2020 Universal registration document and annual financial report - BNP PARIBAS370

5 risks and CaPital adequaCy Pillar 3

5

Credit risk

In millions of euros PD range

31 December 2019

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% 262,902 1,245 264,147 54% 264,185 0.02% 100 to 1,000 1% 2 1,502 1% 1

0.15 to < 0.25% 721 1 722 50% 721 0.18% 0 to 100 13% 2 72 10% 0

0.25 to < 0.50% 2,278 21 2,299 73% 2,293 0.28% 0 to 100 21% 2 591 26% 1

0.50 to < 0.75% 1,088 666 1,753 55% 1,453 0.69% 0 to 100 15% 2 380 26% 2

0.75 to < 2.50% 220 17 237 69% 232 1.52% 0 to 100 23% 2 100 43% 1

2.50 to < 10.0% 448 101 549 70% 519 6.17% 0 to 100 4% 3 80 15% 1

10.0 to < 100% 375 215 590 66% 517 13.36% 0 to 100 9% 3 258 50% 9

100% (default) 56 3 59 55% 58 100.00% 0 to 100 2 0 0% 9

SUB-TOTAL 268,088 2,268 270,355 57% 269,977 0.08% 2% 2 2,984 1% 24 (27)

Institutions 0.00 to < 0.15% 29,541 16,464 46,005 48% 37,414 0.05%

1,000 to 10,000 18% 2 4,539 12% 4

0.15 to < 0.25% 1,925 1,261 3,185 52% 2,581 0.19% 100 to 1,000 34% 2 882 34% 2

0.25 to < 0.50% 3,178 823 4,001 40% 3,509 0.33% 1,000 to

10,000 31% 2 1,337 38% 4

0.50 to < 0.75% 870 410 1,280 33% 1,007 0.64% 100 to 1,000 17% 2 420 42% 1

0.75 to < 2.50% 1,695 855 2,551 48% 2,110 1.27% 100 to 1,000 30% 2 1,152 55% 9

2.50 to < 10.0% 344 302 646 45% 483 4.10% 100 to 1,000 38% 2 620 128% 7

10.0 to < 100% 4 58 62 87% 55 23.78% 100 to 1,000 34% 1 103 188% 4

100% (default) 359 47 406 88% 400 100.00% 0 to 100 3 29 7% 320

SUB-TOTAL 37,916 20,221 58,137 48% 47,559 1.06% 21% 2 9,081 19% 352 (359)

Corporates 0.00 to < 0.15% 62,377 145,447 207,825 52% 137,877 0.07%

10,000 to 20,000 36% 2 29,443 21% 35

0.15 to < 0.25% 36,622 33,238 69,860 47% 52,175 0.18% 1,000 to

10,000 35% 2 17,732 34% 33

0.25 to < 0.50% 58,019 34,670 92,689 47% 74,568 0.34% 30,000 to

40,000 32% 3 33,752 45% 81

0.50 to < 0.75% 20,071 18,819 38,890 34% 26,649 0.68% 20,000 to

30,000 26% 3 13,462 51% 47

0.75 to < 2.50% 50,514 25,151 75,665 43% 61,734 1.34% 50,000 to

60,000 25% 3 37,708 61% 209

2.50 to < 10.0% 33,746 17,899 51,644 48% 42,409 4.37% 40,000 to

50,000 31% 3 44,978 106% 588

10.0 to < 100% 3,083 1,866 4,949 50% 4,025 16.33% 1,000 to

10,000 29% 3 6,119 152% 197

100% (default) 9,834 1,915 11,749 48% 10,754 100.00% 1,000 to

10,000 2 3,515 33% 5,946

SUB-TOTAL 274,266 279,006 553,272 48% 410,190 3.59% 32% 3 186,710 46% 7,135 (6,789)

TOTAL 580,270 301,494 881,764 48% 727,726 2.12% 20% 2 198,775 27% 7,511 (7,175)

(*) 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.