2020 Universal registration document and annual financial report - BNP PARIBAS 369

5risks and CaPital adequaCy Pillar 3

5

Credit risk

➤ TABLE 35: IRBA EXPOSURE BY PD SCALE AND ASSET CLASS SOVEREIGN, FINANCIAL INSTITUTION, CORPORATE AND SPECIALISED FINANCING PORTFOLIOS (EU CR6)

In millions of euros PD range

31 December 2020

Balance sheet

exposure

Off- balance

sheet exposure

Total exposure

Average off-

balance sheet

CCF EAD Average

PD Number of

obligors Average

LGD

Average residual maturity RWAs(*)

Average RW(*)

Expec- ted

Loss(**) Provi-

sions(**)

Central governments and central banks

0.00 to < 0.15% 420,686 1,389 422,075 53% 422,021 0.01% 100 to 1,000 1% 2 1,861 0% 2

0.15 to < 0.25% 1,230 10 1,240 35% 1,234 0.19% 0 to 100 13% 3 164 13% 0 0.25 to < 0.50% 1,822 251 2,073 55% 1,960 0.29% 0 to 100 23% 2 513 26% 1 0.50 to < 0.75% 1,223 665 1,888 55% 1,589 0.69% 0 to 100 15% 2 434 27% 2 0.75 to < 2.50% 449 11 460 31% 452 1.33% 0 to 100 23% 2 202 45% 1 2.50 to < 10.0% 333 182 515 55% 433 4.48% 0 to 100 2% 3 37 8% 0 10.0 to < 100% 497 279 776 55% 650 14.53% 0 to 100 10% 3 349 54% 13 100% (default) 52 4 56 55% 54 100.00% 0 to 100 2 0 0% 9

SUB-TOTAL 426,292 2,791 429,083 54% 428,393 0.06% 2% 2 3,559 1% 29 (26) Institutions

0.00 to < 0.15% 25,194 17,831 43,025 48% 33,837 0.05% 1,000 to

10,000 18% 3 3,841 11% 4

0.15 to < 0.25% 1,406 1,719 3,125 51% 2,276 0.18% 100 to 1,000 37% 2 1,016 45% 2

0.25 to < 0.50% 1,904 862 2,766 45% 2,301 0.34% 100 to 1,000 26% 2 856 37% 2

0.50 to < 0.75% 653 352 1,005 35% 780 0.66% 100 to 1,000 14% 3 250 32% 1

0.75 to < 2.50% 1,483 558 2,041 46% 1,746 1.26% 100 to 1,000 31% 2 877 50% 7

2.50 to < 10.0% 366 1,020 1,385 38% 753 3.81% 100 to 1,000 31% 3 4,021 534% 8

10.0 to < 100% 20 89 109 60% 74 21.06% 0 to 100 39% 1 157 212% 6 100% (default) 284 - 284 27% 284 100.00% 0 to 100 3 14 5% 246

SUB-TOTAL 31,309 22,431 53,740 48% 42,050 0.91% 20% 2 11,032 26% 275 (311) Corporates

0.00 to < 0.15% 63,418 147,440 210,858 49% 136,423 0.07% 10,000 to

20,000 36% 2 28,633 21% 37

0.15 to < 0.25% 48,526 39,658 88,184 43% 65,741 0.17% 10,000 to

20,000 36% 2 22,015 33% 41

0.25 to < 0.50% 51,247 38,002 89,249 46% 69,180 0.35% 30,000 to

40,000 31% 3 29,063 42% 73

0.50 to < 0.75% 21,763 22,531 44,293 36% 30,013 0.68% 20,000 to

30,000 25% 3 14,104 47% 51

0.75 to < 2.50% 49,919 25,892 75,811 43% 61,446 1.36% 50,000 to

60,000 25% 3 36,594 60% 209

2.50 to < 10.0% 38,470 32,796 71,266 42% 52,389 4.45% 40,000 to

50,000 31% 3 56,106 107% 546

10.0 to < 100% 6,560 3,522 10,082 50% 8,315 15.66% 1,000 to

10,000 24% 3 10,537 127% 328

100% (default) 10,721 1,578 12,299 39% 11,351 100.00% 1,000 to

10,000 2 4,035 36% 6,034 SUB-TOTAL 290,624 311,419 602,043 46% 434,858 3.79% 32% 3 201,088 46% 7,320 (7,447) TOTAL 748,225 336,642 1,084,867 46% 905,300 1.89% 17% 2 215,678 24% 7,624 (7,784)

(*) Add-on included. (**) The expected losses and provisions are not directly comparable data: the expected one-year losses are statistical estimates through the cycle (TTC) whilst

the provisions for credit risk are calculated according to the IFRS 9 standard as explained in note 1.e.5 to the financial statements.