2020 Universal registration document and annual financial report - BNP PARIBAS350

5 risks and CaPital adequaCy Pillar 3

5

Credit risk

CREDIT RISK DIVERSIFICATION

The Group s gross exposure to credit risk stands at EUR 1,783 billion at 31 December 2020, a strong increase compared to 31 December 2019 with EUR 1,581 billion. This increase is mainly driven by the increase in the volumes of liquidity invested in European central banks. This portfolio, which is analysed below in terms of its diversification, comprises all exposures to credit risk shown in Table 25, excluding equity exposures under the simple weighting method, shown in the section Credit risk: equities under the simple weighting method.

These exposure amounts are based on the gross carrying value of the financial assets. They do not include collateral taken by the Group in its normal credit risk management operations (see section Credit risk mitigation techniques).

No single counterparty gives rise to an excessive concentration of credit risk, due to the size of the business and the high level of industrial and geographical diversification of the client base. The breakdown of credit risks by industry and by region is presented in the tables hereafter.

This risk is mainly assessed through the monitoring of the indicators shown below.

SINGLE NAME CONCENTRATION The single name concentration risk of the portfolio is subject to regular monitoring. It is assessed on the basis of the total commitments at client or business group level and is based on two types of monitoring:

Monitoring of large exposures

Article 395 of Regulation (EU) No. 575/2013 of 26 June 2013 establishes a limit of 25% of the bank s capital for exposure by business group (after exemptions and taking credit risk mitigation techniques into account).

BNP Paribas is well below the concentration thresholds set by this regulation. The exposure (as defined above) of a client or a group of connected clients never exceeds 10% of the Bank s eligible capital.

Monitoring through individual single name concentration policies

The single name concentration risks are part of the Group s concentration policies. They are meant to identify and closely monitor any single business group with an excessive concentration of risk to proactively manage individual concentrations relative to the Group s Risk Appetite Statement.