ufb01nancial dif\ufb01culties. For the transition from stage 2 to stage 1, a probation period of two years is observed for loans that have been restructured due to \ufb01nancial dif\ufb01culties. (1) Moratoria quali\ufb01ed as \u201cCovid-19 General moratorium Measure\u201d (i.e. meeting the criteria de\ufb01ned in EBA Guidelines published on 2 April 2020 and amended on 2 December 2020) or similar measures that do not lead to a transfer to stage 3. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 199 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements 1.e.6 Cost of risk Cost of risk includes the following items of pro\ufb01t or loss: \u25a0 impairment gains and losses resulting from the accounting of loss allowances for 12-month expected credit losses and lifetime expected credit losses (\u201cstage 1\u201d and \u201cstage 2\u201d) relating to debt instruments measured at amortised cost or at fair value through shareholders\u2019 equity, loan commitments and \ufb01nancial guarantee contracts that are not recognised at fair value as well as lease receivables, contract assets and trade receivables; \u25a0 impairment gains and losses resulting from the accounting of loss allowances relating to \ufb01nancial assets (including those at fair value through pro\ufb01t or loss) for which there is objective evidence of impairment (\u201cstage 3\u201d), write-offs on irrecoverable loans and amounts recovered on loans written-off; \u25a0 impairment gains and losses relating to \ufb01xed-income securities of insurance entities that are individually impaired (which fall under IAS 39). It also includes expenses relating to fraud and to disputes inherent to the \ufb01nancing activity.2.h COST OF RISK The general model for impairment described in note 1.e.5 used by the Group relies on the following two steps: \u25a0 assessing whether there has been a signi\ufb01cant increase in credit risk since initial recognition; and \u25a0 measuring impairment allowance as either 12-month expected credit losses or lifetime expected credit loss (i.e. loss expected at maturity). Both steps rely on forward-looking information. Significant increase in credit risk At 31 December 2022, BNP Paribas revised its criteria for assessing the signi\ufb01cant increase in credit risk in line with the recommendations issued by the European Banking Authority and the European Central Bank. Previously, except for the consumer credit specialist business, the credit risk deterioration was mainly evaluated based on changes in the internal credit rating, an indicator of the average 1-year probability of default through the cycle. In order to fully consider forward-looking information, the new criteria use the probability of default to maturity, which is derived from the internal rating, incorporating the expected consequences of changes in macroeconomic scenarios, as the main indicator. Under these new criteria, credit risk is assumed to have signi\ufb01cantly increased, and the asset is classi\ufb01ed in stage 2, if the probability of default to maturity of the instrument has increased at least threefold since its origination. This relative variation criterion is supplemented by an absolute variation criterion of the default probability of 400 basis points. Furthermore, for all portfolios (except for the consumer credit specialist business): \u25a0 the facility is assumed to be in stage 1 when its 1-year \u201cPoint in Time\u201d probability of default (PiT PD) is below 0.3% at the reporting date, since changes in probability of default due to credit downgrades in this zone are not material, and therefore not considered \u201csigni\ufb01cant\u201d; \u25a0 when the 1-year PiT PD is greater than 20% at the reporting date, given the Group\u2019s credit issuance practices, the deterioration is considered signi\ufb01cant, and the facility is classi\ufb01ed in stage 2 (as long as the facility is not credit-impaired). In the consumer credit specialist business, the existence of a potentially regularised payment incident during the last 12 months is considered to be an indication of signi\ufb01cant increase in credit risk and the facility is therefore classi\ufb01ed in stage 2. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 215 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The table below shows a comparison between the previous and the new criteria for assessing the signi\ufb01cant increase in credit risk: Previous criteria Retail Small and Medium Entreprises Large Corporates * Probability of default through the cycle. ** \"Point in Time\" (PiT) probability of default including forward-looking. One year probability of default * < 0.25% Stage 1 presumption Rating \u2264 4- One year PiT probability of default ** < 0.3% Deterioration from origination leading to transfer to stage 2 Rating downgrade \u2265 6 notches Rating downgrade \u2265 3 notches One year probability of default > 10% Stage 2 presumption Rating \u2265 9+ One year PiT probability of default > 20% One year probability of default One year probability of default at origination Rating downgrade \u2265 6 notches > 4 or Lifetime PiT probability of default Lifetime PiT probability of default at origination Variation of lifetime PiT probability of default since origination > 400 bps > 3 or New criteria Credit risk is assumed to have increased signi\ufb01cantly since initial recognition and the asset is classi\ufb01ed in stage 2 in the event of late payment of more than 30 days or restructuring due to \ufb01nancial dif\ufb01culties (as long as the facility is not credit-impaired). In the \ufb01rst half of 2022, the internal ratings of the Russian counterparties (including the sovereign rating) were systematically downgraded to take into account recent events, thus leading to the transfer of their outstandings to stage 2. However, given the Group\u2019s limited level of exposure to this country, this deterioration had no signi\ufb01cant effect on the cost of risk for the period. Forward-Looking Information The Group considers forward-looking information both when assessing signi\ufb01cant increase in credit risk and when measuring Expected Credit Losses (ECL). Regarding the measurement of expected credit losses, the Group has chosen to use 3 macroeconomic scenarios by geographic area covering a wide range of potential future economic conditions: \u25a0 a baseline scenario, consistent with the scenario used for budgeting; \u25a0 an adverse scenario, corresponding to the scenario used for the Group\u2019s quarterly stress tests; \u25a0 a favourable scenario, capturing situations where the economy performs better than anticipated. The link between the macroeconomic scenarios and the ECL measurement is mainly achieved through a modelling of the probabilities of default and deformation of migration matrices based on internal rating (or risk parameter). The probabilities of default determined according to these scenarios are used to measure expected credit losses in each of these scenarios. The Group\u2019s setup is broken down by sector to take into account the heterogeneity of sectoral dynamics when assessing the probability of default for corporates. Forward-looking information is also considered when determining the signi\ufb01cant deterioration in credit risk, since the probabilities of default used as the basis for this assessment include forward-looking multi-scenario information in the same way as for the calculation of the ECL. The weight to be attributed to the expected credit losses calculated in each of the scenarios is de\ufb01ned as 50% for the baseline scenario, and: \u25a0 the weight of the two alternative scenarios is de\ufb01ned according to the position in the credit cycle. In this approach, the adverse scenario carries more weight in situations at the upper end of the cycle than those at the lower end of the cycle, in anticipation of a potential downturn in the economy; \u25a0 the minimum weight of each the alternative scenarios is 10% and therefore the maximum weight is 40%. When appropriate, the ECL measurement can take into account asset sale scenarios. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 216 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Macroeconomic scenarios The three macroeconomic scenarios are de\ufb01ned over a three-year projection horizon. They correspond to: \u25a0 a baseline scenario, which describes the most likely path of the economy over the projection horizon. This scenario is updated on a quarterly basis and is prepared by the Group Economic Research Department in collaboration with various experts within the Group. Projections are designed for each key market of the Group (France, Belgium, Italy, the United States and the eurozone) using key macroeconomic variables (Gross Domestic Product \u2013 GDP \u2013 and its components, unemployment rate, consumer prices, interest rates, foreign exchange rates, oil prices, real estate prices, etc.) which are key drivers for modeling risk parameters used in the stress test process; \u25a0 an adverse scenario, which describes the impact of the materialisation of some of the risks weighing on the baseline scenario, resulting in a much less favourable economic path than in the baseline scenario. The GDP shock is applied with varying magnitudes, but simultaneously, to the economies under consideration. Generally, these assumptions are broadly consistent with those proposed by the regulators. The calibration of shocks on other variables (e.g. unemployment, consumer prices, interest rates, etc.) is based on models and expert judgment; \u25a0 a favourable scenario, which re\ufb02ects the impact of the materialisation of some of the upside risks for the economy, resulting in a more favourable economic path. The favourable shock on GDP is deducted from the adverse shock on GDP in such a way that the probabilities of the two shocks are equal on average over the cycle. Other variables (e.g. unemployment, in\ufb02ation, interest rates, etc.) are de\ufb01ned in the same way as in the adverse scenario. Since June 2021, the favourable shocks applied have been substantially reduced, as any stronger path than in the baseline scenario could be limited by supply side constraints. The link between the macroeconomic scenarios and the measurement of the ECL is complemented by an approach allowing to take into account anticipation aspects not captured by the models in the generic approach. This is particularly the case when unprecedented events in the historical chronicle taken into account to build the models occur or are anticipated, or when the nature or amplitude of change in macroeconomic parameter calls into question past correlations. Thus, the situation of high in\ufb02ation and the current and projected increase in interest rates correspond to aspects not observed in the reference history. In this context, the Group has developed an approach to take into account the future economic outlook when assessing the \ufb01nancial strength of counterparties. This approach consists in simulating the impact of rate hikes on their \ufb01nancial ratios and the effect on their ratings. In addition, post-model adjustments are considered to take into account, where applicable, the consequences of climatic events on expected credit losses. Baseline scenario Several major developments have contributed to a more marked deterioration than anticipated (after a rebound year in 2021), in both Europe and the United States. Beyond the humanitarian aspects, the consequences of the invasion of Ukraine have had a number of adverse economic effects, the \ufb01rst of which is to contribute to raising in\ufb02ation to very high levels due to severe disruptions in energy and food markets. European countries have been particularly affected from this point of view. In response to expected in\ufb02ation levels, central banks have carried out the most severe monetary tightening in decades, leading to a sharp tightening of \ufb01nancial conditions, which in turn penalise activity. Finally, the health crisis has continued to strongly disrupt activity in some countries, particularly in Asia, where there is less vaccine protection or stricter measures to contain the health crisis. Faced with these combined energy and monetary shocks, activity is expected to contract in a number of economies (including the eurozone and the United States) in late 2022 and early 2023, leading to substantial downward revisions to growth projections for 2023. Activity is expected to stagnate in both the eurozone and the United States in 2023 (while, at 30 June 2022, GDP was expected to grow by around 1.5% in both regions). Activity growth is generally expected to rebound in 2024 and 2025. After reaching very high levels in late 2022, in\ufb02ation is expected to moderate in the course of 2023, mainly due to lower energy in\ufb02ation and to the consequences of the slowdown in activity (e.g. higher unemployment, more limited supply chain disruptions). However, on an annual average, in\ufb02ation will remain very high in 2023 in many countries, signi\ufb01cantly exceeding central bank targets in most cases (notably in Europe and in the United States). In\ufb02ation is expected to come down to more usual levels in 2024 and 2025. In this context, major central banks have so far prioritised the \ufb01ght against in\ufb02ation by tightening monetary policy. By the end of 2022, both short- term and long-term interest rates were at much higher levels than those observed in the past ten years, even though the central banks have not yet completed their tightening cycle. Key interest rates are expected to peak in 2023, before moderating in 2024 and 2025 (when the central banks are expected to lower policy rates in line with more moderate in\ufb02ation). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 217 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The graph below presents a comparison of eurozone GDP projections used in the baseline scenario for the calculation of ECLs at 31 December 2021 and 2022. \u27a4 EUROZONE GDP: INDEX BASE 100 AT THE FOURTH QUARTER OF 2019 85 90 95 100 105 110 GDP index Dec-22 Dec-23 Dec-24 Dec-21 Dec-20 Dec-19 Dec-18 Baseline scenario at 31 December 2022 Baseline scenario at 31 December 2021 \u27a4 MACROECONOMIC VARIABLES, BASELINE SCENARIO AT 31 DECEMBER 2022 (annual averages) 2022 2023 2024 2025 GDP growth rate Eurozone 3.2% 0.1% 1.6% 1.3% France 2.5% 0.1% 1.4% 1.2% Italy 3.7% -0.2% 1.1% 0.9% Belgium 2.3% 0.0% 1.5% 1.2% United States 1.7% 0.0% 1.7% 1.6% Unemployment rate Eurozone 6.8% 7.5% 7.6% 7.3% France 7.5% 8.0% 8.1% 7.9% Italy 8.1% 8.6% 8.4% 8.3% Belgium 5.8% 6.4% 6.3% 6.1% United States 3.7% 4.7% 4.6% 4.5% In\ufb02ation rate Eurozone 8.5% 6.3% 2.4% 2.0% France 6.0% 5.4% 2.5% 2.0% Italy 8.7% 7.3% 2.1% 1.7% Belgium 10.6% 7.5% 2.7% 2.2% United States 8.1% 3.9% 2.3% 2.2% 10-year sovereign bond yields Germany 1.22% 2.64% 2.19% 2.00% France 1.76% 3.19% 2.74% 2.55% Italy 3.18% 4.94% 4.49% 4.30% Belgium 1.76% 3.24% 2.79% 2.60% United States 3.02% 4.24% 3.44% 3.25% 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 218 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Adverse Scenario The adverse scenario is based on the assumption that certain downside risks will materialise, resulting in a much less favourable economic path than in the baseline scenario. The following risks are identi\ufb01ed: \u25a0 A dominant risk, the invasion of Ukraine and its implications (especially higher in\ufb02ation): the impacts mentioned in the baseline scenario could worsen due to additional negative developments. In particular, the adverse scenario assumes a more pronounced shock on commodity prices, further fueling in\ufb02ation and leading to more severe disruptions in activity. Higher in\ufb02ation would have a direct negative effect on consumption and production. In addition, governments of the most exposed economies could take rationing measures targeting the most energy-intensive sectors (with potential indirect consequences for other sectors). Activity can also be negatively affected by other channels (e.g. supply chain disruptions, trade, \ufb01nancial stress, uncertainty and con\ufb01dence effects). \u25a0 The remaining risk related to the health crisis: although the link between health challenges and economic disruptions has eased markedly in many economies, particularly thanks to vaccination, health crisis-related challenges remain a signi\ufb01cant risk, at least in some countries. \u25a0 Less favourable public finances: public debt-to-GDP ratios are high and central banks are tightening their monetary policy, leading to a rise in bond yields that could generate tensions in some countries due to the widening of spreads between sovereign bonds. \u25a0 China\u2019s economy-related risks: additional dif\ufb01culties in China (e.g. sanitary measures, real estate) could affect global markets and activity in other countries through trade and supply-chain channels. \u25a0 Geopolitical risks: geopolitical tensions can weigh on the global economy through shocks to commodity prices, \ufb01nancial markets and business con\ufb01dence. Beyond the invasion of Ukraine, other regions are also worth to be monitored (Asia and the Middle East). \u25a0 Developments in trade and globalisation: the invasion of Ukraine creates additional obstacles to trade and globalisation, adding to already negative developments of recent years (trade disagreements between the United States and China, willingness of some western governments to become more self-suf\ufb01cient in certain strategic areas). The adverse scenario assumes the materialisation of these identi\ufb01ed latent risks from the \ufb01rst quarter of 2023. The risks related to the invasion of Ukraine are taken into account in the adverse scenario through some speci\ufb01cities. First, an additional activity shock is applied to the different economies, depending on their perceived exposure to this situation. This shock re\ufb02ects the countries\u2019 dependence on Russian gas as well as their vulnerability to other transmission channels (exports, dependence on the supply chain, weight of food and energy in in\ufb02ation, investment links, political ties with Russia). Second, in\ufb02ation is higher in the adverse scenario than in the baseline scenario in the \ufb01rst year of the projection horizon, in order to materialise the speci\ufb01c effects of this crisis in this area (re\ufb02ecting more upward pressure on commodity prices and supply chain disruptions). Among the countries considered, GDP levels in the adverse scenario stand between 5.8% and 12.2% lower than in the baseline scenario at the end of the shock period (three years). In particular, this deviation reaches 10.2% on average in the eurozone and 5.8% in the United States. Scenario weighting and cost of risk sensitivity At 31 December 2022, the weight of the adverse scenario considered by the Group was 16% and 34% for the favourable scenario. At 31 December 2021, the weight of the adverse scenario was on average equivalent to that of the favourable scenario. The sensitivity of the amount of expected credit losses for all \ufb01nancial assets at amortised cost or at fair value through equity and credit commitments is assessed by comparing the estimated expected credit losses resulting from the weighting of the above scenarios with that resulting from each of the two alternative scenarios: \u25a0 an increase in ECL of 22%, or EUR 1,250 million according to the adverse scenario (18% at 31 December 2021); \u25a0 a decrease in ECL of 7%, or EUR 400 million according to the favourable scenario (12% at 31 December 2021). Adaptation of the ECL assessment process to factor in the specific nature of the health crisis Macroeconomic scenarios provisioning the models The measurement of the impact of macroeconomic scenarios on expected credit losses was adjusted to re\ufb02ect the speci\ufb01cities of the current health crisis. Given the exceptional nature of the shock linked to the temporary lockdown measures and strong support provided by governments and central banks, macroeconomic parameters for each country or geographic area included in the pre-existing models (calibrated on past crises) were adapted in order to extract information on the medium-term impacts on the macroeconomic environment and thus minimise excessive short-term volatility. In 2020, the medium-term perspective adopted for the baseline scenario reduced the loss of income for the eurozone by an amount much lower than that of governments and European Central Bank support measures. Conversely, it moderated the favourable impacts of the economic rebounds observed in 2021. This adaptation ended in 2021. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 219 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Moratoria and state guarantees For the loans secured by a state guarantee (mainly in France and Italy), the calculation of expected credit losses is adjusted accordingly. The absence of a general maturity extension scheme for individuals, notably in France, led to classify as forborne the loans that bene\ufb01ted from accompanying measures that were not initially provided for under the contract. However, these measures were not considered as an automatic criterion for transfer to stage 2. Post-model adjustments Conservative adjustments were taken into account when the models used were based on indicators that show unusual levels in the context of the health crisis and the support programmes, such as the increase in deposits and the decrease in past due events for retail customers and entrepreneurs. For the consumer credit specialist business, a conservative adjustment had been considered in 2020 for loans that bene\ufb01tted from a moratorium. In 2021, this adjustment was reversed in connection with the satisfactory return to payment observed on these loans. However, a conservative adjustment was made to compensate for the atypical level of late payments. These post-model adjustments were reversed in 2022. Adaptation of the ECL assessment process to factor in the significant rise in inflation and in interest rates Additional adjustments were made in 2022 to take into account the effects of in\ufb02ation and interest rate hikes when this effect is not directly estimated by the models. For example, within the consumer credit specialist business, adjustments were considered for the categories of customers most sensitive to the gradual decline in the level of their net income. All of these adjustments represent 6.1% of the total amount of expected credit losses at 31 December 2022, compared to 4.8% at 31 December 2021. \u27a4 COST OF CREDIT RISK FOR THE PERIOD In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Net allowances to impairment (2,444) (2,591) Recoveries on loans and receivables previously written off 343 321 Losses on irrecoverable loans (714) (701) Act on assistance to borrowers in Poland (189) TOTAL COST OF RISK FOR THE PERIOD (3,004) (2,971) \u27a4 COST OF RISK FOR THE PERIOD BY ACCOUNTING CATEGORY AND ASSET TYPE In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Cash and balances at central banks (6) (8) Financial instruments at fair value through pro\ufb01t or loss (28) 6 Financial assets at fair value through equity 14 (6) Financial assets at amortised cost (2,853) (2,779) Loans and receivables (2,845) (2,763) Debt securities (8) (16) Other assets (17) 12 Financing and guarantee commitments and other items (114) (196) TOTAL COST OF RISK FOR THE PERIOD (3,004) (2,971) Cost of risk on unimpaired assets and commitments (570) (17) of which stage 1 (511) 268 of which stage 2 (59) (285) Cost of risk on impaired assets and commitments \u2013 stage 3 (2,434) (2,954) 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 220 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 CREDIT RISK IMPAIRMENT Changes in impairment by accounting category and asset type during the period In millions of euros 31 December 2021 Net allowance to impairment Impairment provisions used Changes in scope, exchange rates and other items 31 December 2022 Assets impairment Amounts due from central banks 18 5 (2) 21 Financial instruments at fair value through pro\ufb01t or loss 121 15 (28) 108 Financial assets at fair value through equity 140 (14) 4 130 Financial assets at amortised cost 20,196 2,374 (4,187) 128 18,511 Loans and receivables 20,028 2,329 (4,106) 130 18,381 Debt securities 168 45 (81) (2) 130 Other assets 59 (6) (3) (5) 45 Total impairment of \ufb01nancial assets 20,534 2,374 (4,190) 97 18,815 of which stage 1 1,891 223 (4) (36) 2,074 of which stage 2 2,748 87 (3) 49 2,881 of which stage 3 15,895 2,064 (4,183) 84 13,860 Provisions recognised as liabilities Provisions for commitments 958 32 (15) 5 980 Other provisions 467 38 (56) 1 450 Total provisions recognised for credit commitments 1,425 70 (71) 6 1,430 of which stage 1 230 94 2 326 of which stage 2 374 (33) (3) 338 of which stage 3 821 9 (71) 7 766 TOTAL IMPAIRMENT AND PROVISIONS 21,959 2,444 (4,261) 103 20,245 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 221 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Change in impairment by accounting category and asset type during the previous period In millions of euros 31 December 2020 Net allowance to impairment Impairment provisions used Changes in scope, exchange rates and other items 31 December 2021 Assets impairment Amounts due from central banks 17 9 (8) 18 Financial instruments at fair value through pro\ufb01t or loss 148 (20) (7) 121 Financial assets at fair value through equity 132 6 2 140 Financial assets at amortised cost 21,704 2,438 (3,867) (79) 20,196 Loans and receivables 21,546 2,421 (3,867) (72) 20,028 Debt securities 158 17 (7) 168 Other assets 104 (15) (29) (1) 59 Total impairment of \ufb01nancial assets 22,105 2,418 (3,896) (93) 20,534 of which stage 1 2,379 (219) (8) (261) 1,891 of which stage 2 3,166 176 (6) (588) 2,748 of which stage 3 16,560 2,461 (3,882) 756 15,895 Provisions recognised as liabilities Provisions for commitments 964 60 (1) (65) 958 Other provisions 383 113 (52) 23 467 Total provisions recognised for credit commitments 1,347 173 (53) (42) 1,425 of which stage 1 319 (55) (34) 230 of which stage 2 297 100 (23) 374 of which stage 3 731 128 (53) 15 821 TOTAL IMPAIRMENT AND PROVISIONS 23,452 2,591 (3,949) (135) 21,959 Changes in impairment of \ufb01nancial assets at amortised cost during the period In millions of euros Impairment on assets subject to 12-month Expected Credit Losses (Stage 1) Impairment on assets subject to lifetime Expected Credit Losses (Stage 2) Impairment on doubtful assets (Stage 3) Total At 31 December 2021 1,867 2,714 15,615 20,196 Net allowance to impairment 211 102 2,061 2,374 Financial assets purchased or originated during the period 682 234 916 Financial assets derecognised during the period (1) (390) (388) (822) (1,600) Transfer to stage 2 (133) 1,773 (212) 1,428 Transfer to stage 3 (65) (665) 1,806 1,076 Transfer to stage 1 63 (502) (36) (475) Change in the signi\ufb01cant increase in credit risk assessment criteria 29 (280) (251) Other allowances/reversals without stage transfer (2) 25 (70) 1,325 1,280 Impairment provisions used (3) (3) (4,181) (4,187) Changes in exchange rates (6) (30) 104 68 Changes in scope of consolidation and other items (34) 77 17 60 At 31 December 2022 2,035 2,860 13,616 18,511 (1) Including disposals. (2) Including amortisation. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 222 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In 2022, the increase in \ufb01nancial assets subject to impairment relates mainly to outstandings classi\ufb01ed in stage 1. Thus, the gross value of loans and advances to customers classi\ufb01ed in stage 1 increased by EUR 61 billion compared to 31 December 2021 (see note 4.e Financial assets at amortised cost). This change includes transfers of outstandings from stage 2 to stage 1 for a net amount of EUR 27 billion as a result of the change in the criteria used to assess the signi\ufb01cant increase in credit risk, mainly within the French and Belgian Commercial & Personal Banking activities. This transfer mainly concerns the least risky outstandings among those previously classi\ufb01ed in stage 2 (see section 5.4 Credit risk of the Universal registration document, Table 52: Breakdown of \ufb01nancial assets subject to impairment by stage and internal rating). The impact of this transfer on the amount of expected credit losses is a net reversal of provision of EUR 251 million. Excluding the effect of this change in estimate, outstandings in stage 2 increased by EUR 10 billion during the year ended 31 December 2022. This development is closely linked to the deterioration of the economic environment that weighed on the assessment of the signi\ufb01cant increase in credit risk criterion. These combined effects led to net additions to impairment in stages 1 and 2 in 2022. The provisioning rate for loans and advances to customers classi\ufb01ed in stage 2 increased to 3.2% at 31 December 2022, compared with 2.6% at 31 December 2021. Changes in impairment of \ufb01nancial assets at amortised cost during the previous period In millions of euros Impairment on assets subject to 12-month Expected Credit Losses (Stage 1) Impairment on assets subject to lifetime Expected Credit Losses (Stage 2) Impairment on doubtful assets (Stage 3) Total At 31 December 2020 2,343 3,142 16,219 21,704 Net allowance to impairment (216) 168 2,486 2,438 Financial assets purchased or originated during the period 608 242 850 Financial assets derecognised during the period (1) (353) (295) (896) (1,544) Transfer to stage 2 (190) 1,726 (393) 1,143 Transfer to stage 3 (22) (598) 1,837 1,217 Transfer to stage 1 117 (724) (45) (652) Other allowances/reversals without stage transfer (2) (376) (183) 1,983 1,424 Impairment provisions used (8) (6) (3,853) (3,867) Changes in exchange rates (1) (32) 95 62 Changes in scope of consolidation and other items (28) (355) 739 356 Reclassi\ufb01cation of assets held for sale (223) (203) (71) (497) At 31 December 2021 1,867 2,714 15,615 20,196 (1) Including disposals. (2) Including amortisation.4.f IMPAIRED FINANCIAL ASSETS (STAGE 3) The following tables present the carrying amounts of impaired \ufb01nancial assets carried at amortised cost and of impaired \ufb01nancing and guarantee commitments, as well as related collateral and other guarantees. The amounts shown for collateral and other guarantees correspond to the lower of the value of the collateral or other guarantee and the value of the secured assets. In millions of euros 31 December 2022 Impaired \ufb01nancial assets (Stage 3) Collateral received Gross value Impairment Net Loans and advances to credit institutions (note 4.e) 86 (79) 7 1 Loans and advances to customers (note 4.e) 25,276 (13,444) 11,832 7,651 Debt securities at amortised cost (note 4.e) 155 (93) 62 14 TOTAL AMORTISED-COST IMPAIRED ASSETS (STAGE 3) 25,517 (13,616) 11,901 7,666 Financing commitments given 898 (73) 825 198 Guarantee commitments given 820 (243) 577 135 TOTAL OFF-BALANCE SHEET IMPAIRED COMMITMENTS (STAGE 3) 1,718 (316) 1,402 333 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 243 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In millions of euros 31 December 2021 Impaired \ufb01nancial assets (Stage 3) Collateral received Gross value Impairment Net Loans and advances to credit institutions (note 4.e) 86 (78) 8 1 Loans and advances to customers (note 4.e) 27,819 (15,414) 12,405 8,068 Debt securities at amortised cost (note 4.e) 260 (123) 137 25 TOTAL AMORTISED-COST IMPAIRED ASSETS (STAGE 3) 28,165 (15,615) 12,550 8,094 Financing commitments given 1,088 (89) 999 65 Guarantee commitments given 833 (265) 568 192 TOTAL OFF-BALANCE SHEET IMPAIRED COMMITMENTS (STAGE 3) 1,921 (354) 1,567 257 The following table presents the changes in gross exposures of stage 3 assets (EU CR2): Gross value In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 IMPAIRED EXPOSURES (STAGE 3) AT OPENING BALANCE 28,165 30,420 Transfer to stage 3 6,125 6,432 Transfer to stage 1 or stage 2 (1,672) (2,548) Assets written off (4,827) (4,491) Other changes (2,274) (1,648) IMPAIRED EXPOSURES (STAGE 3) AT CLOSING BALANCE 25,517 28,165",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfAllowanceForCreditLossesExplanatory",
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    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-1554": {
   "value": "1.e.5 Impairment of financial assets measured at amortised cost and debt instruments measured at fair value through shareholders\u2019 equity The impairment model for credit risk is based on expected losses. This model applies to loans and debt instruments measured at amortised cost or at fair value through equity, to loan commitments and \ufb01nancial guarantee contracts that are not recognised at fair value, as well as to lease receivables, trade receivables and contract assets. General model The Group identi\ufb01es three \u201cstages\u201d that each correspond to a speci\ufb01c status with regards to the evolution of counterparty credit risk since the initial recognition of the asset: \u25a0 12-month expected credit losses (\u201cstage 1\u201d): If at the reporting date, the credit risk of the \ufb01nancial instrument has not increased signi\ufb01cantly since its initial recognition, this instrument is impaired at an amount equal to 12-month expected credit losses (resulting from the risk of default within the next 12 months); \u25a0 Lifetime expected credit losses for non-impaired assets (\u201cstage 2\u201d): The loss allowance is measured at an amount equal to the lifetime expected credit losses if the credit risk of the \ufb01nancial instrument has increased signi\ufb01cantly since initial recognition, but the \ufb01nancial asset is not considered credit-impaired or doubtful; \u25a0 Lifetime expected credit losses for credit-impaired or doubtful \ufb01nancial assets (\u201cstage 3\u201d): The loss allowance is also measured for an amount equal to the lifetime expected credit losses. This general model is applied to all instruments within the scope of IFRS 9 impairment, except for purchased or originated credit-impaired \ufb01nancial assets and instruments for which a simpli\ufb01ed model is used (see below). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 196 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The IFRS 9 expected credit loss approach is symmetrical, i.e. if lifetime expected credit losses have been recognised in a previous reporting period, and if it is assessed in the current reporting period that there is no longer any signi\ufb01cant increase in credit risk since initial recognition, the loss allowance reverts to a 12-months expected credit loss. As regards interest income, under \u201cstages 1 and 2\u201d, it is calculated on the gross carrying amount. Under \u201cstage 3\u201d, interest income is calculated on the amortised cost (i.e. the gross carrying amount adjusted for the loss allowance). Definition of default The de\ufb01nition of default is aligned with the Basel regulatory default de\ufb01nition, with a rebuttable presumption that the default occurs no later than 90 days past due. This de\ufb01nition takes into account the EBA guidelines of 28 September 2016, notably those regarding the thresholds applicable for the counting of past-due and probation periods. The de\ufb01nition of default is used consistently for assessing the increase in credit risk and measuring expected credit losses. Credit-impaired or doubtful financial assets Definition A \ufb01nancial asset is considered credit-impaired or doubtful and classi\ufb01ed in \u201cstage 3\u201d when one or more events that have a detrimental impact on the estimated future cash \ufb02ows of that \ufb01nancial asset have occurred. At an individual level, objective evidence that a \ufb01nancial asset is credit-impaired includes observable data regarding the following events: the existence of accounts that are more than 90 days past due; knowledge or indications that the borrower is experiencing signi\ufb01cant \ufb01nancial dif\ufb01culties, such that a risk can be considered to have arisen regardless of whether the borrower has missed any payments; concessions with respect to the credit terms granted to the borrower that the lender would not have considered had the borrower not been in \ufb01nancial dif\ufb01culty (see section Restructuring of \ufb01nancial assets for \ufb01nancial dif\ufb01culties). Specific cases of purchased or originated credit-impaired assets In some cases, \ufb01nancial assets are credit-impaired at initial recognition. For these assets, no loss allowance is recorded on initial recognition. The effective interest rate is calculated taking into account the lifetime expected credit losses in the initial estimated cash \ufb02ows. Any change in lifetime expected credit losses since initial recognition, positive or negative, is recognised as a loss allowance adjustment in pro\ufb01t or loss. Simplified model The simpli\ufb01ed approach consists in accounting for a loss allowance corresponding to lifetime expected credit losses since initial recognition, and at each reporting date. The Group applies this model to trade receivables with a maturity shorter than 12 months. Significant increase in credit risk A signi\ufb01cant increase in credit risk may be assessed on an individual basis or on a collective basis (by grouping \ufb01nancial instruments according to common credit risk characteristics), taking into account all reasonable and supportable information and comparing the risk of default of the \ufb01nancial instrument at the reporting date with the risk of default of the \ufb01nancial instrument at the date of initial recognition. Assessment of deterioration is based on the comparison of the probabilities of default derived from the ratings on the date of initial recognition with those existing at the reporting date. There is also, according to the standard, a rebuttable presumption that the credit risk of an instrument has signi\ufb01cantly increased since initial recognition when the contractual payments are more than 30 days past due. In the consumer credit specialist business, a signi\ufb01cant increase in credit risk is also considered when a past due event has occurred within the last 12 months, even if it has since been regularised. In the context of the health crisis, the granting of moratoria that meet the criteria de\ufb01ned in the EBA guidelines published on 2 April 2020, and amended on 2 December 2020, has not been considered, in isolation, as an indicator of a signi\ufb01cant increase in credit risk leading to an automatic transfer to stage 2. The granting of \u201cprivate\u201d moratoria that meet equivalent criteria to those de\ufb01ned in the EBA guidelines has followed the same treatment. Moratoria do not trigger the counting of past-due days as long as the new payment schedule is respected. The principles applied to assess the signi\ufb01cant increase in credit risk are detailed in note 2.h Cost of risk. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 197 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Measurement of expected credit losses Expected credit losses are de\ufb01ned as an estimate of credit losses (i.e. the present value of all cash shortfalls) weighted by the probability of occurrence of these losses over the expected life of the \ufb01nancial instruments. They are measured on an individual basis, for all exposures. In practice, for exposures classi\ufb01ed in stage 1 and stage 2, expected credit losses are measured as the product of the probability of default (\u201cPD\u201d), Loss Given Default (\u201cLGD\u201d) and exposure at default (\u201cEAD\u201d), discounted at the effective interest rate of the exposure (EIR). They result from the risk of default within the next 12 months (stage 1), or from the risk of default over the maturity of the facility (stage 2). In the consumer credit specialist business, because of the speci\ufb01city of credit exposures, the methodology used is based on the probability of transition to term forfeiture, and on discounted loss rates after term forfeiture. These parameters are measured on a statistical basis for homogeneous populations. For exposures classi\ufb01ed in stage 3, expected credit losses are measured as the value, discounted at the effective interest rate, of all cash shortfalls over the life of the \ufb01nancial instrument. Cash shortfalls represent the difference between the cash-\ufb02ows that are due in accordance with the contract, and the cash-\ufb02ows that are expected to be received. Where appropriate, the estimate of expected cash \ufb02ows takes into account a cash \ufb02ow scenario arising from the sale of the defaulted loans or groups of loans. Proceeds from the sale are recorded net of costs to sell. The methodology developed is based on existing concepts and methods (in particular the Basel framework) on exposures for which capital requirement for credit risk is measured according to the IRBA methodology. This method is also applied to portfolios for which capital requirement for credit risk is measured according to the standardised approach. Besides, the Basel framework has been adjusted in order to be compliant with IFRS 9 requirements, in particular the use of forward-looking information. Maturity All contractual terms of the \ufb01nancial instrument are taken into account, including prepayment, extension and similar options. In the rare cases where the expected life of the \ufb01nancial instrument cannot be estimated reliably, the residual contractual term is used. The standard speci\ufb01es that the maximum period to consider when measuring expected credit losses is the maximum contractual period. However, for revolving credit cards and overdrafts, in accordance with the exception provided by IFRS 9 for these products, the maturity considered for measuring expected credit losses is the period over which the entity is exposed to credit risk, which may extend beyond the contractual maturity (notice period). For revolving credits and overdrafts to non-retail counterparties, the contractual maturity can be used, for example if the next review date is the contractual maturity as they are individually managed. Probabilities of Default (PD) Probability of Default is an estimate of the likelihood of default over a given time horizon. The determination of the PD is based on the Group\u2019s internal rating system, which is described in chapter 5 of the Universal registration document (section 5.4 Credit risk \u2013 Credit risk management policy). This section describes how environmental, social and governance (ESG) risks are taken into account in credit and rating policies, notably with the introduction of a new tool: the ESG Assessment. The measurement of expected credit losses requires the estimation of both 1-year probabilities of default and lifetime probabilities of default. 1-year PDs are derived from long term average regulatory \u201cthrough the cycle\u201d PDs to re\ufb02ect the current situation (\u201cPoint in Time\u201d or \u201cPIT\u201d). Lifetime PDs are determined based on the rating migration matrices re\ufb02ecting the expected changes in the rating of the exposure until maturity, and the associated probabilities of default. Loss Given Default (LGD) Loss Given Default is the difference between contractual cash-\ufb02ows and expected cash-\ufb02ows, discounted using the effective interest rate (or an approximation thereof) at the default date. LGD is expressed as a percentage of the Exposure At Default (EAD). The estimate of expected cash \ufb02ows takes into account cash \ufb02ows resulting from the sale of collateral held or other credit enhancements if they are part of the contractual terms and are not accounted for separately by the entity (for example, a mortgage associated with a residential loan), net of the costs of obtaining and selling the collateral. For guaranteed loans, the guarantee is considered as integral to the loan agreement if it is embedded in the contractual clauses of the loan, or if it was granted concomitantly to the loan, and if the expected reimbursement amount can be attached to a loan in particular (i.e. absence of pooling effect by means of a tranching mechanism, or the existence of a global cap for a whole portfolio). In such case, the guarantee is taken into account when measuring the expected credit losses. Otherwise, it is accounted for as a separate reimbursement asset. The LGD used for IFRS 9 purposes is derived from the Basel LGD parameters. It is adjusted for downturn and conservatism margins (in particular regulatory margins), except for margins for model uncertainties. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 198 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Exposure At Default (EAD) Exposure At Default (EAD) of an instrument is the anticipated outstanding amount owed by the obligor at the time of default. It is determined by the expected payment pro\ufb01le taking into account, depending on the product type: the contractual repayment schedule, expected early repayments and expected future drawings for revolving facilities. Forward-looking information The amount of expected credit losses is measured on the basis of probability-weighted scenarios, in view of past events, current conditions and reasonable and supportable economic forecasts. The principles applied to take into account forward-looking information when measuring expected credit losses are detailed in note 2.h Cost of risk. Write-offs A write-off consists in reducing the gross carrying amount of a \ufb01nancial asset when there are no longer reasonable expectations of recovering that \ufb01nancial asset in its entirety or a portion thereof, or when it has been fully or partially forgiven. The write-off is recorded when all other means available to the Bank for recovering the receivables or guarantees have failed, and also generally depends on the context speci\ufb01c to each jurisdiction. If the amount of loss on write-off is greater than the accumulated loss allowance, the difference is recognised as an additional impairment loss in \u201cCost of risk\u201d. For any recovery once the \ufb01nancial asset (or part thereof) is no longer recognised on the balance sheet, the amount received is recorded as a gain in \u201cCost of risk\u201d. Recoveries through the repossession of the collateral When a loan is secured by a \ufb01nancial or a non-\ufb01nancial asset serving as a guarantee and the counterparty is in default, the Group may decide to exercise the guarantee and, depending on the jurisdiction, it may then become owner of the asset. In such a situation, the loan is written-off against the asset received as collateral. Once ownership of the asset is effective, it is recognised at fair value and classi\ufb01ed according to the intent of use. Restructuring of financial assets for financial difficulties A restructuring due to the borrower\u2019s \ufb01nancial dif\ufb01culties is de\ufb01ned as a change in the terms and conditions of the initial transaction that the Group is considering only for economic or legal reasons related to the borrower\u2019s \ufb01nancial dif\ufb01culties. For restructurings not resulting in derecognition of the \ufb01nancial asset, the restructured asset\u2019s gross carrying amount is reduced to the discounted amount, using the original effective interest rate of the asset, of the new expected future \ufb02ows. The change in the gross carrying amount of the asset is recorded in the income statement in \u201cCost of risk\u201d. The existence of a signi\ufb01cant increase in credit risk for the \ufb01nancial instrument is then assessed by comparing the risk of default after the restructuring (under the revised contractual terms) and the risk of default at the initial recognition date (under the original contractual terms). In order to demonstrate that the criteria for recognising lifetime expected credit losses are no longer met, good payment behaviour will have to be observed over a certain period of time. When the restructuring consists of a partial or total exchange against other substantially different assets (for example, the exchange of a debt instrument against an equity instrument), it results in the extinction of the original asset and the recognition of the assets remitted in exchange, measured at their fair value at the date of exchange. The difference in value is recorded in the income statement in \u201cCost of risk\u201d. As a reminder, in response to the health crisis, several moratoria have been granted to clients. These moratoria mostly consisted in payment suspension of a few months, with additional interest that may or not continue to accrue during the suspension period. Accordingly, the modi\ufb01cation was generally considered as not substantial. The associated discount (linked to the absence of interest accruing, or interest accruing at a rate that was lower than the EIR of the loan) was therefore recognised in NBI, subject to meeting certain criteria (1) . In such cases, the moratorium was considered as not being granted in response to the borrower\u2019s \ufb01nancial dif\ufb01culties, but in response to a temporary liquidity crisis and the credit risk was not considered to have signi\ufb01cantly increased. Modi\ufb01cations to \ufb01nancial assets that are not due to a borrower\u2019s \ufb01nancial dif\ufb01culties, or granted in the context of a moratorium (i.e. commercial renegotiations) are generally analysed as the early repayment of the former loan, which is then derecognised, followed by the set-up of a new loan at market conditions. They consist in resetting the interest rate of the loan at market conditions, with the client being in a position to change lender and not encountering any \ufb01nancial dif\ufb01culties. Probation periods The Group applies observation periods to assess the possible return to a better stage. Accordingly, a 3-month probation period is observed for the transition from stage 3 to stage 2, which is extended to 12 months in the event of restructuring due to \ufb01nancial dif\ufb01culties. For the transition from stage 2 to stage 1, a probation period of two years is observed for loans that have been restructured due to \ufb01nancial dif\ufb01culties. (1) Moratoria quali\ufb01ed as \u201cCovid-19 General moratorium Measure\u201d (i.e. meeting the criteria de\ufb01ned in EBA Guidelines published on 2 April 2020 and amended on 2 December 2020) or similar measures that do not lead to a transfer to stage 3. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 199 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements 1.e.6 Cost of risk Cost of risk includes the following items of pro\ufb01t or loss: \u25a0 impairment gains and losses resulting from the accounting of loss allowances for 12-month expected credit losses and lifetime expected credit losses (\u201cstage 1\u201d and \u201cstage 2\u201d) relating to debt instruments measured at amortised cost or at fair value through shareholders\u2019 equity, loan commitments and \ufb01nancial guarantee contracts that are not recognised at fair value as well as lease receivables, contract assets and trade receivables; \u25a0 impairment gains and losses resulting from the accounting of loss allowances relating to \ufb01nancial assets (including those at fair value through pro\ufb01t or loss) for which there is objective evidence of impairment (\u201cstage 3\u201d), write-offs on irrecoverable loans and amounts recovered on loans written-off; \u25a0 impairment gains and losses relating to \ufb01xed-income securities of insurance entities that are individually impaired (which fall under IAS 39). It also includes expenses relating to fraud and to disputes inherent to the \ufb01nancing activity.2.h COST OF RISK The general model for impairment described in note 1.e.5 used by the Group relies on the following two steps: \u25a0 assessing whether there has been a signi\ufb01cant increase in credit risk since initial recognition; and \u25a0 measuring impairment allowance as either 12-month expected credit losses or lifetime expected credit loss (i.e. loss expected at maturity). Both steps rely on forward-looking information. Significant increase in credit risk At 31 December 2022, BNP Paribas revised its criteria for assessing the signi\ufb01cant increase in credit risk in line with the recommendations issued by the European Banking Authority and the European Central Bank. Previously, except for the consumer credit specialist business, the credit risk deterioration was mainly evaluated based on changes in the internal credit rating, an indicator of the average 1-year probability of default through the cycle. In order to fully consider forward-looking information, the new criteria use the probability of default to maturity, which is derived from the internal rating, incorporating the expected consequences of changes in macroeconomic scenarios, as the main indicator. Under these new criteria, credit risk is assumed to have signi\ufb01cantly increased, and the asset is classi\ufb01ed in stage 2, if the probability of default to maturity of the instrument has increased at least threefold since its origination. This relative variation criterion is supplemented by an absolute variation criterion of the default probability of 400 basis points. Furthermore, for all portfolios (except for the consumer credit specialist business): \u25a0 the facility is assumed to be in stage 1 when its 1-year \u201cPoint in Time\u201d probability of default (PiT PD) is below 0.3% at the reporting date, since changes in probability of default due to credit downgrades in this zone are not material, and therefore not considered \u201csigni\ufb01cant\u201d; \u25a0 when the 1-year PiT PD is greater than 20% at the reporting date, given the Group\u2019s credit issuance practices, the deterioration is considered signi\ufb01cant, and the facility is classi\ufb01ed in stage 2 (as long as the facility is not credit-impaired). In the consumer credit specialist business, the existence of a potentially regularised payment incident during the last 12 months is considered to be an indication of signi\ufb01cant increase in credit risk and the facility is therefore classi\ufb01ed in stage 2. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 215 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The table below shows a comparison between the previous and the new criteria for assessing the signi\ufb01cant increase in credit risk: Previous criteria Retail Small and Medium Entreprises Large Corporates * Probability of default through the cycle. ** \"Point in Time\" (PiT) probability of default including forward-looking. One year probability of default * < 0.25% Stage 1 presumption Rating \u2264 4- One year PiT probability of default ** < 0.3% Deterioration from origination leading to transfer to stage 2 Rating downgrade \u2265 6 notches Rating downgrade \u2265 3 notches One year probability of default > 10% Stage 2 presumption Rating \u2265 9+ One year PiT probability of default > 20% One year probability of default One year probability of default at origination Rating downgrade \u2265 6 notches > 4 or Lifetime PiT probability of default Lifetime PiT probability of default at origination Variation of lifetime PiT probability of default since origination > 400 bps > 3 or New criteria Credit risk is assumed to have increased signi\ufb01cantly since initial recognition and the asset is classi\ufb01ed in stage 2 in the event of late payment of more than 30 days or restructuring due to \ufb01nancial dif\ufb01culties (as long as the facility is not credit-impaired). In the \ufb01rst half of 2022, the internal ratings of the Russian counterparties (including the sovereign rating) were systematically downgraded to take into account recent events, thus leading to the transfer of their outstandings to stage 2. However, given the Group\u2019s limited level of exposure to this country, this deterioration had no signi\ufb01cant effect on the cost of risk for the period. Forward-Looking Information The Group considers forward-looking information both when assessing signi\ufb01cant increase in credit risk and when measuring Expected Credit Losses (ECL). Regarding the measurement of expected credit losses, the Group has chosen to use 3 macroeconomic scenarios by geographic area covering a wide range of potential future economic conditions: \u25a0 a baseline scenario, consistent with the scenario used for budgeting; \u25a0 an adverse scenario, corresponding to the scenario used for the Group\u2019s quarterly stress tests; \u25a0 a favourable scenario, capturing situations where the economy performs better than anticipated. The link between the macroeconomic scenarios and the ECL measurement is mainly achieved through a modelling of the probabilities of default and deformation of migration matrices based on internal rating (or risk parameter). The probabilities of default determined according to these scenarios are used to measure expected credit losses in each of these scenarios. The Group\u2019s setup is broken down by sector to take into account the heterogeneity of sectoral dynamics when assessing the probability of default for corporates. Forward-looking information is also considered when determining the signi\ufb01cant deterioration in credit risk, since the probabilities of default used as the basis for this assessment include forward-looking multi-scenario information in the same way as for the calculation of the ECL. The weight to be attributed to the expected credit losses calculated in each of the scenarios is de\ufb01ned as 50% for the baseline scenario, and: \u25a0 the weight of the two alternative scenarios is de\ufb01ned according to the position in the credit cycle. In this approach, the adverse scenario carries more weight in situations at the upper end of the cycle than those at the lower end of the cycle, in anticipation of a potential downturn in the economy; \u25a0 the minimum weight of each the alternative scenarios is 10% and therefore the maximum weight is 40%. When appropriate, the ECL measurement can take into account asset sale scenarios. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 216 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Macroeconomic scenarios The three macroeconomic scenarios are de\ufb01ned over a three-year projection horizon. They correspond to: \u25a0 a baseline scenario, which describes the most likely path of the economy over the projection horizon. This scenario is updated on a quarterly basis and is prepared by the Group Economic Research Department in collaboration with various experts within the Group. Projections are designed for each key market of the Group (France, Belgium, Italy, the United States and the eurozone) using key macroeconomic variables (Gross Domestic Product \u2013 GDP \u2013 and its components, unemployment rate, consumer prices, interest rates, foreign exchange rates, oil prices, real estate prices, etc.) which are key drivers for modeling risk parameters used in the stress test process; \u25a0 an adverse scenario, which describes the impact of the materialisation of some of the risks weighing on the baseline scenario, resulting in a much less favourable economic path than in the baseline scenario. The GDP shock is applied with varying magnitudes, but simultaneously, to the economies under consideration. Generally, these assumptions are broadly consistent with those proposed by the regulators. The calibration of shocks on other variables (e.g. unemployment, consumer prices, interest rates, etc.) is based on models and expert judgment; \u25a0 a favourable scenario, which re\ufb02ects the impact of the materialisation of some of the upside risks for the economy, resulting in a more favourable economic path. The favourable shock on GDP is deducted from the adverse shock on GDP in such a way that the probabilities of the two shocks are equal on average over the cycle. Other variables (e.g. unemployment, in\ufb02ation, interest rates, etc.) are de\ufb01ned in the same way as in the adverse scenario. Since June 2021, the favourable shocks applied have been substantially reduced, as any stronger path than in the baseline scenario could be limited by supply side constraints. The link between the macroeconomic scenarios and the measurement of the ECL is complemented by an approach allowing to take into account anticipation aspects not captured by the models in the generic approach. This is particularly the case when unprecedented events in the historical chronicle taken into account to build the models occur or are anticipated, or when the nature or amplitude of change in macroeconomic parameter calls into question past correlations. Thus, the situation of high in\ufb02ation and the current and projected increase in interest rates correspond to aspects not observed in the reference history. In this context, the Group has developed an approach to take into account the future economic outlook when assessing the \ufb01nancial strength of counterparties. This approach consists in simulating the impact of rate hikes on their \ufb01nancial ratios and the effect on their ratings. In addition, post-model adjustments are considered to take into account, where applicable, the consequences of climatic events on expected credit losses. Baseline scenario Several major developments have contributed to a more marked deterioration than anticipated (after a rebound year in 2021), in both Europe and the United States. Beyond the humanitarian aspects, the consequences of the invasion of Ukraine have had a number of adverse economic effects, the \ufb01rst of which is to contribute to raising in\ufb02ation to very high levels due to severe disruptions in energy and food markets. European countries have been particularly affected from this point of view. In response to expected in\ufb02ation levels, central banks have carried out the most severe monetary tightening in decades, leading to a sharp tightening of \ufb01nancial conditions, which in turn penalise activity. Finally, the health crisis has continued to strongly disrupt activity in some countries, particularly in Asia, where there is less vaccine protection or stricter measures to contain the health crisis. Faced with these combined energy and monetary shocks, activity is expected to contract in a number of economies (including the eurozone and the United States) in late 2022 and early 2023, leading to substantial downward revisions to growth projections for 2023. Activity is expected to stagnate in both the eurozone and the United States in 2023 (while, at 30 June 2022, GDP was expected to grow by around 1.5% in both regions). Activity growth is generally expected to rebound in 2024 and 2025. After reaching very high levels in late 2022, in\ufb02ation is expected to moderate in the course of 2023, mainly due to lower energy in\ufb02ation and to the consequences of the slowdown in activity (e.g. higher unemployment, more limited supply chain disruptions). However, on an annual average, in\ufb02ation will remain very high in 2023 in many countries, signi\ufb01cantly exceeding central bank targets in most cases (notably in Europe and in the United States). In\ufb02ation is expected to come down to more usual levels in 2024 and 2025. In this context, major central banks have so far prioritised the \ufb01ght against in\ufb02ation by tightening monetary policy. By the end of 2022, both short- term and long-term interest rates were at much higher levels than those observed in the past ten years, even though the central banks have not yet completed their tightening cycle. Key interest rates are expected to peak in 2023, before moderating in 2024 and 2025 (when the central banks are expected to lower policy rates in line with more moderate in\ufb02ation). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 217 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The graph below presents a comparison of eurozone GDP projections used in the baseline scenario for the calculation of ECLs at 31 December 2021 and 2022. \u27a4 EUROZONE GDP: INDEX BASE 100 AT THE FOURTH QUARTER OF 2019 85 90 95 100 105 110 GDP index Dec-22 Dec-23 Dec-24 Dec-21 Dec-20 Dec-19 Dec-18 Baseline scenario at 31 December 2022 Baseline scenario at 31 December 2021 \u27a4 MACROECONOMIC VARIABLES, BASELINE SCENARIO AT 31 DECEMBER 2022 (annual averages) 2022 2023 2024 2025 GDP growth rate Eurozone 3.2% 0.1% 1.6% 1.3% France 2.5% 0.1% 1.4% 1.2% Italy 3.7% -0.2% 1.1% 0.9% Belgium 2.3% 0.0% 1.5% 1.2% United States 1.7% 0.0% 1.7% 1.6% Unemployment rate Eurozone 6.8% 7.5% 7.6% 7.3% France 7.5% 8.0% 8.1% 7.9% Italy 8.1% 8.6% 8.4% 8.3% Belgium 5.8% 6.4% 6.3% 6.1% United States 3.7% 4.7% 4.6% 4.5% In\ufb02ation rate Eurozone 8.5% 6.3% 2.4% 2.0% France 6.0% 5.4% 2.5% 2.0% Italy 8.7% 7.3% 2.1% 1.7% Belgium 10.6% 7.5% 2.7% 2.2% United States 8.1% 3.9% 2.3% 2.2% 10-year sovereign bond yields Germany 1.22% 2.64% 2.19% 2.00% France 1.76% 3.19% 2.74% 2.55% Italy 3.18% 4.94% 4.49% 4.30% Belgium 1.76% 3.24% 2.79% 2.60% United States 3.02% 4.24% 3.44% 3.25% 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 218 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Adverse Scenario The adverse scenario is based on the assumption that certain downside risks will materialise, resulting in a much less favourable economic path than in the baseline scenario. The following risks are identi\ufb01ed: \u25a0 A dominant risk, the invasion of Ukraine and its implications (especially higher in\ufb02ation): the impacts mentioned in the baseline scenario could worsen due to additional negative developments. In particular, the adverse scenario assumes a more pronounced shock on commodity prices, further fueling in\ufb02ation and leading to more severe disruptions in activity. Higher in\ufb02ation would have a direct negative effect on consumption and production. In addition, governments of the most exposed economies could take rationing measures targeting the most energy-intensive sectors (with potential indirect consequences for other sectors). Activity can also be negatively affected by other channels (e.g. supply chain disruptions, trade, \ufb01nancial stress, uncertainty and con\ufb01dence effects). \u25a0 The remaining risk related to the health crisis: although the link between health challenges and economic disruptions has eased markedly in many economies, particularly thanks to vaccination, health crisis-related challenges remain a signi\ufb01cant risk, at least in some countries. \u25a0 Less favourable public finances: public debt-to-GDP ratios are high and central banks are tightening their monetary policy, leading to a rise in bond yields that could generate tensions in some countries due to the widening of spreads between sovereign bonds. \u25a0 China\u2019s economy-related risks: additional dif\ufb01culties in China (e.g. sanitary measures, real estate) could affect global markets and activity in other countries through trade and supply-chain channels. \u25a0 Geopolitical risks: geopolitical tensions can weigh on the global economy through shocks to commodity prices, \ufb01nancial markets and business con\ufb01dence. Beyond the invasion of Ukraine, other regions are also worth to be monitored (Asia and the Middle East). \u25a0 Developments in trade and globalisation: the invasion of Ukraine creates additional obstacles to trade and globalisation, adding to already negative developments of recent years (trade disagreements between the United States and China, willingness of some western governments to become more self-suf\ufb01cient in certain strategic areas). The adverse scenario assumes the materialisation of these identi\ufb01ed latent risks from the \ufb01rst quarter of 2023. The risks related to the invasion of Ukraine are taken into account in the adverse scenario through some speci\ufb01cities. First, an additional activity shock is applied to the different economies, depending on their perceived exposure to this situation. This shock re\ufb02ects the countries\u2019 dependence on Russian gas as well as their vulnerability to other transmission channels (exports, dependence on the supply chain, weight of food and energy in in\ufb02ation, investment links, political ties with Russia). Second, in\ufb02ation is higher in the adverse scenario than in the baseline scenario in the \ufb01rst year of the projection horizon, in order to materialise the speci\ufb01c effects of this crisis in this area (re\ufb02ecting more upward pressure on commodity prices and supply chain disruptions). Among the countries considered, GDP levels in the adverse scenario stand between 5.8% and 12.2% lower than in the baseline scenario at the end of the shock period (three years). In particular, this deviation reaches 10.2% on average in the eurozone and 5.8% in the United States. Scenario weighting and cost of risk sensitivity At 31 December 2022, the weight of the adverse scenario considered by the Group was 16% and 34% for the favourable scenario. At 31 December 2021, the weight of the adverse scenario was on average equivalent to that of the favourable scenario. The sensitivity of the amount of expected credit losses for all \ufb01nancial assets at amortised cost or at fair value through equity and credit commitments is assessed by comparing the estimated expected credit losses resulting from the weighting of the above scenarios with that resulting from each of the two alternative scenarios: \u25a0 an increase in ECL of 22%, or EUR 1,250 million according to the adverse scenario (18% at 31 December 2021); \u25a0 a decrease in ECL of 7%, or EUR 400 million according to the favourable scenario (12% at 31 December 2021). Adaptation of the ECL assessment process to factor in the specific nature of the health crisis Macroeconomic scenarios provisioning the models The measurement of the impact of macroeconomic scenarios on expected credit losses was adjusted to re\ufb02ect the speci\ufb01cities of the current health crisis. Given the exceptional nature of the shock linked to the temporary lockdown measures and strong support provided by governments and central banks, macroeconomic parameters for each country or geographic area included in the pre-existing models (calibrated on past crises) were adapted in order to extract information on the medium-term impacts on the macroeconomic environment and thus minimise excessive short-term volatility. In 2020, the medium-term perspective adopted for the baseline scenario reduced the loss of income for the eurozone by an amount much lower than that of governments and European Central Bank support measures. Conversely, it moderated the favourable impacts of the economic rebounds observed in 2021. This adaptation ended in 2021. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 219 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Moratoria and state guarantees For the loans secured by a state guarantee (mainly in France and Italy), the calculation of expected credit losses is adjusted accordingly. The absence of a general maturity extension scheme for individuals, notably in France, led to classify as forborne the loans that bene\ufb01ted from accompanying measures that were not initially provided for under the contract. However, these measures were not considered as an automatic criterion for transfer to stage 2. Post-model adjustments Conservative adjustments were taken into account when the models used were based on indicators that show unusual levels in the context of the health crisis and the support programmes, such as the increase in deposits and the decrease in past due events for retail customers and entrepreneurs. For the consumer credit specialist business, a conservative adjustment had been considered in 2020 for loans that bene\ufb01tted from a moratorium. In 2021, this adjustment was reversed in connection with the satisfactory return to payment observed on these loans. However, a conservative adjustment was made to compensate for the atypical level of late payments. These post-model adjustments were reversed in 2022. Adaptation of the ECL assessment process to factor in the significant rise in inflation and in interest rates Additional adjustments were made in 2022 to take into account the effects of in\ufb02ation and interest rate hikes when this effect is not directly estimated by the models. For example, within the consumer credit specialist business, adjustments were considered for the categories of customers most sensitive to the gradual decline in the level of their net income. All of these adjustments represent 6.1% of the total amount of expected credit losses at 31 December 2022, compared to 4.8% at 31 December 2021. \u27a4 COST OF CREDIT RISK FOR THE PERIOD In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Net allowances to impairment (2,444) (2,591) Recoveries on loans and receivables previously written off 343 321 Losses on irrecoverable loans (714) (701) Act on assistance to borrowers in Poland (189) TOTAL COST OF RISK FOR THE PERIOD (3,004) (2,971) \u27a4 COST OF RISK FOR THE PERIOD BY ACCOUNTING CATEGORY AND ASSET TYPE In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Cash and balances at central banks (6) (8) Financial instruments at fair value through pro\ufb01t or loss (28) 6 Financial assets at fair value through equity 14 (6) Financial assets at amortised cost (2,853) (2,779) Loans and receivables (2,845) (2,763) Debt securities (8) (16) Other assets (17) 12 Financing and guarantee commitments and other items (114) (196) TOTAL COST OF RISK FOR THE PERIOD (3,004) (2,971) Cost of risk on unimpaired assets and commitments (570) (17) of which stage 1 (511) 268 of which stage 2 (59) (285) Cost of risk on impaired assets and commitments \u2013 stage 3 (2,434) (2,954) 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 220 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 CREDIT RISK IMPAIRMENT Changes in impairment by accounting category and asset type during the period In millions of euros 31 December 2021 Net allowance to impairment Impairment provisions used Changes in scope, exchange rates and other items 31 December 2022 Assets impairment Amounts due from central banks 18 5 (2) 21 Financial instruments at fair value through pro\ufb01t or loss 121 15 (28) 108 Financial assets at fair value through equity 140 (14) 4 130 Financial assets at amortised cost 20,196 2,374 (4,187) 128 18,511 Loans and receivables 20,028 2,329 (4,106) 130 18,381 Debt securities 168 45 (81) (2) 130 Other assets 59 (6) (3) (5) 45 Total impairment of \ufb01nancial assets 20,534 2,374 (4,190) 97 18,815 of which stage 1 1,891 223 (4) (36) 2,074 of which stage 2 2,748 87 (3) 49 2,881 of which stage 3 15,895 2,064 (4,183) 84 13,860 Provisions recognised as liabilities Provisions for commitments 958 32 (15) 5 980 Other provisions 467 38 (56) 1 450 Total provisions recognised for credit commitments 1,425 70 (71) 6 1,430 of which stage 1 230 94 2 326 of which stage 2 374 (33) (3) 338 of which stage 3 821 9 (71) 7 766 TOTAL IMPAIRMENT AND PROVISIONS 21,959 2,444 (4,261) 103 20,245 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 221 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Change in impairment by accounting category and asset type during the previous period In millions of euros 31 December 2020 Net allowance to impairment Impairment provisions used Changes in scope, exchange rates and other items 31 December 2021 Assets impairment Amounts due from central banks 17 9 (8) 18 Financial instruments at fair value through pro\ufb01t or loss 148 (20) (7) 121 Financial assets at fair value through equity 132 6 2 140 Financial assets at amortised cost 21,704 2,438 (3,867) (79) 20,196 Loans and receivables 21,546 2,421 (3,867) (72) 20,028 Debt securities 158 17 (7) 168 Other assets 104 (15) (29) (1) 59 Total impairment of \ufb01nancial assets 22,105 2,418 (3,896) (93) 20,534 of which stage 1 2,379 (219) (8) (261) 1,891 of which stage 2 3,166 176 (6) (588) 2,748 of which stage 3 16,560 2,461 (3,882) 756 15,895 Provisions recognised as liabilities Provisions for commitments 964 60 (1) (65) 958 Other provisions 383 113 (52) 23 467 Total provisions recognised for credit commitments 1,347 173 (53) (42) 1,425 of which stage 1 319 (55) (34) 230 of which stage 2 297 100 (23) 374 of which stage 3 731 128 (53) 15 821 TOTAL IMPAIRMENT AND PROVISIONS 23,452 2,591 (3,949) (135) 21,959 Changes in impairment of \ufb01nancial assets at amortised cost during the period In millions of euros Impairment on assets subject to 12-month Expected Credit Losses (Stage 1) Impairment on assets subject to lifetime Expected Credit Losses (Stage 2) Impairment on doubtful assets (Stage 3) Total At 31 December 2021 1,867 2,714 15,615 20,196 Net allowance to impairment 211 102 2,061 2,374 Financial assets purchased or originated during the period 682 234 916 Financial assets derecognised during the period (1) (390) (388) (822) (1,600) Transfer to stage 2 (133) 1,773 (212) 1,428 Transfer to stage 3 (65) (665) 1,806 1,076 Transfer to stage 1 63 (502) (36) (475) Change in the signi\ufb01cant increase in credit risk assessment criteria 29 (280) (251) Other allowances/reversals without stage transfer (2) 25 (70) 1,325 1,280 Impairment provisions used (3) (3) (4,181) (4,187) Changes in exchange rates (6) (30) 104 68 Changes in scope of consolidation and other items (34) 77 17 60 At 31 December 2022 2,035 2,860 13,616 18,511 (1) Including disposals. (2) Including amortisation. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 222 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In 2022, the increase in \ufb01nancial assets subject to impairment relates mainly to outstandings classi\ufb01ed in stage 1. Thus, the gross value of loans and advances to customers classi\ufb01ed in stage 1 increased by EUR 61 billion compared to 31 December 2021 (see note 4.e Financial assets at amortised cost). This change includes transfers of outstandings from stage 2 to stage 1 for a net amount of EUR 27 billion as a result of the change in the criteria used to assess the signi\ufb01cant increase in credit risk, mainly within the French and Belgian Commercial & Personal Banking activities. This transfer mainly concerns the least risky outstandings among those previously classi\ufb01ed in stage 2 (see section 5.4 Credit risk of the Universal registration document, Table 52: Breakdown of \ufb01nancial assets subject to impairment by stage and internal rating). The impact of this transfer on the amount of expected credit losses is a net reversal of provision of EUR 251 million. Excluding the effect of this change in estimate, outstandings in stage 2 increased by EUR 10 billion during the year ended 31 December 2022. This development is closely linked to the deterioration of the economic environment that weighed on the assessment of the signi\ufb01cant increase in credit risk criterion. These combined effects led to net additions to impairment in stages 1 and 2 in 2022. The provisioning rate for loans and advances to customers classi\ufb01ed in stage 2 increased to 3.2% at 31 December 2022, compared with 2.6% at 31 December 2021. Changes in impairment of \ufb01nancial assets at amortised cost during the previous period In millions of euros Impairment on assets subject to 12-month Expected Credit Losses (Stage 1) Impairment on assets subject to lifetime Expected Credit Losses (Stage 2) Impairment on doubtful assets (Stage 3) Total At 31 December 2020 2,343 3,142 16,219 21,704 Net allowance to impairment (216) 168 2,486 2,438 Financial assets purchased or originated during the period 608 242 850 Financial assets derecognised during the period (1) (353) (295) (896) (1,544) Transfer to stage 2 (190) 1,726 (393) 1,143 Transfer to stage 3 (22) (598) 1,837 1,217 Transfer to stage 1 117 (724) (45) (652) Other allowances/reversals without stage transfer (2) (376) (183) 1,983 1,424 Impairment provisions used (8) (6) (3,853) (3,867) Changes in exchange rates (1) (32) 95 62 Changes in scope of consolidation and other items (28) (355) 739 356 Reclassi\ufb01cation of assets held for sale (223) (203) (71) (497) At 31 December 2021 1,867 2,714 15,615 20,196 (1) Including disposals. (2) Including amortisation.4.f IMPAIRED FINANCIAL ASSETS (STAGE 3) The following tables present the carrying amounts of impaired \ufb01nancial assets carried at amortised cost and of impaired \ufb01nancing and guarantee commitments, as well as related collateral and other guarantees. The amounts shown for collateral and other guarantees correspond to the lower of the value of the collateral or other guarantee and the value of the secured assets. In millions of euros 31 December 2022 Impaired \ufb01nancial assets (Stage 3) Collateral received Gross value Impairment Net Loans and advances to credit institutions (note 4.e) 86 (79) 7 1 Loans and advances to customers (note 4.e) 25,276 (13,444) 11,832 7,651 Debt securities at amortised cost (note 4.e) 155 (93) 62 14 TOTAL AMORTISED-COST IMPAIRED ASSETS (STAGE 3) 25,517 (13,616) 11,901 7,666 Financing commitments given 898 (73) 825 198 Guarantee commitments given 820 (243) 577 135 TOTAL OFF-BALANCE SHEET IMPAIRED COMMITMENTS (STAGE 3) 1,718 (316) 1,402 333 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 243 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In millions of euros 31 December 2021 Impaired \ufb01nancial assets (Stage 3) Collateral received Gross value Impairment Net Loans and advances to credit institutions (note 4.e) 86 (78) 8 1 Loans and advances to customers (note 4.e) 27,819 (15,414) 12,405 8,068 Debt securities at amortised cost (note 4.e) 260 (123) 137 25 TOTAL AMORTISED-COST IMPAIRED ASSETS (STAGE 3) 28,165 (15,615) 12,550 8,094 Financing commitments given 1,088 (89) 999 65 Guarantee commitments given 833 (265) 568 192 TOTAL OFF-BALANCE SHEET IMPAIRED COMMITMENTS (STAGE 3) 1,921 (354) 1,567 257 The following table presents the changes in gross exposures of stage 3 assets (EU CR2): Gross value In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 IMPAIRED EXPOSURES (STAGE 3) AT OPENING BALANCE 28,165 30,420 Transfer to stage 3 6,125 6,432 Transfer to stage 1 or stage 2 (1,672) (2,548) Assets written off (4,827) (4,491) Other changes (2,274) (1,648) IMPAIRED EXPOSURES (STAGE 3) AT CLOSING BALANCE 25,517 28,165CREDIT POLICIES [Audited] The Bank\u2019s lending activities are governed by the Global Credit Policy. It applies to all Group activities that generate credit or counterparty risk. The Global Credit Policy provides general principles (including the risk assessment and decision-making process, adherence to the highest standards of compliance and ethics) applicable to all credit risk, as well as speci\ufb01c principles applicable to country risk, economic sector risks, clients selection and the transaction structures. It is supplemented by speci\ufb01c policies tailored to each type of business or counterparty. These policies are regularly updated in line with developments in the credit environment in which the Group operates. Corporate Social and Environmental Responsibility (CSR) Since 2012, clauses on Corporate Social and Environmental Responsibility (CSR) are included in speci\ufb01c new credit policies or when existing policies are updated. Furthermore, sectoral policies and financing exclusions for certain sectors presenting signi\ufb01cant Environmental, Social and Governance (ESG) challenges (described in the Commitment 3 section of chapter 7 Systematic integration and management of Environmental, social and governance risks (ESG)) have been implemented since 2011 and steadily strengthened since then. These risks are also analysed in the context of sector reviews and country envelope limits. The Group is also taking a number of steps to improve the incorporation of ESG risks factors, especially those linked to climate change, in its credit risk system. Within this context, the Group continues to strengthen the ESG assessment of its clients to make it more systematic and to better understand the ESG risk pro\ufb01le associated. Expanding the ESG analysis of corporate customers thanks to a risk assessment tool: the ESG Assessment BNP Paribas takes ESG criteria into account in its decision-making processes. ESG criteria are integrated into the Know Your Client (KYC) as well as into the Global Credit policy and, when more precise criteria are deemed relevant, in speci\ufb01c credit policies. In addition to the current ESG risk assessment framework (sectoral policies, specific credit policies), an ESG assessment tool has been deployed since June 2021: ESG Assessment, which progressively replaces all existing set-ups (CSR screening, questionnaire on Duty of care law). It makes it possible to identify, assess and monitor the ESG performance and risks of corporate customers by sector with a common approach within the Group for a given customer segment. The assessment aims to perform a systematic ESG analysis at business group level as part of the credit process, one of the foundations of the banking activity, thus integrating ESG criteria with the other criteria included in the assessment of the counterparty\u2019s credit pro\ufb01le. The ESG Assessment covers the environmental (climate and biodiversity), social (health, safety and impact on communities) and governance (business ethics) dimensions through a set of questions, supplemented by an analysis of controversies affecting the client. The questionnaires developed in this context are speci\ufb01c to each sector in order to better integrate the challenges and issues speci\ufb01c to their activities. This tool makes it possible to assess clients\u2019 compliance with sector policies, as well as the maturity of their ESG strategy and its implementation. The deployment of ESG Assessment, included in the credit \ufb01les for all business sectors and business groups, will enable the RISK Function to exercise greater control over the ESG dimensions during Credit Committees on a documented basis. Currently designed for large companies, this framework will be gradually adapted and extended to different customer segments. INDIVIDUAL DECISION- MAKING PROCEDURES [Audited] A system of discretionary credit delegations has been established, under which all lending decisions must be approved by managers or representatives of the business teams, with the concurrence of a formally designated RISK representative. Approvals are systematically evidenced in writing, possibly electronically either by means of a signed approval form or in the minutes of formal Credit Committee meetings. Discretionary credit delegations correspond to aggregate commitments by business group and vary according to internal credit ratings and the speci\ufb01c nature of the business concerned. All transactions proposed are subject to a detailed review of the borrower\u2019s current and future position. The review, conducted when granting the transaction and updated at least on an annual basis. It is designed to ensure the Group has a comprehensive understanding of the borrower and can monitor any potential changes in its situation. Certain types of lending commitments, such as loans to \ufb01nancial institutions, sovereign loans and loans to customers operating in certain industries that are exposed to cyclical risks or to a rapid pace of change, are subject to speci\ufb01c authorisation procedures and require the sign-off of an industry expert or designated specialist. In Retail Banking, simpli\ufb01ed procedures are applied, based on statistical decision-making aids. Credit applications must comply with the Bank\u2019s Global Credit Policy and any relevant speci\ufb01c policies. Material exceptions undergo a special approval process. Before making any commitments, BNP Paribas carries out an in-depth review of any known development plans of the borrower, and ensures that it has thorough knowledge of all the structural aspects of the borrower\u2019s operations and that adequate monitoring will be possible. CREDIT RISK MANAGEMENT POLICY 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 379 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk The General Management Credit Committee (CCDG) is the highest-level Group committee for all decisions related to credit and counterparty risk. It has in particular ultimate decision-making authority for all credit applications notably for amounts in excess of individual discretionary credit delegations or applications that would not comply with the Global Credit Policy. MONITORING AND PORTFOLIO MANAGEMENT PROCEDURES [Audited] Monitoring exposures A comprehensive risk monitoring system is organised around control units, which are responsible for ensuring that lending commitments comply with the credit decision, that credit risk reporting data are reliable and that risks are effectively monitored. Daily irregular exception reports are produced and various early warning tools are used to identify early the deterioration of credit risks. The various monitoring levels are carried out under the supervision of RISK. Non-performing loans or those placed under credit watch (see Exposures, provisions and cost of risk) are overseen more closely via dedicated quarterly committee meetings (see the Governance part of section 5.3 Risk management). To supplement this mechanism, the Doubtful Committee meets on a monthly basis to to validate the proposed changes in individual provisions for doubtful loans for which an adjustment is necessary based on expected \ufb01nancial \ufb02ows. The responsibilities of the control teams include the monitoring of exposures against approved authorisations, covenants, and guarantees. This allows the identi\ufb01cation of any signs of deterioration against the risk pro\ufb01le approved by the Credit Committee. Control teams \ufb02ag up (to the RISK teams and business units) any cases that fail to comply with Credit Committee decisions and oversee their resolution. In some cases, a speci\ufb01c alert is sent to the senior management of RISK and of the relevant business unit. These are mainly where exceptions remain unresolved and/ or where there are serious indications of deterioration in the risk pro\ufb01le compared with that approved by the Credit Committee. Furthermore, since 2018 the General Credit Policy has included speci\ufb01c checks to be conducted for loans granted to clients presenting high leverage ratios, in accordance with European Central Bank guidelines. Overall portfolio management and monitoring The selection and careful evaluation of individual risks taken are supported by a monitoring and risk control system based on more aggregated portfolio levels in terms of division/business line, regions, industry, business/product. The overall portfolio management policy, including concentration of risk by single name, industry and country, is based on this monitoring system and Group Risk Committees review all reports and analyses produced: \u25a0 risk concentration by country is managed through country risk limits that are set at the appropriate level of delegated authority for each country. The Group, which is naturally present in most economically active areas endeavours to avoid excessive concentrations of risk in countries with a high geopolitical risk or fragile political and economic structures or which economic position has been undermined. Country envelope limits are reviewed at least once a year, and quarterly reports are drawn up on their use; \u25a0 the Group closely monitors individual concentrations, in particular on business groups, corporates, banks or sovereign debts. These concentrations are reported in the quarterly risk report to CCIRC. Related policies implemented by the Group are described under Credit risk diversi\ufb01cation of this section; \u25a0 regular reviews by the Group are carried out of portfolios in certain industries, either because of the magnitude of the Group\u2019s exposure to the sector or because of sector-speci\ufb01c risks, such as the cyclical nature of the industry or rapid technological developments. In these reviews, special focus is placed on CSR issues in potentially sensitive sectors. The Group draws on the expertise of the relevant business lines and independent industry specialists working in RISK (Industry and Sector Studies). These reviews provide Executive Management, and if appropriate the CCIRC, with an overview of the Group\u2019s exposure to the sector under consideration, and assist it to decide on strategic guidelines. As an illustration, in 2022, an internal portfolio review was undertaken on electricity production, commercial real estate, residential real estate, shipping \ufb01nancing and aviation sectors; \u25a0 stress tests assess portfolio vulnerabilities by measuring the impact of various adverse scenarios. They are conducted on a quarterly basis on the entire portfolio and on an ad hoc basis on sub-portfolios to identify any concentrations. They help to ensure that the Bank\u2019s credit risk exposure is in line with its risk appetite. Lastly, BNP Paribas may use credit risk transfer instruments, such as securitisation programmes, credit derivatives or credit insurance, to mitigate individual risks, reduce portfolio concentration or cap potential losses arising from crisis scenarios. IMPAIRMENT VALUATION PROCEDURES [Audited] The Group applies the impairment procedures described below for all loans subject to impairment (see note 1.e.5 Impairment of \ufb01nancial assets at amortised cost and of debt instruments at market value through equity): \u25a0 impairment valuation procedure for performing loans: A loss allowance for loans in stage 1 or stage 2 is constituted by each operating division based on an estimation of expected credit losses. This is validated on a quarterly basis during a committee meeting attended by the Chief Financial Of\ufb01cer and Chief Risk Of\ufb01cer of each operating division. Estimations of expected credit losses result from the default risk in the coming twelve months for \ufb01nancial instruments whose credit risk has not signi\ufb01cantly increased since initial recognition (stage 1) or upon maturity for unimpaired loans whose credit risk has signi\ufb01cantly increased since initial recognition (stage 2). A tool used by most of the Group\u2019s business lines enables calculations to be performed based on the parameters of the rating system described below and integrating the potential impact of macroeconomic and sectoral dynamics; 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 380 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u25a0 impairment valuation procedure for defaulted exposures: Monthly, RISK reviews corporate, bank and sovereign loans, requiring a review of their impairment, to determine the amount of any decrease in value to be recognised, either by reducing the carrying amount or by recording a provision for impairment, in accordance with applicable accounting standards (see note 1.e.5). The Group uses various methodologies (expert opinions, statistical calculations) for defaulted exposures to retail customers. These impairments are referred to as stage 3. The amount of this impairment loss is based on the present value of probable recovered net cash \ufb02ows issued from several scenarios, including from the possible realisation of the collateral held. The amount of this impairment loss is based on the present value of probable recovered net cash \ufb02ows under various scenarios and including from the possible realisation of the collateral held. Estimated expected cash \ufb02ows also includes a cash \ufb02ow scenario from the possible sale of non-performing loans or all loans. Proceeds from the sale is net of costs associated to the sale. RATING SYSTEM [Audited] Each counterparty is rated internally by the Group using uniform principles, regardless of the approach used to calculate regulatory capital requirements. The Bank has a comprehensive internal rating system compliant with regulatory requirements regarding capital adequacy. A periodic assessment and control process has been deployed within the Bank to ensure that the system is appropriate and correctly implemented. The system was formally validated by the supervisor in December 2007 and is inspected on a regular basis. For loans to institutions, corporates, sovereigns and specialised lendings, the system is based on three parameters: the counterparty\u2019s probability of default (PD) expressed via a rating, the Global Recovery Rate (GRR) or its complement, Loss Given Default (LGD), which depends on the structure of the transaction, and the Credit Conversion Factor (CCF) which estimates the off-balance sheet exposure at risk. There are twelve counterparty ratings. Ten cover performing clients with credit assessments ranging from \u201cexcellent\u201d to \u201cvery concerning\u201d, and two relate to clients classi\ufb01ed as in default, as per the de\ufb01nition by the banking supervisor. Con\ufb01rmation or amendments to the probability of default parameters and GRR applicable to each transaction are reviewed at least once a year as part of the loan approval process or annual credit review. These are based on the combined expertise of business line staff and, as a second look, the RISK representatives (who have the \ufb01nal say in case of disagreement). It uses appropriate tools including analysis aids and credit scoring systems. The decision to use these tools and the choice of technique depends on the nature of the risk. For retail counterparties, the system is also based on three parameters: Probability of Default (PD), the Global Recovery Rate (GRR) and the Credit Conversion Factor (CCF). On the other hand, rating methods are applied automatically to determine the loan parameters. Internal estimates of risk parameters are used in the Bank\u2019s day-to- day management in line with regulation recommendations. Thus, apart from calculating capital requirements, they are used for example when setting delegated limits, granting new loans or reviewing existing loans to measure pro\ufb01tability, determine impairments and for book analyses. \u27a4 TABLE 27: INDICATIVE MAPPING OF INTERNAL COUNTERPARTY RATING WITH AGENCY RATING SCALE AND AVERAGE EXPECTED PD Internal rating BNP Paribas LT Issuer/ Unsecured issuer\u2019s ratings S&P/Fitch Average expected PD Investment Grade 1+ AAA 0.01% 1 AA+ 0.01% 1- AA 0.01% 2+ AA- 0.02% 2 A+/A 0.03% 2- A- 0.04% 3+/3/3- BBB+ 0.06% to 0.10% 4+/4/4- BBB 0.13% to 0.21% 5+/5/5- BBB- 0.26% to 0.48% Non-Investment Grade 6+ BB+ 0.69% 6/6- BB 1.00% to 1.46% 7+/7 BB- 2.11% to 3.07% 7- B+ 4.01% 8+/8/8- B 5.23% to 8.06% 9+/9/9- B- 9.53% to 13.32% 10+ CCC 15.75% 10 CC 18.62% 10- C 21.81% Defaut 11 D 100% 12 D 100% The Group has developed an indicative equivalence between the Bank\u2019s internal ratings and the long-term issuer ratings assigned by the major rating agencies. Nevertheless, the Bank has a much broader clientele than just those counterparties rated by an external rating agency. An indicative equivalence is not relevant in Retail Banking. It is used when the internal ratings are assigned or reviewed in order to identify any differences between the Bank\u2019s assessment of a borrower\u2019s probability of default and that of one or more of the rating agencies. However, the internal ratings do not aim to reproduce or even approximate the external ratings. There are signi\ufb01cant variances in both directions within the portfolio. Some counterparties rated 6 or 7 by BNP Paribas could be considered Investment Grade by the rating agencies. For further details, see the sections Internal rating system \u2013 sovereign, \ufb01nancial institution, corporate and specialised \ufb01nancing portfolios and Internal rating system speci\ufb01c to retail customers. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 381 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit riskEXPOSURES, PROVISIONS AND COST OF RISK [Audited] Impaired exposures (stage 3) related to assets at amortised cost and \ufb01nancing and guarantee commitments given, as well as the guarantees received as collateral, are presented in note 4.f to the financial statements. The de\ufb01nition of impaired loans (stage 3) is presented in note 1.e.5 paragraph De\ufb01nition of default. The following table shows the carrying amount of performing and non- performing (1) \ufb01nancial assets included in the prudential consolidation scope. An exposure is deemed to be non-performing when it falls into one of the following categories: \u25a0 exposures in default; \u25a0 90 days past-due exposures which are not in default; \u25a0 restructured loans (see the Restructured loans section) during the one- year minimal period required before returning to performing status. In this part, in accordance with the Implementing Regulation (EU) No. 2021/637, the scope of the tables in this section includes the following items: \u25a0 current accounts with central banks (cash accounts are not considered); \u25a0 loans and receivables and debt securities at amortised cost; \u25a0 loans and receivables and debt securities at fair value through equity; \u25a0 loans and receivables and debt securities at fair value through pro\ufb01t or loss excluding the trading portfolio; \u25a0 \ufb01nancing and guarantee commitments outside the trading portfolio. Exposures in default include impaired outstandings (stage 3) as well as doubtful loans and receivables and debt securities at fair value through pro\ufb01t or loss excluding the trading portfolio. The classi\ufb01cations used for exposures shown are taken from \ufb01nancial reports intended for the supervisory authority (2) and so differ from the exposure classes usually used within the context of Pillar 3. The classi\ufb01cation includes: \u25a0 central banks; \u25a0 public administrations including mainly central governments, regional or local authorities and international organisations; \u25a0 credit institutions including credit institutions and multilateral development banks; \u25a0 other \ufb01nancial corporations including institutions (notably supervised investment companies and clearing houses) and corporations (mainly investment funds, pension funds and insurance companies); \u25a0 non-\ufb01nancial corporations including mainly corporations and small and medium enterprises (SME); \u25a0 households: mainly non-SME retail portfolio. In addition, in accordance with Appendices III and V of Implementing Regulation (EU) No. 680/2014 regarding supervisory reporting of \ufb01nancial institutions, the assets of activities held for sale (3) for the items listed above, are presented on a separate line in the tables. (1) At 31 December 2022, the Group\u2019s non-performing loans ratio was 2.1%, compared with 2.3% at 31 December 2021. This ratio is used by the European Banking Authority to monitor non-performing outstandings in Europe. It is calculated on the basis of gross outstanding of loans, receivables and deposits with central banks, not netted of guarantees received. (2) Appendices III and V of Implementing Regulation (EU) No. 680/2014 on supervisory reporting. (3) See note 7.d Discontinued activities to the consolidated \ufb01nancial statements. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 430 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u27a4 TABLE 48: PERFORMING AND NON-PERFORMING EXPOSURES AND RELATED PROVISIONS (EU CR1) [Audited] a b c d e f g h i j k l n o In millions of euros 31 December 2022 Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collateral and \ufb01nancial 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 defaulted of which stage 1 of which stage 2 of which stage 1 & 2 of which defaulted 005 Current accounts at central banks and other demand deposits 326,410 325,762 648 4 1 3 (29) (20) (9) (1) (1) 829 010 Loans and advances 905,208 818,136 87,072 26,337 447 25,890 (4,862) (2,045) (2,817) (13,513) (10) (13,503) 540,589 8,359 020 Central banks 13,619 13,612 7 4,807 030 General governments 31,523 30,155 1,368 199 99 100 (15) (6) (9) (26) (2) (24) 8,138 151 040 Credit institutions 8,044 7,912 132 84 1 83 (13) (6) (7) (79) (79) 3,817 1 050 Other \ufb01nancial corporations 84,667 79,895 4,772 1,106 1,106 (169) (70) (99) (778) (778) 25,770 284 060 Non-\ufb01nancial corporations 437,918 374,954 62,964 13,196 329 12,867 (2,267) (803) (1,464) (6,920) (7) (6,913) 267,929 4,711 070 of which SMEs 125,350 110,545 14,805 4,984 89 4,895 (804) (327) (477) (2,277) (4) (2,273) 87,527 2,154 080 Households 329,437 311,608 17,829 11,752 18 11,734 (2,398) (1,160) (1,238) (5,710) (1) (5,709) 230,128 3,212 090 Debt Securities 154,741 154,209 532 348 348 (68) (42) (26) (231) (231) 3,182 20 100 Central banks 6,012 6,012 110 General governments 105,318 104,965 353 (32) (23) (9) 476 120 Credit institutions 13,320 13,320 103 103 (5) (5) (103) (103) 2,390 130 Other \ufb01nancial corporations 24,801 24,635 166 111 111 (24) (7) (17) (44) (44) 316 140 Non-\ufb01nancial corporations 5,290 5,277 13 134 134 (7) (7) (84) (84) 20 Assets held for sale 79,542 76,392 3,150 553 553 (267) (141) (126) (62) (62) 46,754 283 150 Off-balance sheet exposures 565,733 533,619 32,114 1,730 1,730 (664) (325) (339) (316) (316) 127,110 386 160 Central banks 50,759 50,742 17 1 1 48,718 170 General governments 12,256 11,128 1,128 10 10 (6) (2) (4) 947 180 Credit institutions 13,832 13,033 799 1 1 (12) (5) (7) 652 190 Other \ufb01nancial corporations 68,425 66,541 1,884 24 24 (50) (36) (14) (9) (9) 15,334 5 200 Non-\ufb01nancial corporations 363,252 336,133 27,119 1,489 1,489 (500) (221) (279) (299) (299) 57,571 377 210 Households 57,209 56,042 1,167 205 205 (96) (61) (35) (8) (8) 3,888 4 220 TOTAL 2,031,634 1,908,118 123,516 28,972 448 28,524 (5,890) (2,573) (3,317) (14,123) (10) (14,113) 718,464 9,048 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 431 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk a b c d e f g h i j k l n o In millions of euros 31 December 2021 Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collateral and \ufb01nancial 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 defaulted of which stage 1 of which stage 2 of which stage 1 & 2 of which defaulted 005 Current accounts at central banks and other demand deposits 354,453 354,163 290 9 1 8 (22) (16) (6) (4) (4) 287 010 Loans and advances 852,797 748,331 104,466 28,994 390 28,604 (4,578) (1,881) (2,697) (15,517) (6) (15,511) 494,028 8,907 020 Central banks 2,885 2,883 2 1,674 030 General governments 28,873 27,293 1,580 209 116 93 (20) (5) (15) (29) (3) (26) 7,743 120 040 Credit institutions 10,071 9,905 166 78 78 (11) (10) (1) (74) (74) 3,003 1 050 Other \ufb01nancial corporations 91,970 87,352 4,618 1,066 7 1,059 (159) (54) (105) (672) (672) 15,584 301 060 Non-\ufb01nancial corporations 402,999 340,888 62,111 14,607 234 14,373 (2,063) (607) (1,456) (8,182) (2) (8,180) 240,729 5,018 070 of which SMEs 121,242 100,494 20,748 5,678 73 5,605 (820) (269) (551) (2,797) (1) (2,796) 85,405 2,332 080 Households 315,999 280,010 35,989 13,034 33 13,001 (2,325) (1,205) (1,120) (6,560) (1) (6,559) 225,295 3,467 090 Debt Securities 155,295 154,680 615 491 491 (81) (27) (54) (278) (278) 924 25 100 Central banks 6,274 6,250 24 1 1 (1) (1) 110 General governments 110,911 110,680 231 7 7 (29) (25) (4) 120 Credit institutions 15,907 15,907 102 102 (101) (101) 924 130 Other \ufb01nancial corporations 18,582 18,258 324 146 146 (50) (1) (49) (32) (32) 140 Non-\ufb01nancial corporations 3,621 3,585 36 235 235 (2) (1) (1) (144) (144) 25 Assets held for sale 85,135 80,765 4,370 409 409 (389) (172) (217) (87) (87) 44,531 271 150 Off-balance sheet exposures 536,752 502,063 34,689 1,951 18 1,933 (603) (230) (373) (354) (354) 116,926 259 160 Central banks 20,209 20,207 2 18,283 170 General governments 34,137 32,701 1,436 8 8 (8) (1) (7) 22,896 1 180 Credit institutions 13,513 12,976 537 (11) (4) (7) 300 190 Other \ufb01nancial corporations 79,424 76,596 2,828 50 50 (35) (16) (19) (16) (16) 22,455 2 200 Non-\ufb01nancial corporations 332,992 304,779 28,213 1,660 14 1,646 (458) (150) (308) (328) (328) 49,284 251 210 Households 56,477 54,804 1,673 233 4 229 (91) (59) (32) (10) (10) 3,708 5 220 TOTAL 1,984,432 1,840,002 144,430 31,854 409 31,445 (5,673) (2,326) (3,347) (16,240) (6) (16,234) 656,696 9,462 Changes in the stock of non-performing loans and advances (EU CR2) are presented in note 4.f to the \ufb01nancial statements. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 432 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u27a4 TABLE 49: PERFORMING AND NON-PERFORMING EXPOSURES BY PAST DUE DAYS (EU CQ3) [Audited] a b c d e f g h i j k l In millions of euros 31 December 2021 Performing exposures Non-performing exposures Not past due or \u2264 30 days > 30 days \u2264 90 days Unlikely to pay that are not past due or are past due \u2264 90 days > 90 days \u2264 180 days > 180 days \u2264 1 year > 1 year \u2264 2 years > 2 years \u2264 5 years > 5 year \u2264 7 years > 7 years of which defaulted 005 Current accounts at central banks and other demand deposits 326,410 326,410 4 1 3 3 010 Loans and advances 905,208 900,706 4,502 26,337 7,736 1,773 2,163 2,246 5,434 1,662 5,323 25,890 020 Central banks 13,619 13,619 030 General governments 31,523 31,462 61 199 35 6 7 40 68 35 8 100 040 Credit institutions 8,044 8,028 16 84 3 81 83 050 Other \ufb01nancial corporations 84,667 84,598 69 1,106 572 1 10 64 251 5 203 1,106 060 Non-\ufb01nancial corporations 437,918 434,683 3,235 13,196 4,314 687 970 903 2,286 968 3,068 12,867 070 of which SMEs 125,350 124,698 652 4,984 1,422 365 472 508 914 401 902 4,895 080 Households 329,437 328,316 1,121 11,752 2,815 1,079 1,176 1,236 2,829 654 1,963 11,734 090 Debt securities 154,741 154,741 348 232 4 101 11 348 100 Central banks 6,012 6,012 110 General governments 105,318 105,318 120 Credit institutions 13,320 13,320 103 4 99 103 130 Other \ufb01nancial corporations 24,801 24,801 111 100 2 9 111 140 Non-\ufb01nancial corporations 5,290 5,290 134 128 4 2 134 Assets held for sale 79,542 79,130 412 553 372 67 91 15 8 553 150 Off-balance sheet exposures 565,733 1,730 1,730 160 Central banks 50,759 1 1 170 General governments 12,256 10 10 180 Credit institutions 13,832 1 1 190 Other \ufb01nancial corporations 68,425 24 24 200 Non-\ufb01nancial corporations 363,252 1,489 1,489 210 Households 57,209 205 205 220 TOTAL 2,031,634 1,460,987 4,914 28,972 8,341 1,840 2,254 2,261 5,446 1,763 5,337 28,524 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 433 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk a b c d e f g h i j k l In millions of euros 31 December 2021 Performing exposures Non-performing exposures Not past due or \u2264 30 days > 30 days \u2264 90 days Unlikely to pay that are not past due or are past due \u2264 90 days > 90 days \u2264 180 days > 180 days \u2264 1 year > 1 year \u2264 2 years > 2 years \u2264 5 years > 5 year \u2264 7 years > 7 years of which defaulted 005 Current accounts at central banks and other demand deposits 354,453 354,452 1 9 6 3 8 010 Loans and advances 852,797 849,748 3,049 28,994 8,481 1,381 1,590 3,445 5,629 2,140 6,328 28,604 020 Central banks 2,885 2,885 030 General governments 28,873 28,850 23 209 20 46 5 1 104 19 14 93 040 Credit institutions 10,071 10,069 2 78 2 11 65 78 050 Other \ufb01nancial corporations 91,970 91,955 15 1,066 478 22 42 119 189 27 189 1,059 060 Non-\ufb01nancial corporations 402,999 401,013 1,986 14,607 4,850 380 571 1,837 2,045 1,176 3,748 14,373 070 of which SMEs 121,242 120,709 533 5,678 1,508 236 352 624 1,174 548 1,236 5,605 080 Households 315,999 314,976 1,023 13,034 3,133 933 972 1,486 3,291 907 2,312 13,001 090 Debt securities 155,295 155,295 491 365 4 102 20 491 100 Central banks 6,274 6,274 1 1 1 110 General governments 110,911 110,911 7 7 7 120 Credit institutions 15,907 15,907 102 1 99 2 102 130 Other \ufb01nancial corporations 18,582 18,582 146 131 3 12 146 140 Non-\ufb01nancial corporations 3,621 3,621 235 225 4 6 235 Assets held for sale 85,135 84,583 552 409 304 40 45 18 2 409 150 Off-balance sheet exposures 536,752 1,951 1,933 160 Central banks 20,209 170 General governments 34,137 8 8 180 Credit institutions 13,513 190 Other \ufb01nancial corporations 79,424 50 50 200 Non-\ufb01nancial corporations 332,992 1,660 1,646 210 Households 56,477 233 229 220 TOTAL 1,984,432 1,444,078 3,602 31,854 9,156 1,421 1,635 3,467 5,733 2,140 6,351 31,445 The table (EU CQ4) below shows the on- and off-balance sheet exposures. These exposures contribute to all Group risks, mainly credit risk. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 434 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u27a4 TABLEAU 50: EXPOSURES AND PROVISIONS BY GEOGRAPHIC BREAKDOWN (EU CQ4) [Audited] a b c d e f g In millions of euros 31 December 2022 Gross carrying amount/Nominal amount Accumulated impairment Provisions on off-balance sheet commitments and \ufb01nancial guarantees given Accumulated negative due to credit risk on non- performing exposures changes in fair value of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit- impaired (Stage 2) of which non-performing of which loans and advances subject to impairment of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit- impaired (Stage 2) of which defaulted of which defaulted 010 On balance sheet exposures 1,493,143 91,775 27,242 26,794 1,486,697 (18,972) (2,978) (13,736) - (61) of which balance sheet exposures of continuing activities 1,413,048 88,625 26,689 26,241 1,406,602 (18,643) (2,852) (13,674) (61) Europe (*) 1,122,545 67,479 22,341 22,137 1,118,922 (14,740) (2,322) (10,662) (61) France 518,296 25,082 7,657 7,518 516,899 (4,949) (855) (3,518) (17) Belgium 172,415 9,047 2,361 2,353 172,402 (1,368) (180) (1,035) Luxembourg 52,880 2,334 300 298 52,674 (176) (34) (113) (22) Italy 135,910 8,587 5,823 5,818 135,218 (4,068) (543) (3,132) (16) United Kingdom 54,639 6,040 1,149 1,145 54,172 (799) (119) (585) (3) Germany 47,965 5,405 1,224 1,207 47,620 (976) (178) (673) Netherlands 21,341 1,803 118 114 21,321 (135) (63) (52) Other European countries 119,099 9,181 3,709 3,684 118,616 (2,269) (350) (1,554) (3) North America 103,128 7,354 330 200 101,157 (238) (112) (94) Asia Paci\ufb01c 96,915 5,109 379 375 96,707 (356) (78) (174) Japan 23,942 1,225 70 70 23,942 (9) (5) (3) North Asia 29,143 2,162 63 61 29,129 (132) (24) (41) South-East Asia (ASEAN) 23,895 665 166 165 23,825 (168) (38) (108) Indian peninsula & Paci\ufb01c 19,935 1,057 80 79 19,811 (47) (11) (22) 070 Rest of the world 90,460 8,683 3,639 3,529 89,816 (3,309) (340) (2,744) T\u00fcrkiye 14,962 911 233 233 14,962 (338) (115) (151) Mediterranean 8,886 1,485 818 809 8,886 (722) (75) (608) Gulf States & Africa 14,696 1,099 2,005 2,003 14,696 (1,734) (71) (1,613) Latin America 17,922 1,999 295 294 17,922 (313) (37) (226) Other countries 33,994 3,189 288 190 33,350 (202) (42) (146) of which balance sheet exposures of assets held for sale 80,095 3,150 553 553 80,095 (329) (126) (62) 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 435 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk a b c d e f g In millions of euros 31 December 2022 Gross carrying amount/Nominal amount Accumulated impairment Provisions on off-balance sheet commitments and \ufb01nancial guarantees given Accumulated negative due to credit risk on non- performing exposures changes in fair value of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit- impaired (Stage 2) of which non-performing of which loans and advances subject to impairment of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit- impaired (Stage 2) of which defaulted of which defaulted 080 Off-balance sheet exposures 567,463 32,114 1,729 1,730 567,463 (980) (338) (316) (980) - Europe (*) 345,858 18,237 1,286 1,286 345,858 (633) (204) (196) (633) France 101,899 4,072 179 179 101,899 (158) (49) (41) (158) Belgium 40,336 3,115 252 252 40,336 (125) (22) (70) (125) Luxembourg 16,102 614 20 20 16,102 (20) (7) (1) (20) Italy 36,399 1,519 340 340 36,399 (104) (30) (44) (104) United Kingdom 42,349 3,014 326 326 42,349 (60) (33) (1) (60) Germany 31,969 1,545 50 50 31,969 (64) (25) (18) (64) Netherlands 15,774 946 20 20 15,774 (24) (11) (5) (24) Other European countries 61,030 3,412 99 99 61,030 (78) (27) (16) (78) North America 125,435 8,554 115 115 125,435 (133) (67) (19) (133) Asia Paci\ufb01c 34,728 1,655 3 3 34,728 (20) (8) (20) Japan 2,764 158 2,764 (1) (1) North Asia 18,354 588 18,354 (10) (4) (10) South-East Asia (ASEAN) 5,841 263 3 3 5,841 (4) (1) (5) Indian peninsula & Paci\ufb01c 7,769 646 7,769 (5) (3) (4) 140 Rest of the world 61,442 3,668 325 325 61,442 (194) (60) (101) (194) T\u00fcrkiye 4,891 338 13 13 4,891 (35) (19) (7) (35) Mediterranean 2,492 287 92 92 2,492 (54) (11) (37) (54) Gulf States & Africa 40,860 578 73 73 40,860 (79) (14) (56) (79) Latin America 5,316 1,026 141 141 5,316 (16) (10) (1) (16) Other countries 7,883 1,439 6 6 7,883 (10) (6) (10) 150 TOTAL 2,060,606 123,889 28,971 28,524 2,054,160 (19,952) (3,316) (14,052) (980) (61) (*) Within the European Union, the European Free Trade Association (EFTA) and the United Kingdom. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 436 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk a b c d e f g In millions of euros 31 December 2021 Gross carrying amount/Nominal amount Accumulated impairment Provisions on off-balance sheet commitments and \ufb01nancial guarantees given Accumulated negative due to credit risk on non- performing exposures changes in fair value of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit- impaired (Stage 2) of which non-performing of which loans and advances subject to impairment of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit- impaired (Stage 2) of which defaulted of which defaulted 010 On balance sheet exposures 1,477,584 110,059 29,903 29,512 1,470,951 (20,892) (2,980) (15,815) - (64) of which balance sheet exposures of continuing activities 1,392,039 105,689 29,494 29,103 1,385,407 (20,416) (2,763) (15,728) (64) Europe (*) 1,128,857 88,462 24,523 24,280 1,124,518 (16,142) (2,270) (12,245) (62) France 495,890 43,880 7,947 7,828 494,407 (5,479) (987) (4,028) (22) Belgium 186,737 12,722 2,414 2,325 186,714 (1,330) (184) (1,055) Luxembourg 55,596 1,525 199 197 55,452 (154) (33) (94) (3) Italy 135,674 8,038 7,495 7,494 135,226 (4,940) (489) (4,034) (29) United Kingdom 52,301 6,044 1,557 1,552 51,834 (1,023) (92) (809) (1) Germany 53,544 4,436 1,193 1,181 52,396 (876) (125) (643) Netherlands 21,250 2,264 122 120 21,220 (106) (46) (46) Other European countries 127,866 9,552 3,597 3,584 127,270 (2,234) (313) (1,535) (7) North America 82,882 4,570 265 248 82,836 (215) (99) (104) (1) Asia Paci\ufb01c 85,311 4,712 486 483 84,740 (354) (52) (238) (1) Japan 15,456 1,270 71 71 15,456 (14) (11) (2) North Asia 34,369 1,292 74 72 34,038 (97) (12) (42) South-East Asia (ASEAN) 15,412 810 177 176 15,206 (157) (20) (123) Indian peninsula & Paci\ufb01c 20,074 1,339 164 163 20,040 (86) (8) (72) (1) 70 Rest of the world 94,989 7,946 4,220 4,091 93,314 (3,705) (341) (3,142) T\u00fcrkiye 13,707 1,016 393 393 13,706 (412) (117) (230) Mediterranean 8,456 1,584 858 843 8,456 (757) (110) (610) Gulf States & Africa 13,683 1,537 2,048 2,046 13,683 (1,802) (45) (1,703) Latin America 15,485 1,616 291 289 15,485 (229) (35) (158) Other countries 43,659 2,193 630 520 41,984 (505) (34) (440) of which balance sheet exposures of assets held for sale 85,544 4,370 409 409 85,544 (476) (217) (87) 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 437 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk a b c d e f g In millions of euros 31 December 2021 Gross carrying amount/Nominal amount Accumulated impairment Provisions on off-balance sheet commitments and \ufb01nancial guarantees given Accumulated negative due to credit risk on non- performing exposures changes in fair value of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit- impaired (Stage 2) of which non-performing of which loans and advances subject to impairment of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit- impaired (Stage 2) of which defaulted of which defaulted 80 Off-balance sheet exposures 538,703 34,703 1,951 1,933 538,703 (958) (374) (354) (958) - Europe (*) 338,950 22,703 1,730 1,712 338,950 (663) (216) (262) (663) France 97,831 6,668 525 525 97,831 (160) (64) (44) (160) Belgium 40,339 2,532 347 334 40,339 (190) (50) (111) (190) Luxembourg 16,393 1,130 23 23 16,393 (9) (3) (1) (9) Italy 37,174 1,942 285 285 37,174 (101) (28) (39) (101) United Kingdom 37,911 4,335 225 225 37,911 (42) (29) (1) (42) Germany 33,695 1,367 118 118 33,695 (60) (10) (35) (60) Netherlands 15,072 1,180 60 60 15,072 (12) (3) (6) (12) Other European countries 60,536 3,550 147 142 60,536 (87) (29) (27) (87) North America 117,396 6,769 69 69 117,396 (120) (97) (9) (120) Asia Paci\ufb01c 24,381 1,453 3 3 24,381 (21) (12) (21) Japan 2,260 2,260 North Asia 8,259 626 1 1 8,259 (14) (9) (14) South-East Asia (ASEAN) 5,941 230 2 2 5,941 (4) (1) (4) Indian peninsula & Paci\ufb01c 7,920 598 7,920 (4) (2) (4) 140 Rest of the world 57,976 3,777 149 148 57,976 (154) (47) (82) (154) T\u00fcrkiye 3,842 553 16 16 3,842 (25) (16) (3) (25) Mediterranean 2,602 499 91 91 2,602 (43) (10) (25) (43) Gulf States & Africa 39,507 616 31 31 39,507 (73) (13) (53) (73) Latin America 4,901 604 2 2 4,901 (5) (3) (5) Other countries 7,125 1,505 8 8 7,125 (7) (5) (1) (7) 150 TOTAL 2,016,287 144,762 31,854 31,445 2,009,654 (21,850) (3,354) (16,170) (958) (64) (*) Within the European Union, the European Free Trade Association (EFTA) and the United Kingdom. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 438 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u27a4 TABLE 51: BREAKDOWN OF LOANS AND ADVANCES AND PROVISIONS TO NON-FINANCIAL CORPORATIONS BY INDUSTRY (EU CQ5) [Audited] a b c d e f In millions of euros 31 December 2022 Gross carrying amount/Nominal amount Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit impaired (Stage2) of which non-performing of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit impaired (Stage2) of which defaulted of which defaulted of which loans and advances subject to impairment On balance sheet exposures 482,673 64,359 13,622 13,242 479,359 (9,306) (1,492) (6,929) (22) of which balance sheet exposures of continuing activities 451,114 63,221 13,196 12,816 447,800 (9,165) (1,470) (6,892) (22) 010 Agriculture, forestry and \ufb01shing 13,302 1,409 526 510 13,102 (325) (69) (211) 020 Mining and quarrying 9,452 909 156 155 9,452 (123) (15) (93) 030 Manufacturing 90,538 11,715 2,723 2,687 88,733 (2,238) (323) (1,742) 040 Electricity, gas, steam and air conditioning supply 20,640 1,874 137 136 20,477 (135) (43) (68) 050 Water supply 2,934 195 148 148 2,935 (134) (4) (124) 060 Construction 24,991 3,288 2,262 2,226 24,970 (1,593) (83) (1,449) (3) 070 Wholesale and retail trade 62,880 11,433 1,919 1,818 62,857 (1,287) (195) (964) 080 Transport and storage 30,129 6,804 781 777 30,100 (551) (121) (386) 090 Accommodation and food service activities 7,567 2,299 528 527 7,540 (365) (113) (232) 100 Information and communication 15,925 1,824 204 201 15,435 (177) (27) (126) 110 Financial and insurance actvities 24,136 3,361 664 616 24,038 (346) (101) (195) 120 Real estate activities 65,402 6,708 1,199 1,188 65,209 (649) (146) (415) 130 Professional, scienti\ufb01c and technical activities 20,782 2,592 478 472 20,782 (333) (55) (228) 140 Administrative and support service activities 45,608 4,130 855 852 45,342 (588) (103) (444) In accordance with Implementing Regulation (EU) No. 2021/637, the table below (EU CQ5) shows the breakdown of loans and receivables with the scope of non-\ufb01nancial corporations. It does not take into account all exposures to central governments and central banks, credit institutions, \ufb01nancial companies and households. These on-balance sheet and off-balance sheet exposures contribute to all Group risks, mainly credit risk. These same balance sheet exposures of continuing activities, broken down by sector, are included in Table 114 \u2013 Credit quality of exposures by sector and residual maturities of section 5.11 Environmental, social and governance risks of this chapter. In the latter, exposures include, however, debt securities and equity instruments not held for trading. The breakdown by sector is made on the basis of economic activity as de\ufb01ned by the European Statistical Classi\ufb01cation of Economic Activities (NACE), declared by the legal entity counterparty of the asset. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 439 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk a b c d e f In millions of euros 31 December 2022 Gross carrying amount/Nominal amount Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit impaired (Stage2) of which non-performing of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit impaired (Stage2) of which defaulted of which defaulted of which loans and advances subject to impairment 150 Public administration and defence, compulsory social security 288 35 6 5 288 (5) (4) 160 Education 817 91 43 43 817 (18) (2) (14) 170 Human health services and social work activities 5,606 882 190 187 5,606 (134) (29) (94) 180 Arts, entertainment and recreation 2,207 433 153 153 2,207 (74) (17) (54) 190 Other services 7,911 3,239 224 115 7,910 (91) (24) (49) (19) of which balance sheet exposures of assets held for sale 31,559 1,138 426 426 31,559 (141) (22) (37) 200 Off-balance sheet exposures 364,740 27,119 1,489 1,489 364,740 (795) (280) (295) - Agriculture, forestry and \ufb01shing 2,164 132 10 10 2,164 (8) (2) Mining and quarrying 9,136 758 88 88 9,136 (9) (4) Manufacturing 118,678 7,287 326 326 118,678 (219) (89) (50) Electricity, gas, steam and air conditioning supply 26,268 1,300 49 49 26,268 (29) (9) (7) Water supply 3,535 170 4 4 3,535 (2) (1) Construction 34,086 3,754 431 431 34,086 (126) (30) (78) Wholesale and retail trade 42,621 2,591 178 178 42,621 (126) (29) (70) Transport and storage 21,354 4,634 267 267 21,354 (64) (49) (7) Accommodation and food service activities 2,334 167 23 23 2,334 (6) (2) (2) Information and communication 21,653 694 18 18 21,653 (16) (3) (2) Financial and insurance actvities 21,368 1,091 14 14 21,368 (68) (14) (43) Real estate activities 19,422 1,228 29 29 19,422 (22) (5) (8) Professional, scienti\ufb01c and technical activities 17,887 1,097 49 49 17,887 (20) (8) (2) 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 440 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk a b c d e f In millions of euros 31 December 2022 Gross carrying amount/Nominal amount Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit impaired (Stage2) of which non-performing of which instruments with signi\ufb01cant increase in credit risk since initial recognition but not credit impaired (Stage2) of which defaulted of which defaulted of which loans and advances subject to impairment Administrative and support service activities 14,374 1,152 130 130 14,374 (38) (19) (9) Public administration and defence, compulsory social security 748 28 748 Education 366 21 1 1 366 Human health services and social work activities 1,777 147 2 2 1,777 (16) (2) (12) Arts, entertainment and recreation 1,333 284 7 7 1,333 (6) (4) Other services 5,636 584 39 39 5,636 (20) (11) (4) TOTAL 847,413 91,478 15,111 14,731 844,099 (10,101) (1,772) (7,224) (22) 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 441 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk a b c d e f In millions of euros 31 December 2021 Gross carrying amount/Nominal amount Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures of which non-performing of which loans and advances subject to impairment of which defaulted On balance sheet exposures 446,833 14,827 14,566 44,4752 (10,446) - of which balance sheet exposures of continuing activities 417,607 14,607 14,347 415,526 (10,245) 010 Agriculture, forestry and \ufb01shing 13,096 629 611 12,811 (355) 020 Mining and quarrying 8,768 511 511 8,768 (438) 030 Manufacturing 82,820 3,366 3,353 82,819 (2,741) 040 Electricity, gas, steam and air conditioning supply 21,678 138 138 21,064 (83) 050 Water supply 2,316 158 158 2,316 (139) 060 Construction 23,574 2,326 2,307 23,568 (1,626) 070 Wholesale and retail trade 59,619 2,030 1,978 59,606 (1,491) 080 Transport and storage 30,900 888 886 30,857 (599) 090 Accommodation and food service activities 8,490 664 652 8,486 (395) 100 Information and communication 10,394 172 171 10,394 (139) 110 Financial and insurance actvities 18,733 253 252 17,890 (242) 120 Real estate activities 62,950 1,614 1,589 62,694 (904) 130 Professional, scienti\ufb01c and technical activities 18,865 400 389 18,865 (266) 140 Administrative and support service activities 38,134 772 768 38,127 (371) 150 Public administration and defence, compulsory social security 400 54 54 400 (41) 160 Education 817 36 35 817 (21) 170 Human health services and social work activities 5,220 165 165 5,213 (119) 180 Arts, entertainment and recreation 2,076 129 129 2,076 (115) 190 Other services 8,758 301 200 8,755 (162) of which balance sheet exposures of assets held for sale 29,226 219 219 29,226 (201) Industry risks are monitored in terms of gross exposure (1) and risk- weighted assets. Certain sectors, defined in accordance with the principles of the Group\u2019s Risk Appetite Statement, are subject to increased monitoring and speci\ufb01c reviews. Their monitoring is performed on a broadened scope, taking into account all the exposures of Business Group, and Legal Entities related to these sectors as de\ufb01ned by the internal risk management nomenclature. \u25a0 the leveraged \ufb01nance sector: The Group\u2019s exposure to Leverage Buy-Out transactions (\u201cLBO\u201d) with financial sponsors rises to EUR 18.4 billion at 31 December 2022, or 0.9% of the Group\u2019s gross on-balance sheet and off-balance sheet commitments compared to EUR 15.4 billion, or 0.8% at 31 December 2021. These exposures are individually very small with an average amount of EUR 5 million per commitment (EUR 14 million taking account of all business group exposures). This portfolio has been resilient in the current economic situation, with a decrease of defaulted outstandings (2%, compared to 2.7% in 2021) and also stage 3 provisions (EUR 125 million at 31 December 2022, versus EUR 211 million as at 31 December 2021). Moreover, the Group has reinforced during the year its monitoring and analysis process for leveraged companies, including during the syndication phases, in accordance with the guidelines given by the ECB, the Group introduced a set of new Risk Appetite Statement metrics for Leverage Finance ensuring a reinforced comprehensive supervision of all risks on this portfolio. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 442 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u25a0 the shipping sector: the shipping sector covers a set of segments with very different dynamics: bulk, oil and gas tankers, container carriers, oil services and cruises. In 2022, these different segments were affected in very heterogeneous ways by the evolution of the macro-economic environment. The cruise segment benefitted from a progressive recovery of demand but remains with the burden of banking debt and export \ufb01nance repayments that were delayed during the pandemic. Some signs of slowdown of the maritime container transport are visible since the second half of 2022, however this segment is still doing very well. Lastly, the dry bulk and tanker segments remain subject to high market volatility due to the consequences of the invasion of Ukraine. LNG and Floating Storage and Regasi\ufb01cation Units (FSRUs) bene\ufb01ted from a decrease of Russian natural gas exports to Europe and the change in the geopolitical context. The shipping industry has to face new environmental constraints (International Maritime Organisation (IMO) standards) involving investment efforts. A growing number of new orders concern hybrid LNG (Lique\ufb01ed Natural Gas) propulsion or other technologies with a reduced impact on the environment. At 31 December 2022, gross exposure of the shipping finance sector was EUR 21.5 billion, i.e. 1.1% of the Group\u2019s on-balance sheet and off-balance sheet credit exposures, compared to EUR 20.4 billion or 1.1% at 31 December 2021. Most of this exposure is borne by Corporate and Institutional Banking (more than 90%, stable compared to 2021), with good geographical diversi\ufb01cation of the client base. Doubtful loans account for 3.2% of the Group\u2019s exposure to the shipping \ufb01nance segment (compared to 4.1% of doubtful loans at 31 December 2021) and stage 3 provisions were EUR 230 million (compared to EUR 286 million in provisions at 31 December 2021). \u25a0 the aviation sector: Business activity in this sector is evenly split between airlines and aircraft leasing companies. The gross exposure is EUR 14.4 billion at 31 December 2022, i.e. 0.7% of the Group\u2019s total gross on- and off-balance sheet commitments, versus EUR 12.9 billion, i.e. 0.7% of the Group\u2019s total gross commitments at 31 December 2021. The increase of exposure of EUR 1.5 billion is mainly linked to the dollar increase compared to euro and short-term \ufb01nancings intended to be quickly re\ufb01nanced (bridge, underwriting). Origination continues to be concentrated on leading airlines and the latest technology aircrafts with lower environmental impact. The direct and indirect consequences of the invasion of Ukraine are limited on the cost of risk of this portfolio are limited. Thus, the amount of doubtful loans remains low at 31 December 2022, representing 5.2% of the sector\u2019s outstandings (versus 4.5% in 2021). As aircrafts \ufb01nancing is a highly collateralised business, stage 3 provisions are limited and represent EUR 111 million at 31 December 2022, compared to EUR 91 million at 31 December 2021; \u25a0 the commercial real estate sector: The commercial real estate sector comprises a set of sub-segments with very different dynamics depending on the destination of the asset (logistics, of\ufb01ce properties, accommodation and tourism, shopping centres, etc.) and the nature of the owner (institutional investor, asset manager, Private Equity funds, industrial, promoter, etc.) The portfolio is resilient, although certain sub-segments were more heavily affected, such as of\ufb01ces in the inner suburbs, shopping centers or tourist accommodation, which are gradually recovering from the consequences of the health crisis. At 31 December 2022, the gross exposure to the commercial real estate sector is EUR 82.6 billion, of which EUR 11.2 billion held for sale at Bank of the West (EUR 76.6 billion at 31 December 2021), i.e. 4.2% of the Group\u2019s total gross on- and off-balance sheet commitments (4.0% of total commitments in 2021), mainly in Europe and highly diversified between the various market segments, countries and entities of the Group. Furthermore, 46% of the commercial real estate counterparties have an Investment Grade rating (versus 45% in 2021). Doubtful loans represented 1.5% of the sector\u2019s total gross exposure (versus 1.8% in 2021). The segments most impacted by the health crisis are shopping centres (14% of the commercial real estate portfolio; the same as in 2021) and hotels (4% of the commercial real estate portfolio versus 5% in 2021). Commercial real estate stage 3 provisions represented EUR 411 million at 31 December 2022 (EUR 409 million at 31 December 2021); \u25a0 the electricity sector: The activity of this sector includes the production, transport and distribution of electricity. At 31 December 2022, Gross Exposure to the electricity sector represented EUR 55.3 billion (or 2.8% of the Group\u2019s total gross on- and off-balance sheet commitments) compared to EUR 44.5 billion at 31 December 2021 (2.3% of total commitment in 2021). 84% of the counterparties bene\ufb01t from a good credit quality rating (Investment Grade rating), and the amount of doubtful exposures is low, representing 0.4% of the sector as of 31 December 2022 (compared to 0.5% in 2021). Stage 3 provisions amount to 74 million at 31 December 2022, a stable level compared to last year. The Group remains diversi\ufb01ed. No sector makes up more than 10% of total corporate lending or more than 4.2% of total lending at 31 December 2022, as at 31 December 2021. At 31 December 2022, doubtful loans decreased resulting from a decrease in corporate (-EUR 1.7 billion) and retail (-EUR 1.6 billion), especially in Italy, followed by Personal Finance linked with the disposal of non- performing portfolios. The main effects explaining changes in the amount of doubtful outstandings in 2022 (EU CR2-B) are presented in note 4.f to the consolidated \ufb01nancial statements. The cost of risk and the change in impairment in respect of credit risk are presented in note 2.h to the consolidated \ufb01nancial statements (Cost of risk). The following table shows the carrying amounts of the \ufb01nancial assets and commitments at amortised cost and fair value through equity subject to impairment provisions for credit risk (i.e. excluding instruments at fair value through pro\ufb01t and loss) broken down by stage of impairment and by BNP Paribas internal rating in the prudential scope. Financial assets subject to impairment are recognised in the following accounting categories: \u25a0 amounts due from central banks (excluding cash); \u25a0 debt securities at fair value through equity or at amortised cost; \u25a0 loans and advances at amortised cost; \u25a0 \ufb01nancing and guarantee commitments given (off-balance sheet). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 443 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u27a4 TABLE 52: BREAKDOWN OF FINANCIAL ASSETS SUBJECT TO IMPAIRMENT BY STAGE AND RATING [Audited] In millions of euros 31 December 2022 Gross carrying value Impairments Net carrying value BNP Paribas rating or equivalent TOTAL 1 to 3 4 to 5 6 to 8 9 to 10 Defaulted Central Banks 310,779 2,185 2,368 226 315,558 (21) 315,537 Stage 1 310,779 2,126 2,070 314,975 (15) 314,960 Stage 2 59 298 226 583 (6) 577 Stage 3 Debt securities at fair value through equity 35,431 1,856 1,291 14 108 38,700 (130) 38,570 Stage 1 35,431 1,794 1,208 14 38,447 (15) 38,432 Stage 2 62 83 145 (15) 130 Stage 3 108 108 (100) 8 Loans and advances at amortised cost 224,883 287,238 378,444 22,095 25,842 938,502 (18,361) 920,141 Stage 1 221,538 274,000 321,860 7,752 825,150 (2,050) 823,100 Stage 2 3,345 13,238 56,584 14,343 87,510 (2,829) 84,681 Stage 3 25,842 25,842 (13,482) 12,360 Debt securities at amortised cost 95,454 13,614 4,521 97 155 113,841 (130) 113,711 Stage 1 95,454 13,593 4,199 53 113,299 (27) 113,272 Stage 2 21 322 44 387 (10) 377 Stage 3 155 155 (93) 62 Assets held for sale 24,979 7,923 46,036 605 553 80,096 (329) 79,767 Stage 1 24,979 7,795 43,251 368 76,393 (141) 76,252 Stage 2 128 2,785 237 3,150 (126) 3,024 Stage 3 553 553 (62) 491 Financing and guarantee commitments 268,021 161,600 128,697 7,415 1,730 567,463 (980) 566,483 Stage 1 265,880 154,481 111,371 1,887 533,619 (326) 533,293 Stage 2 2,141 7,119 17,326 5,528 32,114 (338) 31,776 Stage 3 1,730 1,730 (316) 1,414 TOTAL 959,547 474,416 561,357 30,452 28,388 2,054,160 (19,951) 2,034,209 Financial assets subject to impairments were up by EUR 45 billion, an increase of 2% compared to 31 December 2021. This change mainly relates to \ufb01nancial assets and commitments rated 1 to 3 (+EUR 16 billion, i.e. +2% compared to 31 December 2021) and rated 4 to 5 (+EUR 18 billion, i.e. +4% compared to 31 December 2021). The change in the criteria for assessing a signi\ufb01cant increase in credit risk (see note 2.h Cost of risk) also contributed to a transfer of EUR 27 billion in loans and receivables recognised at amortised cost from stage 2 to stage 1. This transfer mainly concerns the least risky outstandings among those previously classi\ufb01ed in stage 2 (mainly \ufb01nancial assets rated 5 to 7). Excluding the effect of this change in estimate, loans and receivables classi\ufb01ed in stage 2 increased by EUR 10 billion during 2022. This change is closely linked to the deterioration of the economic environment, which weighed on the assessment of the signi\ufb01cant increase in credit risk criterion. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 444 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk In millions of euros 31 December 2021 Gross carrying value Impairments Net carrying value BNP Paribas rating or equivalent TOTAL 1 to 3 4 to 5 6 to 8 9 to 10 Defaulted Central Banks 340,622 1,927 2,728 174 345,451 (18) 345,433 Stage 1 340,622 1,927 2,573 114 345,236 (13) 345,223 Stage 2 155 60 215 (5) 210 Stage 3 Debt securities at fair value through equity 37,169 3,076 1,374 13 105 41,737 (140) 41,597 Stage 1 37,169 2,999 1,251 11 41,430 (7) 41,423 Stage 2 77 123 2 202 (29) 173 Stage 3 105 105 (104) 1 Loans and advances at amortised cost 200,532 274,826 368,707 16,050 28,558 888,673 (20,090) 868,583 Stage 1 200,532 255,746 298,977 755,255 (1,884) 753,371 Stage 2 19,080 69,730 16,050 104,860 (2,704) 102,156 Stage 3 28,558 28,558 (15,502) 13,056 Debt securities at amortised cost 94,628 10,513 3,633 513 260 109,547 (168) 109,379 Stage 1 94,628 10,513 3,304 429 108,874 (20) 108,854 Stage 2 329 84 413 (25) 388 Stage 3 260 260 (123) 137 Assets held for sale 35,768 6,548 42,685 134 409 85,544 (476) 85,068 Stage 1 35,768 6,158 38,839 80,765 (172) 80,593 Stage 2 390 3,846 134 4,370 (217) 4,153 Stage 3 409 409 (87) 322 Financing and guarantee commitments 234,745 159,347 133,879 8,799 1,933 538,703 (958) 537,745 Stage 1 234,745 154,075 113,247 502,067 (230) 501,837 Stage 2 5,272 20,632 8,799 34,703 (374) 34,329 Stage 3 1,933 1,933 (354) 1,579 TOTAL 943,464 456,237 553,006 25,683 31,265 2,009,655 (21,850) 1,987,805 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 445 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk RESTRUCTURED LOANS [Audited] When a borrower is bordering on or is in \ufb01nancial dif\ufb01culties, he may receive a concession from the Bank that would otherwise not have been granted if the borrower had not met with \ufb01nancial dif\ufb01culties. The concession may be: \u25a0 a change to the contract terms and conditions; \u25a0 partial or total re\ufb01nancing of the debt. The loan is then said to be \u201crestructured\u201d. It must retain the status of \u201crestructured\u201d during a period of observation, known as a probation period, for at least two years. The concept of restructuring is described in the accounting principles (note 1.e.5 to the consolidated \ufb01nancial statements) and is aligned with the de\ufb01nition in Annex V to Regulation (EU) No. 680/2014. According to the principles for identifying the restructured exposure amounts for the Group as a whole, for the non-retail business, exposures are identified individually during the loan process, notably during Committees. As for restructured exposures for retail customers, they are usually identi\ufb01ed via a systematic process requiring the use of algorithms whose parameters are validated by the RISK and Finance & Strategy Functions. Information on restructured loans is reported to the supervisory authority on a quarterly basis. The following table shows the gross value and impairment amounts of performing and non-performing loans that have been restructured. \u27a4 TABLE 53: CREDIT QUALITY OF RESTRUCTURED LOANS (EU CQ1) [Audited] a b c e f g h In millions of euros 31 December 2022 Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collaterals received and \ufb01nancial guarantees received Performing exposures Non-performing exposures On performing exposures On non- performing exposures of which Collateral and \ufb01nancial guarantees received on non- performing exposures of which defaulted Loans and advances 9,461 7,889 7,866 (491) (3,154) 8,749 2,662 General governments 7 7 7 (1) (4) 4 Credit institutions 5 5 (5) Other \ufb01nancial corporations 313 427 427 (18) (194) 315 206 Non-\ufb01nancial corporations 6,870 3,720 3,701 (319) (1,533) 6,278 1,604 Households 2,271 3,731 3,727 (154) (1,417) 2,151 852 Debt securities 102 102 (53) 20 20 Assets held for sale 123 134 134 (5) (6) 239 127 Loan commitments given 2,209 150 150 (34) (14) 1,401 29 TOTAL 11,793 8,275 8,252 (530) (3,227) 10,409 2,838 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 446 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk a b c e f g h In millions of euros 31 December 2021 Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collaterals received and \ufb01nancial guarantees received Performing exposures Non-performing exposures On performing exposures On non- performing exposures of which Collateral and \ufb01nancial guarantees received on non- performing exposures of which defaulted Loans and advances 11,027 9,042 8,930 (523) (3,614) 9,851 3,054 General governments 7 10 10 (1) (6) 5 1 Credit institutions 4 4 (4) Other \ufb01nancial corporations 478 252 249 (14) (98) 413 120 Non-\ufb01nancial corporations 7,188 4,433 4,345 (300) (1,801) 6,706 2,009 Households 3,354 4,343 4,322 (208) (1,705) 2,727 924 Debt securities 203 203 (81) 25 25 Assets held for sale 98 134 134 (5) (15) 188 106 Loan commitments given 2,768 389 371 (17) (28) 1,884 33 TOTAL 13,893 9,768 9,638 (545) (3,737) 11,948 3,218 EXPOSURES SUBJECT TO MORATORIA AND PUBLIC GUARANTEE SCHEMES EXPOSURES SUBJECT TO MORATORIA In response to the public health crisis, the Group has granted its customers moratoria, most often consisting of extensions of a few months (see also the paragraph Restructuring of \ufb01nancial assets due to \ufb01nancial dif\ufb01culties in note 1.e.5 to the consolidated \ufb01nancial statements). These moratoria may be based on national law (so-called legislative moratoria) or on an agreed or coordinated payment reduction initiative within the banking sector (so-called non-legislative moratoria). At 31 December 2022, the Group\u2019s exposure to loans subject to moratoria (1) (including expired moratoria) amounted to EUR 27.3 billion. Around 425,000 moratoria (2) expired as at 31 December 2022, i.e. 99.9% of the Group\u2019s exposure to loans subject to moratoria. More than 96% of expired moratoria are performing. The amount of unexpired moratoria at 31 December 2022 is EUR 18 million, compared with EUR 113 million at 31 December 2021. (1) Moratoria quali\ufb01ed as \u201cCovid-19 moratorium measure\u201d meeting the criteria de\ufb01ned in EBA Guidelines published on 2 April 2020. (2) Number of individual customers and companies whose moratoria expired. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 447 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u27a4 TABLE 54: BREAKDOWN OF EXPOSURES SUBJECT TO LEGISLATIVE AND NON-LEGISLATIVE MORATORIA (1) BY RESIDUAL MATURITY OF MORATORIA [Audited] In millions of euros 31 December 2022 Number of obligors Gross carrying amount of which legislative moratoria of which expired moratoria Residual maturity of moratoria \u2264 3 months > 3 months \u2264 6 months > 6 months \u2264 9 months > 9 months \u2264 12 months > 12 months Loans and advances for which moratorium was offered 427,260 27,347 Loans and advances subject to moratorium (granted) 427,052 27,316 2,712 27,298 18 of which households 10,156 1,340 10,152 3 of which collateralised by residential immovable property 5,337 1,059 5,337 of which non-\ufb01nancial corporations 16,723 1,357 16,708 15 of which SME 9,727 915 9,727 of which collateralised by commercial immovable property 6,919 261 6,919 In millions of euros 31 December 2021 Number of obligors Gross carrying amount of which legislative moratoria of which expired moratoria Residual maturity of moratoria \u2264 3 months > 3 months \u2264 6 months > 6 months \u2264 9 months > 9 months \u2264 12 months > 12 months Loans and advances for which moratorium was offered 591,841 36,267 Loans and advances subject to moratorium (granted) 591,479 36,199 3,680 36,086 76 15 21 of which households 12,455 1,708 12,418 27 7 2 of which collateralised by residential immovable property 6,048 1,134 6,030 11 4 2 of which non-\ufb01nancial corporations 22,607 1,965 22,530 49 8 19 of which SME 13,410 1,444 13,369 16 7 18 of which collateralised by commercial immovable property 6,284 377 6,284 (1) Moratoria quali\ufb01ed as \u201cCovid-19 moratorium measure\u201d meeting the criteria de\ufb01ned in EBA Guidelines published on 2 April 2020. Loans and advances subject to a moratorium (1) (including expired moratoria) were granted to households in the amount of EUR 10.2 billion and to non-financial companies in the amount of EUR 16.7 billion.. The breakdown of the residual maturities of the moratoria reflects the measures taken in the countries where the Group operates. At 31 December 2022, all of the unexpired moratoria have a residual maturity of less than three months. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 448 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u27a4 TABLE 55: EXPOSURES SUBJECT TO NON-EXPIRED MORATORIA (1) [Audited] In millions of euros Gross carrying amount Performing exposure Non-performing exposure of which exposures with forbearance measures of which stage 2 of which exposures with forbearance measures of which unlikely to pay that are not past-due or past-due \u2264 90 days Loans and advances subject to moratorium 18 16 1 10 2 2 2 of which households 3 1 1 1 2 2 2 of which collateralised by residential immovable property of which non-\ufb01nancial corporations 15 15 9 of which SME of which collateralised by commercial immovable property In millions of euros Gross carrying amount Performing exposure Non-performing exposure of which exposures with forbearance measures of which stage 2 of which exposures with forbearance measures of which unlikely to pay that are not past-due or past-due \u2264 90 days Loans and advances subject to moratorium 113 97 12 41 16 15 4 of which households 37 27 4 7 10 9 3 of which collateralised by residential immovable property 17 11 4 5 6 6 of which non-\ufb01nancial corporations 76 70 8 34 6 6 1 of which SME 41 37 6 7 4 4 1 of which collateralised by commercial immovable property (1) Moratoria quali\ufb01ed as \u201cCovid-19 moratorium measure\u201d meeting the criteria de\ufb01ned in EBA Guidelines published on 2 April 2020. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 449 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk 31 December 2022 Accumulated impairment, accumulated negative changes in fair value due to credit risk Gross carrying amount \u2013 in\ufb02ows to non-performing exposures since 30 June 2022 Performing exposure Non-performing exposure of which exposures with forbearance measures of which stage 2 of which exposures with forbearance measures of which unlikely to pay that are not past-due or past- due \u2264 90 days (2) (1) (1) (1) (1) 1 (1) (1) (1) 1 (1) (1) (1) 31 December 2021 Accumulated impairment, accumulated negative changes in fair value due to credit risk Gross carrying amount \u2013 in\ufb02ows to non-performing exposures since 30 June 2021 Performing exposure Non-performing exposure of which exposures with forbearance measures of which stage 2 of which exposures with forbearance measures of which unlikely to pay that are not past-due or past- due \u2264 90 days (11) (7) (1) (4) (5) (4) (1) 12 (7) (3) (1) (4) (4) (1) 2 (3) (3) (3) (5) (4) (1) (4) 10 (2) (1) (1) (1) 9 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 450 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk PUBLIC GUARANTEE SCHEMES At 31 December 2022, the Group has granted more than 110,000 loans guaranteed by States through its Retail Banking networks of Domestic Markets and international networks. \u27a4 TABLE 56: LOANS AND ADVANCES SUBJECT TO PUBLIC GUARANTEE SCHEMES [Audited] In millions of euros 31 December 2022 Gross carrying amount Public guarantees received Gross carrying amount \u2013 in\ufb02ows to non-performing exposures since 30 June 2022 of which exposures with forbearance measures Newly originated loans and advances subject to public guarantee schemes 17,378 238 15,423 162 of which households 671 12 of which collateralised by residential immovable property 1 of which non-\ufb01nancial corporations 16,342 231 14,497 149 of which SME 8,672 137 of which collateralised by commercial immovable property 211 18 In millions of euros 31 December 2021 Gross carrying amount Public guarantees received Gross carrying amount \u2013 in\ufb02ows to non-performing exposures since 30 June 2021 of which exposures with forbearance measures Newly originated loans and advances subject to public guarantee schemes 20,100 203 17,893 122 of which households 803 8 of which collateralised by residential immovable property 1 of which non-\ufb01nancial corporations 18,708 194 16,633 113 of which SME 10,267 75 of which collateralised by commercial immovable property 250 3 At 31 December 2022, the total amount of loans guaranteed by States, granted by the Group, mainly in France and Italy, amounted to EUR 17.4 billion, for a corresponding guarantee amount of EUR 15.4 billion, (i.e. 89% of outstandings). These loans are spread across all sectors. State-guaranteed loans (SGL) have enabled their subscribers to bene\ufb01t from a repayment grace period of one year. At the end of this \ufb01rst year, subscribers had the option to repay their loan, partially or in full, or to extend it over a maximum period of \ufb01ve years with the possibility of another repayment grace period of one year. CREDIT RISK MITIGATION TECHNIQUES Credit risk mitigation techniques are divided into two main categories: \u25a0 funded credit protection (collateral) pledged to the Bank is used to secure timely performance of a borrower\u2019s \ufb01nancial obligations; \u25a0 unfunded credit protection (personal guarantee) is the commitment by a third party to replace the primary obligor in the event of default. Thus, public guarantee mechanisms are considered as personal guarantees. By extension, credit insurance and credit derivatives (purchased protection) fall into this category. The amount of personal guarantees and collateral recognised on loans and receivables, and debt securities in the prudential reporting scope amounted to EUR 600 billion at 31 December 2022. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 451 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk \u27a4 TABLE 57: CREDIT RISK MITIGATION TECHNIQUES (EU CR3) [Audited] a b c d e In millions of euros 31 December 2022 Gross carrying amount Unsecured net carrying amount Secured net carrying amount Secured by physical collateral Secured by personal guarantees Secured by credit derivatives 1 Loans and advances 1,257,959 689,778 549,777 298,331 251,446 2 Debt securities 155,088 151,587 3,202 1,122 2,080 Assets held for sale 80,095 32,729 47,037 38,998 8,039 3 TOTAL 1,493,143 874,094 600,016 338,451 261,565 - 4 of which non-performing exposures 26,689 4,565 8,378 5,616 2,762 EU-5 of which defaulted 26,240 4,378 8,217 5,590 2,626 a b c d e In millions of euros 31 December 2021 Gross carrying amount Unsecured net carrying amount Secured net carrying amount Secured by physical collateral Secured by personal guarantees Secured by credit derivatives 1 Loans and advances 1,236,254 712,911 503,222 254,125 249,097 2 Debt securities 155,785 154,477 950 950 Assets held for sale 85,544 40,267 44,802 35,257 9,545 3 TOTAL 1,477,584 907,655 548,973 290,331 258,642 - 4 of which non-performing exposures 29,494 4,762 8,932 6,075 2,857 EU-5 of which defaulted 29,103 4,627 8,718 5,998 2,720\u27a4 TABLE 60: COLLATERAL OBTAINED BY TAKING POSSESSION AND EXECUTION PROCESSES (EU CQ7) [Audited] a b a b In millions of euros 31 December 2022 31 December 2021 Collateral obtained by taking possession accumulated (*) Collateral obtained by taking possession accumulated (*) Value at initial recognition Accumulated negative changes Value at initial recognition Accumulated negative changes 010 Property, Plant and Equipment (PP&E) 020 Other than Property, Plant and Equipment 270 (35) 305 (56) 030 Residential immovable property 224 (35) 258 (56) 040 Commercial immovable property 8 8 050 Movable property (auto, shipping, etc.) 060 Equity and debt instruments 22 24 070 Other collateral 16 15 080 TOTAL 270 (35) 305 (56) (*) The amount of assets held for sale are included in the amounts of collateral presented in the table above. Collateral obtained by taking possession includes assets obtained in exchange for cancellation of the receivable, whether on a voluntary basis or on foot of legal proceedings. ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfCreditRiskExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9581": {
   "value": "1.e.7 Financial instruments at fair value through profit or loss Trading portfolio and other financial assets measured at fair value through profit or loss The trading portfolio includes instruments held for trading (trading transactions), including derivatives. Other \ufb01nancial assets measured at fair value through pro\ufb01t or loss include debt instruments that do not meet the \u201ccollect\u201d or \u201ccollect and sale\u201d business model criterion or that do not meet the cash \ufb02ow criterion, as well as equity instruments for which the fair value through shareholders\u2019 equity option has not been retained. All those \ufb01nancial instruments are measured at fair value at initial recognition, with transaction costs directly posted in pro\ufb01t or loss. At the reporting date, they are measured at fair value, with changes presented in \u201cNet gain/loss on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d. Income, dividends, and realised gains and losses on disposal related to held-for-trading transactions are accounted for in the same pro\ufb01t or loss account. Financial liabilities designated as at fair value through profit or loss Financial liabilities are recognised under option in this category in the two following situations: \u25a0 for hybrid \ufb01nancial instruments containing one or more embedded derivatives which otherwise would have been separated and accounted for separately. An embedded derivative is such that its economic characteristics and risks are not closely related to those of the host contract; \u25a0 when using the option enables the entity to eliminate or signi\ufb01cantly reduce a mismatch in the measurement and accounting treatment of assets and liabilities that would otherwise arise if they were to be classi\ufb01ed in separate categories. Changes in fair value due to the own credit risk are recognised under a speci\ufb01c heading of shareholders\u2019 equity.Financial assets at fair value through profit or loss The category \u2018Financial assets at fair value through pro\ufb01t or loss\u2019 includes derivatives and \ufb01nancial assets that the Group has elected to recognise and measure at fair value through pro\ufb01t or loss at inception, in accordance with the option offered by IAS 39. Financial assets may be designated at fair value through pro\ufb01t or loss in the following cases (in accordance with IAS 39): \u25a0 hybrid \ufb01nancial instruments containing one or more embedded derivatives which otherwise would have been separated and accounted for separately. An embedded derivative is such that its economic characteristics and risks are not closely related to those of the host contract; \u25a0 where using the option enables the entity to eliminate or signi\ufb01cantly reduce a mismatch in the measurement and accounting treatment of assets and liabilities that would arise if they were to be classi\ufb01ed in separate accounting categories; \u25a0 when the group of \ufb01nancial assets and/or \ufb01nancial liabilities is managed and measured on the basis of fair value, in accordance with a documented risk management and investment strategy. Investments held in respect of insurance or investment contracts where the \ufb01nancial risk is borne by policyholders (unit-linked contracts) are recognised at fair value option through pro\ufb01t or loss. When the Group measures at fair value through pro\ufb01t or loss investments made in respect of its insurance activities in entities over which it exercises signi\ufb01cant in\ufb02uence or joint control, these investments are presented under the line \u201cFinancial assets at fair value through pro\ufb01t or loss\u201d (see note 1.b.2). Financial instruments classi\ufb01ed in this category are initially recognised at their fair value, with transaction costs being directly recognised in the income statement. At the closing date, they are valued at their fair value. Changes in value compared to the last valuation, income, dividends and realised gains and losses are presented under \u201cNet income from insurance activities\u201d and under \u201cNet gain on \ufb01nancial instruments at fair value through pro\ufb01t or loss",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForFinancialInstrumentsAtFairValueThroughProfitOrLossExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-2707": {
   "value": "1.e.7 Financial instruments at fair value through profit or loss Trading portfolio and other financial assets measured at fair value through profit or loss The trading portfolio includes instruments held for trading (trading transactions), including derivatives. Other \ufb01nancial assets measured at fair value through pro\ufb01t or loss include debt instruments that do not meet the \u201ccollect\u201d or \u201ccollect and sale\u201d business model criterion or that do not meet the cash \ufb02ow criterion, as well as equity instruments for which the fair value through shareholders\u2019 equity option has not been retained. All those \ufb01nancial instruments are measured at fair value at initial recognition, with transaction costs directly posted in pro\ufb01t or loss. At the reporting date, they are measured at fair value, with changes presented in \u201cNet gain/loss on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d. Income, dividends, and realised gains and losses on disposal related to held-for-trading transactions are accounted for in the same pro\ufb01t or loss account. Financial liabilities designated as at fair value through profit or loss Financial liabilities are recognised under option in this category in the two following situations: \u25a0 for hybrid \ufb01nancial instruments containing one or more embedded derivatives which otherwise would have been separated and accounted for separately. An embedded derivative is such that its economic characteristics and risks are not closely related to those of the host contract; \u25a0 when using the option enables the entity to eliminate or signi\ufb01cantly reduce a mismatch in the measurement and accounting treatment of assets and liabilities that would otherwise arise if they were to be classi\ufb01ed in separate categories. Changes in fair value due to the own credit risk are recognised under a speci\ufb01c heading of shareholders\u2019 equity.Financial assets at fair value through profit or loss The category \u2018Financial assets at fair value through pro\ufb01t or loss\u2019 includes derivatives and \ufb01nancial assets that the Group has elected to recognise and measure at fair value through pro\ufb01t or loss at inception, in accordance with the option offered by IAS 39. Financial assets may be designated at fair value through pro\ufb01t or loss in the following cases (in accordance with IAS 39): \u25a0 hybrid \ufb01nancial instruments containing one or more embedded derivatives which otherwise would have been separated and accounted for separately. An embedded derivative is such that its economic characteristics and risks are not closely related to those of the host contract; \u25a0 where using the option enables the entity to eliminate or signi\ufb01cantly reduce a mismatch in the measurement and accounting treatment of assets and liabilities that would arise if they were to be classi\ufb01ed in separate accounting categories; \u25a0 when the group of \ufb01nancial assets and/or \ufb01nancial liabilities is managed and measured on the basis of fair value, in accordance with a documented risk management and investment strategy. Investments held in respect of insurance or investment contracts where the \ufb01nancial risk is borne by policyholders (unit-linked contracts) are recognised at fair value option through pro\ufb01t or loss. When the Group measures at fair value through pro\ufb01t or loss investments made in respect of its insurance activities in entities over which it exercises signi\ufb01cant in\ufb02uence or joint control, these investments are presented under the line \u201cFinancial assets at fair value through pro\ufb01t or loss\u201d (see note 1.b.2). Financial instruments classi\ufb01ed in this category are initially recognised at their fair value, with transaction costs being directly recognised in the income statement. At the closing date, they are valued at their fair value. Changes in value compared to the last valuation, income, dividends and realised gains and losses are presented under \u201cNet income from insurance activities\u201d and under \u201cNet gain on \ufb01nancial instruments at fair value through pro\ufb01t or loss2.c NET GAIN ON FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH PROFIT OR LOSS Net gain on \ufb01nancial instruments measured at fair value through pro\ufb01t or loss includes all pro\ufb01t and loss items relating to \ufb01nancial instruments held for trading, \ufb01nancial instruments that the Group has designated as at fair value through pro\ufb01t or loss, non-trading equity instruments that the Group did not choose to measure at fair value through equity, as well as debt instruments whose cash \ufb02ows are not solely repayments of principal and interest on the principal or whose business model is not to collect cash \ufb02ows nor to collect cash \ufb02ows and sell the assets. These income items include dividends on these instruments and exclude interest income and expense from \ufb01nancial instruments designated as at fair value through pro\ufb01t or loss and instruments whose cash \ufb02ows are not only repayments of principal and interest on the principal or whose business model is not to collect cash \ufb02ows nor to collect cash \ufb02ows and sell the assets, which are presented in \u201cNet interest income\u201d (note 2.a). In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Financial instruments held for trading (2,017) 6,293 Interest rate and credit instruments (6,014) (2,633) Equity \ufb01nancial instruments (3,268) 5,641 Foreign exchange \ufb01nancial instruments 5,898 2,317 Loans and repurchase agreements (1,320) (116) Other \ufb01nancial instruments 2,687 1,084 Financial instruments designated as at fair value through pro\ufb01t or loss 11,328 281 Other \ufb01nancial instruments at fair value through pro\ufb01t or loss 143 956 Impact of hedge accounting (96) 85 Fair value hedging derivatives (9,123) (2,445) Hedged items in fair value hedge 9,027 2,530 NET GAIN ON FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH PROFIT OR LOSS 9,358 7,615 Gains and losses on \ufb01nancial instruments designated as at fair value through pro\ufb01t or loss are mainly related to instruments for which changes in value may be compensated by changes in the value of economic hedging derivative \ufb01nancial instruments held for trading. Net gain on \ufb01nancial instruments held for trading in 2022 and 2021 includes a non-material amount related to the ineffective portion of cash \ufb02ow hedges. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 213 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Potential sources of ineffectiveness can be the differences between hedging instruments and hedged items, notably generated by mismatches in the terms of hedged and hedging instruments, such as the frequency and timing of interest rates resetting, the frequency of payments and the discounting factors, or when hedging derivatives have a non-zero fair value at the inception date of the hedging relationship. Credit valuation adjustments applied to hedging derivatives are also sources of ineffectiveness. Cumulated changes in fair value related to discontinued cash \ufb02ow hedge relationships, previously recognised in equity and included in 2022 in pro\ufb01t and loss accounts are not material, whether the hedged item ceased to exist or not.4.a FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH PROFIT OR LOSS Financial assets and liabilities at fair value through profit or loss Financial assets and \ufb01nancial liabilities at fair value through pro\ufb01t or loss consist of held-for-trading transactions \u2013 including derivatives, of certain liabilities designated by the Group as at fair value through pro\ufb01t or loss at the time of issuance and of non-trading instruments whose characteristics prevent their accounting at amortised cost or at fair value through equity. In millions of euros 31 December 2022 31 December 2021 Financial instruments held for trading Financial instruments designated as at fair value through pro\ufb01t or loss Other \ufb01nancial assets at fair value through pro\ufb01t or loss Total Financial instruments held for trading Financial instruments designated as at fair value through pro\ufb01t or loss Other \ufb01nancial assets at fair value through pro\ufb01t or loss Total Securities 157,138 1,273 7,666 166,077 181,079 2,898 7,530 191,507 Loans and repurchase agreements 186,968 4,157 191,125 247,507 2,301 249,808 FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS 344,106 1,273 11,823 357,202 428,586 2,898 9,831 441,315 Securities 99,155 99,155 112,338 112,338 Deposits and repurchase agreements 232,351 1,725 234,076 291,577 1,879 293,456 Issued debt securities (note 4.h) 70,460 70,460 70,383 70,383 of which subordinated debt 675 675 947 947 of which non subordinated debt 64,110 64,110 62,334 62,334 of which debt representative of shares of consolidated funds held by third parties 5,675 5,675 7,102 7,102 FINANCIAL LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS 331,506 72,185 403,691 403,915 72,262 476,177 Detail of these assets and liabilities is provided in note 4.d. Financial liabilities designated as at fair value through profit or loss Financial liabilities at fair value through pro\ufb01t or loss mainly consist of issued debt securities, originated and structured on behalf of customers, where the risk exposure is managed in combination with the hedging strategy. These types of issued debt securities contain signi\ufb01cant embedded derivatives, which changes in value may be compensated by changes in the value of economic hedging derivatives. The redemption value of debt issued and designated as at fair value through pro\ufb01t or loss at 31 December 2022 was EUR 70,940 million (EUR 59,958 million at 31 December 2021). Other financial assets measured at fair value through profit or loss Other \ufb01nancial assets at fair value through pro\ufb01t or loss are \ufb01nancial assets not held for trading: \u25a0 debt instruments that do not meet the criteria de\ufb01ned by IFRS 9 to be classi\ufb01ed as \ufb01nancial instruments at \u201cfair value through equity\u201d or at \u201camortised cost\u201d: \u25a0 their business model is not to \u201ccollect contractual cash \ufb02ows\u201d nor \u201ccollect contractual cash \ufb02ows and sell the instruments\u201d, and/or \u25a0 their cash \ufb02ows are not solely repayments of principal and interest on the principal amount outstanding; \u25a0 equity instruments that the Group did not choose to classify as at \u201cfair value through equity\u201d. Derivative financial instruments The majority of derivative \ufb01nancial instruments held for trading are related to transactions initiated for trading purposes. They may result from market- making or arbitrage activities. BNP Paribas actively trades in derivatives. Transactions include trades in \u201cordinary\u201d instruments such as credit default swaps, and structured transactions with complex risk pro\ufb01les tailored to meet the needs of its customers. The net position is in all cases subject to limits. Some derivative instruments are also contracted to hedge \ufb01nancial assets or \ufb01nancial liabilities for which the Group has not documented a hedging relationship, or which do not qualify for hedge accounting under IFRS. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 228 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In millions of euros 31 December 2022 31 December 2021 Positive market value Negative market value Positive market value Negative market value Interest rate derivatives 150,122 125,215 119,219 107,490 Foreign exchange derivatives 134,382 129,274 75,314 75,694 Credit derivatives 7,294 7,731 8,371 8,451 Equity derivatives 22,602 27,291 24,217 35,071 Other derivatives 13,532 10,610 13,302 10,691 DERIVATIVE FINANCIAL INSTRUMENTS 327,932 300,121 240,423 237,397 The table below shows the total notional amount of trading derivatives. The notional amounts of derivative instruments are merely an indication of the volume of the Group\u2019s activities in \ufb01nancial instruments markets, and do not re\ufb02ect the market risks associated with such instruments. In millions of euros 31 December 2022 31 December 2021 Exchange- traded Over-the- counter, cleared through central clearing houses Over-the- counter Total Exchange- traded Over-the- counter, cleared through central clearing houses Over-the- counter Total Interest rate derivatives 1,442,663 12,349,703 5,254,166 19,046,532 1,319,006 9,761,179 4,846,327 15,926,512 Foreign exchange derivatives 40,292 130,148 7,610,392 7,780,832 56,415 133,330 6,873,623 7,063,368 Credit derivatives 464,228 518,926 983,154 392,338 545,919 938,257 Equity derivatives 1,177,728 535,465 1,713,193 799,005 506,164 1,305,169 Other derivatives 133,820 95,722 229,542 107,162 92,077 199,239 DERIVATIVE FINANCIAL INSTRUMENTS 2,794,503 12,944,079 14,014,671 29,753,253 2,281,588 10,286,847 12,864,110 25,432,545 As part of its Client Clearing activity, the Group guarantees the risk of default of its clients to central counterparties. The corresponding notional amount is EUR 1,187 billion at 31 December 2022 (EUR 1,050 billion at 31 December 2021).",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfFinancialInstrumentsAtFairValueThroughProfitOrLossExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9582": {
   "value": "Debt securities and subordinated debt Debt securities and subordinated debt are measured at amortised cost unless they are recognised at fair value through pro\ufb01t or loss. Debt securities are initially recognised at the issue value including transaction costs and are subsequently measured at amortised cost using the effective interest method. Bonds redeemable or convertible into own equity are hybrid instruments that may contain a debt component and an equity component, determined upon initial recognition of the transaction. Equity instruments The term \u201cown equity instruments\u201d refers to shares issued by the parent company (BNP Paribas SA) and by its fully consolidated subsidiaries. External costs that are directly attributable to an issue of new shares are deducted from equity net of all related taxes. Own equity instruments held by the Group, also known as treasury shares, are deducted from consolidated shareholders\u2019 equity irrespective of the purpose for which they are held. Gains and losses arising on such instruments are eliminated from the consolidated pro\ufb01t and loss account. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 200 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements When the Group acquires equity instruments issued by subsidiaries under the exclusive control of BNP Paribas, the difference between the acquisition price and the share of net assets acquired is recorded in retained earnings attributable to BNP Paribas shareholders. Similarly, the liability corresponding to put options granted to minority shareholders in such subsidiaries, and changes in the value of that liability, are offset against minority interests, with any surplus offset against retained earnings attributable to BNP Paribas shareholders. Until these options have been exercised, the portion of net income attributable to minority interests is allocated to minority interests in the pro\ufb01t and loss account. A decrease in the Group\u2019s interest in a fully consolidated subsidiary is recognised in the Group\u2019s accounts as a change in shareholders\u2019 equity. Financial instruments issued by the Group and classi\ufb01ed as equity instruments (e.g. Undated Super Subordinated Notes) are presented in the balance sheet in \u201cCapital and retained earnings\u201d. Distributions from a \ufb01nancial instrument classi\ufb01ed as an equity instrument are recognised directly as a deduction from equity. Similarly, the transaction costs of an instrument classi\ufb01ed as equity are recognised as a deduction from shareholders\u2019 equity. Own equity instrument derivatives are treated as follows, depending on the method of settlement: \u25a0 as equity instruments if they are settled by physical delivery of a \ufb01xed number of own equity instruments for a \ufb01xed amount of cash or other \ufb01nancial asset. Such instruments are not revalued; \u25a0 as derivatives if they are settled in cash or by choice by physical delivery of the shares or in cash. Changes in value of such instruments are taken to the pro\ufb01t and loss account. If the contract includes an obligation, whether contingent or not, for the bank to repurchase its own shares, the bank recognises the debt at its present value with an offsetting entry in shareholders\u2019 equity.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForFinancialLiabilitiesExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9583": {
   "value": "Equity instruments The term \u201cown equity instruments\u201d refers to shares issued by the parent company (BNP Paribas SA) and by its fully consolidated subsidiaries. External costs that are directly attributable to an issue of new shares are deducted from equity net of all related taxes. Own equity instruments held by the Group, also known as treasury shares, are deducted from consolidated shareholders\u2019 equity irrespective of the purpose for which they are held. Gains and losses arising on such instruments are eliminated from the consolidated pro\ufb01t and loss account. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 200 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements When the Group acquires equity instruments issued by subsidiaries under the exclusive control of BNP Paribas, the difference between the acquisition price and the share of net assets acquired is recorded in retained earnings attributable to BNP Paribas shareholders. Similarly, the liability corresponding to put options granted to minority shareholders in such subsidiaries, and changes in the value of that liability, are offset against minority interests, with any surplus offset against retained earnings attributable to BNP Paribas shareholders. Until these options have been exercised, the portion of net income attributable to minority interests is allocated to minority interests in the pro\ufb01t and loss account. A decrease in the Group\u2019s interest in a fully consolidated subsidiary is recognised in the Group\u2019s accounts as a change in shareholders\u2019 equity. Financial instruments issued by the Group and classi\ufb01ed as equity instruments (e.g. Undated Super Subordinated Notes) are presented in the balance sheet in \u201cCapital and retained earnings\u201d. Distributions from a \ufb01nancial instrument classi\ufb01ed as an equity instrument are recognised directly as a deduction from equity. Similarly, the transaction costs of an instrument classi\ufb01ed as equity are recognised as a deduction from shareholders\u2019 equity. Own equity instrument derivatives are treated as follows, depending on the method of settlement: \u25a0 as equity instruments if they are settled by physical delivery of a \ufb01xed number of own equity instruments for a \ufb01xed amount of cash or other \ufb01nancial asset. Such instruments are not revalued; \u25a0 as derivatives if they are settled in cash or by choice by physical delivery of the shares or in cash. Changes in value of such instruments are taken to the pro\ufb01t and loss account. If the contract includes an obligation, whether contingent or not, for the bank to repurchase its own shares, the bank recognises the debt at its present value with an offsetting entry in shareholders\u2019 equity.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForIssuedCapitalExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-2779": {
   "value": "Equity instruments The term \u201cown equity instruments\u201d refers to shares issued by the parent company (BNP Paribas SA) and by its fully consolidated subsidiaries. External costs that are directly attributable to an issue of new shares are deducted from equity net of all related taxes. Own equity instruments held by the Group, also known as treasury shares, are deducted from consolidated shareholders\u2019 equity irrespective of the purpose for which they are held. Gains and losses arising on such instruments are eliminated from the consolidated pro\ufb01t and loss account. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 200 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements When the Group acquires equity instruments issued by subsidiaries under the exclusive control of BNP Paribas, the difference between the acquisition price and the share of net assets acquired is recorded in retained earnings attributable to BNP Paribas shareholders. Similarly, the liability corresponding to put options granted to minority shareholders in such subsidiaries, and changes in the value of that liability, are offset against minority interests, with any surplus offset against retained earnings attributable to BNP Paribas shareholders. Until these options have been exercised, the portion of net income attributable to minority interests is allocated to minority interests in the pro\ufb01t and loss account. A decrease in the Group\u2019s interest in a fully consolidated subsidiary is recognised in the Group\u2019s accounts as a change in shareholders\u2019 equity. Financial instruments issued by the Group and classi\ufb01ed as equity instruments (e.g. Undated Super Subordinated Notes) are presented in the balance sheet in \u201cCapital and retained earnings\u201d. Distributions from a \ufb01nancial instrument classi\ufb01ed as an equity instrument are recognised directly as a deduction from equity. Similarly, the transaction costs of an instrument classi\ufb01ed as equity are recognised as a deduction from shareholders\u2019 equity. Own equity instrument derivatives are treated as follows, depending on the method of settlement: \u25a0 as equity instruments if they are settled by physical delivery of a \ufb01xed number of own equity instruments for a \ufb01xed amount of cash or other \ufb01nancial asset. Such instruments are not revalued; \u25a0 as derivatives if they are settled in cash or by choice by physical delivery of the shares or in cash. Changes in value of such instruments are taken to the pro\ufb01t and loss account. If the contract includes an obligation, whether contingent or not, for the bank to repurchase its own shares, the bank recognises the debt at its present value with an offsetting entry in shareholders\u2019 equity.7.a CHANGES IN SHARE CAPITAL AND EARNINGS PER SHARE At 31 December 2022, the share capital of BNP Paribas SA amounts to EUR 2,468,663,292 and was divided into 1,234,331,646 shares. The nominal value of each share is EUR 2 (unchanged from 31 December 2021). Ordinary shares issued by BNP Paribas and held by the Group Proprietary transactions Trading transactions (1) Total Number of shares Carrying amount (in millions of euros) Number of shares Carrying amount (in millions of euros) Number of shares Carrying amount (in millions of euros) Shares held at 31 December 2020 721,971 38 979,314 42 1,701,285 80 Acquisitions 15,466,915 900 15,466,915 900 Disposals Shares delivered to employees Capital decrease (15,466,915) (900) (15,466,915) (900) Net movements (979,314) (42) (979,314) (42) Shares held at 31 December 2021 721,971 38 721,971 38 Net movements 159,670 8 159,670 8 Shares held at 31 December 2022 721,971 38 159,670 8 881,641 46 (1) Transactions realised in the framework of an activity of trading and arbitrage transactions on equity indices. At 31 December 2022, the Group holds 881,641 BNP Paribas shares representing an amount of EUR 46 million, which was recognised as a decrease in equity.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfIssuedCapitalExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-2778": {
   "value": "Equity instruments The term \u201cown equity instruments\u201d refers to shares issued by the parent company (BNP Paribas SA) and by its fully consolidated subsidiaries. External costs that are directly attributable to an issue of new shares are deducted from equity net of all related taxes. Own equity instruments held by the Group, also known as treasury shares, are deducted from consolidated shareholders\u2019 equity irrespective of the purpose for which they are held. Gains and losses arising on such instruments are eliminated from the consolidated pro\ufb01t and loss account. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 200 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements When the Group acquires equity instruments issued by subsidiaries under the exclusive control of BNP Paribas, the difference between the acquisition price and the share of net assets acquired is recorded in retained earnings attributable to BNP Paribas shareholders. Similarly, the liability corresponding to put options granted to minority shareholders in such subsidiaries, and changes in the value of that liability, are offset against minority interests, with any surplus offset against retained earnings attributable to BNP Paribas shareholders. Until these options have been exercised, the portion of net income attributable to minority interests is allocated to minority interests in the pro\ufb01t and loss account. A decrease in the Group\u2019s interest in a fully consolidated subsidiary is recognised in the Group\u2019s accounts as a change in shareholders\u2019 equity. Financial instruments issued by the Group and classi\ufb01ed as equity instruments (e.g. Undated Super Subordinated Notes) are presented in the balance sheet in \u201cCapital and retained earnings\u201d. Distributions from a \ufb01nancial instrument classi\ufb01ed as an equity instrument are recognised directly as a deduction from equity. Similarly, the transaction costs of an instrument classi\ufb01ed as equity are recognised as a deduction from shareholders\u2019 equity. Own equity instrument derivatives are treated as follows, depending on the method of settlement: \u25a0 as equity instruments if they are settled by physical delivery of a \ufb01xed number of own equity instruments for a \ufb01xed amount of cash or other \ufb01nancial asset. Such instruments are not revalued; \u25a0 as derivatives if they are settled in cash or by choice by physical delivery of the shares or in cash. Changes in value of such instruments are taken to the pro\ufb01t and loss account. If the contract includes an obligation, whether contingent or not, for the bank to repurchase its own shares, the bank recognises the debt at its present value with an offsetting entry in shareholders\u2019 equity.7.a CHANGES IN SHARE CAPITAL AND EARNINGS PER SHARE At 31 December 2022, the share capital of BNP Paribas SA amounts to EUR 2,468,663,292 and was divided into 1,234,331,646 shares. The nominal value of each share is EUR 2 (unchanged from 31 December 2021). Ordinary shares issued by BNP Paribas and held by the Group Proprietary transactions Trading transactions (1) Total Number of shares Carrying amount (in millions of euros) Number of shares Carrying amount (in millions of euros) Number of shares Carrying amount (in millions of euros) Shares held at 31 December 2020 721,971 38 979,314 42 1,701,285 80 Acquisitions 15,466,915 900 15,466,915 900 Disposals Shares delivered to employees Capital decrease (15,466,915) (900) (15,466,915) (900) Net movements (979,314) (42) (979,314) (42) Shares held at 31 December 2021 721,971 38 721,971 38 Net movements 159,670 8 159,670 8 Shares held at 31 December 2022 721,971 38 159,670 8 881,641 46 (1) Transactions realised in the framework of an activity of trading and arbitrage transactions on equity indices. At 31 December 2022, the Group holds 881,641 BNP Paribas shares representing an amount of EUR 46 million, which was recognised as a decrease in equity.Preferred shares and Undated Super Subordinated Notes eligible as Tier 1 regulatory capital Preferred shares issued by the Group\u2019s foreign subsidiaries BNP Paribas Personal Finance made in 2004 two issues of undated non-voting preferred shares through a structured entity governed by UK law and which is exclusively controlled. On 15 April 2021, BNP Paribas Personal Finance redeemed the issues, for an amount of EUR 80 million. These notes paid a TEC 10 rate coupon. Undated Super Subordinated Notes issued by BNP Paribas SA BNP Paribas SA has issued Undated Super Subordinated Notes which pay a \ufb01xed, \ufb01xed adjustable or \ufb02oating-rate coupon and are redeemable at the end of a \ufb01xed period and thereafter at each coupon date or every \ufb01ve years. If the notes are not redeemed at the end of this period, some of these issues will pay a coupon indexed to Euribor, Libor or a swap rate or a \ufb01xed-rate coupon. On 19 February 2021, BNP Paribas SA issued Undated Super Subordinated Notes for an amount of USD 1,250 million which pay a 4.625% \ufb01xed-rate coupon. These notes could be redeemed at the end of a period of 10 years. If the notes are not redeemed in 2031, a US 5-year Constant Maturity Treasury rate coupon will be paid half-yearly. This issue is eligible to Additional Tier 1 capital. On 8 March 2021, BNP Paribas SA redeemed the June 2007 issue, for an amount of USD 600 million. These notes paid a 6.5% \ufb01xed-rate coupon. On 30 March 2021, BNP Paribas SA redeemed the March 2016 issue, for an amount of USD 1,500 million, before the \ufb01rst call date. These notes paid a 7.625% \ufb01xed-rate coupon. On 3 January 2022, BNP Paribas SA redeemed the July 2006 and June 2007 issues, for EUR 150 million and USD 1,100 million respectively. These notes paid 5.45% and 7.195% \ufb01xed-rate coupon. On 12 January 2022, BNP Paribas SA issued Undated Super Subordinated Notes for an amount of USD 1,250 million which pay a 4.625% \ufb01xed-rate coupon. These notes could be redeemed at the end of a period of 5 years. If the notes are not redeemed in 2027, a US 5-year Constant Maturity Treasury rate coupon will be paid half-yearly. This issue is eligible to Additional Tier 1 capital. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 272 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements On 19 February 2022, BNP Paribas SA redeemed the June 2007 issue, for an amount of USD 1,100 million. These notes paid a 7.195% \ufb01xed-rate coupon. On 14 March 2022, BNP Paribas SA redeemed the December 2016 issue, for an amount of USD 750 million. These notes paid a 6.75% \ufb01xed-rate coupon. On 17 June 2022, BNP Paribas SA redeemed the June 2015 issue, for an amount of EUR 750 million, at the \ufb01rst call date. These notes paid a 6.125% \ufb01xed-rate coupon. On 16 August 2022, BNP Paribas SA issued Undated Super Subordinated Notes for an amount of USD 2,000 million which pay a 7.75% \ufb01xed-rate coupon. These notes could be redeemed at the end of a period of 7 years. If the notes are not redeemed in 2029, a US 5-year Constant Maturity Treasury rate coupon will be paid half-yearly. This issue is eligible to Additional Tier 1 capital. On 6 September 2022, BNP Paribas SA issued Undated Super Subordinated Notes for an amount of EUR 1,000 million which pay a 6.875% \ufb01xed-rate coupon. These notes could be redeemed at the end of a period of 7 years and 3 months. If the notes are not redeemed in 2029, a mid-swap rate EUR 5-year coupon will be paid half-yearly. This issue is eligible to Additional Tier 1 capital. On 17 November 2022, BNP Paribas SA issued Undated Super Subordinated Notes for an amount of USD 1,000 million which pay a 9.25% \ufb01xed-rate coupon. These notes could be redeemed at the end of a period of 5 years. If the notes are not redeemed in 2027, a US 5-year Constant Maturity Treasury rate coupon will be paid half-yearly. This issue is eligible to Additional Tier 1 capital. The following table summarises the characteristics of these various issues: Date of issue Currency Amount (in millions of currency units) Coupon payment date Rate and term before 1 st call date Rate after 1 st call date August 2015 USD 1,500 semi-annual 7.375% 10 years USD 5-year swap +5.150% November 2017 USD 750 semi-annual 5.125% 10 years USD 5-year swap +2.838% August 2018 USD 750 semi-annual 7.000% 10 years USD 5-year swap +3.980% March 2019 USD 1,500 semi-annual 6.625% 5 years USD 5-year swap +4.149% July 2019 AUD 300 semi-annual 4.500% 5.5 years AUD 5-year swap +3.372% February 2020 USD 1,750 semi-annual 4.500% 10 years US 5-year CMT +2.944% February 2021 USD 1,250 semi-annual 4.625% 10 years US 5-year CMT +3.340% January 2022 USD 1,250 semi-annual 4.625% 5 years US 5-year CMT +3.196% August 2022 USD 2,000 semi-annual 7.75% 7 years US 5-year CMT +4.899% September 2022 EUR 1,000 semi-annual 6.875% 7.25 years EUR 5-year swap +4.645% November 2022 USD 1,000 semi-annual 9.25% 5 years US 5-year CMT +4.969% TOTAL EURO-EQUIVALENT HISTORICAL VALUE AT 31 DECEMBER 2022 11,800 (1) (1) Net of shares held in treasury by Group entities. BNP Paribas has the option of not paying interest due on these Undated Super Subordinated Notes. Unpaid interest is not carried forward. For notes issued before 2015, the absence of coupon payment is conditional on the absence of dividend payment on BNP Paribas SA ordinary shares or on Undated Super Subordinated Note equivalents during the previous year. Interest due is payable once dividend payment on BNP Paribas SA ordinary shares resumes. The contracts relating to these Undated Super Subordinated Notes contain a loss absorption clause. Under the terms of this clause, in the event of insuf\ufb01cient regulatory capital, the nominal value of the notes may be reduced in order to serve as a new basis for the calculation of the related coupons until the capital de\ufb01ciency is made up and the nominal value of the notes is increased to its original amount. The proceeds from these issues are recorded in equity under \u201cCapital and retained earnings\u201d. In accordance with IAS 21, issues denominated in foreign currencies are recognised at their historical value based on their translation into euros at the issue date. Interest on the instruments is treated in the same way as dividends. At 31 December 2022, the BNP Paribas Group held EUR 14 million of Undated Super Subordinated Notes which were deducted from shareholders\u2019 equity. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 273 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfShareCapitalReservesAndOtherEquityInterestExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9584": {
   "value": "1.e.9 Hedge accounting The Group retained the option provided by the standard to maintain the hedge accounting requirements of IAS 39 until the future standard on macro- hedging is entered into force. Furthermore, IFRS 9 does not explicitly address the fair value hedge of the interest rate risk on a portfolio of \ufb01nancial assets or liabilities. The provisions in IAS 39 for these portfolio hedges, as adopted by the European Union, continue to apply. Derivatives contracted as part of a hedging relationship are designated according to the purpose of the hedge. Fair value hedges are particularly used to hedge interest rate risk on \ufb01xed-rate assets and liabilities, both for identi\ufb01ed \ufb01nancial instruments (securities, debt issues, loans, borrowings) and for portfolios of \ufb01nancial instruments (in particular, demand deposits and \ufb01xed-rate loans). Cash \ufb02ow hedges are particularly used to hedge interest rate risk on \ufb02oating-rate assets and liabilities, including rollovers, and foreign exchange risks on highly probable forecast foreign currency revenues. At the inception of the hedge, the Group prepares formal documentation which details the hedging relationship, identifying the instrument, or portion of the instrument, or portion of risk that is being hedged, the hedging strategy and the type of risk hedged, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship. On inception and at least quarterly, the Group assesses, in consistency with the original documentation, the actual (retrospective) and expected (prospective) effectiveness of the hedging relationship. Retrospective effectiveness tests are designed to assess whether the ratio of actual changes in the fair value or cash \ufb02ows of the hedging instrument to those in the hedged item is within a range of 80% to 125%. Prospective effectiveness tests are designed to ensure that expected changes in the fair value or cash \ufb02ows of the derivative over the residual life of the hedge adequately offset those of the hedged item. For highly probable forecast transactions, effectiveness is assessed largely on the basis of historical data for similar transactions. Under IAS 39 as adopted by the European Union, which excludes certain provisions on portfolio hedging, interest rate risk hedging relationships based on portfolios of assets or liabilities qualify for fair value hedge accounting as follows: \u25a0 the risk designated as being hedged is the interest rate risk associated with the interbank rate component of interest rates on commercial banking transactions (loans to customers, savings accounts and demand deposits); \u25a0 the instruments designated as being hedged correspond, for each maturity band, to a portion of the interest rate gap associated with the hedged underlying; \u25a0 the hedging instruments used consist exclusively of \u201cplain vanilla\u201d swaps; \u25a0 prospective hedge effectiveness is established by the fact that all derivatives must, on inception, have the effect of reducing interest rate risk in the portfolio of hedged underlying. Retrospectively, a hedge will be disquali\ufb01ed from hedge accounting once a shortfall arises in the underlying speci\ufb01cally associated with that hedge for each maturity band (due to prepayment of loans or withdrawals of deposits). The accounting treatment of derivatives and hedged items depends on the hedging strategy. In a fair value hedging relationship, the derivative instrument is remeasured at fair value in the balance sheet, with changes in fair value recognised in pro\ufb01t or loss in \u201cNet gain/loss on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d, symmetrically with the remeasurement of the hedged item to re\ufb02ect the hedged risk. In the balance sheet, the fair value remeasurement of the hedged component is recognised in accordance with the classi\ufb01cation of the hedged item in the case of a hedge of identi\ufb01ed assets and liabilities, or under \u201cRemeasurement adjustment on interest rate risk hedged portfolios\u201d in the case of a portfolio hedging relationship. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 201 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements If a hedging relationship ceases or no longer ful\ufb01ls the effectiveness criteria, the hedging instrument is transferred to the trading book and accounted for using the treatment applied to this category. In the case of identi\ufb01ed \ufb01xed-income instruments, the remeasurement adjustment recognised in the balance sheet is amortised at the effective interest rate over the remaining life of the instrument. In the case of interest rate risk hedged \ufb01xed-income portfolios, the adjustment is amortised on a straight-line basis over the remainder of the original term of the hedge. If the hedged item no longer appears in the balance sheet, in particular due to prepayments, the adjustment is taken to the pro\ufb01t and loss account immediately. In a cash \ufb02ow hedging relationship, the derivative is measured at fair value in the balance sheet, with changes in fair value taken to shareholders\u2019 equity on a separate line, \u201cChanges in fair value recognised directly in equity\u201d. The amounts taken to shareholders\u2019 equity over the life of the hedge are transferred to the pro\ufb01t and loss account under \u201cNet interest income\u201d as and when the cash \ufb02ows from the hedged item impact pro\ufb01t or loss. The hedged items continue to be accounted for using the treatment speci\ufb01c to the category to which they belong. If the hedging relationship ceases or no longer ful\ufb01ls the effectiveness criteria, the cumulative amounts recognised in shareholders\u2019 equity as a result of the remeasurement of the hedging instrument remain in equity until the hedged transaction itself impacts pro\ufb01t or loss, or until it becomes clear that the transaction will not occur, at which point they are transferred to the pro\ufb01t and loss account. If the hedged item ceases to exist, the cumulative amounts recognised in shareholders\u2019 equity are immediately taken to the pro\ufb01t and loss account. Whatever the hedging strategy used, any ineffective portion of the hedge is recognised in the pro\ufb01t and loss account under \u201cNet gain/loss on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d. Hedges of net foreign currency investments in subsidiaries and branches are accounted for in the same way as cash \ufb02ow hedges. Hedging instruments may be foreign exchange derivatives or any other non-derivative \ufb01nancial instrument.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForHedgingExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-2886": {
   "value": "1.e.9 Hedge accounting The Group retained the option provided by the standard to maintain the hedge accounting requirements of IAS 39 until the future standard on macro- hedging is entered into force. Furthermore, IFRS 9 does not explicitly address the fair value hedge of the interest rate risk on a portfolio of \ufb01nancial assets or liabilities. The provisions in IAS 39 for these portfolio hedges, as adopted by the European Union, continue to apply. Derivatives contracted as part of a hedging relationship are designated according to the purpose of the hedge. Fair value hedges are particularly used to hedge interest rate risk on \ufb01xed-rate assets and liabilities, both for identi\ufb01ed \ufb01nancial instruments (securities, debt issues, loans, borrowings) and for portfolios of \ufb01nancial instruments (in particular, demand deposits and \ufb01xed-rate loans). Cash \ufb02ow hedges are particularly used to hedge interest rate risk on \ufb02oating-rate assets and liabilities, including rollovers, and foreign exchange risks on highly probable forecast foreign currency revenues. At the inception of the hedge, the Group prepares formal documentation which details the hedging relationship, identifying the instrument, or portion of the instrument, or portion of risk that is being hedged, the hedging strategy and the type of risk hedged, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship. On inception and at least quarterly, the Group assesses, in consistency with the original documentation, the actual (retrospective) and expected (prospective) effectiveness of the hedging relationship. Retrospective effectiveness tests are designed to assess whether the ratio of actual changes in the fair value or cash \ufb02ows of the hedging instrument to those in the hedged item is within a range of 80% to 125%. Prospective effectiveness tests are designed to ensure that expected changes in the fair value or cash \ufb02ows of the derivative over the residual life of the hedge adequately offset those of the hedged item. For highly probable forecast transactions, effectiveness is assessed largely on the basis of historical data for similar transactions. Under IAS 39 as adopted by the European Union, which excludes certain provisions on portfolio hedging, interest rate risk hedging relationships based on portfolios of assets or liabilities qualify for fair value hedge accounting as follows: \u25a0 the risk designated as being hedged is the interest rate risk associated with the interbank rate component of interest rates on commercial banking transactions (loans to customers, savings accounts and demand deposits); \u25a0 the instruments designated as being hedged correspond, for each maturity band, to a portion of the interest rate gap associated with the hedged underlying; \u25a0 the hedging instruments used consist exclusively of \u201cplain vanilla\u201d swaps; \u25a0 prospective hedge effectiveness is established by the fact that all derivatives must, on inception, have the effect of reducing interest rate risk in the portfolio of hedged underlying. Retrospectively, a hedge will be disquali\ufb01ed from hedge accounting once a shortfall arises in the underlying speci\ufb01cally associated with that hedge for each maturity band (due to prepayment of loans or withdrawals of deposits). The accounting treatment of derivatives and hedged items depends on the hedging strategy. In a fair value hedging relationship, the derivative instrument is remeasured at fair value in the balance sheet, with changes in fair value recognised in pro\ufb01t or loss in \u201cNet gain/loss on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d, symmetrically with the remeasurement of the hedged item to re\ufb02ect the hedged risk. In the balance sheet, the fair value remeasurement of the hedged component is recognised in accordance with the classi\ufb01cation of the hedged item in the case of a hedge of identi\ufb01ed assets and liabilities, or under \u201cRemeasurement adjustment on interest rate risk hedged portfolios\u201d in the case of a portfolio hedging relationship. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 201 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements If a hedging relationship ceases or no longer ful\ufb01ls the effectiveness criteria, the hedging instrument is transferred to the trading book and accounted for using the treatment applied to this category. In the case of identi\ufb01ed \ufb01xed-income instruments, the remeasurement adjustment recognised in the balance sheet is amortised at the effective interest rate over the remaining life of the instrument. In the case of interest rate risk hedged \ufb01xed-income portfolios, the adjustment is amortised on a straight-line basis over the remainder of the original term of the hedge. If the hedged item no longer appears in the balance sheet, in particular due to prepayments, the adjustment is taken to the pro\ufb01t and loss account immediately. In a cash \ufb02ow hedging relationship, the derivative is measured at fair value in the balance sheet, with changes in fair value taken to shareholders\u2019 equity on a separate line, \u201cChanges in fair value recognised directly in equity\u201d. The amounts taken to shareholders\u2019 equity over the life of the hedge are transferred to the pro\ufb01t and loss account under \u201cNet interest income\u201d as and when the cash \ufb02ows from the hedged item impact pro\ufb01t or loss. The hedged items continue to be accounted for using the treatment speci\ufb01c to the category to which they belong. If the hedging relationship ceases or no longer ful\ufb01ls the effectiveness criteria, the cumulative amounts recognised in shareholders\u2019 equity as a result of the remeasurement of the hedging instrument remain in equity until the hedged transaction itself impacts pro\ufb01t or loss, or until it becomes clear that the transaction will not occur, at which point they are transferred to the pro\ufb01t and loss account. If the hedged item ceases to exist, the cumulative amounts recognised in shareholders\u2019 equity are immediately taken to the pro\ufb01t and loss account. Whatever the hedging strategy used, any ineffective portion of the hedge is recognised in the pro\ufb01t and loss account under \u201cNet gain/loss on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d. Hedges of net foreign currency investments in subsidiaries and branches are accounted for in the same way as cash \ufb02ow hedges. Hedging instruments may be foreign exchange derivatives or any other non-derivative \ufb01nancial instrument.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForDerivativeFinancialInstrumentsAndHedgingExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-2884": {
   "value": "1.e.9 Hedge accounting The Group retained the option provided by the standard to maintain the hedge accounting requirements of IAS 39 until the future standard on macro- hedging is entered into force. Furthermore, IFRS 9 does not explicitly address the fair value hedge of the interest rate risk on a portfolio of \ufb01nancial assets or liabilities. The provisions in IAS 39 for these portfolio hedges, as adopted by the European Union, continue to apply. Derivatives contracted as part of a hedging relationship are designated according to the purpose of the hedge. Fair value hedges are particularly used to hedge interest rate risk on \ufb01xed-rate assets and liabilities, both for identi\ufb01ed \ufb01nancial instruments (securities, debt issues, loans, borrowings) and for portfolios of \ufb01nancial instruments (in particular, demand deposits and \ufb01xed-rate loans). Cash \ufb02ow hedges are particularly used to hedge interest rate risk on \ufb02oating-rate assets and liabilities, including rollovers, and foreign exchange risks on highly probable forecast foreign currency revenues. At the inception of the hedge, the Group prepares formal documentation which details the hedging relationship, identifying the instrument, or portion of the instrument, or portion of risk that is being hedged, the hedging strategy and the type of risk hedged, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship. On inception and at least quarterly, the Group assesses, in consistency with the original documentation, the actual (retrospective) and expected (prospective) effectiveness of the hedging relationship. Retrospective effectiveness tests are designed to assess whether the ratio of actual changes in the fair value or cash \ufb02ows of the hedging instrument to those in the hedged item is within a range of 80% to 125%. Prospective effectiveness tests are designed to ensure that expected changes in the fair value or cash \ufb02ows of the derivative over the residual life of the hedge adequately offset those of the hedged item. For highly probable forecast transactions, effectiveness is assessed largely on the basis of historical data for similar transactions. Under IAS 39 as adopted by the European Union, which excludes certain provisions on portfolio hedging, interest rate risk hedging relationships based on portfolios of assets or liabilities qualify for fair value hedge accounting as follows: \u25a0 the risk designated as being hedged is the interest rate risk associated with the interbank rate component of interest rates on commercial banking transactions (loans to customers, savings accounts and demand deposits); \u25a0 the instruments designated as being hedged correspond, for each maturity band, to a portion of the interest rate gap associated with the hedged underlying; \u25a0 the hedging instruments used consist exclusively of \u201cplain vanilla\u201d swaps; \u25a0 prospective hedge effectiveness is established by the fact that all derivatives must, on inception, have the effect of reducing interest rate risk in the portfolio of hedged underlying. Retrospectively, a hedge will be disquali\ufb01ed from hedge accounting once a shortfall arises in the underlying speci\ufb01cally associated with that hedge for each maturity band (due to prepayment of loans or withdrawals of deposits). The accounting treatment of derivatives and hedged items depends on the hedging strategy. In a fair value hedging relationship, the derivative instrument is remeasured at fair value in the balance sheet, with changes in fair value recognised in pro\ufb01t or loss in \u201cNet gain/loss on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d, symmetrically with the remeasurement of the hedged item to re\ufb02ect the hedged risk. In the balance sheet, the fair value remeasurement of the hedged component is recognised in accordance with the classi\ufb01cation of the hedged item in the case of a hedge of identi\ufb01ed assets and liabilities, or under \u201cRemeasurement adjustment on interest rate risk hedged portfolios\u201d in the case of a portfolio hedging relationship. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 201 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements If a hedging relationship ceases or no longer ful\ufb01ls the effectiveness criteria, the hedging instrument is transferred to the trading book and accounted for using the treatment applied to this category. In the case of identi\ufb01ed \ufb01xed-income instruments, the remeasurement adjustment recognised in the balance sheet is amortised at the effective interest rate over the remaining life of the instrument. In the case of interest rate risk hedged \ufb01xed-income portfolios, the adjustment is amortised on a straight-line basis over the remainder of the original term of the hedge. If the hedged item no longer appears in the balance sheet, in particular due to prepayments, the adjustment is taken to the pro\ufb01t and loss account immediately. In a cash \ufb02ow hedging relationship, the derivative is measured at fair value in the balance sheet, with changes in fair value taken to shareholders\u2019 equity on a separate line, \u201cChanges in fair value recognised directly in equity\u201d. The amounts taken to shareholders\u2019 equity over the life of the hedge are transferred to the pro\ufb01t and loss account under \u201cNet interest income\u201d as and when the cash \ufb02ows from the hedged item impact pro\ufb01t or loss. The hedged items continue to be accounted for using the treatment speci\ufb01c to the category to which they belong. If the hedging relationship ceases or no longer ful\ufb01ls the effectiveness criteria, the cumulative amounts recognised in shareholders\u2019 equity as a result of the remeasurement of the hedging instrument remain in equity until the hedged transaction itself impacts pro\ufb01t or loss, or until it becomes clear that the transaction will not occur, at which point they are transferred to the pro\ufb01t and loss account. If the hedged item ceases to exist, the cumulative amounts recognised in shareholders\u2019 equity are immediately taken to the pro\ufb01t and loss account. Whatever the hedging strategy used, any ineffective portion of the hedge is recognised in the pro\ufb01t and loss account under \u201cNet gain/loss on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d. Hedges of net foreign currency investments in subsidiaries and branches are accounted for in the same way as cash \ufb02ow hedges. Hedging instruments may be foreign exchange derivatives or any other non-derivative \ufb01nancial instrument.Financial assets and liabilities at fair value through profit or loss Financial assets and \ufb01nancial liabilities at fair value through pro\ufb01t or loss consist of held-for-trading transactions \u2013 including derivatives, of certain liabilities designated by the Group as at fair value through pro\ufb01t or loss at the time of issuance and of non-trading instruments whose characteristics prevent their accounting at amortised cost or at fair value through equity. In millions of euros 31 December 2022 31 December 2021 Financial instruments held for trading Financial instruments designated as at fair value through pro\ufb01t or loss Other \ufb01nancial assets at fair value through pro\ufb01t or loss Total Financial instruments held for trading Financial instruments designated as at fair value through pro\ufb01t or loss Other \ufb01nancial assets at fair value through pro\ufb01t or loss Total Securities 157,138 1,273 7,666 166,077 181,079 2,898 7,530 191,507 Loans and repurchase agreements 186,968 4,157 191,125 247,507 2,301 249,808 FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS 344,106 1,273 11,823 357,202 428,586 2,898 9,831 441,315 Securities 99,155 99,155 112,338 112,338 Deposits and repurchase agreements 232,351 1,725 234,076 291,577 1,879 293,456 Issued debt securities (note 4.h) 70,460 70,460 70,383 70,383 of which subordinated debt 675 675 947 947 of which non subordinated debt 64,110 64,110 62,334 62,334 of which debt representative of shares of consolidated funds held by third parties 5,675 5,675 7,102 7,102 FINANCIAL LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS 331,506 72,185 403,691 403,915 72,262 476,177 Detail of these assets and liabilities is provided in note 4.d. Financial liabilities designated as at fair value through profit or loss Financial liabilities at fair value through pro\ufb01t or loss mainly consist of issued debt securities, originated and structured on behalf of customers, where the risk exposure is managed in combination with the hedging strategy. These types of issued debt securities contain signi\ufb01cant embedded derivatives, which changes in value may be compensated by changes in the value of economic hedging derivatives. The redemption value of debt issued and designated as at fair value through pro\ufb01t or loss at 31 December 2022 was EUR 70,940 million (EUR 59,958 million at 31 December 2021). Other financial assets measured at fair value through profit or loss Other \ufb01nancial assets at fair value through pro\ufb01t or loss are \ufb01nancial assets not held for trading: \u25a0 debt instruments that do not meet the criteria de\ufb01ned by IFRS 9 to be classi\ufb01ed as \ufb01nancial instruments at \u201cfair value through equity\u201d or at \u201camortised cost\u201d: \u25a0 their business model is not to \u201ccollect contractual cash \ufb02ows\u201d nor \u201ccollect contractual cash \ufb02ows and sell the instruments\u201d, and/or \u25a0 their cash \ufb02ows are not solely repayments of principal and interest on the principal amount outstanding; \u25a0 equity instruments that the Group did not choose to classify as at \u201cfair value through equity\u201d. Derivative financial instruments The majority of derivative \ufb01nancial instruments held for trading are related to transactions initiated for trading purposes. They may result from market- making or arbitrage activities. BNP Paribas actively trades in derivatives. Transactions include trades in \u201cordinary\u201d instruments such as credit default swaps, and structured transactions with complex risk pro\ufb01les tailored to meet the needs of its customers. The net position is in all cases subject to limits. Some derivative instruments are also contracted to hedge \ufb01nancial assets or \ufb01nancial liabilities for which the Group has not documented a hedging relationship, or which do not qualify for hedge accounting under IFRS. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 228 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In millions of euros 31 December 2022 31 December 2021 Positive market value Negative market value Positive market value Negative market value Interest rate derivatives 150,122 125,215 119,219 107,490 Foreign exchange derivatives 134,382 129,274 75,314 75,694 Credit derivatives 7,294 7,731 8,371 8,451 Equity derivatives 22,602 27,291 24,217 35,071 Other derivatives 13,532 10,610 13,302 10,691 DERIVATIVE FINANCIAL INSTRUMENTS 327,932 300,121 240,423 237,397 The table below shows the total notional amount of trading derivatives. The notional amounts of derivative instruments are merely an indication of the volume of the Group\u2019s activities in \ufb01nancial instruments markets, and do not re\ufb02ect the market risks associated with such instruments. In millions of euros 31 December 2022 31 December 2021 Exchange- traded Over-the- counter, cleared through central clearing houses Over-the- counter Total Exchange- traded Over-the- counter, cleared through central clearing houses Over-the- counter Total Interest rate derivatives 1,442,663 12,349,703 5,254,166 19,046,532 1,319,006 9,761,179 4,846,327 15,926,512 Foreign exchange derivatives 40,292 130,148 7,610,392 7,780,832 56,415 133,330 6,873,623 7,063,368 Credit derivatives 464,228 518,926 983,154 392,338 545,919 938,257 Equity derivatives 1,177,728 535,465 1,713,193 799,005 506,164 1,305,169 Other derivatives 133,820 95,722 229,542 107,162 92,077 199,239 DERIVATIVE FINANCIAL INSTRUMENTS 2,794,503 12,944,079 14,014,671 29,753,253 2,281,588 10,286,847 12,864,110 25,432,545 As part of its Client Clearing activity, the Group guarantees the risk of default of its clients to central counterparties. The corresponding notional amount is EUR 1,187 billion at 31 December 2022 (EUR 1,050 billion at 31 December 2021).4.b DERIVATIVES USED FOR HEDGING PURPOSES The table below shows the notional amounts and the fair value of derivatives used for hedging purposes. In millions of euros 31 December 2022 31 December 2021 Notional amounts Positive fair value Negative fair value Notional amounts Positive fair value Negative fair value Fair value hedges 1,103,455 24,213 36,872 755,989 7,010 9,593 Interest rate derivatives 1,094,689 23,955 36,525 746,253 6,689 9,512 Foreign exchange derivatives 8,766 258 347 9,736 321 81 Cash \ufb02ow hedges 213,866 1,126 3,070 213,743 1,606 481 Interest rate derivatives 59,641 429 1,602 50,509 1,085 254 Foreign exchange derivatives 153,811 664 1,416 162,827 442 209 Other derivatives 414 33 52 407 79 18 Net foreign investment hedges 1,719 62 59 2,659 64 2 Foreign exchange derivatives 1,719 62 59 2,659 64 2 DERIVATIVES USED FOR HEDGING PURPOSES 1,319,040 25,401 40,001 972,391 8,680 10,076 Interest rate risk and foreign exchange risk management strategies are described in chapter 5 Pillar 3 of the Universal registration document (section 5.7 Market risk \u2013 Market risk related to banking activities). Quantitative information related to foreign currency borrowings used for net investment hedges is also mentioned in this chapter. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 229 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The table below presents the detail of fair value hedge relationships for identi\ufb01ed \ufb01nancial instruments and portfolios of \ufb01nancial instruments that are continuing at 31 December 2022: In millions of euros, at 31 December 2022 Hedging instruments Hedged instruments Notional amounts Positive fair value Negative fair value Cumulated changes in fair value used as the basis for recognising ineffectiveness Carrying amount \u2013 asset Cumulated changes in fair value \u2013 asset Carrying amount \u2013 liability Cumulated changes in fair value \u2013 liability Fair value hedges of identi\ufb01ed instruments 332,749 11,155 12,711 1,500 114,741 (12,204) 122,280 (10,588) Interest rate derivatives hedging the interest rate risk related to 325,470 10,992 12,376 1,487 110,376 (12,128) 119,694 (10,540) Loans and receivables 19,827 613 171 527 18,394 (541) Securities 131,460 10,297 1,258 11,521 91,982 (11,587) Deposits 8,081 31 291 (375) 7,878 (388) Debt securities 166,102 51 10,656 (10,186) 111,816 (10,152) Foreign exchange derivatives hedging the interest rate and foreign exchange risks related to 7,279 163 335 13 4,365 (76) 2,586 (48) Loans and receivables 2,619 95 64 35 2,410 (42) Securities 1,957 55 12 34 1,955 (34) Deposits 64 30 2 76 2 Debt securities 2,639 13 229 (58) 2,510 (50) Interest rate risk hedged portfolios 770,706 13,058 24,161 (11,240) 204,827 (8,877) 310,192 (20,063) Interest rate derivatives hedging the interest rate risk related to (1) 769,218 12,963 24,149 (11,292) 203,490 (8,830) 310,192 (20,063) Loans and receivables 346,924 9,243 162 9,680 203,490 (8,830) Deposits 422,294 3,720 23,987 (20,972) 310,192 (20,063) Foreign exchange derivatives hedging the interest rate and foreign exchange risks related to 1,488 95 12 52 1,337 (47) Loans and receivables 1,488 95 12 52 1,337 (47) TOTAL FAIR VALUE HEDGE 1,103,455 24,213 36,872 (9,740) 319,568 (21,081) 432,472 (30,651) (1) Are included in this section the notional amounts of hedging derivatives and of swaps that reverse the interest rate positions, thus reducing the hedge relationship, when the hedged item still exists, for respectively EUR 121,183 million for derivatives hedging loans and receivables and EUR 103,261 million for derivatives hedging deposits. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 230 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The table below presents the detail of fair value hedge relationships for identi\ufb01ed \ufb01nancial instruments and portfolios of \ufb01nancial instruments that are continuing at 31 December 2021: In millions of euros, at 31 December 2021 Hedging instruments Hedged instruments Notional amounts Positive fair value Negative fair value Cumulated changes in fair value used as the basis for recognising ineffectiveness Carrying amount \u2013 asset Cumulated changes in fair value \u2013 asset Carrying amount \u2013 liability Cumulated changes in fair value \u2013 liability Fair value hedges of identi\ufb01ed instruments 302,733 3,013 6,008 (643) 110,232 1,530 116,360 1,131 Interest rate derivatives hedging the interest rate risk related to 294,121 2,818 5,939 (741) 105,419 1,601 112,726 1,099 Loans and receivables 20,854 213 518 (278) 19,242 276 Securities 112,596 1,179 5,399 (1,531) 86,177 1,325 Deposits 6,725 351 17 274 6,644 271 Debt securities 153,946 1,075 5 794 106,082 828 Foreign exchange derivatives hedging the interest rate and foreign exchange risks related to 8,612 195 69 98 4,813 (71) 3,634 32 Loans and receivables 2,433 140 2 48 2,308 (51) Securities 2,518 28 12 20 2,505 (20) Deposits 181 3 21 9 197 9 Debt securities 3,480 24 34 21 3,437 23 Interest rate risk hedged portfolios 453,256 3,997 3,585 (16) 109,933 1,463 178,771 1,320 Interest rate derivatives hedging the interest rate risk related to (1) 452,132 3,871 3,573 (58) 108,893 1,504 178,771 1,320 Loans and receivables 183,765 606 2,574 (1,603) 108,893 1,504 Deposits 268,367 3,265 999 1,545 178,771 1,320 Foreign exchange derivatives hedging the interest rate and foreign exchange risks related to 1,124 126 12 42 1,040 (41) Loans and receivables 1,124 126 12 42 1,040 (41) TOTAL FAIR VALUE HEDGE 755,989 7,010 9,593 (659) 220,165 2,993 295,131 2,451 (1) Are included in this section the notional amounts of hedging derivatives and of swaps that reverse the interest rate positions, thus reducing the hedge relationship, when the hedged item still exists, for respectively EUR 55,414 million for derivatives hedging loans and receivables and EUR 86,139 million for derivatives hedging deposits. An asset or a liability or set of assets and liabilities, can be hedged over several periods of time with different derivative \ufb01nancial instruments. Besides, some hedges are achieved by the combination of two derivative instruments. In this case, the notional amounts add up and their total amount is higher than the hedged amount. The \ufb01rst situation is observed more particularly for interest rate risk hedged portfolios and the second for hedges of issued debt securities. As regards discontinued fair value hedge relationships where the derivative contract was terminated, the cumulated amount of revaluation remaining to be amortised over the residual life of the hedged instruments amounts to EUR 1,399 million in assets at 31 December 2022, and to EUR -138 million in liabilities, for hedges of portfolios of \ufb01nancial instruments. At 31 December 2021, these amounts were EUR 1,509 million in assets and 14 million in liabilities. Regarding hedges of identi\ufb01ed instruments, the cumulated amount of revaluation remaining to be amortised over the residual life of the hedged instruments amounts to EUR 111 million in assets at 31 December 2022. At 31 December 2021, this amount was EUR 117 million in assets. The notional amount of cash \ufb02ow hedge derivatives is EUR 213,866 million at 31 December 2022. Changes in assets and liabilities recognised directly in equity amount to EUR -245 million. At 31 December 2021, the notional amount of cash \ufb02ow hedge derivatives was EUR 213,743 million and changes in assets and liabilities recognised directly in equity amounted to EUR 1,329 million. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 231 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The tables below present the notional amounts of hedging derivatives by maturity at 31 December 2022 and at 31 December 2021: In millions of euros, at 31 December 2022 Maturity date Less than 1 year Between 1 and 5 years Over 5 years Total Fair value hedges 382,063 430,968 290,424 1,103,455 Interest rate derivatives 378,055 426,364 290,270 1,094,689 Foreign exchange derivatives 4,008 4,604 154 8,766 Cash \ufb02ow hedges 142,568 51,041 20,257 213,866 Interest rate derivatives 18,178 30,041 11,422 59,641 Foreign exchange derivatives 124,223 20,753 8,835 153,811 Other derivatives 167 247 414 Net foreign investment hedges 1,719 - - 1,719 Foreign exchange derivatives 1,719 1,719 In millions of euros, at 31 December 2021 Maturity date Less than 1 year Between 1 and 5 years Over 5 years Total Fair value hedges 149,613 340,799 265,577 755,989 Interest rate derivatives 146,649 334,411 265,193 746,253 Foreign exchange derivatives 2,964 6,388 384 9,736 Cash \ufb02ow hedges 146,392 43,108 24,243 213,743 Interest rate derivatives 10,350 27,777 12,382 50,509 Foreign exchange derivatives 135,867 15,099 11,861 162,827 Other derivatives 175 232 407 Net foreign investment hedges 2,559 100 - 2,659 Foreign exchange derivatives 2,559 100 2,659",
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    "concept": "ifrs-full:DisclosureOfDerivativeFinancialInstrumentsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
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  },
  "fact_9585": {
   "value": "1.e.10 Determination of fair value Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants in the principal market or most advantageous market, at the measurement date. The Group determines the fair value of \ufb01nancial instruments either by using prices obtained directly from external data or by using valuation techniques. These valuation techniques are primarily market and income approaches encompassing generally accepted models (e.g. discounted cash \ufb02ows, Black- Scholes model, and interpolation techniques). They maximise the use of observable inputs and minimise the use of unobservable inputs. They are calibrated to re\ufb02ect current market conditions and valuation adjustments are applied as appropriate, when some factors such as model, liquidity and credit risks are not captured by the models or their underlying inputs but are nevertheless considered by market participants when setting the exit price. The unit of measurement is the individual \ufb01nancial asset or \ufb01nancial liability but a portfolio-based measurement can be elected, subject to certain conditions. Accordingly, the Group retains this portfolio-based measurement exception to determine the fair value when some group of \ufb01nancial assets and \ufb01nancial liabilities and other contracts within the scope of the standard relating to \ufb01nancial instruments with substantially similar and offsetting market risks or credit risks are managed on the basis of a net exposure, in accordance with the documented risk management strategy. Assets and liabilities measured or disclosed at fair value are categorised into the three following levels of the fair value hierarchy: \u25a0 Level 1: fair values are determined using directly quoted prices in active markets for identical assets and liabilities. Characteristics of an active market include the existence of a suf\ufb01cient frequency and volume of activity and of readily available prices; \u25a0 Level 2: fair values are determined based on valuation techniques for which signi\ufb01cant inputs are observable market data, either directly or indirectly. These techniques are regularly calibrated and the inputs are corroborated with information from active markets; \u25a0 Level 3: fair values are determined using valuation techniques for which signi\ufb01cant inputs are unobservable or cannot be corroborated by market- based observations, due for instance to illiquidity of the instrument and signi\ufb01cant model risk. An unobservable input is a parameter for which there are no market data available and that is therefore derived from proprietary assumptions about what other market participants would consider when assessing fair value. The assessment of whether a product is illiquid or subject to signi\ufb01cant model risks is a matter of judgment. The level in the fair value hierarchy within which the asset or liability is categorised in its entirety is based upon the lowest level input that is signi\ufb01cant to the entire fair value. For \ufb01nancial instruments disclosed in Level 3 of the fair value hierarchy, and marginally some instruments disclosed in Level 2, a difference between the transaction price and the fair value may arise at initial recognition. This \u201cDay One Pro\ufb01t\u201d is deferred and released to the pro\ufb01t and loss account over the period during which the valuation parameters are expected to remain non-observable. When parameters that were originally non-observable become observable, or when the valuation can be substantiated in comparison with recent similar transactions in an active market, the unrecognised portion of the day one pro\ufb01t is released to the pro\ufb01t and loss account. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 202 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements 1.e.11 Derecognition of financial assets and financial liabilities Derecognition of financial assets The Group derecognises all or part of a \ufb01nancial asset when the contractual rights to the cash \ufb02ows of the asset expire, or when the Group transfers the asset \u2013 either on the basis of a transfer of the contractual rights to its cash \ufb02ows, or by retaining the contractual rights to receive the cash \ufb02ows of the asset while assuming an obligation to pay the cash \ufb02ows of the asset under an eligible pass-through arrangement \u2013 as well as substantially all the risks and rewards of the asset. Where the Group has transferred the cash \ufb02ows of a \ufb01nancial asset but has neither transferred nor retained substantially all the risks and rewards of ownership of the \ufb01nancial asset and has not in practice retained control of the \ufb01nancial asset, the Group derecognises the \ufb01nancial asset and then records separately, if necessary, an asset or liability representing the rights and obligations created or held as part of the transfer of the asset. If the Group has retained control of the \ufb01nancial asset, it maintains it on its balance sheet to the extent of its continuing involvement in that asset. Upon the derecognition of a \ufb01nancial asset in its entirety, a gain or loss on disposal is recognised in the pro\ufb01t and loss account for an amount equal to the difference between the carrying amount of the asset and the value of the consideration received, adjusted where appropriate for any unrealised gain or loss previously recognised directly in equity. If all these conditions are not met, the Group retains the asset in its balance sheet and recognises a liability for the obligations arising on the transfer of the asset. Derecognition of financial liabilities The Group derecognises all or part of a \ufb01nancial liability when the liability is extinguished, i.e. when the obligation speci\ufb01ed in the contract is extinguished, cancelled or expired. A \ufb01nancial liability may also be derecognised in the event of a substantial change in its contractual terms or if exchanged with the lender for an instrument with substantially different contractual terms. Repurchase agreements and securities lending/borrowing Securities temporarily sold under repurchase agreements continue to be recognised in the Group\u2019s balance sheet in the category of securities to which they belong. The corresponding liability is recognised at amortised cost under the appropriate \u201cFinancial liabilities at amortised cost\u201d category on the balance sheet, except in the case of repurchase agreements contracted for trading purposes, for which the corresponding liability is recognised in \u201cFinancial liabilities at fair value through pro\ufb01t or loss\u201d. Securities temporarily acquired under reverse repurchase agreements are not recognised in the Group\u2019s balance sheet. The corresponding receivable is recognised at amortised cost under the appropriate \u201cFinancial assets at amortised cost\u201d category in the balance sheet, except in the case of reverse repurchase agreements contracted for trading purposes, for which the corresponding receivable is recognised in \u201cFinancial assets at fair value through pro\ufb01t or loss\u201d. Securities lending transactions do not result in derecognition of the lent securities, and securities borrowing transactions do not result in recognition of the borrowed securities on the balance sheet. In cases where the borrowed securities are subsequently sold by the Group, the obligation to deliver the borrowed securities on maturity is recognised on the balance sheet under \u201cFinancial liabilities at fair value through pro\ufb01t or loss\u201d.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForFairValueMeasurementExplanatory",
    "language": "en",
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    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-3139": {
   "value": "1.e.10 Determination of fair value Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants in the principal market or most advantageous market, at the measurement date. The Group determines the fair value of \ufb01nancial instruments either by using prices obtained directly from external data or by using valuation techniques. These valuation techniques are primarily market and income approaches encompassing generally accepted models (e.g. discounted cash \ufb02ows, Black- Scholes model, and interpolation techniques). They maximise the use of observable inputs and minimise the use of unobservable inputs. They are calibrated to re\ufb02ect current market conditions and valuation adjustments are applied as appropriate, when some factors such as model, liquidity and credit risks are not captured by the models or their underlying inputs but are nevertheless considered by market participants when setting the exit price. The unit of measurement is the individual \ufb01nancial asset or \ufb01nancial liability but a portfolio-based measurement can be elected, subject to certain conditions. Accordingly, the Group retains this portfolio-based measurement exception to determine the fair value when some group of \ufb01nancial assets and \ufb01nancial liabilities and other contracts within the scope of the standard relating to \ufb01nancial instruments with substantially similar and offsetting market risks or credit risks are managed on the basis of a net exposure, in accordance with the documented risk management strategy. Assets and liabilities measured or disclosed at fair value are categorised into the three following levels of the fair value hierarchy: \u25a0 Level 1: fair values are determined using directly quoted prices in active markets for identical assets and liabilities. Characteristics of an active market include the existence of a suf\ufb01cient frequency and volume of activity and of readily available prices; \u25a0 Level 2: fair values are determined based on valuation techniques for which signi\ufb01cant inputs are observable market data, either directly or indirectly. These techniques are regularly calibrated and the inputs are corroborated with information from active markets; \u25a0 Level 3: fair values are determined using valuation techniques for which signi\ufb01cant inputs are unobservable or cannot be corroborated by market- based observations, due for instance to illiquidity of the instrument and signi\ufb01cant model risk. An unobservable input is a parameter for which there are no market data available and that is therefore derived from proprietary assumptions about what other market participants would consider when assessing fair value. The assessment of whether a product is illiquid or subject to signi\ufb01cant model risks is a matter of judgment. The level in the fair value hierarchy within which the asset or liability is categorised in its entirety is based upon the lowest level input that is signi\ufb01cant to the entire fair value. For \ufb01nancial instruments disclosed in Level 3 of the fair value hierarchy, and marginally some instruments disclosed in Level 2, a difference between the transaction price and the fair value may arise at initial recognition. This \u201cDay One Pro\ufb01t\u201d is deferred and released to the pro\ufb01t and loss account over the period during which the valuation parameters are expected to remain non-observable. When parameters that were originally non-observable become observable, or when the valuation can be substantiated in comparison with recent similar transactions in an active market, the unrecognised portion of the day one pro\ufb01t is released to the pro\ufb01t and loss account. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 202 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements 1.e.11 Derecognition of financial assets and financial liabilities Derecognition of financial assets The Group derecognises all or part of a \ufb01nancial asset when the contractual rights to the cash \ufb02ows of the asset expire, or when the Group transfers the asset \u2013 either on the basis of a transfer of the contractual rights to its cash \ufb02ows, or by retaining the contractual rights to receive the cash \ufb02ows of the asset while assuming an obligation to pay the cash \ufb02ows of the asset under an eligible pass-through arrangement \u2013 as well as substantially all the risks and rewards of the asset. Where the Group has transferred the cash \ufb02ows of a \ufb01nancial asset but has neither transferred nor retained substantially all the risks and rewards of ownership of the \ufb01nancial asset and has not in practice retained control of the \ufb01nancial asset, the Group derecognises the \ufb01nancial asset and then records separately, if necessary, an asset or liability representing the rights and obligations created or held as part of the transfer of the asset. If the Group has retained control of the \ufb01nancial asset, it maintains it on its balance sheet to the extent of its continuing involvement in that asset. Upon the derecognition of a \ufb01nancial asset in its entirety, a gain or loss on disposal is recognised in the pro\ufb01t and loss account for an amount equal to the difference between the carrying amount of the asset and the value of the consideration received, adjusted where appropriate for any unrealised gain or loss previously recognised directly in equity. If all these conditions are not met, the Group retains the asset in its balance sheet and recognises a liability for the obligations arising on the transfer of the asset. Derecognition of financial liabilities The Group derecognises all or part of a \ufb01nancial liability when the liability is extinguished, i.e. when the obligation speci\ufb01ed in the contract is extinguished, cancelled or expired. A \ufb01nancial liability may also be derecognised in the event of a substantial change in its contractual terms or if exchanged with the lender for an instrument with substantially different contractual terms. Repurchase agreements and securities lending/borrowing Securities temporarily sold under repurchase agreements continue to be recognised in the Group\u2019s balance sheet in the category of securities to which they belong. The corresponding liability is recognised at amortised cost under the appropriate \u201cFinancial liabilities at amortised cost\u201d category on the balance sheet, except in the case of repurchase agreements contracted for trading purposes, for which the corresponding liability is recognised in \u201cFinancial liabilities at fair value through pro\ufb01t or loss\u201d. Securities temporarily acquired under reverse repurchase agreements are not recognised in the Group\u2019s balance sheet. The corresponding receivable is recognised at amortised cost under the appropriate \u201cFinancial assets at amortised cost\u201d category in the balance sheet, except in the case of reverse repurchase agreements contracted for trading purposes, for which the corresponding receivable is recognised in \u201cFinancial assets at fair value through pro\ufb01t or loss\u201d. Securities lending transactions do not result in derecognition of the lent securities, and securities borrowing transactions do not result in recognition of the borrowed securities on the balance sheet. In cases where the borrowed securities are subsequently sold by the Group, the obligation to deliver the borrowed securities on maturity is recognised on the balance sheet under \u201cFinancial liabilities at fair value through pro\ufb01t or loss\u201d.4.d MEASUREMENT OF THE FAIR VALUE OF FINANCIAL INSTRUMENTS Valuation process BNP Paribas has retained the fundamental principle that it should have a unique and integrated processing chain for producing and controlling the valuations of \ufb01nancial instruments that are used for the purpose of daily risk management and \ufb01nancial reporting. All these processes are based on a common economic valuation which is a core component of business decisions and risk management strategies. Economic value is composed of mid-market value, to which valuation adjustments are made. Mid-market value is derived from external data or valuation techniques that maximise the use of observable and market-based data. Mid-market value is a theoretical additive value which does not take account of i) the direction of the transaction or its impact on the existing risks in the portfolio, ii) the nature of the counterparties, and iii) the aversion of a market participant to particular risks inherent in the instrument, the market in which it is traded, or the risk management strategy. Valuation adjustments take into account valuation uncertainty and include market and credit risk premiums to re\ufb02ect costs that could be incurred in case of an exit transaction in the principal market. Fair value generally equals the economic value, subject to limited adjustments, such as own credit adjustments, which are speci\ufb01cally required by IFRS standards. The main valuation adjustments are presented in the section below. Valuation adjustments Valuation adjustments retained by BNP Paribas for determining fair values are as follows: Bid/offer adjustments: the bid/offer range re\ufb02ects the additional exit cost for a price taker and symmetrically the compensation sought by dealers to bear the risk of holding the position or closing it out by accepting another dealer\u2019s price. BNP Paribas assumes that the best estimate of an exit price is the bid or offer price, unless there is evidence that another point in the bid/offer range would provide a more representative exit price. Input uncertainty adjustments: when the observation of prices or data inputs required by valuation techniques is dif\ufb01cult or irregular, an uncertainty exists on the exit price. There are several ways to gauge the degree of uncertainty on the exit price such as measuring the dispersion of the available price indications or estimating the possible ranges of the inputs to a valuation technique. Model uncertainty adjustments: these relate to situations where valuation uncertainty is due to the valuation technique used, even though observable inputs might be available. This situation arises when the risks inherent in the instruments are different from those available in the observable data, and therefore the valuation technique involves assumptions that cannot be easily corroborated. Future Hedging Costs adjustments (FHC): this adjustment applies to positions classi\ufb01ed in Level 3 that require dynamic hedging throughout their lifetime leading to additional bid/offer costs. Calculation methods capture these expected costs in particular based on the optimal hedging frequency. Credit valuation adjustment (CVA): the CVA adjustment applies to valuations and market quotations whereby the credit worthiness of the counterparty is not re\ufb02ected. It aims to account for the possibility that the counterparty may default and that BNP Paribas may not receive the full fair value of the transactions. In determining the cost of exiting or transferring counterparty risk exposures, the relevant market is deemed to be an inter-dealer market. However, the determination of CVA remains judgemental due to: \u25a0 the possible absence or lack of price discovery in the inter-dealer market; \u25a0 the in\ufb02uence of the regulatory landscape relating to counterparty risk on the market participants\u2019 pricing behaviour; and \u25a0 the absence of a dominant business model for managing counterparty risk. The CVA model is grounded on the same exposures as those used for regulatory purposes. The model attempts to estimate the cost of an optimal risk management strategy based on i) implicit incentives and constraints inherent in the regulations in force and their evolutions, ii) market perception of the probability of default, and iii) default parameters used for regulatory purposes. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 233 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Funding valuation adjustment (FVA): when valuation techniques are used for the purpose of deriving fair value, funding assumptions related to the future expected cash \ufb02ows are an integral part of the mid-market valuation, notably through the use of appropriate discount rates. These assumptions re\ufb02ect what the Bank anticipates as being the effective funding conditions of the instrument that a market participant would consider. This notably takes into account the existence and terms of any collateral agreement. In particular, for non- or imperfectly collateralised derivative instruments, they include an explicit adjustment to the interbank interest rate. Own-credit valuation adjustment for debts (OCA) and for derivatives (debit valuation adjustment \u2013 DVA): OCA and DVA are adjustments re\ufb02ecting the effect of credit worthiness of BNP Paribas, on respectively the value of debt securities designated as at fair value through pro\ufb01t or loss and derivatives. Both adjustments are based on the expected future liability pro\ufb01les of such instruments. The own credit worthiness is inferred from the market-based observation of the relevant bond issuance levels. The DVA adjustment is determined after taking into account the Funding Valuation Adjustment (FVA). Thus, the carrying value of debt securities designated as at fair value though pro\ufb01t or loss is decreased by EUR 160 million at 31 December 2022, compared with an increase in value of EUR 359 million at 31 December 2021, i.e. a -EUR 519 million variation recognised directly in equity that will not be reclassi\ufb01ed to pro\ufb01t or loss. Instrument classes and classification within the fair value hierarchy for assets and liabilities measured at fair value As explained in the summary of signi\ufb01cant accounting policies (note 1.e.10), \ufb01nancial instruments measured at fair value are categorised into a fair value hierarchy consisting of three levels. In millions of euros 31 December 2022 Financial instruments held for trading Instruments at fair value through pro\ufb01t or loss not held for trading Financial assets at fair value through equity Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Securities 130,589 25,744 805 157,138 1,643 1,495 5,801 8,939 32,727 4,395 944 38,066 Governments 59,860 10,136 28 70,024 - 16,783 1,770 127 18,680 Other debt securities 16,454 14,695 630 31,779 1,152 500 333 1,985 14,497 2,412 288 17,197 Equities and other equity securities 54,275 913 147 55,335 491 995 5,468 6,954 1,447 213 529 2,189 Loans and repurchase agreements - 186,170 798 186,968 - 1,274 2,883 4,157 - - - - Loans 6,428 5 6,433 1,274 2,883 4,157 Repurchase agreements 179,742 793 180,535 - FINANCIAL ASSETS AT FAIR VALUE 130,589 211,914 1,603 344,106 1,643 2,769 8,684 13,096 32,727 4,395 944 38,066 Securities 97,367 1,716 72 99,155 - - - - Governments 57,949 92 16 58,057 - Other debt securities 13,183 1,581 47 14,811 - Equities and other equity securities 26,235 43 9 26,287 - Borrowings and repurchase agreements - 230,303 2,048 232,351 - 1,472 253 1,725 Borrowings 6,952 6,952 1,472 253 1,725 Repurchase agreements 223,351 2,048 225,399 - Issued debt securities (note 4.h) - - - - 1,885 49,630 18,945 70,460 Subordinated debt (note 4.h) - 675 675 Non subordinated debt (note 4.h) - 4 45,161 18,945 64,110 Debt representative of shares of consolidated funds held by third parties - 1,881 3,794 5,675 FINANCIAL LIABILITIES AT FAIR VALUE 97,367 232,019 2,120 331,506 1,885 51,102 19,198 72,185 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 234 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In millions of euros 31 December 2021 Financial instruments held for trading Instruments at fair value through pro\ufb01t or loss not held for trading Financial assets at fair value through equity Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Securities 152,215 28,234 630 181,079 3,520 1,865 5,043 10,428 33,356 6,987 1,121 41,464 Governments 82,556 10,962 36 93,554 - 16,263 3,717 19,980 Other debt securities 20,921 15,697 404 37,022 2,867 696 404 3,967 15,551 3,057 318 18,926 Equities and other equity securities 48,738 1,575 190 50,503 653 1,169 4,639 6,461 1,542 213 803 2,558 Loans and repurchase agreements - 246,895 612 247,507 - 1,398 903 2,301 - - - - Loans 6,525 13 6,538 1,398 903 2,301 Repurchase agreements 240,370 599 240,969 - FINANCIAL ASSETS AT FAIR VALUE 152,215 275,129 1,242 428,586 3,520 3,263 5,946 12,729 33,356 6,987 1,121 41,464 Securities 110,117 2,064 157 112,338 - - - - Governments 76,019 267 76,286 Other debt securities 14,382 1,683 117 16,182 Equities and other equity securities 19,716 114 40 19,870 Borrowings and repurchase agreements - 290,659 918 291,577 - 1,556 323 1,879 Borrowings 1,758 1,758 1,556 323 1,879 Repurchase agreements 288,901 918 289,819 Issued debt securities (note 4.h) - - - - 2,716 47,409 20,258 70,383 Subordinated debt (note 4.h) 947 947 Non subordinated debt (note 4.h) 42,076 20,258 62,334 Debt representative of shares of consolidated funds held by third parties 2,716 4,386 7,102 FINANCIAL LIABILITIES AT FAIR VALUE 110,117 292,723 1,075 403,915 2,716 48,965 20,581 72,262 Fair values of derivatives are broken down by dominant risk factor, namely interest rate, foreign exchange, credit and equity. Derivatives used for hedging purposes are mainly interest rate derivatives. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 235 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In millions of euros 31 December 2022 Positive market value Negative market value Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Interest rate derivatives 873 147,853 1,396 150,122 503 122,659 2,053 125,215 Foreign exchange derivatives 33 133,628 721 134,382 35 129,204 35 129,274 Credit derivatives 6,382 912 7,294 6,822 909 7,731 Equity derivatives 6,760 13,512 2,330 22,602 9,177 13,290 4,824 27,291 Other derivatives 1,295 12,158 79 13,532 843 9,629 138 10,610 DERIVATIVE FINANCIAL INSTRUMENTS NOT USED FOR HEDGING PURPOSES 8,961 313,533 5,438 327,932 10,558 281,604 7,959 300,121 DERIVATIVE FINANCIAL INSTRUMENTS USED FOR HEDGING PURPOSES - 25,401 - 25,401 - 40,001 - 40,001 In millions of euros 31 December 2021 Positive market value Negative market value Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Interest rate derivatives 331 117,854 1,034 119,219 318 105,988 1,184 107,490 Foreign exchange derivatives 40 74,827 447 75,314 36 75,388 270 75,694 Credit derivatives 7,532 839 8,371 7,562 889 8,451 Equity derivatives 9,770 12,741 1,706 24,217 12,593 15,795 6,683 35,071 Other derivatives 1,284 11,962 56 13,302 1,179 9,359 153 10,691 DERIVATIVE FINANCIAL INSTRUMENTS NOT USED FOR HEDGING PURPOSES 11,425 224,916 4,082 240,423 14,126 214,092 9,179 237,397 DERIVATIVE FINANCIAL INSTRUMENTS USED FOR HEDGING PURPOSES - 8,680 - 8,680 - 10,076 - 10,076 Transfers between levels may occur when an instrument ful\ufb01ls the criteria de\ufb01ned, which are generally market and product dependent. The main factors in\ufb02uencing transfers are changes in the observation capabilities, passage of time, and events during the transaction lifetime. The timing of recognising transfers is determined at the beginning of the reporting period. During the year ended 2022, transfers between Level 1 and Level 2 were not signi\ufb01cant. Description of main instruments in each level The following section provides a description of the instruments in each level in the hierarchy. It describes notably instruments classi\ufb01ed in Level 3 and the associated valuation methodologies. For main trading book instruments and derivatives classi\ufb01ed in Level 3, further quantitative information is provided about the inputs used to derive fair value. Level 1 This level encompasses all derivatives and securities that are listed on exchanges or quoted continuously in other active markets. Level 1 includes notably equity securities and liquid bonds, shortselling of these instruments, derivative instruments traded on organised markets (futures, options, etc.). It includes shares of funds and UCITS, for which the net asset value is calculated on a daily basis, as well as debt representative of shares of consolidated funds held by third parties. Level 2 The Level 2 stock of securities is composed of securities which are less liquid than the Level 1 bonds. They are predominantly corporate debt securities, government bonds, mortgage-backed securities, fund shares and short-term securities such as certi\ufb01cates of deposit. They are classi\ufb01ed in Level 2 notably when external prices for the same security can be regularly observed from a reasonable number of market makers that are active in this security, but these prices do not represent directly tradable prices. This comprises amongst other, consensus pricing services with a reasonable number of contributors that are active market makers as well as indicative runs from active brokers and/or dealers. Other sources such as primary issuance market, may also be used where relevant. Repurchase agreements are classi\ufb01ed predominantly in Level 2. The classi\ufb01cation is primarily based on the observability and liquidity of the repo market, depending on the underlying collateral and the maturity of the repo transaction. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 236 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Debts issued designated as at fair value through pro\ufb01t and loss, are classi\ufb01ed in the same level as the one that would apply to the embedded derivative taken individually. The issuance spread is considered observable. Derivatives classi\ufb01ed in Level 2 comprise mainly the following instruments: \u25a0 vanilla instruments such as interest rate swaps, caps, \ufb02oors and swaptions, credit default swaps, equity/foreign exchange (FX)/commodities forwards and options; \u25a0 structured derivatives for which model uncertainty is not signi\ufb01cant such as exotic FX options, mono- and multi-underlying equity/funds derivatives, single curve exotic interest rate derivatives and derivatives based on structured rates. The above derivatives are classi\ufb01ed in Level 2 when there is a documented stream of evidence supporting one of the following: \u25a0 fair value is predominantly derived from prices or quotations of other Level 1 and Level 2 instruments, through standard market interpolation or stripping techniques whose results are regularly corroborated by real transactions; \u25a0 fair value is derived from other standard techniques such as replication or discounted cash \ufb02ows that are calibrated to observable prices, that bear limited model risk and enable an effective offset of the risks of the instrument through trading Level 1 or Level 2 instruments; \u25a0 fair value is derived from more sophisticated or proprietary valuation techniques but is directly evidenced through regular back-testing using external market-based data. Determining whether an over-the-counter (OTC) derivative is eligible for Level 2 classi\ufb01cation involves judgement. Consideration is given to the origin, transparency and reliability of external data used, and the amount of uncertainty associated with the use of models. It follows that the Level 2 classi\ufb01cation criteria involve multiple analysis axis within an \u201cobservability zone\u201d whose limits are determined by i) a predetermined list of product categories and ii) the underlying and maturity bands. These criteria are regularly reviewed and updated, together with the applicable valuation adjustments, so that the classi\ufb01cation by level remains consistent with the valuation adjustment policy. Level 3 Level 3 securities of the trading book mainly comprise units of funds and unlisted equity shares measured at fair value through pro\ufb01t or loss or through equity. Unlisted private equities are systematically classi\ufb01ed as Level 3, with the exception of UCITS with a daily net asset value, which are classi\ufb01ed in the Level 1 of the fair value hierarchy. Shares and other unlisted variable income securities in Level 3 are valued using one of the following methods: a share of revalued net book value, multiples of comparable companies, future cash \ufb02ows method, multi-criteria approach. Some repurchase agreements: mainly long-term or structured repurchase agreements on corporate bonds and ABSs when the valuation of these transactions requires proprietary methodologies given the bespoke nature of the transactions and the lack of activity and price discovery in the long- term repo market. The curves used in the valuation are corroborated using available data such as recent long-term repo trade data and price enquiry data. Valuation adjustments applicable to these exposures are commensurate with the degree of uncertainty inherent in the modelling choices and amount of data available. Debts issued designated as at fair value through pro\ufb01t or loss, are classi\ufb01ed in the same level as the one that would apply to the embedded derivative taken individually. The issuance spread is considered observable. Derivatives Vanilla derivatives are classi\ufb01ed in Level 3 when the exposure is beyond the observation zone for rate curves or volatility surfaces, or relates to less liquid markets such as tranches on old credit index series or emerging markets interest rates markets. The main instruments are: \u25a0 Interest rate derivatives: exposures mainly comprise swap products in less liquid currencies. Classi\ufb01cation is driven by the lower liquidity of some maturities, while observation capabilities through consensus may be available. The valuation technique is standard, and uses external market information and extrapolation techniques; \u25a0 Credit derivatives (CDS): exposures mainly comprise CDSs beyond the maximum observable maturity and, to a much lesser extent, CDSs on illiquid or distressed names and CDSs on loan indices. Classi\ufb01cation is driven by the lack of liquidity while observation capabilities may be available notably through consensus. Level 3 exposures also comprise CDS and Total Return Swaps (TRS) positions on securitised assets. These are priced along the same modelling techniques as the underlying bonds, taking into consideration the funding basis and speci\ufb01c risk premium; \u25a0 Equity derivatives: exposures essentially comprise long dated forward or volatility products or exposures where there is a limited market for optional products. The marking of the forward curves and volatility surfaces beyond the maximum observable maturity relies on extrapolation techniques. However, when there is no market for model input, volatility or forward is generally determined on the basis of proxy or historical analysis. Similarly, long-term transactions on equity baskets are also classi\ufb01ed in Level 3, based on the absence of equity correlation observability on long maturities. These vanilla derivatives are subject to valuation adjustments linked to uncertainty on liquidity, specialised by nature of underlying and liquidity bands. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 237 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Structured derivatives classi\ufb01ed in Level 3 predominantly comprise hybrid products (FX/Interest Rates hybrids, Equity hybrids), credit correlation products, prepayment-sensitive products, some stock basket optional products and some interest rate optional instruments. The main exposures are described below, with insight into the related valuation techniques and on the source of uncertainty: \u25a0 structured interest rate options are classi\ufb01ed in Level 3 when they involve currencies where there is not suf\ufb01cient observation or when they include a quanto feature where the pay-off is measured with a forex forward \ufb01xed rate (except for the main currencies). Long term structured derivatives are also classi\ufb01ed in Level 3; \u25a0 hybrid FX/Interest rate products essentially comprise a speci\ufb01c product family known as Power Reverse Dual Currency (PRDC) when there is material valuation uncertainty. When valuation of PRDCs requires sophisticated modelling of joint behaviour of FX and interest rate, and is notably sensitive to the unobservable FX/interest rate correlations, such products are classi\ufb01ed as Level 3. PRDCs valuations are corroborated with recent trade data and consensus data; \u25a0 securitisation swaps mainly comprise \ufb01xed-rate swaps, cross-currency or basis swaps whose notional is indexed to the prepayment behaviour of some underlying portfolio. The estimation of the maturity pro\ufb01le of securitisation swaps is corroborated by statistical estimates using external historical data; \u25a0 forward volatility options are generally products whose pay-off is indexed to the future variability of a rate index such as volatility swaps. These products involve material model risk as it is dif\ufb01cult to infer forward volatility information from market-traded instruments. The valuation adjustment framework is calibrated to the uncertainty inherent in the product, and to the range of uncertainty from the existing external consensus data; \u25a0 inflation derivatives classi\ufb01ed in Level 3 mainly comprise swap products on in\ufb02ation indices that are not associated with a liquid indexed bond market, optional products on in\ufb02ation indices (such as caps and \ufb02oors) and other forms of in\ufb02ation indices involving optionality on the in\ufb02ation indices or on the in\ufb02ation annual rate. Valuation techniques used for in\ufb02ation derivatives are predominantly standard market models. Proxy techniques are used for a few limited exposures. Although the valuations are corroborated through monthly consensus data, these products are classi\ufb01ed as Level 3 due to their lack of liquidity and some uncertainties inherent in the calibration; \u25a0 the valuation of bespoke CDOs requires correlation of default events when there is material valuation uncertainty. This information is inferred from the active index tranche market through a proprietary projection technique and involves proprietary extrapolation and interpolation techniques. Multi-geography CDOs further require an additional correlation assumption. Finally, the bespoke CDO model also involves proprietary assumptions and parameters related to the dynamic of the recovery factor. CDO modelling, is calibrated on the observable index tranche markets, and is regularly back-tested against consensus data on standardised pools. The uncertainty arises from the model risk associated with the projection and geography mixing technique, and the uncertainty of associated parameters, together with the recovery modelling; \u25a0 N to Default baskets are other forms of credit correlation products, modelled through standard copula techniques. The main inputs required are the pair-wise correlations between the basket components which can be observed in the consensus and the transactions. Linear baskets are considered observable; \u25a0 equity and equity-hybrid correlation products are instruments whose pay-off is dependent on the joint behaviour of a basket of equities/indices leading to a sensitivity of the fair value measurement to the correlation amongst the basket components. Hybrid versions of these instruments involve baskets that mix equity and non-equity underlyings such as commodity indices, or foreign exchange rates. Only a subset of the Equity/index correlation matrix is regularly observable and traded, while most cross-asset correlations are not active. Therefore, classi\ufb01cation in Level 3 depends on the composition of the basket, the maturity, and the hybrid nature of the product. The correlation input is derived from a proprietary model combining historical estimators, and other adjustment factors, that are corroborated by reference to recent trades or external data. The correlation matrix is essentially available from consensus services, and when a correlation between two underlying instruments is not available, it might be obtained from extrapolation or proxy techniques. These structured derivatives are subject to speci\ufb01c valuation adjustments to cover uncertainties linked to liquidity, parameters and model risk. Valuation adjustments (CVA, DVA and FVA) The valuation adjustment for counterparty credit risk (CVA), own-credit risk for derivatives (DVA) and the explicit funding valuation adjustment (FVA) are deemed to be unobservable components of the valuation framework and therefore classi\ufb01ed in Level 3. This does not impact, in general cases, the classi\ufb01cation of individual transactions into the fair value hierarchy. However, a speci\ufb01c process allows to identify individual deals for which the marginal contribution of these adjustments and related uncertainty is signi\ufb01cant and justi\ufb01es classifying these transactions in Level 3. The table below provides the range of values of main unobservable inputs for the valuation of Level 3 \ufb01nancial instruments. The ranges displayed correspond to a variety of different underlying instruments and are meaningful only in the context of the valuation technique implemented by BNP Paribas. The weighted averages, where relevant and available, are based on fair values, nominal amounts or sensitivities. The main unobservable parameters used for the valuation of debt issued in Level 3 are equivalent to those of their economic hedge derivative. Information on those derivatives, displayed in the following table, is also applicable to these debts. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 238 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Risk classes Balance Sheet valuation (in millions of euros) Main product types composing the Level 3 stock within the risk class Valuation technique used for the product types considered Main unobservable inputs for the product types considered Range of unobservable input across Level 3 population considered Weighted average Asset Liability Repurchase agreements 793 2,048 Long-term repo and reverse- repo agreements Proxy techniques, based amongst other on the funding basis of a benchmark bond pool, that is actively traded and representative of the repo underlying Long-term repo spread on private bonds (High Yield, High Grade) and on ABSs 0 bp to 80 bp 21 bp (a) Interest rate derivatives 1,396 2,053 Hybrid Forex/Interest rates derivatives Hybrid Forex interest rate option pricing model Correlation between FX rate and interest rates. Main currency pairs are EUR/JPY, USD/JPY, AUD/JPY -13% to 53% 17% (a) Hybrid in\ufb02ation rates/Interest rates derivatives Hybrid in\ufb02ation interest rate option pricing model Correlation between interest rates and in\ufb02ation rates mainly in Europe. 3% to 14% 12% Floors and caps on in\ufb02ation rate or on the cumulative in\ufb02ation (such as redemption \ufb02oors), predominantly on European and French in\ufb02ation In\ufb02ation pricing model Volatility of cumulative in\ufb02ation 1% to 11.7% (b) Volatility of the year-on-year in\ufb02ation rate 0.4% to 3.3% Forward Volatility products such as volatility swaps, mainly in euros Interest rates option pricing model Forward volatility of interest rates 0.6% to 1.2% (b) Balance-guaranteed \ufb01xed rate, basis or cross currency swaps, predominantly on European collateral pools Prepayment modelling Discounted cash \ufb02ows Constant prepayment rates 0% to 18% 1% (a) Credit derivatives 912 909 Collateralised Debt Obligations and index tranches for inactive index series Base correlation projection technique and recovery modelling Base correlation curve for bespoke portfolios 17% to 85% (b) Recovery rate variance for single name underlyings 0 to 25% (b) N-to-default baskets Credit default model Default correlation 48% to 73% 53% (a) Single name Credit Default Swaps (other than CDS on ABSs and loans indices) Stripping, extrapolation and interpolation Credit default spreads beyond observation limit (10 years) 45 bp to 535 bp (1) 435 bp (c) Illiquid credit default spread curves (across main tenors) 8 bp to 610 bp (2) 99 bp (c) Equity derivatives 2,330 4,824 Simple and complex derivatives on multi- underlying baskets on stocks Various volatility option models Unobservable equity volatility 0% to 124% (3) 33% (d) Unobservable equity correlation 25% to 100% 73% (c) (1) The upper part of the range relates to a signi\ufb01cant balance sheet position on an issuer belonging to the European telecommunication sector. The remaining positions relate mainly to sovereign and \ufb01nancial issuers. (2) The upper bound of the range relates to distribution, consumer and transportation sector issuers that represent an insigni\ufb01cant portion of the balance sheet (CDSs with illiquid underlying instruments). (3) The upper part of the range relates to 6 equities representing a non-material portion of the balance sheet on options with equity underlying instruments. Including these inputs, the upper bound of the range would be around 289%. (a) Weights based on relevant risk axis at portfolio level. (b) No weighting, since no explicit sensitivity is attributed to these inputs. (c) Weighting is not based on risks, but on an alternative methodology in relation with the Level 3 instruments (present value or notional). (d) Simple averaging. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 239 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Table of movements in Level 3 financial instruments For Level 3 \ufb01nancial instruments, the following movements occurred during the year ended 31 December 2022: In millions of euros Financial assets Financial liabilities Financial instruments at fair value through pro\ufb01t or loss held for trading Financial instruments at fair value through pro\ufb01t or loss not held for trading Financial assets at fair value through equity TOTAL Financial instruments at fair value through pro\ufb01t or loss held for trading Financial instruments designated as at fair value through pro\ufb01t or loss TOTAL AT 31 DECEMBER 2021 5,324 5,946 1,121 12,391 (10,254) (20,581) (30,835) Purchases 1,507 1,497 257 3,261 - Issues - (6,810) (6,810) Sales (1,591) (1,219) (502) (3,312) (24) (24) Settlements (1) 2,682 1,824 135 4,641 2,905 7,904 10,809 Transfers to Level 3 1,657 26 36 1,719 (733) (1,760) (2,493) Transfers from Level 3 (2,126) (34) (2,160) 1,391 1,007 2,398 Gains (or losses) recognised in pro\ufb01t or loss with respect to transactions expired or terminated during the period (434) 651 (41) 176 (2,983) 2,800 (183) Gains (or losses) recognised in pro\ufb01t or loss with respect to unexpired instruments at the end of the period 20 1 21 (383) (1,758) (2,141) Changes in fair value of assets and liabilities recognised directly in equity - - Items related to exchange rate movements 2 (8) (3) (9) 2 2 Changes in fair value of assets and liabilities recognised in equity (59) (59) - AT 31 DECEMBER 2022 7,041 8,684 944 16,669 (10,079) (19,198) (29,277) (1) For the assets, includes redemptions of principal, interest payments as well as cash in\ufb02ows and out\ufb02ows relating to derivatives. For the liabilities, includes principal redemptions, interest payments as well as cash in\ufb02ows and out\ufb02ows relating to derivatives the fair value of which is negative. Transfers out of Level 3 of derivatives at fair value include mainly the update of the observability tenor of certain yield curves, and of market parameters related to repurchase agreements and credit transactions but also the effect of derivatives becoming only or mainly sensitive to observable inputs due to the shortening of their lifetime. Transfers into Level 3 of instruments at fair value re\ufb02ect the effect of the regular update of the observability zones. Transfers have been re\ufb02ected as if they had taken place at the beginning of the reporting period. The Level 3 \ufb01nancial instruments may be hedged by other Level 1 and Level 2 instruments, the gains and losses of which are not shown in this table. Consequently, the gains and losses shown in this table are not representative of the gains and losses arising from management of the net risk on all these instruments. Sensitivity of fair value to reasonably possible changes in Level 3 assumptions The following table summarises those \ufb01nancial assets and \ufb01nancial liabilities classi\ufb01ed as Level 3 for which alternative assumptions in one or more of the unobservable inputs would change fair value signi\ufb01cantly. The amounts disclosed are intended to illustrate the range of possible uncertainty inherent to the judgement applied when estimating Level 3 parameters, or when selecting valuation techniques. These amounts re\ufb02ect valuation uncertainties that prevail at the measurement date, and even though such uncertainties predominantly derive from the portfolio sensitivities that prevailed at that measurement date, they are not predictive or indicative of future movements in fair value, nor do they represent the effect of market stress on the portfolio value. In estimating sensitivities, BNP Paribas either remeasured the \ufb01nancial instruments using reasonably possible inputs, or applied assumptions based on the valuation adjustment policy. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 240 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements For the sake of simplicity, the sensitivity on cash instruments that are not relating to securitised instruments was based on a uniform 1% shift in the price. More speci\ufb01c shifts were however calibrated for each class of the Level 3 securitised exposures, based on the possible ranges of the unobservable inputs. For derivative exposures, the sensitivity measurement is based on the credit valuation adjustment (CVA), the explicit funding valuation adjustment (FVA) and the parameter and model uncertainty adjustments related to Level 3. Regarding the credit valuation adjustment (CVA) and the explicit funding valuation adjustment (FVA), the uncertainty was calibrated based on prudent valuation adjustments described in the technical standard \u201cPrudent Valuation\u201d published by the European Banking Authority. For other valuation adjustments, two scenarios were considered: a favourable scenario where all or portion of the valuation adjustment is not considered by market participants, and an unfavourable scenario where market participants would require twice the amount of valuation adjustments considered by BNP Paribas for entering into a transaction. In millions of euros 31 December 2022 31 December 2021 Potential impact on income Potential impact on equity Potential impact on income Potential impact on equity Debt securities +/-8 +/-3 +/-7 +/-3 Equities and other equity securities +/-56 +/-5 +/-48 +/-8 Loans and repurchase agreements +/-42 +/-12 Derivative \ufb01nancial instruments +/-576 +/-588 Interest rate and foreign exchange derivatives +/-227 +/-322 Credit derivatives +/-98 +/-35 Equity derivatives +/-245 +/-227 Other derivatives +/-6 +/-4 SENSITIVITY OF LEVEL 3 FINANCIAL INSTRUMENTS +/-682 +/-8 +/-655 +/-11 Deferred margin on financial instruments measured using techniques developed internally and based on inputs partly unobservable in active markets Deferred margin on \ufb01nancial instruments (\u201cDay One Pro\ufb01t\u201d) primarily concerns the scope of \ufb01nancial instruments eligible for Level 3 and to a lesser extent some \ufb01nancial instruments eligible for Level 2 where valuation adjustments for uncertainties regarding parameters or models are not negligible compared to the initial margin. The Day One Pro\ufb01t is calculated after setting aside valuation adjustments for uncertainties as described previously and released to pro\ufb01t or loss over the expected period for which the inputs will be unobservable. The unamortised amount is included under \u201cFinancial instruments at fair value through pro\ufb01t or loss\u201d as a reduction in the fair value of the relevant transactions. In millions of euros Deferred margin at 31 December 2021 Deferred margin on transactions during the period Margin taken to the pro\ufb01t and loss account during the period Deferred margin at 31 December 2022 Interest rate and foreign exchange derivatives 204 142 (152) 194 Credit derivatives 164 150 (140) 174 Equity derivatives 401 449 (424) 426 Other instruments 9 31 (30) 10 Financial instruments 778 772 (746) 804 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 241 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements\u27a4 MEASUREMENT OF THE FAIR VALUE OF FINANCIAL INSTRUMENTS The criteria for allocating instruments to the levels of the fair value hierarchy, the corresponding valuation methodologies and the principles of transfer between the levels of the hierarchy for insurance investments are similar to those applied for the Group\u2019s other \ufb01nancial instruments (note 4.d). In millions of euros 31 December 2022 31 December 2021 Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Available-for-sale \ufb01nancial assets 91,640 12,720 601 104,961 110,750 16,196 467 127,413 Equity instruments 7,627 1,390 437 9,454 9,767 1,338 367 11,472 Debt securities 84,013 11,330 164 95,507 100,983 14,858 100 115,941 Financial instruments designated as at fair value through pro\ufb01t or loss 70,018 41,471 12,476 123,965 86,497 43,486 8,065 138,048 Equity instruments 69,439 32,669 12,452 114,560 85,749 34,660 8,037 128,446 Debt securities 579 8,802 24 9,405 748 8,826 28 9,602 Derivative \ufb01nancial instruments 10 1,622 43 1,675 1 909 123 1,033 FINANCIAL ASSETS MEASURED AT FAIR VALUE 161,668 55,813 13,120 230,601 197,248 60,591 8,655 266,494 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 247 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Level 1: this level comprises equities and liquid bonds, derivative instruments traded on organised markets (futures, options, etc.), units of funds and UCITS for which the net asset value is calculated on a daily basis. Level 2: this level comprises equities, certain government or corporate bonds, other fund units and UCITS and over-the-counter derivatives. Level 3: this level consists mainly of fund units and shares which are not quoted on active markets, consisting mainly of units in venture capital companies and funds. \u27a4 TABLE OF MOVEMENTS IN LEVEL 3 FINANCIAL INSTRUMENTS For Level 3 \ufb01nancial instruments, the following movements occurred during the period: In millions of euros Financial assets Available-for- sale \ufb01nancial instruments Financial instruments as at fair value through pro\ufb01t or loss Total AT 31 DECEMBER 2021 467 8,188 8,655 Purchases 290 3,701 3,991 Sales (371) (2,875) (3,246) Settlements (16) (393) (409) Transfers to Level 3 312 2,423 2,735 Transfers from Level 3 (80) (41) (121) Gains recognised in pro\ufb01t or loss 5 1,509 1,514 Items related to exchange rate movements 8 8 Changes in fair value of assets and liabilities recognised in equity (6) (6) AT 31 DECEMBER 2022 601 12,519 13,120 \u27a47.k FAIR VALUE OF FINANCIAL INSTRUMENTS CARRIED AT AMORTISED COST The information supplied in this note must be used and interpreted with the greatest caution for the following reasons: \u25a0 these fair values are an estimate of the value of the relevant instruments at 31 December 2022. They are liable to \ufb02uctuate from day to day as a result of changes in various parameters, such as interest rates and credit quality of the counterparty. In particular, they may differ signi\ufb01cantly from the amounts actually received or paid on maturity of the instrument. In most cases, the fair value is not intended to be realised immediately, and in practice might not be realised immediately. Consequently, this fair value does not re\ufb02ect the actual value of the instrument to BNP Paribas as a going concern; \u25a0 most of these fair values are not meaningful, and hence are not taken into account in the management of the commercial banking activities which use these instruments; \u25a0 estimating a fair value for \ufb01nancial instruments carried at historical cost often requires the use of modelling techniques, hypotheses and assumptions that may vary from bank to bank. This means that comparisons between the fair values of \ufb01nancial instruments carried at historical cost as disclosed by different banks may not be meaningful; \u25a0 the fair values shown below do not include the fair values of \ufb01nance lease transactions, non-\ufb01nancial instruments such as property, plant and equipment, goodwill and other intangible assets such as the value attributed to demand deposit portfolios or customer relationships. Consequently, these fair values should not be regarded as the actual contribution of the instruments concerned to the overall valuation of the BNP Paribas Group. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 286 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In millions of euros, at 31 December 2022 Estimated fair value Carrying value Level 1 Level 2 Level 3 Total FINANCIAL ASSETS Loans and advances to credit institutions and customers (1) 92,635 731,555 824,190 848,145 Debt securities at amortised cost (note 4.e) 85,758 26,235 771 112,764 114,014 Assets held for sale 4,440 9,980 53,325 67,746 72,176 FINANCIAL LIABILITIES Deposits from credit institutions and customers 1,132,280 1,132,280 1,132,772 Debt securities (note 4.h) 64,889 88,999 153,888 154,143 Subordinated debt (note 4.h) 17,193 6,624 23,817 24,156 Liabilities associated with assets held for sale 74,567 74,567 74,563 (1) Finance leases excluded. In millions of euros, at 31 December 2021 Estimated fair value Carrying value Level 1 Level 2 Level 3 Total FINANCIAL ASSETS Loans and advances to credit institutions and customers (1) 88,058 716,147 804,205 795,845 Debt securities at amortised cost (note 4.e) 89,374 17,203 3,172 109,749 108,510 Assets held for sale 4,587 11,081 49,838 65,507 64,847 FINANCIAL LIABILITIES Deposits from credit institutions and customers 1,123,937 1,123,937 1,123,383 Debt securities (note 4.h) 64,660 86,854 151,514 149,723 Subordinated debt (note 4.h) 18,211 7,360 25,571 24,720 Liabilities associated with assets held for sale 73,077 73,077 73,041 (1) Finance leases excluded. The valuation techniques and assumptions used by BNP Paribas ensure that the fair value of \ufb01nancial assets and liabilities carried at amortised cost is measured on a consistent basis throughout the Group. Fair value is based on prices quoted in an active market when these are available. In other cases, fair value is determined using valuation techniques such as discounting of estimated future cash \ufb02ows for loans, liabilities and debt securities at amortised cost, or speci\ufb01c valuation models for other \ufb01nancial instruments as described in note 1, Summary of signi\ufb01cant accounting policies applied by the BNP Paribas Group. The description of the fair value hierarchy levels is also presented in the accounting principles (see note 1.e.10). In the case of loans, liabilities and debt securities at amortised cost that have an initial maturity of less than one year (including demand deposits) or of most regulated savings products, fair value equates to carrying amount. These instruments have been classi\ufb01ed in Level 2, except for loans to customers, which are classi\ufb01ed in Level 3. ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfFairValueMeasurementExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9586": {
   "value": "1.e.11 Derecognition of financial assets and financial liabilities Derecognition of financial assets The Group derecognises all or part of a \ufb01nancial asset when the contractual rights to the cash \ufb02ows of the asset expire, or when the Group transfers the asset \u2013 either on the basis of a transfer of the contractual rights to its cash \ufb02ows, or by retaining the contractual rights to receive the cash \ufb02ows of the asset while assuming an obligation to pay the cash \ufb02ows of the asset under an eligible pass-through arrangement \u2013 as well as substantially all the risks and rewards of the asset. Where the Group has transferred the cash \ufb02ows of a \ufb01nancial asset but has neither transferred nor retained substantially all the risks and rewards of ownership of the \ufb01nancial asset and has not in practice retained control of the \ufb01nancial asset, the Group derecognises the \ufb01nancial asset and then records separately, if necessary, an asset or liability representing the rights and obligations created or held as part of the transfer of the asset. If the Group has retained control of the \ufb01nancial asset, it maintains it on its balance sheet to the extent of its continuing involvement in that asset. Upon the derecognition of a \ufb01nancial asset in its entirety, a gain or loss on disposal is recognised in the pro\ufb01t and loss account for an amount equal to the difference between the carrying amount of the asset and the value of the consideration received, adjusted where appropriate for any unrealised gain or loss previously recognised directly in equity. If all these conditions are not met, the Group retains the asset in its balance sheet and recognises a liability for the obligations arising on the transfer of the asset. Derecognition of financial liabilities The Group derecognises all or part of a \ufb01nancial liability when the liability is extinguished, i.e. when the obligation speci\ufb01ed in the contract is extinguished, cancelled or expired. A \ufb01nancial liability may also be derecognised in the event of a substantial change in its contractual terms or if exchanged with the lender for an instrument with substantially different contractual terms. Repurchase agreements and securities lending/borrowing Securities temporarily sold under repurchase agreements continue to be recognised in the Group\u2019s balance sheet in the category of securities to which they belong. The corresponding liability is recognised at amortised cost under the appropriate \u201cFinancial liabilities at amortised cost\u201d category on the balance sheet, except in the case of repurchase agreements contracted for trading purposes, for which the corresponding liability is recognised in \u201cFinancial liabilities at fair value through pro\ufb01t or loss\u201d. Securities temporarily acquired under reverse repurchase agreements are not recognised in the Group\u2019s balance sheet. The corresponding receivable is recognised at amortised cost under the appropriate \u201cFinancial assets at amortised cost\u201d category in the balance sheet, except in the case of reverse repurchase agreements contracted for trading purposes, for which the corresponding receivable is recognised in \u201cFinancial assets at fair value through pro\ufb01t or loss\u201d. Securities lending transactions do not result in derecognition of the lent securities, and securities borrowing transactions do not result in recognition of the borrowed securities on the balance sheet. In cases where the borrowed securities are subsequently sold by the Group, the obligation to deliver the borrowed securities on maturity is recognised on the balance sheet under \u201cFinancial liabilities at fair value through pro\ufb01t or loss\u201d.The accounting classi\ufb01cation of securitisation positions in the banking book is shown in Table 9 Prudential balance sheet by risk type (EU LI1-B). Securitisation positions classi\ufb01ed as \u201cFinancial assets at amortised cost\u201d are measured using the method described in note 1.e.1 to the \ufb01nancial statements: the ef\ufb01cient interest rate used to recognise interest income is measured on the basis of an expected cash \ufb02ow model. From the outset, these positions are subject to an impairment calculation for expected credit risk losses (see note 1.e.5). Securitisation positions classi\ufb01ed on an accounting basis as \u201cFinancial assets at fair value through equity\u201d are measured using the method described in note 1.e.2 to the financial statements. Changes in fair value determined according to the principles listed in note 1.e.10 to the \ufb01nancial statements (excluding revenue recognised using the ef\ufb01cient interest method) are presented in a speci\ufb01c subsection of shareholders\u2019 equity along with expected credit risk losses calculated using the methods described in note 1.e.5 to the financial statements. Upon disposal, amounts previously recognised in recyclable equity are transferred to the pro\ufb01t and loss account. Securitisation positions classi\ufb01ed on an accounting basis as \u201cFinancial instruments at fair value through pro\ufb01t or loss\u201d are measured using the method described in note 1.e.7 to the \ufb01nancial statements. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 462 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Securitisation in the banking book Proceeds from the sale of securitisation positions are recognised in accordance with rules for the category of origin of positions sold. Synthetic securitisations in the form of credit derivatives (credit default swaps) or guarantees received follow accounting rules appertaining respectively: \u25a0 to trading portfolio derivatives. These are measured at fair value through pro\ufb01t or loss (see note 1.e.7 to the \ufb01nancial statements); \u25a0 to financial guarantees received, which cannot be considered as forming an integral part of secured assets. If it is virtually certain that a loss caused by a defaulting debtor will be offset by the guarantor, the guarantee is then recognised as a reimbursement asset (right to reimbursement for expected credit losses) and expected credit losses on the asset are, at the same time, recognised in pro\ufb01t or loss. The overall impact in terms of pro\ufb01t or loss is the same as if the guarantee had been recognised in the measurement of expected credit losses, with the difference that the guarantee received is shown as a reimbursement asset rather than as a reduction in the expected credit losses on the asset. Assets awaiting securitisation are classi\ufb01ed as: \u25a0 \ufb01nancial instruments at amortised cost or at fair value through equity and in the prudential banking book in the case of exposures resulting from the bank\u2019s balance sheet, for which the Bank will be originator in the future securitisation within the meaning of Basel 3; \u25a0 \ufb01nancial instruments at fair value through pro\ufb01t or loss and in the prudential banking book in the case of exposures purchased and put into warehousing, for which the bank will be sponsor in the future securitisation within the meaning of regulation.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForDerecognitionOfFinancialInstrumentsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9587": {
   "value": "Repurchase agreements and securities lending/borrowing Securities temporarily sold under repurchase agreements continue to be recognised in the Group\u2019s balance sheet in the category of securities to which they belong. The corresponding liability is recognised at amortised cost under the appropriate \u201cFinancial liabilities at amortised cost\u201d category on the balance sheet, except in the case of repurchase agreements contracted for trading purposes, for which the corresponding liability is recognised in \u201cFinancial liabilities at fair value through pro\ufb01t or loss\u201d. Securities temporarily acquired under reverse repurchase agreements are not recognised in the Group\u2019s balance sheet. The corresponding receivable is recognised at amortised cost under the appropriate \u201cFinancial assets at amortised cost\u201d category in the balance sheet, except in the case of reverse repurchase agreements contracted for trading purposes, for which the corresponding receivable is recognised in \u201cFinancial assets at fair value through pro\ufb01t or loss\u201d. Securities lending transactions do not result in derecognition of the lent securities, and securities borrowing transactions do not result in recognition of the borrowed securities on the balance sheet. In cases where the borrowed securities are subsequently sold by the Group, the obligation to deliver the borrowed securities on maturity is recognised on the balance sheet under \u201cFinancial liabilities at fair value through pro\ufb01t or loss\u201d.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForRepurchaseAndReverseRepurchaseAgreementsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-3244": {
   "value": "Repurchase agreements and securities lending/borrowing Securities temporarily sold under repurchase agreements continue to be recognised in the Group\u2019s balance sheet in the category of securities to which they belong. The corresponding liability is recognised at amortised cost under the appropriate \u201cFinancial liabilities at amortised cost\u201d category on the balance sheet, except in the case of repurchase agreements contracted for trading purposes, for which the corresponding liability is recognised in \u201cFinancial liabilities at fair value through pro\ufb01t or loss\u201d. Securities temporarily acquired under reverse repurchase agreements are not recognised in the Group\u2019s balance sheet. The corresponding receivable is recognised at amortised cost under the appropriate \u201cFinancial assets at amortised cost\u201d category in the balance sheet, except in the case of reverse repurchase agreements contracted for trading purposes, for which the corresponding receivable is recognised in \u201cFinancial assets at fair value through pro\ufb01t or loss\u201d. Securities lending transactions do not result in derecognition of the lent securities, and securities borrowing transactions do not result in recognition of the borrowed securities on the balance sheet. In cases where the borrowed securities are subsequently sold by the Group, the obligation to deliver the borrowed securities on maturity is recognised on the balance sheet under \u201cFinancial liabilities at fair value through pro\ufb01t or loss\u201d.DETAIL OF LOANS AND ADVANCES BY NATURE In millions of euros 31 December 2022 31 December 2021 Gross value Impairment (note 2.h) Carrying amount Gross value Impairment (note 2.h) Carrying amount Loans and advances to credit institutions 32,716 (100) 32,616 21,844 (93) 21,751 On demand accounts 11,000 (8) 10,992 9,009 (8) 9,001 Loans (1) 15,767 (92) 15,675 10,635 (85) 10,550 Repurchase agreements 5,949 5,949 2,200 2,200 Loans and advances to customers 875,301 (18,281) 857,020 833,935 (19,935) 814,000 On demand accounts 42,963 (2,844) 40,119 52,488 (3,157) 49,331 Loans to customers 788,971 (14,354) 774,617 740,080 (15,658) 724,422 Finance leases 42,574 (1,083) 41,491 41,026 (1,120) 39,906 Repurchase agreements 793 793 341 341 TOTAL LOANS AND ADVANCES AT AMORTISED COST 908,017 (18,381) 889,636 855,779 (20,028) 835,751 (1) Loans and advances to credit institutions include term deposits made with central banks. \u27a4 CONTRACTUAL MATURITIES OF FINANCE LEASES In millions of euros 31 December 2022 31 December 2021 Gross investment 45,602 43,823 Receivable within 1 year 13,278 12,276 Receivable after 1 year but within 5 years 28,068 27,399 Receivable beyond 5 years 4,256 4,148 Unearned interest income (3,028) (2,797) Net investment before impairment 42,574 41,026 Receivable within 1 year 12,176 11,289 Receivable after 1 year but within 5 years 26,396 25,845 Receivable beyond 5 years 4,002 3,892 Impairment provisions (1,083) (1,120) Net investment after impairment 41,491 39,906 \u27a44.g FINANCIAL LIABILITIES AT AMORTISED COST DUE TO CREDIT INSTITUTIONS AND CUSTOMERS In millions of euros 31 December 2022 31 December 2021 Deposits from credit institutions 124,718 165,699 On demand accounts 12,538 9,105 Interbank borrowings (1) 104,135 147,635 Repurchase agreements 8,045 8,959 Deposits from customers 1,008,054 957,684 On demand deposits 592,267 634,784 Savings accounts 162,354 158,932 Term accounts and short-term notes 253,210 163,429 Repurchase agreements 223 539 (1) Interbank borrowings from credit institutions include term borrowings from central banks, of which EUR 67 billion of TLTRO III at 31 December 2022 compared to EUR 120.1 billion at 31 December 2021 (see note 2.a Net Interest Income). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 244 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfRepurchaseAndReverseRepurchaseAgreementsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9588": {
   "value": "1.e.12 Offsetting financial assets and financial liabilities A \ufb01nancial asset and a \ufb01nancial liability are offset and the net amount presented in the balance sheet if, and only if, the Group has a legally enforceable right to set off the recognised amounts, and intends either to settle on a net basis, or to realise the asset and settle the liability simultaneously. Repurchase agreements and derivatives that meet the two criteria set out in the accounting standard are offset in the balance sheet.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForOffsettingOfFinancialInstrumentsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9589": {
   "value": "1.f ACCOUNTING STANDARDS SPECIFIC TO INSURANCE ACTIVITIES The speci\ufb01c accounting policies and valuation rules relating to assets and liabilities generated by insurance contracts and \ufb01nancial contracts with a discretionary participation feature written by fully consolidated insurance companies are retained for the purposes of the consolidated \ufb01nancial statements. These policies comply with IFRS 4. The amendment to IFRS 4 \u201cInsurance Contracts\u201d published by the IASB on 25 June 2020 provides the option for entities that predominantly undertake insurance activities to defer the effective date of IFRS 9 application until 1 January 2023 in line with the deferral of the mandatory application date for IFRS 17 \u201cInsurance Contracts\u201d. The effect of such a deferral is that those entities may continue to report their \ufb01nancial statements under the existing standard IAS 39. This temporary exemption from IFRS 9, limited to groups that predominantly undertake insurance activities according to the IASB amendment, has been extended to the insurance segment of \ufb01nancial conglomerates as de\ufb01ned by the Directive 2002/87/EC as adopted by the European Union. This exemption is subject to certain conditions, notably the absence of internal transfers of \ufb01nancial instruments, other than \ufb01nancial instruments that are measured at fair value through pro\ufb01t or loss, between insurance entities and other entities of the \ufb01nancial conglomerate. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 203 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements BNP Paribas Group applies this amendment to all its insurance entities, including funds related to this activity, which will apply IAS 39 \u201cFinancial instruments: Recognition and Measurement\u201d until 31 December 2022. All other insurance company assets and liabilities are accounted for using the policies applied to the Group\u2019s assets and liabilities generally and are included in the relevant balance sheet and pro\ufb01t and loss account headings in the consolidated \ufb01nancial statements. 1.f.1 Profit and loss account Income and expenses recognised under insurance contracts issued by the Group are presented in the income statement under \u201cNet income from insurance activities\u201d. This heading in the income statement includes premiums earned, net gain in investment contracts with no discretionary participation feature and other services, net investment income (including income on investment property and impairment on shares and other equity instruments), technical charges related to contracts; (including policyholders\u2019 surplus reserve), net charges from ceded reinsurance and external charges related to contracts (including commissions). Other income and expenses relating to insurance activities (i.e. recorded by insurance entities) are presented in the other income statement headings according to their nature. 1.f.2 Financial investments and other assets related to insurance activities Financial investments and other assets related to insurance activities mainly include: \u25a0 investments by insurance entities in \ufb01nancial instruments that are recognised in accordance with the principles of IAS 39, which include investments representing technical reserves of insurance activities and notably unit-linked contracts; \u25a0 derivative instruments with a positive fair value. Group insurance entities underwrite derivative instruments for hedging purposes; \u25a0 investment properties; \u25a0 equity method investments; \u25a0 reinsurers\u2019 share in liabilities arising from insurance and investment contracts; and \u25a0 policyholders\u2019 surplus reserve. Investments in financial instruments Financial investments held by the Group\u2019s insurance entities are classi\ufb01ed in one of the four categories provided for in IAS 39: Financial assets at fair value through pro\ufb01t or loss, held-to-maturity \ufb01nancial assets, loans and receivables and available-for-sale \ufb01nancial assets. Financial assets at fair value through profit or loss The category \u2018Financial assets at fair value through pro\ufb01t or loss\u2019 includes derivatives and \ufb01nancial assets that the Group has elected to recognise and measure at fair value through pro\ufb01t or loss at inception, in accordance with the option offered by IAS 39. Financial assets may be designated at fair value through pro\ufb01t or loss in the following cases (in accordance with IAS 39): \u25a0 hybrid \ufb01nancial instruments containing one or more embedded derivatives which otherwise would have been separated and accounted for separately. An embedded derivative is such that its economic characteristics and risks are not closely related to those of the host contract; \u25a0 where using the option enables the entity to eliminate or signi\ufb01cantly reduce a mismatch in the measurement and accounting treatment of assets and liabilities that would arise if they were to be classi\ufb01ed in separate accounting categories; \u25a0 when the group of \ufb01nancial assets and/or \ufb01nancial liabilities is managed and measured on the basis of fair value, in accordance with a documented risk management and investment strategy. Investments held in respect of insurance or investment contracts where the \ufb01nancial risk is borne by policyholders (unit-linked contracts) are recognised at fair value option through pro\ufb01t or loss. When the Group measures at fair value through pro\ufb01t or loss investments made in respect of its insurance activities in entities over which it exercises signi\ufb01cant in\ufb02uence or joint control, these investments are presented under the line \u201cFinancial assets at fair value through pro\ufb01t or loss\u201d (see note 1.b.2). Financial instruments classi\ufb01ed in this category are initially recognised at their fair value, with transaction costs being directly recognised in the income statement. At the closing date, they are valued at their fair value. Changes in value compared to the last valuation, income, dividends and realised gains and losses are presented under \u201cNet income from insurance activities\u201d and under \u201cNet gain on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 204 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Loans and advances Fixed or determinable income securities, which are not quoted in an active market, other than those for which the holder may not recover substantially all of its initial investment for reasons other than credit deterioration, are classi\ufb01ed as \u201cLoans and receivables\u201d when they do not meet the conditions for classi\ufb01cation as \ufb01nancial assets at fair value through pro\ufb01t or loss. Loans and receivables are initially recognised at their fair value or equivalent, which generally corresponds to the net amount originally paid. Loans and receivables are subsequently measured at amortised cost using the effective interest method and net of repayments of principal and interest. Interest is calculated using the effective interest method, which includes interest, transaction costs and commissions included in their initial value and is presented under \u201cNet income from insurance activities\u201d and under sub-heading \u201cNet gain on \ufb01nancial instruments at amortised cost\u201d. Impairment losses recognised when there is objective evidence of impairment related to an event subsequent to the acquisition of the asset are presented under \u201cCost of risk\u201d.Held-to-maturity financial assets \u201cHeld-to-maturity \ufb01nancial assets\u201d include debt securities, with \ufb01xed maturity, that the Group has the intention and ability to hold until maturity. Securities classi\ufb01ed in this category are recognised at amortised cost using the effective interest method. Income received on these securities is presented under \u201cNet income from insurance activities\u201d and under sub-heading \u201cNet gain on \ufb01nancial instruments at amortised cost\u201d. Impairment losses recognised when there is objective evidence of impairment related to an event subsequent to the acquisition of the asset are presented under \u201cCost of risk\u201d.Available-for-sale financial assets The category \u201cAvailable-for-sale \ufb01nancial assets\u201d includes debt or equity securities that do not fall within the previous three categories. Assets included in the available-for-sale category are initially recorded at fair value, plus transaction costs where material. At the end of the reporting period, they are valued at their fair value and the changes in the latter, excluding accrued income, are presented under a speci\ufb01c heading of equity. On disposal of the securities, these unrealised gains or losses previously recognised in equity are reclassi\ufb01ed in the income statement under the heading \u201cNet income from insurance activities\u201d. Income recognised using the effective interest method on debt securities, dividends received and impairment (in the event of a signi\ufb01cant or lasting decline in the value of the securities) of equity securities are presented under \u201cNet income from insurance activities\u201d and under section \u201cNet gain on available-for-sale \ufb01nancial assets\u201d. Impairment losses on debt securities are presented under \u201cCost of risk\u201d.Investment property Investment property corresponds to buildings held directly by insurance companies and property companies controlled. Investment property, except for those used for unit-linked contracts, is recognised at cost and follows the accounting methods of the assets described elsewhere. Investment property, held in respect of unit-linked contracts, is valued at fair value or equivalent, with changes in value recognised in the income statement.Equity method investments Investments in entities or real estate funds over which the Group exercises signi\ufb01cant in\ufb02uence or joint control and for which the equity method is applied are recognised in the line \u201cEquity method investments\u201d.1.f.3 Technical reserves and other insurance liabilities The item \u201cTechnical reserves and other insurance liabilities\u201d includes: \u25a0 commitments to policyholders and bene\ufb01ciaries of contracts, which include technical reserves for insurance contracts subject to signi\ufb01cant insurance hazard (mortality, longevity, disability, incapacity, etc.) and technical liabilities of investment contracts with a discretionary pro\ufb01t-sharing feature, falling within IFRS 4. The discretionary participation clause grants life insurance policyholders the right to receive, in addition to the guaranteed remuneration, a share of the \ufb01nancial results achieved; \u25a0 other insurance liabilities related to unit-linked contracts that fall within the scope of IAS 39 (i.e. investment contracts with no discretionary participating features); \u25a0 policyholders\u2019 surplus reserve; \u25a0 liabilities arising from insurance and reinsurance operations, including liabilities due to policyholders; 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 205 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u25a0 \ufb01nancial derivative instruments of insurance activities carried at fair value through pro\ufb01t or loss, the fair value of which is negative. Group insurance entities underwrite derivative instruments for hedging purposes. Financial liabilities that are not insurance liabilities (e.g. subordinated debt) fall under IAS 39. They are presented in \u201cFinancial liabilities at amortised cost\u201d. Insurance and reinsurance contracts and investment contracts with discretionary participating features Life insurance guarantees cover mainly death risk (term life insurance, annuities, repayment of loans or guaranteed minimum on unit-linked contracts) and, regarding borrowers\u2019 insurance, to disability, incapacity and unemployment risks. For life insurance, technical reserves consist mainly of mathematical reserves that corresponds as a minimum, to the surrender value of contracts and surplus reserve. The policyholders\u2019 surplus reserve also includes amounts resulting from the application of shadow accounting representing the interest of policyholders, mainly within French life insurance subsidiaries, in unrealised gains and losses on assets where the bene\ufb01t paid under the policy is linked to the return on those assets. This interest is an average derived from stochastic analyses of unrealised gains and losses attributable to policyholders in various scenarios. A capitalisation reserve is set up in individual statutory accounts of French life-insurance companies on the sale of amortisable securities in order to defer part of the net realised gain and hence maintain the yield to maturity on the portfolio of admissible assets. In the consolidated \ufb01nancial statements, this reserve is reclassi\ufb01ed into \u201cPolicyholders\u2019 surplus\u201d on the liabilities side of the consolidated balance sheet, to the extent that it is highly probable it will be used. Non-life technical reserves consist of unearned premium reserves (corresponding to the portion of written premiums relating to future periods) and outstanding claims reserves, inclusive of claims handling costs. At the reporting date, a liability adequacy test is performed: The level of technical reserves (net of acquisition costs outstanding) is compared to the average value of future cash \ufb02ows resulting from stochastic calculations. Related adjustment to technical reserves, if any, is taken to the pro\ufb01t and loss account for the period. In the event of an unrealised loss on shadow accounted assets, a policyholders\u2019 loss reserve is recognised on the assets side of the consolidated balance sheet in an amount equal to the probable deduction from the policyholders\u2019 future pro\ufb01t share. This policyholders\u2019 loss reserve is presented with the other assets of insurance activities under \u201cFinancial investments and other assets related to insurance activities\u201d.  The recoverability of the policyholders\u2019 loss reserve is assessed prospectively, taking into account policyholders\u2019 surplus reserves recognised elsewhere, capital gains on \ufb01nancial assets that are not shadow accounted due to accounting elections made (held-to-maturity \ufb01nancial assets and property investments measured at cost) and the company\u2019s ability and intention to hold the assets carrying the unrealised loss. Investment contracts with no discretionary participating features Investment contracts with no discretionary participating features correspond mainly to unit-linked contracts that do not meet the de\ufb01nition of insurance and investment contracts with discretionary participating features. Liabilities arising from unit-linked contracts are measured by reference to the fair value of the assets backing these contracts at the closing date.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForInsuranceContracts",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-3300": {
   "value": "1.f ACCOUNTING STANDARDS SPECIFIC TO INSURANCE ACTIVITIES The speci\ufb01c accounting policies and valuation rules relating to assets and liabilities generated by insurance contracts and \ufb01nancial contracts with a discretionary participation feature written by fully consolidated insurance companies are retained for the purposes of the consolidated \ufb01nancial statements. These policies comply with IFRS 4. The amendment to IFRS 4 \u201cInsurance Contracts\u201d published by the IASB on 25 June 2020 provides the option for entities that predominantly undertake insurance activities to defer the effective date of IFRS 9 application until 1 January 2023 in line with the deferral of the mandatory application date for IFRS 17 \u201cInsurance Contracts\u201d. The effect of such a deferral is that those entities may continue to report their \ufb01nancial statements under the existing standard IAS 39. This temporary exemption from IFRS 9, limited to groups that predominantly undertake insurance activities according to the IASB amendment, has been extended to the insurance segment of \ufb01nancial conglomerates as de\ufb01ned by the Directive 2002/87/EC as adopted by the European Union. This exemption is subject to certain conditions, notably the absence of internal transfers of \ufb01nancial instruments, other than \ufb01nancial instruments that are measured at fair value through pro\ufb01t or loss, between insurance entities and other entities of the \ufb01nancial conglomerate. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 203 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements BNP Paribas Group applies this amendment to all its insurance entities, including funds related to this activity, which will apply IAS 39 \u201cFinancial instruments: Recognition and Measurement\u201d until 31 December 2022. All other insurance company assets and liabilities are accounted for using the policies applied to the Group\u2019s assets and liabilities generally and are included in the relevant balance sheet and pro\ufb01t and loss account headings in the consolidated \ufb01nancial statements. 1.f.1 Profit and loss account Income and expenses recognised under insurance contracts issued by the Group are presented in the income statement under \u201cNet income from insurance activities\u201d. This heading in the income statement includes premiums earned, net gain in investment contracts with no discretionary participation feature and other services, net investment income (including income on investment property and impairment on shares and other equity instruments), technical charges related to contracts; (including policyholders\u2019 surplus reserve), net charges from ceded reinsurance and external charges related to contracts (including commissions). Other income and expenses relating to insurance activities (i.e. recorded by insurance entities) are presented in the other income statement headings according to their nature. 1.f.2 Financial investments and other assets related to insurance activities Financial investments and other assets related to insurance activities mainly include: \u25a0 investments by insurance entities in \ufb01nancial instruments that are recognised in accordance with the principles of IAS 39, which include investments representing technical reserves of insurance activities and notably unit-linked contracts; \u25a0 derivative instruments with a positive fair value. Group insurance entities underwrite derivative instruments for hedging purposes; \u25a0 investment properties; \u25a0 equity method investments; \u25a0 reinsurers\u2019 share in liabilities arising from insurance and investment contracts; and \u25a0 policyholders\u2019 surplus reserve. Investments in financial instruments Financial investments held by the Group\u2019s insurance entities are classi\ufb01ed in one of the four categories provided for in IAS 39: Financial assets at fair value through pro\ufb01t or loss, held-to-maturity \ufb01nancial assets, loans and receivables and available-for-sale \ufb01nancial assets. Financial assets at fair value through profit or loss The category \u2018Financial assets at fair value through pro\ufb01t or loss\u2019 includes derivatives and \ufb01nancial assets that the Group has elected to recognise and measure at fair value through pro\ufb01t or loss at inception, in accordance with the option offered by IAS 39. Financial assets may be designated at fair value through pro\ufb01t or loss in the following cases (in accordance with IAS 39): \u25a0 hybrid \ufb01nancial instruments containing one or more embedded derivatives which otherwise would have been separated and accounted for separately. An embedded derivative is such that its economic characteristics and risks are not closely related to those of the host contract; \u25a0 where using the option enables the entity to eliminate or signi\ufb01cantly reduce a mismatch in the measurement and accounting treatment of assets and liabilities that would arise if they were to be classi\ufb01ed in separate accounting categories; \u25a0 when the group of \ufb01nancial assets and/or \ufb01nancial liabilities is managed and measured on the basis of fair value, in accordance with a documented risk management and investment strategy. Investments held in respect of insurance or investment contracts where the \ufb01nancial risk is borne by policyholders (unit-linked contracts) are recognised at fair value option through pro\ufb01t or loss. When the Group measures at fair value through pro\ufb01t or loss investments made in respect of its insurance activities in entities over which it exercises signi\ufb01cant in\ufb02uence or joint control, these investments are presented under the line \u201cFinancial assets at fair value through pro\ufb01t or loss\u201d (see note 1.b.2). Financial instruments classi\ufb01ed in this category are initially recognised at their fair value, with transaction costs being directly recognised in the income statement. At the closing date, they are valued at their fair value. Changes in value compared to the last valuation, income, dividends and realised gains and losses are presented under \u201cNet income from insurance activities\u201d and under \u201cNet gain on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 204 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Loans and advances Fixed or determinable income securities, which are not quoted in an active market, other than those for which the holder may not recover substantially all of its initial investment for reasons other than credit deterioration, are classi\ufb01ed as \u201cLoans and receivables\u201d when they do not meet the conditions for classi\ufb01cation as \ufb01nancial assets at fair value through pro\ufb01t or loss. Loans and receivables are initially recognised at their fair value or equivalent, which generally corresponds to the net amount originally paid. Loans and receivables are subsequently measured at amortised cost using the effective interest method and net of repayments of principal and interest. Interest is calculated using the effective interest method, which includes interest, transaction costs and commissions included in their initial value and is presented under \u201cNet income from insurance activities\u201d and under sub-heading \u201cNet gain on \ufb01nancial instruments at amortised cost\u201d. Impairment losses recognised when there is objective evidence of impairment related to an event subsequent to the acquisition of the asset are presented under \u201cCost of risk\u201d.Held-to-maturity financial assets \u201cHeld-to-maturity \ufb01nancial assets\u201d include debt securities, with \ufb01xed maturity, that the Group has the intention and ability to hold until maturity. Securities classi\ufb01ed in this category are recognised at amortised cost using the effective interest method. Income received on these securities is presented under \u201cNet income from insurance activities\u201d and under sub-heading \u201cNet gain on \ufb01nancial instruments at amortised cost\u201d. Impairment losses recognised when there is objective evidence of impairment related to an event subsequent to the acquisition of the asset are presented under \u201cCost of risk\u201d.Available-for-sale financial assets The category \u201cAvailable-for-sale \ufb01nancial assets\u201d includes debt or equity securities that do not fall within the previous three categories. Assets included in the available-for-sale category are initially recorded at fair value, plus transaction costs where material. At the end of the reporting period, they are valued at their fair value and the changes in the latter, excluding accrued income, are presented under a speci\ufb01c heading of equity. On disposal of the securities, these unrealised gains or losses previously recognised in equity are reclassi\ufb01ed in the income statement under the heading \u201cNet income from insurance activities\u201d. Income recognised using the effective interest method on debt securities, dividends received and impairment (in the event of a signi\ufb01cant or lasting decline in the value of the securities) of equity securities are presented under \u201cNet income from insurance activities\u201d and under section \u201cNet gain on available-for-sale \ufb01nancial assets\u201d. Impairment losses on debt securities are presented under \u201cCost of risk\u201d.Investment property Investment property corresponds to buildings held directly by insurance companies and property companies controlled. Investment property, except for those used for unit-linked contracts, is recognised at cost and follows the accounting methods of the assets described elsewhere. Investment property, held in respect of unit-linked contracts, is valued at fair value or equivalent, with changes in value recognised in the income statement.Equity method investments Investments in entities or real estate funds over which the Group exercises signi\ufb01cant in\ufb02uence or joint control and for which the equity method is applied are recognised in the line \u201cEquity method investments\u201d.1.f.3 Technical reserves and other insurance liabilities The item \u201cTechnical reserves and other insurance liabilities\u201d includes: \u25a0 commitments to policyholders and bene\ufb01ciaries of contracts, which include technical reserves for insurance contracts subject to signi\ufb01cant insurance hazard (mortality, longevity, disability, incapacity, etc.) and technical liabilities of investment contracts with a discretionary pro\ufb01t-sharing feature, falling within IFRS 4. The discretionary participation clause grants life insurance policyholders the right to receive, in addition to the guaranteed remuneration, a share of the \ufb01nancial results achieved; \u25a0 other insurance liabilities related to unit-linked contracts that fall within the scope of IAS 39 (i.e. investment contracts with no discretionary participating features); \u25a0 policyholders\u2019 surplus reserve; \u25a0 liabilities arising from insurance and reinsurance operations, including liabilities due to policyholders; 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 205 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u25a0 \ufb01nancial derivative instruments of insurance activities carried at fair value through pro\ufb01t or loss, the fair value of which is negative. Group insurance entities underwrite derivative instruments for hedging purposes. Financial liabilities that are not insurance liabilities (e.g. subordinated debt) fall under IAS 39. They are presented in \u201cFinancial liabilities at amortised cost\u201d. Insurance and reinsurance contracts and investment contracts with discretionary participating features Life insurance guarantees cover mainly death risk (term life insurance, annuities, repayment of loans or guaranteed minimum on unit-linked contracts) and, regarding borrowers\u2019 insurance, to disability, incapacity and unemployment risks. For life insurance, technical reserves consist mainly of mathematical reserves that corresponds as a minimum, to the surrender value of contracts and surplus reserve. The policyholders\u2019 surplus reserve also includes amounts resulting from the application of shadow accounting representing the interest of policyholders, mainly within French life insurance subsidiaries, in unrealised gains and losses on assets where the bene\ufb01t paid under the policy is linked to the return on those assets. This interest is an average derived from stochastic analyses of unrealised gains and losses attributable to policyholders in various scenarios. A capitalisation reserve is set up in individual statutory accounts of French life-insurance companies on the sale of amortisable securities in order to defer part of the net realised gain and hence maintain the yield to maturity on the portfolio of admissible assets. In the consolidated \ufb01nancial statements, this reserve is reclassi\ufb01ed into \u201cPolicyholders\u2019 surplus\u201d on the liabilities side of the consolidated balance sheet, to the extent that it is highly probable it will be used. Non-life technical reserves consist of unearned premium reserves (corresponding to the portion of written premiums relating to future periods) and outstanding claims reserves, inclusive of claims handling costs. At the reporting date, a liability adequacy test is performed: The level of technical reserves (net of acquisition costs outstanding) is compared to the average value of future cash \ufb02ows resulting from stochastic calculations. Related adjustment to technical reserves, if any, is taken to the pro\ufb01t and loss account for the period. In the event of an unrealised loss on shadow accounted assets, a policyholders\u2019 loss reserve is recognised on the assets side of the consolidated balance sheet in an amount equal to the probable deduction from the policyholders\u2019 future pro\ufb01t share. This policyholders\u2019 loss reserve is presented with the other assets of insurance activities under \u201cFinancial investments and other assets related to insurance activities\u201d.  The recoverability of the policyholders\u2019 loss reserve is assessed prospectively, taking into account policyholders\u2019 surplus reserves recognised elsewhere, capital gains on \ufb01nancial assets that are not shadow accounted due to accounting elections made (held-to-maturity \ufb01nancial assets and property investments measured at cost) and the company\u2019s ability and intention to hold the assets carrying the unrealised loss. Investment contracts with no discretionary participating features Investment contracts with no discretionary participating features correspond mainly to unit-linked contracts that do not meet the de\ufb01nition of insurance and investment contracts with discretionary participating features. Liabilities arising from unit-linked contracts are measured by reference to the fair value of the assets backing these contracts at the closing date.2.e NET INCOME FROM INSURANCE ACTIVITIES In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Premiums earned 25,810 27,619 Net gain from investment contracts with discretionary participation feature and other services 30 12 Net income from \ufb01nancial investments (9,280) 14,503 Technical charges related to contracts (10,008) (35,848) Net charges from ceded reinsurance (405) (215) External services expenses (1,851) (1,739) NET INCOME FROM INSURANCE ACTIVITIES 4,296 4,332 \u27a4 NET INCOME FROM FINANCIAL INVESTMENTS In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Net gain on available-for-sale \ufb01nancial assets 1,975 3,082 Interest income and dividends 2,770 2,634 Additions to impairment provisions (57) (10) Net disposal gains (738) 458 Net gain on \ufb01nancial instruments at fair value through pro\ufb01t or loss (11,359) 11,163 Net gain on \ufb01nancial instruments at amortised cost 78 118 Investment property income 45 142 Share of earnings of equity-method investments (4) 1 Other expense (15) (3) NET INCOME FROM FINANCIAL INVESTMENTS (9,280) 14,503 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 214 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements4.j TECHNICAL RESERVES AND OTHER INSURANCE LIABILITIES In millions of euros 31 December 2022 31 December 2021 Technical reserves \u2013 Non-Life insurance contracts 4,147 4,212 Technical reserves \u2013 Life insurance contracts 162,909 168,910 Insurance contracts 88,278 87,325 Unit-linked contracts 74,631 81,585 Technical liabilities \u2013 investment contracts 47,984 50,723 Investment contracts with discretionary participation feature 39,729 41,850 Investment contracts without discretionary participation feature \u2013 Unit-linked contracts 8,255 8,873 Policyholders\u2019 surplus reserve \u2013 liability 6,527 27,011 Total technical reserves and liabilities related to insurance and investment contracts 221,567 250,856 Debts arising out of insurance and reinsurance operations 3,065 2,890 Derivative \ufb01nancial instruments 1,900 1,049 TOTAL TECHNICAL RESERVES AND OTHER INSURANCE LIABILITIES 226,532 254,795 The policyholders\u2019 surplus reserve arises from the application of shadow accounting. It represents the interest of policyholders, within life insurance subsidiaries in France, Luxembourg and Italy, in unrealised gains and losses and impairment losses on assets where the bene\ufb01t paid under the policy is linked to the return on those assets. It is obtained from stochastic calculations modelling the unrealised gains and losses attributable to policyholders based on economic scenarios and assumptions as regards rates paid to customers and new business in\ufb02ows. For France, this resulted in an average interest rate of 92% in 2022, unchanged from 2021. The Liability Adequacy Test required by IFRS 4 and performed by contract portfolio consists of comparing reserves (net of deferred acquisition costs) with an evaluation of future discounted cash \ufb02ows. At 31 December 2022, this test con\ufb01rms the absence of de\ufb01ciency. The change in technical reserves and liabilities related to insurance contracts breaks down as follows: In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Liabilities related to insurance contracts at start of period 250,856 236,185 Additions to insurance contract technical reserves and deposits taken on \ufb01nancial contracts related to life insurance 1,384 24,687 Claims and bene\ufb01ts paid (20,495) (18,721) Effect of changes in value of admissible investments related to unit-linked contracts (9,725) 8,242 Effect of movements in exchange rates (341) 811 Effect of changes in the scope of consolidation (112) (348) Liabilities related to insurance contracts at end of period 221,567 250,856 See note 4.i for details of reinsurers\u2019 share of technical reserves.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfInsuranceContractsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9590": {
   "value": "Held-to-maturity financial assets \u201cHeld-to-maturity \ufb01nancial assets\u201d include debt securities, with \ufb01xed maturity, that the Group has the intention and ability to hold until maturity. Securities classi\ufb01ed in this category are recognised at amortised cost using the effective interest method. Income received on these securities is presented under \u201cNet income from insurance activities\u201d and under sub-heading \u201cNet gain on \ufb01nancial instruments at amortised cost\u201d. Impairment losses recognised when there is objective evidence of impairment related to an event subsequent to the acquisition of the asset are presented under \u201cCost of risk\u201d.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForHeldtomaturityInvestmentsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9591": {
   "value": "Available-for-sale financial assets The category \u201cAvailable-for-sale \ufb01nancial assets\u201d includes debt or equity securities that do not fall within the previous three categories. Assets included in the available-for-sale category are initially recorded at fair value, plus transaction costs where material. At the end of the reporting period, they are valued at their fair value and the changes in the latter, excluding accrued income, are presented under a speci\ufb01c heading of equity. On disposal of the securities, these unrealised gains or losses previously recognised in equity are reclassi\ufb01ed in the income statement under the heading \u201cNet income from insurance activities\u201d. Income recognised using the effective interest method on debt securities, dividends received and impairment (in the event of a signi\ufb01cant or lasting decline in the value of the securities) of equity securities are presented under \u201cNet income from insurance activities\u201d and under section \u201cNet gain on available-for-sale \ufb01nancial assets\u201d. Impairment losses on debt securities are presented under \u201cCost of risk\u201d.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForAvailableforsaleFinancialAssetsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-3501": {
   "value": "Available-for-sale financial assets The category \u201cAvailable-for-sale \ufb01nancial assets\u201d includes debt or equity securities that do not fall within the previous three categories. Assets included in the available-for-sale category are initially recorded at fair value, plus transaction costs where material. At the end of the reporting period, they are valued at their fair value and the changes in the latter, excluding accrued income, are presented under a speci\ufb01c heading of equity. On disposal of the securities, these unrealised gains or losses previously recognised in equity are reclassi\ufb01ed in the income statement under the heading \u201cNet income from insurance activities\u201d. Income recognised using the effective interest method on debt securities, dividends received and impairment (in the event of a signi\ufb01cant or lasting decline in the value of the securities) of equity securities are presented under \u201cNet income from insurance activities\u201d and under section \u201cNet gain on available-for-sale \ufb01nancial assets\u201d. Impairment losses on debt securities are presented under \u201cCost of risk\u201d.\u27a4DETAILS OF AVAILABLE-FOR-SALE FINANCIAL ASSETS In millions of euros 31 December 2022 31 December 2021 Balance sheet value of which impairment of which changes in value recognised directly in equity Balance sheet value of which impairment of which changes in value recognised directly in equity Debt securities 95,507 (11,744) 115,941 9,408 Equity instruments 9,454 (698) 2,041 11,472 (664) 3,257 TOTAL AVAILABLE-FOR-SALE FINANCIAL ASSETS 104,961 (698) (9,703) 127,413 (664) 12,665",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfAvailableforsaleAssetsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9592": {
   "value": "Investment property Investment property corresponds to buildings held directly by insurance companies and property companies controlled. Investment property, except for those used for unit-linked contracts, is recognised at cost and follows the accounting methods of the assets described elsewhere. Investment property, held in respect of unit-linked contracts, is valued at fair value or equivalent, with changes in value recognised in the income statement.1.g PROPERTY, PLANT, EQUIPMENT AND INTANGIBLE ASSETS Property, plant and equipment and intangible assets shown in the consolidated balance sheet are composed of assets used in operations and investment property. Rights-of-use related to leased assets (see note 1.h.2) are presented by the lessee within \ufb01xed assets in the same category as similar assets held. Assets used in operations are those used in the provision of services or for administrative purposes, and include non-property assets leased by the Group as lessor under operating leases. Investment property comprises property assets held to generate rental income and capital gains. Investment property is recognised at cost, with the exception of those representing insurance or investment contracts whose risk is borne by policyholders (unit-linked contracts), which are measured at fair value through pro\ufb01t or loss and presented in the balance sheet under \u201cFinancial investments and other assets related to insurance activities\u201d (note 1.f.2). Property, plant and equipment and intangible assets are initially recognised at purchase price plus directly attributable costs, together with borrowing costs where a long period of construction or adaptation is required before the asset can be brought into service. Software developed internally by the BNP Paribas Group that ful\ufb01ls the criteria for capitalisation is capitalised at direct development cost, which includes external costs and the labour costs of employees directly attributable to the project. Subsequent to initial recognition, property, plant and equipment and intangible assets are measured at cost less accumulated depreciation or amortisation and any impairment losses. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 206 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The depreciable amount of property, plant and equipment and intangible assets is calculated after deducting the residual value of the asset. Only assets leased by the Group as the lessor under operating leases are presumed to have a residual value, as the useful life of property, plant and equipment and intangible assets used in operations is generally the same as their economic life. Property, plant and equipment and intangible assets are depreciated or amortised using the straight-line method over the useful life of the asset. Depreciation and amortisation expense is recognised in the pro\ufb01t and loss account under \u201cDepreciation, amortisation and impairment of property, plant and equipment and intangible assets\u201d. Where an asset consists of a number of components which may require replacement at regular intervals, or which have different uses or generate economic bene\ufb01ts at different rates, each component is recognised separately and depreciated using a method appropriate to that component. The BNP Paribas Group has adopted the component-based approach for property used in operations and for investment property. The depreciation periods used for of\ufb01ce property are as follows: 80 years or 60 years for the shell (for prime and other property respectively); 30 years for facades; 20 years for general and technical installations; and 10 years for \ufb01xtures and \ufb01ttings. Software is amortised, depending on its type, over periods of no more than 8 years in the case of infrastructure developments and 3 years or 5 years in the case of software developed primarily for the purpose of providing services to customers. Software maintenance costs are expensed as incurred. However, expenditure that is regarded as upgrading the software or extending its useful life is included in the initial acquisition or production cost. Depreciable property, plant and equipment and intangible assets are tested for impairment if there is an indication of potential impairment at the balance sheet date. Non-depreciable assets are tested for impairment at least annually, using the same method as for goodwill allocated to cash-generating units. If there is an indication of impairment, the new recoverable amount of the asset is compared with the carrying amount. If the asset is found to be impaired, an impairment loss is recognised in the pro\ufb01t and loss account. This loss is reversed in the event of a change in the estimated recoverable amount or if there is no longer an indication of impairment. Impairment losses are taken to the pro\ufb01t and loss account in \u201cDepreciation, amortisation and impairment of property, plant and equipment and intangible assets\u201d. Gains and losses on disposals of property, plant and equipment and intangible assets used in operations are recognised in the pro\ufb01t and loss account in \u201cNet gain on non-current assets\u201d. Gains and losses on disposals of investment property are recognised in the pro\ufb01t and loss account in \u201cIncome from other activities\u201d or \u201cExpense on other activities\u201d.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForInvestmentPropertyExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-3536": {
   "value": "Investment property Investment property corresponds to buildings held directly by insurance companies and property companies controlled. Investment property, except for those used for unit-linked contracts, is recognised at cost and follows the accounting methods of the assets described elsewhere. Investment property, held in respect of unit-linked contracts, is valued at fair value or equivalent, with changes in value recognised in the income statement.1.g PROPERTY, PLANT, EQUIPMENT AND INTANGIBLE ASSETS Property, plant and equipment and intangible assets shown in the consolidated balance sheet are composed of assets used in operations and investment property. Rights-of-use related to leased assets (see note 1.h.2) are presented by the lessee within \ufb01xed assets in the same category as similar assets held. Assets used in operations are those used in the provision of services or for administrative purposes, and include non-property assets leased by the Group as lessor under operating leases. Investment property comprises property assets held to generate rental income and capital gains. Investment property is recognised at cost, with the exception of those representing insurance or investment contracts whose risk is borne by policyholders (unit-linked contracts), which are measured at fair value through pro\ufb01t or loss and presented in the balance sheet under \u201cFinancial investments and other assets related to insurance activities\u201d (note 1.f.2). Property, plant and equipment and intangible assets are initially recognised at purchase price plus directly attributable costs, together with borrowing costs where a long period of construction or adaptation is required before the asset can be brought into service. Software developed internally by the BNP Paribas Group that ful\ufb01ls the criteria for capitalisation is capitalised at direct development cost, which includes external costs and the labour costs of employees directly attributable to the project. Subsequent to initial recognition, property, plant and equipment and intangible assets are measured at cost less accumulated depreciation or amortisation and any impairment losses. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 206 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The depreciable amount of property, plant and equipment and intangible assets is calculated after deducting the residual value of the asset. Only assets leased by the Group as the lessor under operating leases are presumed to have a residual value, as the useful life of property, plant and equipment and intangible assets used in operations is generally the same as their economic life. Property, plant and equipment and intangible assets are depreciated or amortised using the straight-line method over the useful life of the asset. Depreciation and amortisation expense is recognised in the pro\ufb01t and loss account under \u201cDepreciation, amortisation and impairment of property, plant and equipment and intangible assets\u201d. Where an asset consists of a number of components which may require replacement at regular intervals, or which have different uses or generate economic bene\ufb01ts at different rates, each component is recognised separately and depreciated using a method appropriate to that component. The BNP Paribas Group has adopted the component-based approach for property used in operations and for investment property. The depreciation periods used for of\ufb01ce property are as follows: 80 years or 60 years for the shell (for prime and other property respectively); 30 years for facades; 20 years for general and technical installations; and 10 years for \ufb01xtures and \ufb01ttings. Software is amortised, depending on its type, over periods of no more than 8 years in the case of infrastructure developments and 3 years or 5 years in the case of software developed primarily for the purpose of providing services to customers. Software maintenance costs are expensed as incurred. However, expenditure that is regarded as upgrading the software or extending its useful life is included in the initial acquisition or production cost. Depreciable property, plant and equipment and intangible assets are tested for impairment if there is an indication of potential impairment at the balance sheet date. Non-depreciable assets are tested for impairment at least annually, using the same method as for goodwill allocated to cash-generating units. If there is an indication of impairment, the new recoverable amount of the asset is compared with the carrying amount. If the asset is found to be impaired, an impairment loss is recognised in the pro\ufb01t and loss account. This loss is reversed in the event of a change in the estimated recoverable amount or if there is no longer an indication of impairment. Impairment losses are taken to the pro\ufb01t and loss account in \u201cDepreciation, amortisation and impairment of property, plant and equipment and intangible assets\u201d. Gains and losses on disposals of property, plant and equipment and intangible assets used in operations are recognised in the pro\ufb01t and loss account in \u201cNet gain on non-current assets\u201d. Gains and losses on disposals of investment property are recognised in the pro\ufb01t and loss account in \u201cIncome from other activities\u201d or \u201cExpense on other activities\u201d.4.i FINANCIAL INVESTMENTS AND OTHER ASSETS RELATED TO INSURANCE ACTIVITIES In millions of euros 31 December 2022 31 December 2021 Assets not representative of unit-linked insurance contracts Assets representative of unit-linked insurance contracts (\ufb01nancial risk supported by policyholders) Total Assets not representative of unit-linked insurance contracts Assets representative of unit-linked insurance contracts (\ufb01nancial risk supported by policyholders) Total Financial instruments designated as at fair value through pro\ufb01t or loss 44,317 79,648 123,965 50,940 87,108 138,048 Derivative \ufb01nancial instruments 1,675 1,675 1,033 1,033 Available-for-sale \ufb01nancial assets 104,961 104,961 127,413 127,413 Held-to-maturity \ufb01nancial assets 970 970 981 981 Loans and receivables 3,074 3,074 3,145 3,145 Equity-method investments 342 342 349 349 Investment property 2,855 4,402 7,257 2,875 4,354 7,229 TOTAL 158,194 84,050 242,244 186,736 91,462 278,198 Reinsurers\u2019 share of technical reserves 2,277 2,277 2,568 2,568 Policyholders\u2019 surplus reserve \u2013 assets 2,882 2,882 FINANCIAL INVESTMENTS AND OTHER ASSETS RELATED TO INSURANCE ACTIVITIES 163,353 84,050 247,403 189,304 91,462 280,766 Investments in \ufb01nancial instruments of insurance activities are accounted for according to IAS 39 principles. The fair value of \ufb01nancial assets with contractual cash-\ufb02ows corresponding only to payments of principal and interest on principal amounts to EUR 91.9 billion at 31 December 2022. It amounted to EUR 108.6 billion at 31 December 2021, which represents a variation of -EUR 16.7 billion over the period. The fair value of other \ufb01nancial assets amounts to EUR 150.4 billion and corresponds to all \ufb01nancial instruments that do not meet the previously mentioned criteria, derivatives and \ufb01nancial assets managed on a market value basis. It amounted to EUR 170 billion at 31 December 2021, which represents a variation of -EUR 19.6 billion over the period. The fair value of investment properties which are not representative of unit-linked insurance contracts accounted for at amortised cost amounts to EUR 4.2 billion at 31 December 2022, compared with EUR 4.4 billion at 31 December 2021.4.n PROPERTY, PLANT, EQUIPMENT AND INTANGIBLE ASSETS USED IN OPERATIONS, INVESTMENT PROPERTY In millions of euros 31 December 2022 31 December 2021 Gross value Accumulated depreciation, amortisation and impairment Carrying amount Gross value Accumulated depreciation, amortisation and impairment Carrying amount INVESTMENT PROPERTY 827 (298) 529 869 (294) 575 Land and buildings 11,507 (4,704) 6,803 12,023 (4,817) 7,206 Equipment, furniture and \ufb01xtures 7,177 (5,400) 1,777 7,172 (5,312) 1,860 Plant and equipment leased as lessor under operating leases 38,817 (10,658) 28,159 33,890 (9,285) 24,605 Other property, plant and equipment 2,318 (1,118) 1,200 1,932 (1,095) 837 PROPERTY, PLANT AND EQUIPMENT 59,819 (21,880) 37,939 55,017 (20,509) 34,508 Of which right of use 6,000 (3,294) 2,706 6,117 (3,314) 2,803 PROPERTY, PLANT AND EQUIPMENT AND INVESTMENT PROPERTY 60,646 (22,178) 38,468 55,886 (20,803) 35,083 Purchased software 3,690 (3,035) 655 3,303 (2,651) 652 Internally developed software 6,345 (5,000) 1,345 5,995 (4,657) 1,338 Other intangible assets 2,367 (577) 1,790 2,157 (488) 1,669 INTANGIBLE ASSETS 12,402 (8,612) 3,790 11,455 (7,796) 3,659Investment property Land and buildings leased by the Group as lessor under operating leases are recorded in \u201cInvestment property\u201d. The estimated fair value of investment property accounted for at amortised cost at 31 December 2022 is EUR 680 million, compared with EUR 736 million at 31 December 2021.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfInvestmentPropertyExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9594": {
   "value": "1.g PROPERTY, PLANT, EQUIPMENT AND INTANGIBLE ASSETS Property, plant and equipment and intangible assets shown in the consolidated balance sheet are composed of assets used in operations and investment property. Rights-of-use related to leased assets (see note 1.h.2) are presented by the lessee within \ufb01xed assets in the same category as similar assets held. Assets used in operations are those used in the provision of services or for administrative purposes, and include non-property assets leased by the Group as lessor under operating leases. Investment property comprises property assets held to generate rental income and capital gains. Investment property is recognised at cost, with the exception of those representing insurance or investment contracts whose risk is borne by policyholders (unit-linked contracts), which are measured at fair value through pro\ufb01t or loss and presented in the balance sheet under \u201cFinancial investments and other assets related to insurance activities\u201d (note 1.f.2). Property, plant and equipment and intangible assets are initially recognised at purchase price plus directly attributable costs, together with borrowing costs where a long period of construction or adaptation is required before the asset can be brought into service. Software developed internally by the BNP Paribas Group that ful\ufb01ls the criteria for capitalisation is capitalised at direct development cost, which includes external costs and the labour costs of employees directly attributable to the project. Subsequent to initial recognition, property, plant and equipment and intangible assets are measured at cost less accumulated depreciation or amortisation and any impairment losses. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 206 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The depreciable amount of property, plant and equipment and intangible assets is calculated after deducting the residual value of the asset. Only assets leased by the Group as the lessor under operating leases are presumed to have a residual value, as the useful life of property, plant and equipment and intangible assets used in operations is generally the same as their economic life. Property, plant and equipment and intangible assets are depreciated or amortised using the straight-line method over the useful life of the asset. Depreciation and amortisation expense is recognised in the pro\ufb01t and loss account under \u201cDepreciation, amortisation and impairment of property, plant and equipment and intangible assets\u201d. Where an asset consists of a number of components which may require replacement at regular intervals, or which have different uses or generate economic bene\ufb01ts at different rates, each component is recognised separately and depreciated using a method appropriate to that component. The BNP Paribas Group has adopted the component-based approach for property used in operations and for investment property. The depreciation periods used for of\ufb01ce property are as follows: 80 years or 60 years for the shell (for prime and other property respectively); 30 years for facades; 20 years for general and technical installations; and 10 years for \ufb01xtures and \ufb01ttings. Software is amortised, depending on its type, over periods of no more than 8 years in the case of infrastructure developments and 3 years or 5 years in the case of software developed primarily for the purpose of providing services to customers. Software maintenance costs are expensed as incurred. However, expenditure that is regarded as upgrading the software or extending its useful life is included in the initial acquisition or production cost. Depreciable property, plant and equipment and intangible assets are tested for impairment if there is an indication of potential impairment at the balance sheet date. Non-depreciable assets are tested for impairment at least annually, using the same method as for goodwill allocated to cash-generating units. If there is an indication of impairment, the new recoverable amount of the asset is compared with the carrying amount. If the asset is found to be impaired, an impairment loss is recognised in the pro\ufb01t and loss account. This loss is reversed in the event of a change in the estimated recoverable amount or if there is no longer an indication of impairment. Impairment losses are taken to the pro\ufb01t and loss account in \u201cDepreciation, amortisation and impairment of property, plant and equipment and intangible assets\u201d. Gains and losses on disposals of property, plant and equipment and intangible assets used in operations are recognised in the pro\ufb01t and loss account in \u201cNet gain on non-current assets\u201d. Gains and losses on disposals of investment property are recognised in the pro\ufb01t and loss account in \u201cIncome from other activities\u201d or \u201cExpense on other activities\u201d.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForPropertyPlantAndEquipmentExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9595": {
   "value": "1.g PROPERTY, PLANT, EQUIPMENT AND INTANGIBLE ASSETS Property, plant and equipment and intangible assets shown in the consolidated balance sheet are composed of assets used in operations and investment property. Rights-of-use related to leased assets (see note 1.h.2) are presented by the lessee within \ufb01xed assets in the same category as similar assets held. Assets used in operations are those used in the provision of services or for administrative purposes, and include non-property assets leased by the Group as lessor under operating leases. Investment property comprises property assets held to generate rental income and capital gains. Investment property is recognised at cost, with the exception of those representing insurance or investment contracts whose risk is borne by policyholders (unit-linked contracts), which are measured at fair value through pro\ufb01t or loss and presented in the balance sheet under \u201cFinancial investments and other assets related to insurance activities\u201d (note 1.f.2). Property, plant and equipment and intangible assets are initially recognised at purchase price plus directly attributable costs, together with borrowing costs where a long period of construction or adaptation is required before the asset can be brought into service. Software developed internally by the BNP Paribas Group that ful\ufb01ls the criteria for capitalisation is capitalised at direct development cost, which includes external costs and the labour costs of employees directly attributable to the project. Subsequent to initial recognition, property, plant and equipment and intangible assets are measured at cost less accumulated depreciation or amortisation and any impairment losses. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 206 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The depreciable amount of property, plant and equipment and intangible assets is calculated after deducting the residual value of the asset. Only assets leased by the Group as the lessor under operating leases are presumed to have a residual value, as the useful life of property, plant and equipment and intangible assets used in operations is generally the same as their economic life. Property, plant and equipment and intangible assets are depreciated or amortised using the straight-line method over the useful life of the asset. Depreciation and amortisation expense is recognised in the pro\ufb01t and loss account under \u201cDepreciation, amortisation and impairment of property, plant and equipment and intangible assets\u201d. Where an asset consists of a number of components which may require replacement at regular intervals, or which have different uses or generate economic bene\ufb01ts at different rates, each component is recognised separately and depreciated using a method appropriate to that component. The BNP Paribas Group has adopted the component-based approach for property used in operations and for investment property. The depreciation periods used for of\ufb01ce property are as follows: 80 years or 60 years for the shell (for prime and other property respectively); 30 years for facades; 20 years for general and technical installations; and 10 years for \ufb01xtures and \ufb01ttings. Software is amortised, depending on its type, over periods of no more than 8 years in the case of infrastructure developments and 3 years or 5 years in the case of software developed primarily for the purpose of providing services to customers. Software maintenance costs are expensed as incurred. However, expenditure that is regarded as upgrading the software or extending its useful life is included in the initial acquisition or production cost. Depreciable property, plant and equipment and intangible assets are tested for impairment if there is an indication of potential impairment at the balance sheet date. Non-depreciable assets are tested for impairment at least annually, using the same method as for goodwill allocated to cash-generating units. If there is an indication of impairment, the new recoverable amount of the asset is compared with the carrying amount. If the asset is found to be impaired, an impairment loss is recognised in the pro\ufb01t and loss account. This loss is reversed in the event of a change in the estimated recoverable amount or if there is no longer an indication of impairment. Impairment losses are taken to the pro\ufb01t and loss account in \u201cDepreciation, amortisation and impairment of property, plant and equipment and intangible assets\u201d. Gains and losses on disposals of property, plant and equipment and intangible assets used in operations are recognised in the pro\ufb01t and loss account in \u201cNet gain on non-current assets\u201d. Gains and losses on disposals of investment property are recognised in the pro\ufb01t and loss account in \u201cIncome from other activities\u201d or \u201cExpense on other activities\u201d.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForIntangibleAssetsOtherThanGoodwillExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9596": {
   "value": "1.g PROPERTY, PLANT, EQUIPMENT AND INTANGIBLE ASSETS Property, plant and equipment and intangible assets shown in the consolidated balance sheet are composed of assets used in operations and investment property. Rights-of-use related to leased assets (see note 1.h.2) are presented by the lessee within \ufb01xed assets in the same category as similar assets held. Assets used in operations are those used in the provision of services or for administrative purposes, and include non-property assets leased by the Group as lessor under operating leases. Investment property comprises property assets held to generate rental income and capital gains. Investment property is recognised at cost, with the exception of those representing insurance or investment contracts whose risk is borne by policyholders (unit-linked contracts), which are measured at fair value through pro\ufb01t or loss and presented in the balance sheet under \u201cFinancial investments and other assets related to insurance activities\u201d (note 1.f.2). Property, plant and equipment and intangible assets are initially recognised at purchase price plus directly attributable costs, together with borrowing costs where a long period of construction or adaptation is required before the asset can be brought into service. Software developed internally by the BNP Paribas Group that ful\ufb01ls the criteria for capitalisation is capitalised at direct development cost, which includes external costs and the labour costs of employees directly attributable to the project. Subsequent to initial recognition, property, plant and equipment and intangible assets are measured at cost less accumulated depreciation or amortisation and any impairment losses. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 206 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The depreciable amount of property, plant and equipment and intangible assets is calculated after deducting the residual value of the asset. Only assets leased by the Group as the lessor under operating leases are presumed to have a residual value, as the useful life of property, plant and equipment and intangible assets used in operations is generally the same as their economic life. Property, plant and equipment and intangible assets are depreciated or amortised using the straight-line method over the useful life of the asset. Depreciation and amortisation expense is recognised in the pro\ufb01t and loss account under \u201cDepreciation, amortisation and impairment of property, plant and equipment and intangible assets\u201d. Where an asset consists of a number of components which may require replacement at regular intervals, or which have different uses or generate economic bene\ufb01ts at different rates, each component is recognised separately and depreciated using a method appropriate to that component. The BNP Paribas Group has adopted the component-based approach for property used in operations and for investment property. The depreciation periods used for of\ufb01ce property are as follows: 80 years or 60 years for the shell (for prime and other property respectively); 30 years for facades; 20 years for general and technical installations; and 10 years for \ufb01xtures and \ufb01ttings. Software is amortised, depending on its type, over periods of no more than 8 years in the case of infrastructure developments and 3 years or 5 years in the case of software developed primarily for the purpose of providing services to customers. Software maintenance costs are expensed as incurred. However, expenditure that is regarded as upgrading the software or extending its useful life is included in the initial acquisition or production cost. Depreciable property, plant and equipment and intangible assets are tested for impairment if there is an indication of potential impairment at the balance sheet date. Non-depreciable assets are tested for impairment at least annually, using the same method as for goodwill allocated to cash-generating units. If there is an indication of impairment, the new recoverable amount of the asset is compared with the carrying amount. If the asset is found to be impaired, an impairment loss is recognised in the pro\ufb01t and loss account. This loss is reversed in the event of a change in the estimated recoverable amount or if there is no longer an indication of impairment. Impairment losses are taken to the pro\ufb01t and loss account in \u201cDepreciation, amortisation and impairment of property, plant and equipment and intangible assets\u201d. Gains and losses on disposals of property, plant and equipment and intangible assets used in operations are recognised in the pro\ufb01t and loss account in \u201cNet gain on non-current assets\u201d. Gains and losses on disposals of investment property are recognised in the pro\ufb01t and loss account in \u201cIncome from other activities\u201d or \u201cExpense on other activities\u201d.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForDepreciationExpenseExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-3643": {
   "value": "1.g PROPERTY, PLANT, EQUIPMENT AND INTANGIBLE ASSETS Property, plant and equipment and intangible assets shown in the consolidated balance sheet are composed of assets used in operations and investment property. Rights-of-use related to leased assets (see note 1.h.2) are presented by the lessee within \ufb01xed assets in the same category as similar assets held. Assets used in operations are those used in the provision of services or for administrative purposes, and include non-property assets leased by the Group as lessor under operating leases. Investment property comprises property assets held to generate rental income and capital gains. Investment property is recognised at cost, with the exception of those representing insurance or investment contracts whose risk is borne by policyholders (unit-linked contracts), which are measured at fair value through pro\ufb01t or loss and presented in the balance sheet under \u201cFinancial investments and other assets related to insurance activities\u201d (note 1.f.2). Property, plant and equipment and intangible assets are initially recognised at purchase price plus directly attributable costs, together with borrowing costs where a long period of construction or adaptation is required before the asset can be brought into service. Software developed internally by the BNP Paribas Group that ful\ufb01ls the criteria for capitalisation is capitalised at direct development cost, which includes external costs and the labour costs of employees directly attributable to the project. Subsequent to initial recognition, property, plant and equipment and intangible assets are measured at cost less accumulated depreciation or amortisation and any impairment losses. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 206 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The depreciable amount of property, plant and equipment and intangible assets is calculated after deducting the residual value of the asset. Only assets leased by the Group as the lessor under operating leases are presumed to have a residual value, as the useful life of property, plant and equipment and intangible assets used in operations is generally the same as their economic life. Property, plant and equipment and intangible assets are depreciated or amortised using the straight-line method over the useful life of the asset. Depreciation and amortisation expense is recognised in the pro\ufb01t and loss account under \u201cDepreciation, amortisation and impairment of property, plant and equipment and intangible assets\u201d. Where an asset consists of a number of components which may require replacement at regular intervals, or which have different uses or generate economic bene\ufb01ts at different rates, each component is recognised separately and depreciated using a method appropriate to that component. The BNP Paribas Group has adopted the component-based approach for property used in operations and for investment property. The depreciation periods used for of\ufb01ce property are as follows: 80 years or 60 years for the shell (for prime and other property respectively); 30 years for facades; 20 years for general and technical installations; and 10 years for \ufb01xtures and \ufb01ttings. Software is amortised, depending on its type, over periods of no more than 8 years in the case of infrastructure developments and 3 years or 5 years in the case of software developed primarily for the purpose of providing services to customers. Software maintenance costs are expensed as incurred. However, expenditure that is regarded as upgrading the software or extending its useful life is included in the initial acquisition or production cost. Depreciable property, plant and equipment and intangible assets are tested for impairment if there is an indication of potential impairment at the balance sheet date. Non-depreciable assets are tested for impairment at least annually, using the same method as for goodwill allocated to cash-generating units. If there is an indication of impairment, the new recoverable amount of the asset is compared with the carrying amount. If the asset is found to be impaired, an impairment loss is recognised in the pro\ufb01t and loss account. This loss is reversed in the event of a change in the estimated recoverable amount or if there is no longer an indication of impairment. Impairment losses are taken to the pro\ufb01t and loss account in \u201cDepreciation, amortisation and impairment of property, plant and equipment and intangible assets\u201d. Gains and losses on disposals of property, plant and equipment and intangible assets used in operations are recognised in the pro\ufb01t and loss account in \u201cNet gain on non-current assets\u201d. Gains and losses on disposals of investment property are recognised in the pro\ufb01t and loss account in \u201cIncome from other activities\u201d or \u201cExpense on other activities\u201d.Amortisation and provision Net depreciation and amortisation expense for the year ended 31 December 2022 was EUR 2,376 million, compared with EUR 2,336 million for the year ended 31 December 2021. The net increase in impairment on property, plant, equipment and intangible assets taken to the pro\ufb01t and loss account for the year ended 31 December 2022 amounted to EUR 18 million, compared with EUR 8 million for the year ended 31 December 2021. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 252 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfDepreciationAndAmortisationExpenseExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-3642": {
   "value": "1.g PROPERTY, PLANT, EQUIPMENT AND INTANGIBLE ASSETS Property, plant and equipment and intangible assets shown in the consolidated balance sheet are composed of assets used in operations and investment property. Rights-of-use related to leased assets (see note 1.h.2) are presented by the lessee within \ufb01xed assets in the same category as similar assets held. Assets used in operations are those used in the provision of services or for administrative purposes, and include non-property assets leased by the Group as lessor under operating leases. Investment property comprises property assets held to generate rental income and capital gains. Investment property is recognised at cost, with the exception of those representing insurance or investment contracts whose risk is borne by policyholders (unit-linked contracts), which are measured at fair value through pro\ufb01t or loss and presented in the balance sheet under \u201cFinancial investments and other assets related to insurance activities\u201d (note 1.f.2). Property, plant and equipment and intangible assets are initially recognised at purchase price plus directly attributable costs, together with borrowing costs where a long period of construction or adaptation is required before the asset can be brought into service. Software developed internally by the BNP Paribas Group that ful\ufb01ls the criteria for capitalisation is capitalised at direct development cost, which includes external costs and the labour costs of employees directly attributable to the project. Subsequent to initial recognition, property, plant and equipment and intangible assets are measured at cost less accumulated depreciation or amortisation and any impairment losses. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 206 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The depreciable amount of property, plant and equipment and intangible assets is calculated after deducting the residual value of the asset. Only assets leased by the Group as the lessor under operating leases are presumed to have a residual value, as the useful life of property, plant and equipment and intangible assets used in operations is generally the same as their economic life. Property, plant and equipment and intangible assets are depreciated or amortised using the straight-line method over the useful life of the asset. Depreciation and amortisation expense is recognised in the pro\ufb01t and loss account under \u201cDepreciation, amortisation and impairment of property, plant and equipment and intangible assets\u201d. Where an asset consists of a number of components which may require replacement at regular intervals, or which have different uses or generate economic bene\ufb01ts at different rates, each component is recognised separately and depreciated using a method appropriate to that component. The BNP Paribas Group has adopted the component-based approach for property used in operations and for investment property. The depreciation periods used for of\ufb01ce property are as follows: 80 years or 60 years for the shell (for prime and other property respectively); 30 years for facades; 20 years for general and technical installations; and 10 years for \ufb01xtures and \ufb01ttings. Software is amortised, depending on its type, over periods of no more than 8 years in the case of infrastructure developments and 3 years or 5 years in the case of software developed primarily for the purpose of providing services to customers. Software maintenance costs are expensed as incurred. However, expenditure that is regarded as upgrading the software or extending its useful life is included in the initial acquisition or production cost. Depreciable property, plant and equipment and intangible assets are tested for impairment if there is an indication of potential impairment at the balance sheet date. Non-depreciable assets are tested for impairment at least annually, using the same method as for goodwill allocated to cash-generating units. If there is an indication of impairment, the new recoverable amount of the asset is compared with the carrying amount. If the asset is found to be impaired, an impairment loss is recognised in the pro\ufb01t and loss account. This loss is reversed in the event of a change in the estimated recoverable amount or if there is no longer an indication of impairment. Impairment losses are taken to the pro\ufb01t and loss account in \u201cDepreciation, amortisation and impairment of property, plant and equipment and intangible assets\u201d. Gains and losses on disposals of property, plant and equipment and intangible assets used in operations are recognised in the pro\ufb01t and loss account in \u201cNet gain on non-current assets\u201d. Gains and losses on disposals of investment property are recognised in the pro\ufb01t and loss account in \u201cIncome from other activities\u201d or \u201cExpense on other activities\u201d.2.i NET GAIN ON NON-CURRENT ASSETS In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Gain or loss on investments in consolidated undertakings (note 6.c) (257) 355 Gain or loss on tangible and intangible assets 7 479 Results from net monetary position (3) Net gain on non-current assets (253) 834 According to IAS 29 in connection with the hyperin\ufb02ation situation of the economy in T\u00fcrkiye, the line \u201cResults from net monetary positions\u201d mainly includes the effect of the evolution of the consumer price index in T\u00fcrkiye on the valuation of non-monetary assets and liabilities (-EUR 434 million) and on accrued income from the Turkish government bonds portfolio indexed to in\ufb02ation and held by Turk Ekonomi Bankasi AS (+EUR 431 million, reclassi\ufb01ed from interest margin). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 223 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements2.j CORPORATE INCOME TAX Reconciliation of the effective tax expense to the theoretical tax expense at standard tax rate in France Year to 31 Dec. 2022 Year to 31 Dec. 2021 in millions of euros tax rate in millions of euros tax rate Corporate income tax expense on pre-tax income at standard tax rate in France (1) (3,275) 25.8% (3,454) 28.4% Impact of differently taxed foreign pro\ufb01ts (61) 0.5% 201 -1.7% Impact of dividends and disposals taxed at reduced rate 54 -0.4% 153 -1.3% Impact of the non-deductibility of taxes and bank levies (2) (300) 2.4% (253) 2.1% Other items (134) 1.0% (231) 2.0% Corporate income tax expense from continuing activities (3,716) 29.3% (3,584) 29.5% Current tax expense for the year to 31 December (2,844) (2,806) Deferred tax expense for the year to 31 December (note 4.k) (872) (778) (1) Restated for the share of pro\ufb01ts in equity-method entities and goodwill impairment. (2) Contribution to the Single Resolution Fund and other non-deductible banking taxes.4.n PROPERTY, PLANT, EQUIPMENT AND INTANGIBLE ASSETS USED IN OPERATIONS, INVESTMENT PROPERTY In millions of euros 31 December 2022 31 December 2021 Gross value Accumulated depreciation, amortisation and impairment Carrying amount Gross value Accumulated depreciation, amortisation and impairment Carrying amount INVESTMENT PROPERTY 827 (298) 529 869 (294) 575 Land and buildings 11,507 (4,704) 6,803 12,023 (4,817) 7,206 Equipment, furniture and \ufb01xtures 7,177 (5,400) 1,777 7,172 (5,312) 1,860 Plant and equipment leased as lessor under operating leases 38,817 (10,658) 28,159 33,890 (9,285) 24,605 Other property, plant and equipment 2,318 (1,118) 1,200 1,932 (1,095) 837 PROPERTY, PLANT AND EQUIPMENT 59,819 (21,880) 37,939 55,017 (20,509) 34,508 Of which right of use 6,000 (3,294) 2,706 6,117 (3,314) 2,803 PROPERTY, PLANT AND EQUIPMENT AND INVESTMENT PROPERTY 60,646 (22,178) 38,468 55,886 (20,803) 35,083 Purchased software 3,690 (3,035) 655 3,303 (2,651) 652 Internally developed software 6,345 (5,000) 1,345 5,995 (4,657) 1,338 Other intangible assets 2,367 (577) 1,790 2,157 (488) 1,669 INTANGIBLE ASSETS 12,402 (8,612) 3,790 11,455 (7,796) 3,659Intangible assets Other intangible assets include leasehold rights, goodwill and trademarks acquired by the Group.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfIntangibleAssetsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-3639": {
   "value": "1.g PROPERTY, PLANT, EQUIPMENT AND INTANGIBLE ASSETS Property, plant and equipment and intangible assets shown in the consolidated balance sheet are composed of assets used in operations and investment property. Rights-of-use related to leased assets (see note 1.h.2) are presented by the lessee within \ufb01xed assets in the same category as similar assets held. Assets used in operations are those used in the provision of services or for administrative purposes, and include non-property assets leased by the Group as lessor under operating leases. Investment property comprises property assets held to generate rental income and capital gains. Investment property is recognised at cost, with the exception of those representing insurance or investment contracts whose risk is borne by policyholders (unit-linked contracts), which are measured at fair value through pro\ufb01t or loss and presented in the balance sheet under \u201cFinancial investments and other assets related to insurance activities\u201d (note 1.f.2). Property, plant and equipment and intangible assets are initially recognised at purchase price plus directly attributable costs, together with borrowing costs where a long period of construction or adaptation is required before the asset can be brought into service. Software developed internally by the BNP Paribas Group that ful\ufb01ls the criteria for capitalisation is capitalised at direct development cost, which includes external costs and the labour costs of employees directly attributable to the project. Subsequent to initial recognition, property, plant and equipment and intangible assets are measured at cost less accumulated depreciation or amortisation and any impairment losses. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 206 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The depreciable amount of property, plant and equipment and intangible assets is calculated after deducting the residual value of the asset. Only assets leased by the Group as the lessor under operating leases are presumed to have a residual value, as the useful life of property, plant and equipment and intangible assets used in operations is generally the same as their economic life. Property, plant and equipment and intangible assets are depreciated or amortised using the straight-line method over the useful life of the asset. Depreciation and amortisation expense is recognised in the pro\ufb01t and loss account under \u201cDepreciation, amortisation and impairment of property, plant and equipment and intangible assets\u201d. Where an asset consists of a number of components which may require replacement at regular intervals, or which have different uses or generate economic bene\ufb01ts at different rates, each component is recognised separately and depreciated using a method appropriate to that component. The BNP Paribas Group has adopted the component-based approach for property used in operations and for investment property. The depreciation periods used for of\ufb01ce property are as follows: 80 years or 60 years for the shell (for prime and other property respectively); 30 years for facades; 20 years for general and technical installations; and 10 years for \ufb01xtures and \ufb01ttings. Software is amortised, depending on its type, over periods of no more than 8 years in the case of infrastructure developments and 3 years or 5 years in the case of software developed primarily for the purpose of providing services to customers. Software maintenance costs are expensed as incurred. However, expenditure that is regarded as upgrading the software or extending its useful life is included in the initial acquisition or production cost. Depreciable property, plant and equipment and intangible assets are tested for impairment if there is an indication of potential impairment at the balance sheet date. Non-depreciable assets are tested for impairment at least annually, using the same method as for goodwill allocated to cash-generating units. If there is an indication of impairment, the new recoverable amount of the asset is compared with the carrying amount. If the asset is found to be impaired, an impairment loss is recognised in the pro\ufb01t and loss account. This loss is reversed in the event of a change in the estimated recoverable amount or if there is no longer an indication of impairment. Impairment losses are taken to the pro\ufb01t and loss account in \u201cDepreciation, amortisation and impairment of property, plant and equipment and intangible assets\u201d. Gains and losses on disposals of property, plant and equipment and intangible assets used in operations are recognised in the pro\ufb01t and loss account in \u201cNet gain on non-current assets\u201d. Gains and losses on disposals of investment property are recognised in the pro\ufb01t and loss account in \u201cIncome from other activities\u201d or \u201cExpense on other activities\u201d.2.i NET GAIN ON NON-CURRENT ASSETS In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Gain or loss on investments in consolidated undertakings (note 6.c) (257) 355 Gain or loss on tangible and intangible assets 7 479 Results from net monetary position (3) Net gain on non-current assets (253) 834 According to IAS 29 in connection with the hyperin\ufb02ation situation of the economy in T\u00fcrkiye, the line \u201cResults from net monetary positions\u201d mainly includes the effect of the evolution of the consumer price index in T\u00fcrkiye on the valuation of non-monetary assets and liabilities (-EUR 434 million) and on accrued income from the Turkish government bonds portfolio indexed to in\ufb02ation and held by Turk Ekonomi Bankasi AS (+EUR 431 million, reclassi\ufb01ed from interest margin). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 223 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements4.n PROPERTY, PLANT, EQUIPMENT AND INTANGIBLE ASSETS USED IN OPERATIONS, INVESTMENT PROPERTY In millions of euros 31 December 2022 31 December 2021 Gross value Accumulated depreciation, amortisation and impairment Carrying amount Gross value Accumulated depreciation, amortisation and impairment Carrying amount INVESTMENT PROPERTY 827 (298) 529 869 (294) 575 Land and buildings 11,507 (4,704) 6,803 12,023 (4,817) 7,206 Equipment, furniture and \ufb01xtures 7,177 (5,400) 1,777 7,172 (5,312) 1,860 Plant and equipment leased as lessor under operating leases 38,817 (10,658) 28,159 33,890 (9,285) 24,605 Other property, plant and equipment 2,318 (1,118) 1,200 1,932 (1,095) 837 PROPERTY, PLANT AND EQUIPMENT 59,819 (21,880) 37,939 55,017 (20,509) 34,508 Of which right of use 6,000 (3,294) 2,706 6,117 (3,314) 2,803 PROPERTY, PLANT AND EQUIPMENT AND INVESTMENT PROPERTY 60,646 (22,178) 38,468 55,886 (20,803) 35,083 Purchased software 3,690 (3,035) 655 3,303 (2,651) 652 Internally developed software 6,345 (5,000) 1,345 5,995 (4,657) 1,338 Other intangible assets 2,367 (577) 1,790 2,157 (488) 1,669 INTANGIBLE ASSETS 12,402 (8,612) 3,790 11,455 (7,796) 3,659",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfPropertyPlantAndEquipmentExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9597": {
   "value": "1.h LEASES Group companies may either be the lessee or the lessor in a lease agreement. 1.h.1 Group company as lessor Leases contracted by the Group as lessor are categorised as either \ufb01nance leases or operating leases. Finance leases In a \ufb01nance lease, the lessor transfers substantially all the risks and rewards of ownership of an asset to the lessee. It is treated as a loan made to the lessee to \ufb01nance the purchase of the asset. The present value of the lease payments, plus any residual value, is recognised as a receivable. The net income earned from the lease by the lessor is equal to the amount of interest on the loan, and is taken to the pro\ufb01t and loss account under \u201cInterest income\u201d. The lease payments are spread over the lease term, and are allocated to reduction of the principal and to interest such that the net income re\ufb02ects a constant rate of return on the net investment outstanding in the lease. The rate of interest used is the rate implicit in the lease. Impairments of lease receivables are determined using the same principles as applied to \ufb01nancial assets measured at amortised cost. Operating leases An operating lease is a lease under which substantially all the risks and rewards of ownership of an asset are not transferred to the lessee. The asset is recognised under property, plant and equipment in the lessor\u2019s balance sheet and depreciated on a straight-line basis over its useful life. The depreciable amount excludes the residual value of the asset. The lease payments are taken to the pro\ufb01t and loss account in full on a straight-line basis over the lease term. Lease payments and depreciation expenses are taken to the pro\ufb01t and loss account under \u201cIncome from other activities\u201d and \u201cExpense on other activities\u201d.1.h.2 Group company as lessee Lease contracts concluded by the Group, with the exception of contracts whose term is shorter than or equal to 12 months and low-value contracts, are recognised in the balance-sheet in the form of a right-of-use on the leased asset presented under \ufb01xed assets, along with the recognition of a \ufb01nancial liability for the rent and other payments to be made over the leasing period. The right of use assets is amortised on a straight-line basis and 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 207 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements the \ufb01nancial liabilities are amortised on an actuarial basis over the lease period. Dismantling costs corresponding to speci\ufb01c and signi\ufb01cant \ufb01ttings and \ufb01xtures are included in the initial right-of-use estimation, in counterparty of a provision liability. The key hypothesis used by the Group for the measurement of rights of use and lease liabilities are the following: \u25a0 the lease term corresponds to the non-cancellable period of the contract, together with periods covered by an extension option if the Group is reasonably certain to exercise this option. In France, the standard commercial lease contract is the so-called \u201cthree, six, nine\u201d contract for which the maximum period of use is nine years, with a \ufb01rst non-cancellable period of three years followed by two optional extension periods of three years each; hence, depending on the assessment, the lease term can be of three, six or nine years. When investments like \ufb01ttings or \ufb01xtures are performed under the contract, the lease term is aligned with their useful lives. For tacitly renewable contracts, with or without an enforceable period, related right of use and lease liabilities are recognised based on an estimate of the reasonably foreseeable economic life of the contracts, minimal occupation period included; \u25a0 the discount rate used to measure the right of use and the lease liability is assessed for each contract as the interest rate implicit in the lease, if that rate can be readily determined, or more generally based on the incremental borrowing rate of the lessee at the date of signature. The incremental borrowing rate is determined considering the average term (duration) of the contract; \u25a0 when the contract is modi\ufb01ed, a new assessment of the lease liability is made taking into account the new residual term of the contract, and therefore a new assessment of the right of use and the lease liability is established.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForLeasesExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-3939": {
   "value": "1.h LEASES Group companies may either be the lessee or the lessor in a lease agreement. 1.h.1 Group company as lessor Leases contracted by the Group as lessor are categorised as either \ufb01nance leases or operating leases. Finance leases In a \ufb01nance lease, the lessor transfers substantially all the risks and rewards of ownership of an asset to the lessee. It is treated as a loan made to the lessee to \ufb01nance the purchase of the asset. The present value of the lease payments, plus any residual value, is recognised as a receivable. The net income earned from the lease by the lessor is equal to the amount of interest on the loan, and is taken to the pro\ufb01t and loss account under \u201cInterest income\u201d. The lease payments are spread over the lease term, and are allocated to reduction of the principal and to interest such that the net income re\ufb02ects a constant rate of return on the net investment outstanding in the lease. The rate of interest used is the rate implicit in the lease. Impairments of lease receivables are determined using the same principles as applied to \ufb01nancial assets measured at amortised cost. Operating leases An operating lease is a lease under which substantially all the risks and rewards of ownership of an asset are not transferred to the lessee. The asset is recognised under property, plant and equipment in the lessor\u2019s balance sheet and depreciated on a straight-line basis over its useful life. The depreciable amount excludes the residual value of the asset. The lease payments are taken to the pro\ufb01t and loss account in full on a straight-line basis over the lease term. Lease payments and depreciation expenses are taken to the pro\ufb01t and loss account under \u201cIncome from other activities\u201d and \u201cExpense on other activities\u201d.1.h.2 Group company as lessee Lease contracts concluded by the Group, with the exception of contracts whose term is shorter than or equal to 12 months and low-value contracts, are recognised in the balance-sheet in the form of a right-of-use on the leased asset presented under \ufb01xed assets, along with the recognition of a \ufb01nancial liability for the rent and other payments to be made over the leasing period. The right of use assets is amortised on a straight-line basis and 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 207 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements the \ufb01nancial liabilities are amortised on an actuarial basis over the lease period. Dismantling costs corresponding to speci\ufb01c and signi\ufb01cant \ufb01ttings and \ufb01xtures are included in the initial right-of-use estimation, in counterparty of a provision liability. The key hypothesis used by the Group for the measurement of rights of use and lease liabilities are the following: \u25a0 the lease term corresponds to the non-cancellable period of the contract, together with periods covered by an extension option if the Group is reasonably certain to exercise this option. In France, the standard commercial lease contract is the so-called \u201cthree, six, nine\u201d contract for which the maximum period of use is nine years, with a \ufb01rst non-cancellable period of three years followed by two optional extension periods of three years each; hence, depending on the assessment, the lease term can be of three, six or nine years. When investments like \ufb01ttings or \ufb01xtures are performed under the contract, the lease term is aligned with their useful lives. For tacitly renewable contracts, with or without an enforceable period, related right of use and lease liabilities are recognised based on an estimate of the reasonably foreseeable economic life of the contracts, minimal occupation period included; \u25a0 the discount rate used to measure the right of use and the lease liability is assessed for each contract as the interest rate implicit in the lease, if that rate can be readily determined, or more generally based on the incremental borrowing rate of the lessee at the date of signature. The incremental borrowing rate is determined considering the average term (duration) of the contract; \u25a0 when the contract is modi\ufb01ed, a new assessment of the lease liability is made taking into account the new residual term of the contract, and therefore a new assessment of the right of use and the lease liability is established.Operating leases Operating leases and investment property transactions are in certain cases subject to agreements providing for the following minimum future payments: In millions of euros 31 December 2022 31 December 2021 Future minimum lease payments receivable under non-cancellable leases 8,221 7,757 Payments receivable within 1 year 3,613 3,364 Payments receivable after 1 year but within 5 years 4,582 4,341 Payments receivable beyond 5 years 26 52 Future minimum lease payments receivable under non-cancellable leases are payments that the lessee is required to make during the lease term.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfLeasesExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9598": {
   "value": "1.h.1 Group company as lessor Leases contracted by the Group as lessor are categorised as either \ufb01nance leases or operating leases. Finance leases In a \ufb01nance lease, the lessor transfers substantially all the risks and rewards of ownership of an asset to the lessee. It is treated as a loan made to the lessee to \ufb01nance the purchase of the asset. The present value of the lease payments, plus any residual value, is recognised as a receivable. The net income earned from the lease by the lessor is equal to the amount of interest on the loan, and is taken to the pro\ufb01t and loss account under \u201cInterest income\u201d. The lease payments are spread over the lease term, and are allocated to reduction of the principal and to interest such that the net income re\ufb02ects a constant rate of return on the net investment outstanding in the lease. The rate of interest used is the rate implicit in the lease. Impairments of lease receivables are determined using the same principles as applied to \ufb01nancial assets measured at amortised cost. Operating leases An operating lease is a lease under which substantially all the risks and rewards of ownership of an asset are not transferred to the lessee. The asset is recognised under property, plant and equipment in the lessor\u2019s balance sheet and depreciated on a straight-line basis over its useful life. The depreciable amount excludes the residual value of the asset. The lease payments are taken to the pro\ufb01t and loss account in full on a straight-line basis over the lease term. Lease payments and depreciation expenses are taken to the pro\ufb01t and loss account under \u201cIncome from other activities\u201d and \u201cExpense on other activities\u201d.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfAdditionalInformationAboutLeasingActivitiesForLessorExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9599": {
   "value": "1.h.2 Group company as lessee Lease contracts concluded by the Group, with the exception of contracts whose term is shorter than or equal to 12 months and low-value contracts, are recognised in the balance-sheet in the form of a right-of-use on the leased asset presented under \ufb01xed assets, along with the recognition of a \ufb01nancial liability for the rent and other payments to be made over the leasing period. The right of use assets is amortised on a straight-line basis and 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 207 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements the \ufb01nancial liabilities are amortised on an actuarial basis over the lease period. Dismantling costs corresponding to speci\ufb01c and signi\ufb01cant \ufb01ttings and \ufb01xtures are included in the initial right-of-use estimation, in counterparty of a provision liability. The key hypothesis used by the Group for the measurement of rights of use and lease liabilities are the following: \u25a0 the lease term corresponds to the non-cancellable period of the contract, together with periods covered by an extension option if the Group is reasonably certain to exercise this option. In France, the standard commercial lease contract is the so-called \u201cthree, six, nine\u201d contract for which the maximum period of use is nine years, with a \ufb01rst non-cancellable period of three years followed by two optional extension periods of three years each; hence, depending on the assessment, the lease term can be of three, six or nine years. When investments like \ufb01ttings or \ufb01xtures are performed under the contract, the lease term is aligned with their useful lives. For tacitly renewable contracts, with or without an enforceable period, related right of use and lease liabilities are recognised based on an estimate of the reasonably foreseeable economic life of the contracts, minimal occupation period included; \u25a0 the discount rate used to measure the right of use and the lease liability is assessed for each contract as the interest rate implicit in the lease, if that rate can be readily determined, or more generally based on the incremental borrowing rate of the lessee at the date of signature. The incremental borrowing rate is determined considering the average term (duration) of the contract; \u25a0 when the contract is modi\ufb01ed, a new assessment of the lease liability is made taking into account the new residual term of the contract, and therefore a new assessment of the right of use and the lease liability is established.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfAdditionalInformationAboutLeasingActivitiesForLesseeExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-3994": {
   "value": "1.i ASSETS HELD FOR SALE AND DISCONTINUED OPERATIONS Where the Group decides to sell assets or a group of assets and liabilities and it is highly probable that the sale will occur within 12 months, these assets are shown separately in the balance sheet, on the line \u201cAssets held for sale\u201d. Any liabilities associated with these assets are also shown separately in the balance sheet, on the line \u201cLiabilities associated with assets held for sale\u201d. When the Group is committed to a sale plan involving loss of control of a subsidiary and the sale is highly probable within 12 months, all the assets and liabilities of that subsidiary are classi\ufb01ed as held for sale. Once classi\ufb01ed in this category, assets and the group of assets and liabilities are measured at the lower of carrying amount or fair value less costs to sell. Such assets are no longer depreciated. If an asset or group of assets and liabilities becomes impaired, an impairment loss is recognised in the pro\ufb01t and loss account. Impairment losses may be reversed. Where a group of assets and liabilities held for sale represents a cash generating unit, it is categorised as a \u201cdiscontinued operation\u201d. Discontinued operations include operations that are held for sale, operations that have been shut down, and subsidiaries acquired exclusively with a view to resell. In this case, gains and losses related to discontinued operations are shown separately in the pro\ufb01t and loss account, on the line \u201cNet income from discontinued activities\u201d. This line includes after tax pro\ufb01ts or losses of discontinued operations, after tax gain or loss arising from remeasurement at fair value less costs to sell, and after-tax gain or loss on disposal of the operation.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfDiscontinuedOperationsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-3993": {
   "value": "1.i ASSETS HELD FOR SALE AND DISCONTINUED OPERATIONS Where the Group decides to sell assets or a group of assets and liabilities and it is highly probable that the sale will occur within 12 months, these assets are shown separately in the balance sheet, on the line \u201cAssets held for sale\u201d. Any liabilities associated with these assets are also shown separately in the balance sheet, on the line \u201cLiabilities associated with assets held for sale\u201d. When the Group is committed to a sale plan involving loss of control of a subsidiary and the sale is highly probable within 12 months, all the assets and liabilities of that subsidiary are classi\ufb01ed as held for sale. Once classi\ufb01ed in this category, assets and the group of assets and liabilities are measured at the lower of carrying amount or fair value less costs to sell. Such assets are no longer depreciated. If an asset or group of assets and liabilities becomes impaired, an impairment loss is recognised in the pro\ufb01t and loss account. Impairment losses may be reversed. Where a group of assets and liabilities held for sale represents a cash generating unit, it is categorised as a \u201cdiscontinued operation\u201d. Discontinued operations include operations that are held for sale, operations that have been shut down, and subsidiaries acquired exclusively with a view to resell. In this case, gains and losses related to discontinued operations are shown separately in the pro\ufb01t and loss account, on the line \u201cNet income from discontinued activities\u201d. This line includes after tax pro\ufb01ts or losses of discontinued operations, after tax gain or loss arising from remeasurement at fair value less costs to sell, and after-tax gain or loss on disposal of the operation.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForDiscontinuedOperationsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-3992": {
   "value": "1.i ASSETS HELD FOR SALE AND DISCONTINUED OPERATIONS Where the Group decides to sell assets or a group of assets and liabilities and it is highly probable that the sale will occur within 12 months, these assets are shown separately in the balance sheet, on the line \u201cAssets held for sale\u201d. Any liabilities associated with these assets are also shown separately in the balance sheet, on the line \u201cLiabilities associated with assets held for sale\u201d. When the Group is committed to a sale plan involving loss of control of a subsidiary and the sale is highly probable within 12 months, all the assets and liabilities of that subsidiary are classi\ufb01ed as held for sale. Once classi\ufb01ed in this category, assets and the group of assets and liabilities are measured at the lower of carrying amount or fair value less costs to sell. Such assets are no longer depreciated. If an asset or group of assets and liabilities becomes impaired, an impairment loss is recognised in the pro\ufb01t and loss account. Impairment losses may be reversed. Where a group of assets and liabilities held for sale represents a cash generating unit, it is categorised as a \u201cdiscontinued operation\u201d. Discontinued operations include operations that are held for sale, operations that have been shut down, and subsidiaries acquired exclusively with a view to resell. In this case, gains and losses related to discontinued operations are shown separately in the pro\ufb01t and loss account, on the line \u201cNet income from discontinued activities\u201d. This line includes after tax pro\ufb01ts or losses of discontinued operations, after tax gain or loss arising from remeasurement at fair value less costs to sell, and after-tax gain or loss on disposal of the operation.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfNoncurrentAssetsOrDisposalGroupsClassifiedAsHeldForSaleExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-3991": {
   "value": "1.i ASSETS HELD FOR SALE AND DISCONTINUED OPERATIONS Where the Group decides to sell assets or a group of assets and liabilities and it is highly probable that the sale will occur within 12 months, these assets are shown separately in the balance sheet, on the line \u201cAssets held for sale\u201d. Any liabilities associated with these assets are also shown separately in the balance sheet, on the line \u201cLiabilities associated with assets held for sale\u201d. When the Group is committed to a sale plan involving loss of control of a subsidiary and the sale is highly probable within 12 months, all the assets and liabilities of that subsidiary are classi\ufb01ed as held for sale. Once classi\ufb01ed in this category, assets and the group of assets and liabilities are measured at the lower of carrying amount or fair value less costs to sell. Such assets are no longer depreciated. If an asset or group of assets and liabilities becomes impaired, an impairment loss is recognised in the pro\ufb01t and loss account. Impairment losses may be reversed. Where a group of assets and liabilities held for sale represents a cash generating unit, it is categorised as a \u201cdiscontinued operation\u201d. Discontinued operations include operations that are held for sale, operations that have been shut down, and subsidiaries acquired exclusively with a view to resell. In this case, gains and losses related to discontinued operations are shown separately in the pro\ufb01t and loss account, on the line \u201cNet income from discontinued activities\u201d. This line includes after tax pro\ufb01ts or losses of discontinued operations, after tax gain or loss arising from remeasurement at fair value less costs to sell, and after-tax gain or loss on disposal of the operation.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForNoncurrentAssetsOrDisposalGroupsClassifiedAsHeldForSaleExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-3990": {
   "value": "1.i ASSETS HELD FOR SALE AND DISCONTINUED OPERATIONS Where the Group decides to sell assets or a group of assets and liabilities and it is highly probable that the sale will occur within 12 months, these assets are shown separately in the balance sheet, on the line \u201cAssets held for sale\u201d. Any liabilities associated with these assets are also shown separately in the balance sheet, on the line \u201cLiabilities associated with assets held for sale\u201d. When the Group is committed to a sale plan involving loss of control of a subsidiary and the sale is highly probable within 12 months, all the assets and liabilities of that subsidiary are classi\ufb01ed as held for sale. Once classi\ufb01ed in this category, assets and the group of assets and liabilities are measured at the lower of carrying amount or fair value less costs to sell. Such assets are no longer depreciated. If an asset or group of assets and liabilities becomes impaired, an impairment loss is recognised in the pro\ufb01t and loss account. Impairment losses may be reversed. Where a group of assets and liabilities held for sale represents a cash generating unit, it is categorised as a \u201cdiscontinued operation\u201d. Discontinued operations include operations that are held for sale, operations that have been shut down, and subsidiaries acquired exclusively with a view to resell. In this case, gains and losses related to discontinued operations are shown separately in the pro\ufb01t and loss account, on the line \u201cNet income from discontinued activities\u201d. This line includes after tax pro\ufb01ts or losses of discontinued operations, after tax gain or loss arising from remeasurement at fair value less costs to sell, and after-tax gain or loss on disposal of the operation.7.d DISCONTINUED ACTIVITIES On 18 December 2021, BNP Paribas concluded an agreement with BMO Financial Group for the sale of 100% of its retail and commercial banking activities in the United States, operated by the BancWest cash-generating unit, for a total consideration of USD 16.3 billion in cash. The transaction was closed on 1 February 2023 following receipt of all regulatory approvals by BMO Financial Group. The group of assets covered by the agreement comprises most of the entities of the homogeneous BancWest set (see reference D2 in note 7.l Scope of consolidation). BancWest is therefore classi\ufb01ed as a discontinued activity (see note 1.i Assets held for sale and discontinued operations). As required by IFRS 5 related to groups of assets and liabilities held for sale, the Group\u2019s consolidated \ufb01nancial statements are adapted to present BancWest separately in 2021 and in 2022: \u25a0 the assets are reclassi\ufb01ed on a separate line of the balance sheet \u201cAssets held for sale\u201d; \u25a0 the liabilities are also reclassi\ufb01ed in a separate line \u201cLiabilities associated with assets held for sale\u201d; \u25a0 amounts accounted for in equity for the revaluation of assets and liabilities are presented separately in the statement of net income and changes in assets and liabilities recognised directly in equity; \u25a0 revenues and expenses are reclassi\ufb01ed in a separate line \u201cNet income from discontinued activities\u201d in the pro\ufb01t and loss statement. This income includes revenues and expenses from internal transactions with BancWest, provided that, following the sale, the Group will no longer receive these revenues or incur these expenses; \u25a0 the net change in cash and cash equivalents is isolated in the cash \ufb02ow statement. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 276 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 NET INCOME FROM DISCONTINUED ACTIVITIES In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Revenues 2,788 2,473 Operating Expenses and Dep. (2,007) (1,645) Gross Operating Income 781 828 Cost of Risk 39 46 Operating Income 820 874 Net gain on non-current assets 3 19 Pre-tax Income 823 893 Corporate income tax (137) (173) NET INCOME FROM DISCONTINUED ACTIVITIES 686 720 \u27a4 STATEMENT OF NET INCOME AND CHANGES IN ASSETS AND LIABILITIES RECOGNISED DIRECTLY IN EQUITY OF DISCONTINUED ACTIVITIES In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Net income from discontinued activities 686 720 Changes in assets and liabilities recognised directly in equity of discontinued activities (434) 580 Items that are or may be reclassi\ufb01ed to pro\ufb01t or loss (440) 571 Changes in fair value through pro\ufb01t or loss 111 739 Changes in fair value of \ufb01nancial assets through equity Changes in fair value recognised in equity (730) (173) Changes in fair value reported in pro\ufb01t or loss (18) (30) Deferred value changes in hedging derivatives Changes in fair value recognised in equity (256) (61) Changes in fair value reported in pro\ufb01t or loss Income taxes 453 96 Items that will not be reclassi\ufb01ed to pro\ufb01t or loss 6 9 Revaluation effects on post-employment bene\ufb01t plans 7 12 Income taxes (1) (3) TOTAL 252 1,300 \u27a4 BALANCE SHEET OF DISCONTINUED ACTIVITIES In millions of euros 31 December 2022 31 December 2021 Cash and balances at central banks 2,750 14,654 Financial assets at fair value through equity 4,503 5,009 Financial assets at amortised cost 73,007 65,775 Property, plant and equipment 453 428 Intangible assets and goodwill 2,910 2,770 Other assets 3,216 2,631 TOTAL ASSETS HELD FOR SALE 86,839 91,267 Financial liabilities at amortised cost 74,563 73,041 Other liabilities 2,439 1,325 TOTAL LIABILITIES ASSOCIATED WITH ASSETS HELD FOR SALE 77,002 74,366 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 277 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 CHANGES IN ASSETS AND LIABILITIES RECOGNISED DIRECTLY IN EQUITY OF DISCONTINUED ACTIVITIES AT 31 DECEMBER 2022 In millions of euros 31 December 2022 31 December 2021 Items that are or may be reclassi\ufb01ed to pro\ufb01t or loss 168 608 Exchange differences 799 687 Financial assets at fair value through equity (405) (41) Derivatives used for hedging purposes (226) (38) Items that will not be reclassi\ufb01ed to pro\ufb01t or loss (119) (125) Remeasurement gains (losses) related to postemployment bene\ufb01t plans (119) (125) CHANGES IN ASSETS AND LIABILITIES RECOGNISED DIRECTLY IN EQUITY OF DISCONTINUED ACTIVITIES 49 483 \u27a4 FINANCIAL ASSETS AT AMORTISED COST CLASSIFIED AS \u201cASSETS HELD FOR SALE\u201d In millions of euros 31 December 2022 31 December 2021 Gross Value Impairment Carrying amount Gross Value Impairment Carrying amount Loans and advances to credit institutions 143 - 143 52 - 52 Stage 1 143 - 143 52 - 52 Loans and advances to customers 56,414 (329) 56,085 50,530 (476) 50,054 Stage 1 52,711 (141) 52,570 45,751 (172) 45,579 Stage 2 3,150 (126) 3,024 4,370 (217) 4,153 Stage 3 553 (62) 491 409 (87) 322 Debt securities 16,779 - 16,779 15,669 - 15,669 Stage 1 16,779 - 16,779 15,669 - 15,669 TOTAL FINANCIAL ASSETS AT AMORTISED COST 73,336 (329) 73,007 66,251 (476) 65,775 \u27a4 CASH FLOWS FROM DISCONTINUED ACTIVITIES In millions of euros Year to 31 Dec .2022 Year to 31 Dec. 2021 Net decrease (increase) in cash and cash equivalents generated by operating activities (10,175) 9,772 Net decrease in cash and cash equivalents related to investing activities (141) (111) Decrease (increase) in cash and cash equivalents related to \ufb01nancing activities (2,322) 406 Effect of movement in exchange rates on cash and cash equivalents 703 672 NET DECREASE (INCREASE) IN CASH AND CASH EQUIVALENTS FROM DISCONTINUED ACTIVITIES (11,935) 10,739 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 278 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfNoncurrentAssetsHeldForSaleAndDiscontinuedOperationsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9670": {
   "value": "1.i ASSETS HELD FOR SALE AND DISCONTINUED OPERATIONS Where the Group decides to sell assets or a group of assets and liabilities and it is highly probable that the sale will occur within 12 months, these assets are shown separately in the balance sheet, on the line \u201cAssets held for sale\u201d. Any liabilities associated with these assets are also shown separately in the balance sheet, on the line \u201cLiabilities associated with assets held for sale\u201d. When the Group is committed to a sale plan involving loss of control of a subsidiary and the sale is highly probable within 12 months, all the assets and liabilities of that subsidiary are classi\ufb01ed as held for sale. Once classi\ufb01ed in this category, assets and the group of assets and liabilities are measured at the lower of carrying amount or fair value less costs to sell. Such assets are no longer depreciated. If an asset or group of assets and liabilities becomes impaired, an impairment loss is recognised in the pro\ufb01t and loss account. Impairment losses may be reversed. Where a group of assets and liabilities held for sale represents a cash generating unit, it is categorised as a \u201cdiscontinued operation\u201d. Discontinued operations include operations that are held for sale, operations that have been shut down, and subsidiaries acquired exclusively with a view to resell. In this case, gains and losses related to discontinued operations are shown separately in the pro\ufb01t and loss account, on the line \u201cNet income from discontinued activities\u201d. This line includes after tax pro\ufb01ts or losses of discontinued operations, after tax gain or loss arising from remeasurement at fair value less costs to sell, and after-tax gain or loss on disposal of the operation.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForNoncurrentAssetsOrDisposalGroupsClassifiedAsHeldForSaleAndDiscontinuedOperationsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-4060": {
   "value": "1.j EMPLOYEE BENEFITS Employee bene\ufb01ts are classi\ufb01ed in one of four following categories: \u25a0 short-term bene\ufb01ts, such as salary, annual leave, incentive plans, pro\ufb01t-sharing and additional payments; \u25a0 long-term bene\ufb01ts, including compensated absences, long-service awards, and other types of cash-based deferred compensation; \u25a0 termination bene\ufb01ts; \u25a0 post-employment bene\ufb01ts, including top-up banking industry pensions and retirement bonuses in France and pension plans in other countries, some of which are operated through pension funds. Short-term benefits The Group recognises an expense when it has used services rendered by employees in exchange for employee bene\ufb01ts. Long-term benefits These are bene\ufb01ts, other than short-term bene\ufb01ts, post-employment bene\ufb01ts and termination bene\ufb01ts. This relates, in particular, to compensation deferred for more than 12 months and not linked to the BNP Paribas share price, which is accrued in the \ufb01nancial statements for the period in which it is earned. The actuarial techniques used are similar to those used for de\ufb01ned-bene\ufb01t post-employment bene\ufb01ts, except that the revaluation items are recognised in the pro\ufb01t and loss account and not in equity. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 208 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Termination benefits Termination bene\ufb01ts are employee bene\ufb01ts payable in exchange for the termination of an employee\u2019s contract as a result of either a decision by the Group to terminate a contract of employment before the legal retirement age, or a decision by an employee to accept voluntary redundancy in exchange for these bene\ufb01ts. Termination bene\ufb01ts due more than 12 months after the balance sheet date are discounted. Post-employment benefits In accordance with IFRS, the BNP Paribas Group draws a distinction between de\ufb01ned-contribution plans and de\ufb01ned-bene\ufb01t plans. De\ufb01ned-contribution plans do not give rise to an obligation for the Group and do not require a provision. The amount of the employer\u2019s contributions payable during the period is recognised as an expense. Only de\ufb01ned-bene\ufb01t schemes give rise to an obligation for the Group. This obligation must be measured and recognised as a liability by means of a provision. The classi\ufb01cation of plans into these two categories is based on the economic substance of the plan, which is reviewed to determine whether the Group has a legal or constructive obligation to pay the agreed bene\ufb01ts to employees. Post-employment bene\ufb01t obligations under de\ufb01ned-bene\ufb01t plans are measured using actuarial techniques that take demographic and \ufb01nancial assumptions into account. The net liability recognised with respect to post-employment bene\ufb01t plans is the difference between the present value of the de\ufb01ned-bene\ufb01t obligation and the fair value of any plan assets. The present value of the de\ufb01ned-bene\ufb01t obligation is measured on the basis of the actuarial assumptions applied by the Group, using the projected unit credit method. This method takes into account various parameters, speci\ufb01c to each country or Group entity, such as demographic assumptions, the probability that employees will leave before retirement age, salary in\ufb02ation, a discount rate, and the general in\ufb02ation rate. When the value of the plan assets exceeds the amount of the obligation, an asset is recognised if it represents a future economic bene\ufb01t for the Group in the form of a reduction in future contributions or a future partial refund of amounts paid into the plan. The annual expense recognised in the pro\ufb01t and loss account under \u201cSalaries and employee bene\ufb01ts\u201d, with respect to de\ufb01ned-bene\ufb01t plans includes the current service cost (the rights vested by each employee during the period in return for service rendered), the net interests linked to the effect of discounting the net de\ufb01ned-bene\ufb01t liability (asset), the past service cost arising from plan amendments or curtailments, and the effect of any plan settlements. Remeasurements of the net de\ufb01ned-bene\ufb01t liability (asset) are recognised in shareholders\u2019 equity and are never reclassi\ufb01ed to pro\ufb01t or loss. They include actuarial gains and losses, the return on plan assets and any change in the effect of the asset ceiling (excluding amounts included in net interest on the de\ufb01ned-bene\ufb01t liability or asset).1.k SHARE-BASED PAYMENTS Share-based payment transactions are payments based on shares issued by the Group, whether the transaction is settled in the form of equity or cash of which the amount is based on trends in the value of BNP Paribas shares. Stock option and share award plans The expense related to stock option and share award plans is recognised over the vesting period, if the bene\ufb01t is conditional upon the grantee\u2019s continued employment. Stock options and share award expenses are recorded under salary and employee bene\ufb01ts expenses, with a corresponding adjustment to shareholders\u2019 equity. They are calculated on the basis of the overall plan value, determined at the date of grant by the Board of directors. In the absence of any market for these instruments, \ufb01nancial valuation models are used that take into account any performance conditions related to the BNP Paribas share price. The total expense of a plan is determined by multiplying the unit value per option or share awarded by the estimated number of options or shares awarded vested at the end of the vesting period, taking into account the conditions regarding the grantee\u2019s continued employment. The only assumptions revised during the vesting period, and hence resulting in a remeasurement of the expense, are those relating to the probability that employees will leave the Group and those relating to performance conditions that are not linked to the price value of BNP Paribas shares. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 209 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Share price-linked cash-settled deferred compensation plans The expense related to these plans is recognised in the year during which the employee rendered the corresponding services. If the payment of share-based variable compensation is explicitly subject to the employee\u2019s continued presence at the vesting date, the services are presumed to have been rendered during the vesting period and the corresponding compensation expense is recognised on a pro rata basis over that period. The expense is recognised under salary and employee bene\ufb01ts expenses with a corresponding liability in the balance sheet. It is revised to take into account any non-ful\ufb01lment of the continued presence or performance conditions and the change in BNP Paribas share price. If there is no continued presence condition, the expense is not deferred, but recognised immediately with a corresponding liability in the balance sheet. This is then revised on each reporting date until settlement to take into account any performance conditions and the change in the BNP Paribas share price.Note 6 SALARIES AND EMPLOYEE BENEFITS 6.a SALARY AND EMPLOYEE BENEFIT EXPENSE In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Fixed and variable remuneration, incentive bonuses and pro\ufb01t-sharing 13,484 12,379 Employee bene\ufb01t expense 3,627 3,508 Payroll taxes 494 530 TOTAL SALARY AND EMPLOYEE BENEFIT EXPENSE 17,605 16,417 6.b POST-EMPLOYMENT BENEFITS IAS 19 distinguishes between two categories of plans, each handled differently depending on the risk incurred by the entity. When the entity is only committed to paying a \ufb01xed amount, stated as a percentage of the bene\ufb01ciary\u2019s annual salary, for example, to an external entity handling payment of the bene\ufb01ts based on the assets available for each plan member, it is described as a de\ufb01ned-contribution plan. Conversely, when the entity\u2019s obligation is to manage the \ufb01nancial assets funded through the collection of contributions from employees and to bear the cost of bene\ufb01ts itself or to guarantee the \ufb01nal amount subject to future events, it is described as a de\ufb01ned-bene\ufb01t plan. The same applies if the entity entrusts management of the collection of premiums and payment of bene\ufb01ts to a separate entity, but retains the risk arising from management of the assets and/or from future changes in the bene\ufb01ts. Main Defined-contribution pension plans for Group entities The BNP Paribas Group has implemented over the past few years a wide campaign of converting de\ufb01ned-bene\ufb01t plans into de\ufb01ned-contribution plans. Thus, in France, the BNP Paribas Group pays contributions to various nationwide basic and top-up pension schemes. BNP Paribas SA and certain subsidiaries have set up a funded pension plan under a company-wide agreement. Under this plan, employees will receive an annuity on retirement in addition to the pension paid by nationwide schemes. Since de\ufb01ned-bene\ufb01t plans have been closed to new employees in most countries outside France, they are offered the bene\ufb01t of joining de\ufb01ned- contribution pension plans. The amount paid into de\ufb01ned-contribution post-employment plans for the year ended 31 December 2022 was EUR 720 million, compared with EUR 670 million for the year ended 31 December 2021. The breakdown by major contributors is determined as follows: Contribution amount In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 France 353 349 Italy 90 94 UK 64 56 T\u00fcrkiye 26 25 Hong Kong 26 22 Luxembourg 28 22 USA 25 11 Others 108 91 TOTAL 720 670 In Italy, the plan introduced by BNL is funded by employer contributions (4.2% of salaries) and employee contributions (2% of salaries). Employees can also make additional voluntary contributions. In the United Kingdom, the employer contributes 12% of salaries for the majority of employees; employees can make additional voluntary contributions. In the US, the bank matches the voluntary contributions made by employees, within certain limits. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 263 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statementsMain defined-benefit pension plans for Group entities and indemnities payable on retirement Defined-benefit plans In Belgium, BNP Paribas Fortis funds a de\ufb01ned-bene\ufb01t plan, based on \ufb01nal salary and number of years of service, for its management and employees who joined the bank before its pension plans were harmonised on 1 January 2002. Actuarial liabilities under this scheme are pre-funded at 88% at 31 December 2022 (compared with 93% at 31 December 2021) through AG Insurance, in which the BNP Paribas Group owns a 25% equity interest. BNP Paribas Fortis senior managers are covered by a top-up pension plan, paying a lump sum based on the number of years of service and \ufb01nal salary. This plan is pre-funded at 90% at 31 December 2022 (100% at 31 December 2021) through insurance companies. In Belgium, employees bene\ufb01t from a de\ufb01ned-contribution scheme with a legal obligation for the employer to guarantee a minimum return on \ufb01nancial assets invested. Thus, a provision was recognised for these schemes, as this guarantee is not entirely covered by the insurance company. In France, BNP Paribas pays a top-up banking industry pension arising from rights acquired to 31 December 1993 by retired employees and active employees in service at that date. At 31 December 2022, the Group\u2019s residual obligations for these employees were recognised on the balance sheet in full. The de\ufb01ned-bene\ufb01t plans previously granted to some Group senior managers have all been closed to new employees and converted into top-up type schemes. The amounts allocated to residual bene\ufb01ciaries, subject to their presence within the Group at retirement, were \ufb01xed when these schemes were closed. At 31 December 2022, these pension plans were funded at 221% through insurance companies (148% at 31 December 2021). In the United Kingdom, de\ufb01ned-bene\ufb01t pension plans (pension funds) still exist but are closed to new employees. Under these plans, the de\ufb01ned pension is generally based on \ufb01nal salary and number of years of service. Pension schemes are managed by independent management bodies (Trustees). At 31 December 2022, obligations for all UK entities were 125% covered by \ufb01nancial assets, compared with 127% at 31 December 2021. In Switzerland, liabilities relate to top-up pension plans based on the principle of de\ufb01ned-contribution schemes with guaranteed returns, paying an annuity under pre-de\ufb01ned terms. These schemes are managed by a foundation. At 31 December 2022, obligations were 121% covered by \ufb01nancial assets, compared with 102% at 31 December 2021. In the United States, de\ufb01ned-bene\ufb01t pension plans are based on annual vesting rights to a lump sum comprising a pension expressed as a percentage of annual salary and paying interest at a pre-de\ufb01ned rate. These plans are closed to new entrants and have offered almost no new vesting rights. At 31 December 2022, the obligation was 85% covered by \ufb01nancial assets, (95% at 31 December 2021). In Germany, liabilities are mainly related to de\ufb01ned-bene\ufb01t pension plans, closed to new employees. Under these plans, the de\ufb01ned pension is generally based on the number of years of service and \ufb01nal salary. They offer the payment of an annuity under pre-de\ufb01ned terms. At 31 December 2022, the obligation was 70% covered by \ufb01nancial assets, (55% at 31 December 2021). In T\u00fcrkiye, the main pension plan replaces the national pension scheme and should eventually be transferred to the Turkish State. This plan offers guarantees exceeding the minimal legal requirements. At the end of 2022, obligations under this plan are fully funded by \ufb01nancial assets held with an external foundation; these \ufb01nancial assets exceeding the related obligations, this surplus is not recognised as an asset by the Group. Other post-employment benefits Group employees also receive various other contractual post-employment bene\ufb01ts, such as indemnities payable on retirement, determined according to minimal legal requirements (Labour Code, collective agreements) or according to speci\ufb01c company-level agreements. In France, the obligations for these bene\ufb01ts are funded through a contract held with a third-party insurer. At 31 December 2022, this obligation was 132% covered by \ufb01nancial assets, compared with 108% at 31 December 2021. In May 2021, IFRIC issued its decision on the method of assessing the liability to be recognised under certain post-employment bene\ufb01t plans. This decision modi\ufb01es the measurement of the obligations of the Group\u2019s French entities relating to indemnities payable on retirement, whose fee schedule is either capped in terms of total length of service, or composed of steps of incremental rights, or both, by specifying the timing of recording of the corresponding costs. Its implementation led, at 1 January 2021, to a decrease in the present value of the gross obligation of EUR 96 million, recognised as an increase in reserves for an after-tax amount of EUR 74 million. In other countries, the obligations of the Group related to other post-employment bene\ufb01ts are mainly concentrated in Italy, where vested rights up to 31 December 2006 were frozen. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 264 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Obligations under defined-benefit pension plans and indemnities payable on retirement \u27a4 ASSETS AND LIABILITIES RECOGNISED ON THE BALANCE SHEET In millions of euros, at 31 December 2022 De\ufb01ned- bene\ufb01t obligation arising from wholly or partially funded plans De\ufb01ned- bene\ufb01t obligation arising from unfunded plans Present value of de\ufb01ned- bene\ufb01t obligation Fair value of plan assets Fair value of reimbursement rights (1) Effect of asset ceiling Net obligation of which asset recognised in the balance sheet for de\ufb01ned-bene\ufb01t plans of which net assets of de\ufb01ned-bene\ufb01t plans of which fair value of reimbursement rights of which obligation recognised in the balance sheet for de\ufb01ned-bene\ufb01t plans Belgium 2,738 2,738 (124) (2,395) 219 (2,395) (2,395) 2,614 UK 1,067 1,067 (1,334) (267) (267) (267) Switzerland 979 979 (1,185) 208 2 2 France 845 62 907 (1,157) (250) (346) (346) 96 USA 467 64 531 (458) 73 (24) (24) 97 T\u00fcrkiye 139 63 202 (295) 157 64 64 Italy 182 182 182 182 Germany 93 45 138 (98) 40 (7) (7) 47 Others 379 51 430 (313) (2) 2 117 (13) (11) (2) 130 TOTAL 6,707 467 7,174 (4,964) (2,397) 367 180 (3,052) (655) (2,397) 3,232 of which continuing activities 6,391 404 6,795 (4,635) (2,397) 367 130 (3,030) (633) (2,397) 3,160 of which discontinued activities 316 63 379 (329) - - 50 (22) (22) - 72 In millions of euros, at 31 December 2021 De\ufb01ned- bene\ufb01t obligation arising from wholly or partially funded plans De\ufb01ned- bene\ufb01t obligation arising from unfunded plans Present value of de\ufb01ned- bene\ufb01t obligation Fair value of plan assets Fair value of reimbursement rights (1) Effect of asset ceiling Net obligation of which asset recognised in the balance sheet for de\ufb01ned-bene\ufb01t plans of which net assets of de\ufb01ned-bene\ufb01t plans of which fair value of reimbursement rights of which obligation recognised in the balance sheet for de\ufb01ned-bene\ufb01t plans Belgium 3,189 3,189 (157) (2,930) 102 (2,930) (2,930) 3,032 UK 1,769 1,769 (2,248) (479) (481) (481) 2 Switzerland 1,146 1,146 (1,172) 29 3 3 France 1,058 81 1,139 (1,175) (36) (191) (191) 155 USA 572 79 651 (579) 72 (16) (16) 88 T\u00fcrkiye 134 32 166 (238) 104 32 32 Italy 238 238 238 238 Germany 132 71 203 (112) 91 91 Others 504 55 559 (401) (2) 156 (8) (6) (2) 164 TOTAL 8,504 556 9,060 (6,082) (2,932) 133 179 (3,626) (694) (2,932) 3,805 of which continuing activities 8,129 479 8,608 (5,691) (2,932) 133 118 (3,609) (677) (2,932) 3,727 of which discontinued activities 375 77 452 (391) - - 61 (17) (17) - 78 (1) The reimbursement rights are principally found on the balance sheet of the Group\u2019s insurance subsidiaries and associated companies \u2013 notably AG Insurance with respect to BNP Paribas Fortis\u2019 de\ufb01ned-bene\ufb01t plan \u2013 to hedge their commitments to other Group entities that were transferred to them to cover the post-employment bene\ufb01ts of certain employee categories. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 265 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 CHANGE IN THE PRESENT VALUE OF THE DEFINED-BENEFIT OBLIGATION INCLUDING DISCONTINUED ACTIVITIES In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 PRESENT VALUE OF DEFINED-BENEFIT OBLIGATION AT START OF PERIOD 9,060 9,428 Current service cost 215 222 Interest cost 100 61 Past service cost (5) (1) Settlements (11) (25) Actuarial (gains)/losses on change in demographic assumptions 10 (24) Actuarial (gains)/losses on change in \ufb01nancial assumptions (1,985) (327) Actuarial (gains)/losses on experience gaps 341 195 Actual employee contributions 23 22 Bene\ufb01ts paid directly by the employer (101) (105) Bene\ufb01ts paid from assets/reimbursement rights (489) (419) Exchange rate (gains)/losses on obligation (25) 108 (Gains)/losses on obligation related to changes in the consolidation scope 41 21 Others (1) - (96) PRESENT VALUE OF DEFINED-BENEFIT OBLIGATION AT END OF PERIOD 7,174 9,060 (1) Impact of the May 2021 IFRIC decision. \u27a4 CHANGE IN THE FAIR VALUE OF PLAN ASSETS AND REIMBURSEMENT RIGHTS INCLUDING DISCONTINUED ACTIVITIES In millions of euros Plan assets Reimbursement rights Year to 31 Dec. 2022 Year to 31 Dec. 2021 Year to 31 Dec. 2022 Year to 31 Dec. 2021 FAIR VALUE OF ASSETS AT START OF PERIOD 6,082 5,870 2,932 3,050 Expected return on assets 99 73 13 2 Settlements (21) (26) Actuarial gains/(losses) on assets (938) 216 (548) (29) Actual employee contributions 13 13 10 9 Employer contributions 54 65 198 98 Bene\ufb01ts paid from assets (257) (220) (232) (199) Exchange rate gains/(losses) on assets (64) 70 Gains/(losses) on assets related to changes in the consolidation scope (4) 21 24 1 FAIR VALUE OF ASSETS AT END OF PERIOD 4,964 6,082 2,397 2,932 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 266 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 COMPONENTS OF THE COST OF DEFINED-BENEFIT PLANS In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Service costs 220 222 Current service cost 215 222 Past service cost (5) (1) Settlements 10 1 Net \ufb01nancial expense 6 9 Interest cost 100 61 Interest income on plan asset 18 23 Interest income on reimbursement rights (99) (73) Expected return on asset ceiling (13) (2) TOTAL RECOGNISED IN SALARY AND EMPLOYEE BENEFIT EXPENSE 226 231 of which continuing activities 222 228 of which discontinued activities 4 3 \u27a4 OTHER ITEMS RECOGNISED DIRECTLY IN EQUITY In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Actuarial (losses)/gains on plan assets or reimbursement rights (1,486) 187 Actuarial (losses)/gains of demographic assumptions on the present value of obligations (10) 24 Actuarial (losses)/gains of \ufb01nancial assumptions on the present value of obligations 1,985 327 Experience (losses)/gains on obligations (341) (195) Variation of the effect of assets limitation (263) 27 TOTAL OF OTHER ITEMS RECOGNISED DIRECTLY IN EQUITY (115) 370 of which continuing activities (127) 350 of which discontinued activities 12 20 \u27a4 MAIN ACTUARIAL ASSUMPTIONS USED TO CALCULATE OBLIGATIONS In the eurozone, United Kingdom and United States, the Group discounts its obligations using the yields of high quality corporate bonds, with a term consistent with the duration of the obligations. The ranges of rates used are as follows: In % 31 December 2022 31 December 2021 Discount rate Compensation increase rate (1) Discount rate Compensation increase rate (1) Belgium 1.90% / 3.80% 3.30% / 5.00% 0.00% / 1.10% 2.90% / 3.60% UK 3.50% / 4.90% 2.00% / 3.30% 1.30% / 1.90% 2.00% / 3.50% France 3.30% / 3.80% 2.10% / 3.65% 0.10% / 1.10% 1.40% / 3.25% Switzerland 2.00% / 2.15% 1,75% / 2,00% 0.20% / 0.30% 1.50% USA 4.90% / 5.00% 2.50% 2.60% / 2.90% 2.50% Italy 1.90% / 3.60% 2.10% / 3.20% 0.30% / 1.00% 1.80% / 2.50% Germany 2.30% / 3.80% 2.00% / 2.90% 0.60% / 1.10% 1.80% / 2.50% T\u00fcrkiye 10.60% 8.50% 20.01% 17.03% (1) Including price increases (in\ufb02ation). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 267 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Average discount rates weighted by obligation amounts are as follows: \u25a0 in the eurozone: 3.54% at 31 December 2022 (0.60% at 31 December 2021); \u25a0 in the United Kingdom: 4.78% at 31 December 2022 (1.88% at 31 December 2021); \u25a0 in Switzerland: 2.15% at 31 December 2022 (0.30% at 31 December 2021). The impact of a 100-bps change in discount rates on the present value of post-employment bene\ufb01t obligations is as follows: Change in the present value of obligations In millions of euros 31 December 2022 31 December 2021 Discount rate -100 bps Discount rate +100 bps Discount rate -100 bps Discount rate +100 bps Belgium 201 (175) 327 (266) UK 187 (147) 403 (302) France 92 (78) 129 (107) Switzerland 133 (107) 177 (140) USA 18 (15) 30 (24) Italy 12 (11) 18 (16) Germany 26 (20) 41 (32) T\u00fcrkiye 13 (10) 15 (12) In\ufb02ation assumptions used for the valuations of the Group obligations are determined locally depending on the monetary area, except for the eurozone for which the assumption is determined centrally. Average discount rates weighted by obligation amounts are as follows: \u25a0 in the eurozone: 2.43% at 31 December 2022 (1.76% at 31 December 2021); \u25a0 in the United Kingdom: 3.03% at 31 December 2022 (2.90% at 31 December 2021); \u25a0 in Switzerland: 1.25% at 31 December 2022 (1.00% at 31 December 2021). The impact of a +100-bps increase in in\ufb02ation rates on the present value of post-employment bene\ufb01t obligations is as follows: Change in the present value of obligations In millions of euros 31 December 2022 31 December 2021 In\ufb02ation rate +100 bps In\ufb02ation rate +100 bps Belgium 148 188 UK 126 256 France 92 125 Switzerland 8 11 USA 0 0 Italy 8 12 Germany 14 7 T\u00fcrkiye 12 18 Variation effects of discount and in\ufb02ation rates presented above are not cumulative. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 268 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 ACTUAL RATE OF RETURN ON PLAN ASSETS AND REIMBURSEMENT RIGHTS OVER THE PERIOD In % Year to 31 Dec. 2022 Year to 31 Dec. 2021 Range of value (re\ufb02ecting the existence of several plans in the same country) Weighted average rates Range of value (re\ufb02ecting the existence of several plans in the same country) Weighted average rates Belgium -18.75% / 6.30% -12.65% -5.65% / 13.35% 0.45% UK -38.30% / 0% -34.60% 6.60% / 14.80% 7.70% France 2.60% 2.60% 2.00% 2.00% Switzerland -15.85% / 1% 0.50% 1.00% / 9.45% 7.85% USA -29.75% / -16.75% -28.90% 2.00% 2.00% Germany -26.15% / 1.30% -11.20% -6.65% / 5.25% 4.60% T\u00fcrkiye 40.80% 40.80% 20.60% 20.60% \u27a4 BREAKDOWN OF PLAN ASSETS In % 31 December 2022 31 December 2021 Shares Govern- mental bonds Non- Governmen- tal bonds Real- estate Deposit account Others Shares Govern- mental bonds Non- Governmen- tal bonds Real- estate Deposit account Others Belgium 8% 48% 20% 1% 0% 23% 7% 53% 14% 1% 0% 25% UK 7% 65% 13% 0% 2% 13% 8% 72% 8% 0% 2% 10% France (1) 8% 60% 18% 13% 1% 0% 7% 69% 16% 8% 0% 0% Switzerland 32% 0% 23% 21% 3% 20% 36% 0% 26% 20% 4% 14% USA 19% 18% 58% 0% 1% 4% 18% 0% 73% 1% 6% 2% Germany 25% 64% 0% 0% 3% 9% 23% 66% 0% 0% 2% 9% T\u00fcrkiye 0% 59% 0% 3% 30% 7% 0% 0% 0% 4% 93% 3% Others 10% 18% 12% 2% 2% 57% 9% 17% 10% 2% 2% 60% GROUP 12% 44% 18% 6% 2% 18% 11% 49% 15% 4% 4% 17% (1) In France, the breakdown of plan assets re\ufb02ects the breakdown of the general fund of the insurance company through which the Group\u2019s obligations are funded. The Group introduced an asset management governance for assets backing de\ufb01ned-bene\ufb01t pension plan commitments, the main objectives of which are the management and control of the risks in terms of investment. It sets out investment principles, in particular, by de\ufb01ning an investment strategy for plan assets, based on \ufb01nancial objectives and \ufb01nancial risk management, to specify the way in which plan assets have to be managed, via \ufb01nancial management servicing contracts. The investment strategy is based on an assets and liabilities management analysis that should be realised at least every three years for plans with assets in excess of EUR 100 million. Post-employment healthcare benefits The Group offers some healthcare bene\ufb01t plans for retired employees, mainly in Belgium. The present value of post-employment healthcare bene\ufb01t obligations stood at EUR 83 million at 31 December 2022, compared with EUR 115 million at 31 December 2021. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 269 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements6.c OTHER LONG-TERM BENEFITS BNP Paribas offers its employees various long-term bene\ufb01ts, mainly long-service awards, the ability to save up paid annual leave in time savings accounts, and certain guarantees protecting them in the event they become incapacitated. The net provision amounted to EUR 453 million at 31 December 2022 (EUR 457 million at 31 December 2021). As part of the Group\u2019s variable compensation policy, annual deferred compensation plans are set up for certain high-performing employees or pursuant to special regulatory frameworks. Under these plans, payment is deferred over time and is subject to the performance achieved by the business lines, divisions and Group. Since 2013, BNP Paribas has introduced a Group loyalty scheme with a cash payment, at the end of a three-year to four-year vesting period, which \ufb02uctuates according to the Group\u2019s intrinsic performance. The aim of this loyalty scheme is to make different categories of managerial staff partners in the Group\u2019s development and pro\ufb01tability objectives. These personnels are representative of the Group\u2019s talent and the breadth of its managerial framework i.e., senior managers, managers in key positions, line managers and experts, high-potential managers, high-performing young executives with good career development prospects and key contributors to the Group\u2019s results. The amounts allocated under this plan are linked to changes in the Group\u2019s operational performance over the duration of the plan (for 80%) and to the achievement of the Group\u2019s Corporate Social Responsibility (CSR) targets (for 20%). These ten targets are in line with the four pillars on which the Group\u2019s CSR policy is based. In addition, the \ufb01nal payment is subject to continuous service within the Group between the grant date and the payment date, provided that the Group\u2019s operating income and pre-tax income for the year prior to payment are strictly positive. For employees subject to special regulatory frameworks, this loyalty scheme is adjusted in accordance with the CRD European Directive. The net obligation related to deferred compensation plans and loyalty schemes amounts to EUR 1,017 million at 31 December 2022 (EUR 817 million at 31 December 2021). In millions of euros 31 December 2022 31 December 2021 Net provisions for other long-term bene\ufb01ts 1,470 1,274 Asset recognised in the balance sheet under the other long-term bene\ufb01ts (76) (90) Obligation recognised in the balance sheet under the other long-term bene\ufb01ts 1,546 1,364 6.d TERMINATION BENEFITS BNP Paribas has implemented a number of voluntary redundancy plans and headcount adaptation plans for employees who meet certain eligibility criteria. The obligations to eligible active employees under such plans are provided for as soon as a bilateral agreement or a bilateral agreement proposal for a particular plan is made. In millions of euros 31 December 2022 31 December 2021 Provision for voluntary departure, early retirement plans, and headcount adaptation plans 270 355 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 270 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements6.e SHARE-BASED PAYMENTS As part of the Group\u2019s variable remuneration policy, deferred annual compensation plans offered to certain high-performing employees or set up pursuant to special regulatory frameworks may entitle bene\ufb01ciaries to variable compensation settled in cash but linked to the share price, payable over several years. Variable compensation for employees, subject to special regulatory frameworks Since the publication of the Decree by the French Ministry of Finance on 13 December 2010, and following the provisions of the European Directive CRD4 of 26 July 2013, modi\ufb01ed by the CRD 5 Directive of 20 May 2019, transposed into the French law in the Monetary and Financial Code by the Ordinance of 20 February 2014, and the Ordinance of 21 December 2020, as well as the Decrees and Orders of 3 November 2014 and 22 December 2020 and the delegated European regulation of 25 March 2021, the variable compensation plans apply to Group employees performing activities that may have a material impact on the Group\u2019s risk pro\ufb01le. Under these plans, payment is deferred over time and is contingent on the performance achieved by the business lines, core businesses and Group. Sums will mostly be paid in cash linked to the increase or decrease in the BNP Paribas share price. Deferred variable compensation for other Group employees Sums due under the annual deferred compensation plans for high-performing employees are partly paid in cash linked to the increase or decrease in the BNP Paribas share price. \u27a4 EXPENSE OF SHARE-BASED PAYMENTS Expense/(revenue) in millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Prior deferred compensation plans (116) 67 Deferred compensation plans for the year 614 530 TOTAL 498 597 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 271 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfEmployeeBenefitsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9671": {
   "value": "1.j EMPLOYEE BENEFITS Employee bene\ufb01ts are classi\ufb01ed in one of four following categories: \u25a0 short-term bene\ufb01ts, such as salary, annual leave, incentive plans, pro\ufb01t-sharing and additional payments; \u25a0 long-term bene\ufb01ts, including compensated absences, long-service awards, and other types of cash-based deferred compensation; \u25a0 termination bene\ufb01ts; \u25a0 post-employment bene\ufb01ts, including top-up banking industry pensions and retirement bonuses in France and pension plans in other countries, some of which are operated through pension funds. Short-term benefits The Group recognises an expense when it has used services rendered by employees in exchange for employee bene\ufb01ts. Long-term benefits These are bene\ufb01ts, other than short-term bene\ufb01ts, post-employment bene\ufb01ts and termination bene\ufb01ts. This relates, in particular, to compensation deferred for more than 12 months and not linked to the BNP Paribas share price, which is accrued in the \ufb01nancial statements for the period in which it is earned. The actuarial techniques used are similar to those used for de\ufb01ned-bene\ufb01t post-employment bene\ufb01ts, except that the revaluation items are recognised in the pro\ufb01t and loss account and not in equity. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 208 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Termination benefits Termination bene\ufb01ts are employee bene\ufb01ts payable in exchange for the termination of an employee\u2019s contract as a result of either a decision by the Group to terminate a contract of employment before the legal retirement age, or a decision by an employee to accept voluntary redundancy in exchange for these bene\ufb01ts. Termination bene\ufb01ts due more than 12 months after the balance sheet date are discounted. Post-employment benefits In accordance with IFRS, the BNP Paribas Group draws a distinction between de\ufb01ned-contribution plans and de\ufb01ned-bene\ufb01t plans. De\ufb01ned-contribution plans do not give rise to an obligation for the Group and do not require a provision. The amount of the employer\u2019s contributions payable during the period is recognised as an expense. Only de\ufb01ned-bene\ufb01t schemes give rise to an obligation for the Group. This obligation must be measured and recognised as a liability by means of a provision. The classi\ufb01cation of plans into these two categories is based on the economic substance of the plan, which is reviewed to determine whether the Group has a legal or constructive obligation to pay the agreed bene\ufb01ts to employees. Post-employment bene\ufb01t obligations under de\ufb01ned-bene\ufb01t plans are measured using actuarial techniques that take demographic and \ufb01nancial assumptions into account. The net liability recognised with respect to post-employment bene\ufb01t plans is the difference between the present value of the de\ufb01ned-bene\ufb01t obligation and the fair value of any plan assets. The present value of the de\ufb01ned-bene\ufb01t obligation is measured on the basis of the actuarial assumptions applied by the Group, using the projected unit credit method. This method takes into account various parameters, speci\ufb01c to each country or Group entity, such as demographic assumptions, the probability that employees will leave before retirement age, salary in\ufb02ation, a discount rate, and the general in\ufb02ation rate. When the value of the plan assets exceeds the amount of the obligation, an asset is recognised if it represents a future economic bene\ufb01t for the Group in the form of a reduction in future contributions or a future partial refund of amounts paid into the plan. The annual expense recognised in the pro\ufb01t and loss account under \u201cSalaries and employee bene\ufb01ts\u201d, with respect to de\ufb01ned-bene\ufb01t plans includes the current service cost (the rights vested by each employee during the period in return for service rendered), the net interests linked to the effect of discounting the net de\ufb01ned-bene\ufb01t liability (asset), the past service cost arising from plan amendments or curtailments, and the effect of any plan settlements. Remeasurements of the net de\ufb01ned-bene\ufb01t liability (asset) are recognised in shareholders\u2019 equity and are never reclassi\ufb01ed to pro\ufb01t or loss. They include actuarial gains and losses, the return on plan assets and any change in the effect of the asset ceiling (excluding amounts included in net interest on the de\ufb01ned-bene\ufb01t liability or asset).1.k SHARE-BASED PAYMENTS Share-based payment transactions are payments based on shares issued by the Group, whether the transaction is settled in the form of equity or cash of which the amount is based on trends in the value of BNP Paribas shares. Stock option and share award plans The expense related to stock option and share award plans is recognised over the vesting period, if the bene\ufb01t is conditional upon the grantee\u2019s continued employment. Stock options and share award expenses are recorded under salary and employee bene\ufb01ts expenses, with a corresponding adjustment to shareholders\u2019 equity. They are calculated on the basis of the overall plan value, determined at the date of grant by the Board of directors. In the absence of any market for these instruments, \ufb01nancial valuation models are used that take into account any performance conditions related to the BNP Paribas share price. The total expense of a plan is determined by multiplying the unit value per option or share awarded by the estimated number of options or shares awarded vested at the end of the vesting period, taking into account the conditions regarding the grantee\u2019s continued employment. The only assumptions revised during the vesting period, and hence resulting in a remeasurement of the expense, are those relating to the probability that employees will leave the Group and those relating to performance conditions that are not linked to the price value of BNP Paribas shares. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 209 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Share price-linked cash-settled deferred compensation plans The expense related to these plans is recognised in the year during which the employee rendered the corresponding services. If the payment of share-based variable compensation is explicitly subject to the employee\u2019s continued presence at the vesting date, the services are presumed to have been rendered during the vesting period and the corresponding compensation expense is recognised on a pro rata basis over that period. The expense is recognised under salary and employee bene\ufb01ts expenses with a corresponding liability in the balance sheet. It is revised to take into account any non-ful\ufb01lment of the continued presence or performance conditions and the change in BNP Paribas share price. If there is no continued presence condition, the expense is not deferred, but recognised immediately with a corresponding liability in the balance sheet. This is then revised on each reporting date until settlement to take into account any performance conditions and the change in the BNP Paribas share price.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForEmployeeBenefitsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9600": {
   "value": "1.k SHARE-BASED PAYMENTS Share-based payment transactions are payments based on shares issued by the Group, whether the transaction is settled in the form of equity or cash of which the amount is based on trends in the value of BNP Paribas shares. Stock option and share award plans The expense related to stock option and share award plans is recognised over the vesting period, if the bene\ufb01t is conditional upon the grantee\u2019s continued employment. Stock options and share award expenses are recorded under salary and employee bene\ufb01ts expenses, with a corresponding adjustment to shareholders\u2019 equity. They are calculated on the basis of the overall plan value, determined at the date of grant by the Board of directors. In the absence of any market for these instruments, \ufb01nancial valuation models are used that take into account any performance conditions related to the BNP Paribas share price. The total expense of a plan is determined by multiplying the unit value per option or share awarded by the estimated number of options or shares awarded vested at the end of the vesting period, taking into account the conditions regarding the grantee\u2019s continued employment. The only assumptions revised during the vesting period, and hence resulting in a remeasurement of the expense, are those relating to the probability that employees will leave the Group and those relating to performance conditions that are not linked to the price value of BNP Paribas shares. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 209 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Share price-linked cash-settled deferred compensation plans The expense related to these plans is recognised in the year during which the employee rendered the corresponding services. If the payment of share-based variable compensation is explicitly subject to the employee\u2019s continued presence at the vesting date, the services are presumed to have been rendered during the vesting period and the corresponding compensation expense is recognised on a pro rata basis over that period. The expense is recognised under salary and employee bene\ufb01ts expenses with a corresponding liability in the balance sheet. It is revised to take into account any non-ful\ufb01lment of the continued presence or performance conditions and the change in BNP Paribas share price. If there is no continued presence condition, the expense is not deferred, but recognised immediately with a corresponding liability in the balance sheet. This is then revised on each reporting date until settlement to take into account any performance conditions and the change in the BNP Paribas share price.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForSharebasedPaymentTransactionsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-4117": {
   "value": "1.k SHARE-BASED PAYMENTS Share-based payment transactions are payments based on shares issued by the Group, whether the transaction is settled in the form of equity or cash of which the amount is based on trends in the value of BNP Paribas shares. Stock option and share award plans The expense related to stock option and share award plans is recognised over the vesting period, if the bene\ufb01t is conditional upon the grantee\u2019s continued employment. Stock options and share award expenses are recorded under salary and employee bene\ufb01ts expenses, with a corresponding adjustment to shareholders\u2019 equity. They are calculated on the basis of the overall plan value, determined at the date of grant by the Board of directors. In the absence of any market for these instruments, \ufb01nancial valuation models are used that take into account any performance conditions related to the BNP Paribas share price. The total expense of a plan is determined by multiplying the unit value per option or share awarded by the estimated number of options or shares awarded vested at the end of the vesting period, taking into account the conditions regarding the grantee\u2019s continued employment. The only assumptions revised during the vesting period, and hence resulting in a remeasurement of the expense, are those relating to the probability that employees will leave the Group and those relating to performance conditions that are not linked to the price value of BNP Paribas shares. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 209 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Share price-linked cash-settled deferred compensation plans The expense related to these plans is recognised in the year during which the employee rendered the corresponding services. If the payment of share-based variable compensation is explicitly subject to the employee\u2019s continued presence at the vesting date, the services are presumed to have been rendered during the vesting period and the corresponding compensation expense is recognised on a pro rata basis over that period. The expense is recognised under salary and employee bene\ufb01ts expenses with a corresponding liability in the balance sheet. It is revised to take into account any non-ful\ufb01lment of the continued presence or performance conditions and the change in BNP Paribas share price. If there is no continued presence condition, the expense is not deferred, but recognised immediately with a corresponding liability in the balance sheet. This is then revised on each reporting date until settlement to take into account any performance conditions and the change in the BNP Paribas share price.6.e SHARE-BASED PAYMENTS As part of the Group\u2019s variable remuneration policy, deferred annual compensation plans offered to certain high-performing employees or set up pursuant to special regulatory frameworks may entitle bene\ufb01ciaries to variable compensation settled in cash but linked to the share price, payable over several years. Variable compensation for employees, subject to special regulatory frameworks Since the publication of the Decree by the French Ministry of Finance on 13 December 2010, and following the provisions of the European Directive CRD4 of 26 July 2013, modi\ufb01ed by the CRD 5 Directive of 20 May 2019, transposed into the French law in the Monetary and Financial Code by the Ordinance of 20 February 2014, and the Ordinance of 21 December 2020, as well as the Decrees and Orders of 3 November 2014 and 22 December 2020 and the delegated European regulation of 25 March 2021, the variable compensation plans apply to Group employees performing activities that may have a material impact on the Group\u2019s risk pro\ufb01le. Under these plans, payment is deferred over time and is contingent on the performance achieved by the business lines, core businesses and Group. Sums will mostly be paid in cash linked to the increase or decrease in the BNP Paribas share price. Deferred variable compensation for other Group employees Sums due under the annual deferred compensation plans for high-performing employees are partly paid in cash linked to the increase or decrease in the BNP Paribas share price. \u27a4 EXPENSE OF SHARE-BASED PAYMENTS Expense/(revenue) in millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Prior deferred compensation plans (116) 67 Deferred compensation plans for the year 614 530 TOTAL 498 597 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 271 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfSharebasedPaymentArrangementsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9601": {
   "value": "1.l PROVISIONS RECORDED UNDER LIABILITIES Provisions recorded under liabilities (other than those relating to \ufb01nancial instruments, employee bene\ufb01ts and insurance contracts) mainly relate to restructuring, claims and litigation, \ufb01nes and penalties. A provision is recognised when it is probable that an out\ufb02ow of resources embodying economic bene\ufb01ts will be required to settle an obligation arising from a past event, and a reliable estimate can be made of the amount of the obligation. The amount of such obligations is discounted, where the impact of discounting is material, in order to determine the amount of the provision.",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForProvisionsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-4215": {
   "value": "1.l PROVISIONS RECORDED UNDER LIABILITIES Provisions recorded under liabilities (other than those relating to \ufb01nancial instruments, employee bene\ufb01ts and insurance contracts) mainly relate to restructuring, claims and litigation, \ufb01nes and penalties. A provision is recognised when it is probable that an out\ufb02ow of resources embodying economic bene\ufb01ts will be required to settle an obligation arising from a past event, and a reliable estimate can be made of the amount of the obligation. The amount of such obligations is discounted, where the impact of discounting is material, in order to determine the amount of the provision.4.p PROVISIONS FOR CONTINGENCIES AND CHARGES \u27a4 PROVISIONS FOR CONTINGENCIES AND CHARGES BY TYPE In millions of euros 31 December 2021 Net additions to provisions Provisions used Changes in value recognised directly in  equity Effect of movements in exchange rates and other movements 31 December 2022 Provisions for employee bene\ufb01ts 6,532 1,256 (1,254) (640) 223 6,117 of which post-employment bene\ufb01ts (note 6.b) 3,727 235 (369) (604) 171 3,160 of which post-employment healthcare bene\ufb01ts (note 6.b) 115 7 (2) (37) 83 of which provision for other long- term bene\ufb01ts (note 6.c) 1,364 498 (345) 29 1,546 of which provision for voluntary departure, early retirement plans, and headcount adaptation plan (note 6.d) 355 18 (113) 10 270 of which provision for share-based payments (note 6.e) 970 498 (423) 14 1,059 Provisions for home savings accounts and plans 93 (46) 47 Provisions for credit commitments (note 2.h) 1,425 70 (71) 6 1,430 Provisions for litigations 992 369 (215) 26 1,172 Other provisions for contingencies and charges 1,145 228 (128) 29 1,274 TOTAL PROVISIONS FOR CONTINGENCIES AND CHARGES 10,187 1,877 (1,668) (640) 284 10,040 \u27a4 PROVISIONS AND DISCOUNT FOR HOME SAVINGS ACCOUNTS AND PLANS In millions of euros 31 December 2022 31 December 2021 Deposits collected under home savings accounts and plans 16,547 17,378 of which deposits collected under home savings plans 14,409 15,239 Aged more than 10 years 6,332 5,652 Aged between 4 and 10 years 7,227 8,108 Aged less than 4 years 850 1,479 Outstanding loans granted under home savings accounts and plans 10 23 of which loans granted under home savings plans 2 4 Provisions and discount recognised for home savings accounts and plans 47 93 provisions recognised for home savings plans 42 93 provisions recognised for home savings accounts 5 - discount recognised for home savings accounts and plans - - 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 256 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements6.b POST-EMPLOYMENT BENEFITS IAS 19 distinguishes between two categories of plans, each handled differently depending on the risk incurred by the entity. When the entity is only committed to paying a \ufb01xed amount, stated as a percentage of the bene\ufb01ciary\u2019s annual salary, for example, to an external entity handling payment of the bene\ufb01ts based on the assets available for each plan member, it is described as a de\ufb01ned-contribution plan. Conversely, when the entity\u2019s obligation is to manage the \ufb01nancial assets funded through the collection of contributions from employees and to bear the cost of bene\ufb01ts itself or to guarantee the \ufb01nal amount subject to future events, it is described as a de\ufb01ned-bene\ufb01t plan. The same applies if the entity entrusts management of the collection of premiums and payment of bene\ufb01ts to a separate entity, but retains the risk arising from management of the assets and/or from future changes in the bene\ufb01ts. Main Defined-contribution pension plans for Group entities The BNP Paribas Group has implemented over the past few years a wide campaign of converting de\ufb01ned-bene\ufb01t plans into de\ufb01ned-contribution plans. Thus, in France, the BNP Paribas Group pays contributions to various nationwide basic and top-up pension schemes. BNP Paribas SA and certain subsidiaries have set up a funded pension plan under a company-wide agreement. Under this plan, employees will receive an annuity on retirement in addition to the pension paid by nationwide schemes. Since de\ufb01ned-bene\ufb01t plans have been closed to new employees in most countries outside France, they are offered the bene\ufb01t of joining de\ufb01ned- contribution pension plans. The amount paid into de\ufb01ned-contribution post-employment plans for the year ended 31 December 2022 was EUR 720 million, compared with EUR 670 million for the year ended 31 December 2021. The breakdown by major contributors is determined as follows: Contribution amount In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 France 353 349 Italy 90 94 UK 64 56 T\u00fcrkiye 26 25 Hong Kong 26 22 Luxembourg 28 22 USA 25 11 Others 108 91 TOTAL 720 670 In Italy, the plan introduced by BNL is funded by employer contributions (4.2% of salaries) and employee contributions (2% of salaries). Employees can also make additional voluntary contributions. In the United Kingdom, the employer contributes 12% of salaries for the majority of employees; employees can make additional voluntary contributions. In the US, the bank matches the voluntary contributions made by employees, within certain limits. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 263 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statementsMain defined-benefit pension plans for Group entities and indemnities payable on retirement Defined-benefit plans In Belgium, BNP Paribas Fortis funds a de\ufb01ned-bene\ufb01t plan, based on \ufb01nal salary and number of years of service, for its management and employees who joined the bank before its pension plans were harmonised on 1 January 2002. Actuarial liabilities under this scheme are pre-funded at 88% at 31 December 2022 (compared with 93% at 31 December 2021) through AG Insurance, in which the BNP Paribas Group owns a 25% equity interest. BNP Paribas Fortis senior managers are covered by a top-up pension plan, paying a lump sum based on the number of years of service and \ufb01nal salary. This plan is pre-funded at 90% at 31 December 2022 (100% at 31 December 2021) through insurance companies. In Belgium, employees bene\ufb01t from a de\ufb01ned-contribution scheme with a legal obligation for the employer to guarantee a minimum return on \ufb01nancial assets invested. Thus, a provision was recognised for these schemes, as this guarantee is not entirely covered by the insurance company. In France, BNP Paribas pays a top-up banking industry pension arising from rights acquired to 31 December 1993 by retired employees and active employees in service at that date. At 31 December 2022, the Group\u2019s residual obligations for these employees were recognised on the balance sheet in full. The de\ufb01ned-bene\ufb01t plans previously granted to some Group senior managers have all been closed to new employees and converted into top-up type schemes. The amounts allocated to residual bene\ufb01ciaries, subject to their presence within the Group at retirement, were \ufb01xed when these schemes were closed. At 31 December 2022, these pension plans were funded at 221% through insurance companies (148% at 31 December 2021). In the United Kingdom, de\ufb01ned-bene\ufb01t pension plans (pension funds) still exist but are closed to new employees. Under these plans, the de\ufb01ned pension is generally based on \ufb01nal salary and number of years of service. Pension schemes are managed by independent management bodies (Trustees). At 31 December 2022, obligations for all UK entities were 125% covered by \ufb01nancial assets, compared with 127% at 31 December 2021. In Switzerland, liabilities relate to top-up pension plans based on the principle of de\ufb01ned-contribution schemes with guaranteed returns, paying an annuity under pre-de\ufb01ned terms. These schemes are managed by a foundation. At 31 December 2022, obligations were 121% covered by \ufb01nancial assets, compared with 102% at 31 December 2021. In the United States, de\ufb01ned-bene\ufb01t pension plans are based on annual vesting rights to a lump sum comprising a pension expressed as a percentage of annual salary and paying interest at a pre-de\ufb01ned rate. These plans are closed to new entrants and have offered almost no new vesting rights. At 31 December 2022, the obligation was 85% covered by \ufb01nancial assets, (95% at 31 December 2021). In Germany, liabilities are mainly related to de\ufb01ned-bene\ufb01t pension plans, closed to new employees. Under these plans, the de\ufb01ned pension is generally based on the number of years of service and \ufb01nal salary. They offer the payment of an annuity under pre-de\ufb01ned terms. At 31 December 2022, the obligation was 70% covered by \ufb01nancial assets, (55% at 31 December 2021). In T\u00fcrkiye, the main pension plan replaces the national pension scheme and should eventually be transferred to the Turkish State. This plan offers guarantees exceeding the minimal legal requirements. At the end of 2022, obligations under this plan are fully funded by \ufb01nancial assets held with an external foundation; these \ufb01nancial assets exceeding the related obligations, this surplus is not recognised as an asset by the Group. Other post-employment benefits Group employees also receive various other contractual post-employment bene\ufb01ts, such as indemnities payable on retirement, determined according to minimal legal requirements (Labour Code, collective agreements) or according to speci\ufb01c company-level agreements. In France, the obligations for these bene\ufb01ts are funded through a contract held with a third-party insurer. At 31 December 2022, this obligation was 132% covered by \ufb01nancial assets, compared with 108% at 31 December 2021. In May 2021, IFRIC issued its decision on the method of assessing the liability to be recognised under certain post-employment bene\ufb01t plans. This decision modi\ufb01es the measurement of the obligations of the Group\u2019s French entities relating to indemnities payable on retirement, whose fee schedule is either capped in terms of total length of service, or composed of steps of incremental rights, or both, by specifying the timing of recording of the corresponding costs. Its implementation led, at 1 January 2021, to a decrease in the present value of the gross obligation of EUR 96 million, recognised as an increase in reserves for an after-tax amount of EUR 74 million. In other countries, the obligations of the Group related to other post-employment bene\ufb01ts are mainly concentrated in Italy, where vested rights up to 31 December 2006 were frozen. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 264 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Obligations under defined-benefit pension plans and indemnities payable on retirement \u27a4 ASSETS AND LIABILITIES RECOGNISED ON THE BALANCE SHEET In millions of euros, at 31 December 2022 De\ufb01ned- bene\ufb01t obligation arising from wholly or partially funded plans De\ufb01ned- bene\ufb01t obligation arising from unfunded plans Present value of de\ufb01ned- bene\ufb01t obligation Fair value of plan assets Fair value of reimbursement rights (1) Effect of asset ceiling Net obligation of which asset recognised in the balance sheet for de\ufb01ned-bene\ufb01t plans of which net assets of de\ufb01ned-bene\ufb01t plans of which fair value of reimbursement rights of which obligation recognised in the balance sheet for de\ufb01ned-bene\ufb01t plans Belgium 2,738 2,738 (124) (2,395) 219 (2,395) (2,395) 2,614 UK 1,067 1,067 (1,334) (267) (267) (267) Switzerland 979 979 (1,185) 208 2 2 France 845 62 907 (1,157) (250) (346) (346) 96 USA 467 64 531 (458) 73 (24) (24) 97 T\u00fcrkiye 139 63 202 (295) 157 64 64 Italy 182 182 182 182 Germany 93 45 138 (98) 40 (7) (7) 47 Others 379 51 430 (313) (2) 2 117 (13) (11) (2) 130 TOTAL 6,707 467 7,174 (4,964) (2,397) 367 180 (3,052) (655) (2,397) 3,232 of which continuing activities 6,391 404 6,795 (4,635) (2,397) 367 130 (3,030) (633) (2,397) 3,160 of which discontinued activities 316 63 379 (329) - - 50 (22) (22) - 72 In millions of euros, at 31 December 2021 De\ufb01ned- bene\ufb01t obligation arising from wholly or partially funded plans De\ufb01ned- bene\ufb01t obligation arising from unfunded plans Present value of de\ufb01ned- bene\ufb01t obligation Fair value of plan assets Fair value of reimbursement rights (1) Effect of asset ceiling Net obligation of which asset recognised in the balance sheet for de\ufb01ned-bene\ufb01t plans of which net assets of de\ufb01ned-bene\ufb01t plans of which fair value of reimbursement rights of which obligation recognised in the balance sheet for de\ufb01ned-bene\ufb01t plans Belgium 3,189 3,189 (157) (2,930) 102 (2,930) (2,930) 3,032 UK 1,769 1,769 (2,248) (479) (481) (481) 2 Switzerland 1,146 1,146 (1,172) 29 3 3 France 1,058 81 1,139 (1,175) (36) (191) (191) 155 USA 572 79 651 (579) 72 (16) (16) 88 T\u00fcrkiye 134 32 166 (238) 104 32 32 Italy 238 238 238 238 Germany 132 71 203 (112) 91 91 Others 504 55 559 (401) (2) 156 (8) (6) (2) 164 TOTAL 8,504 556 9,060 (6,082) (2,932) 133 179 (3,626) (694) (2,932) 3,805 of which continuing activities 8,129 479 8,608 (5,691) (2,932) 133 118 (3,609) (677) (2,932) 3,727 of which discontinued activities 375 77 452 (391) - - 61 (17) (17) - 78 (1) The reimbursement rights are principally found on the balance sheet of the Group\u2019s insurance subsidiaries and associated companies \u2013 notably AG Insurance with respect to BNP Paribas Fortis\u2019 de\ufb01ned-bene\ufb01t plan \u2013 to hedge their commitments to other Group entities that were transferred to them to cover the post-employment bene\ufb01ts of certain employee categories. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 265 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 CHANGE IN THE PRESENT VALUE OF THE DEFINED-BENEFIT OBLIGATION INCLUDING DISCONTINUED ACTIVITIES In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 PRESENT VALUE OF DEFINED-BENEFIT OBLIGATION AT START OF PERIOD 9,060 9,428 Current service cost 215 222 Interest cost 100 61 Past service cost (5) (1) Settlements (11) (25) Actuarial (gains)/losses on change in demographic assumptions 10 (24) Actuarial (gains)/losses on change in \ufb01nancial assumptions (1,985) (327) Actuarial (gains)/losses on experience gaps 341 195 Actual employee contributions 23 22 Bene\ufb01ts paid directly by the employer (101) (105) Bene\ufb01ts paid from assets/reimbursement rights (489) (419) Exchange rate (gains)/losses on obligation (25) 108 (Gains)/losses on obligation related to changes in the consolidation scope 41 21 Others (1) - (96) PRESENT VALUE OF DEFINED-BENEFIT OBLIGATION AT END OF PERIOD 7,174 9,060 (1) Impact of the May 2021 IFRIC decision. \u27a4 CHANGE IN THE FAIR VALUE OF PLAN ASSETS AND REIMBURSEMENT RIGHTS INCLUDING DISCONTINUED ACTIVITIES In millions of euros Plan assets Reimbursement rights Year to 31 Dec. 2022 Year to 31 Dec. 2021 Year to 31 Dec. 2022 Year to 31 Dec. 2021 FAIR VALUE OF ASSETS AT START OF PERIOD 6,082 5,870 2,932 3,050 Expected return on assets 99 73 13 2 Settlements (21) (26) Actuarial gains/(losses) on assets (938) 216 (548) (29) Actual employee contributions 13 13 10 9 Employer contributions 54 65 198 98 Bene\ufb01ts paid from assets (257) (220) (232) (199) Exchange rate gains/(losses) on assets (64) 70 Gains/(losses) on assets related to changes in the consolidation scope (4) 21 24 1 FAIR VALUE OF ASSETS AT END OF PERIOD 4,964 6,082 2,397 2,932 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 266 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 COMPONENTS OF THE COST OF DEFINED-BENEFIT PLANS In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Service costs 220 222 Current service cost 215 222 Past service cost (5) (1) Settlements 10 1 Net \ufb01nancial expense 6 9 Interest cost 100 61 Interest income on plan asset 18 23 Interest income on reimbursement rights (99) (73) Expected return on asset ceiling (13) (2) TOTAL RECOGNISED IN SALARY AND EMPLOYEE BENEFIT EXPENSE 226 231 of which continuing activities 222 228 of which discontinued activities 4 3 \u27a4 OTHER ITEMS RECOGNISED DIRECTLY IN EQUITY In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Actuarial (losses)/gains on plan assets or reimbursement rights (1,486) 187 Actuarial (losses)/gains of demographic assumptions on the present value of obligations (10) 24 Actuarial (losses)/gains of \ufb01nancial assumptions on the present value of obligations 1,985 327 Experience (losses)/gains on obligations (341) (195) Variation of the effect of assets limitation (263) 27 TOTAL OF OTHER ITEMS RECOGNISED DIRECTLY IN EQUITY (115) 370 of which continuing activities (127) 350 of which discontinued activities 12 20 \u27a4 MAIN ACTUARIAL ASSUMPTIONS USED TO CALCULATE OBLIGATIONS In the eurozone, United Kingdom and United States, the Group discounts its obligations using the yields of high quality corporate bonds, with a term consistent with the duration of the obligations. The ranges of rates used are as follows: In % 31 December 2022 31 December 2021 Discount rate Compensation increase rate (1) Discount rate Compensation increase rate (1) Belgium 1.90% / 3.80% 3.30% / 5.00% 0.00% / 1.10% 2.90% / 3.60% UK 3.50% / 4.90% 2.00% / 3.30% 1.30% / 1.90% 2.00% / 3.50% France 3.30% / 3.80% 2.10% / 3.65% 0.10% / 1.10% 1.40% / 3.25% Switzerland 2.00% / 2.15% 1,75% / 2,00% 0.20% / 0.30% 1.50% USA 4.90% / 5.00% 2.50% 2.60% / 2.90% 2.50% Italy 1.90% / 3.60% 2.10% / 3.20% 0.30% / 1.00% 1.80% / 2.50% Germany 2.30% / 3.80% 2.00% / 2.90% 0.60% / 1.10% 1.80% / 2.50% T\u00fcrkiye 10.60% 8.50% 20.01% 17.03% (1) Including price increases (in\ufb02ation). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 267 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Average discount rates weighted by obligation amounts are as follows: \u25a0 in the eurozone: 3.54% at 31 December 2022 (0.60% at 31 December 2021); \u25a0 in the United Kingdom: 4.78% at 31 December 2022 (1.88% at 31 December 2021); \u25a0 in Switzerland: 2.15% at 31 December 2022 (0.30% at 31 December 2021). The impact of a 100-bps change in discount rates on the present value of post-employment bene\ufb01t obligations is as follows: Change in the present value of obligations In millions of euros 31 December 2022 31 December 2021 Discount rate -100 bps Discount rate +100 bps Discount rate -100 bps Discount rate +100 bps Belgium 201 (175) 327 (266) UK 187 (147) 403 (302) France 92 (78) 129 (107) Switzerland 133 (107) 177 (140) USA 18 (15) 30 (24) Italy 12 (11) 18 (16) Germany 26 (20) 41 (32) T\u00fcrkiye 13 (10) 15 (12) In\ufb02ation assumptions used for the valuations of the Group obligations are determined locally depending on the monetary area, except for the eurozone for which the assumption is determined centrally. Average discount rates weighted by obligation amounts are as follows: \u25a0 in the eurozone: 2.43% at 31 December 2022 (1.76% at 31 December 2021); \u25a0 in the United Kingdom: 3.03% at 31 December 2022 (2.90% at 31 December 2021); \u25a0 in Switzerland: 1.25% at 31 December 2022 (1.00% at 31 December 2021). The impact of a +100-bps increase in in\ufb02ation rates on the present value of post-employment bene\ufb01t obligations is as follows: Change in the present value of obligations In millions of euros 31 December 2022 31 December 2021 In\ufb02ation rate +100 bps In\ufb02ation rate +100 bps Belgium 148 188 UK 126 256 France 92 125 Switzerland 8 11 USA 0 0 Italy 8 12 Germany 14 7 T\u00fcrkiye 12 18 Variation effects of discount and in\ufb02ation rates presented above are not cumulative. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 268 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 ACTUAL RATE OF RETURN ON PLAN ASSETS AND REIMBURSEMENT RIGHTS OVER THE PERIOD In % Year to 31 Dec. 2022 Year to 31 Dec. 2021 Range of value (re\ufb02ecting the existence of several plans in the same country) Weighted average rates Range of value (re\ufb02ecting the existence of several plans in the same country) Weighted average rates Belgium -18.75% / 6.30% -12.65% -5.65% / 13.35% 0.45% UK -38.30% / 0% -34.60% 6.60% / 14.80% 7.70% France 2.60% 2.60% 2.00% 2.00% Switzerland -15.85% / 1% 0.50% 1.00% / 9.45% 7.85% USA -29.75% / -16.75% -28.90% 2.00% 2.00% Germany -26.15% / 1.30% -11.20% -6.65% / 5.25% 4.60% T\u00fcrkiye 40.80% 40.80% 20.60% 20.60% \u27a4 BREAKDOWN OF PLAN ASSETS In % 31 December 2022 31 December 2021 Shares Govern- mental bonds Non- Governmen- tal bonds Real- estate Deposit account Others Shares Govern- mental bonds Non- Governmen- tal bonds Real- estate Deposit account Others Belgium 8% 48% 20% 1% 0% 23% 7% 53% 14% 1% 0% 25% UK 7% 65% 13% 0% 2% 13% 8% 72% 8% 0% 2% 10% France (1) 8% 60% 18% 13% 1% 0% 7% 69% 16% 8% 0% 0% Switzerland 32% 0% 23% 21% 3% 20% 36% 0% 26% 20% 4% 14% USA 19% 18% 58% 0% 1% 4% 18% 0% 73% 1% 6% 2% Germany 25% 64% 0% 0% 3% 9% 23% 66% 0% 0% 2% 9% T\u00fcrkiye 0% 59% 0% 3% 30% 7% 0% 0% 0% 4% 93% 3% Others 10% 18% 12% 2% 2% 57% 9% 17% 10% 2% 2% 60% GROUP 12% 44% 18% 6% 2% 18% 11% 49% 15% 4% 4% 17% (1) In France, the breakdown of plan assets re\ufb02ects the breakdown of the general fund of the insurance company through which the Group\u2019s obligations are funded. The Group introduced an asset management governance for assets backing de\ufb01ned-bene\ufb01t pension plan commitments, the main objectives of which are the management and control of the risks in terms of investment. It sets out investment principles, in particular, by de\ufb01ning an investment strategy for plan assets, based on \ufb01nancial objectives and \ufb01nancial risk management, to specify the way in which plan assets have to be managed, via \ufb01nancial management servicing contracts. The investment strategy is based on an assets and liabilities management analysis that should be realised at least every three years for plans with assets in excess of EUR 100 million. Post-employment healthcare benefits The Group offers some healthcare bene\ufb01t plans for retired employees, mainly in Belgium. The present value of post-employment healthcare bene\ufb01t obligations stood at EUR 83 million at 31 December 2022, compared with EUR 115 million at 31 December 2021. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 269 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements6.c OTHER LONG-TERM BENEFITS BNP Paribas offers its employees various long-term bene\ufb01ts, mainly long-service awards, the ability to save up paid annual leave in time savings accounts, and certain guarantees protecting them in the event they become incapacitated. The net provision amounted to EUR 453 million at 31 December 2022 (EUR 457 million at 31 December 2021). As part of the Group\u2019s variable compensation policy, annual deferred compensation plans are set up for certain high-performing employees or pursuant to special regulatory frameworks. Under these plans, payment is deferred over time and is subject to the performance achieved by the business lines, divisions and Group. Since 2013, BNP Paribas has introduced a Group loyalty scheme with a cash payment, at the end of a three-year to four-year vesting period, which \ufb02uctuates according to the Group\u2019s intrinsic performance. The aim of this loyalty scheme is to make different categories of managerial staff partners in the Group\u2019s development and pro\ufb01tability objectives. These personnels are representative of the Group\u2019s talent and the breadth of its managerial framework i.e., senior managers, managers in key positions, line managers and experts, high-potential managers, high-performing young executives with good career development prospects and key contributors to the Group\u2019s results. The amounts allocated under this plan are linked to changes in the Group\u2019s operational performance over the duration of the plan (for 80%) and to the achievement of the Group\u2019s Corporate Social Responsibility (CSR) targets (for 20%). These ten targets are in line with the four pillars on which the Group\u2019s CSR policy is based. In addition, the \ufb01nal payment is subject to continuous service within the Group between the grant date and the payment date, provided that the Group\u2019s operating income and pre-tax income for the year prior to payment are strictly positive. For employees subject to special regulatory frameworks, this loyalty scheme is adjusted in accordance with the CRD European Directive. The net obligation related to deferred compensation plans and loyalty schemes amounts to EUR 1,017 million at 31 December 2022 (EUR 817 million at 31 December 2021). In millions of euros 31 December 2022 31 December 2021 Net provisions for other long-term bene\ufb01ts 1,470 1,274 Asset recognised in the balance sheet under the other long-term bene\ufb01ts (76) (90) Obligation recognised in the balance sheet under the other long-term bene\ufb01ts 1,546 1,364 6.d TERMINATION BENEFITS BNP Paribas has implemented a number of voluntary redundancy plans and headcount adaptation plans for employees who meet certain eligibility criteria. The obligations to eligible active employees under such plans are provided for as soon as a bilateral agreement or a bilateral agreement proposal for a particular plan is made. In millions of euros 31 December 2022 31 December 2021 Provision for voluntary departure, early retirement plans, and headcount adaptation plans 270 355 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 270 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfProvisionsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9602": {
   "value": "1.m CURRENT AND DEFERRED TAX The current income tax charge is determined on the basis of the tax laws and tax rates in force in each country in which the Group operates during the period in which the income is generated. Deferred taxes are recognised when temporary differences arise between the carrying amount of an asset or liability in the balance sheet and its tax base. Deferred tax liabilities are recognised for all taxable temporary differences other than: \u25a0 taxable temporary differences on initial recognition of goodwill; \u25a0 taxable temporary differences on investments in enterprises under the exclusive or joint control of the Group, where the Group is able to control the timing of the reversal of the temporary difference and it is probable that the temporary difference will not reverse in the foreseeable future. Deferred tax assets are recognised for all deductible temporary differences and unused carryforwards of tax losses only to the extent that it is probable that the entity in question will generate future taxable pro\ufb01ts against which these temporary differences and tax losses can be offset. Deferred tax assets and liabilities are measured using the liability method, using the tax rate which is expected to apply to the period when the asset is realised or the liability is settled, based on tax rates and tax laws that have been or will have been enacted by the balance sheet date of that period. They are not discounted. Deferred tax assets and liabilities are offset when they arise within the same tax group, they fall under the jurisdiction of a single tax authority, and there is a legal right to offset. As regards the assessment of uncertainty over income tax treatments, the Group adopts the following approach: \u25a0 the Group assesses whether it is probable that a taxation authority will accept an uncertain tax treatment; \u25a0 any uncertainty shall be re\ufb02ected when determining the taxable pro\ufb01t (loss) by considering either the most likely amount (having the higher probability of occurrence), or the expected value (sum of the probability-weighted amounts). Current and deferred taxes are recognised as tax income or expenses in the pro\ufb01t and loss account, except for those relating to a transaction or an event directly recognised in shareholders\u2019 equity, which are also recognised in shareholders\u2019 equity. This concerns in particular the tax effect of coupons paid on \ufb01nancial instruments issued by the Group and quali\ufb01ed as equity instruments, such as Undated Super Subordinated Notes. When tax credits on revenues from receivables and securities are used to settle corporate income tax payable for the period, the tax credits are recognised on the same line as the income to which they relate. The corresponding tax expense continues to be carried in the pro\ufb01t and loss account under \u201cCorporate income tax\u201d. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 210 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForIncomeTaxExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9603": {
   "value": "1.m CURRENT AND DEFERRED TAX The current income tax charge is determined on the basis of the tax laws and tax rates in force in each country in which the Group operates during the period in which the income is generated. Deferred taxes are recognised when temporary differences arise between the carrying amount of an asset or liability in the balance sheet and its tax base. Deferred tax liabilities are recognised for all taxable temporary differences other than: \u25a0 taxable temporary differences on initial recognition of goodwill; \u25a0 taxable temporary differences on investments in enterprises under the exclusive or joint control of the Group, where the Group is able to control the timing of the reversal of the temporary difference and it is probable that the temporary difference will not reverse in the foreseeable future. Deferred tax assets are recognised for all deductible temporary differences and unused carryforwards of tax losses only to the extent that it is probable that the entity in question will generate future taxable pro\ufb01ts against which these temporary differences and tax losses can be offset. Deferred tax assets and liabilities are measured using the liability method, using the tax rate which is expected to apply to the period when the asset is realised or the liability is settled, based on tax rates and tax laws that have been or will have been enacted by the balance sheet date of that period. They are not discounted. Deferred tax assets and liabilities are offset when they arise within the same tax group, they fall under the jurisdiction of a single tax authority, and there is a legal right to offset. As regards the assessment of uncertainty over income tax treatments, the Group adopts the following approach: \u25a0 the Group assesses whether it is probable that a taxation authority will accept an uncertain tax treatment; \u25a0 any uncertainty shall be re\ufb02ected when determining the taxable pro\ufb01t (loss) by considering either the most likely amount (having the higher probability of occurrence), or the expected value (sum of the probability-weighted amounts). Current and deferred taxes are recognised as tax income or expenses in the pro\ufb01t and loss account, except for those relating to a transaction or an event directly recognised in shareholders\u2019 equity, which are also recognised in shareholders\u2019 equity. This concerns in particular the tax effect of coupons paid on \ufb01nancial instruments issued by the Group and quali\ufb01ed as equity instruments, such as Undated Super Subordinated Notes. When tax credits on revenues from receivables and securities are used to settle corporate income tax payable for the period, the tax credits are recognised on the same line as the income to which they relate. The corresponding tax expense continues to be carried in the pro\ufb01t and loss account under \u201cCorporate income tax\u201d. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 210 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForDeferredIncomeTaxExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-4223": {
   "value": "1.m CURRENT AND DEFERRED TAX The current income tax charge is determined on the basis of the tax laws and tax rates in force in each country in which the Group operates during the period in which the income is generated. Deferred taxes are recognised when temporary differences arise between the carrying amount of an asset or liability in the balance sheet and its tax base. Deferred tax liabilities are recognised for all taxable temporary differences other than: \u25a0 taxable temporary differences on initial recognition of goodwill; \u25a0 taxable temporary differences on investments in enterprises under the exclusive or joint control of the Group, where the Group is able to control the timing of the reversal of the temporary difference and it is probable that the temporary difference will not reverse in the foreseeable future. Deferred tax assets are recognised for all deductible temporary differences and unused carryforwards of tax losses only to the extent that it is probable that the entity in question will generate future taxable pro\ufb01ts against which these temporary differences and tax losses can be offset. Deferred tax assets and liabilities are measured using the liability method, using the tax rate which is expected to apply to the period when the asset is realised or the liability is settled, based on tax rates and tax laws that have been or will have been enacted by the balance sheet date of that period. They are not discounted. Deferred tax assets and liabilities are offset when they arise within the same tax group, they fall under the jurisdiction of a single tax authority, and there is a legal right to offset. As regards the assessment of uncertainty over income tax treatments, the Group adopts the following approach: \u25a0 the Group assesses whether it is probable that a taxation authority will accept an uncertain tax treatment; \u25a0 any uncertainty shall be re\ufb02ected when determining the taxable pro\ufb01t (loss) by considering either the most likely amount (having the higher probability of occurrence), or the expected value (sum of the probability-weighted amounts). Current and deferred taxes are recognised as tax income or expenses in the pro\ufb01t and loss account, except for those relating to a transaction or an event directly recognised in shareholders\u2019 equity, which are also recognised in shareholders\u2019 equity. This concerns in particular the tax effect of coupons paid on \ufb01nancial instruments issued by the Group and quali\ufb01ed as equity instruments, such as Undated Super Subordinated Notes. When tax credits on revenues from receivables and securities are used to settle corporate income tax payable for the period, the tax credits are recognised on the same line as the income to which they relate. The corresponding tax expense continues to be carried in the pro\ufb01t and loss account under \u201cCorporate income tax\u201d. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 210 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements2.j CORPORATE INCOME TAX Reconciliation of the effective tax expense to the theoretical tax expense at standard tax rate in France Year to 31 Dec. 2022 Year to 31 Dec. 2021 in millions of euros tax rate in millions of euros tax rate Corporate income tax expense on pre-tax income at standard tax rate in France (1) (3,275) 25.8% (3,454) 28.4% Impact of differently taxed foreign pro\ufb01ts (61) 0.5% 201 -1.7% Impact of dividends and disposals taxed at reduced rate 54 -0.4% 153 -1.3% Impact of the non-deductibility of taxes and bank levies (2) (300) 2.4% (253) 2.1% Other items (134) 1.0% (231) 2.0% Corporate income tax expense from continuing activities (3,716) 29.3% (3,584) 29.5% Current tax expense for the year to 31 December (2,844) (2,806) Deferred tax expense for the year to 31 December (note 4.k) (872) (778) (1) Restated for the share of pro\ufb01ts in equity-method entities and goodwill impairment. (2) Contribution to the Single Resolution Fund and other non-deductible banking taxes.4.k CURRENT AND DEFERRED TAXES In millions of euros 31 December 2022 31 December 2021 Current taxes 1,685 1,862 Deferred taxes 4,208 4,004 Current and deferred tax assets 5,893 5,866 Current taxes 2,042 1,787 Deferred taxes 1,012 1,316 Current and deferred tax liabilities 3,054 3,103 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 249 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Change in deferred tax by nature over the period: In millions of euros 31 December 2021 Changes recognised in pro\ufb01t or loss Changes recognised in equity that may be reclassi\ufb01ed to pro\ufb01t or loss Changes recognised in equity that will not be reclassi\ufb01ed to pro\ufb01t or loss Effects of exchange rates, consolidation scope and other movements 31 December 2022 Financial instruments (857) (278) 1,434 (135) 19 183 Provisions for employee bene\ufb01t obligations 738 (13) - 39 (11) 753 Unrealised \ufb01nance lease reserve (481) (89) - - (7) (577) Credit risk impairment 2,705 (93) - - 20 2,632 Tax loss carryforwards 774 (221) - - 10 563 Other items (191) (126) - - (41) (358) NET DEFERRED TAXES 2,688 (820) 1,434 (96) (10) 3,196 Deferred tax assets 4,004 4,208 Deferred tax liabilities (1,316) (1,012) In order to determine the amount of the tax loss carryforwards recognised as assets, the Group conducts every year a speci\ufb01c review for each relevant entity based on the applicable tax regime, notably incorporating any time limit rules, and a realistic projection of their future revenue and charges in line with their business plan. Deferred tax assets recognised on tax loss carryforwards are mainly related to BNP Paribas Fortis for EUR 254 million at 31 December 2022, with a 3-year expected recovery period (unlimited carryforward period). Unrecognised deferred tax assets totalled EUR 1,530 million at 31 December 2022 (of which EUR 1,336 million of tax loss carryforwards) compared with EUR 1,408 million at 31 December 2021 (of which EUR 1,234 million of tax loss carryforwards).",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfDeferredTaxesExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-4222": {
   "value": "1.m CURRENT AND DEFERRED TAX The current income tax charge is determined on the basis of the tax laws and tax rates in force in each country in which the Group operates during the period in which the income is generated. Deferred taxes are recognised when temporary differences arise between the carrying amount of an asset or liability in the balance sheet and its tax base. Deferred tax liabilities are recognised for all taxable temporary differences other than: \u25a0 taxable temporary differences on initial recognition of goodwill; \u25a0 taxable temporary differences on investments in enterprises under the exclusive or joint control of the Group, where the Group is able to control the timing of the reversal of the temporary difference and it is probable that the temporary difference will not reverse in the foreseeable future. Deferred tax assets are recognised for all deductible temporary differences and unused carryforwards of tax losses only to the extent that it is probable that the entity in question will generate future taxable pro\ufb01ts against which these temporary differences and tax losses can be offset. Deferred tax assets and liabilities are measured using the liability method, using the tax rate which is expected to apply to the period when the asset is realised or the liability is settled, based on tax rates and tax laws that have been or will have been enacted by the balance sheet date of that period. They are not discounted. Deferred tax assets and liabilities are offset when they arise within the same tax group, they fall under the jurisdiction of a single tax authority, and there is a legal right to offset. As regards the assessment of uncertainty over income tax treatments, the Group adopts the following approach: \u25a0 the Group assesses whether it is probable that a taxation authority will accept an uncertain tax treatment; \u25a0 any uncertainty shall be re\ufb02ected when determining the taxable pro\ufb01t (loss) by considering either the most likely amount (having the higher probability of occurrence), or the expected value (sum of the probability-weighted amounts). Current and deferred taxes are recognised as tax income or expenses in the pro\ufb01t and loss account, except for those relating to a transaction or an event directly recognised in shareholders\u2019 equity, which are also recognised in shareholders\u2019 equity. This concerns in particular the tax effect of coupons paid on \ufb01nancial instruments issued by the Group and quali\ufb01ed as equity instruments, such as Undated Super Subordinated Notes. When tax credits on revenues from receivables and securities are used to settle corporate income tax payable for the period, the tax credits are recognised on the same line as the income to which they relate. The corresponding tax expense continues to be carried in the pro\ufb01t and loss account under \u201cCorporate income tax\u201d. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 210 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements2.j CORPORATE INCOME TAX Reconciliation of the effective tax expense to the theoretical tax expense at standard tax rate in France Year to 31 Dec. 2022 Year to 31 Dec. 2021 in millions of euros tax rate in millions of euros tax rate Corporate income tax expense on pre-tax income at standard tax rate in France (1) (3,275) 25.8% (3,454) 28.4% Impact of differently taxed foreign pro\ufb01ts (61) 0.5% 201 -1.7% Impact of dividends and disposals taxed at reduced rate 54 -0.4% 153 -1.3% Impact of the non-deductibility of taxes and bank levies (2) (300) 2.4% (253) 2.1% Other items (134) 1.0% (231) 2.0% Corporate income tax expense from continuing activities (3,716) 29.3% (3,584) 29.5% Current tax expense for the year to 31 December (2,844) (2,806) Deferred tax expense for the year to 31 December (note 4.k) (872) (778) (1) Restated for the share of pro\ufb01ts in equity-method entities and goodwill impairment. (2) Contribution to the Single Resolution Fund and other non-deductible banking taxes.4.k CURRENT AND DEFERRED TAXES In millions of euros 31 December 2022 31 December 2021 Current taxes 1,685 1,862 Deferred taxes 4,208 4,004 Current and deferred tax assets 5,893 5,866 Current taxes 2,042 1,787 Deferred taxes 1,012 1,316 Current and deferred tax liabilities 3,054 3,103 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 249 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Change in deferred tax by nature over the period: In millions of euros 31 December 2021 Changes recognised in pro\ufb01t or loss Changes recognised in equity that may be reclassi\ufb01ed to pro\ufb01t or loss Changes recognised in equity that will not be reclassi\ufb01ed to pro\ufb01t or loss Effects of exchange rates, consolidation scope and other movements 31 December 2022 Financial instruments (857) (278) 1,434 (135) 19 183 Provisions for employee bene\ufb01t obligations 738 (13) - 39 (11) 753 Unrealised \ufb01nance lease reserve (481) (89) - - (7) (577) Credit risk impairment 2,705 (93) - - 20 2,632 Tax loss carryforwards 774 (221) - - 10 563 Other items (191) (126) - - (41) (358) NET DEFERRED TAXES 2,688 (820) 1,434 (96) (10) 3,196 Deferred tax assets 4,004 4,208 Deferred tax liabilities (1,316) (1,012) In order to determine the amount of the tax loss carryforwards recognised as assets, the Group conducts every year a speci\ufb01c review for each relevant entity based on the applicable tax regime, notably incorporating any time limit rules, and a realistic projection of their future revenue and charges in line with their business plan. Deferred tax assets recognised on tax loss carryforwards are mainly related to BNP Paribas Fortis for EUR 254 million at 31 December 2022, with a 3-year expected recovery period (unlimited carryforward period). Unrecognised deferred tax assets totalled EUR 1,530 million at 31 December 2022 (of which EUR 1,336 million of tax loss carryforwards) compared with EUR 1,408 million at 31 December 2021 (of which EUR 1,234 million of tax loss carryforwards).",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfIncomeTaxExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9604": {
   "value": "1.n CASH FLOW STATEMENT The cash and cash equivalents balance is composed of the net balance of cash accounts and accounts with central banks, and the net balance of interbank demand loans and deposits. Changes in cash and cash equivalents related to operating activities re\ufb02ect cash \ufb02ows generated by the Group\u2019s operations, including those relating to \ufb01nancial investments of insurance activities and negotiable certi\ufb01cates of deposit. Changes in cash and cash equivalents related to investing activities re\ufb02ect cash \ufb02ows resulting from acquisitions and disposals of subsidiaries, associates or joint ventures included in the consolidated Group, as well as acquisitions and disposals of property, plant and equipment excluding investment property and property held under operating leases. Changes in cash and cash equivalents related to \ufb01nancing activities re\ufb02ect the cash in\ufb02ows and out\ufb02ows resulting from transactions with shareholders, cash \ufb02ows related to bonds and subordinated debt, and debt securities (excluding negotiable certi\ufb01cates of deposit).",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForCashFlowsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-4300": {
   "value": "1.n CASH FLOW STATEMENT The cash and cash equivalents balance is composed of the net balance of cash accounts and accounts with central banks, and the net balance of interbank demand loans and deposits. Changes in cash and cash equivalents related to operating activities re\ufb02ect cash \ufb02ows generated by the Group\u2019s operations, including those relating to \ufb01nancial investments of insurance activities and negotiable certi\ufb01cates of deposit. Changes in cash and cash equivalents related to investing activities re\ufb02ect cash \ufb02ows resulting from acquisitions and disposals of subsidiaries, associates or joint ventures included in the consolidated Group, as well as acquisitions and disposals of property, plant and equipment excluding investment property and property held under operating leases. Changes in cash and cash equivalents related to \ufb01nancing activities re\ufb02ect the cash in\ufb02ows and out\ufb02ows resulting from transactions with shareholders, cash \ufb02ows related to bonds and subordinated debt, and debt securities (excluding negotiable certi\ufb01cates of deposit).",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfCashFlowStatementExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9662": {
   "value": "1.o USE OF ESTIMATES IN THE PREPARATION OF THE FINANCIAL STATEMENTS Preparation of the \ufb01nancial statements requires managers of core businesses and corporate functions to make assumptions and estimates that are re\ufb02ected in the measurement of income and expense in the pro\ufb01t and loss account and of assets and liabilities in the balance sheet, and in the disclosure of information in the notes to the \ufb01nancial statements. This requires the managers in question to exercise their judgement and to make use of information available at the date of the preparation of the \ufb01nancial statements when making their estimates. The actual future results from operations where managers have made use of estimates may in reality differ signi\ufb01cantly from those estimates, mainly according to market conditions. This may have a material effect on the \ufb01nancial statements. This applies in particular to: \u25a0 the analysis of the cash \ufb02ow criterion for speci\ufb01c \ufb01nancial assets; \u25a0 the measurement of expected credit losses. This applies in particular to the assessment of signi\ufb01cant increase in credit risk, the models and assumptions used to measure expected credit losses, the determination of the different economic scenarios and their weighting; \u25a0 the analysis of renegotiated loans, in order to assess whether they should be maintained on the balance-sheet or derecognised; \u25a0 the assessment of an active market, and the use of internally developed models for the measurement of the fair value of \ufb01nancial instruments not quoted in an active market classi\ufb01ed in \u201cFinancial assets at fair value through equity\u201d, or in \u201cFinancial instruments at fair value through pro\ufb01t or loss\u201d, whether as assets or liabilities, and more generally calculations of the fair value of \ufb01nancial instruments subject to a fair value disclosure requirement; \u25a0 the assumptions applied to assess the sensitivity to each type of market risk of the market value of \ufb01nancial instruments and the sensitivity of these valuations to the main unobservable inputs as disclosed in the notes to the \ufb01nancial statements; \u25a0 the appropriateness of the designation of certain derivative instruments such as cash \ufb02ow hedges, and the measurement of hedge effectiveness; \u25a0 impairment tests performed on intangible assets; \u25a0 the estimation of residual assets values under simple lease agreements. These values are used as a basis for the determination of depreciation as well as any impairment, notably in relation to the effect of environmental considerations on the evaluation of future prices of second-hand vehicles; \u25a0 the deferred tax assets; \u25a0 the estimation of insurance technical reserves and policyholders\u2019 surplus reserves; \u25a0 the measurement of uncertainty over income tax treatments and other provisions for contingencies and charges. In particular, while investigations and litigations are ongoing, it is dif\ufb01cult to foresee their outcome and potential impact. Provision estimation is established by taking into account all available information at the date of the preparation of the \ufb01nancial statements, in particular the nature of the dispute, the underlying facts, the ongoing legal proceedings and court decisions, including those related to similar cases. The Group may also use the opinion of experts and independent legal advisers to exercise its judgement. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 211 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfAccountingJudgementsAndEstimatesExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-4364": {
   "value": "2.a NET INTEREST INCOME The BNP Paribas Group includes in \u201cInterest income\u201d and \u201cInterest expense\u201d all income and expense calculated using the effective interest method (interest, fees and transaction costs) from \ufb01nancial instruments measured at amortised cost and \ufb01nancial instruments measured at fair value through equity. These items also include the interest income and expense of non-trading \ufb01nancial instruments the characteristics of which do not allow for recognition at amortised cost or at fair value through equity, as well as of \ufb01nancial instruments that the Group has designated as at fair value through pro\ufb01t or loss. The change in fair value on \ufb01nancial instruments at fair value through pro\ufb01t or loss (excluding accrued interest) is recognised under \u201cNet gain on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d. Interest income and expense on derivatives accounted for as fair value hedges are included with the revenues generated by the hedged item. Similarly, interest income and expense arising from derivatives used to hedge transactions designated as at fair value through pro\ufb01t or loss is allocated to the same accounts as the interest income and expense relating to the underlying transactions. In the case of a negative interest rates related to loans and receivables or deposits from customers and credit institutions, they are accounted for in interest expense or interest income respectively. In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Income Expense Net Income Expense Net Financial instruments at amortised cost 34,794 (15,507) 19,287 24,122 (7,032) 17,090 Deposits, loans and borrowings 30,749 (11,714) 19,035 21,423 (5,024) 16,399 Repurchase agreements 274 (83) 191 199 (56) 143 Finance leases 1,762 (102) 1,660 1,626 (101) 1,525 Debt securities 2,009 2,009 874 874 Issued debt securities and subordinated debt (3,608) (3,608) (1,851) (1,851) Financial instruments at fair value through equity 738 - 738 851 - 851 Financial instruments at fair value through pro\ufb01t or loss (Trading securities excluded) 59 (279) (220) 36 (163) (127) Cash \ufb02ow hedge instruments 3,025 (1,449) 1,576 1,982 (1,010) 972 Interest rate portfolio hedge instruments 2,466 (2,966) (500) 2,527 (2,031) 496 Lease liabilities - (50) (50) - (44) (44) TOTAL INTEREST INCOME/(EXPENSE) 41,082 (20,251) 20,831 29,518 (10,280) 19,238 Interest income on individually impaired loans amounted to EUR 287 million for the year ended 2022, compared to EUR 331 million for the year ended 2021. The Group subscribed to the TLTRO III (Targeted Longer-Term Re\ufb01nancing Operations) programme, as modi\ufb01ed by the Governing Council of the European Central Bank in March 2020, in December 2020 and in October 2022 (see note 4.g). The Group achieved the lending performance thresholds that enabled it to bene\ufb01t from favourable interest rate conditions applicable for each of the reference period, namely: \u25a0 over the two special interest periods (i.e. from June 2020 to June 2022): the average deposit facility rate (\u201cDFR\u201d) -50 basis points, or -1%; \u25a0 over the next period (i.e. from June 2022 to November 2022): the average of the DFR between the TLTRO III initial date of subscription and 22 November 2022, i.e. for the main draws, -0.36% for the June 2020 tranche and -0.29% for the March 2021 tranche; \u25a0 over the last period (since 23 November 2022): the average of the DFR between 23 November 2022 and the redemption date. The average effective interest rate for the latter period was 1.64% at 31 December 2022. This \ufb02oating interest rate is considered as a market rate since it is applicable to all \ufb01nancial institutions meeting the lending criteria de\ufb01ned by the European Central Bank. The effective interest rate of these \ufb01nancial liabilities is determined for each reference period, its two components (reference rate and margin) being adjustable; it corresponds to the nominal interest rate. The addition of the last interest period in October 2022 is part of the European Central Bank\u2019s monetary policy and is therefore not considered a contractual amendment according to IFRS 9 but a revision of the market rate. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 212 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfFinanceCostExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-4363": {
   "value": "2.a NET INTEREST INCOME The BNP Paribas Group includes in \u201cInterest income\u201d and \u201cInterest expense\u201d all income and expense calculated using the effective interest method (interest, fees and transaction costs) from \ufb01nancial instruments measured at amortised cost and \ufb01nancial instruments measured at fair value through equity. These items also include the interest income and expense of non-trading \ufb01nancial instruments the characteristics of which do not allow for recognition at amortised cost or at fair value through equity, as well as of \ufb01nancial instruments that the Group has designated as at fair value through pro\ufb01t or loss. The change in fair value on \ufb01nancial instruments at fair value through pro\ufb01t or loss (excluding accrued interest) is recognised under \u201cNet gain on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d. Interest income and expense on derivatives accounted for as fair value hedges are included with the revenues generated by the hedged item. Similarly, interest income and expense arising from derivatives used to hedge transactions designated as at fair value through pro\ufb01t or loss is allocated to the same accounts as the interest income and expense relating to the underlying transactions. In the case of a negative interest rates related to loans and receivables or deposits from customers and credit institutions, they are accounted for in interest expense or interest income respectively. In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Income Expense Net Income Expense Net Financial instruments at amortised cost 34,794 (15,507) 19,287 24,122 (7,032) 17,090 Deposits, loans and borrowings 30,749 (11,714) 19,035 21,423 (5,024) 16,399 Repurchase agreements 274 (83) 191 199 (56) 143 Finance leases 1,762 (102) 1,660 1,626 (101) 1,525 Debt securities 2,009 2,009 874 874 Issued debt securities and subordinated debt (3,608) (3,608) (1,851) (1,851) Financial instruments at fair value through equity 738 - 738 851 - 851 Financial instruments at fair value through pro\ufb01t or loss (Trading securities excluded) 59 (279) (220) 36 (163) (127) Cash \ufb02ow hedge instruments 3,025 (1,449) 1,576 1,982 (1,010) 972 Interest rate portfolio hedge instruments 2,466 (2,966) (500) 2,527 (2,031) 496 Lease liabilities - (50) (50) - (44) (44) TOTAL INTEREST INCOME/(EXPENSE) 41,082 (20,251) 20,831 29,518 (10,280) 19,238 Interest income on individually impaired loans amounted to EUR 287 million for the year ended 2022, compared to EUR 331 million for the year ended 2021. The Group subscribed to the TLTRO III (Targeted Longer-Term Re\ufb01nancing Operations) programme, as modi\ufb01ed by the Governing Council of the European Central Bank in March 2020, in December 2020 and in October 2022 (see note 4.g). The Group achieved the lending performance thresholds that enabled it to bene\ufb01t from favourable interest rate conditions applicable for each of the reference period, namely: \u25a0 over the two special interest periods (i.e. from June 2020 to June 2022): the average deposit facility rate (\u201cDFR\u201d) -50 basis points, or -1%; \u25a0 over the next period (i.e. from June 2022 to November 2022): the average of the DFR between the TLTRO III initial date of subscription and 22 November 2022, i.e. for the main draws, -0.36% for the June 2020 tranche and -0.29% for the March 2021 tranche; \u25a0 over the last period (since 23 November 2022): the average of the DFR between 23 November 2022 and the redemption date. The average effective interest rate for the latter period was 1.64% at 31 December 2022. This \ufb02oating interest rate is considered as a market rate since it is applicable to all \ufb01nancial institutions meeting the lending criteria de\ufb01ned by the European Central Bank. The effective interest rate of these \ufb01nancial liabilities is determined for each reference period, its two components (reference rate and margin) being adjustable; it corresponds to the nominal interest rate. The addition of the last interest period in October 2022 is part of the European Central Bank\u2019s monetary policy and is therefore not considered a contractual amendment according to IFRS 9 but a revision of the market rate. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 212 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfInterestExpenseExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-4362": {
   "value": "2.a NET INTEREST INCOME The BNP Paribas Group includes in \u201cInterest income\u201d and \u201cInterest expense\u201d all income and expense calculated using the effective interest method (interest, fees and transaction costs) from \ufb01nancial instruments measured at amortised cost and \ufb01nancial instruments measured at fair value through equity. These items also include the interest income and expense of non-trading \ufb01nancial instruments the characteristics of which do not allow for recognition at amortised cost or at fair value through equity, as well as of \ufb01nancial instruments that the Group has designated as at fair value through pro\ufb01t or loss. The change in fair value on \ufb01nancial instruments at fair value through pro\ufb01t or loss (excluding accrued interest) is recognised under \u201cNet gain on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d. Interest income and expense on derivatives accounted for as fair value hedges are included with the revenues generated by the hedged item. Similarly, interest income and expense arising from derivatives used to hedge transactions designated as at fair value through pro\ufb01t or loss is allocated to the same accounts as the interest income and expense relating to the underlying transactions. In the case of a negative interest rates related to loans and receivables or deposits from customers and credit institutions, they are accounted for in interest expense or interest income respectively. In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Income Expense Net Income Expense Net Financial instruments at amortised cost 34,794 (15,507) 19,287 24,122 (7,032) 17,090 Deposits, loans and borrowings 30,749 (11,714) 19,035 21,423 (5,024) 16,399 Repurchase agreements 274 (83) 191 199 (56) 143 Finance leases 1,762 (102) 1,660 1,626 (101) 1,525 Debt securities 2,009 2,009 874 874 Issued debt securities and subordinated debt (3,608) (3,608) (1,851) (1,851) Financial instruments at fair value through equity 738 - 738 851 - 851 Financial instruments at fair value through pro\ufb01t or loss (Trading securities excluded) 59 (279) (220) 36 (163) (127) Cash \ufb02ow hedge instruments 3,025 (1,449) 1,576 1,982 (1,010) 972 Interest rate portfolio hedge instruments 2,466 (2,966) (500) 2,527 (2,031) 496 Lease liabilities - (50) (50) - (44) (44) TOTAL INTEREST INCOME/(EXPENSE) 41,082 (20,251) 20,831 29,518 (10,280) 19,238 Interest income on individually impaired loans amounted to EUR 287 million for the year ended 2022, compared to EUR 331 million for the year ended 2021. The Group subscribed to the TLTRO III (Targeted Longer-Term Re\ufb01nancing Operations) programme, as modi\ufb01ed by the Governing Council of the European Central Bank in March 2020, in December 2020 and in October 2022 (see note 4.g). The Group achieved the lending performance thresholds that enabled it to bene\ufb01t from favourable interest rate conditions applicable for each of the reference period, namely: \u25a0 over the two special interest periods (i.e. from June 2020 to June 2022): the average deposit facility rate (\u201cDFR\u201d) -50 basis points, or -1%; \u25a0 over the next period (i.e. from June 2022 to November 2022): the average of the DFR between the TLTRO III initial date of subscription and 22 November 2022, i.e. for the main draws, -0.36% for the June 2020 tranche and -0.29% for the March 2021 tranche; \u25a0 over the last period (since 23 November 2022): the average of the DFR between 23 November 2022 and the redemption date. The average effective interest rate for the latter period was 1.64% at 31 December 2022. This \ufb02oating interest rate is considered as a market rate since it is applicable to all \ufb01nancial institutions meeting the lending criteria de\ufb01ned by the European Central Bank. The effective interest rate of these \ufb01nancial liabilities is determined for each reference period, its two components (reference rate and margin) being adjustable; it corresponds to the nominal interest rate. The addition of the last interest period in October 2022 is part of the European Central Bank\u2019s monetary policy and is therefore not considered a contractual amendment according to IFRS 9 but a revision of the market rate. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 212 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfFinanceIncomeExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-4361": {
   "value": "2.a NET INTEREST INCOME The BNP Paribas Group includes in \u201cInterest income\u201d and \u201cInterest expense\u201d all income and expense calculated using the effective interest method (interest, fees and transaction costs) from \ufb01nancial instruments measured at amortised cost and \ufb01nancial instruments measured at fair value through equity. These items also include the interest income and expense of non-trading \ufb01nancial instruments the characteristics of which do not allow for recognition at amortised cost or at fair value through equity, as well as of \ufb01nancial instruments that the Group has designated as at fair value through pro\ufb01t or loss. The change in fair value on \ufb01nancial instruments at fair value through pro\ufb01t or loss (excluding accrued interest) is recognised under \u201cNet gain on \ufb01nancial instruments at fair value through pro\ufb01t or loss\u201d. Interest income and expense on derivatives accounted for as fair value hedges are included with the revenues generated by the hedged item. Similarly, interest income and expense arising from derivatives used to hedge transactions designated as at fair value through pro\ufb01t or loss is allocated to the same accounts as the interest income and expense relating to the underlying transactions. In the case of a negative interest rates related to loans and receivables or deposits from customers and credit institutions, they are accounted for in interest expense or interest income respectively. In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Income Expense Net Income Expense Net Financial instruments at amortised cost 34,794 (15,507) 19,287 24,122 (7,032) 17,090 Deposits, loans and borrowings 30,749 (11,714) 19,035 21,423 (5,024) 16,399 Repurchase agreements 274 (83) 191 199 (56) 143 Finance leases 1,762 (102) 1,660 1,626 (101) 1,525 Debt securities 2,009 2,009 874 874 Issued debt securities and subordinated debt (3,608) (3,608) (1,851) (1,851) Financial instruments at fair value through equity 738 - 738 851 - 851 Financial instruments at fair value through pro\ufb01t or loss (Trading securities excluded) 59 (279) (220) 36 (163) (127) Cash \ufb02ow hedge instruments 3,025 (1,449) 1,576 1,982 (1,010) 972 Interest rate portfolio hedge instruments 2,466 (2,966) (500) 2,527 (2,031) 496 Lease liabilities - (50) (50) - (44) (44) TOTAL INTEREST INCOME/(EXPENSE) 41,082 (20,251) 20,831 29,518 (10,280) 19,238 Interest income on individually impaired loans amounted to EUR 287 million for the year ended 2022, compared to EUR 331 million for the year ended 2021. The Group subscribed to the TLTRO III (Targeted Longer-Term Re\ufb01nancing Operations) programme, as modi\ufb01ed by the Governing Council of the European Central Bank in March 2020, in December 2020 and in October 2022 (see note 4.g). The Group achieved the lending performance thresholds that enabled it to bene\ufb01t from favourable interest rate conditions applicable for each of the reference period, namely: \u25a0 over the two special interest periods (i.e. from June 2020 to June 2022): the average deposit facility rate (\u201cDFR\u201d) -50 basis points, or -1%; \u25a0 over the next period (i.e. from June 2022 to November 2022): the average of the DFR between the TLTRO III initial date of subscription and 22 November 2022, i.e. for the main draws, -0.36% for the June 2020 tranche and -0.29% for the March 2021 tranche; \u25a0 over the last period (since 23 November 2022): the average of the DFR between 23 November 2022 and the redemption date. The average effective interest rate for the latter period was 1.64% at 31 December 2022. This \ufb02oating interest rate is considered as a market rate since it is applicable to all \ufb01nancial institutions meeting the lending criteria de\ufb01ned by the European Central Bank. The effective interest rate of these \ufb01nancial liabilities is determined for each reference period, its two components (reference rate and margin) being adjustable; it corresponds to the nominal interest rate. The addition of the last interest period in October 2022 is part of the European Central Bank\u2019s monetary policy and is therefore not considered a contractual amendment according to IFRS 9 but a revision of the market rate. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 212 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfInterestIncomeExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9608": {
   "value": "2.d NET GAIN ON FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH EQUITY In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Net gain on debt instruments 9 58 Dividend income on equity instruments 129 106 NET GAIN ON FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH EQUITY 138 164 Interest income from debt instruments is included in note 2.a Net interest income, and impairment losses related to potential issuer default are included in note 2.h Cost of risk.4.c FINANCIAL ASSETS AT FAIR VALUE THROUGH EQUITY In millions of euros 31 December 2022 31 December 2021 Fair value of which changes in value recognised directly to equity Fair value of which changes in value recognised directly to equity Debt securities 35,878 (866) 38,906 (1) Governments 18,682 (350) 19,980 117 Other public administrations 9,921 (197) 13,000 51 Credit institutions 3,816 (302) 4,138 (169) Others 3,459 (17) 1,788 Equity securities 2,188 623 2,558 933 TOTAL FINANCIAL ASSETS AT FAIR VALUE THROUGH EQUITY 38,066 (243) 41,464 932 Debt securities at fair value through equity include EUR 108 million classi\ufb01ed as stage 3 at 31 December 2022 (EUR 105 million at 31 December 2021). For these securities, the credit impairment recognised in the pro\ufb01t and loss account has been charged to the negative changes in value recognised in equity for EUR 100 million at 31 December 2022 (EUR 104 million at 31 December 2021). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 232 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The option to recognise certain equity instruments at fair value through equity was retained in particular for shares held through strategic partnerships and shares that the Group is required to hold in order to carry out certain activities. During the year ended 31 December 2022, the Group sold two of these investments and an unrealised gain of EUR 267 million was transferred to \u201cretained earnings\u201d (EUR 12 million at 31 December 2021).",
   "dimensions": {
    "concept": "bnpp:DisclosureOfFinancialInstrumentsAtFairValueThroughEquity",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9611": {
   "value": "2.f NET INCOME FROM OTHER ACTIVITIES In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Income Expense Net Income Expense Net Net income from investment property 58 (30) 28 103 (43) 60 Net income from assets held under operating leases 13,134 (10,365) 2,769 12,426 (10,525) 1,901 Net income from property development activities 773 (653) 120 988 (777) 211 Other net income 1,736 (1,782) (46) 1,965 (2,084) (119) TOTAL NET INCOME FROM OTHER ACTIVITIES 15,701 (12,830) 2,871 15,482 (13,429) 2,053",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfOtherOperatingIncomeExpenseExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-5114": {
   "value": "2.f NET INCOME FROM OTHER ACTIVITIES In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Income Expense Net Income Expense Net Net income from investment property 58 (30) 28 103 (43) 60 Net income from assets held under operating leases 13,134 (10,365) 2,769 12,426 (10,525) 1,901 Net income from property development activities 773 (653) 120 988 (777) 211 Other net income 1,736 (1,782) (46) 1,965 (2,084) (119) TOTAL NET INCOME FROM OTHER ACTIVITIES 15,701 (12,830) 2,871 15,482 (13,429) 2,053",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfOtherOperatingIncomeExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-5113": {
   "value": "2.f NET INCOME FROM OTHER ACTIVITIES In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Income Expense Net Income Expense Net Net income from investment property 58 (30) 28 103 (43) 60 Net income from assets held under operating leases 13,134 (10,365) 2,769 12,426 (10,525) 1,901 Net income from property development activities 773 (653) 120 988 (777) 211 Other net income 1,736 (1,782) (46) 1,965 (2,084) (119) TOTAL NET INCOME FROM OTHER ACTIVITIES 15,701 (12,830) 2,871 15,482 (13,429) 2,053",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfOtherOperatingExpenseExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9612": {
   "value": "2.g OTHER OPERATING EXPENSES In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 External services and other operating expenses (9,191) (8,712) Taxes and contributions (1) (2,505) (1,993) TOTAL OTHER OPERATING EXPENSES (11,696) (10,705) (1) Contributions to European the resolution fund, including exceptional contributions, amount to EUR 1,256 million for the year ended 2022 compared with EUR 967 million for the year ended 2021.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfGeneralAndAdministrativeExpenseExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9613": {
   "value": "2.h COST OF RISK The general model for impairment described in note 1.e.5 used by the Group relies on the following two steps: \u25a0 assessing whether there has been a signi\ufb01cant increase in credit risk since initial recognition; and \u25a0 measuring impairment allowance as either 12-month expected credit losses or lifetime expected credit loss (i.e. loss expected at maturity). Both steps rely on forward-looking information. Significant increase in credit risk At 31 December 2022, BNP Paribas revised its criteria for assessing the signi\ufb01cant increase in credit risk in line with the recommendations issued by the European Banking Authority and the European Central Bank. Previously, except for the consumer credit specialist business, the credit risk deterioration was mainly evaluated based on changes in the internal credit rating, an indicator of the average 1-year probability of default through the cycle. In order to fully consider forward-looking information, the new criteria use the probability of default to maturity, which is derived from the internal rating, incorporating the expected consequences of changes in macroeconomic scenarios, as the main indicator. Under these new criteria, credit risk is assumed to have signi\ufb01cantly increased, and the asset is classi\ufb01ed in stage 2, if the probability of default to maturity of the instrument has increased at least threefold since its origination. This relative variation criterion is supplemented by an absolute variation criterion of the default probability of 400 basis points. Furthermore, for all portfolios (except for the consumer credit specialist business): \u25a0 the facility is assumed to be in stage 1 when its 1-year \u201cPoint in Time\u201d probability of default (PiT PD) is below 0.3% at the reporting date, since changes in probability of default due to credit downgrades in this zone are not material, and therefore not considered \u201csigni\ufb01cant\u201d; \u25a0 when the 1-year PiT PD is greater than 20% at the reporting date, given the Group\u2019s credit issuance practices, the deterioration is considered signi\ufb01cant, and the facility is classi\ufb01ed in stage 2 (as long as the facility is not credit-impaired). In the consumer credit specialist business, the existence of a potentially regularised payment incident during the last 12 months is considered to be an indication of signi\ufb01cant increase in credit risk and the facility is therefore classi\ufb01ed in stage 2. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 215 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The table below shows a comparison between the previous and the new criteria for assessing the signi\ufb01cant increase in credit risk: Previous criteria Retail Small and Medium Entreprises Large Corporates * Probability of default through the cycle. ** \"Point in Time\" (PiT) probability of default including forward-looking. One year probability of default * < 0.25% Stage 1 presumption Rating \u2264 4- One year PiT probability of default ** < 0.3% Deterioration from origination leading to transfer to stage 2 Rating downgrade \u2265 6 notches Rating downgrade \u2265 3 notches One year probability of default > 10% Stage 2 presumption Rating \u2265 9+ One year PiT probability of default > 20% One year probability of default One year probability of default at origination Rating downgrade \u2265 6 notches > 4 or Lifetime PiT probability of default Lifetime PiT probability of default at origination Variation of lifetime PiT probability of default since origination > 400 bps > 3 or New criteria Credit risk is assumed to have increased signi\ufb01cantly since initial recognition and the asset is classi\ufb01ed in stage 2 in the event of late payment of more than 30 days or restructuring due to \ufb01nancial dif\ufb01culties (as long as the facility is not credit-impaired). In the \ufb01rst half of 2022, the internal ratings of the Russian counterparties (including the sovereign rating) were systematically downgraded to take into account recent events, thus leading to the transfer of their outstandings to stage 2. However, given the Group\u2019s limited level of exposure to this country, this deterioration had no signi\ufb01cant effect on the cost of risk for the period. Forward-Looking Information The Group considers forward-looking information both when assessing signi\ufb01cant increase in credit risk and when measuring Expected Credit Losses (ECL). Regarding the measurement of expected credit losses, the Group has chosen to use 3 macroeconomic scenarios by geographic area covering a wide range of potential future economic conditions: \u25a0 a baseline scenario, consistent with the scenario used for budgeting; \u25a0 an adverse scenario, corresponding to the scenario used for the Group\u2019s quarterly stress tests; \u25a0 a favourable scenario, capturing situations where the economy performs better than anticipated. The link between the macroeconomic scenarios and the ECL measurement is mainly achieved through a modelling of the probabilities of default and deformation of migration matrices based on internal rating (or risk parameter). The probabilities of default determined according to these scenarios are used to measure expected credit losses in each of these scenarios. The Group\u2019s setup is broken down by sector to take into account the heterogeneity of sectoral dynamics when assessing the probability of default for corporates. Forward-looking information is also considered when determining the signi\ufb01cant deterioration in credit risk, since the probabilities of default used as the basis for this assessment include forward-looking multi-scenario information in the same way as for the calculation of the ECL. The weight to be attributed to the expected credit losses calculated in each of the scenarios is de\ufb01ned as 50% for the baseline scenario, and: \u25a0 the weight of the two alternative scenarios is de\ufb01ned according to the position in the credit cycle. In this approach, the adverse scenario carries more weight in situations at the upper end of the cycle than those at the lower end of the cycle, in anticipation of a potential downturn in the economy; \u25a0 the minimum weight of each the alternative scenarios is 10% and therefore the maximum weight is 40%. When appropriate, the ECL measurement can take into account asset sale scenarios. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 216 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Macroeconomic scenarios The three macroeconomic scenarios are de\ufb01ned over a three-year projection horizon. They correspond to: \u25a0 a baseline scenario, which describes the most likely path of the economy over the projection horizon. This scenario is updated on a quarterly basis and is prepared by the Group Economic Research Department in collaboration with various experts within the Group. Projections are designed for each key market of the Group (France, Belgium, Italy, the United States and the eurozone) using key macroeconomic variables (Gross Domestic Product \u2013 GDP \u2013 and its components, unemployment rate, consumer prices, interest rates, foreign exchange rates, oil prices, real estate prices, etc.) which are key drivers for modeling risk parameters used in the stress test process; \u25a0 an adverse scenario, which describes the impact of the materialisation of some of the risks weighing on the baseline scenario, resulting in a much less favourable economic path than in the baseline scenario. The GDP shock is applied with varying magnitudes, but simultaneously, to the economies under consideration. Generally, these assumptions are broadly consistent with those proposed by the regulators. The calibration of shocks on other variables (e.g. unemployment, consumer prices, interest rates, etc.) is based on models and expert judgment; \u25a0 a favourable scenario, which re\ufb02ects the impact of the materialisation of some of the upside risks for the economy, resulting in a more favourable economic path. The favourable shock on GDP is deducted from the adverse shock on GDP in such a way that the probabilities of the two shocks are equal on average over the cycle. Other variables (e.g. unemployment, in\ufb02ation, interest rates, etc.) are de\ufb01ned in the same way as in the adverse scenario. Since June 2021, the favourable shocks applied have been substantially reduced, as any stronger path than in the baseline scenario could be limited by supply side constraints. The link between the macroeconomic scenarios and the measurement of the ECL is complemented by an approach allowing to take into account anticipation aspects not captured by the models in the generic approach. This is particularly the case when unprecedented events in the historical chronicle taken into account to build the models occur or are anticipated, or when the nature or amplitude of change in macroeconomic parameter calls into question past correlations. Thus, the situation of high in\ufb02ation and the current and projected increase in interest rates correspond to aspects not observed in the reference history. In this context, the Group has developed an approach to take into account the future economic outlook when assessing the \ufb01nancial strength of counterparties. This approach consists in simulating the impact of rate hikes on their \ufb01nancial ratios and the effect on their ratings. In addition, post-model adjustments are considered to take into account, where applicable, the consequences of climatic events on expected credit losses. Baseline scenario Several major developments have contributed to a more marked deterioration than anticipated (after a rebound year in 2021), in both Europe and the United States. Beyond the humanitarian aspects, the consequences of the invasion of Ukraine have had a number of adverse economic effects, the \ufb01rst of which is to contribute to raising in\ufb02ation to very high levels due to severe disruptions in energy and food markets. European countries have been particularly affected from this point of view. In response to expected in\ufb02ation levels, central banks have carried out the most severe monetary tightening in decades, leading to a sharp tightening of \ufb01nancial conditions, which in turn penalise activity. Finally, the health crisis has continued to strongly disrupt activity in some countries, particularly in Asia, where there is less vaccine protection or stricter measures to contain the health crisis. Faced with these combined energy and monetary shocks, activity is expected to contract in a number of economies (including the eurozone and the United States) in late 2022 and early 2023, leading to substantial downward revisions to growth projections for 2023. Activity is expected to stagnate in both the eurozone and the United States in 2023 (while, at 30 June 2022, GDP was expected to grow by around 1.5% in both regions). Activity growth is generally expected to rebound in 2024 and 2025. After reaching very high levels in late 2022, in\ufb02ation is expected to moderate in the course of 2023, mainly due to lower energy in\ufb02ation and to the consequences of the slowdown in activity (e.g. higher unemployment, more limited supply chain disruptions). However, on an annual average, in\ufb02ation will remain very high in 2023 in many countries, signi\ufb01cantly exceeding central bank targets in most cases (notably in Europe and in the United States). In\ufb02ation is expected to come down to more usual levels in 2024 and 2025. In this context, major central banks have so far prioritised the \ufb01ght against in\ufb02ation by tightening monetary policy. By the end of 2022, both short- term and long-term interest rates were at much higher levels than those observed in the past ten years, even though the central banks have not yet completed their tightening cycle. Key interest rates are expected to peak in 2023, before moderating in 2024 and 2025 (when the central banks are expected to lower policy rates in line with more moderate in\ufb02ation). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 217 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The graph below presents a comparison of eurozone GDP projections used in the baseline scenario for the calculation of ECLs at 31 December 2021 and 2022. \u27a4 EUROZONE GDP: INDEX BASE 100 AT THE FOURTH QUARTER OF 2019 85 90 95 100 105 110 GDP index Dec-22 Dec-23 Dec-24 Dec-21 Dec-20 Dec-19 Dec-18 Baseline scenario at 31 December 2022 Baseline scenario at 31 December 2021 \u27a4 MACROECONOMIC VARIABLES, BASELINE SCENARIO AT 31 DECEMBER 2022 (annual averages) 2022 2023 2024 2025 GDP growth rate Eurozone 3.2% 0.1% 1.6% 1.3% France 2.5% 0.1% 1.4% 1.2% Italy 3.7% -0.2% 1.1% 0.9% Belgium 2.3% 0.0% 1.5% 1.2% United States 1.7% 0.0% 1.7% 1.6% Unemployment rate Eurozone 6.8% 7.5% 7.6% 7.3% France 7.5% 8.0% 8.1% 7.9% Italy 8.1% 8.6% 8.4% 8.3% Belgium 5.8% 6.4% 6.3% 6.1% United States 3.7% 4.7% 4.6% 4.5% In\ufb02ation rate Eurozone 8.5% 6.3% 2.4% 2.0% France 6.0% 5.4% 2.5% 2.0% Italy 8.7% 7.3% 2.1% 1.7% Belgium 10.6% 7.5% 2.7% 2.2% United States 8.1% 3.9% 2.3% 2.2% 10-year sovereign bond yields Germany 1.22% 2.64% 2.19% 2.00% France 1.76% 3.19% 2.74% 2.55% Italy 3.18% 4.94% 4.49% 4.30% Belgium 1.76% 3.24% 2.79% 2.60% United States 3.02% 4.24% 3.44% 3.25% 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 218 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Adverse Scenario The adverse scenario is based on the assumption that certain downside risks will materialise, resulting in a much less favourable economic path than in the baseline scenario. The following risks are identi\ufb01ed: \u25a0 A dominant risk, the invasion of Ukraine and its implications (especially higher in\ufb02ation): the impacts mentioned in the baseline scenario could worsen due to additional negative developments. In particular, the adverse scenario assumes a more pronounced shock on commodity prices, further fueling in\ufb02ation and leading to more severe disruptions in activity. Higher in\ufb02ation would have a direct negative effect on consumption and production. In addition, governments of the most exposed economies could take rationing measures targeting the most energy-intensive sectors (with potential indirect consequences for other sectors). Activity can also be negatively affected by other channels (e.g. supply chain disruptions, trade, \ufb01nancial stress, uncertainty and con\ufb01dence effects). \u25a0 The remaining risk related to the health crisis: although the link between health challenges and economic disruptions has eased markedly in many economies, particularly thanks to vaccination, health crisis-related challenges remain a signi\ufb01cant risk, at least in some countries. \u25a0 Less favourable public finances: public debt-to-GDP ratios are high and central banks are tightening their monetary policy, leading to a rise in bond yields that could generate tensions in some countries due to the widening of spreads between sovereign bonds. \u25a0 China\u2019s economy-related risks: additional dif\ufb01culties in China (e.g. sanitary measures, real estate) could affect global markets and activity in other countries through trade and supply-chain channels. \u25a0 Geopolitical risks: geopolitical tensions can weigh on the global economy through shocks to commodity prices, \ufb01nancial markets and business con\ufb01dence. Beyond the invasion of Ukraine, other regions are also worth to be monitored (Asia and the Middle East). \u25a0 Developments in trade and globalisation: the invasion of Ukraine creates additional obstacles to trade and globalisation, adding to already negative developments of recent years (trade disagreements between the United States and China, willingness of some western governments to become more self-suf\ufb01cient in certain strategic areas). The adverse scenario assumes the materialisation of these identi\ufb01ed latent risks from the \ufb01rst quarter of 2023. The risks related to the invasion of Ukraine are taken into account in the adverse scenario through some speci\ufb01cities. First, an additional activity shock is applied to the different economies, depending on their perceived exposure to this situation. This shock re\ufb02ects the countries\u2019 dependence on Russian gas as well as their vulnerability to other transmission channels (exports, dependence on the supply chain, weight of food and energy in in\ufb02ation, investment links, political ties with Russia). Second, in\ufb02ation is higher in the adverse scenario than in the baseline scenario in the \ufb01rst year of the projection horizon, in order to materialise the speci\ufb01c effects of this crisis in this area (re\ufb02ecting more upward pressure on commodity prices and supply chain disruptions). Among the countries considered, GDP levels in the adverse scenario stand between 5.8% and 12.2% lower than in the baseline scenario at the end of the shock period (three years). In particular, this deviation reaches 10.2% on average in the eurozone and 5.8% in the United States. Scenario weighting and cost of risk sensitivity At 31 December 2022, the weight of the adverse scenario considered by the Group was 16% and 34% for the favourable scenario. At 31 December 2021, the weight of the adverse scenario was on average equivalent to that of the favourable scenario. The sensitivity of the amount of expected credit losses for all \ufb01nancial assets at amortised cost or at fair value through equity and credit commitments is assessed by comparing the estimated expected credit losses resulting from the weighting of the above scenarios with that resulting from each of the two alternative scenarios: \u25a0 an increase in ECL of 22%, or EUR 1,250 million according to the adverse scenario (18% at 31 December 2021); \u25a0 a decrease in ECL of 7%, or EUR 400 million according to the favourable scenario (12% at 31 December 2021). Adaptation of the ECL assessment process to factor in the specific nature of the health crisis Macroeconomic scenarios provisioning the models The measurement of the impact of macroeconomic scenarios on expected credit losses was adjusted to re\ufb02ect the speci\ufb01cities of the current health crisis. Given the exceptional nature of the shock linked to the temporary lockdown measures and strong support provided by governments and central banks, macroeconomic parameters for each country or geographic area included in the pre-existing models (calibrated on past crises) were adapted in order to extract information on the medium-term impacts on the macroeconomic environment and thus minimise excessive short-term volatility. In 2020, the medium-term perspective adopted for the baseline scenario reduced the loss of income for the eurozone by an amount much lower than that of governments and European Central Bank support measures. Conversely, it moderated the favourable impacts of the economic rebounds observed in 2021. This adaptation ended in 2021. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 219 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Moratoria and state guarantees For the loans secured by a state guarantee (mainly in France and Italy), the calculation of expected credit losses is adjusted accordingly. The absence of a general maturity extension scheme for individuals, notably in France, led to classify as forborne the loans that bene\ufb01ted from accompanying measures that were not initially provided for under the contract. However, these measures were not considered as an automatic criterion for transfer to stage 2. Post-model adjustments Conservative adjustments were taken into account when the models used were based on indicators that show unusual levels in the context of the health crisis and the support programmes, such as the increase in deposits and the decrease in past due events for retail customers and entrepreneurs. For the consumer credit specialist business, a conservative adjustment had been considered in 2020 for loans that bene\ufb01tted from a moratorium. In 2021, this adjustment was reversed in connection with the satisfactory return to payment observed on these loans. However, a conservative adjustment was made to compensate for the atypical level of late payments. These post-model adjustments were reversed in 2022. Adaptation of the ECL assessment process to factor in the significant rise in inflation and in interest rates Additional adjustments were made in 2022 to take into account the effects of in\ufb02ation and interest rate hikes when this effect is not directly estimated by the models. For example, within the consumer credit specialist business, adjustments were considered for the categories of customers most sensitive to the gradual decline in the level of their net income. All of these adjustments represent 6.1% of the total amount of expected credit losses at 31 December 2022, compared to 4.8% at 31 December 2021. \u27a4 COST OF CREDIT RISK FOR THE PERIOD In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Net allowances to impairment (2,444) (2,591) Recoveries on loans and receivables previously written off 343 321 Losses on irrecoverable loans (714) (701) Act on assistance to borrowers in Poland (189) TOTAL COST OF RISK FOR THE PERIOD (3,004) (2,971) \u27a4 COST OF RISK FOR THE PERIOD BY ACCOUNTING CATEGORY AND ASSET TYPE In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Cash and balances at central banks (6) (8) Financial instruments at fair value through pro\ufb01t or loss (28) 6 Financial assets at fair value through equity 14 (6) Financial assets at amortised cost (2,853) (2,779) Loans and receivables (2,845) (2,763) Debt securities (8) (16) Other assets (17) 12 Financing and guarantee commitments and other items (114) (196) TOTAL COST OF RISK FOR THE PERIOD (3,004) (2,971) Cost of risk on unimpaired assets and commitments (570) (17) of which stage 1 (511) 268 of which stage 2 (59) (285) Cost of risk on impaired assets and commitments \u2013 stage 3 (2,434) (2,954) 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 220 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 CREDIT RISK IMPAIRMENT Changes in impairment by accounting category and asset type during the period In millions of euros 31 December 2021 Net allowance to impairment Impairment provisions used Changes in scope, exchange rates and other items 31 December 2022 Assets impairment Amounts due from central banks 18 5 (2) 21 Financial instruments at fair value through pro\ufb01t or loss 121 15 (28) 108 Financial assets at fair value through equity 140 (14) 4 130 Financial assets at amortised cost 20,196 2,374 (4,187) 128 18,511 Loans and receivables 20,028 2,329 (4,106) 130 18,381 Debt securities 168 45 (81) (2) 130 Other assets 59 (6) (3) (5) 45 Total impairment of \ufb01nancial assets 20,534 2,374 (4,190) 97 18,815 of which stage 1 1,891 223 (4) (36) 2,074 of which stage 2 2,748 87 (3) 49 2,881 of which stage 3 15,895 2,064 (4,183) 84 13,860 Provisions recognised as liabilities Provisions for commitments 958 32 (15) 5 980 Other provisions 467 38 (56) 1 450 Total provisions recognised for credit commitments 1,425 70 (71) 6 1,430 of which stage 1 230 94 2 326 of which stage 2 374 (33) (3) 338 of which stage 3 821 9 (71) 7 766 TOTAL IMPAIRMENT AND PROVISIONS 21,959 2,444 (4,261) 103 20,245 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 221 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Change in impairment by accounting category and asset type during the previous period In millions of euros 31 December 2020 Net allowance to impairment Impairment provisions used Changes in scope, exchange rates and other items 31 December 2021 Assets impairment Amounts due from central banks 17 9 (8) 18 Financial instruments at fair value through pro\ufb01t or loss 148 (20) (7) 121 Financial assets at fair value through equity 132 6 2 140 Financial assets at amortised cost 21,704 2,438 (3,867) (79) 20,196 Loans and receivables 21,546 2,421 (3,867) (72) 20,028 Debt securities 158 17 (7) 168 Other assets 104 (15) (29) (1) 59 Total impairment of \ufb01nancial assets 22,105 2,418 (3,896) (93) 20,534 of which stage 1 2,379 (219) (8) (261) 1,891 of which stage 2 3,166 176 (6) (588) 2,748 of which stage 3 16,560 2,461 (3,882) 756 15,895 Provisions recognised as liabilities Provisions for commitments 964 60 (1) (65) 958 Other provisions 383 113 (52) 23 467 Total provisions recognised for credit commitments 1,347 173 (53) (42) 1,425 of which stage 1 319 (55) (34) 230 of which stage 2 297 100 (23) 374 of which stage 3 731 128 (53) 15 821 TOTAL IMPAIRMENT AND PROVISIONS 23,452 2,591 (3,949) (135) 21,959 Changes in impairment of \ufb01nancial assets at amortised cost during the period In millions of euros Impairment on assets subject to 12-month Expected Credit Losses (Stage 1) Impairment on assets subject to lifetime Expected Credit Losses (Stage 2) Impairment on doubtful assets (Stage 3) Total At 31 December 2021 1,867 2,714 15,615 20,196 Net allowance to impairment 211 102 2,061 2,374 Financial assets purchased or originated during the period 682 234 916 Financial assets derecognised during the period (1) (390) (388) (822) (1,600) Transfer to stage 2 (133) 1,773 (212) 1,428 Transfer to stage 3 (65) (665) 1,806 1,076 Transfer to stage 1 63 (502) (36) (475) Change in the signi\ufb01cant increase in credit risk assessment criteria 29 (280) (251) Other allowances/reversals without stage transfer (2) 25 (70) 1,325 1,280 Impairment provisions used (3) (3) (4,181) (4,187) Changes in exchange rates (6) (30) 104 68 Changes in scope of consolidation and other items (34) 77 17 60 At 31 December 2022 2,035 2,860 13,616 18,511 (1) Including disposals. (2) Including amortisation. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 222 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In 2022, the increase in \ufb01nancial assets subject to impairment relates mainly to outstandings classi\ufb01ed in stage 1. Thus, the gross value of loans and advances to customers classi\ufb01ed in stage 1 increased by EUR 61 billion compared to 31 December 2021 (see note 4.e Financial assets at amortised cost). This change includes transfers of outstandings from stage 2 to stage 1 for a net amount of EUR 27 billion as a result of the change in the criteria used to assess the signi\ufb01cant increase in credit risk, mainly within the French and Belgian Commercial & Personal Banking activities. This transfer mainly concerns the least risky outstandings among those previously classi\ufb01ed in stage 2 (see section 5.4 Credit risk of the Universal registration document, Table 52: Breakdown of \ufb01nancial assets subject to impairment by stage and internal rating). The impact of this transfer on the amount of expected credit losses is a net reversal of provision of EUR 251 million. Excluding the effect of this change in estimate, outstandings in stage 2 increased by EUR 10 billion during the year ended 31 December 2022. This development is closely linked to the deterioration of the economic environment that weighed on the assessment of the signi\ufb01cant increase in credit risk criterion. These combined effects led to net additions to impairment in stages 1 and 2 in 2022. The provisioning rate for loans and advances to customers classi\ufb01ed in stage 2 increased to 3.2% at 31 December 2022, compared with 2.6% at 31 December 2021. Changes in impairment of \ufb01nancial assets at amortised cost during the previous period In millions of euros Impairment on assets subject to 12-month Expected Credit Losses (Stage 1) Impairment on assets subject to lifetime Expected Credit Losses (Stage 2) Impairment on doubtful assets (Stage 3) Total At 31 December 2020 2,343 3,142 16,219 21,704 Net allowance to impairment (216) 168 2,486 2,438 Financial assets purchased or originated during the period 608 242 850 Financial assets derecognised during the period (1) (353) (295) (896) (1,544) Transfer to stage 2 (190) 1,726 (393) 1,143 Transfer to stage 3 (22) (598) 1,837 1,217 Transfer to stage 1 117 (724) (45) (652) Other allowances/reversals without stage transfer (2) (376) (183) 1,983 1,424 Impairment provisions used (8) (6) (3,853) (3,867) Changes in exchange rates (1) (32) 95 62 Changes in scope of consolidation and other items (28) (355) 739 356 Reclassi\ufb01cation of assets held for sale (223) (203) (71) (497) At 31 December 2021 1,867 2,714 15,615 20,196 (1) Including disposals. (2) Including amortisation.",
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    "concept": "ifrs-full:DisclosureOfImpairmentOfAssetsExplanatory",
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    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
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  "fact_9621": {
   "value": "Note 3 SEGMENT INFORMATION The Group is composed of three operating divisions: \u25a0 Corporate & Institutional Banking (CIB) which covers Global Banking, Global Markets and Securities Services; \u25a0 Commercial, Personal Banking & Services (CPBS) which covers Commercial & Personal Banking in the eurozone, with Commercial & Personal Banking in France (CPBF), Commercial & Personal Banking in Italy (BNL bc), Commercial & Personal Banking in Belgium (CPBB) and Commercial & Personal Banking in Luxembourg (CPBL); Commercial & Personal Banking outside the eurozone, which is organised around Europe-Mediterranean, to cover Central and Eastern Europe and T\u00fcrkiye, and BancWest in the United States. Lastly, it also covers specialised businesses, (Arval, BNP Paribas Leasing Solutions, BNP Paribas Personal Finance, BNP Paribas Personal Investors and New digital business lines like Nickel, Floa, Lyf); \u25a0 Investment & Protection Services (IPS) which covers Insurance (BNP Paribas Cardif), Wealth and Asset Management (BNP Paribas Asset Management, BNP Paribas Wealth Management and BNP Paribas Real Estate), Management of the BNP Paribas Group\u2019s portfolio of unlisted and listed industrial and commercial investments (BNP Paribas Principal Investments). Other activities mainly include activities related to the Group\u2019s central treasury function, some costs related to cross-business projects, the residential mortgage lending business of Personal Finance (a signi\ufb01cant part of which is managed in run-off), and certain investments. They also include non-recurring items resulting from applying the rules on business combinations. In order to provide consistent and relevant economic information for each core business, the impact of amortising fair value adjustments recognised in the net equity of entities acquired and restructuring costs incurred in respect to the integration of entities, have been allocated to the \u201cOther Activities\u201d segment. The same applies to transformation, adaptation and IT reinforcement costs relating to the Group\u2019s savings programmes. Inter-segment transactions are conducted at arm\u2019s length. The segment information presented comprises agreed inter-segment transfer prices. The capital allocation is carried out on the basis of risk exposure, taking into account various conventions relating primarily to the capital requirement of the business as derived from the risk-weighted asset calculations required under capital adequacy rules. Normalised equity income by segment is determined by attributing to each segment the income of its allocated equity. The equity allocation to segments is based on a minimum of 11% of weighted assets. The breakdown of balance sheet by core business follows the same rules as the breakdown of the pro\ufb01t or loss by core business. To provide a consistent reference with the presentation of the 2022 \ufb01nancial statements, the year ended 31 December 2021 of this note was restated for the following effects as if they had occurred on 1 January 2021: \u25a0 the new organisation of the Group; \u25a0 the change in method of internal allocation of the contribution to the Single Resolution Fund (SRF), impacting the breakdown among business lines of the banking taxes and contributions submitted to IFRIC 21. The Group has de\ufb01ned a new allocation key for the SRF between the businesses to better re\ufb02ect the increased liquidity resources generated by commercial activity and the changing regulatory environment; \u25a0 limited internal transfers of activities and results, having marginal impact on the vision with 2/3 of Private Banking in the Commercial, Personal Banking in France and in Belgium. These effects do not change the results for the Group as a whole but only the analytical breakdown. The information and \ufb01nancial elements contained in this note re\ufb02ect an operational view and include BancWest\u2019s activity within the various income statement aggregates. A separate line reconciles the operational view with the one impacted by the application of IFRS 5. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 224 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 INCOME BY BUSINESS SEGMENT In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Revenues Operating expenses Cost of risk Operating income Non-operating items Pre-tax income Revenues Operating expenses Cost of risk Operating income Non- operating items Pre-tax income Corporate & Institutional Banking 16,465 (10,753) (325) 5,387 10 5,398 14,236 (9,467) (173) 4,596 58 4,654 Global Banking 5,218 (2,878) (336) 2,004 4 2,009 5,087 (2,652) (201) 2,234 11 2,246 Global Markets 8,660 (5,806) 11 2,866 4 2,870 6,820 (4,924) 27 1,923 19 1,942 Securities Services 2,587 (2,069) 517 2 519 2,329 (1,892) 1 439 27 466 Commercial, Personal Banking & Services 27,563 (17,518) (2,458) 7,586 414 8,000 25,216 (16,523) (2,586) 6,106 340 6,447 Commercial & Personal Banking in the eurozone 12,948 (8,976) (726) 3,246 42 3,288 12,303 (8,659) (1,018) 2,626 56 2,682 Commercial & Personal Banking in France (1) 6,361 (4,530) (245) 1,587 26 1,613 5,966 (4,395) (428) 1,144 37 1,181 BNL banca commerciale (1) 2,548 (1,676) (464) 408 3 410 2,591 (1,726) (488) 377 377 Commercial & Personal Banking in Belgium (1) 3,577 (2,502) (36) 1,039 10 1,049 3,332 (2,277) (100) 954 19 973 Commercial & Personal Banking in Luxembourg (1) 461 (268) 19 213 3 216 414 (262) (2) 150 150 Commercial & Personal Banking in the rest of the world 4,953 (3,655) (113) 1,185 292 1,477 4,286 (3,255) (99) 932 201 1,133 Europe-Mediterranean (1) 2,321 (1,641) (152) 528 289 817 1,926 (1,598) (145) 182 181 364 BancWest (1) 2,632 (2,014) 39 657 4 660 2,361 (1,656) 45 750 19 769 Specialised businesses 9,662 (4,888) (1,619) 3,155 80 3,235 8,627 (4,609) (1,469) 2,549 84 2,632 Personal Finance 5,387 (2,922) (1,373) 1,092 28 1,121 5,216 (2,804) (1,314) 1,097 78 1,175 Arval & Leasing Solutions 3,438 (1,395) (146) 1,897 60 1,957 2,675 (1,298) (150) 1,227 8 1,235 New Digital Businesses & Personal Investors (1) 837 (571) (100) 166 (9) 157 735 (506) (5) 224 (2) 222 Investment & Protections Services 6,670 (4,363) 3 2,309 310 2,620 6,476 (4,218) (7) 2,251 249 2,499 Insurance 2,774 (1,558) (2) 1,214 161 1,376 2,827 (1,536) (1) 1,289 79 1,368 Wealth Management 1,612 (1,230) 3 385 39 424 1,476 (1,134) (10) 332 1 333 Asset Management (2) 2,284 (1,576) 2 710 110 820 2,173 (1,548) 5 630 168 798 Other Activities (279) (1,067) (185) (1,531) (36) (1,567) 308 (903) (159) (754) 792 38 TOTAL GROUP 50,419 (33,702) (2,965) 13,752 698 14,450 46,235 (31,111) (2,925) 12,199 1,438 13,637 Reclassi\ufb01cation of discontinued activities (note 7.d) (2,788) 2,007 (39) (820) (3) (823) (2,473) 1,645 (46) (874) (19) (893) TOTAL CONTINUING ACTIVITIES 47,631 (31,695) (3,004) 12,932 695 13,627 43,762 (29,466) (2,971) 11,325 1,419 12,744 (1) Commercial & Personal Banking in France, BNL banca commerciale, Commercial & Personal Banking in Belgium, Commercial & Personal Banking in Luxembourg, Europe- Mediterranean, BancWest and Personal Investors after the reallocation within Wealth and Asset Management of one-third of the Wealth Management activities in France, Italy, Belgium, Luxembourg, Germany, T\u00fcrkiye, Poland and the United States. (2) Including Real Estate and Principal Investments. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 225 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 NET COMMISSION INCOME BY BUSINESS SEGMENT, INCLUDING FEES ACCOUNTED FOR UNDER \u201cNET INCOME FROM INSURANCE ACTIVITIES\u201d In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Corporate & Institutional Banking 2,310 2,766 Global Banking 2,037 2,199 Global Markets (1,223) (891) Securities Services 1,497 1,458 Commercial, Personal Banking & Services 7,220 6,930 Commercial & Personal Banking in the eurozone 5,059 4,795 Commercial & Personal Banking in France (1) 2,896 2,664 BNL banca commerciale (1) 1,047 1,071 Commercial & Personal Banking in Belgium (1) 1,028 981 Commercial & Personal Banking in Luxembourg (1) 88 79 Commercial & Personal Banking in the rest of the world 876 849 Europe-Mediterranean (1) 448 467 BancWest (1) 428 382 Specialised businesses 1,285 1,286 Personal Finance 743 750 Arval & Leasing Solutions 41 40 New Digital Businesses & Personal Investors (1) 501 495 Investment & Protections Services (893) (607) Insurance (3,288) (3,072) Wealth Management 789 836 Asset Management (2) 1,606 1,630 Other activities 58 (55) TOTAL GROUP 8,696 9,034 (1) Commercial & Personal Banking in France, BNL banca commerciale, Commercial & Personal Banking in Belgium, Commercial & Personal Banking in Luxembourg, Europe-Mediterranean, BancWest and Personal Investors after the reallocation within Wealth and Asset Management of one-third of the Wealth Management activities in France, Italy, Belgium, Luxembourg, Germany, T\u00fcrkiye, Poland and the United States. (2) Including Real Estate and Principal Investments. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 226 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 ASSETS AND LIABILITIES BY BUSINESS SEGMENT In millions of euros, at 31 December 2022 31 December 2021 Asset Liability Asset Liability Corporate & Institutional Banking 1,136,501 1,302,279 1,098,288 1,232,312 Global Banking 183,096 239,352 165,082 202,807 Global Markets 913,848 908,354 871,532 872,645 Securities Services 39,557 154,573 61,674 156,860 Commercial, Personal Banking & Services 843,216 793,620 818,842 774,956 Commercial & Personal Banking in the eurozone 546,268 584,747 529,698 578,604 Commercial & Personal Banking in France 235,614 255,334 218,249 250,094 BNL banca commerciale 94,230 93,880 94,229 92,427 Commercial & Personal Banking in Belgium 189,119 204,538 188,732 204,867 Commercial & Personal Banking in Luxembourg 27,305 30,995 28,488 31,216 Commercial & Personal Banking in the rest of the world 141,356 138,231 145,625 131,837 Europe-Mediterranean 59,132 55,360 57,323 51,206 BancWest 82,224 82,871 88,302 80,631 Specialised businesses 155,592 70,642 143,519 64,515 Personal Finance 94,906 24,412 90,753 23,507 Arval & Leasing Solutions 56,668 12,443 50,654 9,439 New Digital Businesses & Personal Investors 4,019 33,787 2,112 31,569 Investment & Protections Services 283,029 312,142 318,241 336,654 Insurance 247,403 234,129 280,766 262,238 Wealth Management 28,242 74,563 29,583 70,686 Asset Management 7,384 3,450 7,892 3,730 Other activities 403,630 258,335 399,073 290,522 TOTAL GROUP 2,666,376 2,666,376 2,634,444 2,634,444 Information by business segment relating to goodwill is presented in note 4.o Goodwill.Information by geographic area The geographic split of segment results, assets and liabilities is based on the region in which they are recognised for accounting purposes, adjusted as per the managerial origin of the business activity. It does not necessarily re\ufb02ect the counterparty\u2019s nationality or the location of operational businesses. \u27a4 REVENUES BY GEOGRAPHIC AREA INCLUDING NET INCOME FROM DISCONTINUED ACTIVITIES In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 EMEA 39,770 36,506 Americas (North and South) 6,650 6,153 APAC 3,999 3,576 TOTAL GROUP 50,419 46,235 \u27a4 ASSETS AND LIABILITIES, IN CONTRIBUTION TO THE CONSOLIDATED ACCOUNTS, BY GEOGRAPHIC AREA In millions of euros 31 December 2022 31 December 2021 EMEA 2,190,667 2,173,683 Americas (North and South) 305,141 294,601 APAC 170,568 166,160 TOTAL GROUP 2,666,376 2,634,444 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 227 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
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    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
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  },
  "fact_9622": {
   "value": "INCOME BY BUSINESS SEGMENT In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Revenues Operating expenses Cost of risk Operating income Non-operating items Pre-tax income Revenues Operating expenses Cost of risk Operating income Non- operating items Pre-tax income Corporate & Institutional Banking 16,465 (10,753) (325) 5,387 10 5,398 14,236 (9,467) (173) 4,596 58 4,654 Global Banking 5,218 (2,878) (336) 2,004 4 2,009 5,087 (2,652) (201) 2,234 11 2,246 Global Markets 8,660 (5,806) 11 2,866 4 2,870 6,820 (4,924) 27 1,923 19 1,942 Securities Services 2,587 (2,069) 517 2 519 2,329 (1,892) 1 439 27 466 Commercial, Personal Banking & Services 27,563 (17,518) (2,458) 7,586 414 8,000 25,216 (16,523) (2,586) 6,106 340 6,447 Commercial & Personal Banking in the eurozone 12,948 (8,976) (726) 3,246 42 3,288 12,303 (8,659) (1,018) 2,626 56 2,682 Commercial & Personal Banking in France (1) 6,361 (4,530) (245) 1,587 26 1,613 5,966 (4,395) (428) 1,144 37 1,181 BNL banca commerciale (1) 2,548 (1,676) (464) 408 3 410 2,591 (1,726) (488) 377 377 Commercial & Personal Banking in Belgium (1) 3,577 (2,502) (36) 1,039 10 1,049 3,332 (2,277) (100) 954 19 973 Commercial & Personal Banking in Luxembourg (1) 461 (268) 19 213 3 216 414 (262) (2) 150 150 Commercial & Personal Banking in the rest of the world 4,953 (3,655) (113) 1,185 292 1,477 4,286 (3,255) (99) 932 201 1,133 Europe-Mediterranean (1) 2,321 (1,641) (152) 528 289 817 1,926 (1,598) (145) 182 181 364 BancWest (1) 2,632 (2,014) 39 657 4 660 2,361 (1,656) 45 750 19 769 Specialised businesses 9,662 (4,888) (1,619) 3,155 80 3,235 8,627 (4,609) (1,469) 2,549 84 2,632 Personal Finance 5,387 (2,922) (1,373) 1,092 28 1,121 5,216 (2,804) (1,314) 1,097 78 1,175 Arval & Leasing Solutions 3,438 (1,395) (146) 1,897 60 1,957 2,675 (1,298) (150) 1,227 8 1,235 New Digital Businesses & Personal Investors (1) 837 (571) (100) 166 (9) 157 735 (506) (5) 224 (2) 222 Investment & Protections Services 6,670 (4,363) 3 2,309 310 2,620 6,476 (4,218) (7) 2,251 249 2,499 Insurance 2,774 (1,558) (2) 1,214 161 1,376 2,827 (1,536) (1) 1,289 79 1,368 Wealth Management 1,612 (1,230) 3 385 39 424 1,476 (1,134) (10) 332 1 333 Asset Management (2) 2,284 (1,576) 2 710 110 820 2,173 (1,548) 5 630 168 798 Other Activities (279) (1,067) (185) (1,531) (36) (1,567) 308 (903) (159) (754) 792 38 TOTAL GROUP 50,419 (33,702) (2,965) 13,752 698 14,450 46,235 (31,111) (2,925) 12,199 1,438 13,637 Reclassi\ufb01cation of discontinued activities (note 7.d) (2,788) 2,007 (39) (820) (3) (823) (2,473) 1,645 (46) (874) (19) (893) TOTAL CONTINUING ACTIVITIES 47,631 (31,695) (3,004) 12,932 695 13,627 43,762 (29,466) (2,971) 11,325 1,419 12,744 (1) Commercial & Personal Banking in France, BNL banca commerciale, Commercial & Personal Banking in Belgium, Commercial & Personal Banking in Luxembourg, Europe- Mediterranean, BancWest and Personal Investors after the reallocation within Wealth and Asset Management of one-third of the Wealth Management activities in France, Italy, Belgium, Luxembourg, Germany, T\u00fcrkiye, Poland and the United States. (2) Including Real Estate and Principal Investments. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 225 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 NET COMMISSION INCOME BY BUSINESS SEGMENT, INCLUDING FEES ACCOUNTED FOR UNDER \u201cNET INCOME FROM INSURANCE ACTIVITIES\u201d In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Corporate & Institutional Banking 2,310 2,766 Global Banking 2,037 2,199 Global Markets (1,223) (891) Securities Services 1,497 1,458 Commercial, Personal Banking & Services 7,220 6,930 Commercial & Personal Banking in the eurozone 5,059 4,795 Commercial & Personal Banking in France (1) 2,896 2,664 BNL banca commerciale (1) 1,047 1,071 Commercial & Personal Banking in Belgium (1) 1,028 981 Commercial & Personal Banking in Luxembourg (1) 88 79 Commercial & Personal Banking in the rest of the world 876 849 Europe-Mediterranean (1) 448 467 BancWest (1) 428 382 Specialised businesses 1,285 1,286 Personal Finance 743 750 Arval & Leasing Solutions 41 40 New Digital Businesses & Personal Investors (1) 501 495 Investment & Protections Services (893) (607) Insurance (3,288) (3,072) Wealth Management 789 836 Asset Management (2) 1,606 1,630 Other activities 58 (55) TOTAL GROUP 8,696 9,034 (1) Commercial & Personal Banking in France, BNL banca commerciale, Commercial & Personal Banking in Belgium, Commercial & Personal Banking in Luxembourg, Europe-Mediterranean, BancWest and Personal Investors after the reallocation within Wealth and Asset Management of one-third of the Wealth Management activities in France, Italy, Belgium, Luxembourg, Germany, T\u00fcrkiye, Poland and the United States. (2) Including Real Estate and Principal Investments. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 226 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 ASSETS AND LIABILITIES BY BUSINESS SEGMENT In millions of euros, at 31 December 2022 31 December 2021 Asset Liability Asset Liability Corporate & Institutional Banking 1,136,501 1,302,279 1,098,288 1,232,312 Global Banking 183,096 239,352 165,082 202,807 Global Markets 913,848 908,354 871,532 872,645 Securities Services 39,557 154,573 61,674 156,860 Commercial, Personal Banking & Services 843,216 793,620 818,842 774,956 Commercial & Personal Banking in the eurozone 546,268 584,747 529,698 578,604 Commercial & Personal Banking in France 235,614 255,334 218,249 250,094 BNL banca commerciale 94,230 93,880 94,229 92,427 Commercial & Personal Banking in Belgium 189,119 204,538 188,732 204,867 Commercial & Personal Banking in Luxembourg 27,305 30,995 28,488 31,216 Commercial & Personal Banking in the rest of the world 141,356 138,231 145,625 131,837 Europe-Mediterranean 59,132 55,360 57,323 51,206 BancWest 82,224 82,871 88,302 80,631 Specialised businesses 155,592 70,642 143,519 64,515 Personal Finance 94,906 24,412 90,753 23,507 Arval & Leasing Solutions 56,668 12,443 50,654 9,439 New Digital Businesses & Personal Investors 4,019 33,787 2,112 31,569 Investment & Protections Services 283,029 312,142 318,241 336,654 Insurance 247,403 234,129 280,766 262,238 Wealth Management 28,242 74,563 29,583 70,686 Asset Management 7,384 3,450 7,892 3,730 Other activities 403,630 258,335 399,073 290,522 TOTAL GROUP 2,666,376 2,666,376 2,634,444 2,634,444 Information by business segment relating to goodwill is presented in note 4.o Goodwill.",
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    "language": "en",
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    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9623": {
   "value": "Information by geographic area The geographic split of segment results, assets and liabilities is based on the region in which they are recognised for accounting purposes, adjusted as per the managerial origin of the business activity. It does not necessarily re\ufb02ect the counterparty\u2019s nationality or the location of operational businesses. \u27a4 REVENUES BY GEOGRAPHIC AREA INCLUDING NET INCOME FROM DISCONTINUED ACTIVITIES In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 EMEA 39,770 36,506 Americas (North and South) 6,650 6,153 APAC 3,999 3,576 TOTAL GROUP 50,419 46,235 \u27a4 ASSETS AND LIABILITIES, IN CONTRIBUTION TO THE CONSOLIDATED ACCOUNTS, BY GEOGRAPHIC AREA In millions of euros 31 December 2022 31 December 2021 EMEA 2,190,667 2,173,683 Americas (North and South) 305,141 294,601 APAC 170,568 166,160 TOTAL GROUP 2,666,376 2,634,444 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 227 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfGeographicalAreasExplanatory",
    "language": "en",
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    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9624": {
   "value": "Financial assets and liabilities at fair value through profit or loss Financial assets and \ufb01nancial liabilities at fair value through pro\ufb01t or loss consist of held-for-trading transactions \u2013 including derivatives, of certain liabilities designated by the Group as at fair value through pro\ufb01t or loss at the time of issuance and of non-trading instruments whose characteristics prevent their accounting at amortised cost or at fair value through equity. In millions of euros 31 December 2022 31 December 2021 Financial instruments held for trading Financial instruments designated as at fair value through pro\ufb01t or loss Other \ufb01nancial assets at fair value through pro\ufb01t or loss Total Financial instruments held for trading Financial instruments designated as at fair value through pro\ufb01t or loss Other \ufb01nancial assets at fair value through pro\ufb01t or loss Total Securities 157,138 1,273 7,666 166,077 181,079 2,898 7,530 191,507 Loans and repurchase agreements 186,968 4,157 191,125 247,507 2,301 249,808 FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS 344,106 1,273 11,823 357,202 428,586 2,898 9,831 441,315 Securities 99,155 99,155 112,338 112,338 Deposits and repurchase agreements 232,351 1,725 234,076 291,577 1,879 293,456 Issued debt securities (note 4.h) 70,460 70,460 70,383 70,383 of which subordinated debt 675 675 947 947 of which non subordinated debt 64,110 64,110 62,334 62,334 of which debt representative of shares of consolidated funds held by third parties 5,675 5,675 7,102 7,102 FINANCIAL LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS 331,506 72,185 403,691 403,915 72,262 476,177 Detail of these assets and liabilities is provided in note 4.d. Financial liabilities designated as at fair value through profit or loss Financial liabilities at fair value through pro\ufb01t or loss mainly consist of issued debt securities, originated and structured on behalf of customers, where the risk exposure is managed in combination with the hedging strategy. These types of issued debt securities contain signi\ufb01cant embedded derivatives, which changes in value may be compensated by changes in the value of economic hedging derivatives. The redemption value of debt issued and designated as at fair value through pro\ufb01t or loss at 31 December 2022 was EUR 70,940 million (EUR 59,958 million at 31 December 2021). Other financial assets measured at fair value through profit or loss Other \ufb01nancial assets at fair value through pro\ufb01t or loss are \ufb01nancial assets not held for trading: \u25a0 debt instruments that do not meet the criteria de\ufb01ned by IFRS 9 to be classi\ufb01ed as \ufb01nancial instruments at \u201cfair value through equity\u201d or at \u201camortised cost\u201d: \u25a0 their business model is not to \u201ccollect contractual cash \ufb02ows\u201d nor \u201ccollect contractual cash \ufb02ows and sell the instruments\u201d, and/or \u25a0 their cash \ufb02ows are not solely repayments of principal and interest on the principal amount outstanding; \u25a0 equity instruments that the Group did not choose to classify as at \u201cfair value through equity\u201d. Derivative financial instruments The majority of derivative \ufb01nancial instruments held for trading are related to transactions initiated for trading purposes. They may result from market- making or arbitrage activities. BNP Paribas actively trades in derivatives. Transactions include trades in \u201cordinary\u201d instruments such as credit default swaps, and structured transactions with complex risk pro\ufb01les tailored to meet the needs of its customers. The net position is in all cases subject to limits. Some derivative instruments are also contracted to hedge \ufb01nancial assets or \ufb01nancial liabilities for which the Group has not documented a hedging relationship, or which do not qualify for hedge accounting under IFRS. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 228 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In millions of euros 31 December 2022 31 December 2021 Positive market value Negative market value Positive market value Negative market value Interest rate derivatives 150,122 125,215 119,219 107,490 Foreign exchange derivatives 134,382 129,274 75,314 75,694 Credit derivatives 7,294 7,731 8,371 8,451 Equity derivatives 22,602 27,291 24,217 35,071 Other derivatives 13,532 10,610 13,302 10,691 DERIVATIVE FINANCIAL INSTRUMENTS 327,932 300,121 240,423 237,397 The table below shows the total notional amount of trading derivatives. The notional amounts of derivative instruments are merely an indication of the volume of the Group\u2019s activities in \ufb01nancial instruments markets, and do not re\ufb02ect the market risks associated with such instruments. In millions of euros 31 December 2022 31 December 2021 Exchange- traded Over-the- counter, cleared through central clearing houses Over-the- counter Total Exchange- traded Over-the- counter, cleared through central clearing houses Over-the- counter Total Interest rate derivatives 1,442,663 12,349,703 5,254,166 19,046,532 1,319,006 9,761,179 4,846,327 15,926,512 Foreign exchange derivatives 40,292 130,148 7,610,392 7,780,832 56,415 133,330 6,873,623 7,063,368 Credit derivatives 464,228 518,926 983,154 392,338 545,919 938,257 Equity derivatives 1,177,728 535,465 1,713,193 799,005 506,164 1,305,169 Other derivatives 133,820 95,722 229,542 107,162 92,077 199,239 DERIVATIVE FINANCIAL INSTRUMENTS 2,794,503 12,944,079 14,014,671 29,753,253 2,281,588 10,286,847 12,864,110 25,432,545 As part of its Client Clearing activity, the Group guarantees the risk of default of its clients to central counterparties. The corresponding notional amount is EUR 1,187 billion at 31 December 2022 (EUR 1,050 billion at 31 December 2021).4.b DERIVATIVES USED FOR HEDGING PURPOSES The table below shows the notional amounts and the fair value of derivatives used for hedging purposes. In millions of euros 31 December 2022 31 December 2021 Notional amounts Positive fair value Negative fair value Notional amounts Positive fair value Negative fair value Fair value hedges 1,103,455 24,213 36,872 755,989 7,010 9,593 Interest rate derivatives 1,094,689 23,955 36,525 746,253 6,689 9,512 Foreign exchange derivatives 8,766 258 347 9,736 321 81 Cash \ufb02ow hedges 213,866 1,126 3,070 213,743 1,606 481 Interest rate derivatives 59,641 429 1,602 50,509 1,085 254 Foreign exchange derivatives 153,811 664 1,416 162,827 442 209 Other derivatives 414 33 52 407 79 18 Net foreign investment hedges 1,719 62 59 2,659 64 2 Foreign exchange derivatives 1,719 62 59 2,659 64 2 DERIVATIVES USED FOR HEDGING PURPOSES 1,319,040 25,401 40,001 972,391 8,680 10,076 Interest rate risk and foreign exchange risk management strategies are described in chapter 5 Pillar 3 of the Universal registration document (section 5.7 Market risk \u2013 Market risk related to banking activities). Quantitative information related to foreign currency borrowings used for net investment hedges is also mentioned in this chapter. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 229 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The table below presents the detail of fair value hedge relationships for identi\ufb01ed \ufb01nancial instruments and portfolios of \ufb01nancial instruments that are continuing at 31 December 2022: In millions of euros, at 31 December 2022 Hedging instruments Hedged instruments Notional amounts Positive fair value Negative fair value Cumulated changes in fair value used as the basis for recognising ineffectiveness Carrying amount \u2013 asset Cumulated changes in fair value \u2013 asset Carrying amount \u2013 liability Cumulated changes in fair value \u2013 liability Fair value hedges of identi\ufb01ed instruments 332,749 11,155 12,711 1,500 114,741 (12,204) 122,280 (10,588) Interest rate derivatives hedging the interest rate risk related to 325,470 10,992 12,376 1,487 110,376 (12,128) 119,694 (10,540) Loans and receivables 19,827 613 171 527 18,394 (541) Securities 131,460 10,297 1,258 11,521 91,982 (11,587) Deposits 8,081 31 291 (375) 7,878 (388) Debt securities 166,102 51 10,656 (10,186) 111,816 (10,152) Foreign exchange derivatives hedging the interest rate and foreign exchange risks related to 7,279 163 335 13 4,365 (76) 2,586 (48) Loans and receivables 2,619 95 64 35 2,410 (42) Securities 1,957 55 12 34 1,955 (34) Deposits 64 30 2 76 2 Debt securities 2,639 13 229 (58) 2,510 (50) Interest rate risk hedged portfolios 770,706 13,058 24,161 (11,240) 204,827 (8,877) 310,192 (20,063) Interest rate derivatives hedging the interest rate risk related to (1) 769,218 12,963 24,149 (11,292) 203,490 (8,830) 310,192 (20,063) Loans and receivables 346,924 9,243 162 9,680 203,490 (8,830) Deposits 422,294 3,720 23,987 (20,972) 310,192 (20,063) Foreign exchange derivatives hedging the interest rate and foreign exchange risks related to 1,488 95 12 52 1,337 (47) Loans and receivables 1,488 95 12 52 1,337 (47) TOTAL FAIR VALUE HEDGE 1,103,455 24,213 36,872 (9,740) 319,568 (21,081) 432,472 (30,651) (1) Are included in this section the notional amounts of hedging derivatives and of swaps that reverse the interest rate positions, thus reducing the hedge relationship, when the hedged item still exists, for respectively EUR 121,183 million for derivatives hedging loans and receivables and EUR 103,261 million for derivatives hedging deposits. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 230 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The table below presents the detail of fair value hedge relationships for identi\ufb01ed \ufb01nancial instruments and portfolios of \ufb01nancial instruments that are continuing at 31 December 2021: In millions of euros, at 31 December 2021 Hedging instruments Hedged instruments Notional amounts Positive fair value Negative fair value Cumulated changes in fair value used as the basis for recognising ineffectiveness Carrying amount \u2013 asset Cumulated changes in fair value \u2013 asset Carrying amount \u2013 liability Cumulated changes in fair value \u2013 liability Fair value hedges of identi\ufb01ed instruments 302,733 3,013 6,008 (643) 110,232 1,530 116,360 1,131 Interest rate derivatives hedging the interest rate risk related to 294,121 2,818 5,939 (741) 105,419 1,601 112,726 1,099 Loans and receivables 20,854 213 518 (278) 19,242 276 Securities 112,596 1,179 5,399 (1,531) 86,177 1,325 Deposits 6,725 351 17 274 6,644 271 Debt securities 153,946 1,075 5 794 106,082 828 Foreign exchange derivatives hedging the interest rate and foreign exchange risks related to 8,612 195 69 98 4,813 (71) 3,634 32 Loans and receivables 2,433 140 2 48 2,308 (51) Securities 2,518 28 12 20 2,505 (20) Deposits 181 3 21 9 197 9 Debt securities 3,480 24 34 21 3,437 23 Interest rate risk hedged portfolios 453,256 3,997 3,585 (16) 109,933 1,463 178,771 1,320 Interest rate derivatives hedging the interest rate risk related to (1) 452,132 3,871 3,573 (58) 108,893 1,504 178,771 1,320 Loans and receivables 183,765 606 2,574 (1,603) 108,893 1,504 Deposits 268,367 3,265 999 1,545 178,771 1,320 Foreign exchange derivatives hedging the interest rate and foreign exchange risks related to 1,124 126 12 42 1,040 (41) Loans and receivables 1,124 126 12 42 1,040 (41) TOTAL FAIR VALUE HEDGE 755,989 7,010 9,593 (659) 220,165 2,993 295,131 2,451 (1) Are included in this section the notional amounts of hedging derivatives and of swaps that reverse the interest rate positions, thus reducing the hedge relationship, when the hedged item still exists, for respectively EUR 55,414 million for derivatives hedging loans and receivables and EUR 86,139 million for derivatives hedging deposits. An asset or a liability or set of assets and liabilities, can be hedged over several periods of time with different derivative \ufb01nancial instruments. Besides, some hedges are achieved by the combination of two derivative instruments. In this case, the notional amounts add up and their total amount is higher than the hedged amount. The \ufb01rst situation is observed more particularly for interest rate risk hedged portfolios and the second for hedges of issued debt securities. As regards discontinued fair value hedge relationships where the derivative contract was terminated, the cumulated amount of revaluation remaining to be amortised over the residual life of the hedged instruments amounts to EUR 1,399 million in assets at 31 December 2022, and to EUR -138 million in liabilities, for hedges of portfolios of \ufb01nancial instruments. At 31 December 2021, these amounts were EUR 1,509 million in assets and 14 million in liabilities. Regarding hedges of identi\ufb01ed instruments, the cumulated amount of revaluation remaining to be amortised over the residual life of the hedged instruments amounts to EUR 111 million in assets at 31 December 2022. At 31 December 2021, this amount was EUR 117 million in assets. The notional amount of cash \ufb02ow hedge derivatives is EUR 213,866 million at 31 December 2022. Changes in assets and liabilities recognised directly in equity amount to EUR -245 million. At 31 December 2021, the notional amount of cash \ufb02ow hedge derivatives was EUR 213,743 million and changes in assets and liabilities recognised directly in equity amounted to EUR 1,329 million. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 231 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The tables below present the notional amounts of hedging derivatives by maturity at 31 December 2022 and at 31 December 2021: In millions of euros, at 31 December 2022 Maturity date Less than 1 year Between 1 and 5 years Over 5 years Total Fair value hedges 382,063 430,968 290,424 1,103,455 Interest rate derivatives 378,055 426,364 290,270 1,094,689 Foreign exchange derivatives 4,008 4,604 154 8,766 Cash \ufb02ow hedges 142,568 51,041 20,257 213,866 Interest rate derivatives 18,178 30,041 11,422 59,641 Foreign exchange derivatives 124,223 20,753 8,835 153,811 Other derivatives 167 247 414 Net foreign investment hedges 1,719 - - 1,719 Foreign exchange derivatives 1,719 1,719 In millions of euros, at 31 December 2021 Maturity date Less than 1 year Between 1 and 5 years Over 5 years Total Fair value hedges 149,613 340,799 265,577 755,989 Interest rate derivatives 146,649 334,411 265,193 746,253 Foreign exchange derivatives 2,964 6,388 384 9,736 Cash \ufb02ow hedges 146,392 43,108 24,243 213,743 Interest rate derivatives 10,350 27,777 12,382 50,509 Foreign exchange derivatives 135,867 15,099 11,861 162,827 Other derivatives 175 232 407 Net foreign investment hedges 2,559 100 - 2,659 Foreign exchange derivatives 2,559 100 2,659",
   "dimensions": {
    "concept": "bnpp:DisclosureOfTradingDerivativeFinancialInstrumentsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
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  "fact_9627": {
   "value": "4.d MEASUREMENT OF THE FAIR VALUE OF FINANCIAL INSTRUMENTS Valuation process BNP Paribas has retained the fundamental principle that it should have a unique and integrated processing chain for producing and controlling the valuations of \ufb01nancial instruments that are used for the purpose of daily risk management and \ufb01nancial reporting. All these processes are based on a common economic valuation which is a core component of business decisions and risk management strategies. Economic value is composed of mid-market value, to which valuation adjustments are made. Mid-market value is derived from external data or valuation techniques that maximise the use of observable and market-based data. Mid-market value is a theoretical additive value which does not take account of i) the direction of the transaction or its impact on the existing risks in the portfolio, ii) the nature of the counterparties, and iii) the aversion of a market participant to particular risks inherent in the instrument, the market in which it is traded, or the risk management strategy. Valuation adjustments take into account valuation uncertainty and include market and credit risk premiums to re\ufb02ect costs that could be incurred in case of an exit transaction in the principal market. Fair value generally equals the economic value, subject to limited adjustments, such as own credit adjustments, which are speci\ufb01cally required by IFRS standards. The main valuation adjustments are presented in the section below. Valuation adjustments Valuation adjustments retained by BNP Paribas for determining fair values are as follows: Bid/offer adjustments: the bid/offer range re\ufb02ects the additional exit cost for a price taker and symmetrically the compensation sought by dealers to bear the risk of holding the position or closing it out by accepting another dealer\u2019s price. BNP Paribas assumes that the best estimate of an exit price is the bid or offer price, unless there is evidence that another point in the bid/offer range would provide a more representative exit price. Input uncertainty adjustments: when the observation of prices or data inputs required by valuation techniques is dif\ufb01cult or irregular, an uncertainty exists on the exit price. There are several ways to gauge the degree of uncertainty on the exit price such as measuring the dispersion of the available price indications or estimating the possible ranges of the inputs to a valuation technique. Model uncertainty adjustments: these relate to situations where valuation uncertainty is due to the valuation technique used, even though observable inputs might be available. This situation arises when the risks inherent in the instruments are different from those available in the observable data, and therefore the valuation technique involves assumptions that cannot be easily corroborated. Future Hedging Costs adjustments (FHC): this adjustment applies to positions classi\ufb01ed in Level 3 that require dynamic hedging throughout their lifetime leading to additional bid/offer costs. Calculation methods capture these expected costs in particular based on the optimal hedging frequency. Credit valuation adjustment (CVA): the CVA adjustment applies to valuations and market quotations whereby the credit worthiness of the counterparty is not re\ufb02ected. It aims to account for the possibility that the counterparty may default and that BNP Paribas may not receive the full fair value of the transactions. In determining the cost of exiting or transferring counterparty risk exposures, the relevant market is deemed to be an inter-dealer market. However, the determination of CVA remains judgemental due to: \u25a0 the possible absence or lack of price discovery in the inter-dealer market; \u25a0 the in\ufb02uence of the regulatory landscape relating to counterparty risk on the market participants\u2019 pricing behaviour; and \u25a0 the absence of a dominant business model for managing counterparty risk. The CVA model is grounded on the same exposures as those used for regulatory purposes. The model attempts to estimate the cost of an optimal risk management strategy based on i) implicit incentives and constraints inherent in the regulations in force and their evolutions, ii) market perception of the probability of default, and iii) default parameters used for regulatory purposes. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 233 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Funding valuation adjustment (FVA): when valuation techniques are used for the purpose of deriving fair value, funding assumptions related to the future expected cash \ufb02ows are an integral part of the mid-market valuation, notably through the use of appropriate discount rates. These assumptions re\ufb02ect what the Bank anticipates as being the effective funding conditions of the instrument that a market participant would consider. This notably takes into account the existence and terms of any collateral agreement. In particular, for non- or imperfectly collateralised derivative instruments, they include an explicit adjustment to the interbank interest rate. Own-credit valuation adjustment for debts (OCA) and for derivatives (debit valuation adjustment \u2013 DVA): OCA and DVA are adjustments re\ufb02ecting the effect of credit worthiness of BNP Paribas, on respectively the value of debt securities designated as at fair value through pro\ufb01t or loss and derivatives. Both adjustments are based on the expected future liability pro\ufb01les of such instruments. The own credit worthiness is inferred from the market-based observation of the relevant bond issuance levels. The DVA adjustment is determined after taking into account the Funding Valuation Adjustment (FVA). Thus, the carrying value of debt securities designated as at fair value though pro\ufb01t or loss is decreased by EUR 160 million at 31 December 2022, compared with an increase in value of EUR 359 million at 31 December 2021, i.e. a -EUR 519 million variation recognised directly in equity that will not be reclassi\ufb01ed to pro\ufb01t or loss. Instrument classes and classification within the fair value hierarchy for assets and liabilities measured at fair value As explained in the summary of signi\ufb01cant accounting policies (note 1.e.10), \ufb01nancial instruments measured at fair value are categorised into a fair value hierarchy consisting of three levels. In millions of euros 31 December 2022 Financial instruments held for trading Instruments at fair value through pro\ufb01t or loss not held for trading Financial assets at fair value through equity Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Securities 130,589 25,744 805 157,138 1,643 1,495 5,801 8,939 32,727 4,395 944 38,066 Governments 59,860 10,136 28 70,024 - 16,783 1,770 127 18,680 Other debt securities 16,454 14,695 630 31,779 1,152 500 333 1,985 14,497 2,412 288 17,197 Equities and other equity securities 54,275 913 147 55,335 491 995 5,468 6,954 1,447 213 529 2,189 Loans and repurchase agreements - 186,170 798 186,968 - 1,274 2,883 4,157 - - - - Loans 6,428 5 6,433 1,274 2,883 4,157 Repurchase agreements 179,742 793 180,535 - FINANCIAL ASSETS AT FAIR VALUE 130,589 211,914 1,603 344,106 1,643 2,769 8,684 13,096 32,727 4,395 944 38,066 Securities 97,367 1,716 72 99,155 - - - - Governments 57,949 92 16 58,057 - Other debt securities 13,183 1,581 47 14,811 - Equities and other equity securities 26,235 43 9 26,287 - Borrowings and repurchase agreements - 230,303 2,048 232,351 - 1,472 253 1,725 Borrowings 6,952 6,952 1,472 253 1,725 Repurchase agreements 223,351 2,048 225,399 - Issued debt securities (note 4.h) - - - - 1,885 49,630 18,945 70,460 Subordinated debt (note 4.h) - 675 675 Non subordinated debt (note 4.h) - 4 45,161 18,945 64,110 Debt representative of shares of consolidated funds held by third parties - 1,881 3,794 5,675 FINANCIAL LIABILITIES AT FAIR VALUE 97,367 232,019 2,120 331,506 1,885 51,102 19,198 72,185 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 234 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In millions of euros 31 December 2021 Financial instruments held for trading Instruments at fair value through pro\ufb01t or loss not held for trading Financial assets at fair value through equity Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Securities 152,215 28,234 630 181,079 3,520 1,865 5,043 10,428 33,356 6,987 1,121 41,464 Governments 82,556 10,962 36 93,554 - 16,263 3,717 19,980 Other debt securities 20,921 15,697 404 37,022 2,867 696 404 3,967 15,551 3,057 318 18,926 Equities and other equity securities 48,738 1,575 190 50,503 653 1,169 4,639 6,461 1,542 213 803 2,558 Loans and repurchase agreements - 246,895 612 247,507 - 1,398 903 2,301 - - - - Loans 6,525 13 6,538 1,398 903 2,301 Repurchase agreements 240,370 599 240,969 - FINANCIAL ASSETS AT FAIR VALUE 152,215 275,129 1,242 428,586 3,520 3,263 5,946 12,729 33,356 6,987 1,121 41,464 Securities 110,117 2,064 157 112,338 - - - - Governments 76,019 267 76,286 Other debt securities 14,382 1,683 117 16,182 Equities and other equity securities 19,716 114 40 19,870 Borrowings and repurchase agreements - 290,659 918 291,577 - 1,556 323 1,879 Borrowings 1,758 1,758 1,556 323 1,879 Repurchase agreements 288,901 918 289,819 Issued debt securities (note 4.h) - - - - 2,716 47,409 20,258 70,383 Subordinated debt (note 4.h) 947 947 Non subordinated debt (note 4.h) 42,076 20,258 62,334 Debt representative of shares of consolidated funds held by third parties 2,716 4,386 7,102 FINANCIAL LIABILITIES AT FAIR VALUE 110,117 292,723 1,075 403,915 2,716 48,965 20,581 72,262 Fair values of derivatives are broken down by dominant risk factor, namely interest rate, foreign exchange, credit and equity. Derivatives used for hedging purposes are mainly interest rate derivatives. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 235 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In millions of euros 31 December 2022 Positive market value Negative market value Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Interest rate derivatives 873 147,853 1,396 150,122 503 122,659 2,053 125,215 Foreign exchange derivatives 33 133,628 721 134,382 35 129,204 35 129,274 Credit derivatives 6,382 912 7,294 6,822 909 7,731 Equity derivatives 6,760 13,512 2,330 22,602 9,177 13,290 4,824 27,291 Other derivatives 1,295 12,158 79 13,532 843 9,629 138 10,610 DERIVATIVE FINANCIAL INSTRUMENTS NOT USED FOR HEDGING PURPOSES 8,961 313,533 5,438 327,932 10,558 281,604 7,959 300,121 DERIVATIVE FINANCIAL INSTRUMENTS USED FOR HEDGING PURPOSES - 25,401 - 25,401 - 40,001 - 40,001 In millions of euros 31 December 2021 Positive market value Negative market value Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Interest rate derivatives 331 117,854 1,034 119,219 318 105,988 1,184 107,490 Foreign exchange derivatives 40 74,827 447 75,314 36 75,388 270 75,694 Credit derivatives 7,532 839 8,371 7,562 889 8,451 Equity derivatives 9,770 12,741 1,706 24,217 12,593 15,795 6,683 35,071 Other derivatives 1,284 11,962 56 13,302 1,179 9,359 153 10,691 DERIVATIVE FINANCIAL INSTRUMENTS NOT USED FOR HEDGING PURPOSES 11,425 224,916 4,082 240,423 14,126 214,092 9,179 237,397 DERIVATIVE FINANCIAL INSTRUMENTS USED FOR HEDGING PURPOSES - 8,680 - 8,680 - 10,076 - 10,076 Transfers between levels may occur when an instrument ful\ufb01ls the criteria de\ufb01ned, which are generally market and product dependent. The main factors in\ufb02uencing transfers are changes in the observation capabilities, passage of time, and events during the transaction lifetime. The timing of recognising transfers is determined at the beginning of the reporting period. During the year ended 2022, transfers between Level 1 and Level 2 were not signi\ufb01cant. Description of main instruments in each level The following section provides a description of the instruments in each level in the hierarchy. It describes notably instruments classi\ufb01ed in Level 3 and the associated valuation methodologies. For main trading book instruments and derivatives classi\ufb01ed in Level 3, further quantitative information is provided about the inputs used to derive fair value. Level 1 This level encompasses all derivatives and securities that are listed on exchanges or quoted continuously in other active markets. Level 1 includes notably equity securities and liquid bonds, shortselling of these instruments, derivative instruments traded on organised markets (futures, options, etc.). It includes shares of funds and UCITS, for which the net asset value is calculated on a daily basis, as well as debt representative of shares of consolidated funds held by third parties. Level 2 The Level 2 stock of securities is composed of securities which are less liquid than the Level 1 bonds. They are predominantly corporate debt securities, government bonds, mortgage-backed securities, fund shares and short-term securities such as certi\ufb01cates of deposit. They are classi\ufb01ed in Level 2 notably when external prices for the same security can be regularly observed from a reasonable number of market makers that are active in this security, but these prices do not represent directly tradable prices. This comprises amongst other, consensus pricing services with a reasonable number of contributors that are active market makers as well as indicative runs from active brokers and/or dealers. Other sources such as primary issuance market, may also be used where relevant. Repurchase agreements are classi\ufb01ed predominantly in Level 2. The classi\ufb01cation is primarily based on the observability and liquidity of the repo market, depending on the underlying collateral and the maturity of the repo transaction. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 236 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Debts issued designated as at fair value through pro\ufb01t and loss, are classi\ufb01ed in the same level as the one that would apply to the embedded derivative taken individually. The issuance spread is considered observable. Derivatives classi\ufb01ed in Level 2 comprise mainly the following instruments: \u25a0 vanilla instruments such as interest rate swaps, caps, \ufb02oors and swaptions, credit default swaps, equity/foreign exchange (FX)/commodities forwards and options; \u25a0 structured derivatives for which model uncertainty is not signi\ufb01cant such as exotic FX options, mono- and multi-underlying equity/funds derivatives, single curve exotic interest rate derivatives and derivatives based on structured rates. The above derivatives are classi\ufb01ed in Level 2 when there is a documented stream of evidence supporting one of the following: \u25a0 fair value is predominantly derived from prices or quotations of other Level 1 and Level 2 instruments, through standard market interpolation or stripping techniques whose results are regularly corroborated by real transactions; \u25a0 fair value is derived from other standard techniques such as replication or discounted cash \ufb02ows that are calibrated to observable prices, that bear limited model risk and enable an effective offset of the risks of the instrument through trading Level 1 or Level 2 instruments; \u25a0 fair value is derived from more sophisticated or proprietary valuation techniques but is directly evidenced through regular back-testing using external market-based data. Determining whether an over-the-counter (OTC) derivative is eligible for Level 2 classi\ufb01cation involves judgement. Consideration is given to the origin, transparency and reliability of external data used, and the amount of uncertainty associated with the use of models. It follows that the Level 2 classi\ufb01cation criteria involve multiple analysis axis within an \u201cobservability zone\u201d whose limits are determined by i) a predetermined list of product categories and ii) the underlying and maturity bands. These criteria are regularly reviewed and updated, together with the applicable valuation adjustments, so that the classi\ufb01cation by level remains consistent with the valuation adjustment policy. Level 3 Level 3 securities of the trading book mainly comprise units of funds and unlisted equity shares measured at fair value through pro\ufb01t or loss or through equity. Unlisted private equities are systematically classi\ufb01ed as Level 3, with the exception of UCITS with a daily net asset value, which are classi\ufb01ed in the Level 1 of the fair value hierarchy. Shares and other unlisted variable income securities in Level 3 are valued using one of the following methods: a share of revalued net book value, multiples of comparable companies, future cash \ufb02ows method, multi-criteria approach. Some repurchase agreements: mainly long-term or structured repurchase agreements on corporate bonds and ABSs when the valuation of these transactions requires proprietary methodologies given the bespoke nature of the transactions and the lack of activity and price discovery in the long- term repo market. The curves used in the valuation are corroborated using available data such as recent long-term repo trade data and price enquiry data. Valuation adjustments applicable to these exposures are commensurate with the degree of uncertainty inherent in the modelling choices and amount of data available. Debts issued designated as at fair value through pro\ufb01t or loss, are classi\ufb01ed in the same level as the one that would apply to the embedded derivative taken individually. The issuance spread is considered observable. Derivatives Vanilla derivatives are classi\ufb01ed in Level 3 when the exposure is beyond the observation zone for rate curves or volatility surfaces, or relates to less liquid markets such as tranches on old credit index series or emerging markets interest rates markets. The main instruments are: \u25a0 Interest rate derivatives: exposures mainly comprise swap products in less liquid currencies. Classi\ufb01cation is driven by the lower liquidity of some maturities, while observation capabilities through consensus may be available. The valuation technique is standard, and uses external market information and extrapolation techniques; \u25a0 Credit derivatives (CDS): exposures mainly comprise CDSs beyond the maximum observable maturity and, to a much lesser extent, CDSs on illiquid or distressed names and CDSs on loan indices. Classi\ufb01cation is driven by the lack of liquidity while observation capabilities may be available notably through consensus. Level 3 exposures also comprise CDS and Total Return Swaps (TRS) positions on securitised assets. These are priced along the same modelling techniques as the underlying bonds, taking into consideration the funding basis and speci\ufb01c risk premium; \u25a0 Equity derivatives: exposures essentially comprise long dated forward or volatility products or exposures where there is a limited market for optional products. The marking of the forward curves and volatility surfaces beyond the maximum observable maturity relies on extrapolation techniques. However, when there is no market for model input, volatility or forward is generally determined on the basis of proxy or historical analysis. Similarly, long-term transactions on equity baskets are also classi\ufb01ed in Level 3, based on the absence of equity correlation observability on long maturities. These vanilla derivatives are subject to valuation adjustments linked to uncertainty on liquidity, specialised by nature of underlying and liquidity bands. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 237 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Structured derivatives classi\ufb01ed in Level 3 predominantly comprise hybrid products (FX/Interest Rates hybrids, Equity hybrids), credit correlation products, prepayment-sensitive products, some stock basket optional products and some interest rate optional instruments. The main exposures are described below, with insight into the related valuation techniques and on the source of uncertainty: \u25a0 structured interest rate options are classi\ufb01ed in Level 3 when they involve currencies where there is not suf\ufb01cient observation or when they include a quanto feature where the pay-off is measured with a forex forward \ufb01xed rate (except for the main currencies). Long term structured derivatives are also classi\ufb01ed in Level 3; \u25a0 hybrid FX/Interest rate products essentially comprise a speci\ufb01c product family known as Power Reverse Dual Currency (PRDC) when there is material valuation uncertainty. When valuation of PRDCs requires sophisticated modelling of joint behaviour of FX and interest rate, and is notably sensitive to the unobservable FX/interest rate correlations, such products are classi\ufb01ed as Level 3. PRDCs valuations are corroborated with recent trade data and consensus data; \u25a0 securitisation swaps mainly comprise \ufb01xed-rate swaps, cross-currency or basis swaps whose notional is indexed to the prepayment behaviour of some underlying portfolio. The estimation of the maturity pro\ufb01le of securitisation swaps is corroborated by statistical estimates using external historical data; \u25a0 forward volatility options are generally products whose pay-off is indexed to the future variability of a rate index such as volatility swaps. These products involve material model risk as it is dif\ufb01cult to infer forward volatility information from market-traded instruments. The valuation adjustment framework is calibrated to the uncertainty inherent in the product, and to the range of uncertainty from the existing external consensus data; \u25a0 inflation derivatives classi\ufb01ed in Level 3 mainly comprise swap products on in\ufb02ation indices that are not associated with a liquid indexed bond market, optional products on in\ufb02ation indices (such as caps and \ufb02oors) and other forms of in\ufb02ation indices involving optionality on the in\ufb02ation indices or on the in\ufb02ation annual rate. Valuation techniques used for in\ufb02ation derivatives are predominantly standard market models. Proxy techniques are used for a few limited exposures. Although the valuations are corroborated through monthly consensus data, these products are classi\ufb01ed as Level 3 due to their lack of liquidity and some uncertainties inherent in the calibration; \u25a0 the valuation of bespoke CDOs requires correlation of default events when there is material valuation uncertainty. This information is inferred from the active index tranche market through a proprietary projection technique and involves proprietary extrapolation and interpolation techniques. Multi-geography CDOs further require an additional correlation assumption. Finally, the bespoke CDO model also involves proprietary assumptions and parameters related to the dynamic of the recovery factor. CDO modelling, is calibrated on the observable index tranche markets, and is regularly back-tested against consensus data on standardised pools. The uncertainty arises from the model risk associated with the projection and geography mixing technique, and the uncertainty of associated parameters, together with the recovery modelling; \u25a0 N to Default baskets are other forms of credit correlation products, modelled through standard copula techniques. The main inputs required are the pair-wise correlations between the basket components which can be observed in the consensus and the transactions. Linear baskets are considered observable; \u25a0 equity and equity-hybrid correlation products are instruments whose pay-off is dependent on the joint behaviour of a basket of equities/indices leading to a sensitivity of the fair value measurement to the correlation amongst the basket components. Hybrid versions of these instruments involve baskets that mix equity and non-equity underlyings such as commodity indices, or foreign exchange rates. Only a subset of the Equity/index correlation matrix is regularly observable and traded, while most cross-asset correlations are not active. Therefore, classi\ufb01cation in Level 3 depends on the composition of the basket, the maturity, and the hybrid nature of the product. The correlation input is derived from a proprietary model combining historical estimators, and other adjustment factors, that are corroborated by reference to recent trades or external data. The correlation matrix is essentially available from consensus services, and when a correlation between two underlying instruments is not available, it might be obtained from extrapolation or proxy techniques. These structured derivatives are subject to speci\ufb01c valuation adjustments to cover uncertainties linked to liquidity, parameters and model risk. Valuation adjustments (CVA, DVA and FVA) The valuation adjustment for counterparty credit risk (CVA), own-credit risk for derivatives (DVA) and the explicit funding valuation adjustment (FVA) are deemed to be unobservable components of the valuation framework and therefore classi\ufb01ed in Level 3. This does not impact, in general cases, the classi\ufb01cation of individual transactions into the fair value hierarchy. However, a speci\ufb01c process allows to identify individual deals for which the marginal contribution of these adjustments and related uncertainty is signi\ufb01cant and justi\ufb01es classifying these transactions in Level 3. The table below provides the range of values of main unobservable inputs for the valuation of Level 3 \ufb01nancial instruments. The ranges displayed correspond to a variety of different underlying instruments and are meaningful only in the context of the valuation technique implemented by BNP Paribas. The weighted averages, where relevant and available, are based on fair values, nominal amounts or sensitivities. The main unobservable parameters used for the valuation of debt issued in Level 3 are equivalent to those of their economic hedge derivative. Information on those derivatives, displayed in the following table, is also applicable to these debts. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 238 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Risk classes Balance Sheet valuation (in millions of euros) Main product types composing the Level 3 stock within the risk class Valuation technique used for the product types considered Main unobservable inputs for the product types considered Range of unobservable input across Level 3 population considered Weighted average Asset Liability Repurchase agreements 793 2,048 Long-term repo and reverse- repo agreements Proxy techniques, based amongst other on the funding basis of a benchmark bond pool, that is actively traded and representative of the repo underlying Long-term repo spread on private bonds (High Yield, High Grade) and on ABSs 0 bp to 80 bp 21 bp (a) Interest rate derivatives 1,396 2,053 Hybrid Forex/Interest rates derivatives Hybrid Forex interest rate option pricing model Correlation between FX rate and interest rates. Main currency pairs are EUR/JPY, USD/JPY, AUD/JPY -13% to 53% 17% (a) Hybrid in\ufb02ation rates/Interest rates derivatives Hybrid in\ufb02ation interest rate option pricing model Correlation between interest rates and in\ufb02ation rates mainly in Europe. 3% to 14% 12% Floors and caps on in\ufb02ation rate or on the cumulative in\ufb02ation (such as redemption \ufb02oors), predominantly on European and French in\ufb02ation In\ufb02ation pricing model Volatility of cumulative in\ufb02ation 1% to 11.7% (b) Volatility of the year-on-year in\ufb02ation rate 0.4% to 3.3% Forward Volatility products such as volatility swaps, mainly in euros Interest rates option pricing model Forward volatility of interest rates 0.6% to 1.2% (b) Balance-guaranteed \ufb01xed rate, basis or cross currency swaps, predominantly on European collateral pools Prepayment modelling Discounted cash \ufb02ows Constant prepayment rates 0% to 18% 1% (a) Credit derivatives 912 909 Collateralised Debt Obligations and index tranches for inactive index series Base correlation projection technique and recovery modelling Base correlation curve for bespoke portfolios 17% to 85% (b) Recovery rate variance for single name underlyings 0 to 25% (b) N-to-default baskets Credit default model Default correlation 48% to 73% 53% (a) Single name Credit Default Swaps (other than CDS on ABSs and loans indices) Stripping, extrapolation and interpolation Credit default spreads beyond observation limit (10 years) 45 bp to 535 bp (1) 435 bp (c) Illiquid credit default spread curves (across main tenors) 8 bp to 610 bp (2) 99 bp (c) Equity derivatives 2,330 4,824 Simple and complex derivatives on multi- underlying baskets on stocks Various volatility option models Unobservable equity volatility 0% to 124% (3) 33% (d) Unobservable equity correlation 25% to 100% 73% (c) (1) The upper part of the range relates to a signi\ufb01cant balance sheet position on an issuer belonging to the European telecommunication sector. The remaining positions relate mainly to sovereign and \ufb01nancial issuers. (2) The upper bound of the range relates to distribution, consumer and transportation sector issuers that represent an insigni\ufb01cant portion of the balance sheet (CDSs with illiquid underlying instruments). (3) The upper part of the range relates to 6 equities representing a non-material portion of the balance sheet on options with equity underlying instruments. Including these inputs, the upper bound of the range would be around 289%. (a) Weights based on relevant risk axis at portfolio level. (b) No weighting, since no explicit sensitivity is attributed to these inputs. (c) Weighting is not based on risks, but on an alternative methodology in relation with the Level 3 instruments (present value or notional). (d) Simple averaging. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 239 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Table of movements in Level 3 financial instruments For Level 3 \ufb01nancial instruments, the following movements occurred during the year ended 31 December 2022: In millions of euros Financial assets Financial liabilities Financial instruments at fair value through pro\ufb01t or loss held for trading Financial instruments at fair value through pro\ufb01t or loss not held for trading Financial assets at fair value through equity TOTAL Financial instruments at fair value through pro\ufb01t or loss held for trading Financial instruments designated as at fair value through pro\ufb01t or loss TOTAL AT 31 DECEMBER 2021 5,324 5,946 1,121 12,391 (10,254) (20,581) (30,835) Purchases 1,507 1,497 257 3,261 - Issues - (6,810) (6,810) Sales (1,591) (1,219) (502) (3,312) (24) (24) Settlements (1) 2,682 1,824 135 4,641 2,905 7,904 10,809 Transfers to Level 3 1,657 26 36 1,719 (733) (1,760) (2,493) Transfers from Level 3 (2,126) (34) (2,160) 1,391 1,007 2,398 Gains (or losses) recognised in pro\ufb01t or loss with respect to transactions expired or terminated during the period (434) 651 (41) 176 (2,983) 2,800 (183) Gains (or losses) recognised in pro\ufb01t or loss with respect to unexpired instruments at the end of the period 20 1 21 (383) (1,758) (2,141) Changes in fair value of assets and liabilities recognised directly in equity - - Items related to exchange rate movements 2 (8) (3) (9) 2 2 Changes in fair value of assets and liabilities recognised in equity (59) (59) - AT 31 DECEMBER 2022 7,041 8,684 944 16,669 (10,079) (19,198) (29,277) (1) For the assets, includes redemptions of principal, interest payments as well as cash in\ufb02ows and out\ufb02ows relating to derivatives. For the liabilities, includes principal redemptions, interest payments as well as cash in\ufb02ows and out\ufb02ows relating to derivatives the fair value of which is negative. Transfers out of Level 3 of derivatives at fair value include mainly the update of the observability tenor of certain yield curves, and of market parameters related to repurchase agreements and credit transactions but also the effect of derivatives becoming only or mainly sensitive to observable inputs due to the shortening of their lifetime. Transfers into Level 3 of instruments at fair value re\ufb02ect the effect of the regular update of the observability zones. Transfers have been re\ufb02ected as if they had taken place at the beginning of the reporting period. The Level 3 \ufb01nancial instruments may be hedged by other Level 1 and Level 2 instruments, the gains and losses of which are not shown in this table. Consequently, the gains and losses shown in this table are not representative of the gains and losses arising from management of the net risk on all these instruments. Sensitivity of fair value to reasonably possible changes in Level 3 assumptions The following table summarises those \ufb01nancial assets and \ufb01nancial liabilities classi\ufb01ed as Level 3 for which alternative assumptions in one or more of the unobservable inputs would change fair value signi\ufb01cantly. The amounts disclosed are intended to illustrate the range of possible uncertainty inherent to the judgement applied when estimating Level 3 parameters, or when selecting valuation techniques. These amounts re\ufb02ect valuation uncertainties that prevail at the measurement date, and even though such uncertainties predominantly derive from the portfolio sensitivities that prevailed at that measurement date, they are not predictive or indicative of future movements in fair value, nor do they represent the effect of market stress on the portfolio value. In estimating sensitivities, BNP Paribas either remeasured the \ufb01nancial instruments using reasonably possible inputs, or applied assumptions based on the valuation adjustment policy. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 240 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements For the sake of simplicity, the sensitivity on cash instruments that are not relating to securitised instruments was based on a uniform 1% shift in the price. More speci\ufb01c shifts were however calibrated for each class of the Level 3 securitised exposures, based on the possible ranges of the unobservable inputs. For derivative exposures, the sensitivity measurement is based on the credit valuation adjustment (CVA), the explicit funding valuation adjustment (FVA) and the parameter and model uncertainty adjustments related to Level 3. Regarding the credit valuation adjustment (CVA) and the explicit funding valuation adjustment (FVA), the uncertainty was calibrated based on prudent valuation adjustments described in the technical standard \u201cPrudent Valuation\u201d published by the European Banking Authority. For other valuation adjustments, two scenarios were considered: a favourable scenario where all or portion of the valuation adjustment is not considered by market participants, and an unfavourable scenario where market participants would require twice the amount of valuation adjustments considered by BNP Paribas for entering into a transaction. In millions of euros 31 December 2022 31 December 2021 Potential impact on income Potential impact on equity Potential impact on income Potential impact on equity Debt securities +/-8 +/-3 +/-7 +/-3 Equities and other equity securities +/-56 +/-5 +/-48 +/-8 Loans and repurchase agreements +/-42 +/-12 Derivative \ufb01nancial instruments +/-576 +/-588 Interest rate and foreign exchange derivatives +/-227 +/-322 Credit derivatives +/-98 +/-35 Equity derivatives +/-245 +/-227 Other derivatives +/-6 +/-4 SENSITIVITY OF LEVEL 3 FINANCIAL INSTRUMENTS +/-682 +/-8 +/-655 +/-11 Deferred margin on financial instruments measured using techniques developed internally and based on inputs partly unobservable in active markets Deferred margin on \ufb01nancial instruments (\u201cDay One Pro\ufb01t\u201d) primarily concerns the scope of \ufb01nancial instruments eligible for Level 3 and to a lesser extent some \ufb01nancial instruments eligible for Level 2 where valuation adjustments for uncertainties regarding parameters or models are not negligible compared to the initial margin. The Day One Pro\ufb01t is calculated after setting aside valuation adjustments for uncertainties as described previously and released to pro\ufb01t or loss over the expected period for which the inputs will be unobservable. The unamortised amount is included under \u201cFinancial instruments at fair value through pro\ufb01t or loss\u201d as a reduction in the fair value of the relevant transactions. In millions of euros Deferred margin at 31 December 2021 Deferred margin on transactions during the period Margin taken to the pro\ufb01t and loss account during the period Deferred margin at 31 December 2022 Interest rate and foreign exchange derivatives 204 142 (152) 194 Credit derivatives 164 150 (140) 174 Equity derivatives 401 449 (424) 426 Other instruments 9 31 (30) 10 Financial instruments 778 772 (746) 804 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 241 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements\u27a4 MEASUREMENT OF THE FAIR VALUE OF FINANCIAL INSTRUMENTS The criteria for allocating instruments to the levels of the fair value hierarchy, the corresponding valuation methodologies and the principles of transfer between the levels of the hierarchy for insurance investments are similar to those applied for the Group\u2019s other \ufb01nancial instruments (note 4.d). In millions of euros 31 December 2022 31 December 2021 Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Available-for-sale \ufb01nancial assets 91,640 12,720 601 104,961 110,750 16,196 467 127,413 Equity instruments 7,627 1,390 437 9,454 9,767 1,338 367 11,472 Debt securities 84,013 11,330 164 95,507 100,983 14,858 100 115,941 Financial instruments designated as at fair value through pro\ufb01t or loss 70,018 41,471 12,476 123,965 86,497 43,486 8,065 138,048 Equity instruments 69,439 32,669 12,452 114,560 85,749 34,660 8,037 128,446 Debt securities 579 8,802 24 9,405 748 8,826 28 9,602 Derivative \ufb01nancial instruments 10 1,622 43 1,675 1 909 123 1,033 FINANCIAL ASSETS MEASURED AT FAIR VALUE 161,668 55,813 13,120 230,601 197,248 60,591 8,655 266,494 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 247 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Level 1: this level comprises equities and liquid bonds, derivative instruments traded on organised markets (futures, options, etc.), units of funds and UCITS for which the net asset value is calculated on a daily basis. Level 2: this level comprises equities, certain government or corporate bonds, other fund units and UCITS and over-the-counter derivatives. Level 3: this level consists mainly of fund units and shares which are not quoted on active markets, consisting mainly of units in venture capital companies and funds. \u27a4 TABLE OF MOVEMENTS IN LEVEL 3 FINANCIAL INSTRUMENTS For Level 3 \ufb01nancial instruments, the following movements occurred during the period: In millions of euros Financial assets Available-for- sale \ufb01nancial instruments Financial instruments as at fair value through pro\ufb01t or loss Total AT 31 DECEMBER 2021 467 8,188 8,655 Purchases 290 3,701 3,991 Sales (371) (2,875) (3,246) Settlements (16) (393) (409) Transfers to Level 3 312 2,423 2,735 Transfers from Level 3 (80) (41) (121) Gains recognised in pro\ufb01t or loss 5 1,509 1,514 Items related to exchange rate movements 8 8 Changes in fair value of assets and liabilities recognised in equity (6) (6) AT 31 DECEMBER 2022 601 12,519 13,120 \u27a47.k FAIR VALUE OF FINANCIAL INSTRUMENTS CARRIED AT AMORTISED COST The information supplied in this note must be used and interpreted with the greatest caution for the following reasons: \u25a0 these fair values are an estimate of the value of the relevant instruments at 31 December 2022. They are liable to \ufb02uctuate from day to day as a result of changes in various parameters, such as interest rates and credit quality of the counterparty. In particular, they may differ signi\ufb01cantly from the amounts actually received or paid on maturity of the instrument. In most cases, the fair value is not intended to be realised immediately, and in practice might not be realised immediately. Consequently, this fair value does not re\ufb02ect the actual value of the instrument to BNP Paribas as a going concern; \u25a0 most of these fair values are not meaningful, and hence are not taken into account in the management of the commercial banking activities which use these instruments; \u25a0 estimating a fair value for \ufb01nancial instruments carried at historical cost often requires the use of modelling techniques, hypotheses and assumptions that may vary from bank to bank. This means that comparisons between the fair values of \ufb01nancial instruments carried at historical cost as disclosed by different banks may not be meaningful; \u25a0 the fair values shown below do not include the fair values of \ufb01nance lease transactions, non-\ufb01nancial instruments such as property, plant and equipment, goodwill and other intangible assets such as the value attributed to demand deposit portfolios or customer relationships. Consequently, these fair values should not be regarded as the actual contribution of the instruments concerned to the overall valuation of the BNP Paribas Group. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 286 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In millions of euros, at 31 December 2022 Estimated fair value Carrying value Level 1 Level 2 Level 3 Total FINANCIAL ASSETS Loans and advances to credit institutions and customers (1) 92,635 731,555 824,190 848,145 Debt securities at amortised cost (note 4.e) 85,758 26,235 771 112,764 114,014 Assets held for sale 4,440 9,980 53,325 67,746 72,176 FINANCIAL LIABILITIES Deposits from credit institutions and customers 1,132,280 1,132,280 1,132,772 Debt securities (note 4.h) 64,889 88,999 153,888 154,143 Subordinated debt (note 4.h) 17,193 6,624 23,817 24,156 Liabilities associated with assets held for sale 74,567 74,567 74,563 (1) Finance leases excluded. In millions of euros, at 31 December 2021 Estimated fair value Carrying value Level 1 Level 2 Level 3 Total FINANCIAL ASSETS Loans and advances to credit institutions and customers (1) 88,058 716,147 804,205 795,845 Debt securities at amortised cost (note 4.e) 89,374 17,203 3,172 109,749 108,510 Assets held for sale 4,587 11,081 49,838 65,507 64,847 FINANCIAL LIABILITIES Deposits from credit institutions and customers 1,123,937 1,123,937 1,123,383 Debt securities (note 4.h) 64,660 86,854 151,514 149,723 Subordinated debt (note 4.h) 18,211 7,360 25,571 24,720 Liabilities associated with assets held for sale 73,077 73,077 73,041 (1) Finance leases excluded. The valuation techniques and assumptions used by BNP Paribas ensure that the fair value of \ufb01nancial assets and liabilities carried at amortised cost is measured on a consistent basis throughout the Group. Fair value is based on prices quoted in an active market when these are available. In other cases, fair value is determined using valuation techniques such as discounting of estimated future cash \ufb02ows for loans, liabilities and debt securities at amortised cost, or speci\ufb01c valuation models for other \ufb01nancial instruments as described in note 1, Summary of signi\ufb01cant accounting policies applied by the BNP Paribas Group. The description of the fair value hierarchy levels is also presented in the accounting principles (see note 1.e.10). In the case of loans, liabilities and debt securities at amortised cost that have an initial maturity of less than one year (including demand deposits) or of most regulated savings products, fair value equates to carrying amount. These instruments have been classi\ufb01ed in Level 2, except for loans to customers, which are classi\ufb01ed in Level 3. ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfFairValueOfFinancialInstrumentsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
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  },
  "fact_9628": {
   "value": "4.e FINANCIAL ASSETS AT AMORTISED COST \u27a4 DETAIL OF LOANS AND ADVANCES BY NATURE In millions of euros 31 December 2022 31 December 2021 Gross value Impairment (note 2.h) Carrying amount Gross value Impairment (note 2.h) Carrying amount Loans and advances to credit institutions 32,716 (100) 32,616 21,844 (93) 21,751 On demand accounts 11,000 (8) 10,992 9,009 (8) 9,001 Loans (1) 15,767 (92) 15,675 10,635 (85) 10,550 Repurchase agreements 5,949 5,949 2,200 2,200 Loans and advances to customers 875,301 (18,281) 857,020 833,935 (19,935) 814,000 On demand accounts 42,963 (2,844) 40,119 52,488 (3,157) 49,331 Loans to customers 788,971 (14,354) 774,617 740,080 (15,658) 724,422 Finance leases 42,574 (1,083) 41,491 41,026 (1,120) 39,906 Repurchase agreements 793 793 341 341 TOTAL LOANS AND ADVANCES AT AMORTISED COST 908,017 (18,381) 889,636 855,779 (20,028) 835,751 (1) Loans and advances to credit institutions include term deposits made with central banks. \u27a4 CONTRACTUAL MATURITIES OF FINANCE LEASES In millions of euros 31 December 2022 31 December 2021 Gross investment 45,602 43,823 Receivable within 1 year 13,278 12,276 Receivable after 1 year but within 5 years 28,068 27,399 Receivable beyond 5 years 4,256 4,148 Unearned interest income (3,028) (2,797) Net investment before impairment 42,574 41,026 Receivable within 1 year 12,176 11,289 Receivable after 1 year but within 5 years 26,396 25,845 Receivable beyond 5 years 4,002 3,892 Impairment provisions (1,083) (1,120) Net investment after impairment 41,491 39,906 \u27a4DETAIL OF DEBT SECURITIES BY TYPE OF ISSUER In millions of euros 31 December 2022 31 December 2021 Gross value Impairment (note 2.h) Carrying amount Gross value Impairment (note 2.h) Carrying amount Governments 59,961 (23) 59,938 57,221 (20) 57,201 Other public administration 15,686 (2) 15,684 17,317 (2) 17,315 Credit institutions 9,062 (2) 9,060 10,593 (2) 10,591 Others 29,435 (103) 29,332 23,547 (144) 23,403 TOTAL DEBT SECURITIES AT AMORTISED COST 114,144 (130) 114,014 108,678 (168) 108,510 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 242 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4DETAIL OF FINANCIAL ASSETS AT AMORTISED COST BY STAGE In millions of euros 31 December 2022 31 December 2021 Gross Value Impairment (note 2.h) Carrying amount Gross Value Impairment (note 2.h) Carrying amount Loans and advances to credit institutions 32,716 (100) 32,616 21,844 (93) 21,751 Stage 1 32,439 (11) 32,428 21,516 (13) 21,503 Stage 2 191 (10) 181 242 (2) 240 Stage 3 86 (79) 7 86 (78) 8 Loans and advances to customers 875,301 (18,281) 857,020 833,935 (19,935) 814,000 Stage 1 761,930 (1,998) 759,932 701,259 (1,834) 699,425 Stage 2 (1) 88,095 (2,839) 85,256 104,857 (2,687) 102,170 Stage 3 25,276 (13,444) 11,832 27,819 (15,414) 12,405 Debt securities 114,144 (130) 114,014 108,678 (168) 108,510 Stage 1 113,602 (27) 113,575 108,006 (20) 107,986 Stage 2 387 (10) 377 412 (25) 387 Stage 3 155 (93) 62 260 (123) 137 TOTAL FINANCIAL ASSETS AT AMORTISED COST 1,022,161 (18,511) 1,003,650 964,457 (20,196) 944,261 (1) The variation on loans classi\ufb01ed as stage 2 is presented in note 2.h.4.f IMPAIRED FINANCIAL ASSETS (STAGE 3) The following tables present the carrying amounts of impaired \ufb01nancial assets carried at amortised cost and of impaired \ufb01nancing and guarantee commitments, as well as related collateral and other guarantees. The amounts shown for collateral and other guarantees correspond to the lower of the value of the collateral or other guarantee and the value of the secured assets. In millions of euros 31 December 2022 Impaired \ufb01nancial assets (Stage 3) Collateral received Gross value Impairment Net Loans and advances to credit institutions (note 4.e) 86 (79) 7 1 Loans and advances to customers (note 4.e) 25,276 (13,444) 11,832 7,651 Debt securities at amortised cost (note 4.e) 155 (93) 62 14 TOTAL AMORTISED-COST IMPAIRED ASSETS (STAGE 3) 25,517 (13,616) 11,901 7,666 Financing commitments given 898 (73) 825 198 Guarantee commitments given 820 (243) 577 135 TOTAL OFF-BALANCE SHEET IMPAIRED COMMITMENTS (STAGE 3) 1,718 (316) 1,402 333 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 243 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements In millions of euros 31 December 2021 Impaired \ufb01nancial assets (Stage 3) Collateral received Gross value Impairment Net Loans and advances to credit institutions (note 4.e) 86 (78) 8 1 Loans and advances to customers (note 4.e) 27,819 (15,414) 12,405 8,068 Debt securities at amortised cost (note 4.e) 260 (123) 137 25 TOTAL AMORTISED-COST IMPAIRED ASSETS (STAGE 3) 28,165 (15,615) 12,550 8,094 Financing commitments given 1,088 (89) 999 65 Guarantee commitments given 833 (265) 568 192 TOTAL OFF-BALANCE SHEET IMPAIRED COMMITMENTS (STAGE 3) 1,921 (354) 1,567 257 The following table presents the changes in gross exposures of stage 3 assets (EU CR2): Gross value In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 IMPAIRED EXPOSURES (STAGE 3) AT OPENING BALANCE 28,165 30,420 Transfer to stage 3 6,125 6,432 Transfer to stage 1 or stage 2 (1,672) (2,548) Assets written off (4,827) (4,491) Other changes (2,274) (1,648) IMPAIRED EXPOSURES (STAGE 3) AT CLOSING BALANCE 25,517 28,1654.g FINANCIAL LIABILITIES AT AMORTISED COST DUE TO CREDIT INSTITUTIONS AND CUSTOMERS In millions of euros 31 December 2022 31 December 2021 Deposits from credit institutions 124,718 165,699 On demand accounts 12,538 9,105 Interbank borrowings (1) 104,135 147,635 Repurchase agreements 8,045 8,959 Deposits from customers 1,008,054 957,684 On demand deposits 592,267 634,784 Savings accounts 162,354 158,932 Term accounts and short-term notes 253,210 163,429 Repurchase agreements 223 539 (1) Interbank borrowings from credit institutions include term borrowings from central banks, of which EUR 67 billion of TLTRO III at 31 December 2022 compared to EUR 120.1 billion at 31 December 2021 (see note 2.a Net Interest Income). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 244 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "bnpp:DisclosureOfFinancialInstrumentsAtAmortisedCost",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9629": {
   "value": "DETAIL OF LOANS AND ADVANCES BY NATURE In millions of euros 31 December 2022 31 December 2021 Gross value Impairment (note 2.h) Carrying amount Gross value Impairment (note 2.h) Carrying amount Loans and advances to credit institutions 32,716 (100) 32,616 21,844 (93) 21,751 On demand accounts 11,000 (8) 10,992 9,009 (8) 9,001 Loans (1) 15,767 (92) 15,675 10,635 (85) 10,550 Repurchase agreements 5,949 5,949 2,200 2,200 Loans and advances to customers 875,301 (18,281) 857,020 833,935 (19,935) 814,000 On demand accounts 42,963 (2,844) 40,119 52,488 (3,157) 49,331 Loans to customers 788,971 (14,354) 774,617 740,080 (15,658) 724,422 Finance leases 42,574 (1,083) 41,491 41,026 (1,120) 39,906 Repurchase agreements 793 793 341 341 TOTAL LOANS AND ADVANCES AT AMORTISED COST 908,017 (18,381) 889,636 855,779 (20,028) 835,751 (1) Loans and advances to credit institutions include term deposits made with central banks. \u27a4 CONTRACTUAL MATURITIES OF FINANCE LEASES In millions of euros 31 December 2022 31 December 2021 Gross investment 45,602 43,823 Receivable within 1 year 13,278 12,276 Receivable after 1 year but within 5 years 28,068 27,399 Receivable beyond 5 years 4,256 4,148 Unearned interest income (3,028) (2,797) Net investment before impairment 42,574 41,026 Receivable within 1 year 12,176 11,289 Receivable after 1 year but within 5 years 26,396 25,845 Receivable beyond 5 years 4,002 3,892 Impairment provisions (1,083) (1,120) Net investment after impairment 41,491 39,906 \u27a4DETAIL OF FINANCIAL ASSETS AT AMORTISED COST BY STAGE In millions of euros 31 December 2022 31 December 2021 Gross Value Impairment (note 2.h) Carrying amount Gross Value Impairment (note 2.h) Carrying amount Loans and advances to credit institutions 32,716 (100) 32,616 21,844 (93) 21,751 Stage 1 32,439 (11) 32,428 21,516 (13) 21,503 Stage 2 191 (10) 181 242 (2) 240 Stage 3 86 (79) 7 86 (78) 8 Loans and advances to customers 875,301 (18,281) 857,020 833,935 (19,935) 814,000 Stage 1 761,930 (1,998) 759,932 701,259 (1,834) 699,425 Stage 2 (1) 88,095 (2,839) 85,256 104,857 (2,687) 102,170 Stage 3 25,276 (13,444) 11,832 27,819 (15,414) 12,405 Debt securities 114,144 (130) 114,014 108,678 (168) 108,510 Stage 1 113,602 (27) 113,575 108,006 (20) 107,986 Stage 2 387 (10) 377 412 (25) 387 Stage 3 155 (93) 62 260 (123) 137 TOTAL FINANCIAL ASSETS AT AMORTISED COST 1,022,161 (18,511) 1,003,650 964,457 (20,196) 944,261 (1) The variation on loans classi\ufb01ed as stage 2 is presented in note 2.h.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfLoansAndAdvancesToBanksExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9630": {
   "value": "DETAIL OF LOANS AND ADVANCES BY NATURE In millions of euros 31 December 2022 31 December 2021 Gross value Impairment (note 2.h) Carrying amount Gross value Impairment (note 2.h) Carrying amount Loans and advances to credit institutions 32,716 (100) 32,616 21,844 (93) 21,751 On demand accounts 11,000 (8) 10,992 9,009 (8) 9,001 Loans (1) 15,767 (92) 15,675 10,635 (85) 10,550 Repurchase agreements 5,949 5,949 2,200 2,200 Loans and advances to customers 875,301 (18,281) 857,020 833,935 (19,935) 814,000 On demand accounts 42,963 (2,844) 40,119 52,488 (3,157) 49,331 Loans to customers 788,971 (14,354) 774,617 740,080 (15,658) 724,422 Finance leases 42,574 (1,083) 41,491 41,026 (1,120) 39,906 Repurchase agreements 793 793 341 341 TOTAL LOANS AND ADVANCES AT AMORTISED COST 908,017 (18,381) 889,636 855,779 (20,028) 835,751 (1) Loans and advances to credit institutions include term deposits made with central banks. \u27a4 CONTRACTUAL MATURITIES OF FINANCE LEASES In millions of euros 31 December 2022 31 December 2021 Gross investment 45,602 43,823 Receivable within 1 year 13,278 12,276 Receivable after 1 year but within 5 years 28,068 27,399 Receivable beyond 5 years 4,256 4,148 Unearned interest income (3,028) (2,797) Net investment before impairment 42,574 41,026 Receivable within 1 year 12,176 11,289 Receivable after 1 year but within 5 years 26,396 25,845 Receivable beyond 5 years 4,002 3,892 Impairment provisions (1,083) (1,120) Net investment after impairment 41,491 39,906 \u27a4DETAIL OF FINANCIAL ASSETS AT AMORTISED COST BY STAGE In millions of euros 31 December 2022 31 December 2021 Gross Value Impairment (note 2.h) Carrying amount Gross Value Impairment (note 2.h) Carrying amount Loans and advances to credit institutions 32,716 (100) 32,616 21,844 (93) 21,751 Stage 1 32,439 (11) 32,428 21,516 (13) 21,503 Stage 2 191 (10) 181 242 (2) 240 Stage 3 86 (79) 7 86 (78) 8 Loans and advances to customers 875,301 (18,281) 857,020 833,935 (19,935) 814,000 Stage 1 761,930 (1,998) 759,932 701,259 (1,834) 699,425 Stage 2 (1) 88,095 (2,839) 85,256 104,857 (2,687) 102,170 Stage 3 25,276 (13,444) 11,832 27,819 (15,414) 12,405 Debt securities 114,144 (130) 114,014 108,678 (168) 108,510 Stage 1 113,602 (27) 113,575 108,006 (20) 107,986 Stage 2 387 (10) 377 412 (25) 387 Stage 3 155 (93) 62 260 (123) 137 TOTAL FINANCIAL ASSETS AT AMORTISED COST 1,022,161 (18,511) 1,003,650 964,457 (20,196) 944,261 (1) The variation on loans classi\ufb01ed as stage 2 is presented in note 2.h.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfLoansAndAdvancesToCustomersExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9632": {
   "value": "DETAIL OF DEBT SECURITIES BY TYPE OF ISSUER In millions of euros 31 December 2022 31 December 2021 Gross value Impairment (note 2.h) Carrying amount Gross value Impairment (note 2.h) Carrying amount Governments 59,961 (23) 59,938 57,221 (20) 57,201 Other public administration 15,686 (2) 15,684 17,317 (2) 17,315 Credit institutions 9,062 (2) 9,060 10,593 (2) 10,591 Others 29,435 (103) 29,332 23,547 (144) 23,403 TOTAL DEBT SECURITIES AT AMORTISED COST 114,144 (130) 114,014 108,678 (168) 108,510 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 242 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4DETAIL OF FINANCIAL ASSETS AT AMORTISED COST BY STAGE In millions of euros 31 December 2022 31 December 2021 Gross Value Impairment (note 2.h) Carrying amount Gross Value Impairment (note 2.h) Carrying amount Loans and advances to credit institutions 32,716 (100) 32,616 21,844 (93) 21,751 Stage 1 32,439 (11) 32,428 21,516 (13) 21,503 Stage 2 191 (10) 181 242 (2) 240 Stage 3 86 (79) 7 86 (78) 8 Loans and advances to customers 875,301 (18,281) 857,020 833,935 (19,935) 814,000 Stage 1 761,930 (1,998) 759,932 701,259 (1,834) 699,425 Stage 2 (1) 88,095 (2,839) 85,256 104,857 (2,687) 102,170 Stage 3 25,276 (13,444) 11,832 27,819 (15,414) 12,405 Debt securities 114,144 (130) 114,014 108,678 (168) 108,510 Stage 1 113,602 (27) 113,575 108,006 (20) 107,986 Stage 2 387 (10) 377 412 (25) 387 Stage 3 155 (93) 62 260 (123) 137 TOTAL FINANCIAL ASSETS AT AMORTISED COST 1,022,161 (18,511) 1,003,650 964,457 (20,196) 944,261 (1) The variation on loans classi\ufb01ed as stage 2 is presented in note 2.h.4.h DEBT SECURITIES AND SUBORDINATED DEBT This note covers all issued debt securities and subordinated debt measured at amortised cost and designated as at fair value through pro\ufb01t or loss. \u27a4 DEBT SECURITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS (NOTE 4.A) Issuer/Issue date In millions of euros Currency Original amount in foreign currency (millions) Date of call or interest step-up Interest rate Interest step-up Conditions precedent for coupon payment (1) 31 December 2022 31 December 2021 Debt securities 64,110 62,334 Subordinated debt 676 947 Redeemable subordinated debt (2) 16 41 Perpetual subordinated debt 660 906 BNP Paribas Fortis Dec. 2007 (3) EUR 3,000 Dec.-14 3-month Euribor +200 bp A 660 906 (1) Conditions precedent for coupon payment: A Coupon payments are halted should the issuer have insuf\ufb01cient capital or the underwriters become insolvent or when the dividend declared for Ageas shares falls below a certain threshold. (2) After agreement from the banking supervisory authority and at the issuer\u2019s initiative, redeemable subordinated debt issues may contain a call provision authorising the Group to redeem the securities prior to maturity by repurchasing them in the stock market, via public tender offers, or in the case of private placements over the counter. Debt issued by BNP Paribas SA or foreign subsidiaries of the Group via placements in the international markets may be subject to early redemption of the capital and early payment of interest due at maturity at the issuer\u2019s discretion on or after a date stipulated in the issue particulars (call option), or in the event that changes in the applicable tax rules oblige the BNP Paribas Group issuer to compensate debt-holders for the consequences of such changes. Redemption may be subject to a notice period of between 15 and 60 days, and is in all cases subject to approval by the banking supervisory authorities. (3) Convertible And Subordinated Hybrid Equity-linked Securities (CASHES) issued by BNP Paribas Fortis (previously Fortis Banque) in December 2007. The CASHES are perpetual securities but may be exchanged for Ageas (previously Fortis SA/NV) shares at the holder\u2019s sole discretion at a price of EUR 239.40. However, as of 19 December 2014, the CASHES will be automatically exchanged into Ageas shares if their price is equal to or higher than EUR 359.10 for twenty consecutive trading days. The principal amount will never be redeemed in cash. The rights of the CASHES holders are limited to the Ageas shares held by BNP Paribas Fortis and pledged to them. Ageas and BNP Paribas Fortis have entered into a Relative Performance Note (RPN) contract, the value of which varies contractually so as to offset the impact on BNP Paribas Fortis of the relative difference between changes in the value of the CASHES and changes in the value of the Ageas shares. Since 1 January 2022, the liability is no longer eligible to prudential own funds. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 245 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 DEBT SECURITIES MEASURED AT AMORTISED COST Issuer/Issue date In millions of euros Currency Original amount in foreign currency (millions) Date of call or interest step-up Interest rate Interest step-up Conditions precedent for coupon payment (1) 31 December 2022 31 December 2021 Debt securities 154,143 149,723 Debt securities in issue with an initial maturity of less than one year 58,042 47,293 Negotiable debt securities 58,042 47,293 Debt securities in issue with an initial maturity of more than one year 96,101 102,430 Negotiable debt securities 17,587 27,256 Bonds 78,514 75,174 Subordinated debt 24,156 24,720 Redeemable subordinated debt (2) 22,419 23,000 Undated subordinated notes 1,509 1,494 BNP Paribas SA Oct. 85 EUR 305 - TMO - 0.25% - B 254 254 BNP Paribas SA Sept. 86 USD 500 - 6 month - Libor +0.075% - C 255 240 BNP Paribas Cardif Nov. 14 EUR 1,000 Nov. 25 4.032% 3-month Euribor +393 bp D 1,000 1,000 Participating notes 222 222 BNP Paribas SA July 84 (3) EUR 337 - (4) - 215 215 Others 7 7 Expenses and commission, related debt 6 4 (1) Conditions precedent for coupon payment B Payment of the interest is mandatory, unless the Board of directors decides to postpone these payments after the Shareholders\u2019 General Meeting has of\ufb01cially noted that there is no income available for distribution, where this occurs within the 12-month period preceding the due date for payment of the interest. Interest payments are cumulative and are payable in full once dividend payments resume. C Payment of the interest is mandatory, unless the Board of directors decides to postpone these payments after the Shareholders\u2019 General Meeting has validated the decision not to pay out a dividend, where this occurs within the 12-month period preceding the due date for payment of the interest. Interest payments are cumulative and are payable in full once dividend payments resume. The bank has the option of resuming payment of interest arrears, even where no dividend is paid out. D Payment of the interest is mandatory, except for cases of regulatory de\ufb01ciency, in agreement with the regulator, or of suspension of payments. Interest payments are cumulative and are payable in full, once coupon payments resume, or, if these events occur before, when the issuance is redeemed or when the issuer is liquidated. (2) See reference relating to \u201cDebt securities at fair value through pro\ufb01t or loss\u201d. (3) The participating notes issued by BNP Paribas SA may be repurchased as provided for in the law of 3 January 1983. The number of notes in the market is 1,434,092. (4) Depending on net income subject to a minimum of 85% of the TMO rate and a maximum of 130% of the TMO rate. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 246 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements\u27a4 FAIR VALUE OF FINANCIAL INSTRUMENTS CARRIED AT AMORTISED COST In millions of euros 31 December 2022 31 December 2021 Level 1 Level 2 Level 3 Total Carrying value Level 1 Level 2 Level 3 Total Carrying value Held-to-maturity \ufb01nancial assets 1,016 1,016 970 1,150 1,150 981 Loans and receivables 3,069 7 3,076 3,074 3,152 3 3,155 3,145 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 248 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfDebtSecuritiesExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9633": {
   "value": "4.g FINANCIAL LIABILITIES AT AMORTISED COST DUE TO CREDIT INSTITUTIONS AND CUSTOMERS In millions of euros 31 December 2022 31 December 2021 Deposits from credit institutions 124,718 165,699 On demand accounts 12,538 9,105 Interbank borrowings (1) 104,135 147,635 Repurchase agreements 8,045 8,959 Deposits from customers 1,008,054 957,684 On demand deposits 592,267 634,784 Savings accounts 162,354 158,932 Term accounts and short-term notes 253,210 163,429 Repurchase agreements 223 539 (1) Interbank borrowings from credit institutions include term borrowings from central banks, of which EUR 67 billion of TLTRO III at 31 December 2022 compared to EUR 120.1 billion at 31 December 2021 (see note 2.a Net Interest Income). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 244 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfDepositsFromBanksExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9634": {
   "value": "4.g FINANCIAL LIABILITIES AT AMORTISED COST DUE TO CREDIT INSTITUTIONS AND CUSTOMERS In millions of euros 31 December 2022 31 December 2021 Deposits from credit institutions 124,718 165,699 On demand accounts 12,538 9,105 Interbank borrowings (1) 104,135 147,635 Repurchase agreements 8,045 8,959 Deposits from customers 1,008,054 957,684 On demand deposits 592,267 634,784 Savings accounts 162,354 158,932 Term accounts and short-term notes 253,210 163,429 Repurchase agreements 223 539 (1) Interbank borrowings from credit institutions include term borrowings from central banks, of which EUR 67 billion of TLTRO III at 31 December 2022 compared to EUR 120.1 billion at 31 December 2021 (see note 2.a Net Interest Income). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 244 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements\u27a4 FAIR VALUE OF FINANCIAL INSTRUMENTS CARRIED AT AMORTISED COST In millions of euros 31 December 2022 31 December 2021 Level 1 Level 2 Level 3 Total Carrying value Level 1 Level 2 Level 3 Total Carrying value Held-to-maturity \ufb01nancial assets 1,016 1,016 970 1,150 1,150 981 Loans and receivables 3,069 7 3,076 3,074 3,152 3 3,155 3,145 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 248 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfDepositsFromCustomersExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9635": {
   "value": "4.h DEBT SECURITIES AND SUBORDINATED DEBT This note covers all issued debt securities and subordinated debt measured at amortised cost and designated as at fair value through pro\ufb01t or loss. \u27a4 DEBT SECURITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS (NOTE 4.A) Issuer/Issue date In millions of euros Currency Original amount in foreign currency (millions) Date of call or interest step-up Interest rate Interest step-up Conditions precedent for coupon payment (1) 31 December 2022 31 December 2021 Debt securities 64,110 62,334 Subordinated debt 676 947 Redeemable subordinated debt (2) 16 41 Perpetual subordinated debt 660 906 BNP Paribas Fortis Dec. 2007 (3) EUR 3,000 Dec.-14 3-month Euribor +200 bp A 660 906 (1) Conditions precedent for coupon payment: A Coupon payments are halted should the issuer have insuf\ufb01cient capital or the underwriters become insolvent or when the dividend declared for Ageas shares falls below a certain threshold. (2) After agreement from the banking supervisory authority and at the issuer\u2019s initiative, redeemable subordinated debt issues may contain a call provision authorising the Group to redeem the securities prior to maturity by repurchasing them in the stock market, via public tender offers, or in the case of private placements over the counter. Debt issued by BNP Paribas SA or foreign subsidiaries of the Group via placements in the international markets may be subject to early redemption of the capital and early payment of interest due at maturity at the issuer\u2019s discretion on or after a date stipulated in the issue particulars (call option), or in the event that changes in the applicable tax rules oblige the BNP Paribas Group issuer to compensate debt-holders for the consequences of such changes. Redemption may be subject to a notice period of between 15 and 60 days, and is in all cases subject to approval by the banking supervisory authorities. (3) Convertible And Subordinated Hybrid Equity-linked Securities (CASHES) issued by BNP Paribas Fortis (previously Fortis Banque) in December 2007. The CASHES are perpetual securities but may be exchanged for Ageas (previously Fortis SA/NV) shares at the holder\u2019s sole discretion at a price of EUR 239.40. However, as of 19 December 2014, the CASHES will be automatically exchanged into Ageas shares if their price is equal to or higher than EUR 359.10 for twenty consecutive trading days. The principal amount will never be redeemed in cash. The rights of the CASHES holders are limited to the Ageas shares held by BNP Paribas Fortis and pledged to them. Ageas and BNP Paribas Fortis have entered into a Relative Performance Note (RPN) contract, the value of which varies contractually so as to offset the impact on BNP Paribas Fortis of the relative difference between changes in the value of the CASHES and changes in the value of the Ageas shares. Since 1 January 2022, the liability is no longer eligible to prudential own funds. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 245 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 DEBT SECURITIES MEASURED AT AMORTISED COST Issuer/Issue date In millions of euros Currency Original amount in foreign currency (millions) Date of call or interest step-up Interest rate Interest step-up Conditions precedent for coupon payment (1) 31 December 2022 31 December 2021 Debt securities 154,143 149,723 Debt securities in issue with an initial maturity of less than one year 58,042 47,293 Negotiable debt securities 58,042 47,293 Debt securities in issue with an initial maturity of more than one year 96,101 102,430 Negotiable debt securities 17,587 27,256 Bonds 78,514 75,174 Subordinated debt 24,156 24,720 Redeemable subordinated debt (2) 22,419 23,000 Undated subordinated notes 1,509 1,494 BNP Paribas SA Oct. 85 EUR 305 - TMO - 0.25% - B 254 254 BNP Paribas SA Sept. 86 USD 500 - 6 month - Libor +0.075% - C 255 240 BNP Paribas Cardif Nov. 14 EUR 1,000 Nov. 25 4.032% 3-month Euribor +393 bp D 1,000 1,000 Participating notes 222 222 BNP Paribas SA July 84 (3) EUR 337 - (4) - 215 215 Others 7 7 Expenses and commission, related debt 6 4 (1) Conditions precedent for coupon payment B Payment of the interest is mandatory, unless the Board of directors decides to postpone these payments after the Shareholders\u2019 General Meeting has of\ufb01cially noted that there is no income available for distribution, where this occurs within the 12-month period preceding the due date for payment of the interest. Interest payments are cumulative and are payable in full once dividend payments resume. C Payment of the interest is mandatory, unless the Board of directors decides to postpone these payments after the Shareholders\u2019 General Meeting has validated the decision not to pay out a dividend, where this occurs within the 12-month period preceding the due date for payment of the interest. Interest payments are cumulative and are payable in full once dividend payments resume. The bank has the option of resuming payment of interest arrears, even where no dividend is paid out. D Payment of the interest is mandatory, except for cases of regulatory de\ufb01ciency, in agreement with the regulator, or of suspension of payments. Interest payments are cumulative and are payable in full, once coupon payments resume, or, if these events occur before, when the issuance is redeemed or when the issuer is liquidated. (2) See reference relating to \u201cDebt securities at fair value through pro\ufb01t or loss\u201d. (3) The participating notes issued by BNP Paribas SA may be repurchased as provided for in the law of 3 January 1983. The number of notes in the market is 1,434,092. (4) Depending on net income subject to a minimum of 85% of the TMO rate and a maximum of 130% of the TMO rate. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 246 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfSubordinatedLiabilitiesExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9638": {
   "value": "4.l ACCRUED INCOME/EXPENSE AND OTHER ASSETS/LIABILITIES In millions of euros 31 December 2022 31 December 2021 Guarantee deposits and bank guarantees paid 155,199 136,142 Collection accounts 282 242 Accrued income and prepaid expenses 7,030 4,617 Other debtors and miscellaneous assets 46,581 38,122 TOTAL ACCRUED INCOME AND OTHER ASSETS 209,092 179,123 Guarantee deposits received 124,047 101,923 Collection accounts 2,907 2,870 Accrued expense and deferred income 10,874 7,739 Lease liabilities 3,075 3,248 Other creditors and miscellaneous liabilities 44,553 29,619 TOTAL ACCRUED EXPENSE AND OTHER LIABILITIES 185,456 145,399 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 250 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfPrepaymentsAndOtherAssetsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9639": {
   "value": "4.l ACCRUED INCOME/EXPENSE AND OTHER ASSETS/LIABILITIES In millions of euros 31 December 2022 31 December 2021 Guarantee deposits and bank guarantees paid 155,199 136,142 Collection accounts 282 242 Accrued income and prepaid expenses 7,030 4,617 Other debtors and miscellaneous assets 46,581 38,122 TOTAL ACCRUED INCOME AND OTHER ASSETS 209,092 179,123 Guarantee deposits received 124,047 101,923 Collection accounts 2,907 2,870 Accrued expense and deferred income 10,874 7,739 Lease liabilities 3,075 3,248 Other creditors and miscellaneous liabilities 44,553 29,619 TOTAL ACCRUED EXPENSE AND OTHER LIABILITIES 185,456 145,399 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 250 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfAccruedExpensesAndOtherLiabilitiesExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-9664": {
   "value": "4.l ACCRUED INCOME/EXPENSE AND OTHER ASSETS/LIABILITIES In millions of euros 31 December 2022 31 December 2021 Guarantee deposits and bank guarantees paid 155,199 136,142 Collection accounts 282 242 Accrued income and prepaid expenses 7,030 4,617 Other debtors and miscellaneous assets 46,581 38,122 TOTAL ACCRUED INCOME AND OTHER ASSETS 209,092 179,123 Guarantee deposits received 124,047 101,923 Collection accounts 2,907 2,870 Accrued expense and deferred income 10,874 7,739 Lease liabilities 3,075 3,248 Other creditors and miscellaneous liabilities 44,553 29,619 TOTAL ACCRUED EXPENSE AND OTHER LIABILITIES 185,456 145,399 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 250 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfOtherAssetsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9644": {
   "value": "Note 5 FINANCING AND GUARANTEE COMMITMENTS 5.a FINANCING COMMITMENTS GIVEN OR RECEIVED Contractual value of \ufb01nancing commitments given and received by the Group: In millions of euros, at 31 December 2022 31 December 2021 Financing commitments given to credit institutions 4,235 3,501 to customers 382,746 362,902 Con\ufb01rmed \ufb01nancing commitments 347,650 328,741 Other commitments given to customers 35,096 34,161 TOTAL FINANCING COMMITMENTS GIVEN 386,981 366,403 of which stage 1 343,339 321,368 of which stage 2 18,745 22,529 of which stage 3 898 1,088 of which insurance activities 1,477 1,810 of which \ufb01nancing commitments given associated with assets held for sale 22,522 19,608 Financing commitments received from credit institutions 66,554 38,708 from customers 2,221 6,729 TOTAL FINANCING COMMITMENTS RECEIVED 68,775 45,437 of which \ufb01nancing commitments received associated with assets held for sale 9,272 8,711 5.b GUARANTEE COMMITMENTS GIVEN BY SIGNATURE In millions of euros, at 31 December 2022 31 December 2021 Guarantee commitments given to credit institutions 60,357 30,221 to customers 118,427 141,074 Property guarantees 2,285 2,474 Sureties provided to tax and other authorities, other sureties 65,294 64,571 Other guarantees 50,848 74,029 TOTAL GUARANTEE COMMITMENTS GIVEN 178,784 171,295 of which stage 1 165,549 159,247 of which stage 2 12,120 10,953 of which stage 3 820 833 of which insurance activities 295 262 of which guarantee commitments given associated with assets held for sale - - 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 261 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements 5.c SECURITIES COMMITMENTS In connection with the settlement date accounting for securities, commitments representing securities to be delivered or securities to be received are the following: In millions of euros 31 December 2022 31 December 2021 Securities to be delivered 17,325 11,608 Securities to be received 17,263 10,604 5.d OTHER GUARANTEE COMMITMENTS \u27a4 FINANCIAL INSTRUMENTS GIVEN AS COLLATERAL In millions of euros 31 December 2022 31 December 2021 Financial instruments (negotiable securities and private receivables) lodged with central banks and eligible for use at any time as collateral for re\ufb01nancing transactions after haircut 132,938 158,111 Used as collateral with central banks 67,792 120,777 Available for re\ufb01nancing transactions 65,146 37,334 Securities sold under repurchase agreements 371,552 457,168 Other \ufb01nancial assets pledged as collateral for transactions with credit institutions, \ufb01nancial customers or subscribers of covered bonds issued by the Group (1) 239,761 231,877 (1) Notably including \u201cSoci\u00e9t\u00e9 de Financement de l\u2019\u00c9conomie Fran\u00e7aise\u201d and \u201cCaisse de Re\ufb01nancement de l\u2019Habitat\u201d \ufb01nancing. The fair value of \ufb01nancial instruments given as collateral or transferred under repurchase agreements by the Group that the bene\ufb01ciary is authorised to sell or reuse as collateral amounted to EUR 523,321 million at 31 December 2022 (EUR 610,170 million at 31 December 2021). \u27a4 FINANCIAL INSTRUMENTS RECEIVED AS COLLATERAL In millions of euros 31 December 2022 31 December 2021 Financial instruments received as collateral (excluding repurchase agreements) 326,198 212,910 of which instruments that the Group is authorised to sell and reuse as collateral 192,274 99,407 Securities received under repurchase agreements 336,799 418,435 The fair value of \ufb01nancial instruments received as collateral or under repurchase agreements that the Group effectively sold or reused as collateral amounted to EUR 307,886 million at 31 December 2022 (compared with EUR 328,084 million at 31 December 2021). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 262 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfCommitmentsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-10242": {
   "value": "Note 5 FINANCING AND GUARANTEE COMMITMENTS 5.a FINANCING COMMITMENTS GIVEN OR RECEIVED Contractual value of \ufb01nancing commitments given and received by the Group: In millions of euros, at 31 December 2022 31 December 2021 Financing commitments given to credit institutions 4,235 3,501 to customers 382,746 362,902 Con\ufb01rmed \ufb01nancing commitments 347,650 328,741 Other commitments given to customers 35,096 34,161 TOTAL FINANCING COMMITMENTS GIVEN 386,981 366,403 of which stage 1 343,339 321,368 of which stage 2 18,745 22,529 of which stage 3 898 1,088 of which insurance activities 1,477 1,810 of which \ufb01nancing commitments given associated with assets held for sale 22,522 19,608 Financing commitments received from credit institutions 66,554 38,708 from customers 2,221 6,729 TOTAL FINANCING COMMITMENTS RECEIVED 68,775 45,437 of which \ufb01nancing commitments received associated with assets held for sale 9,272 8,711 5.b GUARANTEE COMMITMENTS GIVEN BY SIGNATURE In millions of euros, at 31 December 2022 31 December 2021 Guarantee commitments given to credit institutions 60,357 30,221 to customers 118,427 141,074 Property guarantees 2,285 2,474 Sureties provided to tax and other authorities, other sureties 65,294 64,571 Other guarantees 50,848 74,029 TOTAL GUARANTEE COMMITMENTS GIVEN 178,784 171,295 of which stage 1 165,549 159,247 of which stage 2 12,120 10,953 of which stage 3 820 833 of which insurance activities 295 262 of which guarantee commitments given associated with assets held for sale - - 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 261 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements 5.c SECURITIES COMMITMENTS In connection with the settlement date accounting for securities, commitments representing securities to be delivered or securities to be received are the following: In millions of euros 31 December 2022 31 December 2021 Securities to be delivered 17,325 11,608 Securities to be received 17,263 10,604 5.d OTHER GUARANTEE COMMITMENTS \u27a4 FINANCIAL INSTRUMENTS GIVEN AS COLLATERAL In millions of euros 31 December 2022 31 December 2021 Financial instruments (negotiable securities and private receivables) lodged with central banks and eligible for use at any time as collateral for re\ufb01nancing transactions after haircut 132,938 158,111 Used as collateral with central banks 67,792 120,777 Available for re\ufb01nancing transactions 65,146 37,334 Securities sold under repurchase agreements 371,552 457,168 Other \ufb01nancial assets pledged as collateral for transactions with credit institutions, \ufb01nancial customers or subscribers of covered bonds issued by the Group (1) 239,761 231,877 (1) Notably including \u201cSoci\u00e9t\u00e9 de Financement de l\u2019\u00c9conomie Fran\u00e7aise\u201d and \u201cCaisse de Re\ufb01nancement de l\u2019Habitat\u201d \ufb01nancing. The fair value of \ufb01nancial instruments given as collateral or transferred under repurchase agreements by the Group that the bene\ufb01ciary is authorised to sell or reuse as collateral amounted to EUR 523,321 million at 31 December 2022 (EUR 610,170 million at 31 December 2021). \u27a4 FINANCIAL INSTRUMENTS RECEIVED AS COLLATERAL In millions of euros 31 December 2022 31 December 2021 Financial instruments received as collateral (excluding repurchase agreements) 326,198 212,910 of which instruments that the Group is authorised to sell and reuse as collateral 192,274 99,407 Securities received under repurchase agreements 336,799 418,435 The fair value of \ufb01nancial instruments received as collateral or under repurchase agreements that the Group effectively sold or reused as collateral amounted to EUR 307,886 million at 31 December 2022 (compared with EUR 328,084 million at 31 December 2021). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 262 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements7.b LEGAL PROCEEDINGS AND ARBITRATION BNP Paribas (the \u201cBank\u201d) is party as a defendant in various claims, disputes and legal proceedings (including investigations by judicial or supervisory authorities) in a number of jurisdictions arising in the ordinary course of its business, including inter alia in connection with its activities as market counterparty, lender, employer, investor and taxpayer. The related risks have been assessed by the Bank and are subject, where appropriate, to provisions disclosed in note 4.p \u201cProvisions for liabilities and charges\u201d of the consolidated \ufb01nancial statements at 31 December 2022; a provision is recognised when it is probable that an out\ufb02ow of resources embodying economic bene\ufb01ts will be required to settle an obligation arising from a past event and a reliable estimate can be made of the amount of the obligation. The main contingent liabilities related to pending legal, governmental, or arbitral proceedings as of 31 December 2022 are described below. The Bank currently considers that none of these proceedings is likely to have a material adverse effect on its \ufb01nancial position or pro\ufb01tability; however, the outcome of legal or governmental proceedings is by de\ufb01nition unpredictable. The Bank and certain of its subsidiaries are defendants in several actions pending before the United States Bankruptcy Court for the Southern District of New York brought by the Trustee appointed for the liquidation of Bernard L. Madoff Investment Securities LLC (\u201cBLMIS\u201d). These actions, known generally as \u201cclawback claims\u201d, are similar to those brought by the BLMIS Trustee under the U.S. Bankruptcy Code and New York state law against numerous institutions, and seek recovery of approximately USD 1.3 billion allegedly received by BNP Paribas entities from BLMIS or indirectly through BLMIS- related \u201cfeeder funds\u201d in which BNP Paribas entities held interests. As a result of certain decisions of the Bankruptcy Court and the United States District Court between 2016 and 2018, the majority of the BLMIS Trustee\u2019s actions were either dismissed or substantially narrowed. However, those decisions were either reversed or effectively overruled by subsequent decisions of the United States Court of Appeals for the Second Circuit issued on 25 February 2019 and 30 August 2021. As a result, the BLMIS Trustee may seek to re-\ufb01le certain claims that were previously dismissed. BNP Paribas has substantial and credible defences to these actions and is defending against them vigorously. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 274 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Litigation was brought in Belgium by minority shareholders of the previous Fortis Group against the Soci\u00e9t\u00e9 f\u00e9d\u00e9rale de Participations et d\u2019Investissement, Ageas and BNP Paribas seeking (amongst other things) damages from BNP Paribas as restitution for part of the BNP Paribas Fortis shares that were contributed to BNP Paribas in 2009, on the ground that the transfer of these shares was null and void. On 29 April 2016, the Brussels Commercial court decided to stay the proceedings until the resolution of the pending Fortis criminal proceeding in Belgium. The criminal proceeding, in which the Public Prosecutor had requested a dismissal, is de\ufb01nitively closed, as the Council Chamber of the Brussels Court of \ufb01rst instance issued on 4 September 2020 a ruling (which since became \ufb01nal) that the charges were time-barred. Certain minority shareholders are continuing the civil proceedings against BNP Paribas and the Soci\u00e9t\u00e9 f\u00e9d\u00e9rale de Participations et d\u2019Investissement before the Brussels Commercial court; BNP Paribas continues to defend itself vigorously against the allegations of these shareholders. Like many other \ufb01nancial institutions in the banking, investment, mutual funds and brokerage sectors, the Bank has received or may receive requests for information from, or be subject to investigations by supervisory, governmental or self-regulatory agencies. The Bank responds to such requests, and cooperates with the relevant authorities and regulators and seeks to address and remedy any issues that may arise. On 26 February 2020, the Paris Criminal Court found BNP Paribas Personal Finance guilty of misleading commercial practice and concealment of this practice. BNP Paribas Personal Finance was ordered to pay a \ufb01ne of EUR 187,500 and damages and legal fees to the civil plaintiffs. The damages award was of immediate effect. BNP Paribas Personal Finance \ufb01led an appeal on the merits on 6 March 2020. It also sought to suspend the immediate effectiveness of the judgment, which the court rejected by decision dated 25 September 2020. BNP Paribas Personal Finance paid to the civil plaintiffs the damages awarded, without prejudice to the pending appeal before the Court of Appeal of Paris and to the civil legal proceedings that are otherwise ongoing. There are no other legal, governmental or arbitral proceedings (including any such proceedings which are pending or threatened) that could have, or during the last twelve months have had, signi\ufb01cant effects on the Bank\u2019s \ufb01nancial condition or pro\ufb01tability.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfCommitmentsAndContingentLiabilitiesExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9646": {
   "value": "Main Defined-contribution pension plans for Group entities The BNP Paribas Group has implemented over the past few years a wide campaign of converting de\ufb01ned-bene\ufb01t plans into de\ufb01ned-contribution plans. Thus, in France, the BNP Paribas Group pays contributions to various nationwide basic and top-up pension schemes. BNP Paribas SA and certain subsidiaries have set up a funded pension plan under a company-wide agreement. Under this plan, employees will receive an annuity on retirement in addition to the pension paid by nationwide schemes. Since de\ufb01ned-bene\ufb01t plans have been closed to new employees in most countries outside France, they are offered the bene\ufb01t of joining de\ufb01ned- contribution pension plans. The amount paid into de\ufb01ned-contribution post-employment plans for the year ended 31 December 2022 was EUR 720 million, compared with EUR 670 million for the year ended 31 December 2021. The breakdown by major contributors is determined as follows: Contribution amount In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 France 353 349 Italy 90 94 UK 64 56 T\u00fcrkiye 26 25 Hong Kong 26 22 Luxembourg 28 22 USA 25 11 Others 108 91 TOTAL 720 670 In Italy, the plan introduced by BNL is funded by employer contributions (4.2% of salaries) and employee contributions (2% of salaries). Employees can also make additional voluntary contributions. In the United Kingdom, the employer contributes 12% of salaries for the majority of employees; employees can make additional voluntary contributions. In the US, the bank matches the voluntary contributions made by employees, within certain limits. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 263 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfDefinedContributionPlansExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9647": {
   "value": "Main defined-benefit pension plans for Group entities and indemnities payable on retirement Defined-benefit plans In Belgium, BNP Paribas Fortis funds a de\ufb01ned-bene\ufb01t plan, based on \ufb01nal salary and number of years of service, for its management and employees who joined the bank before its pension plans were harmonised on 1 January 2002. Actuarial liabilities under this scheme are pre-funded at 88% at 31 December 2022 (compared with 93% at 31 December 2021) through AG Insurance, in which the BNP Paribas Group owns a 25% equity interest. BNP Paribas Fortis senior managers are covered by a top-up pension plan, paying a lump sum based on the number of years of service and \ufb01nal salary. This plan is pre-funded at 90% at 31 December 2022 (100% at 31 December 2021) through insurance companies. In Belgium, employees bene\ufb01t from a de\ufb01ned-contribution scheme with a legal obligation for the employer to guarantee a minimum return on \ufb01nancial assets invested. Thus, a provision was recognised for these schemes, as this guarantee is not entirely covered by the insurance company. In France, BNP Paribas pays a top-up banking industry pension arising from rights acquired to 31 December 1993 by retired employees and active employees in service at that date. At 31 December 2022, the Group\u2019s residual obligations for these employees were recognised on the balance sheet in full. The de\ufb01ned-bene\ufb01t plans previously granted to some Group senior managers have all been closed to new employees and converted into top-up type schemes. The amounts allocated to residual bene\ufb01ciaries, subject to their presence within the Group at retirement, were \ufb01xed when these schemes were closed. At 31 December 2022, these pension plans were funded at 221% through insurance companies (148% at 31 December 2021). In the United Kingdom, de\ufb01ned-bene\ufb01t pension plans (pension funds) still exist but are closed to new employees. Under these plans, the de\ufb01ned pension is generally based on \ufb01nal salary and number of years of service. Pension schemes are managed by independent management bodies (Trustees). At 31 December 2022, obligations for all UK entities were 125% covered by \ufb01nancial assets, compared with 127% at 31 December 2021. In Switzerland, liabilities relate to top-up pension plans based on the principle of de\ufb01ned-contribution schemes with guaranteed returns, paying an annuity under pre-de\ufb01ned terms. These schemes are managed by a foundation. At 31 December 2022, obligations were 121% covered by \ufb01nancial assets, compared with 102% at 31 December 2021. In the United States, de\ufb01ned-bene\ufb01t pension plans are based on annual vesting rights to a lump sum comprising a pension expressed as a percentage of annual salary and paying interest at a pre-de\ufb01ned rate. These plans are closed to new entrants and have offered almost no new vesting rights. At 31 December 2022, the obligation was 85% covered by \ufb01nancial assets, (95% at 31 December 2021). In Germany, liabilities are mainly related to de\ufb01ned-bene\ufb01t pension plans, closed to new employees. Under these plans, the de\ufb01ned pension is generally based on the number of years of service and \ufb01nal salary. They offer the payment of an annuity under pre-de\ufb01ned terms. At 31 December 2022, the obligation was 70% covered by \ufb01nancial assets, (55% at 31 December 2021). In T\u00fcrkiye, the main pension plan replaces the national pension scheme and should eventually be transferred to the Turkish State. This plan offers guarantees exceeding the minimal legal requirements. At the end of 2022, obligations under this plan are fully funded by \ufb01nancial assets held with an external foundation; these \ufb01nancial assets exceeding the related obligations, this surplus is not recognised as an asset by the Group. Other post-employment benefits Group employees also receive various other contractual post-employment bene\ufb01ts, such as indemnities payable on retirement, determined according to minimal legal requirements (Labour Code, collective agreements) or according to speci\ufb01c company-level agreements. In France, the obligations for these bene\ufb01ts are funded through a contract held with a third-party insurer. At 31 December 2022, this obligation was 132% covered by \ufb01nancial assets, compared with 108% at 31 December 2021. In May 2021, IFRIC issued its decision on the method of assessing the liability to be recognised under certain post-employment bene\ufb01t plans. This decision modi\ufb01es the measurement of the obligations of the Group\u2019s French entities relating to indemnities payable on retirement, whose fee schedule is either capped in terms of total length of service, or composed of steps of incremental rights, or both, by specifying the timing of recording of the corresponding costs. Its implementation led, at 1 January 2021, to a decrease in the present value of the gross obligation of EUR 96 million, recognised as an increase in reserves for an after-tax amount of EUR 74 million. In other countries, the obligations of the Group related to other post-employment bene\ufb01ts are mainly concentrated in Italy, where vested rights up to 31 December 2006 were frozen. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 264 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Obligations under defined-benefit pension plans and indemnities payable on retirement \u27a4 ASSETS AND LIABILITIES RECOGNISED ON THE BALANCE SHEET In millions of euros, at 31 December 2022 De\ufb01ned- bene\ufb01t obligation arising from wholly or partially funded plans De\ufb01ned- bene\ufb01t obligation arising from unfunded plans Present value of de\ufb01ned- bene\ufb01t obligation Fair value of plan assets Fair value of reimbursement rights (1) Effect of asset ceiling Net obligation of which asset recognised in the balance sheet for de\ufb01ned-bene\ufb01t plans of which net assets of de\ufb01ned-bene\ufb01t plans of which fair value of reimbursement rights of which obligation recognised in the balance sheet for de\ufb01ned-bene\ufb01t plans Belgium 2,738 2,738 (124) (2,395) 219 (2,395) (2,395) 2,614 UK 1,067 1,067 (1,334) (267) (267) (267) Switzerland 979 979 (1,185) 208 2 2 France 845 62 907 (1,157) (250) (346) (346) 96 USA 467 64 531 (458) 73 (24) (24) 97 T\u00fcrkiye 139 63 202 (295) 157 64 64 Italy 182 182 182 182 Germany 93 45 138 (98) 40 (7) (7) 47 Others 379 51 430 (313) (2) 2 117 (13) (11) (2) 130 TOTAL 6,707 467 7,174 (4,964) (2,397) 367 180 (3,052) (655) (2,397) 3,232 of which continuing activities 6,391 404 6,795 (4,635) (2,397) 367 130 (3,030) (633) (2,397) 3,160 of which discontinued activities 316 63 379 (329) - - 50 (22) (22) - 72 In millions of euros, at 31 December 2021 De\ufb01ned- bene\ufb01t obligation arising from wholly or partially funded plans De\ufb01ned- bene\ufb01t obligation arising from unfunded plans Present value of de\ufb01ned- bene\ufb01t obligation Fair value of plan assets Fair value of reimbursement rights (1) Effect of asset ceiling Net obligation of which asset recognised in the balance sheet for de\ufb01ned-bene\ufb01t plans of which net assets of de\ufb01ned-bene\ufb01t plans of which fair value of reimbursement rights of which obligation recognised in the balance sheet for de\ufb01ned-bene\ufb01t plans Belgium 3,189 3,189 (157) (2,930) 102 (2,930) (2,930) 3,032 UK 1,769 1,769 (2,248) (479) (481) (481) 2 Switzerland 1,146 1,146 (1,172) 29 3 3 France 1,058 81 1,139 (1,175) (36) (191) (191) 155 USA 572 79 651 (579) 72 (16) (16) 88 T\u00fcrkiye 134 32 166 (238) 104 32 32 Italy 238 238 238 238 Germany 132 71 203 (112) 91 91 Others 504 55 559 (401) (2) 156 (8) (6) (2) 164 TOTAL 8,504 556 9,060 (6,082) (2,932) 133 179 (3,626) (694) (2,932) 3,805 of which continuing activities 8,129 479 8,608 (5,691) (2,932) 133 118 (3,609) (677) (2,932) 3,727 of which discontinued activities 375 77 452 (391) - - 61 (17) (17) - 78 (1) The reimbursement rights are principally found on the balance sheet of the Group\u2019s insurance subsidiaries and associated companies \u2013 notably AG Insurance with respect to BNP Paribas Fortis\u2019 de\ufb01ned-bene\ufb01t plan \u2013 to hedge their commitments to other Group entities that were transferred to them to cover the post-employment bene\ufb01ts of certain employee categories. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 265 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 CHANGE IN THE PRESENT VALUE OF THE DEFINED-BENEFIT OBLIGATION INCLUDING DISCONTINUED ACTIVITIES In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 PRESENT VALUE OF DEFINED-BENEFIT OBLIGATION AT START OF PERIOD 9,060 9,428 Current service cost 215 222 Interest cost 100 61 Past service cost (5) (1) Settlements (11) (25) Actuarial (gains)/losses on change in demographic assumptions 10 (24) Actuarial (gains)/losses on change in \ufb01nancial assumptions (1,985) (327) Actuarial (gains)/losses on experience gaps 341 195 Actual employee contributions 23 22 Bene\ufb01ts paid directly by the employer (101) (105) Bene\ufb01ts paid from assets/reimbursement rights (489) (419) Exchange rate (gains)/losses on obligation (25) 108 (Gains)/losses on obligation related to changes in the consolidation scope 41 21 Others (1) - (96) PRESENT VALUE OF DEFINED-BENEFIT OBLIGATION AT END OF PERIOD 7,174 9,060 (1) Impact of the May 2021 IFRIC decision. \u27a4 CHANGE IN THE FAIR VALUE OF PLAN ASSETS AND REIMBURSEMENT RIGHTS INCLUDING DISCONTINUED ACTIVITIES In millions of euros Plan assets Reimbursement rights Year to 31 Dec. 2022 Year to 31 Dec. 2021 Year to 31 Dec. 2022 Year to 31 Dec. 2021 FAIR VALUE OF ASSETS AT START OF PERIOD 6,082 5,870 2,932 3,050 Expected return on assets 99 73 13 2 Settlements (21) (26) Actuarial gains/(losses) on assets (938) 216 (548) (29) Actual employee contributions 13 13 10 9 Employer contributions 54 65 198 98 Bene\ufb01ts paid from assets (257) (220) (232) (199) Exchange rate gains/(losses) on assets (64) 70 Gains/(losses) on assets related to changes in the consolidation scope (4) 21 24 1 FAIR VALUE OF ASSETS AT END OF PERIOD 4,964 6,082 2,397 2,932 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 266 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 COMPONENTS OF THE COST OF DEFINED-BENEFIT PLANS In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Service costs 220 222 Current service cost 215 222 Past service cost (5) (1) Settlements 10 1 Net \ufb01nancial expense 6 9 Interest cost 100 61 Interest income on plan asset 18 23 Interest income on reimbursement rights (99) (73) Expected return on asset ceiling (13) (2) TOTAL RECOGNISED IN SALARY AND EMPLOYEE BENEFIT EXPENSE 226 231 of which continuing activities 222 228 of which discontinued activities 4 3 \u27a4 OTHER ITEMS RECOGNISED DIRECTLY IN EQUITY In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Actuarial (losses)/gains on plan assets or reimbursement rights (1,486) 187 Actuarial (losses)/gains of demographic assumptions on the present value of obligations (10) 24 Actuarial (losses)/gains of \ufb01nancial assumptions on the present value of obligations 1,985 327 Experience (losses)/gains on obligations (341) (195) Variation of the effect of assets limitation (263) 27 TOTAL OF OTHER ITEMS RECOGNISED DIRECTLY IN EQUITY (115) 370 of which continuing activities (127) 350 of which discontinued activities 12 20 \u27a4 MAIN ACTUARIAL ASSUMPTIONS USED TO CALCULATE OBLIGATIONS In the eurozone, United Kingdom and United States, the Group discounts its obligations using the yields of high quality corporate bonds, with a term consistent with the duration of the obligations. The ranges of rates used are as follows: In % 31 December 2022 31 December 2021 Discount rate Compensation increase rate (1) Discount rate Compensation increase rate (1) Belgium 1.90% / 3.80% 3.30% / 5.00% 0.00% / 1.10% 2.90% / 3.60% UK 3.50% / 4.90% 2.00% / 3.30% 1.30% / 1.90% 2.00% / 3.50% France 3.30% / 3.80% 2.10% / 3.65% 0.10% / 1.10% 1.40% / 3.25% Switzerland 2.00% / 2.15% 1,75% / 2,00% 0.20% / 0.30% 1.50% USA 4.90% / 5.00% 2.50% 2.60% / 2.90% 2.50% Italy 1.90% / 3.60% 2.10% / 3.20% 0.30% / 1.00% 1.80% / 2.50% Germany 2.30% / 3.80% 2.00% / 2.90% 0.60% / 1.10% 1.80% / 2.50% T\u00fcrkiye 10.60% 8.50% 20.01% 17.03% (1) Including price increases (in\ufb02ation). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 267 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Average discount rates weighted by obligation amounts are as follows: \u25a0 in the eurozone: 3.54% at 31 December 2022 (0.60% at 31 December 2021); \u25a0 in the United Kingdom: 4.78% at 31 December 2022 (1.88% at 31 December 2021); \u25a0 in Switzerland: 2.15% at 31 December 2022 (0.30% at 31 December 2021). The impact of a 100-bps change in discount rates on the present value of post-employment bene\ufb01t obligations is as follows: Change in the present value of obligations In millions of euros 31 December 2022 31 December 2021 Discount rate -100 bps Discount rate +100 bps Discount rate -100 bps Discount rate +100 bps Belgium 201 (175) 327 (266) UK 187 (147) 403 (302) France 92 (78) 129 (107) Switzerland 133 (107) 177 (140) USA 18 (15) 30 (24) Italy 12 (11) 18 (16) Germany 26 (20) 41 (32) T\u00fcrkiye 13 (10) 15 (12) In\ufb02ation assumptions used for the valuations of the Group obligations are determined locally depending on the monetary area, except for the eurozone for which the assumption is determined centrally. Average discount rates weighted by obligation amounts are as follows: \u25a0 in the eurozone: 2.43% at 31 December 2022 (1.76% at 31 December 2021); \u25a0 in the United Kingdom: 3.03% at 31 December 2022 (2.90% at 31 December 2021); \u25a0 in Switzerland: 1.25% at 31 December 2022 (1.00% at 31 December 2021). The impact of a +100-bps increase in in\ufb02ation rates on the present value of post-employment bene\ufb01t obligations is as follows: Change in the present value of obligations In millions of euros 31 December 2022 31 December 2021 In\ufb02ation rate +100 bps In\ufb02ation rate +100 bps Belgium 148 188 UK 126 256 France 92 125 Switzerland 8 11 USA 0 0 Italy 8 12 Germany 14 7 T\u00fcrkiye 12 18 Variation effects of discount and in\ufb02ation rates presented above are not cumulative. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 268 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 ACTUAL RATE OF RETURN ON PLAN ASSETS AND REIMBURSEMENT RIGHTS OVER THE PERIOD In % Year to 31 Dec. 2022 Year to 31 Dec. 2021 Range of value (re\ufb02ecting the existence of several plans in the same country) Weighted average rates Range of value (re\ufb02ecting the existence of several plans in the same country) Weighted average rates Belgium -18.75% / 6.30% -12.65% -5.65% / 13.35% 0.45% UK -38.30% / 0% -34.60% 6.60% / 14.80% 7.70% France 2.60% 2.60% 2.00% 2.00% Switzerland -15.85% / 1% 0.50% 1.00% / 9.45% 7.85% USA -29.75% / -16.75% -28.90% 2.00% 2.00% Germany -26.15% / 1.30% -11.20% -6.65% / 5.25% 4.60% T\u00fcrkiye 40.80% 40.80% 20.60% 20.60% \u27a4 BREAKDOWN OF PLAN ASSETS In % 31 December 2022 31 December 2021 Shares Govern- mental bonds Non- Governmen- tal bonds Real- estate Deposit account Others Shares Govern- mental bonds Non- Governmen- tal bonds Real- estate Deposit account Others Belgium 8% 48% 20% 1% 0% 23% 7% 53% 14% 1% 0% 25% UK 7% 65% 13% 0% 2% 13% 8% 72% 8% 0% 2% 10% France (1) 8% 60% 18% 13% 1% 0% 7% 69% 16% 8% 0% 0% Switzerland 32% 0% 23% 21% 3% 20% 36% 0% 26% 20% 4% 14% USA 19% 18% 58% 0% 1% 4% 18% 0% 73% 1% 6% 2% Germany 25% 64% 0% 0% 3% 9% 23% 66% 0% 0% 2% 9% T\u00fcrkiye 0% 59% 0% 3% 30% 7% 0% 0% 0% 4% 93% 3% Others 10% 18% 12% 2% 2% 57% 9% 17% 10% 2% 2% 60% GROUP 12% 44% 18% 6% 2% 18% 11% 49% 15% 4% 4% 17% (1) In France, the breakdown of plan assets re\ufb02ects the breakdown of the general fund of the insurance company through which the Group\u2019s obligations are funded. The Group introduced an asset management governance for assets backing de\ufb01ned-bene\ufb01t pension plan commitments, the main objectives of which are the management and control of the risks in terms of investment. It sets out investment principles, in particular, by de\ufb01ning an investment strategy for plan assets, based on \ufb01nancial objectives and \ufb01nancial risk management, to specify the way in which plan assets have to be managed, via \ufb01nancial management servicing contracts. The investment strategy is based on an assets and liabilities management analysis that should be realised at least every three years for plans with assets in excess of EUR 100 million. Post-employment healthcare benefits The Group offers some healthcare bene\ufb01t plans for retired employees, mainly in Belgium. The present value of post-employment healthcare bene\ufb01t obligations stood at EUR 83 million at 31 December 2022, compared with EUR 115 million at 31 December 2021. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 269 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfDefinedBenefitPlansExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9650": {
   "value": "Preferred shares and Undated Super Subordinated Notes eligible as Tier 1 regulatory capital Preferred shares issued by the Group\u2019s foreign subsidiaries BNP Paribas Personal Finance made in 2004 two issues of undated non-voting preferred shares through a structured entity governed by UK law and which is exclusively controlled. On 15 April 2021, BNP Paribas Personal Finance redeemed the issues, for an amount of EUR 80 million. These notes paid a TEC 10 rate coupon. Undated Super Subordinated Notes issued by BNP Paribas SA BNP Paribas SA has issued Undated Super Subordinated Notes which pay a \ufb01xed, \ufb01xed adjustable or \ufb02oating-rate coupon and are redeemable at the end of a \ufb01xed period and thereafter at each coupon date or every \ufb01ve years. If the notes are not redeemed at the end of this period, some of these issues will pay a coupon indexed to Euribor, Libor or a swap rate or a \ufb01xed-rate coupon. On 19 February 2021, BNP Paribas SA issued Undated Super Subordinated Notes for an amount of USD 1,250 million which pay a 4.625% \ufb01xed-rate coupon. These notes could be redeemed at the end of a period of 10 years. If the notes are not redeemed in 2031, a US 5-year Constant Maturity Treasury rate coupon will be paid half-yearly. This issue is eligible to Additional Tier 1 capital. On 8 March 2021, BNP Paribas SA redeemed the June 2007 issue, for an amount of USD 600 million. These notes paid a 6.5% \ufb01xed-rate coupon. On 30 March 2021, BNP Paribas SA redeemed the March 2016 issue, for an amount of USD 1,500 million, before the \ufb01rst call date. These notes paid a 7.625% \ufb01xed-rate coupon. On 3 January 2022, BNP Paribas SA redeemed the July 2006 and June 2007 issues, for EUR 150 million and USD 1,100 million respectively. These notes paid 5.45% and 7.195% \ufb01xed-rate coupon. On 12 January 2022, BNP Paribas SA issued Undated Super Subordinated Notes for an amount of USD 1,250 million which pay a 4.625% \ufb01xed-rate coupon. These notes could be redeemed at the end of a period of 5 years. If the notes are not redeemed in 2027, a US 5-year Constant Maturity Treasury rate coupon will be paid half-yearly. This issue is eligible to Additional Tier 1 capital. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 272 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements On 19 February 2022, BNP Paribas SA redeemed the June 2007 issue, for an amount of USD 1,100 million. These notes paid a 7.195% \ufb01xed-rate coupon. On 14 March 2022, BNP Paribas SA redeemed the December 2016 issue, for an amount of USD 750 million. These notes paid a 6.75% \ufb01xed-rate coupon. On 17 June 2022, BNP Paribas SA redeemed the June 2015 issue, for an amount of EUR 750 million, at the \ufb01rst call date. These notes paid a 6.125% \ufb01xed-rate coupon. On 16 August 2022, BNP Paribas SA issued Undated Super Subordinated Notes for an amount of USD 2,000 million which pay a 7.75% \ufb01xed-rate coupon. These notes could be redeemed at the end of a period of 7 years. If the notes are not redeemed in 2029, a US 5-year Constant Maturity Treasury rate coupon will be paid half-yearly. This issue is eligible to Additional Tier 1 capital. On 6 September 2022, BNP Paribas SA issued Undated Super Subordinated Notes for an amount of EUR 1,000 million which pay a 6.875% \ufb01xed-rate coupon. These notes could be redeemed at the end of a period of 7 years and 3 months. If the notes are not redeemed in 2029, a mid-swap rate EUR 5-year coupon will be paid half-yearly. This issue is eligible to Additional Tier 1 capital. On 17 November 2022, BNP Paribas SA issued Undated Super Subordinated Notes for an amount of USD 1,000 million which pay a 9.25% \ufb01xed-rate coupon. These notes could be redeemed at the end of a period of 5 years. If the notes are not redeemed in 2027, a US 5-year Constant Maturity Treasury rate coupon will be paid half-yearly. This issue is eligible to Additional Tier 1 capital. The following table summarises the characteristics of these various issues: Date of issue Currency Amount (in millions of currency units) Coupon payment date Rate and term before 1 st call date Rate after 1 st call date August 2015 USD 1,500 semi-annual 7.375% 10 years USD 5-year swap +5.150% November 2017 USD 750 semi-annual 5.125% 10 years USD 5-year swap +2.838% August 2018 USD 750 semi-annual 7.000% 10 years USD 5-year swap +3.980% March 2019 USD 1,500 semi-annual 6.625% 5 years USD 5-year swap +4.149% July 2019 AUD 300 semi-annual 4.500% 5.5 years AUD 5-year swap +3.372% February 2020 USD 1,750 semi-annual 4.500% 10 years US 5-year CMT +2.944% February 2021 USD 1,250 semi-annual 4.625% 10 years US 5-year CMT +3.340% January 2022 USD 1,250 semi-annual 4.625% 5 years US 5-year CMT +3.196% August 2022 USD 2,000 semi-annual 7.75% 7 years US 5-year CMT +4.899% September 2022 EUR 1,000 semi-annual 6.875% 7.25 years EUR 5-year swap +4.645% November 2022 USD 1,000 semi-annual 9.25% 5 years US 5-year CMT +4.969% TOTAL EURO-EQUIVALENT HISTORICAL VALUE AT 31 DECEMBER 2022 11,800 (1) (1) Net of shares held in treasury by Group entities. BNP Paribas has the option of not paying interest due on these Undated Super Subordinated Notes. Unpaid interest is not carried forward. For notes issued before 2015, the absence of coupon payment is conditional on the absence of dividend payment on BNP Paribas SA ordinary shares or on Undated Super Subordinated Note equivalents during the previous year. Interest due is payable once dividend payment on BNP Paribas SA ordinary shares resumes. The contracts relating to these Undated Super Subordinated Notes contain a loss absorption clause. Under the terms of this clause, in the event of insuf\ufb01cient regulatory capital, the nominal value of the notes may be reduced in order to serve as a new basis for the calculation of the related coupons until the capital de\ufb01ciency is made up and the nominal value of the notes is increased to its original amount. The proceeds from these issues are recorded in equity under \u201cCapital and retained earnings\u201d. In accordance with IAS 21, issues denominated in foreign currencies are recognised at their historical value based on their translation into euros at the issue date. Interest on the instruments is treated in the same way as dividends. At 31 December 2022, the BNP Paribas Group held EUR 14 million of Undated Super Subordinated Notes which were deducted from shareholders\u2019 equity. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 273 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfReservesAndOtherEquityInterestExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9651": {
   "value": "Earnings per share Basic earnings per share are calculated by dividing the net income for the period attributable to holders of ordinary shares by the weighted average number of ordinary shares outstanding during the period. The net income attributable to ordinary shareholders is determined by deducting the net income attributable to holders of preferred shares. Diluted earnings per share correspond to the net income for the period attributable to holders of ordinary shares, divided by the weighted average number of shares outstanding as adjusted for the maximum effect of the conversion of dilutive equity instruments into ordinary shares. In-the-money stock subscription options are taken into account in the diluted earnings per share calculation, as are performance shares granted under the Global Share-Based Incentive Plan. Conversion of these instruments would have no effect on the net income \ufb01gure used in this calculation. All stock option and performance share plans are expired. Year to 31 Dec. 2022 Year to 31 Dec. 2021 Net pro\ufb01t used to calculate basic and diluted earnings per ordinary share (in millions of euros) (1) 9,621 9,052 Weighted average number of ordinary shares outstanding during the year 1,232,991,607 1,247,014,704 Effect of potentially dilutive ordinary shares - - Weighted average number of ordinary shares used to calculate diluted earnings per share 1,232,991,607 1,247,014,704 Basic earnings per share (in euros) 7.80 7.26 of which continuing activities (in euros) 7.24 6.68 of which discontinued activities (in euros) 0.56 0.58 Diluted earnings per share (in euros) 7.80 7.26 of which continuing activities (in euros) 7.24 6.68 of which discontinued activities (in euros) 0.56 0.58 (1) The net pro\ufb01t used to calculate basic and diluted earnings per share is the net pro\ufb01t attributable to equity shareholders, adjusted for the remuneration on the Undated Super Subordinated Notes issued by BNP Paribas SA (treated as preferred share equivalents), which for accounting purposes is handled as dividends, as well as the related foreign exchange gain or loss impact recognised directly in shareholders\u2019 equity in case of repurchase. The Board of directors will propose to the Annual General Meeting on 16 May 2023, a dividend per share of EUR 3.90 out of the 2022 net income (against EUR 3.67 out of the 2021 net income). The proposed distribution amounted to EUR 4,811 million, against EUR 4,527 million paid in 2022. This distribution will be raised to 60% of the 2022 net income with a share buyback programme of EUR 962 million, subject to the customary condition precedents, including European Central Bank authorisations.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfEarningsPerShareExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9664": {
   "value": "The Board of directors will propose to the Annual General Meeting on 16 May 2023, a dividend per share of EUR 3.90 out of the 2022 net income (against EUR 3.67 out of the 2021 net income). The proposed distribution amounted to EUR 4,811 million, against EUR 4,527 million paid in 2022. This distribution will be raised to 60% of the 2022 net income with a share buyback programme of EUR 962 million, subject to the customary condition precedents, including European Central Bank authorisations.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfDividendsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9673": {
   "value": "3.9",
   "decimals": 2,
   "dimensions": {
    "concept": "ifrs-full:DividendsProposedOrDeclaredBeforeFinancialStatementsAuthorisedForIssueButNotRecognisedAsDistributionToOwnersPerShare",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00",
    "unit": "iso4217:EUR/xbrli:shares"
   }
  },
  "fact_9674": {
   "value": "3.67",
   "decimals": 2,
   "dimensions": {
    "concept": "ifrs-full:DividendsRecognisedAsDistributionsToOwnersPerShare",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00",
    "unit": "iso4217:EUR/xbrli:shares"
   }
  },
  "fact_9672": {
   "value": "4811000000",
   "decimals": -6,
   "dimensions": {
    "concept": "ifrs-full:DividendsProposedOrDeclaredBeforeFinancialStatementsAuthorisedForIssueButNotRecognisedAsDistributionToOwners",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00",
    "unit": "iso4217:EUR"
   }
  },
  "fact_9652": {
   "value": "7.b LEGAL PROCEEDINGS AND ARBITRATION BNP Paribas (the \u201cBank\u201d) is party as a defendant in various claims, disputes and legal proceedings (including investigations by judicial or supervisory authorities) in a number of jurisdictions arising in the ordinary course of its business, including inter alia in connection with its activities as market counterparty, lender, employer, investor and taxpayer. The related risks have been assessed by the Bank and are subject, where appropriate, to provisions disclosed in note 4.p \u201cProvisions for liabilities and charges\u201d of the consolidated \ufb01nancial statements at 31 December 2022; a provision is recognised when it is probable that an out\ufb02ow of resources embodying economic bene\ufb01ts will be required to settle an obligation arising from a past event and a reliable estimate can be made of the amount of the obligation. The main contingent liabilities related to pending legal, governmental, or arbitral proceedings as of 31 December 2022 are described below. The Bank currently considers that none of these proceedings is likely to have a material adverse effect on its \ufb01nancial position or pro\ufb01tability; however, the outcome of legal or governmental proceedings is by de\ufb01nition unpredictable. The Bank and certain of its subsidiaries are defendants in several actions pending before the United States Bankruptcy Court for the Southern District of New York brought by the Trustee appointed for the liquidation of Bernard L. Madoff Investment Securities LLC (\u201cBLMIS\u201d). These actions, known generally as \u201cclawback claims\u201d, are similar to those brought by the BLMIS Trustee under the U.S. Bankruptcy Code and New York state law against numerous institutions, and seek recovery of approximately USD 1.3 billion allegedly received by BNP Paribas entities from BLMIS or indirectly through BLMIS- related \u201cfeeder funds\u201d in which BNP Paribas entities held interests. As a result of certain decisions of the Bankruptcy Court and the United States District Court between 2016 and 2018, the majority of the BLMIS Trustee\u2019s actions were either dismissed or substantially narrowed. However, those decisions were either reversed or effectively overruled by subsequent decisions of the United States Court of Appeals for the Second Circuit issued on 25 February 2019 and 30 August 2021. As a result, the BLMIS Trustee may seek to re-\ufb01le certain claims that were previously dismissed. BNP Paribas has substantial and credible defences to these actions and is defending against them vigorously. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 274 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Litigation was brought in Belgium by minority shareholders of the previous Fortis Group against the Soci\u00e9t\u00e9 f\u00e9d\u00e9rale de Participations et d\u2019Investissement, Ageas and BNP Paribas seeking (amongst other things) damages from BNP Paribas as restitution for part of the BNP Paribas Fortis shares that were contributed to BNP Paribas in 2009, on the ground that the transfer of these shares was null and void. On 29 April 2016, the Brussels Commercial court decided to stay the proceedings until the resolution of the pending Fortis criminal proceeding in Belgium. The criminal proceeding, in which the Public Prosecutor had requested a dismissal, is de\ufb01nitively closed, as the Council Chamber of the Brussels Court of \ufb01rst instance issued on 4 September 2020 a ruling (which since became \ufb01nal) that the charges were time-barred. Certain minority shareholders are continuing the civil proceedings against BNP Paribas and the Soci\u00e9t\u00e9 f\u00e9d\u00e9rale de Participations et d\u2019Investissement before the Brussels Commercial court; BNP Paribas continues to defend itself vigorously against the allegations of these shareholders. Like many other \ufb01nancial institutions in the banking, investment, mutual funds and brokerage sectors, the Bank has received or may receive requests for information from, or be subject to investigations by supervisory, governmental or self-regulatory agencies. The Bank responds to such requests, and cooperates with the relevant authorities and regulators and seeks to address and remedy any issues that may arise. On 26 February 2020, the Paris Criminal Court found BNP Paribas Personal Finance guilty of misleading commercial practice and concealment of this practice. BNP Paribas Personal Finance was ordered to pay a \ufb01ne of EUR 187,500 and damages and legal fees to the civil plaintiffs. The damages award was of immediate effect. BNP Paribas Personal Finance \ufb01led an appeal on the merits on 6 March 2020. It also sought to suspend the immediate effectiveness of the judgment, which the court rejected by decision dated 25 September 2020. BNP Paribas Personal Finance paid to the civil plaintiffs the damages awarded, without prejudice to the pending appeal before the Court of Appeal of Paris and to the civil legal proceedings that are otherwise ongoing. There are no other legal, governmental or arbitral proceedings (including any such proceedings which are pending or threatened) that could have, or during the last twelve months have had, signi\ufb01cant effects on the Bank\u2019s \ufb01nancial condition or pro\ufb01tability.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfContingentLiabilitiesExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9655": {
   "value": "7.e EVENT AFTER THE REPORTING PERIOD Bank of the West On 18 December 2021, BNP Paribas concluded an agreement with BMO Financial Group for the sale of 100% of its retail and commercial banking activities in the United States, operated by the group BancWest. The transaction was closed on 1 February 2023 following receipt of all regulatory approvals by BMO Financial Group. The estimated impact on the Group\u2019s balance sheet at sale date is a decrease of approximately EUR 87 billion in assets held for sale. The capital gain on the disposal amounts to EUR 2.9 billion, including the result related to the Group subscription commitment to the capital increase of BMO Financial Group. The gain will be recognised in the \ufb01rst quarter of 2023.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfEventsAfterReportingPeriodExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9656": {
   "value": "7.f MINORITY INTERESTS In millions of euros Capital and retained earnings Changes in assets and liabilities recognised directly in equity that will not be reclassi\ufb01ed to pro\ufb01t or loss Changes in assets and liabilities recognised directly in equity that may be reclassi\ufb01ed to pro\ufb01t or loss Minority interests Balance at 1 January 2021 4,640 9 (99) 4,550 Appropriation of net income for 2020 (221) (221) Increases in capital and issues 10 10 Reduction or redemption of capital (73) (73) Movements in consolidation scope impacting minority shareholders (139) (139) Acquisitions of additional interests or partial sales of interests 55 55 Change in commitments to repurchase minority shareholders\u2019 interests 38 38 Other movements 9 9 Realised gains or losses reclassi\ufb01ed to retained earnings 1 (1) - Changes in assets and liabilities recognised directly in equity 7 (7) - Net income for 2021 392 392 Balance at 31 December 2021 4,712 15 (106) 4,621 IAS 29 Impact (14) 62 48 Balance at 1 January 2022 4,698 15 (44) 4,669 Appropriation of net income for 2021 (133) (133) Increases in capital and issues 34 34 Impact of internal transactions on minority shareholders 2 2 Movements in consolidation scope impacting minority shareholders (136) (136) Change in commitments to repurchase minority shareholders\u2019 interests (157) (157) Other movements (1) (1) Changes in assets and liabilities recognised directly in equity 6 78 84 Net income for 2022 401 401 Balance at 31 December 2022 4,708 21 34 4,763 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 279 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 MAIN MINORITY INTERESTS The assessment of the material nature of minority interests is based on the contribution of the relevant subsidiaries to the Group balance sheet (before elimination of intragroup balances and transactions) and to the Group pro\ufb01t and loss account. In millions of euros 31 December 2022 Year to 31 Dec. 2022 Total assets before elimination of intragroup transactions Revenues Net income Net income and changes in assets and liabilities recognised directly in equity Minority shareholders\u2019 interest (%) Net income attributable to minority interests Net income and changes in assets and liabilities recognised directly in equity \u2013 attributable to minority interests Dividends paid to minority shareholders Contribution of the entities belonging to the BGL BNP Paribas Group 95,376 1,851 604 269 34% 189 121 81 Other minority interests 212 364 52 TOTAL 401 485 133 In millions of euros 31 December 2021 Year to 31 Dec. 2021 Total assets before elimination of intragroup transactions Revenues Net income Net income and changes in assets and liabilities recognised directly in equity Minority shareholders\u2019 interest (%) Net income attributable to minority interests Net income and changes in assets and liabilities recognised directly in equity \u2013 attributable to minority interests Dividends paid to minority shareholders Contribution of the entities belonging to the BGL BNP Paribas Group 98,967 1,779 585 557 34% 179 167 163 Other minority interests 213 225 58 TOTAL 392 392 221 There are no particular contractual restrictions on the assets of BGL BNP Paribas related to the presence of the minority shareholder. \u27a4 INTERNAL RESTRUCTURING THAT LED TO A CHANGE IN MINORITY SHAREHOLDERS\u2019 INTEREST IN THE EQUITY OF SUBSIDIARIES No signi\ufb01cant internal restructuring operation occurred during the year 2022, nor during the year 2021. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 280 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 ACQUISITIONS OF ADDITIONAL INTERESTS AND PARTIAL SALES OF INTERESTS LEADING TO CHANGES IN MINORITY INTERESTS IN THE EQUITY OF SUBSIDIARIES In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Attributable to shareholders Minority interests Attributable to shareholders Minority interests Bank BGZ BNP Paribas Partial disposal of 1.26% of the total share, reducing the Group\u2019s share to 87.43% (11) 37 Financit Spa Implementation of a partnership, reducing the Group\u2019s share to 60% 21 18 Other (2) TOTAL - - 8 55 Commitments to repurchase minority shareholders\u2019 interests In connection with the acquisition of certain entities, the Group granted minority shareholders put options on their holdings. The total value of these commitments, which are recorded as a reduction in shareholders\u2019 equity, amounts to EUR 361 million at 31 December 2022, compared with EUR 322 million at 31 December 2021.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfNoncontrollingInterestsExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9657": {
   "value": "Consolidated structured entities The main categories of consolidated structured entities are: \u25a0 ABCP (Asset-Backed Commercial Paper) conduits: the ABCP securitisation conduits Starbird, Matchpoint and Scaldis fund securitisation transactions managed by the BNP Paribas Group on behalf of its customers. Details on how these are \ufb01nanced and the Group\u2019s risk exposure are presented in chapter 5 of the Universal registration document under Securitisation as sponsor on behalf of clients/Short-term re\ufb01nancing; \u25a0 Proprietary securitisation: proprietary securitisation positions originated and held by the BNP Paribas Group are detailed in chapter 5 of the Universal registration document under Proprietary securitisation activities (originator); \u25a0 Funds managed by the Group: the BNP Paribas Group structures different types of funds for which it may act as fund manager, investor, custodian or guarantor. These funds are consolidated when the Group is both the manager and a signi\ufb01cant investor and is therefore exposed to variable returns.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfInformationAboutConsolidatedStructuredEntitiesExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9658": {
   "value": "Unconsolidated structured entities The BNP Paribas Group has entered into relations with unconsolidated structured entities in the course of its business activities to meet the needs of its customers. Information relative to interests in sponsored structured entities The main categories of unconsolidated sponsored structured entities are as follows: \u25a0 Securitisation: the BNP Paribas Group structures securitisation vehicles for the purposes of offering customers \ufb01nancing solutions for their assets, either directly or through consolidated ABCP conduits. Each vehicle \ufb01nances the purchase of customers\u2019 assets (receivables, bonds, etc.) primarily by issuing bonds backed by these assets and whose redemption is linked to their performance; \u25a0 Funds: the Group structures and manages funds to offer investment opportunities to its customers. Dedicated or public funds are offered to institutional and individual customers and are distributed and commercially monitored by the BNP Paribas Group. The entities of the BNP Paribas Group responsible for managing these funds may receive management fees and performance commission. The BNP Paribas Group may hold units in these funds, as well as units in funds dedicated to the insurance activity not managed by the BNP Paribas Group; \u25a0 Asset financing: the BNP Paribas Group establishes and \ufb01nances structured entities that acquire assets (aircraft, ships, etc.) intended for lease, and the lease payments received by the structured entity are used to repay the \ufb01nancing, which is guaranteed by the asset held by the structured entity; \u25a0 Other: on behalf of its customers, the Group may also structure entities which invest in assets or are involved in debt restructuring. An interest in an unconsolidated structured entity is a contractual or non-contractual link that exposes the BNP Paribas Group to variable returns from the performance of the entity. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 282 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements The Group\u2019s assets and liabilities related to the interests held in sponsored structured entities are as follows: In millions of euros, at 31 December 2022 Securitisation Funds Asset Financing Others Total INTERESTS ON THE GROUP BALANCE SHEET ASSETS Financial instruments at fair value through pro\ufb01t or loss 7 1,468 449 1,924 Derivatives used for hedging purposes 9 1,067 13 19 1,108 Financial instruments at fair value through equity 147 147 Financial assets at amortised cost 21,058 278 2,150 228 23,714 Other assets 2 110 26 138 Financial investments of insurance activities 34,933 34,933 TOTAL ASSETS 21,223 37,856 2,189 696 61,964 LIABILITIES Financial instruments at fair value through pro\ufb01t or loss 14 597 53 230 894 Derivatives used for hedging purposes Financial liabilities at amortised cost 553 10,907 181 27 11,668 Other liabilities 4 296 117 417 TOTAL LIABILITIES 571 11,800 351 257 12,979 MAXIMUM EXPOSURE TO LOSS 29,679 38,505 3,527 753 72,464 SIZE OF STRUCTURED ENTITIES (1) 163,455 308,773 5,755 4,365 482,348 In millions of euros, at 31 December 2021 Securitisation Funds Asset Financing Others Total INTERESTS ON THE GROUP BALANCE SHEET ASSETS Financial instruments at fair value through pro\ufb01t or loss 5 1,009 4 95 1,113 Derivatives used for hedging purposes 11 1,404 23 18 1,456 Financial instruments at fair value through equity 190 190 Financial assets at amortised cost 14,230 117 1,709 9 16,065 Other assets 3 93 96 Financial investments of insurance activities 24,114 24,114 TOTAL ASSETS 14,439 26,737 1,736 122 43,034 LIABILITIES Financial instruments at fair value through pro\ufb01t or loss 18 542 3 54 617 Derivatives used for hedging purposes Financial liabilities at amortised cost 1,058 12,809 140 27 14,034 Other liabilities 5 140 118 263 TOTAL LIABILITIES 1,081 13,491 261 81 14,914 MAXIMUM EXPOSURE TO LOSS 21,888 27,061 3,047 212 52,208 SIZE OF STRUCTURED ENTITIES (1) 121,665 332,150 4,933 5,263 464,011 (1) The size of sponsored structured entities equals the total assets of the structured entity for securitisation vehicles, the net asset value for funds (excluding management mandates) and the structured entity\u2019s total assets or the amount of the BNP Paribas Group\u2019s commitment for asset \ufb01nancing and other structures. The BNP Paribas Group\u2019s maximum exposure to losses on sponsored structured entities is the carrying amount of the assets, excluding, for \ufb01nancial assets at fair value through equity, changes in value taken directly to equity, as well as the nominal amount of the \ufb01nancing commitments and guarantee commitments given and the notional amount of credit default swaps (CDS) sold. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 283 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements Information relative to interests in non-sponsored structured entities The main interests held by the BNP Paribas Group when it acts solely as an investor in non-sponsored structured entities are detailed below: \u25a0 Units in funds that are not managed by the Group, which are held by the Insurance business line: as part of the asset allocation strategy corresponding to investments related to the premiums for unit-linked contracts or for the general fund, the Insurance business line subscribes to units of structured entities. These short- or medium-term investments are held for their \ufb01nancial performance and meet the risk diversi\ufb01cation criteria inherent to the business. They amounted to EUR 30 billion at 31 December 2022 (EUR 39 billion at 31 December 2021). Changes in value and the majority of the risks associated with these investments are borne by policyholders in the case of assets representative of unit-linked contracts, and by the insurer in the case of assets representative of the general fund; \u25a0 Other investments in funds not managed by the Group: as part of its trading business, the BNP Paribas Group invests in structured entities without any involvement in either managing or structuring these entities (investments in mutual funds, securities funds or alternative funds), particularly as economic hedge for structured products sold to customers. The Group also invests in minority holdings in investment funds, in support of companies, as part of its venture capital business. These investments amounted to EUR 8 billion at 31 December 2022 (10 billion at 31 December 2021); \u25a0 Investments in securitisation vehicles: the breakdown of the Group\u2019s exposure and the nature of the securities held are presented in chapter 5 of the Universal registration document in the section Securitisation as investor. Besides, in the framework of its asset \ufb01nancing activity, the BNP Paribas Group provides \ufb01nancing to structured entities that are established by and for its clients and whose purpose is to acquire assets (aircraft, ships, etc.) intended for lease to those same clients. These \ufb01nancings amount to EUR 4 billion at 31 December 2022 (EUR 5 billion at 31 December 2021).",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfInterestsInUnconsolidatedStructuredEntitiesExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9659": {
   "value": "7.i COMPENSATION AND BENEFITS AWARDED TO THE GROUP\u2019S CORPORATE OFFICERS The Group\u2019s corporate of\ufb01cers, their spouse and their dependent children are considered related parties. The remuneration and bene\ufb01ts policy relating to the Group\u2019s corporate of\ufb01cers, as well as the detailed information on an individual basis, are presented in chapter 2 Corporate Governance of the Universal registration document. \u27a4 REMUNERATION AND BENEFITS AWARDED TO THE GROUP\u2019S CORPORATE OFFICERS Year to 31 Dec. 2022 Year to 31 Dec. 2021 Gross remuneration, including remuneration linked to the term of directorship and bene\ufb01ts in kind payable for the year \u20ac9,845,772 \u20ac8,486,731 paid during the year \u20ac8,779,813 \u20ac6,526,149 Post-employment bene\ufb01ts Retirement bonuses: present value of the bene\ufb01t obligation (payroll taxes excluded) \u20ac840,720 \u20ac788,884 De\ufb01ned contribution pension plan: contributions paid by BNP Paribas during the year \u20ac7,075 \u20ac6,400 Welfare bene\ufb01ts: premiums paid by BNP Paribas during the year \u20ac20,343 \u20ac18,836 Share-based payments Stock subscription options Nil Nil Performance shares Nil Nil Long-term compensation fair value at grant date (*) \u20ac1,748,965 \u20ac1,327,391 (*) Valuation according to the method described in note 6.e. At 31 December 2022, no corporate of\ufb01cer is eligible for a contingent collective de\ufb01ned-bene\ufb01t top-up pension plan. Remuneration linked to the term of directorship paid to members of the Board of directors Remuneration linked to the term of directorship paid to all members of the Board of directors in 2022 amounts to EUR 1,540,000. This amount was EUR 1,362,000 in 2021 (excluding the remuneration of EUR 40,804 linked to the censor role of Mr. Noyer for the period between 1 January and 17 May 2021). The amount paid in 2022 to members other than corporate of\ufb01cers was EUR 1,413,560 compared with EUR 1,233,136 in 2021. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 284 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 REMUNERATION AND BENEFITS AWARDED TO DIRECTORS REPRESENTING THE EMPLOYEES In euros Year to 31 December 2022 Year to 31 December 2021 Gross remuneration paid during the year 125,832 120,963 Remuneration linked to the term of directorship (paid to the trade unions) 200,547 190,887 Premiums paid by BNP Paribas during the year into schemes related to Garantie Vie Professionnelle Accidents bene\ufb01ts and healthcare expense coverage 2,140 2,092 Contributions paid by BNP Paribas during the year into the de\ufb01ned-contribution plan 1,452 1,423 Loans, advances and guarantees granted to the Group\u2019s corporate officers At 31 December 2022, the total outstanding loans granted directly or indirectly to the Group\u2019s corporate of\ufb01cers and their spouse and dependent children amounted to EUR 5,179,096 (EUR 6,392,970 at 31 December 2021). These loans representing normal transactions were carried out on an arm\u2019s length basis.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfInformationAboutKeyManagementPersonnelExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "corporatings-nesting-fix-POfkYD-11327": {
   "value": "7.i COMPENSATION AND BENEFITS AWARDED TO THE GROUP\u2019S CORPORATE OFFICERS The Group\u2019s corporate of\ufb01cers, their spouse and their dependent children are considered related parties. The remuneration and bene\ufb01ts policy relating to the Group\u2019s corporate of\ufb01cers, as well as the detailed information on an individual basis, are presented in chapter 2 Corporate Governance of the Universal registration document. \u27a4 REMUNERATION AND BENEFITS AWARDED TO THE GROUP\u2019S CORPORATE OFFICERS Year to 31 Dec. 2022 Year to 31 Dec. 2021 Gross remuneration, including remuneration linked to the term of directorship and bene\ufb01ts in kind payable for the year \u20ac9,845,772 \u20ac8,486,731 paid during the year \u20ac8,779,813 \u20ac6,526,149 Post-employment bene\ufb01ts Retirement bonuses: present value of the bene\ufb01t obligation (payroll taxes excluded) \u20ac840,720 \u20ac788,884 De\ufb01ned contribution pension plan: contributions paid by BNP Paribas during the year \u20ac7,075 \u20ac6,400 Welfare bene\ufb01ts: premiums paid by BNP Paribas during the year \u20ac20,343 \u20ac18,836 Share-based payments Stock subscription options Nil Nil Performance shares Nil Nil Long-term compensation fair value at grant date (*) \u20ac1,748,965 \u20ac1,327,391 (*) Valuation according to the method described in note 6.e. At 31 December 2022, no corporate of\ufb01cer is eligible for a contingent collective de\ufb01ned-bene\ufb01t top-up pension plan. Remuneration linked to the term of directorship paid to members of the Board of directors Remuneration linked to the term of directorship paid to all members of the Board of directors in 2022 amounts to EUR 1,540,000. This amount was EUR 1,362,000 in 2021 (excluding the remuneration of EUR 40,804 linked to the censor role of Mr. Noyer for the period between 1 January and 17 May 2021). The amount paid in 2022 to members other than corporate of\ufb01cers was EUR 1,413,560 compared with EUR 1,233,136 in 2021. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 284 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 REMUNERATION AND BENEFITS AWARDED TO DIRECTORS REPRESENTING THE EMPLOYEES In euros Year to 31 December 2022 Year to 31 December 2021 Gross remuneration paid during the year 125,832 120,963 Remuneration linked to the term of directorship (paid to the trade unions) 200,547 190,887 Premiums paid by BNP Paribas during the year into schemes related to Garantie Vie Professionnelle Accidents bene\ufb01ts and healthcare expense coverage 2,140 2,092 Contributions paid by BNP Paribas during the year into the de\ufb01ned-contribution plan 1,452 1,423 Loans, advances and guarantees granted to the Group\u2019s corporate officers At 31 December 2022, the total outstanding loans granted directly or indirectly to the Group\u2019s corporate of\ufb01cers and their spouse and dependent children amounted to EUR 5,179,096 (EUR 6,392,970 at 31 December 2021). These loans representing normal transactions were carried out on an arm\u2019s length basis.7.j OTHER RELATED PARTIES Other related parties of the BNP Paribas Group comprise consolidated companies (including entities consolidated under the equity method) and entities managing post-employment bene\ufb01t plans offered to Group employees (except for multi-employer and multi-industry schemes). Transactions between the BNP Paribas Group and related parties are carried out on an arm\u2019s length basis. Relations between consolidated companies A list of companies consolidated by the BNP Paribas Group is provided in note 7.l Scope of consolidation. Transactions and outstanding balances between fully-consolidated entities are eliminated. The tables below show transactions with entities accounted for under the equity method. \u27a4 OUTSTANDING BALANCES OF RELATED-PARTY TRANSACTIONS In millions of euros 31 December 2022 31 December 2021 Joint ventures Associates Joint ventures Associates ASSETS On demand accounts - 4 118 Loans 3,436 91 3,923 116 Securities 440 - 516 268 Other assets 3 72 1 74 Financial investments of insurance activities 1 - 1 2 TOTAL 3,880 167 4,441 578 LIABILITIES On demand accounts 166 1,243 137 525 Other borrowings 73 826 48 1,034 Other liabilities 2 30 7 26 Technical reserves and other insurance liabilities 1 190 1 159 TOTAL 242 2,289 193 1,744 FINANCING COMMITMENTS AND GUARANTEE COMMITMENTS Financing commitments given 24 143 23 553 Guarantee commitments given 65 120 1,469 41 TOTAL 89 263 1,492 594 The Group also carries out trading transactions with related parties involving derivatives (swaps, options and forwards, etc.) and \ufb01nancial instruments purchased or underwritten and issued by them (equities, bonds, etc.). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 285 4 CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2022 4 Notes to the \ufb01nancial statements \u27a4 RELATED-PARTY PROFIT AND LOSS ITEMS In millions of euros Year to 31 Dec. 2022 Year to 31 Dec. 2021 Joint ventures Associates Joint ventures Associates Interest income 43 9 26 7 Interest expense (2) (15) (5) (2) Commission income 1 288 5 305 Commission expense (1) (78) (76) Services provided 29 47 Services received (7) Lease income Net income from insurance activities (2) (2) (2) (3) TOTAL 39 231 24 271 Group Entities involved in certain post-employment benefit plans offered to Group employees In Belgium, BNP Paribas Fortis funds a number of pension schemes managed by AG Insurance in which the BNP Paribas Group has a 25% equity interest. In other countries, post-employment bene\ufb01t plans are generally managed by independent fund managers or independent insurance companies, and occasionally by Group companies, in particular BNP Paribas Asset Management. At 31 December 2022, the value of plan assets managed by Group companies or by companies over which the Group exercises signi\ufb01cant in\ufb02uence was EUR 3,689 million (EUR 4,048 million at 31 December 2021). Amounts received by Group companies in the year to 31 December 2022 totalled EUR 5 million and were mainly composed of management and custody fees (EUR 4 million at 31 December 2021).BNP Paribas",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfRelatedPartyExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_10218": {
   "value": "BNP Paribas",
   "dimensions": {
    "concept": "ifrs-full:NameOfReportingEntityOrOtherMeansOfIdentification",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_10219": {
   "value": "BNP Paribas",
   "dimensions": {
    "concept": "ifrs-full:NameOfParentEntity",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_10227": {
   "value": "BNP Paribas",
   "dimensions": {
    "concept": "ifrs-full:NameOfUltimateParentOfGroup",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_10225": {
   "value": "soci\u00e9t\u00e9 anonyme (Public Limited Company)",
   "dimensions": {
    "concept": "ifrs-full:LegalFormOfEntity",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_10226": {
   "value": "France",
   "dimensions": {
    "concept": "ifrs-full:CountryOfIncorporation",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_10224": {
   "value": "Corporate & Institutional Banking (CIB), Commercial, Personal Banking & Services (CPBS) and Investment & Protection Services (IPS)",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfNatureOfEntitysOperationsAndPrincipalActivities",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_10231": {
   "value": "During the year, the parent company did not change its name",
   "dimensions": {
    "concept": "ifrs-full:ExplanationOfChangeInNameOfReportingEntityOrOtherMeansOfIdentificationFromEndOfPrecedingReportingPeriod",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_10228": {
   "value": "16 boulevard des Italiens 75009 Paris, France",
   "dimensions": {
    "concept": "ifrs-full:AddressOfRegisteredOfficeOfEntity",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_10229": {
   "value": "France",
   "dimensions": {
    "concept": "ifrs-full:PrincipalPlaceOfBusiness",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_10230": {
   "value": "France",
   "dimensions": {
    "concept": "ifrs-full:DomicileOfEntity",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9661": {
   "value": "7.m FEES PAID TO THE STATUTORY AUDITORS Year to 31 Dec. 2022 Excluding tax, in thousands of euros Deloitte PricewaterhouseCoopers Mazars TOTAL Total % Total % Total % Total % Statutory audits and contractual audits, including 17,529 74% 19,920 72% 11,565 88% 49,014 76% Issuer 4,501 5,870 2,919 13,290 Consolidated subsidiaries 13,028 14,050 8,646 35,724 Services other than those required for their statutory audit engagement, including 6,142 26% 7,669 28% 1,606 12% 15,417 24% Issuer 2,062 2,021 897 4,980 Consolidated subsidiaries 4,080 5,648 709 10,437 TOTAL 23,671 100% 27,589 100% 13,171 100% 64,431 100% of which fees paid to Statutory Auditors in France for the statutory audit and contractual audit 6,509 6,216 5,359 18,084 of which fees paid to Statutory Auditors in France for services other than those required for their statutory audit engagements 1,739 2,353 1,046 5,138 Year to 31 Dec. 2021 Excluding tax, in thousands of euros Deloitte PricewaterhouseCoopers Mazars TOTAL Total % Total % Total % Total % Statutory audits and contractual audits, including 16,037 76% 17,925 70% 12,979 88% 46,941 76% Issuer 3,774 4,780 3,179 11,733 Consolidated subsidiaries 12,263 13,145 9,800 35,208 Services other than those required for their statutory audit engagement, including 5,081 24% 7,727 30% 1,694 12% 14,502 24% Issuer 1,801 2,310 825 4,936 Consolidated subsidiaries 3,280 5,417 869 9,566 TOTAL 21,118 100% 25,652 100% 14,673 100% 61,443 100% of which fees paid to Statutory Auditors in France for the statutory audit and contractual audit 5,710 5,225 5,962 16,897 of which fees paid to Statutory Auditors in France for services other than those required for their statutory audit engagements 1,634 2,427 983 5,044 The audit fees paid to auditors which are not members of the network of one of the auditors certifying the consolidated \ufb01nancial statements and the non- consolidated \ufb01nancial statements of BNP Paribas SA, mentioned in the table above, amount to EUR 786 thousand for the year 2022 (EUR 373 thousand in 2021). Services other than those required for the statutory audit engagement are mainly composed this year of reviews of the entity\u2019s compliance with regulatory requirements, and reviews of internal control quality by comparison with international standards (such as ISAE 3402) as part of services provided to customers, particularly in the Securities and Asset Management businesses, and expertise on the Bank\u2019s transformation project",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfAuditorsRemunerationExplanatory",
    "language": "en",
    "entity": "scheme:R0MUWSFPU8MPRO8K5P83",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact_9665": {
   "value": "CAPITAL MANAGEMENT [Audited] To ensure the Group\u2019s sustainability, the Bank must maintain an adequate level of capital with respect to the risks to which it is exposed and its strategy. Capital is a rare and strategic resource, which requires stringent, clearly de\ufb01ned, rigorous management according to an approach, which takes account of the needs and demands of stakeholders, including shareholders, supervisors, creditors and depositors. OBJECTIVES BNP Paribas\u2019 capital management: \u25a0 is governed by policies and procedures which make it possible to understand, document and supervise capital management practices throughout the Bank; \u25a0 takes risk measurement into account to determine the use of the capital; \u25a0 considers capital requirements and resources under normal operating conditions, as well as under situations of severe, but plausible stress; \u25a0 presents a forward-looking vision of the Bank\u2019s capital adequacy to the Executive Management; \u25a0 allocates the capital constraint to the business lines in keeping with their strategic objectives; \u25a0 complies with the Internal Capital Adequacy Assessment Process (ICAAP) and is consistent with the Risk Appetite Framework; \u25a0 is monitored by an appropriate governance. CAPITAL MANAGEMENT AT CENTRAL LEVEL BNP Paribas\u2019 capital management aims to ensure and verify that the Group has adequate capital to comply with the regulatory capital ratios, as well as speci\ufb01c requirements, for instance to operate as a Global Systemically Important Bank. To ensure its capital adequacy, the Group abides by the following principles: \u25a0 maintaining the capital at an appropriate level in view of BNP Paribas\u2019 activities, risk appetite, growth and strategic initiatives; \u25a0 maintaining BNP Paribas\u2019 capital at a level which complies with regulatory requirements; \u25a0 keeping a balance between capital adequacy and return on capital; \u25a0 meeting its obligations vis-\u00e0-vis creditors and counterparties, at each due date; \u25a0 continuing to operate as a \ufb01nancial intermediary. Governance The governance of the development, approval and update of the capital planning process is handled by two committees: \u25a0 the Risk-Weighted Assets Committee: it is jointly chaired by the Chief Financial Of\ufb01cer and the Chief Risk Of\ufb01cer, and comprises the operational divisions\u2019 Chief Financial Of\ufb01cers and Chief Risk Of\ufb01cers. The Committee meets quarterly to examine forecasts of the Group\u2019s risk-weighted assets in the context of the budget cycle and updating of its estimates. The Risk-Weighted Assets Committee is tasked with: \u25a0 monitoring and discussing the forecasts of the Group\u2019s risk-weighted assets for each business line, \u25a0 identifying the main assumptions underlying these forecasts and checking their accuracy, \u25a0 identifying any evolution factors and quantifying their impacts, \u25a0 proposing adjustments if required; \u25a0 the Capital Committee: it meets at least quarterly and is chaired by the Chief Financial Of\ufb01cer. The Committee\u2019s mission is to validate the Group\u2019s targets in terms of solvency ratios and loss absorbing capacity requirements in case of resolution (TLAC and MREL) as well as the trajectory to achieve these targets; monitor compliance with this trajectory; and, where necessary, propose corrective measures, consistent with the Group\u2019s Risk Appetite Statement (RAS). The Committee ensures, in this respect, internal capital adequacy is taken into account in the ICAAP as well as in the results of the global stress tests processes. The Capital Committee is tasked with: \u25a0 monitoring, validating and anticipating changes in the business lines\u2019 risk-weighted assets as well as changes in the Group\u2019s prudential ratios, in central scenario and adverse scenario, and monitoring these indicators relative to the Group\u2019s Risk Appetite, which is stated in the Risk Appetite Statement. This includes solvency ratios, leverage ratio, TLAC/MREL ratios, capital adequacy of the \ufb01nancial conglomerate, etc., \u25a0 identifying any evolution factors and quantifying their impacts, \u25a0 de\ufb01ning trends in short/medium term capital consumption (at least 3 years) and proposing or reporting the ensuing arbitrages to the Group\u2019s Executive Committee, \u25a0 monitoring internal capital adequacy as part of the ICAAP, \u25a0 monitoring potential regulatory changes, \u25a0 monitoring the sensitivity of the CET1 ratio to changes in exchange rates, \u25a0 validating management buffers applicable to the aforementioned ratios, \u25a0 monitoring the impacts of global stress test results, \u25a0 monitoring the implementation of the supervisor\u2019s decisions that have an impact on the Group\u2019s solvency ratio or the amount of its risk-weighted assets. The Capital Committee is also the Group\u2019s competent Executive Management authority for all issues related to the internal credit and operational risk model and the methodologies used in the ICAAP. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 365 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Capital management and capital adequacy Monitoring indicators Capital management at the consolidated level rests on the following indicators: \u25a0 the solvency ratios: BNP Paribas uses the CET1 ratio as its main internal capital management indicator; \u25a0 risk-weighted assets: The risk-weighted assets are calculated per business line and per type of risk. The change in risk-weighted assets is analysed per type of effect (in particular: volume effect, parameters effect, perimeter effect, currency effect and method effect); \u25a0 the leverage ratio: It reports the amount of Tier 1 capital to a measure of both on- and off-balance sheet exposures using a prudential approach. In particular, derivatives and repurchase agreements are adjusted; \u25a0 notional equity: The capital allocation transfers the capital constraints to all Group divisions and thus represents a major constraint concerning the Group\u2019s development and management. The evaluation of the business lines\u2019 performance includes the analysis of their pre-tax Return On Notional Equity \u2013 (RONE) indicators. The equity component of this ratio is the notional equity, which corresponds to the business lines\u2019 consumption of capital. This management rests on two major processes which are closely linked: \u25a0 a detailed quarterly analysis of actual capital consumption by divisions/ business lines and of the Group\u2019s solvency ratios, as well as quarterly forecasts of these indicators throughout the year; \u25a0 the yearly budget process, which plays a central role in the Bank\u2019s strategic planning process. CAPITAL MANAGEMENT AT LOCAL LEVEL The Group has to allocate available capital among its different entities. To ensure a free and ef\ufb01cient \ufb02ow of capital throughout the Group, the capital allocation process within the Group is centralised at head of\ufb01ce level. It is mainly based on two principles: compliance with local regulatory requirements and analysis of the local business needs of the entity and growth prospects. In line with these two principles, the aim is to minimise capital dispersion. With respect to the \ufb01rst principle, the local Chief Financial Of\ufb01cers are responsible for the daily management and reporting of their subsidiaries\u2019 capital requirements. When a capital need arises, it is analysed on a case-by-case basis by the Group, taking into consideration the subsidiary\u2019s present position and future strategy. Furthermore, each year, the Group manages the subsidiaries\u2019 earnings repatriation process. The Group general policy stipulates that the entire distributable pro\ufb01t of every entity, including retained earnings, must be paid out. This policy ensures that the capital remains centralised at the BNP Paribas SA level and also contributes to reducing the foreign exchange risk. Exceptions are considered on a case-by-case basis. Local Chief Executive Of\ufb01cers are responsible for ensuring the subsidiary\u2019s ongoing financial viability and competitiveness in terms of capital, where relevant. However, any capital action requested by a subsidiary is assessed by and subject to authorisation from head of\ufb01ce. With respect to the second principle, the needs of each entity are analysed by dedicated teams, in light of the Group\u2019s strategy in the relevant country, the entity\u2019s growth prospects and the macroeconomic environment. In addition, every year the Group examines the branches\u2019 capital allocations in order to maintain an adequate level of capital in light of the different regulations. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 366 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Risk management [Audited]",
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   "value": "5.3 Risk management [Audited] GOVERNANCE The specialised committees of the Board of directors (see part 2.1.2, Corporate Governance of BNP Paribas of chapter 2 Corporate Governance and internal control), which examine the risks taken and the risk policies on a Group scale, are: \u25a0 the Internal Control, Risk Management and Compliance Committee (CCIRC); \u25a0 the Joint Committee that combines the CCIRC and the Financial Statements Committee; \u25a0 the Corporate Governance, Ethics, Nominations and CSR Committee (CGEN). In line with the Group\u2019s Risk Appetite Statement, Executive Management provides broad guidelines for risk management through Group-level governance bodies. The main guidelines are shown in the diagram below: \u27a4 FIGURE 6: OVERVIEW OF GROUP LEVEL GOVERNING BODIES COVERING RISK-RELATED TOPICS Specialised Board Committees Coverage of Risk-related topics by the General Management Compliance, Risk and Finance Committee (CRIF) Joint Meeting of the CCIRC and the Financial Statements Committee Internal Control, Risk Management and Compliance Committee (CCIRC) Financial Statements Committee Corporate Governance, Ethics, Nominations and CSR Committee Compensation Committee Group Executive Committee Compliance Risk Legal Risk Credit, Market and Operational Risks Interest Rate and Liquidity Risks Group Supervision and Control Committee (GSCC) Acquisitions Committee Comit\u00e9 de Cr\u00e9dit de Direction G\u00e9n\u00e9rale (CCDG) Sustainable Finance Strategic Committee (SFSC) Comit\u00e9 des D\u00e9biteurs de la Direction G\u00e9n\u00e9rale (CDDG) Financial Markets Risk Committee (FMRC) Country Envelope Committee Risk & Development Policy Committee (RDPC) Group IT Risk Committee Capital Committee Budgetary Committees ALCo Group Main Group-level governance bodies have the following roles: \u25a0 Capital Committee: described under Capital management in section 5.2, validates the Group\u2019s objectives in terms of solvency ratios and Total Loss Absorbing Capacity (TLAC and MREL) requirements in case of resolution as well as the trajectory to achieve these targets, monitors the compliance with this trajectory and, when relevant, proposes corrective actions to achieve target solvency ratios. As the Group\u2019s competent Executive Management authority for all issues related to the internal credit and operational risks model, the Capital Committee is informed of decisions made in the MARCo Committees (Model Approval and Review Committee); \u25a0 Group ALM Treasury Committee (Group ALCo) is responsible for the management of the liquidity risk, interest rate risk in the banking book and structural foreign exchange risk over the whole Group; \u25a0 Group Supervision and Control Committee (GSCC) brings together the Group\u2019s control functions at Executive Management level and takes a Group-wide approach to tackling all aspects of risk exposure; \u25a0 Acquisitions Committee decides on acquisitions, disposals and external partnerships for operations under its jurisdiction as part of the Group\u2019s general investment approval procedure. The Acquisitions Committee reviews the strategic relevance of the proposed projects from the Group\u2019s point of view, as well as the various components of the 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 367 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Risk management [Audited] business plans, including synergies and execution risks. In particular, it ensures the intrinsic pro\ufb01tability of projects (measured by Return on Investment), as well as the impact on the Group\u2019s solvency, liquidity and pro\ufb01tability, and their adequacy with the Group\u2019s Risk Appetite Statement; \u25a0 the Sustainable Finance Strategic Committee (SFSC) aims to validate the Group\u2019s Sustainable Finance strategy and commitments in this area. It approves the overall strategy in terms of sustainable \ufb01nance, decides the main focuses of sustainable \ufb01nance commercial policies and monitors their operational implementation. Where necessary, it also validates cross-functional infrastructure choices ensuring expertise and consistency in the implementation of regulatory requirements and the Group\u2019s commitments in methods, analyses, risk management, data, tools, standards and reporting related to sustainable \ufb01nance; \u25a0 the General Management Credit Committee (CCDG) is the Group\u2019s highest authority concerning credit and counterparty risks. This committee decides primarily on credit requests exceeding the amount of individual delegations attributed to divisions and business lines or relating to transactions of a speci\ufb01c nature or which would deviate from the principles of the General Credit Policy. A Compliance representative may attend CCDG meetings when an opinion on \ufb01nancial security is needed; \u25a0 the General Management Doubtful Committee (CDDG) is the Group\u2019s highest level decision-making committee in terms of specific provisioning and recognitions of losses relative to the Group\u2019s customer exposures; \u25a0 the Financial Markets Risk Committee (FMRC) is the body which governs the Group\u2019s risk pro\ufb01le of the capital markets activities; its tasks include, among others, analysing market and counterparty risks and setting limits for capital markets activities; \u25a0 the Country Envelope Committees determine the Group\u2019s risk appetite by setting limits for medium-to-high-risk countries in view of risk in relation to country, market conditions, business strategies and aspects of risk and compliance; \u25a0 the Risk & Development Policy Committees (RDPC) have the dual objective of de\ufb01ning an appropriate risk policy for any given subject which may be a business activity, a product, a geographic area (region or country), a customer segment or economic sector, and of investigating development opportunities in relation to the subject in question; \u25a0 the Group IT Risk Committee (GITRC) defines and oversees the BNP Paribas Group\u2019s IT risk pro\ufb01le. This is the highest authority in terms of technological and cybersecurity risk management. SPECIFIC ADAPTATION MEASURES LINKED TO CRISIS SITUATION The invasion of Ukraine led to the establishment of crisis committees at all levels of the Group for close monitoring of the main impacts as well as the application of the sanctions that were introduced following this invasion in the activities concerned, allowing rapid decision-making adapted to the evolving context. On credit risk, close portfolio monitoring was implemented within the divisions and business lines level in order to analyse and manage in particular direct risks. This monitoring also includes the indirect impacts which, in addition to the context of exit the health crisis, have particularly affected certain sectors through rising energy and commodity prices or supply chains disruptions. RISK MANAGEMENT ORGANISATION POSITION OF THE CONTROL FUNCTIONS Risk management is central to the banking business and is one of the cornerstones of operations for the BNP Paribas Group. BNP Paribas has an internal control system covering all types of risks to which the Group may be exposed, organised around three lines of defence (see section 2.4 Internal Control in chapter 2 Corporate Governance and internal control): \u25a0 as the \ufb01rst line of defence, internal control is the business of every employee, and the heads of the operational activities are responsible for establishing and running a system for identifying, assessing and managing risks according to the standards de\ufb01ned by the functions exercising an independent control in respect of the second line of defence; \u25a0 the main control functions within BNP Paribas ensuring the second line of defence are the Compliance, RISK and LEGAL Functions. Their Heads report directly to Chief Executive Officer and account for the performance of their missions to the Board of directors via its specialised committees; \u25a0 General Inspection provides a third line of defence. It is responsible for the periodic control. GENERAL RESPONSIBILITIES OF THE RISK AND COMPLIANCE FUNCTIONS Responsibility for managing risks primarily lies with the divisions and business lines that are at the origin of the underlying transactions. RISK continuously performs a second-line control over credit and counterparty risks, market risk, interest rate and foreign exchange rate risks on the banking book, liquidity risks, insurance risks, and operational risk, including technological and cybersecurity risks, over data protection risks, modelling risks and environmental and social risk factors, as well as the associated governance risks. As part of this role, it must ascertain the soundness and sustainability of the business commercial developments and their overall alignment with the risk appetite target set by the Group. RISK\u2019s remit includes formulating recommendations on risk policies, analysing the risk portfolio on a forward-looking basis, approving customers loans and trading limits, guaranteeing the quality and effectiveness of monitoring procedures, controlling the maturity of the processes and underlying operational risks and de\ufb01ning or validating risk measurement methods. RISK is also responsible for ensuring that all the risk implications of new businesses or products have been adequately assessed. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 368 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Risk management [Audited] Compliance has identical responsibilities as regards compliance and reputation risks and it plays an important oversight and reporting role in the process of validating new products, new business activities and exceptional transactions. By issuing opinions and decisions, and performing oversight and second-level controls, Compliance provides reasonable assurance as to the effectiveness and coherence of the compliance control framework applicable to the Group\u2019s operations and to the protection of its reputation. ORGANISATION OF THE RISK AND COMPLIANCE FUNCTIONS Approach The RISK organisation fully complies with the principles of independence, vertical integration, and decentralisation issued by the Group\u2019s Management for the Group\u2019s main control functions (Compliance, RISK, LEGAL, and a third line of defence, General Inspection). Hence within RISK: \u25a0 all the teams in charge of risks, including those in operational entities have been integrated in the function with reporting lines to the Chief Risk Of\ufb01cers of these entities; \u25a0 the Chief Risk Of\ufb01cers of the entities report to RISK. This organisation enables the governance of risk management activities to be strengthened, especially regarding model risk management, through RISK Independent Review and Control (RISK IRC) team, reporting directly to the Chief Risk Of\ufb01cer (CRO) which groups together the teams in charge of the independent review of the risk methodologies and models. This team is also in charge of the independent review of operational risk of RISK Function, with the organisation described in section 5.9 Operational risk. In accordance with international standards and French regulations, Compliance manages the system for monitoring compliance and reputation risks for all of the Group\u2019s businesses in France and abroad. The system for monitoring compliance and reputation risks is described in section 5.9. Independent and hierarchically integrated on a global basis, Compliance brings together all employees reporting to the function. Its organisation is based on its guiding principles (independence, integration, decentralisation and subsidiarity of the function, dialogue with the business lines) through local teams (operating divisions, CPBS, IFS and CIB), areas of expertise, and departments in charge of transverse missions. Role of the Chief Risk Of\ufb01cer The Group Chief Risk Of\ufb01cer reports directly to the Chief Executive Of\ufb01cer and sits on the Executive Committee of BNP Paribas. He has line authority over all RISK employees. He can veto the decisions which are not in line with the Risk Appetite Statement, concerning the risks under RISK competency. The Group Chief Risk Of\ufb01cer has no connection, in terms of authority, with the Heads of Core Businesses, business lines and territories. He also has direct and independent access to the Board of directors of BNP Paribas, via the Internal Control, Risks and Compliance Committee (CCIRC). This positioning serves the following purposes: \u25a0 ensuring the objectivity of risk control, by removing any involvement in commercial relationships; \u25a0 making sure senior management is warned of any deterioration in risk and is rapidly provided with objective and comprehensive information on the status of risks; \u25a0 enabling the dissemination, throughout the Bank, of high and uniform risk management standards and practices; \u25a0 ensuring the quality of risk assessment methods and procedures by calling on professional risk managers in charge of evaluating and enhancing these methods and procedures in light of the best practices implemented by international competitors. Role of the Chief Compliance Of\ufb01cer The Chief Compliance Of\ufb01cer reports to the Chief Executive Of\ufb01cer and is a member of the BNP Paribas Executive Committee. She has direct and independent access to the Board of directors and in particular to its specialised committee, the Internal Control, Risk Management and Compliance Committee (CCIRC), and can thus inform it of any event likely to have a signi\ufb01cant impact on the Group. Lastly, the CCIRC periodically interviews her, without the effective managers being present. The Chief Compliance Of\ufb01cer has no operational activity outside of the non-compliance and reputation risk management framework and no commercial activity, which guarantees her independence of action. She exercises hierarchical supervision over all the Compliance teams within the various business units, geographical areas and functions. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 369 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Risk management [Audited] RISK CULTURE ONE OF THE GROUP\u2019S CORE FOUNDING PRINCIPLES The BNP Paribas Group has a strong risk and compliance culture. Executive Management has chosen to include the risk culture in three of its key corporate culture documents: \u25a0 Code of conduct: The Group adopted a new Code of conduct in 2016. It applies to all employees and de\ufb01nes the rules for our conduct in line with the core values of our corporate culture. For example, employees are reminded in the Code of conduct that the Group\u2019s interests are protected by responsible risk-taking in a strict control environment. The Code of conduct, updated in 2021, also includes rules for protecting customers\u2019 interests, \ufb01nancial security, market integrity, professional ethics and anti-bribery and corruption, which all play an important role in mitigating non-compliance and reputation risks; \u25a0 Responsibility Charter: Executive Management drew up a formal Responsibility Charter, inspired by the Group\u2019s core values (the \u201cBNP Paribas Way\u201d), management principles and Code of conduct. One of the four commitments is \u201cBeing prepared to take risks, while ensuring close risk control\u201d. The Group sees rigorous risk control as part of its responsibility, both to clients and to the \ufb01nancial system as a whole. The Bank\u2019s decisions on the commitments it makes are reached after a rigorous and concerted process, based on a strong, shared risk culture which pervades all levels of the Group. This is true both for risks linked to lending activities, where loans are granted only after in-depth analysis of the borrower\u2019s situation and the project to be \ufb01nanced, and for market risks arising from transactions with clients \u2013 these are assessed on a daily basis, tested against stress scenarios, and subject to limits. As a strongly diversified Group, both in terms of geography and businesses, BNP Paribas is able to balance risks and their consequences as they materialise. The Group is organised and managed in such a way that any dif\ufb01culties arising in one business area will not jeopardise another in the Bank; \u25a0 the Group\u2019s mission and commitments: The mission of BNP Paribas is to \ufb01nance the economy and advise its clients, by supporting them with their projects, their investments, and the management of their savings, guided by strong ethical principles. Through these activities, BNP Paribas wants to have a positive impact on stakeholders and on society, and be one of the most trustworthy players in the sector. BNP Paribas\u2019 12 commitments as a Responsible Bank include in particular the commitment to apply the highest ethical standards and rigorously manage environmental, social, and governance risks (see section 7.2 Economic Responsibility: \ufb01nancing the economy in an ethical manner). SPREADING THE RISK CULTURE Robust risk management is an integral part of the Bank\u2019s principles. A culture of risk management and control has always been one of its top priorities. BNP Paribas launched the Risk Culture, a Group-wide initiative, giving it the objective of reinforcing the communication of the best practices in risk management. Sponsored by four functions: Compliance, LEGAL, Human Resources (HR), and RISK, Risk Culture is designed for the bene\ufb01t of all staff and intervenes on all types of risks to which the Group may be exposed, including credit, market, liquidity, operational, non-compliance, regulatory, environmental and social risks. Taking an adaptive and participative approach, this initiative supports the business lines and functions in their process of understanding risks, for example in transformation projects or when onboarding new employees. In particular, it takes special care to ensure that conduct and behaviour requirements are well integrated, beyond the mission of transmitting knowledge. It provides entities with resources that they can use for their information, acculturation and support for employee skills development in all aspects of the risk culture. In conjunction with operational entities, Risk Culture actions mainly consist of: \u25a0 ensuring the dissemination of information and professional development in the area of risk management, by means of conferences and the publication of educational articles or videos; \u25a0 facilitating the sharing of knowledge between the various players in the Bank, in particular changes in the Bank\u2019s business lines, news on regulatory requirements and new ways of working. The experts of the Group are invited to expand documentary resources which can be accessed by employees through various communication channels available within the Group. In all its initiatives, Risk Culture promotes the six fundamental risk management practices that are key to developing a robust risk culture. They serve as a reminder to staff about the importance of clearly understanding and anticipating risks with a long-term perspective, being disciplined with risks taken and reporting swiftly and transparently on risk management. Lastly, the risk culture is also spread throughout the Group by linking compensation to performance and risk (see chapter 7, section 7.3 A competitive compensation policy), under a system that was strengthened in this area since 2015 for those employees whose decisions entail a signi\ufb01cant risk component. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 370 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Risk management [Audited] RISK APPETITE DEFINITION AND OBJECTIVES The Group does not have a speci\ufb01c risk appetite target, but some risks are inherent to its business and therefore to the achievement of its strategic objectives. It has prepared a Risk Appetite Statement and Risk Appetite Framework, which should be seen as the Group\u2019s formal statement of its tolerance to the risks to which it is exposed as it implements its strategy. The Risk Appetite Statement is approved on a yearly basis, or more frequently if necessary, by the Board of directors on the proposal of Executive Management. Consistent with the Group\u2019s strategy and in light of the environment in which it operates, this document sets out the qualitative risk principles it intends to follow in its business activities, as well as a quantitative mechanism for supervising the Group\u2019s risk pro\ufb01le indicators through quantitative metrics and thresholds. This system covers both the quanti\ufb01able and non-quanti\ufb01able risks to which it is exposed. The Group\u2019s risk appetite is determined by Executive Management, during various committees it chairs (CCDG, FMRC, Group ALCo, and Capital Committee), which are tasked with managing the Group\u2019s different types of risk exposure. The Group\u2019s strategic processes, such as budget, capital and liquidity management, are in line with the Risk Appetite Statement. Certain Risk Appetite Statement indicators are included in the budget exercise and their expected values in the budget are cross-checked against the thresholds in the Risk Appetite Statement. The Group\u2019s Risk Appetite Statement re\ufb02ects the core values of its risk culture. It states that the Group\u2019s risk culture and its commitments as a responsible bank are at the heart of its strategy. The Statement reaf\ufb01rms the Group\u2019s mission: to \ufb01nance the economy, advise its clients, and help to \ufb01nance their projects, guided by strong ethical principles. The Group\u2019s strategy underpinning its risk appetite is founded on the core principles that have guided its development: a balance between business activities to deliver pro\ufb01tability and stability, a customer-focused business model and an integrated banking model to optimise services to the latter. This strategy also factors in developments in the banking industry, including the trend towards a digital model, and an uncertain macro-economic outlook, marked by the increase of in\ufb02ation and interest rates in a context of high geopolitical risk. RISK PRINCIPLES The risk principles aim to de\ufb01ne the types of risk the Group is prepared to accept in support of its business strategy. They include the following in particular: \u25a0 diversi\ufb01cation and risk-adjusted pro\ufb01tability: The Group seeks to generate sustainable, client-driven, risk adjusted pro\ufb01ts. Sustainable pro\ufb01tability will be achieved based on selectivity and controlled evolution of BNP Paribas\u2019 assets, and the pursuit of a diversi\ufb01ed business model. Whilst the Group accepts some level of earnings volatility, it remains attentive to contain, at all times, the level of maximum potential losses in an adverse scenario; \u25a0 solvency and pro\ufb01tability: BNP Paribas has suf\ufb01cient capital to cope with stress scenarios and to meet regulatory capitalisation standards in force. In the course of serving its clients, BNP Paribas accepts exposure to risks when it earns a proper return over an acceptable time frame, and when its potential impacts seem acceptable; \u25a0 funding and liquidity: The Group ensures that the diversi\ufb01cation of and balance between its resources and uses of funds correspond to a conservative funding strategy, allowing it to withstand adverse liquidity scenarios. The Group makes sure that it complies with the regulatory liquidity ratios in force; \u25a0 credit risk: The Group only accepts exposure on customers it knows well, based on comprehensive information, and pays close attention to the structure of the \ufb01nancing it grants. The Group builds and maintains a diversi\ufb01ed risk portfolio, avoiding large concentrations (especially on single names, industries and countries) and ensures that it complies with the concentration policies in force; \u25a0 market risk: The Group manages market risks (interest rates, equities, currencies, commodities) within the following framework: \u25a0 for activities in the capital markets that are customer-focused, BNP Paribas intends to keep its market risk pro\ufb01le in line with this customer-focused business mode, \u25a0 interest rate risk associated with its banking book with the aim of stabilising its results on an ongoing basis to within acceptable limits; \u25a0 operational risk: The Group aims to protect its customers, employees and shareholders from operational risk. To do so it has developed a risk management infrastructure based on identifying potential risks, strategies to mitigate risk, and actions to raise awareness of these risks. Some speci\ufb01c risks have resulted in the de\ufb01nition of dedicated principles, in particular: \u25a0 non-compliance risk: The Group is committed to compliance with all applicable laws and regulations. It undertakes to implement a system to manage the risk of non-compliance, including through special programmes dedicated to the most important regulations for its business, \u25a0 information, communication and technology risk: The Group endeavours to reduce the risks related to the security of its information through various awareness actions, enhanced supervision of outsourced activities, heightened protection of terminals, incident monitoring, and a technology watch over IT vulnerabilities and attacks; 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 371 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Risk management [Audited] \u25a0 insurance activities: BNP Paribas Cardif is exposed mainly to credit, underwriting and market risks. The entity closely monitors its exposures and pro\ufb01tability, taking into account its risks and the adequacy of its capital with regard to solvency rules. It endeavours to contain potential losses in adverse scenarios at acceptable levels; \u25a0 risk associated with social and environmental responsibility: The Group is particularly sensitive to its customers\u2019 performance in terms of social and environmental responsibility, believing that this could have a material impact on its customers\u2019 risk profile and, consequently, their solvency, in addition to being a major reputational risk. BNP Paribas takes social and environmental risks into consideration when assessing customer-related risks. The Group also tracks these risks as part of the conduct of its own business, the conduct of its counterparties\u2019 business and of its investments on its own behalf or on behalf of third parties. SUPERVISION OF RISK PROFILE INDICATORS The Risk Appetite Statement sets out the indicators that measure the Group\u2019s risk pro\ufb01le for its risk exposure categories. Risk level thresholds are assigned to each metric. When these thresholds are reached, they trigger an established process to inform Executive Management and the Board of directors, and if need be, to implement action plans. These indicators are monitored quarterly in the risk dashboards presented to the CCIRC. For example, the following ratios (described in the Key figures of section 5.1) are included in the Risk Appetite Statement indicators: \u25a0 the solvency ratios (CET1, Tier 1, total own funds, TLAC and leverage ratio); \u25a0 the balance of the breakdown of risk-weighted assets by business line; \u25a0 the cost of risk on loans outstandings (in annualised basis points) and doubtful loans on gross outstandings ratio; \u25a0 the liquidity ratios (LCR and NSFR). STRESS TESTING To ensure dynamic risk supervision and management, the Group has implemented a comprehensive stress testing framework. STRESS TESTING FRAMEWORK The stress testing framework forms an integral part of the risk management and financial monitoring system and is used with a threefold objective of forward-looking risk management, planning of regulatory resources and liquidity requirements, and optimisation of the deployment of these resources within the Group, mainly through the Group\u2019s and its main entities\u2019 ICAAP and ILAAP processes. Different types of stress tests There are two types of stress tests: \u25a0 regulatory stress tests: These involve primarily the stress tests requested by the European Banking Authority, the European Central Banks, or any other supervisory authority. In 2022, the ECB conducted a climate stress test among 104 \ufb01nancial institutions under its supervision. The exercise included i) a questionnaire designed to assess the climate stress testing infrastructure of banks, ii) information on revenues generated in sectors deemed to be exposed to climate change and on greenhouse gas emissions of major clients in these sectors, and iii) several climate stress tests in a number of transition and physical risk scenarios. Given that climate stress tests are new and remain in learning phase, the exercise had no capital implication. The ECB did not disclose any bank-speci\ufb01c information. The exercise demonstrated the good level of progress achieved by BNP Paribas in climate stress testing. The Group recognises the revelance of scenario analysis to assess the possible impacts of climate risk, given its forward-looking nature. The Group however also considers that climate stress testing is a developing activity, which is less mature than traditional stress tests involving macro-economic or capital markets scenarios. Results of climate scenarios analyses should be used in a way that re\ufb02ects this lesser maturity. In 2021, the EBA and the ECB conducted EU-wide stress tests of the 50 largest European banks. As in previous years, macroeconomic scenarios and a certain number of methodological assumptions were applied to all banks for comparison purposes. A macroeconomic stress scenario of unprecedented severity over a period of three consecutive years (the \u201cadverse scenario\u201d) was used to test the impact on exposure to credit, market, operational and revenue (rates and commission) risks. This was done in a context already under stress due to the health crisis. This was the second European regulatory stress test completed under the new IFRS 9 accounting standard to analyse its impact on the 2020 crisis year and on a period of renewal of a major macroeconomic crisis. In 2019, the ECB had conducted liquidity stress tests on 103 European banks. This exercise consisted of a sensitivity analysis to assess changes in the banks\u2019 net liquidity position in different impact scenarios that may arise in the event of the bank experiencing a liquidity crisis. The shocks applied to assets and liabilities were de\ufb01ned using observed liquidity crises that have impacted banks in Europe and were calibrated for different levels of severity. This liquidity stress test showed the Group\u2019s comfortable liquidity position. BNP Paribas will participate in 2023 in the next stress test organised by the EBA; 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 372 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Risk management [Audited] \u25a0 internal stress tests: \u25a0 stress tests dedicated to risk anticipation: they contribute to the forward-looking risk management, in particular of credit, market, counterparty, interest rates in the banking book, operational, activity and liquidity risks. The results of the transverse stress tests are used, among other purposes, to formulate the Bank\u2019s risk appetite and periodically measure its risk pro\ufb01le. They are periodically submitted to Group Executive Management as well as the Board of directors\u2019 Internal Control, Risk Management and Compliance Committee (CCIRC) through the quarterly Group risk dashboard. Moreover, ad hoc stress testing is performed, when appropriate, within Risk & Development Policy Committees, portfolio reviews or Country Strategic Committees to identify and assess areas of vulnerability within the Group\u2019s portfolios, \u25a0 stress tests for the budget process: they contribute to three-year capital planning. Stress tests are carried out annually as part of the budget process and are included in the ICAAP and the ILAAP. They are reviewed at divisional and business line level before being consolidated at Group level to provide a comprehensive view of the impact on the Bank\u2019s capital, liquidity and earnings, The purpose of stress testing in the budget process is to assess the impact of an adverse macroeconomic scenario on the Group and its activities. These stress tests are part of the yearly budget process which is run on the basis of baseline and adverse scenarios. The impact of the adverse scenario is measured on pro\ufb01t and loss (revenues, cost of risk, etc.), balance-sheet, risk-weighted assets, and capital. The calculated \ufb01nal output is a range of projected Group\u2019s solvency ratios, as well as possible adjustment measures. The scenarios used, the outcomes of the stress tests and the proposed possible adjustment measures (such as reducing exposures to a sub-segment cost reduction initiatives, or changes in funding or liquidity policies, etc.) are included in the budget synthesis report presented to the Group Executive Management at the end of the budget process. In addition, in the Group\u2019s ICAAP, its solvency can be analysed in adverse scenarios other than an adverse budget scenario, de\ufb01ned by risk topics occasionally identi\ufb01ed by the Group, \u25a0 reverse stress tests: they were conducted as part of the Bank\u2019s recovery and resolution plan and ICAAP. Reverse stress tests consist of identifying scenarios likely to result in a drop in the Bank\u2019s solvency ratios to below levels set in advance in line with the methods of use in question. These exercises enable any areas where the Bank is fragile in terms of changes in certain risk factors to be detected and facilitate in-depth analyses of the remedial actions that could be implemented by business lines or Group-wide. Governance and implementation This framework is based on a well-defined governance, with responsibilities shared between the Group and operational entities in order to encourage operational integration and relevance. Since 2017, the Group has set up a Stress Testing and Extended Planning (STEP) programme serving both the Group and its subsidiaries and business lines. The aim of the STEP programme is continue to respond effectively to the various regulatory stress tests, such as the EBA and ECB ones, and to develop internal stress test practices required for proper risk management and Group resource planning. Finance, RISK and ALM Treasury functions have created a shared team \u2013 Stress Testing and Financial Simulations (\u201cSTFS\u201d), responsible for implementing the STEP programme and its deployment across the Group\u2019s entities and activities. The STFS team is responsible in particular for: \u25a0 the de\ufb01nition and the implementation of the Group\u2019s target structure in terms of stress testing and ICAAP while covering the associated organisational issues, modelisation, IT systems and governance; \u25a0 the performance of all of the Group\u2019s stress testing exercises, relying in particular on existing teams within RISK and Finance Functions; \u25a0 the support of the stress test and ICAAP initiatives of the Group\u2019s business lines and legal entities in order to ensure overall consistency and streamline procedures; \u25a0 the coordination of the Group\u2019s \ufb01nancial simulation system and its adaptation to the challenges of SREP; \u25a0 the Group\u2019s risk identi\ufb01cation process; \u25a0 the production of the Group\u2019s ICAAP report and, for certain risks, the quanti\ufb01cation of internal capital. Stress test methodologies are tailored to the main categories of risk and subject to independent review. Stress tests may be run at Group, business line or portfolio level, dedicated to one or more risk types and on a more or less large number of variables depending on the pursued objective. Where appropriate, the results of quantitative models may be adjusted on the basis of expert judgement. Since its creation, the Group\u2019s stress testing framework has evolved continuously in order to integrate the most recent developments in stress tests, whether in terms of methodologies or improved operational integration in the Group\u2019s management processes. The stress test framework by type of risks is detailed in sections 5.4 Credit risk, 5.6 Counterparty credit risk and 5.7 Market risk. In this context, the Group is engaged in the development of a climate stress testing infrastructure, covering scenarios (see below), data and models and methodologies, as well as encompassing both transition and physical risks, which are the two main risk types into which climate risk materialises. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 373 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Risk management [Audited] INTERNAL STRESS TEST SCENARIO DEFINITION In stress testing exercises, it is common practice to distinguish the baseline scenario from adverse (and favourable, where applicable) scenarios. A macroeconomic scenario is typically a set of macroeconomic and \ufb01nancial variables (GDP and its components, in\ufb02ation, employment and unemployment, interest and exchange rates, stock prices, commodity prices, etc.) projected over a given future period. Macroeconomic stress tests Baseline scenario The baseline scenario is considered as the most likely scenario over the projection horizon. The baseline scenario is constructed by Group Economic Research in collaboration with various functions and business lines possessing a speci\ufb01c expertise, in particular: \u25a0 Group ALM Treasury for interest rates; \u25a0 Wealth Management for equity indices; \u25a0 BNP Paribas Real Estate regarding commercial real estate; \u25a0 local economists when regional expertise is required; \u25a0 Stress Testing & Financial Simulations (STFS) for coordination and overall consistency of the scenario. The global scenario is made up of regional and national scenarios (eurozone, France, Italy, Belgium, Spain, Germany, United Kingdom, Poland, T\u00fcrkiye, United States, Japan, China, India, Russia, etc.) consistent with each other. Adverse scenario An adverse scenario describes one or several potential shocks to the economic and \ufb01nancial environment \u2013 i.e. the materialisation of one or several risks to the baseline scenario \u2013 over the projection horizon. An adverse scenario is thus always designed in relation to a baseline scenario. The shocks associated with the adverse scenario are translated in the set of macroeconomic and \ufb01nancial variables listed above in the form of deviations from their value in the baseline scenario. The adverse scenario is constructed by STFS in collaboration with the same functions and business lines as for requested for the baseline scenario. Construction of scenarios The baseline, adverse and favourable scenarios are revised quarterly by STFS to monitor the Bank\u2019s risk appetite metrics and credit provision calculations within the framework of IFRS 9 (see part 2.h of the consolidated and \ufb01nancial statements). They are validated in meetings involving the Group Executive Management for scenarios used in the Group\u2019s budget process (second and third quarters of the year). For the other two quarterly exercises in March and December, scenarios are validated jointly by the Group Chief Risk Of\ufb01cer and the Group Chief Financial Of\ufb01cer. The scenarios are then used to calculate expected losses (or pro\ufb01t and loss impact in the case of market risks) over the year for all Group portfolios: \u25a0 for portfolios exposed to credit or counterparty risk and for the equity portfolio of the banking book: this calculation measures the impact of the scenario on the cost of risk and risk-weighted assets due to the deterioration of the portfolio quality resulting from the macroeconomic scenario, or adverse moves in equity prices. Credit risk stress tests are performed on the Bank\u2019s entire portfolio for all regions and all prudential portfolios, namely Retail, Corporates and Institutions; \u25a0 for market portfolios: the changes in value and their pro\ufb01t and loss impact are calculated by simulating a one-time shock, which is consistent with the overall scenario. The above calculations and related methodologies for stress tests on credit and market risks are coordinated centrally at Group level by STFS team. They also involve various teams of experts at Group and territory\u2019s levels in their implementation and design. Lastly, in an adverse budget scenario, risks appertaining to the Group and its business activities and not forming part of the adverse macroeconomic scenario are added. They are identi\ufb01ed and quanti\ufb01ed either by the Group\u2019s businesses or centrally for those likely to impact the Group as a whole. Climate stress tests Beyond macroeconomic stress tests, the \ufb01eld of climate stress tests is developing rapidly. In this context, the Group is engaged in the analysis, adaptation and creation of transition and physical risk scenarios. With regard to the risk of transition, the analysis and adaptation work are based at this stage on the work of the NGFS (Network for Greening the Financial System), pioneer in this \ufb01eld. For the Group\u2019s internal requirements in terms of climate stress tests, the NGFS scenarios can be adjusted and adapted, so that they are more in touch with most recent developments (e.g. at the macroeconomic level) or that they are more speci\ufb01cally adapted to the Group\u2019s portfolios. In addition, in collaboration with other companies and institutions, the Group is taking part in the Iris initiative to de\ufb01ne transition scenarios with more precise sectoral aspects. That are relevant to assess transition risk. The physical risk scenarios used by the Group at this stage focus on geographies with signi\ufb01cant Retail Banking activities in Europe. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 374 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Credit risk",
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   "value": "\u27a4 TABLE 87: VALUE AT RISK (1-DAY, 99%) [Audited] In millions of euros Exercise 2022 Exercise 2021 Minimum (**) Average Maximum (**) Last measure Average Last measure Interest rate risk 16 24 44 27 25 18 Credit risk 6 11 20 10 14 7 Foreign exchange risk 2 7 16 9 9 5 Equity price risk 10 15 37 12 21 16 Commodity price risk 7 17 40 7 11 10 Netting effect (*) (40) (36) (42) (29) TOTAL VALUE AT RISK 24 34 52 30 38 27 (*) Note that the minimum and maximum \ufb01gures shown above for the various risk types are computed on a standalone basis (i.e. independently from each other as well as the total VaR). While the minimum or maximum for each risk type may not necessarily be observed on the same date, minimum/ maximum Netting Effects are not considered relevant. (**) For minima and maxima, total VaR cannot be read as the sum of VaR by risk type. The VaR (1-day, 99%) stood at a low level throughout 2022 thanks to prudent management.\u27a4 TABLE 88: VALUE AT RISK (10-DAY, 99%) [Audited] In millions of euros Exercise 2022 Exercise 2021 Minimum (**) Average Maximum (**) Last measure Average Last measure Interest rate risk 52 76 140 86 79 57 Credit risk 21 34 63 32 43 22 Foreign exchange risk 7 22 51 28 28 17 Equity price risk 33 48 116 39 67 50 Commodity price risk 21 53 127 22 35 31 Netting effect (*) (125) (113) (132) (92) TOTAL VALUE AT RISK 77 106 164 95 119 85 (*) Note that the minimum and maximum \ufb01gures shown above for the various risk types are computed on a standalone basis (i.e. independently from each other as well as the total VaR). While the minimum or maximum for each risk type may not necessarily be observed on the same date, minimum/ maximum Netting Effects are not considered relevant. (**) For minima and maxima, total VaR cannot be read as the sum of VaR by risk type.Foreign exchange risk and hedging of net income generated in foreign currencies [Audited] So-called \u201coperating\u201d foreign exchange risk exposure relates to net earnings generated by activities conducted in currencies other than the functional currency of the entity concerned. The Group\u2019s policy is to hedge the variability of its net income due to currency movements. To this end, earnings generated in a currency other than the functional currency of a given entity of the Group are hedged locally. Foreign exchange risk and hedging of net investments in foreign operations [Audited] The so-called \u201cstructural\u201d foreign exchange position of an entity relates to investments in currencies other than the functional currency. This position mainly results from the capital endowment of the branches and equity investments in foreign currencies \ufb01nanced by buying the investment currency. This structural foreign exchange position, adjusted for any intangibles, constitutes patrimonial exposure. The Group\u2019s policy is to hedge portfolio exposure to liquid currencies, while at the same time maintaining the solvency ratio\u2019s limited sensitivity to exchange rate \ufb02uctuations. For this, borrowings in the same currency as the investment are used as an alternative to \ufb01nancing by purchasing the currency in question. Borrowings are recognised as hedges of investments. INTEREST RATE RISK [Audited] Interest rate risk in the banking book, or global interest rate risk, is the risk of variability in results as a result of mismatches in interest rates, maturities and nature between assets and liabilities in the banking book. This risk arises in non-trading book portfolios. Organisation of the Group interest risk management The Board of directors assigns responsibility to the Chief Executive Of\ufb01cer for management of interest rate risk in the banking book. The Board of directors is informed quarterly on the principles governing interest rate policy and the Group\u2019s position through the Internal Control, Risk and Compliance Committee (CCIRC). The Chief Executive Officer delegates management responsibility to the Group ALM Treasury Committee (Asset and Liability Management Committee). The permanent members of the Group ALM Treasury Committee are the Group Senior Executive Advisor (Chairman), the Delegate Deputy Chief Operating Of\ufb01cers, the Group Chief Risk Of\ufb01cer, the Group Chief Financial Of\ufb01cer, the Group ALM Treasury Head. The Head of General Inspection and the Head of Compliance are also invited. This committee is responsible for tracking interest rate risk monitoring indicators, proposing the Group\u2019s interest rate risk pro\ufb01le and assigning limits. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 497 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Market risk ALM Treasury is responsible for the analysis of the management proposals and operational implementation of decisions related to managing the interest rate risk of the banking book as part of its delegated management. The RISK Function participates in the Group ALM Treasury Committee and the local ALM Treasury Committees (ALCo) and oversees implementation by ALM Treasury of the relevant decisions made by these committees. It also provides second-line control by reviewing the models and risk indicators, monitoring the level of risk indicators and ensuring compliance with the limits assigned. The banking book consists of the Group\u2019s total bank balance sheet, excluding trading book transactions. This includes intermediation transactions (deposits, loans, etc.), non-commercial balance sheet items (equity, \ufb01xed assets, etc.) and banking book risk management activities, including derivatives used for the management of interest rate risk on the banking book (notably when they are ineligible for hedge accounting under IFRS). Banking book interest rate risk in each BNP Paribas entity is systematically transferred to ALM Treasury, through internal analytic contracts or lending/borrowing transactions. For the Group as a whole, ALM Treasury is responsible for managing the interest rate risk transferred in this way. Decisions concerning the management of interest rate risk are made and monitored during monthly or quarterly committee meetings by entity or group of entities, attended by representatives of local ALM Treasury, Group ALM Treasury, Finance & Strategy and RISK Functions and senior management of the entities and/or businesses. Measurement of interest rate risk Rate positions are measured taking into account the speci\ufb01c features of the risks managed. Hence, the Group has de\ufb01ned the concepts of standard rate risks and structural rate risks. The standard rate risk corresponds to the general case, namely when it is possible to de\ufb01ne uniquely the most appropriate hedging strategy for a given transaction. The structural rate risk is the interest rate risk for equity and non-interest-bearing current accounts: these balance sheet items generate regular revenues but are sensitive to interest rate levels. However, it is not possible to de\ufb01ne a single hedging strategy to fully neutralise this sensitivity. In this case, the Group included all the possible so-called \u201cneutral\u201d management strategies in terms of interest rate risk. Interest rate risks are analysed in terms of interest rate gaps that measure, for each future period, the potential rate characteristic mismatches between assets and liabilities (\ufb01xed rate and indexation type). In the interest rate gaps, the optional effects, in particular linked to behavioural options, are embedded and translated into their delta equivalent. Value indicators are also used. The maturity split is determined on the basis of the contractual terms of the transactions and observations of customer behaviour. For Retail Banking products, behavioural models are based on historical or forward data and econometric studies. These possible management strategies notably relate to early redemption and savings accounts. Moreover, the maturities of non-interest-bearing current accounts and of equity are calculated according to a more conventional approach de\ufb01ning a range of investments taking into account the objective of stabilising results and stability of deposits. For current accounts, average maturities are less than \ufb01ve years and the proportion invested beyond 10 years is negligible. Incorporating dynamic changes in balance sheet items, the interest rate risk is measured through indicators of the sensitivity of revenues to interest rate changes on a going concern basis. This enables the partial or zero correlation between customer interest rates and market interest rates to be taken into account on the one hand, and the volume sensitivities to interest rates on the other hand, which create a risk to future revenues. The choice of indicators and risk modelling are reviewed by RISK. The results and the adjustments following these reviews are presented and monitored to the committees on a regular basis. The interest rate risk measurement indicators are consistently presented to the ALCos and serve as the basis for operating risk management decisions. Risk limits Interest rate risk indicators span the entire banking book as at 31 December 2022. The interest rate gaps are subject to interest rate risk limits across all time horizons. These limits are calibrated based on the nature of the risks (standard or structural) at Group and entity level. They are reviewed annually. The Group\u2019s revenue sensitivity indicator is subject to limits and a warning threshold relative to the overall sensitivity level, also broken down by division and the main entities. Moreover, the Group regularly monitors the impact of stress scenarios on its revenues. Economic hedges transactions that do not qualify for hedge accounting under IFRS are subject to speci\ufb01c limits. Sensitivity of revenues to global interest rate risk Net interest income sensitivities are calculated on the total banking book, over one-, two- and three-year rolling timeframes, for a parallel, instantaneous and de\ufb01nitive increase and decrease in market rates on all currencies over all the terms of \u00b1 50 basis points (+0.5%). These sensitivities are measured as deviations from the NII projection for the central rate scenario corresponding to future interest rates expected by the markets at estimation date (e.g. forward rates seen as of the end of December 2022 for sensitivities as of at the end 2022). They include the direct impacts of market rates and business trends. Indirect effects on commercial activity linked to changes in outstandings and customer rates, are also taken into account. Thus, for the sake of prudence, increases in sight non-interest-bearing current account balances, observed during the period of low or negative interest rates, are considered as situational to the low interest rates environment, and are assumed to decrease gradually when short-term rates return to suf\ufb01ciently positive levels. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 498 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Market risk \u27a4 TABLE 93: SENSITIVITY OF REVENUES TO GLOBAL INTEREST RATE RISK BASED ON A 50 BASIS POINTS INCREASE OR DECREASE IN THE INTEREST RATES (EU IRRBB1A) [Audited] In millions of euros 31 December 2021 For +50 bps shock For -50 bps shock Year 1 127 (187) Year 2 537 (511) Year 3 694 (823) Since the end of December 2021, interest rate increases have been materialised beyond the parallel shocks of +50 pbs presented in the table at the end of December 2021, leading to an increase of the projections of net interest margins for the coming years. As the favourable effects of interest rates increases are re\ufb02ected in the projected net interest margins of the coming years, the potential for additional gains linked to potential further rate increases is gradually diminishing, as illustrated by the estimated decline of the sensitivity based on end-December 2022 interest rates level presented below. \u27a4 TABLE 93: SENSITIVITY OF REVENUES TO GLOBAL INTEREST RATE RISK BASED ON A 50 BASIS POINTS INCREASE OR DECREASE IN THE INTEREST RATES (EU IRRBB1A) [Audited] In millions of euros 31 December 2022 For +50 bps shock For -50 bps shock Year 1 (22) 20 Year 2 (20) (92) Year 3 125 (264) These forecasting sensitivities do not take into account, since December 2021, the speci\ufb01c monetary policy instruments of the European Central Bank (ECB) that are temporary or that can be modi\ufb01ed at the discretion of the ECB. This allows us to present sensibilities more related to the recurring activity of the businesses Sensitivity of the value of the net assets of the banking intermediation activity As the assets and liabilities of the Group\u2019s banking intermediation business are not intended to be sold, they are not recognised or managed on the basis of their theoretical economic value measured by discounting future cash \ufb02ows. Similarly, the theoretical economic value of the net assets does not affect the Group\u2019s capital. However, pursuant to the regulatory requirements and calculation methods laid down by the European Banking Authority (EBA), the ratios of sensitivity of the theoretical economic value of the net assets of the intermediation business in relation to Tier 1 capital are regularly calculated through six interest rate scenarios de\ufb01ned by the EBA (i.e. parallel up/down, steepening/\ufb02attening, short rates up/down). Moreover, the EBA de\ufb01nes thresholds for risk-free rates by maturity (interpolated yield curve between -1% for the overnight rate and 0% for the 20-year yields). These ratios are compared to the 15% threshold used by the supervisor to identify situations where the interest rate risk in the banking book could be material. As of 31 December 2022, the Group sensitivity ratios are far below the regulatory materiality threshold of -15%. In case of parallel up, the ratio decreases compared to the previous year and stands at -6.8Structural foreign exchange risk [Audited] Currency hedges are contracted by the ALM Treasury in relation to the Group\u2019s investments in foreign currencies and its future foreign currency revenues. Each hedging relationship is formally documented at inception. The documentation describes the hedging strategy, identi\ufb01es the hedged item and the hedging instrument, and the nature of the hedged risk and describes the methodology used to test the expected (prospective) and actual (retrospective) effectiveness of the hedge. A hedging relationship is applied and documented for investments in subsidiaries and branches \ufb01nanced by foreign currency loans so as to record movements in exchange rates symmetrically and avoid impacts on the pro\ufb01t and loss account. In this context, these instruments are designated as net investment hedges. The amount of these loans stood at EUR 23 billion at 31 December 2022, compared with EUR 16 billion at 31 December 2021. The changes in value related to exchange differences recognised directly in equity with respect to these hedges was -EUR 303 million in 2022, compared with -EUR 639 million in 2021. During the 2022 \ufb01nancial year, no net investment hedging relationships were disquali\ufb01ed. The amount recorded in the pro\ufb01t and loss account for 2022 with respect to the ineffective portion of hedges of net investments is immaterial. Hedging of \ufb01nancial instruments recognised in the balance sheet (Fair Value Hedge) Fair value hedges of interest rate risks relate either to identi\ufb01ed \ufb01xed- rate assets or liabilities, or to portfolios of \ufb01xed-rate assets or liabilities. Derivatives are contracted to reduce the exposure of the fair value of these instruments to changes in interest rates. Individual assets hedging consists mainly of securities classi\ufb01ed as \u201cFinancial assets at amortised cost\u201d or \u201cFinancial assets at fair value through equity\u201d; individual liabilities hedging consists mainly of \ufb01xed- income securities issued by the Group. Hedges of portfolios of \ufb01nancial assets and liabilities, constructed by currency, relate to: \u25a0 \ufb01xed-rate loans (property loans, equipment loans, consumer credit and export loans); \u25a0 \ufb01xed-rate deposits (mainly demand deposits and funds deposited under home savings contracts). To identify the hedged amount, the residual balance of the hedged item is split into maturity bands, and a separate amount is designated for each band. The maturity split is determined on the basis of the contractual terms of the transactions and historical observations of customer behaviour (early redemption assumptions and estimated default rates). Demand deposits, which do not bear interest at contractual rates, are quali\ufb01ed as \ufb01xed-rate medium-term \ufb01nancial liabilities. Consequently, the value of these liabilities is sensitive to changes in interest rates. Estimates of future cash out\ufb02ows are based on historical analyses. For each hedging relationship, expected hedge effectiveness is measured by ensuring that for each maturity band, the fair value of the hedged items is greater than the fair value of the designated hedging instruments. Actual effectiveness is assessed on an ex-post basis by ensuring that the monthly change in the fair value of hedged items since the start of the month does not indicate any over-hedging. Cash Flow Hedge In terms of interest rate risk, the Group uses derivative instruments to hedge \ufb02uctuations in income and expenses arising on \ufb02oating-rate assets and liabilities. Highly probable forecast transactions are also hedged. Hedged items are split into maturity bands by currency and benchmark interest rate. After factoring in early redemption assumptions and estimated default rates, the Group uses derivatives to hedge some or all of the risk exposure generated by these \ufb02oating-rate instruments. In terms of foreign exchange risk, the Group hedges against variability in components of consolidated net income. In particular, the Group may hedge future revenue \ufb02ows (especially interest income and fees) derived from operations carried out by its main subsidiaries and/or branches in a currency other than their functional currencies. As in the case of interest rate hedges, the effectiveness of these hedging relationships is documented and assessed on the basis of forecast maturity bands. The table below concerns the scope of BNP Paribas SA\u2019s medium- and long-term transactions and shows the amount of hedged future cash \ufb02ows (split by forecast date of realisation), which constitute the majority of the Group\u2019s hedging transactions. \u27a4 TABLE 95: HEDGED CASH FLOWS [Audited] Period to realisation In millions of euros 31 December 2022 31 December 2021 Less than 1 year 1 to 5 years More than 5 years Total Less than 1 year 1 to 5 years More than 5 years Total Hedged cash \ufb02ows 1,769 4,090 739 6,598 318 811 264 1,393 In 2022, no cash \ufb02ow hedges were declassi\ufb01ed on the grounds that achieving these future earnings would no longer be highly probable. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 501 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Liquidity risk\u27a4 TABLE 108: BREAKDOWN OF BNP PARIBAS CARDIF GROUP INVESTMENTS (EXCLUDING INVESTMENTS IN UNIT-LINKED CONTRACTS) [Audited] In millions of euros 31 December 2022 31 December 2021 Net book value Market value Net book value Market value Equities and variable-income securities (including UCI) 39,522 39,522 45,671 45,671 Real estate 5,540 7,161 5,388 7,164 of which buildings 2,944 4,565 2,965 4,741 of which shares in real estate companies 2,596 2,596 2,423 2,423 Government bonds and similar 47,557 47,604 56,441 56,610 Other bonds 56,665 56,668 69,319 69,329 Derivative instruments and other 3,676 3,676 2,896 2,896 TOTAL 152,961 154,631 179,715 181,670 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 528 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Insurance risks \u27a4 TABLE 109: BOND EXPOSURE BY ISSUER AND RATING (EXCLUDING INVESTMENTS IN UNIT-LINKED CONTRACTS AND EUROCROISSANCE CONTRACTS) [Audited] Exposure by rating 31 December 2022 31 December 2021 Govies Corporate Total Govies Corporate Total AAA 6.9% 3.8% 10.7% 4.0% 2.1% 6.1% AA 22.0% 6.1% 28.0% 23.7% 6.2% 29.9% A 5.4% 19.6% 25.0% 6.6% 21.4% 28.0% BBB 10.9% 16.4% 27.3% 10.4% 16.9% 27.3% < BBB (*) 0.3% 8.6% 8.9% 0.2% 8.4% 8.6% TOTAL 45.5% 54.5% 100.0% 44.9% 55.1% 100% (*) Including unrated bonds. \u27a4 TABLE 110: EXPOSURE TO GOVERNMENT BOND AND SIMILAR BY COUNTRY (EXCLUDING INVESTMENTS IN UNIT-LINKED CONTRACTS AND EUROCROISSANCE CONTRACTS) [Audited] Exposure by country In millions of euros Rating 31 December 2022 31 December 2021 Net book value Net book value France AA 17,211 23,599 Italy BBB 10,991 12,636 Spain A- 3,529 4,922 Belgium AA- 2,668 3,377 Germany AAA 1,213 1,378 Austria AA+ 850 1,056 Netherlands AAA 622 1,067 Ireland A+ 1 699 Portugal BBB 55 63 Other 10,042 7,528 TOTAL 47,183 56,325 The table below presents the gross book value of the BNP Paribas Cardif group\u2019s \ufb01nancial assets meeting the SPPI (Solely Payments of Principal and Interest) criterion, with the exception of the \ufb01nancial assets held for transaction purposes in accordance with IFRS 9 or whose management and performance assessment are based on fair value. \u27a4 TABLE 111: FINANCIAL ASSETS MEETING THE SPPI CRITERION IN ACCORDANCE WITH IFRS 9 [Audited] Rating In millions of euros 31 December 2022 31 December 2021 AAA 10,984 7,219 AA 28,553 36,931 A 22,093 29,693 BBB 26,666 30,770 < BBB (*) 2,852 2,861 TOTAL 91,127 107,475 (*) Including unrated bonds. For the non-Investment Grade or unrated \ufb01nancial assets that meet the cash \ufb02ow criterion, the table below shows the fair value and gross book value in accordance with IAS 39 (in the case of the \ufb01nancial assets valued at amortised cost, not taking into account any value adjustments for impairment). 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 529 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Insurance risks \u27a4 TABLE 112: NON INVESTMENT GRADE FINANCIAL ASSETS MEETING THE SPPI CRITERION IN ACCORDANCE WITH IFRS 9 [Audited] Rating In millions of euros 31 December 2022 31 December 2021 Gross book value Market value Gross book value Market value BB+ 1,322 1,322 1,222 1,222 BB 108 108 74 74 BB- 173 173 158 158 B 9 9 18 18 Unrated 1,240 1,240 1,390 1,390 TOTAL 2,852 2,852 2,861 2,861\u27a4 TABLE 113: AVERAGE REDEMPTION RATES FOR BNP PARIBAS CARDIF GROUP GENERAL FUNDS (*) [Audited] Annual redemption rate 2022 2021 France 6.5% 5.4% Italy 9.4% 8.3% Luxembourg 22.5% 8.5% (*) Individual savings.",
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  "fact_9669": {
   "value": "LIQUIDITY RISK MANAGEMENT POLICY [Audited] OBJECTIVES The objectives of the Group\u2019s liquidity management policy are to secure a balanced \ufb01nancing structure for the development of BNP Paribas business activities, and to ensure it is suf\ufb01ciently robust to cope with crisis situations. The liquidity risk management framework relies on: \u25a0 management indicators: \u25a0 by volume, to ensure that businesses or activities comply with their liquidity targets set in line with the Group\u2019s funding capacity, \u25a0 by price, via internal liquidity pricing; \u25a0 the de\ufb01nition of monitoring indicators which enable assessment of the Group\u2019s liquidity position under normal conditions and in crisis situations, the ef\ufb01ciency of actions undertaken and compliance with regulatory ratios; \u25a0 the implementation of liquidity risk management strategies based on diversi\ufb01cation of funding sources with maturities in line with needs, and the constitution of liquidity reserves. The Group\u2019s liquidity policy de\ufb01nes the management principles that apply across all Group entities and businesses and across all time horizons. GOVERNANCE As for all risks, the Group Chief Executive Of\ufb01cer is granted authority by the Board of directors to manage the Group\u2019s liquidity risk. The Chief Executive Of\ufb01cer delegates this responsibility to the Group ALM Treasury Committee. The Internal Control, Risk and Compliance Committee (CCIRC) reports quarterly to the Board of directors on liquidity policy principles and the Group\u2019s liquidity position. The Group ALM Treasury Committee is responsible for: \u25a0 proposing the Group\u2019s liquidity risk pro\ufb01le at the CCIRC and the Board of directors, for review and decision; \u25a0 monitoring compliance with regulatory liquidity ratios; \u25a0 de\ufb01ning and monitoring management indicators and calibrating the quantitative thresholds set for the Bank\u2019s businesses; \u25a0 defining and monitoring liquidity risk indicators and associating quantitative thresholds to them if necessary; \u25a0 de\ufb01ning and overseeing implementation of liquidity risk management strategies, including monitoring of business lines, under normal and stressed conditions. In particular, the Group ALM Treasury Committee is informed about funding programmes and programmes to build up liquidity reserves, simulations in crisis conditions (stress tests), and about all events that may arise in crisis situations. The Group ALM Treasury Committee is tasked with defining the management approach in periods of crisis (emergency plan). This framework is based on: \u25a0 supervision of the emergence of a crisis by monitoring the market position and complying with thresholds set for a series of indicators; \u25a0 governance of the activation of crisis management mode and the associated responsibilities; \u25a0 identi\ufb01cation of possible actions for managing a crisis. The Group ALM Treasury Committee meets every month under normal conditions and more often in stressed conditions or to deal with speci\ufb01c issues. The permanent members of the Group ALM Treasury Committee are the Group Senior Executive Advisor (Chairman), the Delegate Deputy Chief Operating Of\ufb01cers, the Chief Risk Of\ufb01cer, the Group Chief Financial Of\ufb01cer and the Group ALM Treasury Head. Other members represent the RISK Function, Finance & Strategy Function and ALM Treasury. The Head of General Inspection and the Head of Compliance are also invited. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 502 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Liquidity risk Across the Group, ALM Treasury is responsible for the operational implementation of the Group ALM Treasury Committee\u2019s liquidity management decisions. The ALM Treasury Committees in entities or groups of entities are responsible for local implementation of the strategy decided by the Group ALM Treasury Committee to manage the Bank\u2019s liquidity risk. ALM Treasury is responsible for managing liquidity for the entire Group across all maturities. In particular, it is responsible for funding and short-term issuance (certi\ufb01cates of deposit, commercial paper, etc.), for senior and subordinated debt issuance (MTNs, bonds, medium/long- term deposits, covered bonds, etc.), preferred share issuance, and loan securitisation programmes for the Group. ALM Treasury is tasked with providing internal funding to the Group\u2019s divisions, operational entities and business lines, and investing their surplus cash. It is also responsible for building up and managing liquidity reserves, which comprise assets that can be easily sold in the event of a liquidity squeeze. RISK participates in the Group and local ALM Treasury Committees and oversees implementation by ALM Treasury of the relevant decisions made by these committees. It provides second-line control by reviewing the models and risk indicators (including liquidity stress tests), monitoring risk indicators and ensuring compliance with the limits assigned. The Finance & Strategy function is responsible for producing the regulatory liquidity indicators, as well as the internal monitoring indicators. Finance oversees the consistency of the internal monitoring indicators with the objectives de\ufb01ned by the Group ALM Treasury Committee. The Finance & Strategy function takes also part in the Group and local ALM Committees. LIQUIDITY RISK MANAGEMENT AND SUPERVISION Internal liquidity risk management and internal monitoring are based on a large range of indicators at various maturities. These indicators are measured on a regular basis by currency and maturity, both at Group level and entity level. BUSINESS LINES\u2019 INTERNAL MONITORING INDICATORS [Audited] The monitoring indicators relate to the funding needs of the Group\u2019s businesses under both normal and stressed conditions. These monitoring indicators are part of the Group\u2019s budget planning exercise with set objectives that are routinely monitored (monthly). Funding needs of the Group\u2019s businesses The funding needs associated with the activity of the Group\u2019s businesses are managed in particular by measuring the difference between commercial funding needs (customer loans and overdrafts, trading assets, etc.) and commercial funding resources (customer deposits, sale of the Group\u2019s debt securities to customers, trading liabilities, etc.). This indicator makes it possible to measure the business lines\u2019 liquidity consumption under a normal business scenario. It is supplemented by indicators to measure the funding needs of the business lines in one month and one year depending on the assumptions de\ufb01ned by European regulations in force (Liquidity Coverage Ratio) or anticipated (Net Stable Funding Ratio). In addition to this commercial funding need indicators, the Group closely monitors the liquidity reserves and the re\ufb01nancing provided by ALM Treasury, as well as the Group\u2019s structural resources (i.e. net own funds). The overall management of the business funding needs, the Group\u2019s structural resources, funding and liquidity reserves made by the ALM Treasury allows the Group to achieve a structurally robust liquidity situation able to resist severe market stresses. Business lines\u2019 consumption of liquidity is thus integrated in the Group\u2019s budget process, wherein each business line estimates its future liquidity needs, in keeping with its pro\ufb01tability targets and capital consumption objectives. During the iterative budget process, liquidity consumption objectives are allotted to the business lines, taking into account the funding provided by ALM Treasury and structural resources, in line with the Group\u2019s overall target. This process is regularly renewed, monitored and adjusted as appropriate throughout the year by the Group ALM Treasury Committee. Internal liquidity pricing All of the Group\u2019s assets and liabilities are subject to internal liquidity pricing, the principles of which are decided by the Group ALM Treasury Committee and aim to take account of trends in the cost of market liquidity and the balance between assets and liabilities within the Group\u2019s development strategy. Change of the liquidity position In 2022, business lines\u2019 consumption of liquidity decreased as a result of the growth in deposits, which exceeded credit growth, particularly for Global Banking. At end-2022, the businesses had a net liquidity surplus. Group\u2019s net equity is added to this surplus leading to an overall liquidity surplus. In this context, the funding provided by ALM Treasury is used to \ufb01nance the liquidity reserve, while also correcting the term structural differences between assets and liabilities and covering TLAC (Total Loss-Absorbing Capacity) requirements, as well as future Minimum Requirement for own funds and Eligible Liabilities (MREL). The Group maintains a large surplus in liquidity, 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 503 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Liquidity risk WHOLESALE FUNDING AND LIQUIDITY RESERVE MONITORING INDICATORS [Audited] Sources of wholesale funding The Group adopted a broad de\ufb01nition of wholesale funding, covering all funds excluding those provided by: \u25a0 retail customers, professionals and corporates; \u25a0 institutional clients for their operating needs (e.g. portion needed for custody management); \u25a0 monetary policy and funding secured by market assets. This de\ufb01nition is broader than market funding. For example, it includes medium- to long-term debt placed in funds for individuals and, in the short-term portion, non-operating deposits in the Securities Services business. The Group has a conservative policy for the management of its wholesale funding by ensuring that it does not depend on very short-term funding and diversifying its funding sources. Thus, wholesale funding with an original maturity of less than one month, so-called very short-term wholesale funding, is systematically \u201csterilised\u201d by being placed in immediately-available deposits in central banks so that they are not used to fund the Bank\u2019s business. The Group ensures that short-term wholesale funding (with original maturity of between one month and one year) is diversi\ufb01ed in terms of counterparty, industry and residual maturity. Any excess concentration on one of these criteria is systematically \u201csterilised\u201d and placed in central bank deposits. Medium- to long-term wholesale market funding (with original maturity over one year) is diversi\ufb01ed in terms of investor type, distribution network, funding programme (secured or unsecured), and by geographical area to ensure diversi\ufb01cation. Furthermore, the Group aims to optimise the term structure of its funding operations. At end-2022, sterilised very short-term wholesale funding totalled EUR 88.9 billion (leading to the sterilisation of an equivalent amount in the Group\u2019s liquidity reserve), diversi\ufb01ed short-term wholesale funding totalled EUR 134.6 billion and diversi\ufb01ed medium-to long-term wholesale funding totalled EUR 180.5 billion. \u27a4 TABLE 96: BREAKDOWN OF THE WHOLESALE FUNDING BY CURRENCY [Audited] The breakdown of funding by currency corresponds to the Group\u2019s needs and to a diversi\ufb01cation objective. In millions of euros 31 December 2022 EUR USD Other Total Sterilised very short-term wholesale funding 49,067 23,948 15,893 88,908 Short-term wholesale funding 48,376 53,690 32,567 134,632 Medium- to long-term wholesale funding 88,954 64,591 26,976 180,521 TOTAL WHOLESALE 186,397 142,228 75,436 404,062 In millions of euros 31 December 2021 EUR USD Other Total Sterilised very short-term wholesale funding 53,271 28,346 14,988 96,606 Short-term wholesale funding 44,047 39,702 24,299 108,048 Medium- to long-term wholesale funding 99,086 60,257 30,133 189,476 TOTAL WHOLESALE 196,405 128,305 69,420 394,130 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 504 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Liquidity risk\u27a4 TABLE 98: TRENDS IN GROUP MEDIUM AND LONG TERM WHOLESALE FUNDING [Audited] In millions of euros 31 December 2021 New origination Redemptions Buy-backs Exercise of calls Perimeter effect and other 31 December 2022 Total MLT funding 322,668 53,767 (30,704) (54,495) (7,739) (22,719) 260,779 MLT debt placed with clients (13,105) (1,905) 740 407 350 342 (13,172) Monetary policy (120,087) 3,000 50,000 (67,087) WHOLESALE MLT FUNDING 189,476 51,862 (26,964) (4,088) (7,389) (22,376) 180,521 Total medium- to long-term wholesale funding outstandings stood at EUR 180.5 billion at 31 December 2022 against EUR 189.5 billion at 31 December 2021. After adjusting for exchange rate movements due to effects of debt micro-hedge accounting, the long-term wholesale funding outstandings rose by EUR 11 billion compared to 2021. Wholesale funding raised by the Group in the markets with an initial maturity of over 1 year reached EUR 51.9 billion in 2022, compared to EUR 55.9 billion in 2021. Wholesale funding trends based on regulatory changes In addition to the Group\u2019s liquidity management targets, use of wholesale funding also satis\ufb01es regulatory requirements relating to recovery and resolution, with the application of the TLAC ratio minimum requirement (see paragraph Recovery and resolution in Capital adequacy and capital planning in section 5.2). In order to comply with the regulatory TLAC ratio requirements of 22.17% at 31 December 2022, BNP Paribas issued EUR 81.1 billion (outstanding principal amount) or EUR 72.2 billion (carrying amount, including in particular accrued unpaid interest and revaluation of the hedged portion) of non-preferred senior debt between 2017 and 2022 (including EUR 75.2 billion in TLAC-eligible debt at 31 December 2022), with different maturity dates and in various currencies, in the form of public issuances and private placements. 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 505 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Liquidity risk To meet the TLAC and MREL ratio requirements, the Group plans to issue EUR 15 billion of senior debt (senior preferred and senior non-preferred) in 2023, subject to market conditions. The Group had completed 36% of its issue programme for this category of debt as at 26 January 2023. As a reminder, the main characteristics of these debt instruments are: \u25a0 issuance under EMTN and US MTN programmes; \u25a0 non-preferred senior notes (pursuant to article L.613-30-3-I-4 of the French Monetary and Financial Code); \u25a0 non-structured debt (1) ; \u25a0 initial maturity of more than one year; \u25a0 subject to conversion or impairment before senior preferred debt but after subordinated debt; \u25a0 documentation mandatorily stating that this debt belongs to the new statutory category. MLT secured wholesale funding MLT secured wholesale funding is measured by separating out assets representing securities and loans. Funding obtained from central banks is not included in the table below. \u27a4 TABLE 103: CONTRACTUAL MATURITIES OF THE PRUDENTIAL BALANCE SHEET (EU CR1-A) [Audited] In millions of euros 31 December 2022 Not determined Overnight or demand Up to 1 month (excl. Overnight) 1 to 3 months 3 months to 1 year 1 to 5 years More than 5 years TOTAL ASSETS Cash and amounts due from central banks 318,569 318,569 Financial instruments at fair value through pro\ufb01t and loss Securities 166,946 166,946 Loans and repurchase agreements 64,994 57,714 29,441 24,085 9,961 5,828 192,024 Derivative \ufb01nancial instruments 328,358 328,358 Derivatives used for hedging purposes 25,681 25,681 Financial assets at fair value through equity Debt securities 59 3,890 797 3,787 12,120 17,916 38,570 Equity securities 2,188 2,188 Financial assets at amortised cost Loans and advances to credit institutions 9,987 13,023 5,055 2,463 649 1,297 32,474 Loans and advances to customers 13,851 56,802 78,893 134,620 345,125 258,376 887,667 Debt securities 154 92 3,503 4,100 14,908 47,213 43,741 113,711 Remeasurement adjustment on interest rate risk hedged portfolios (7,477) (7,477) Financial assets 515,910 407,494 134,931 118,287 179,864 415,067 327,158 2,098,711 Other assets 187,930 21,181 6,832 9,241 1,835 1,977 8,727 237,722 Assets held for sale 86,839 86,839 TOTAL ASSETS 703,839 428,674 141,764 214,366 181,699 417,045 335,885 2,423,272 of which Loans and advances - 88,832 127,538 113,389 161,168 355,735 265,501 1,112,165 of which Debt securities 135,238 92 7,393 4,898 18,696 59,333 61,656 287,306 LIABILITIES Deposit from central banks 3,054 3,054 Financial instruments at fair value through pro\ufb01t and loss - Securities 99,155 99,155 Deposits and repurchase agreements 48,048 125,131 39,086 14,922 5,923 965 234,076 Issued debt securities 7 3,672 4,662 12,442 27,376 17,250 65,409 Derivative \ufb01nancial instruments 300,936 300,936 Derivatives used for hedging purposes 40,002 40,002 Financial liabilities at amortised cost - Deposits from credit institutions 14,768 5,518 25,331 49,365 20,950 780 116,714 Deposits from customers 780,457 124,371 63,839 37,088 5,924 2,888 1,014,567 Debt securities 5 9,731 31,847 34,884 42,770 32,952 152,190 Subordinated debt 8 270 8,599 13,511 22,388 Remeasurement adjustment on interest rate risk hedged portfolios (20,201) (20,201) Financial liabilities 419,893 846,339 268,431 164,765 148,972 111,543 68,347 2,028,290 Other liabilities 257,789 13,059 14,228 10,092 2,318 1,818 18,675 317,980 Liabilities associated with assets held for sale 77,002 77,002 TOTAL LIABILITIES AND EQUITY 677,682 859,398 282,659 251,860 151,290 113,361 87,022 2,423,272 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 513 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Liquidity risk In millions of euros 31 December 2021 Not determined Overnight or demand Up to 1 month (excl. Overnight) 1 to 3 months 3 months to 1 year 1 to 5 years More than 5 years TOTAL ASSETS Cash and amounts due from central banks 348,519 348,519 Financial instruments at fair value through pro\ufb01t and loss Securities 192,520 192,520 Loans and repurchase agreements 68,459 114,332 31,876 25,972 8,044 3,820 252,503 Derivative \ufb01nancial instruments 240,940 240,940 Derivatives used for hedging purposes 8,619 8,619 Financial assets at fair value through equity Debt securities 157 382 1,074 3,413 16,398 20,173 41,597 Equity securities 2,558 2,558 Financial assets at amortised cost Loans and advances to credit institutions 8,150 5,270 3,260 3,351 992 912 21,934 Loans and advances to customers 15,431 58,233 77,210 132,998 328,815 233,961 846,649 Debt securities 131 392 3,530 5,404 12,146 43,535 44,241 109,379 Remeasurement adjustment on interest rate risk hedged portfolios 3,049 3,049 Financial assets 447,974 440,951 181,748 118,824 177,879 397,784 303,108 2,068,267 Other assets 164,476 19,357 7,568 6,258 6,065 1,490 4,897 210,111 Assets held for sale 91,267 91,267 TOTAL ASSETS 612,450 460,308 189,315 125,082 275,211 399,274 308,005 2,369,645 of which Loans and advances - 92,040 177,835 112,346 162,320 337,851 238,693 1,121,086 of which Debt securities 135,313 392 3,913 6,478 15,559 59,933 64,414 286,001 LIABILITIES Deposit from central banks 1,244 1,244 Financial instruments at fair value through pro\ufb01t and loss - Securities 112,338 112,338 Deposits and repurchase agreements 113,644 119,041 34,792 23,301 1,383 1,296 293,456 Issued debt securities 20 2,563 4,012 12,231 26,319 18,798 63,944 Derivative \ufb01nancial instruments 237,779 237,779 Derivatives used for hedging purposes 10,211 10,211 Financial liabilities at amortised cost - Deposits from credit institutions 11,688 3,746 18,624 6,665 118,140 506 159,368 Deposits from customers 822,784 71,073 48,335 13,995 8,170 2,606 966,963 Debt securities 3 7,837 26,214 29,816 48,126 39,393 151,388 Subordinated debt 363 317 6,394 15,875 22,949 Remeasurement adjustment on interest rate risk hedged portfolios 1,367 1,367 Financial liabilities 361,695 949,383 204,623 131,977 86,324 208,531 78,474 2,021,007 Other non-\ufb01nancial liabilities 230,280 6,862 15,750 6,606 2,840 1,203 10,731 274,272 Liabilities associated with assets held for sale 74,366 74,366 TOTAL LIABILITIES AND EQUITY 591,975 956,245 220,373 138,583 163,530 209,734 89,205 2,369,645 2022 Universal registration document and annual \ufb01nancial report - BNP PARIBAS 514 5 RISKS AND CAPITAL ADEQUACY \u2013 PILLAR 3 5 Liquidity risk At 31 December 2022, BancWest\u2019s contribution to the Group\u2019s balance sheet, under the line \u201cAssets held for sale / Liabilities associated with assets held for sale\u201d (see note 7.d Discontinued activities to the consolidated \ufb01nancial statements), amounts to: \u25a0 assets of EUR 3 billion from cash and amounts due from central banks, EUR 17 billion in debt securities at amortised cost, with a maturity mostly over \ufb01ve years, and EUR 56 billion in loans and advances to customers, including EUR 46 billion over one year; \u25a0 liabilities of EUR 71 billion in deposits from customers. At 31 December 2021, BancWest\u2019s contribution to the Group\u2019s balance sheet is as follows: \u25a0 assets of EUR 15 billion from cash and amounts due from central banks, EUR 16 billion in debt securities at amortised cost, with a maturity mostly over \ufb01ve years, and EUR 50 billion in loans and advances to customers, including EUR 41 billion over one year; \u25a0 liabilities of EUR 73 billion in deposits from customers. For the management of liquidity risk, the above schedule is supplemented with economic analyses taking into consideration customer behaviour and the market liquidity of certain assets (such as securities), under normal conditions and stress situations. To this effect, the Group uses a set of tools to anticipate and manage its \ufb01nancial liquidity, in particular as previously indicated: \u25a0 medium- to long-term liquidity status; \u25a0 stress tests and liquidity reserve; \u25a0 monitoring compliance with regulatory liquidity ratios. The following table shows details of Table 103 Contractual maturities of the prudential balance sheet across the scope of the Group\u2019s capital instruments and medium- and long-term debt securities, without taking into account early redemption options.",
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