2020 Universal registration document and annual financial report - BNP PARIBAS 371

5risks and CaPital adequaCy Pillar 3

5

Credit risk

Most of the Group s central government and central bank counterparties are of very high credit quality and based in developed countries, meaning that they have very good internal ratings and very low average Loss Given Default.

The majority of the Group s corporate commitments concerns counterparties of excellent or good quality, reflecting the large part

of multinationals in BNP Paribas customer base. Other exposures are mainly structured transactions or transactions secured by high-quality assets, reflected in their average LGD levels.

On average, the probability of default excluding counterparty default stands at 0.61%. It is 1.21% for Corporates.

➤ TABLE 36: AVERAGE PD AND LGD OF THE CORPORATE ASSET CLASS BY GEOGRAPHIC REGION

In millions of euros

31 December 2020

Non-defaulted exposure Average PD Average LGD

Europe(*) 427,761 1.22% 32%

of which France 149,834 1.32% 33%

of which Belgium 64,557 1.84% 22%

of which Luxembourg 20,116 0.87% 30%

of which Italy 57,316 1.00% 38%

North America 80,833 1.24% 32%

Asia Pacific 52,155 1.04% 35%

Rest of the World 28,996 1.28% 30%

TOTAL 589,744 1.21% 32%

(*) Within the European Union, the European Free Trade Association (EFTA) and the United Kingdom.

In millions of euros

31 December 2019

Non-defaulted exposure Average PD Average LGD

Europe(*) 365,824 1.03% 32%

of which France 117,614 1.02% 35%

of which Belgium 60,777 1.71% 22%

of which Luxembourg 18,092 0.92% 29%

of which Italy 46,009 1.01% 39%

North America 92,013 0.74% 32%

Asia Pacific 52,468 0.98% 34%

Rest of the World 31,217 1.26% 30%

TOTAL 541,523 0.99% 32%

(*) Within the European Union, the European Free Trade Association (EFTA) and the United Kingdom.