2020 Universal registration document and annual financial report - BNP PARIBAS 419

5risks and CaPital adequaCy Pillar 3

5

Counterparty credit risk

The following tables provide: the calculation of risk-weighted assets according to the Basel risk parameters using an IRB approach (see paragraph Sovereign, financial institution, corporate and specialised financing portfolios in Credit risk: Internal Ratings-Based Approach (IRBA) in section 5.4), then using the standardised approach.

➤ TABLE 70: IRBA BILATERAL COUNTERPARTY CREDIT RISK EXPOSURE AT DEFAULT (EU CCR4)

In millions of euros PD scale

31 December 2020

EAD Average PD Number of

obligors Average LGD Average

marturity RWAs Average RW

Central governments or central banks

0.00 to < 0.15% 56,580 0.02% 100 to 1,000 1% 2 196 0%

0.15 to < 0.25% 24 0.21% 0 to 100 20% 1 4 18%

0.25 to < 0.50% 379 0.32% 0 to 100 36% 0 108 28%

0.50 to < 0.75% 1 0.69% 0 to 100 50% 5 2 137%

0.75 to < 2.50% 149 1.10% 0 to 100 30% 2 106 71%

2.50 to < 10.0% 287 3.07% 0 to 100 50% 4 525 183%

10.0 to < 100% 2 n.s. 0 to 100 n.s. n.s. 7 n.s.

100% (default) - - - - -

SUB-TOTAL 57,422 0.04% 2% 2 948 2%

Institutions 0.00 to < 0.15% 21,900 0.05%

1,000 to 10,000 25% 1 3,782 17%

0.15 to < 0.25% 1,260 0.18% 100 to 1,000 44% 1 469 37%

0.25 to < 0.50% 1,375 0.34% 100 to 1,000 47% 1 749 54%

0.50 to < 0.75% 96 0.70% 0 to 100 45% 2 67 70%

0.75 to < 2.50% 430 1.20% 100 to 1,000 49% 1 381 89%

2.50 to < 10.0% 175 5.24% 100 to 1,000 59% 1 306 175%

10.0 to < 100% - - 0 to 100 - - - -

100% (default) 0 100.00% 0 to 100 - 0%

SUB-TOTAL 25,237 0.13% 28% 1 5,756 23%

Corporates 0.00 to < 0.15% 68,322 0.06%

1,000 to 10,000 32% 1 10,733 16%

0.15 to < 0.25% 6,123 0.18% 1,000 to

10,000 37% 2 2,341 38%

0.25 to < 0.50% 6,166 0.35% 1,000 to

10,000 35% 3 3,019 49%

0.50 to < 0.75% 2,912 0.69% 100 to 1,000 32% 4 2,078 71%

0.75 to < 2.50% 4,312 1.45% 1,000 to

10,000 50% 2 4,964 115%

2.50 to < 10.0% 1,883 4.73% 1,000 to

10,000 43% 2 2,731 145%

10.0 to < 100% 330 15.31% 100 to 1,000 34% 2 633 192%

100% (default) 204 100.00% 0 to 100 1 0%

SUB-TOTAL 90,253 0.55% 33% 2 26,500 29%

Retail 0 n.s. n.s. n.s. 0 n.s.

TOTAL 172,912 0.32% 22% 2 33,203 19%