2020 Universal registration document and annual financial report - BNP PARIBAS388
5 risks and CaPital adequaCy Pillar 3
5
Credit risk
The following table shows the carrying amounts of the financial assets subject to impairment provisions for credit risk broken down by stage of impairment and by BNP Paribas internal rating in the prudential scope. Financial assets subject to impairment are recognised in the following accounting categories:
■ amounts due from central banks (excluding cash);
■ debt securities at fair value through equity or at amortised cost;
■ loans and advances at amortised cost;
■ financing and guarantee commitments given (off-balance sheet).
➤ TABLE 46: BREAKDOWN OF FINANCIAL ASSETS SUBJECT TO IMPAIRMENT BY STAGE AND INTERNAL RATING [Audited]
In millions of euros
31 December 2020
Gross carrying value
Impairments
Net carrying
value
BNP Paribas rating or equivalent
TOTAL1 to 3 4 to 5 6 to 8 9 to 10 Defaulted
Central Banks 301,462 1,366 2,561 402 - 305,791 (17) 305,774
Stage 1 301,462 1,366 2,441 - - 305,269 (13) 305,256
Stage 2 - - 120 402 - 522 (4) 518
Stage 3 - - - - - - - -
Debt securities at fair value through equity 52,781 2,727 3,414 9 108 59,039 (132) 58,907
Stage 1 52,781 2,604 3,345 - - 58,730 (7) 58,723
Stage 2 - 123 69 9 - 201 (21) 180
Stage 3 - - - - 108 108 (104) 4
Loans and advances at amortised cost 169,382 265,716 401,491 14,427 30,427 881,443 (21,609) 859,834
Stage 1 169,382 249,821 338,074 - - 757,277 (2,359) 754,918
Stage 2 - 15,895 63,417 14,427 - 93,739 (3,163) 90,576
Stage 3 - - - - 30,427 30,427 (16,087) 14,340
Debt securities at amortised cost 105,206 9,425 4,282 193 270 119,376 (158) 119,218
Stage 1 105,206 9,224 3,829 - - 118,259 (21) 118,238
Stage 2 - 201 453 193 - 847 (33) 814
Stage 3 - - - - 270 270 (104) 166
Financing and guarantee commitments 233,140 146,618 126,915 4,183 2,364 513,220 (963) 512,257
Stage 1 233,140 141,547 113,426 - - 488,113 (319) 487,794
Stage 2 - 5,071 13,489 4,183 - 22,743 (297) 22,446
Stage 3 - - - - 2,364 2,364 (347) 2,017
TOTAL 861,971 425,852 538,663 19,214 33,169 1,878,869 (22,879) 1,855,990