2020 Universal registration document and annual financial report - BNP PARIBAS 375

5risks and CaPital adequaCy Pillar 3

5

Credit risk

➤ TABLE 38: AVERAGE PD AND LGD OF THE RETAIL PORTFOLIO BY GEOGRAPHIC REGION

In millions of euros

31 December 2020

Non-defaulted exposure Average PD Average LGD

Europe(*) 274,807 1.39% 21%

of which France 143,671 1.32% 21%

of which Belgium 78,184 1.23% 18%

of which Luxembourg 8,308 0.66% 24%

of which Italy 33,811 1.43% 23%

North America 137 n.s. n.s.

Asia Pacific 72 n.s. n.s.

Rest of the World 191 n.s. n.s.

TOTAL 275,207 1.39% 21%

(*) 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(*) 263,483 1.50% 23%

of which France 134,462 1.45% 24%

of which Belgium 77,269 1.33% 18%

of which Luxembourg 7,899 0.87% 24%

of which Italy 32,566 1.53% 24%

North America 126 n.s. n.s.

Asia Pacific 84 n.s. n.s.

Rest of the World 212 n.s. n.s.

TOTAL 263,904 1.50% 23%

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

CREDIT RISK: STANDARDISED APPROACH

For exposures under the standardised approach, BNP Paribas uses the external ratings from External Credit Assessment Institutions (ECAIs) Standard & Poor s, Moody s, Fitch Ratings, Cerved and Banque de France recognised by the supervisor.

The ratings supplied by Standard & Poor s, Moody s and Fitch Ratings are mainly used for exposures to Central governments and central banks, Regional and local authorities, Public sector entities and Multilateral development banks, Institutions and Corporates. The ratings supplied by the Banque de France are mainly used for corporate exposures and exposures secured by a mortgage on a real estate asset. The ratings supplied by Cerved are mainly used for Corporate exposures.

When there is no directly applicable external rating, the issuer s senior unsecured rating may, if available, be obtained from external databases and used for risk-weighting purposes in some cases.

As at 31 December 2020, standardised approach exposure represented 23% of the BNP Paribas Group s total gross exposures to credit risk, decreasing compared to 27% as of 31 December 2019.

The following table shows a summary of standardised risk-weighted exposures broken down by regulatory asset class. The equity exposures weighted using the standardised approach consist primarily of asset value guarantees given to fund unit holders.