2020 Universal registration document and annual financial report - BNP PARIBAS368

5 risks and CaPital adequaCy Pillar 3

5

Credit risk

➤ FIGURE 8: IRBA EXPOSURE BY PD RANGE SOVEREIGN, FINANCIAL INSTITUTION, CORPORATE AND SPECIALISED FINANCING PORTFOLIOS

% of exposure

10 to < 1002.5 to < 100.75 to < 2.500.50 to < 0.750.25 to < 0.500.15 to < 0.250.00 to < 0.15

31 December 2020 31 December 2019

0%

10%

20%

30%

40%

50%

60%

70%

PD range (%)

SOVEREIGN, FINANCIAL INSTITUTION, CORPORATE AND SPECIALISED FINANCING PORTFOLIOS The following table presents the breakdown by PD range of loans and commitments for the asset classes: Central governments and central banks, Institutions and Corporates for all the Group s business lines using the advanced IRB Approach. This exposure represented EUR 1,085 billion at 31 December 2020, including EUR 1,072 billion of non-defaulted loans and EUR 13 billion of defaulted loans, compared with EUR 882 billion at 31 December 2019, including EUR 870 billion of non-defaulted loans and EUR 12 billion of defaulted loans.

The table also gives the weighted averages of the main risk parameters in the Basel framework:

■ average probability of default weighted by exposure at default: average PD(1);

■ weighted average of Credit Conversion Factor (CCF) for off-balance sheet items: average CCF(2);

■ average Loss Given Default weighted by exposure at default: average LGD(3);

■ average of residual maturities (in years) weighted by the exposure at default: average maturity.

The average risk weight (average RW) is defined as the ratio between risk-weighted assets and the exposure at default (EAD), resulting from the parameters defined above.

The column Expected loss presents the expected loss at a one-year horizon.

(1) Average PD: Probability of Default average probability of default weighted by exposure at default.

(2) Average CCF: Credit Conversion Factor ratio of exposure at default to off-balance sheet exposure.

(3) Average LGD: Loss Given Default average Loss Given Default weighted by exposure at default.