2020 Universal registration document and annual financial report - BNP PARIBAS 373

5risks and CaPital adequaCy Pillar 3

5

Credit risk

RETAIL PORTFOLIO The following table gives the breakdown by PD range of the retail loans and commitments for all of the Group s business lines using the advanced IRB Approach. Total exposure represents EUR 284 billion as at 31 December 2020 compared with EUR 273 billion as at 31 December 2019.

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 Average

LGD

Average residual maturity RWAs(*)

Average RW(*)

Expec- ted

Loss(**) Provi-

sions(**)

Mortgages 0.00 to < 0.15% 63,005 2,664 65,669 100% 65,668 0.09% 10% 5 1,532 2% 6

0.15 to < 0.25% 25,261 1,102 26,363 101% 26,388 0.21% 14% 5 1,827 7% 7

0.25 to < 0.50% 46,548 1,352 47,900 98% 47,893 0.38% 14% 5 4,953 10% 26

0.50 to < 0.75% 8,953 642 9,595 70% 9,421 0.62% 17% 5 4,936 52% 10

0.75 to < 2.50% 19,283 945 20,228 79% 20,060 1.39% 14% 5 5,382 27% 40

2.50 to < 10.0% 8,480 630 9,110 83% 9,014 4.83% 15% 5 6,738 75% 100

10.0 to < 100% 2,050 54 2,104 67% 2,089 24.19% 15% 5 1,924 92% 81

100% (default) 3,517 13 3,530 69% 3,527 100.00% 3 1,723 49% 1,099

SUB-TOTAL 177,097 7,402 184,499 93% 184,060 2.77% 13% 5 29,014 16% 1,367 (1,310)

Revolving exposures

0.00 to < 0.15% 112 5,719 5,831 78% 4,782 0.08% 68% 1 109 2% 3

0.15 to < 0.25% 27 1,093 1,120 131% 1,513 0.17% 68% 1 42 3% 2

0.25 to < 0.50% 117 1,782 1,899 60% 1,230 0.34% 66% 1 106 9% 3

0.50 to < 0.75% 122 503 625 52% 396 0.59% 65% 1 124 31% 2

0.75 to < 2.50% 777 1,872 2,649 42% 1,606 1.20% 60% 1 633 39% 12

2.50 to < 10.0% 1,600 1,017 2,618 68% 2,306 5.05% 53% 1 1,320 57% 62

10.0 to < 100% 860 237 1,097 78% 1,054 21.27% 53% 1 678 64% 122

100% (default) 816 52 868 65% 874 100.00% 1 320 37% 623

SUB-TOTAL 4,432 12,275 16,707 73% 13,761 9.06% 63% 1 3,332 24% 828 (812)

Other exposures 0.00 to < 0.15% 8,692 2,362 11,053 82% 10,873 0.08% 37% 3 939 9% 3

0.15 to < 0.25% 4,893 1,306 6,200 97% 6,246 0.20% 34% 3 916 15% 4

0.25 to < 0.50% 13,454 2,600 16,055 89% 15,979 0.37% 35% 3 3,828 24% 21

0.50 to < 0.75% 7,013 1,691 8,704 59% 8,092 0.60% 33% 3 3,382 42% 16

0.75 to < 2.50% 17,329 3,376 20,705 87% 20,499 1.39% 35% 2 9,945 49% 98

2.50 to < 10.0% 11,048 1,347 12,395 85% 12,324 4.79% 34% 2 6,558 53% 201

10.0 to < 100% 3,141 146 3,287 87% 3,306 24.42% 35% 2 2,295 69% 292

100% (default) 4,621 131 4,752 90% 4,784 100.00% 1 2,030 42% 3,020

SUB-TOTAL 70,191 12,959 83,150 84% 82,102 8.03% 35% 3 29,894 36% 3,656 (3,706)

TOTAL 251,721 32,636 284,356 82% 279,923 4.62% 21% 4 62,240 22% 5,851 (5,829)

(*) 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.

➤ TABLE 37: IRBA EXPOSURE BY INTERNAL RATING AND ASSET CLASS RETAIL PORTFOLIO (EU CR6)