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1 Annual Report 2012

2 Annual Report 2012

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4 Annual Report

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6 Business Review and Results 1. Highlights of 2012 and early Business line segmentation 6 3. Statement of income and balance sheet 6 4. Outlook / Strategies 10 Risk Management 1. Introduction Risk Management missions, organisation and governance Credit risk Market risk, Assets & Liabilities Management Operational risk Regulatory capital adequacy - Pillar Internal capital adequacy - Pillar 2 21

7 Business Review and Results 1. Highlights of 2012 and early 2013 Following the signing of the Share Purchase Agreement (SPA) on April 5, 2012, Precision Capital and the Grand Duchy of Luxembourg announced, on October 5, 2012, the closing of the acquisition of % of the share capital of Banque Internationale à Luxembourg (BIL). Precision Capital holds % of BIL and the Grand Duchy of Luxembourg holds 9.99 %, with a transaction price at EUR 730 million (all amounts below in EUR). The terms of the final agreement remain consistent with the consolidated financial statements as at December 31, In accordance with the requirements of the SPA, Dexia increased BIL s shareholders equity by 204 million on October 2, 2012, in order to partly offset the impact of the losses generated in This capital increase was calibrated in order to enable the Bank to achieve a 9 % Core Tier 1 ratio, under fully-applied Basel III rules, at the closing of the transaction. The finalisation of BIL s sale to Precision Capital and the Grand Duchy of Luxembourg strengthened its financial and business profile. The Bank s operational autonomy was achieved by mid and all strategic decisions are now taken in Luxembourg. Stand-alone status enables BIL to develop its four business lines, namely Retail Banking, Corporate & Institutional Banking, Private Banking and Treasury & Financial Markets. Since the signature of the SPA, the Standard & Poor s and Fitch rating agencies have confirmed their long-term ratings as A-, with stable outlooks. Following the public announcement in December 2011 of the signature of a binding memorandum of understanding, Retail, Corporate and Private Banking commercial activities turned in particularly good performances: Customer deposits went up by 22.4 % to 11.4 billion (versus 9.3 billion at year-end 2011) especially in Luxembourg (1.1 billion in current accounts and 0.8 billion in savings accounts). Customer funds (assets under management) went up by 10.4 % to 29.9 billion (versus 27.1 billion at year-end 2011, on a comparable basis) of which approximatively 75 % was cash. Customer loans went up by 4.3 % to 9.6 billion (versus 9.3 billion at year-end 2011, on a comparable basis). BIL continued to support the local economy, especially in the SME sector and in real estate financing. 2. Business line segmentation In 2012, BIL amended its business line segmentation as follows: - "Legacy Portfolio Management" and "Asset Management & Services" divisions not maintained in 2012 following their derecognition at the end of December "Retail, Corporate and Private Banking" (prior to 2012 known as "Retail and Commercial Banking") was reorganised around three business lines, Retail Banking, Corporate and Institutional Banking and Private Banking, in order to improve synergies between the three pillars, based on client needs. - "Treasury and Financial Markets" became a full-fledged business around three pillars: Treasury, Assets and Liabilities Management (ALM), and Financial Markets, with dedicated desks supporting the commercial business lines. In terms of analysis and in order to reflect the new scope of the Bank, the income statement is split as follows: "Core New BIL", subdividing results into: - Retail, Corporate and Private Banking - Treasury and Financial Markets - Group Center "Non-core activities" varying between 2011 and 2012: - In 2011, "divested subsidiaries" encompassing the deconsolidated Dexia Asset Management, RBC Dexia Investor Services, Popular Banca Privada, Dexia LdG Banque, Parfipar and the sale of Dexia LdG Banque covered bonds; - In 2012, limited to non recurring items and BIL Finance, considered as a non-strategic entity. The breakdown of 2011 figures has been amended in order to reflect these organisational changes and to identify the "Treasury and Financial Markets" contribution. 3. Statement of income and balance sheet The Group s consolidated annual accounts for the year 2012 were prepared in accordance with International Financial Reporting Standards (IFRS), as adopted by the European Union. Accounting principles and regulations are described in Note 1. 1 See the Annual Report Generated by the sale of Legacy portfolio, DLG covered bonds and the subsidiaries Dexia Asset Management, RBC Dexia Investor Services, Dexia LdG Banque, Parfipar and Popular Banca Privada 6 BIL Annual Report 2012

8 Analysis of the statement of income Statement of income - Global view (in EUR millions) 31/12/11 31/12/12 Income (1,236) 360 Expenses (811) (331) Gross operating income (2,047) 29 Cost of risk and provisions for legal litigation (174) (7) Income before tax (2,221) 22 Tax expense Net Income (1,921) 30 Minority Interest 28 0 Net Income Group share (1,949) 30 Statement of Income on "Core NEW BIL" and "Non-core Activities" (in EUR millions) Core New BIL Non-core Activities Legacy Portfolio TOTAL Management 1 31/12/11 31/12/12 31/12/11 31/12/12 31/12/11 31/12/12 31/12/11 31/12/12 Income (60) (1,981) 0 (1,236) 360 Expenses (332) (325) (475) (6) (4) 0 (811) (331) Gross Operating Income (163) (65) (1,984) 0 (2,047) 29 Cost of risk and provisions for legal litigation (22) (16) (5) 9 (147) 0 (174) (7) Income before tax (168) (56) (2,131) 0 (2,221) 22 Tax expense Minority interest 28 0 Net Income (1,949) 30 In 2012, consolidated income for BIL group totalled 360 million, with 420 million generated by "Core New BIL" activities, whereas the "Non-core Activities" contributed negatively to income by 60 million. "Core New BIL" can be further broken down between Commercial Activities, Financial Markets and Group Center. Contribution to "Core New BIL" Statement of income by business line (in EUR millions) Retail, Corporate and Treasury and Group Center TOTAL Private Banking Financial Markets Core New BIL 31/12/11 31/12/12 31/12/11 31/12/12 31/12/11 31/12/12 31/12/11 31/12/12 Income (19) (2) Expenses (298) (291) (29) (31) (5) (3) (332) (325) Gross Operating Income (48) (33) Cost of risk and provisions for legal litigation (31) (17) 10 0 (2) 1 (22) (16) Income before tax (38) (33) See the Annual Report 2011 BIL Annual Report

9 Income Expenses "Core New BIL" income decreased by 12 million, due mainly to the sale of Dexia Securities France (DSF) in June 2012 (11 million income contributed in 2011); excluding the DSF contribution in 2011, the income was in line with that of "Retail, Corporate and Private Banking" activities generated income of 391 million, i.e. 30 million down. Of that amount, 11 million related to DSF and 19 million were attributable to recurring activities (-5 %), due to a business decrease located mainly in Luxembourg. Dexia s crisis caused in 2011 a 4.4 billion drop in client assets under management (AuM) to 27.1 billion at the end of December Since the signing of the binding memorandum of outstanding in December 2011, client AuM have increased by 10.4 % but this good performance did not compensate for 2011 AuM losses. On average, client AuM in 2012 stayed 1.6 billion below the 2011 average. This negatively affected fee and commissions income by approximately 15 million. The interest margin achieved in 2012 is at the same level as the previous year, the decreasing income on saving accounts has been compensated by an improved margin on the loan book. "Treasury and Financial Markets" activities generated income of -2 million, 17 million up compared to In a transitional year, "Treasury and Financial Markets" activities benefited progressively from the reinvestments in the new bond portfolio (28 million in 2012) whereas the ALM and the Treasury desks continued to suffer in 2012 due to having very limited room for action (Dexia related divestments and constraints on position taking up to closing and the absence of any transformation opportunity due to the very low interest-rate environment). Foreign exchange contribution decreased by 8 million as Belfius and RBC stopped routing their Forex volumes to the market (Forex Luxembourg was the center of expertise for Dexia) via BIL. "Group Center" generated a 30 million income, in line with 2011; the income included dividends from unconsolidated shareholdings, the income generated by the reinvestment of shareholders equity and the results generated by nonoperational entities. "Non-core Activities" generated income of -60 million in 2012 compared to million in In 2012, the negative result is mainly due to non-recurring items such as -56 million on the sale of the Bank s Portuguese exposure and a negative exchange rate impact of -17 million relating to the conversion into euro of the losses arising from the sale of the Legacy portfolio. These losses were partly offset by an 18 million dividend paid by Dexia Asset Management. General expenses amounted to 331 million in 2012, of which 325 million were attributable to "Core New BIL" and 6 million to "Non-core Activities". The substantial reduction in expenses related to "Core New BIL" (325 million versus 332 million in 2011) can be explained by the sale of DSF (13 million expenses contribution in 2011). Excluding the DSF contribution, expenses increased by 6 million. In 2012, the Bank had to hire approximatively 100 new employees to enable it to carry on its activities on a stand-alone basis. This staff increase allowed cutting definitely services provided and invoiced by Dexia group thus mitigating the total impact on the cost base. Effective cost controls allowed the reduction of recurring administrative expenses and provided room for manoeuvre for the Bank s rebranding, and for several marketing campaigns in the fourth quarter as part of the "BIL is Back" programme while containing the overall cost growth at 2 %. "Non-core" expenses amounted to -6 million in 2012 compared to -475 million in 2011 (including the "Asset Management & Services" division). Expenses for 2012 are explained by the reclassification of BIL Finance and costs generated by the Bank s strategic review. Gross operating income Gross operating income amounted to 29 million, of which 95 million was "Core New BIL", down by 5 million compared to 2011, and -65 million associated with "Non-core Activities". Cost of risk and impairment In 2012, BIL group booked net provisions of 7 million. The risk cost remains very limited and fell by 6 million for "Core New BIL" activities compared to 2011 (16 million versus 22 million in 2011) compensated by the write back of 11 million of "Madoff" litigation under "Non-core Activities". Net income before tax Despite a transitional context marked by challenging economic and financial conditions, "Core New BIL" generated a net income before tax for 2012 of 78 million, in line with million in 2011 were attributable to the "Asset Management and Investor Services" division, which generated 616 million; Group Center reported -305 million, mainly due to the 163 million loss resulting from the disposal of the subsidiaries and a 191 million loss arising from the transfer of covered bond positions to the Dexia group. 8 BIL Annual Report 2012

10 Tax The impact of taxable income from the various BIL group entities, in jurisdictions with varying taxation rates, was a net 8 million tax credit in This net tax credit is mainly due to BIL SA, as a result of the appreciation of certain deferred tax assets, following Luxembourg s income tax rate increase. Net Income At the end of 2012, net income stood at 30 million due to encouraging results from "Core Activities" which permitted the compensation of the non-recurring results. Analysis of the consolidated balance sheet (in EUR billions) 31/12/11 31/12/12 Change Assets % Loans and advances to credit institutions % Loans and advances to customers % Loans and securities available for sale % Positive value of derivative products % Other assets % Liabilities % Amounts owed to credit institutions % Customer Deposits % Negative value of derivative products % Debt securities % Subordinated and convertible debt % Other liabilities % Shareholders' equity % 2011 balance sheet was significantly affected by the derecognition of the legacy portfolio and the subsidiaries sold / transferred to Dexia. As of December 31, 2011, this transaction had not yet given rise to any payment, resulting in a claim as at that date, presented under "Other assets" for a total amount of 7.4 billion. The payment of this claim in 2012 reduced "Other assets" accordingly and permitted: Reinvestment in a new bond portfolio (+3.1 billion). Redemption of cash drawn from the Luxembourg Central Bank (-2 billion) and reimbursement of Dexia group funding (0.5 billion Belfius, 1.3 billion with DLG and 0.4 billion RBC), leading to a drop of 4 billion in "Amounts owed to credit institutions". BIL Annual Report

11 Asset movements The 2.9 billion reduction in assets mainly booked under "Other asset items", as described above, is offset by "Loans and securities available for sale", "Loans and advances to credit institutions" and "Loans to customers". "Loans and advances to credit institutions" increased by 1.4 billion in This evolution is the corollary of the disappearance of Dexia LdG Banque funding (-1 billion) and a significant increase of the outstanding balance with the Swiss and Luxembourg central banks (+2.4 billion). These oustandings are expected to decrease over 2013 as the Bank will continue to develop its investment portfolio and to expand its loan book. "Advances to customers" increased by 60 million, or 0.4 billion if the refinancing of Parfipar, paid out in 2012, is excluded. The Bank continued to develop its retail mortgage activities in Luxembourg. In 2012, outstanding mortgage loans rose by 222 million (+7.8 %) and current account credit lines rose by 202 million (+5 %), counterbalanced by a decrease of advances and credit cash (-34 million). "Loans and securities available for sale" went up by 3.1 billion. This heading covers in particular the strategic shareholding and the new investment portfolio. This new portfolio reached a nominal amount of 3.1 billion at the end of December It is mainly composed of assets eligible for the main refinancing operations of the European Central Bank and qualifies as liquidity reserves under Basel III. Movements in liabilities On the liability side, the reduction in the balance sheet was mainly driven by the "Amounts owed to credit institutions" offset by "Customer deposits" and "Shareholders equity". "Amounts owed to credit institutions" went down by 4.1 billion (-62 %) as explained above. "Customer deposits" showed an encouraging increase of 2 billion (21 %), mainly in Luxembourg (1.9 billion). Given the uncertain market environment and more specifically the sovereign debt situation and pressure on long-term interest-rates, customers preferred to deposit their money rather than invest in equities or in bonds. This growth in deposits was driven by growth in saving accounts (+23 % in 2012), in which area the Bank launched a new savings plan, BIL Top Plus (173 million) and in current accounts (+39 %). In a very low interest-rate environment, this type of product will continue to be developed, in order to offer customers more attractive returns. "Shareholders equity" went up by 370 million (50 %). This change was mainly due to a 204 million in shareholders equity paid out by Dexia on October 2, 2012, to the increase of revaluation reserves on the available for sale portfolio for 103 million, and to the 30 million net profit in Outlook / Strategies For BIL, 2012 marked a turning point for the Bank with its renewed independence, which was a crucial step towards its future strategic development. During the first half of the year, the Bank was able to accomplish the projects required to allow it to function autonomously, following the settlement of the transaction. Functions which were previously centralised within Dexia were resumed locally. New, autonomous IT systems were put into place and have been operational since July 1, The new organisation is now fully established, allowing the Bank to develop its strategy on a stand-alone basis. The arrival of Precision Capital and the Grand Duchy of Luxembourg as shareholders offers BIL new growth opportunities, both on the local market and internationally. During the fourth quarter, the Bank confirmed and reinforced its strategic partnership with Luxembourg by running several customer-oriented campaigns. To support this development, on December 5, 2012, the Board of Directors approved an ambitious but achievable strategic growth plan for , taking into account the current economic slowdown. By 2015, the Bank seeks to make BIL a universal bank, solidly anchored in the Luxembourg market, active on targeted international markets and distinguished by the quality of its products and services. With this in mind, the Bank s various business lines will have as main missions to increase market share, to develop an integrated multi-channel offering and to grow the product range to target revenue activities. This plan will involve a complete review of operating costs, in order to free up the resources required to ensure the implementation of its strategy and the success of the "BIL is Back" programme. One of the key elements of the new road map, to which the Bank accords very particular importance, is the excellence of its products and services. In offering clients attractive products, tailored to their needs, at the right time and the place of their choosing, BIL will be able to distinguish itself from its competitors and to win back market share. 10 BIL Annual Report 2012

12 Risk Management 1. Introduction 1.1. Key events The Dexia group s disposal of BIL had a major impact on the Risk Management support line. Indeed, the Dexia group Risk Management organisation was based on expertise centres upon which subsidiaries could rely, in accordance with Service Level Agreements (SLAs) concluded in As a result, BIL had to take over all the functions, tools and processes concerned in order to put in place a Risk Management structure enabling the Bank to continue applying the A-IRB approach and to deal with the implementation of the new Basel III rules. The transition has been carried out progressively, by temporarily maintaining some SLAs, making it possible to put into place a solid Risk Management structure at BIL group level. Following this reorganisation, a new risk business line, Strategic Risk Analytics (SRA), was created in SRA implements the Basel II requirements for credit risk: Pillar 1 (modelling and model management of internal rating systems, control of bank process integration, regulatory reporting); Pillar 2 (establishment and assessment of the risk cartography, building the Internal Capital Adequacy Assessment Process, proposal and monitoring of key indicators of risk appetite), proposing stress test scenarios and presenting the results to the Bank s management; and the Pillar 3 disclosures. Moreover, the department maintains a regulatory watch on subjects related to Risk Management. As of December 31, 2012, almost all the SLAs have been terminated and BIL oversees an efficient and independent management of its risks Basel framework (Pillar 1, Pillar 2 and Pillar 3) Basel II refers to the revision of the 1988 regulatory framework defining the capital requirements for banking institutions. The main objectives of the capital agreement ("Basel II framework") put in place by the Basel Committee on Banking Supervision are to improve the regulatory framework in order to: further strengthen the soundness and stability of the international banking system; promote the adoption of stronger risk management practices by the banking industry; prevent any competitive regulatory inequality among internationally active banks. To achieve these objectives, the Basel framework is based on three pillars: The first pillar minimum capital requirements defines how banking institutions calculate their regulatory capital requirements in order to cover credit, market and operational risks. The second pillar supervisory review provides national regulators with a framework to help them in assessing the adequacy of Banks internal capital for covering credit risk, market risk and operational risk, but also other risks not identified in the first pillar, such as concentration risk. The third pillar market discipline encourages market discipline by developing a set of qualitative and quantitative disclosures allowing market participants to make a better assessment of capital, risk exposure, risk assessment processes, and hence the capital adequacy of the institution. BIL will publish the Pillar 3 document every year on its internet site Changes in the regulatory framework (from Basel 2.5 to Basel 3) The BIL group has implemented all the measures associated with Basel II regulations and the associated European directives (i.e. Capital Requirements Directives or CRD II & III). Since January 1, 2008, BIL has been using the Advanced Internal Rating Based Approach (AIRBA) to calculate its capital adequacy and solvency ratios. These methodologies were inherited from the Dexia group, following the group s dismantling in Credit, market and operational risk teams as well as model management teams have been strengthened to be able to independently manage and measure BIL s risks. BIL is also closely monitoring Basel III developments and the developments of these issues at the European level (i.e. CRR / CRD IV). This results in implementing a specific project structure where risk and finance teams are actively involved. The first estimates of the Basel III measures impact on the Bank were produced for the closing of the deal between Precision Capital, the Grand Duchy of Luxembourg and Dexia group on October 5, This results in a strong Tier 1 common equity ratio of 9 % under the Basel III framework. The other aspects of the Basel III reform are also monitored closely by the project structure and are expected to be implemented progressively in IT systems during 2013 (i.e. Liquidity, Credit Value Adjustment (CVA), Asset Value Correlation (AVC), etc.) BIL Annual Report

13 2. Risk Management missions, organisation and governance 2.1. Missions The main missions of the risk support line are: To ensure that all risks are under control by detecting, identifying and addressing emerging risks. Risk Management puts in place independent and integrated risk measures, and sets limits for material risks; To ensure risk oversight by developing general risk policies and procedures under the supervision of the Management Board and managing the function of risk monitoring and decision-making processes; To propose and implement the Bank s risk appetite, i.e. the level of risk the Bank is ready to take, in order to achieve its strategic and financial objectives, and to translate risk appetite into a series of ratios, which define risk limits to be respected; To ensure compliance with banking regulation requirements by submitting regular reports to the CSSF, participating in regulatory discussions and analysing all new requirements related to Risk Management that could affect the Bank s activities (a regulatory watch) Organisation To reflect a sound management of risk and develop an integrated risk culture, the Bank set up an effective Risk Management organisation, adequate to its activities, and encompassing the relevant risks associated with the activities. The functions of Chief Risk Officer ("CRO") are carried out by an executive management member. The overall Risk Management framework is under the CRO s responsibility, and the CRO is responsible for providing any relevant information on risks to the executive management, enabling the capture and management of the Bank s overall risk profile. Three departments run the overall Risk Management framework and processes: Credit Risk Management: the department implements the credit risk framework and processes. Credit Risk Management covers the process, including granting of loans, counterpart analyses and scoring, credit exposure follow-up, processing defaults. The Credit Management framework is set out under the Credit Policy: "Manuel des Politiques et des Procédures de Crédit" (MPPC - Loan Policy and Procedures Manual). Financial & Operational Risk Management: the department implements the frameworks and processes associated with market risk, counterpart risk and operational risk. The department is in charge of implementing the market internal model, making sure that the requirements are reached. The framework is set out under the market risk policy and a set of guidelines by desk in Treasury and Financial Markets. Moreover, the department is responsible for operational risk management, covered by the Global Operational Risk Policy. Furthermore, the department also covers corporate information security, governed by a set of procedures ("notes de service") and the implementation and coordination of the business continuity plans within the Bank. Strategic Risk Analytics: the department implements Basel II requirements for credit risk: Pillar 1 (modelling and model management of internal rating systems, control of the Bank process integration, and regulatory reporting); Pillar 2 (establishment and assessment of the risk cartography, building the Internal Capital Adequacy Assessment Process (ICAAP) to be approved and owned by the Board of Directors and executive management, monitoring of the adequacy of the risks associated with the Bank s processes, and the proposal and monitoring of key indicators of risk appetite, with that appetite determined by the Board of Directors), proposing stress test scenarios and presenting the results to the Bank s management; with Pillar 3 being disclosure. Moreover, the department maintains a risk regulatory watch. Client risk management is also part of the functions of this department. All these activities are governed by a set of policies, guidelines and procedures, and formalised committees Governance Each of the previously described departments ensures that the CRO and executive management have an accurate understanding of every type of risk within the Bank, and are aware of major issues concerning sources of risk within the Bank (or any major potential risk). Each of these departments is involved in risk governance and is responsible for defining policies, guidelines and procedures encompassing risks within its scope. The Management Board ensures, by and large, that risk taking and Risk Management standards comply with the principles and targets set by the Board of Directors. Risk Management committees do not relieve the Board of Directors or Management Board of the general supervision of the Bank s operations and risks. They have very specific remits and help to develop and implement good governance and decision-making practices. The Board Risk Committee is a specialised committee supporting the Board of Directors on subjects related to risk. Among its roles, the Board Risk Committee reviews and recommends the BIL group 12 BIL Annual Report 2012

14 Risk Management framework and the global risk limits and capital allocation to the Board of Directors; reviews the global BIL group risk exposure, major Risk Management issues and capital adequacy requirements covering all the group s risks; reviews, assesses and discusses annually with the independent auditor any significant risk or exposure and relevant risk assessments; and reports to the Board of Directors on a regular basis and makes such recommendations with respect to any of the above or other matters. Risk committees are constituted and receive their mandate from executive management within a precise and defined scope. They facilitate the development and implementation of sound practices of governance and decisions. They are described in more detail hereinafter. 3. Credit risk 3.1. Definition Credit risk represents the potential loss (reduction in value of an asset or payment default) that BIL may incur as a result of deterioration in the solvency of any counterpart Risk Policy BIL s Risk Management department has established a general policy and procedure framework in line with the Bank s risk appetite. This framework guides the management of credit risk from an analysis, decision-making and risk monitoring perspective. The Risk Management department manages the loan issuance process by delegating, within the limits set by the Bank s management, and by chairing credit and risk committees. As part of its credit risk monitoring tasks, Credit Risk Management supervises changes in its portfolios credit risks by regularly analysing loan applications and by reviewing ratings. The Risk Management department also draws up and implements the policy on provisions, decides on specific provisions, and assesses defaults Organisation and Governance BIL s Risk Management department oversees the Bank s credit risk, under the supervision of the Management Board and specialist committees. The Risk Policy Committee defines the general risk policies, as well as specific credit policies in different areas or for certain types of counterpart, and sets up the rules for granting loans, supervising counterpart rating and monitoring exposures. The Risk Policy Committee validates all changes in procedures or risk policy, internal rating systems, and principles and methods of calculation referring to risk. To streamline the decision-making process, the Management Board delegates its decision-making authority to credit committees or joint powers. This delegation is based on specific rules, which depend on the counterpart s category, rating level and credit risk exposure. The Board of Directors remains the ultimate decision-making body for the largest loan applications or those presenting a level of risk deemed to be significant. The Credit Risk Management department carries out an independent analysis of each application presented to the credit committees, determining the counterpart s rating, and stating the main risk indicators; it also carries out a qualitative analysis of the transaction. Alongside supervision of the issuance process, different committees are tasked with overseeing specific risks. The Default Committee identifies and tracks counterparts in default, in accordance with Basel II regulations by applying the rules in force at BIL, determines the amount of allocated provisions and monitors the cost of risk. The same committee supervises assets deemed "sensitive" and placed under surveillance by being filed as "Special Mention" or put on "Watchlists". The Rating Committee ensures that the internal rating systems are correctly applied and that rating processes meet predefined standards Risk Measurement Credit risk measurement is primarily based on internal systems introduced pursuant to Basel II. Each counterpart is assigned an internal rating by the credit risk analysts, using dedicated rating tools. This internal rating corresponds to an evaluation of the level of default risk presented by the counterpart, expressed by means of an internal rating scale. It is a key factor in the loan issuance process. Ratings are reviewed at least once a year, making it possible to identify counterparts requiring the close attention of the Default Committee. To control the general credit risk profile and limit concentration of risk, credit risk limits are set for each counterpart, establishing the maximum acceptable level for each one. Limits by economic sector and by product may also be imposed by the Risk Management department. The latter actively monitors limits, which it can reduce at any time, in light of changes in related risks. The Risk Management department may freeze specific limits at any time to take the latest events into account. BIL Annual Report

15 3.5. Risk Exposure Exposure by geographic region as at December 31, 2012 Individuals, SME & Self Employed % Credit risk exposure includes: The net carrying value of balance sheet assets other than derivative products (i.e the carrying value after deduction of specific provisions); The mark-to-market valuation of derivative products; Total Others off-balance sheet commitments. The total commitment Financial 0.19 % Central Institutions Governments corresponds to unused lines of liquidity or to the maximum 5.58 % % amount that BIL is committed to as a result of guarantees issued to third parties. The substitution principle applies where the credit risk exposure is guaranteed by a third party whose risk weighting is less. Therefore, counterparts presented hereafter are final counterparts, i.e. after taking into account the eligible guarantees. Public Sector The Bank s total credit risk exposure amounted Entities to billion 4.19 % as at December 31, Project Finance Corporate % 0.56 % Exposure by type of counterpart as at December 31, 2012 The transfer of the legacy portfolio to Dexia Crédit Local (DCL), mainly concentrated on financial institutions, and the constitution of the new Assets & Liabilities Management (ALM) portfolio, more BB+ government to BB- bond-oriented, sharply modified 8.72 % the exposure breakdown. Indeed, the proportion of central B+ to B- government counterparts increased % to % at year-end 2012 as against 8.43 % at year-end 2011; the proportion of financial institutions decreased to 5.58 CCC % at year-end % against % at year-end The central government D1 & D % exposure increase is also due to a 3 billion deposit at the Swiss Not rated Central Bank % BBB+ to BBB % As at December 31, 2012, the Bank s exposure continued to be mainly concentrated in Europe (97.74 %, EUR 19.3 billion): primarily in Luxembourg (48.16 %), France (9.36 %) and Belgium (6.02 %). Others 1.68 % Other EU Countries 9.83 % Individuals, SME & Self Employed % Rest of Europe % United States and Canada 0.59 % Belgium 6.02 % France 9.36 % Luxembourg % Germany 4.34 % Exposure by internal rating as at December 31, 2012 As at December 31, 2012, Project % of the Corporate Bank s exposure is Finance % AAA-rated (compared Client to 7.40 Products 0.56 % Damage % as at todecember 31, 2011). More & Business Assets & Public than a half is rated in Practices the range Safety [AAA-A]. The proportion of "not 4 % 1 % rated" exposure decreased to 1.37 % at year-end 2012 against 2.40 % at Internal year-end Fraud % Others Financial 0.19 % Institutions 5.58 % BBB+ to BBB % BB+ to BB % Central Governments % B+ to B % Public Sector Entities 4.19 % A+ to A % Individuals, SME & Self Employed % Others Financial 0.19 % Institutions 5.58 % AA+ to AA % AAA+ to AAA % Central Governments % External Fraud 13 % A+ to A % Others 1.68 % Rest of Europe % AA+ to AA- Other EU 1.69 % Countries AAA+ to AAA % % United States and Canada CCC 0.59 % Belgium 1.71 % 6.02 % D1 & D % France Not rated 9.36 % 1.37 % Information Technology 1 % Execution, Delivery & Process Management 62 % Germany 4.34 % Public Sector Entities 4.19 % Project Finance 0.56 % Corporate % Luxembourg % 14 BIL Annual Report 2012 BB+ to BB % Client Products & Business Practices 4 % Damage to Assets & Public Safety 1 % BBB+ to BBB % B+ to B % Internal Fraud 19 %

16 Exposure to PIIGS at December 31, 2012 Breakdown of the government bond portfolio for sensitive European countries at December 31, 2012 (in EUR millions) MCRE 4 Total o / w banking o / w trading Italy Ireland Spain Greece Portugal Large exposures At the request of the Bank, the CSSF has granted a total exemption for its exposure towards its subsidiaries (BIL group) and towards its sister company (KBL European Private Bankers SA) and its subsidiaries in the calculation of large exposure limits, in accordance with Part XVI, point 24 of Circular 06 / 273, as amended. The amount of exposure covered by this exemption is 3.3 million as at December 31, This exemption was granted on November 22, Asset quality The Bank s impaired loans amounted to million as at December 31, 2012, i.e. a year-on-year increase of 10.6 million, which led to a worsening of the asset quality ratio (2.76 % in 2012 against 2.67 % in 2011). The portfolio provisions (+11.7 million) increased faster than the amount of impaired loans: the coverage ratio rose to %. (in EUR millions) 31/12/11 31/12/12 Gross amount of non impaired loans 9, , Impaired loans to customers Specific provisions Asset quality ratio % 2.76 % Coverage ratio % % 1 Impaired loans as a percentage of total loans outstanding. 2 The coverage ratio measures specific provisions recognised for loans and receivables in relation to total outstanding impaired loans and advances to customers. 4. Market risk, Assets & Liabilities Management (ALM) 4.1. Definitions Market risk is the risk of losses in positions arising from adverse movements in market prices. It mainly comprises interest-rate risk, equity price risk and foreign exchange risk. The interest-rate risk consists of a general interest-rate risk resulting from market development and a specific interestrate risk (credit spread) linked to the issuer. The latter arises from variations in the spread of a specific signature within a rating class. The risk associated with the equity price represents the risk arising from the reduction in value of equity. As for the foreign exchange risk, this represents the potential decrease of the value due to currency exchange rate movements. Assets & Liabilities Management covers all the structural risks of the banking book, namely interest-rate risk, foreign exchange risk and liquidity risk. Liquidity risk measures BIL s ability to meet its current and future liquidity requirements, both expected and unexpected, and whether the situation deteriorates Risk Policy For integrated market and ALM risk management, BIL defines a framework based on the following: An exhaustive risk measurement approach, which is an important part of BIL s risk profile monitoring and control process; A firm set of limits and procedures governing risk-taking; The system of limits must be consistent with the whole risk measurement and management process, and be proportionate to the capital position. These limits are integrated and set for the broadest possible scope; and An efficient Risk Management structure for identifying, measuring, monitoring, controlling and reporting risks: BIL s development of a general Risk Management framework is suited to the type of challenges it faces. This approach offers assurance that market risks have been managed in accordance with BIL s objectives and strategy, and within general risk appetite. 4 MCRE = Maximum Credit Risk Exposure. BIL Annual Report

17 4.3. Organisation and Governance Financial Risk Management (FRM) oversees market risk under the supervision of the Management Board and specialist risk committees. FRM is a support line integrated into the Risk Department. On the basis of its global risk management approach, it is responsible for identifying, analysing, monitoring and reporting on risks and results (including the valuation of assets) associated with financial market activities. The policies, directives and procedures documenting and governing each of the activities are defined within BIL and applied to all the Bank s entities. Head Office FRM teams define risk measurement methods for the whole group, report and monitor the risks of the activities they are responsible for, at a consolidated level. Head Office and local FRM teams follow day-to-day activity, implement policies and directives, monitor risks (calculation of risk indicators, control limits and triggers, frame new activities / new products and so on) and report to their own Management Board, as well as to local supervisory and regulatory bodies. The ALM Committee decides on the structural balance sheet positioning regarding rates, foreign exchange and liquidity. It defines and revises market risk limits. FRM, in its day-to-day activity, is supported by two operational committees: The MOC (Monthly Operational Committee) and the CRO&NP (Operational Risk and New Products Committee), which are detailed in part Risk Measurement and exposures Market Risk Risk measurement The Bank has adopted sensitivity and Value-at-Risk (VaR) measurement methodologies as key risk indicators. Risk sensitivity measurements reflect the balance sheet exposure to a parallel movement of 1 % on the rate curve. VaR measures the maximal expected potential loss that can be experienced with a 99 % confidence interval, within a 10 day holding period. BIL applies multiple VaR approaches to accurately measure the market risk inherent in the different portfolios and activities. General interest-rate risk and currency risk are measured through a parametric VaR. Trading portfolio equity risk is measured through a historical VaR. Non-linear risks are measured through a historical VaR, for a better evaluation of the exposure to market volatility. Specific interest-rate risk (spread risk) was measured through a historical VaR until September 30, Since this date, the specific interest-rate risk (spread risk) is measured through sensitivities. The Bank applies the internal VaR model to calculate the regulatory capital requirement for the general interest-rate risk and currency risk within trading activities. As a complement to VaR measures and income statement triggers, the Bank applies a broad range of other measures aimed at assessing risks associated with the different business lines and portfolios (nominal limits, maturity limits, markets limits, sensitivity to different risk factors and so on.) In 2012, hypothetical back-testing did not reveal any downward exceptions for interest-rate and currency risks (internal model), testifying to the quality of the tools in place. Stress testing is intended to explore a range of low probability events that lie outside the predictive capacity of VaR measurement techniques. As such, VaR measures evaluate market risk in a daily market environment, while stress testing measures risks in a distorted market environment. stress tests results and their analysis are presented to the Management Board each quarter. Risk exposure The detailed IR&FX VaR use of market activities (ALM portfolio not included) is disclosed in the table below. The average Value at Risk was 1.94 million in 2012, against 1.64 million in 2011, for BIL. 16 BIL Annual Report 2012

18 Var (10 days, 99 %) (in EUR millions) By Risk factor Global Var (10 days, 99 %) (in EUR millions) By Risk factor Global Treasury Investment Portfolio After the sale of the Bank to its new shareholders, and consequently the sale of the legacy portfolio, BIL had to build a new investment portfolio, split between Treasury and ALM activity. The Treasury bonds portfolio amounted to 0.86 billion as at December 31, The interest-rate risk is managed by the Treasury department and limited with a VaR limit. Accounting-wise, the Treasury bonds portfolio is classified in Available for Sale (AFS). The bpv (basis point value) sensitivity to interest-rate amounted to million. The bpv (basis point value) sensitivity to credit spread amounted to million. ALM Risk measurement Interest-rate The role of ALM in terms of interest-rate risk management consists in reducing the volatility of the statement of income, thereby safeguarding the gross margin generated by the business lines. The sensitivity of the net present value of ALM positions to a change in interest-rates is currently used as the main indicator for setting limits and monitoring risks IR 1 & FX 2 (Trading and Banking 3 ) EQT 4 Trading Spread Trading T1 T2 T3 T4 T1 T2 T3 T4 T1 T2 T3 T4 Average Maximum Average 1.64 Maximum 4.03 End of period 1.81 Limit IR 1 & FX 2 (Trading and Banking 3 ) EQT 4 Trading Spread Trading 5 T1 T2 T3 T4 T1 T2 T3 T4 T1 T2 T3 T4 Average Maximum Average 1.94 Maximum 7.67 End of period Limit 6.00 BIL s interest-rate risk is concentrated on European long-term interest-rates and results from the structural imbalance between BIL s assets and liabilities. Credit spread Credit spread risk is defined as the specific interest-rate risk attached to an issuer. It is due to spread variations for a given issuer within a rating class and is measured on the basis of sensitivity expressed in basis points. Equities The equity portfolio size being limited, the sensitivity to equities is low. (Structural) Foreign exchange Although BIL s reporting currency is the euro, assets, liabilities, income and expenses may also be denominated in other currencies. The ALM Committee evaluates the opportunity of hedging the risk associated with the development of these results in foreign currencies. The structural risks of financing shares (equity) in foreign currencies as well as the volatility of the Bank s solvency ratio are also monitored regularly. 1 IR: interest-rate. 2 FX: foreign exchange. 3 IR & FX: excluding Assets & Liabilities Management (ALM). 4 EQT: equity. 5 Spread Trading VaR calculated up to 30/09/12. BIL Annual Report

19 Risk exposure ALM exposure to interest-rate risk (sensitivity) As at December 31, 2012, long-term ALM sensitivity amounted to -120 million (versus +41 million as at December 31, 2011). This development is due to the creation of the new ALM portfolio. The limit of interest-rate sensitivity was 190 million (in absolute value) per percent as at December 31, 2012 (versus 70 million as at December 31, 2011). ALM exposure to credit spread risk ALM manages bond portfolios with a total nominal exposure of 2.3 billion as at December 31, As far as the ALM AFSclassified bonds portfolio is concerned, the sensitivity of fair value (and the AFS reserve), to a one basis point widening of the spread, was -1.9 million (compared with million per basis point as at December 31, 2011). ALM Equity Exposure (quoted shares) The equity portfolio size being limited, the sensitivity to equities is low. Liquidity The liquidity management process is based on covering the funding requirements with available liquidity reserves. Funding requirements are assessed prudently, dynamically and comprehensively by taking existing and planned on- and off- Assets & Liabilities transactions into consideration; reserves are constituted with assets eligible for refinancing with central banks to which BIL has access (European Central Bank). Regular information channels have been established for management bodies. A daily report is sent to the CEO, the CRO, ALM Committee members, Risk Management, Cash & Liquidity Management and TFM teams. An analysis of the balance sheet evolution (customer deposits, etc.) is presented and commented upon during the ALM Committee. Risk measurement The internal liquidity management framework includes indicators enabling the assessment of BIL s resistance to liquidity risk. These indicators include liquidity ratios, which compare liquidity reserves to liquidity deficits. All these indicators are assessed according to different scenarios, in the main currencies. These ratios are sent to the CSSF and to the BCL respectively on a daily and a weekly basis. Risk exposure BIL s disposal led to a decrease of the Bank's balance sheet and a modification of its structure: Share disposal and transfer of the legacy portfolio to Dexia Crédit Local (DCL), of which part was not central bank eligible, increased the Bank s liquidity situation; The Bank s cash collateral (on derivatives) shifted from a payer position to a receiver position, thanks to mirror swaps that BIL had placed with DCL for disposed-of legacy assets; and Dexia LdG Banque SA (DLG) disposal led to an early closing of the intercompany's operations between BIL and DLG (on assets and liabilities). Due to the combination of these factors, as of the closing of the deal, BIL was able to present a significant liquidity surplus. After the deal closed, BIL started to invest the excess cash into a new bonds portfolio. This portfolio will be composed of central bank eligible bonds, and will be compliant with the future Basel III liquidity requirements, i.e. the Liquidity Coverage Ratio (LCR) and the Net Stable Funding ratio (NFSR). These ratios are already respected. Therefore this portfolio also serves as a liquidity cushion for the Bank. BIL s cash position has also improved during the year, generating a surplus of cash. This improvement came from two developments, on one hand an increase in client deposits, and on the other hand, a moderate growth in the loan portfolio. This evolution has strengthened the robustness of the Bank s liquidity position. Additional funding needed to reach 100 % base-case ratio (in EUR millions) -6,000-5,000-4,000-3,000-2,000-1,000 0 Dec.11 Jan.12 Feb.12 Mar.12 Apr.12 May 12 June 12 The negative amount of additional funding needed to reach 100 % base-case ratio shows that the bank presents a surplus of liquidity situation. July 12 Aug.12 Sept.12 Oct.12 Nov.12 Dec BIL Annual Report 2012

20 Individuals, SME & Self Employed % A+ to A % 5. Operational risk 5.1. Definition Operational risk is the risk of direct or indirect losses resulting from the unsuitability or failure of internal processes, staff or systems, or due to external events. This definition includes legal risk, but excludes strategic risk. It also excludes losses resulting from commercial decisions Risk Policy BIL s operational risk management policy consists of identifying and regularly assessing the existing risks and current controls Others in Financial order 0.19 to % check that the acceptance Central level defined per activity Institutions Governments is 5.58 respected. % If not, adequate governance % in place must lead to rapid corrective or improvement actions permitting a return to an acceptable situation. This framework is implemented by a prevention policy, particularly with regard to information security, business continuity and, whenever it is necessary, by the transfer of certain risks through insurance. In terms of information security, including business continuity management, BIL s Management Board has validated and implemented an Information Security Policy. Public Sector This document and Entities its related instructions, standards and practices 4.19 % are aimed at securing BIL s information assets. Project Finance 0.56 % Corporate % 5.3. Organisation and governance BIL s operational risk management framework relies on strong governance with clearly defined roles and responsibilities. BB+ to BB- The following committees 8.72 % are responsible for operational risk at BIL: B+ to B- The Operational Risk and New Products % Committee (OR&NPC) is in charge of supervising operational risks at BIL, its subsidiaries and branches. To this end, CCC the committee takes 1.71 % decisions on risks that have been identified D1 & D2 and analysed, as 2.16 % well as on suitable measures to be taken Not rated in order to improve 1.37 % processes and monitors any action taken. It approves Risk & Control Self-Assessments. It also supervises launches of new products and examines their operational aspects, taking decisions on any project that could have an operational impact on BIL activities. The Monthly Operational Committee (MOC), part of the TFM business line, supervises BIL s TFM projects and operational risks, % takes decisions in terms of tackling day-to-day problems and monitors other risks related to TFM Luxembourg s activities. BBB+ to BBB % AA+ to AA % AAA+ to AAA- The Security Committee (SC) is mandated by the Management Board to oversee the risks to BIL s information security and to that of its subsidiaries, as well as all risks of the loss of confidentiality, the availability, or the integrity of the Bank s information assets. It is also in charge of overseeing security incidents involving BIL, taking decisions on any project with the potential to have an impact on the security of BIL s information assets and ensuring that the implementation and support of a global Business Continuity Plan (BCP) follows the strategy defined by the BIL Management Committee Risk measurement and management The operational risk framework relies on the following elements. United States and Canada 0.59 % Belgium Operational Risk Event Data Collection 6.02 % France 9.36 % According to the Basel Committee, the systematic recording and Germany monitoring of operational incidents is a fundamental 4.34 aspect % of risk management: "historical data on banking losses may provide Others 1.68 % significant information for assessing the Bank s operational risk exposure and establishing a policy to limit / manage risk". Other EU Rest of Europe % Regardless Countries of the approach used to calculate capital (standard 9.83 % or Advanced Measurement Approach), data collection is required. Having a relevant procedure in place ensures that BIL complies with the Basel Committee s requirements. At the same time, recording incidents provides information Luxembourgthat may % be used to improve the internal control system and determine the operational risk profile. The breakdown of the total amount of losses by nature of incident for continuing activities is displayed in the chart below: External Fraud 13 % Internal Fraud 19 % Client Products & Business Practices 4 % Damage to Assets & Public Safety 1 % Information Technology 1 % Execution, Delivery & Process Management 62 % BIL Annual Report

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