Universal registration document and annual financial report 2020

2020 Universal registration document and annual financial report - BNP PARIBAS366

5 risks and CaPital adequaCy Pillar 3

Credit risk

The following two tables present an overview of the performance of models for regulatory risk parameters (PD and LGD) within the context of the Group s IRBA scope, using the following indicators:

■ arithmetical average of the PD: average probability of default of performing loans weighted by the number of number of obligors in the portfolio in question;

■ historic average default rates: average annual default rate (number of obligors defaulting during a financial year relative to the number of

performing obligors at the end of the previous year) observed over a long historical period (see Table 32: Main models: PD);

■ arithmetical average of the estimated LGD: average rate of loss in the event of default weighted by the number of obligors or by the amount of EAD depending on the portfolio in question;

■ arithmetical average of the historic LGD observed: the rate of loss in the event of default observed over a long historical period (see Table 32: Main models: LGD).

➤ TABLE 33: BACKTESTING OF PD (EU CR9)

Portfolio BNP Paribas

rating

Issuer s long-term

credit rating PD range

2019

Arithmetical average PD

Number of non-defaulted obligors at the

beginning of the exercise

Number of defaults

among the non-defaulted obligors at the

beginning of the exercise

Historic average

default rates Sovereigns and public sector entities

1+ to 3- AAA to BBB+ 0.00 to 0.11% 0.03% 113 - 0.00%

4+ to 5- BBB to BBB- 0.11 to 0.58% 0.27% 84 - 0.38%

6+ to 8- BB+ to B+ 0.58 to 8.76% 3.33% 37 - 0.28%

9+ to 10- B to C 8.76 to < 100% 14.13% 5 - 3.34% Institutions(*) 1+ to 3- AAA to BBB+ 0.00 to 0.11% 0.05% 1,375 - 0.06%

4+ to 5- BBB to BBB- 0.11 to 0.58% 0.24% 972 3 0.17%

6+ to 8- BB+ to B+ 0.58 to 8.76% 2.42% 1,004 1 0.30%

9+ to 10- B to C 8.76 to < 100% 14.21% 36 1 1.73%

Large corporates(**) 1+ to 3- AAA to BBB+ 0.00 to 0.11% 0.06% 2,572 - 0.06%

4+ to 5- BBB to BBB- 0.11 to 0.58% 0.27% 5,568 4 0.14%

6+ to 8- BB+ to B+ 0.58 to 8.76% 2.70% 7,344 49 0.88%

9+ to 10- B to C 8.76 to < 100% 15.30% 458 43 11.93%

Individuals 1+ to 3- AAA to BBB+ 0.00 to 0.11% 0.06% 2,858,841 2,948 0.05%

4+ to 5- BBB to BBB- 0.11 to 0.58% 0.32% 1,654,128 6,339 0.25%

6+ to 8- BB+ to B+ 0.58 to 8.76% 2.12% 1,552,679 33,557 1.83%

9+ to 10- B to C 8.76 to < 100% 19.97% 85,173 17,931 18.64%

Professionals & SME retail 1+ to 3- AAA to BBB+ 0.00 to 0.11% 0.09% 86,474 122 0.07%

4+ to 5- BBB to BBB- 0.11 to 0.58% 0.35% 256,038 1,092 0.29%

6+ to 8- BB+ to B+ 0.58 to 8.76% 2.39% 344,208 7,254 1.96%

9+ to 10- B to C 8.76 to < 100% 19.72% 47,012 7,854 16.54%

SME corporate 1+ to 3- AAA to BBB+ 0.00 to 0.11% 0.08% 877 - 0.07%

4+ to 5- BBB to BBB- 0.11 to 0.58% 0.34% 35,868 59 0.24%

6+ to 8- BB+ to B+ 0.58 to 8.76% 2.05% 58,179 690 1.50%

9+ to 10- B to C 8.76 to < 100% 10.62% 12,580 717 8.86%

(*) Corresponds to Financial institutions and Insurance. (**) Corresponds to Large corporates, Real Estate non-retail in France and Specialised financing.