2020 Universal registration document and annual financial report - BNP PARIBAS468
5 risks and CaPital adequaCy Pillar 3
5
Insurance risks
➤ TABLE 104: BOND EXPOSURE BY ISSUER AND RATING (EXCLUDING INVESTMENTS IN UNIT-LINKED CONTRACTS AND EUROCROISSANCE CONTRACTS) [Audited]
Exposure by rating
31 December 2020 31 December 2019
Govies Corporate Total Govies Corporate Total
AAA 2.9% 2.6% 5.5% 3.3% 3.4% 6.7%
AA 24.1% 7.4% 31.5% 23.2% 7.9% 31.1%
A 6.2% 24.9% 31.1% 6.8% 25.4% 32.2%
BBB 10.6% 17.1% 27.7% 11.0% 15.9% 26.8%
< BBB(*) 0.2% 4.0% 4.1% 0.3% 2.9% 3.2%
TOTAL 44.0% 56.0% 100.0% 44.5% 55.5% 100%
(*) Including non-rated bonds.
➤ TABLE 105: EXPOSURE TO GOVERNMENT BONDS AND SIMILAR BY COUNTRY (EXCLUDING INVESTMENTS IN UNIT-LINKED CONTRACTS AND EUROCROISSANCE CONTRACTS) [Audited]
Exposure by country In millions of euros Rating
31 December 2020 31 December 2019
Net book value Net book value
France AA 25,729 24,331
Italy BBB- 13,296 13,711
Spain A- 4,984 5,394
Belgium AA- 3,279 3,347
Germany AAA 1,212 1,291
Austria AA+ 1,131 1,286
Netherlands AAA 887 1,251
Ireland A+ 801 1,016
Portugal BBB 92 92
Other 6,478 6,352
TOTAL 57,890 58,073
Within the context of the amendment to IFRS 4, the table below presents the gross book value of the BNP Paribas Cardif group s financial assets meeting the SPPI (Solely Payments of Principal and Interest) criterion, with the exception of the financial assets held for transaction purposes
in accordance with IFRS 9 or whose management and performance assessment are based on fair value.
➤ TABLE 106: FINANCIAL ASSETS MEETING THE SPPI CRITERION IN ACCORDANCE WITH IFRS 9 [Audited]
Rating In millions of euros 31 December 2020 31 December 2019
AAA 6,625 8,078
AA 39,962 39,406
A 33,171 34,969
BBB 33,204 32,781
< BBB(*) 2,688 2,353
TOTAL 115,650 117,587
(*) Including unrated bonds.
For the non-Investment Grade or unrated financial assets that meet the cash flow criterion, the table below shows the fair value and gross book value in accordance with IAS 39 (in the case of the financial assets
valued at amortised cost, not taking into account any value adjustments for impairment).
