Universal registration document and annual financial report 2020

2020 Universal registration document and annual financial report - BNP PARIBAS 489

5risks and CaPital adequaCy Pillar 3

Appendix 5: List of tables and figures

Page

Table 33 Backtesting of PD (EU CR9) 366

Table 34 Backtesting of LGD 367

Figure 8 IRBA exposure by PD range Sovereign, financial institution, corporate and specialised financing portfolios 368

Table 35 IRBA exposure by PD scale and asset class Sovereign, financial institution, corporate and specialised financing portfolios (EU CR6) 369

Table 36 Average PD and LGD of the corporate asset class by geographic region 371

Figure 9 IRBA exposure by PD range Retail portfolio 372

Table 37 IRBA exposure by internal rating and asset class Retail portfolio (EU CR6) 373

Table 38 Average PD and LGD of the retail portfolio by geographic region 375

Table 39 Standardised credit risk exposures by standard exposure class (EU CR4) 376

Table 40 Standardised credit exposure at default (EU CR5) 378

Figure 10 Standardised credit exposure at default by risk-weight 380

Table 41 Equity positions under the simple weighting method (EU CR10) 382

Table 42 Insurance undertakings (INS1) 382

Table 43 Equity under the simple weighting method risk-weighted assets movements by key driver 382

Table 44 Performing and non performing exposures and related provisions (EU NPL4) 384

Table 45 Performing and non performing exposures by past due days (EU NPL3) 386

Table 46 Breakdown of financial assets subject to impairment by stage and internal rating 388

Table 47 Exposures and provisions by asset class (EU CR1-A) 390

Table 48 Exposures and provisions by geographic region (EU CR1-C) 392

Table 49 Exposures and stage 3 provisions by industry (EU CR1-B) 394

Table 50 Credit quality of restructured loans (EU NPL1) 396

Table 51 Exposures subject to legislative and non-legislative moratoria 398

Table 52 Breakdown of exposures subject to legislative and non-legislative moratoria by residual maturity of moratoria 398

Table 53 Loans and advances subject to public guarantee schemes 400

Table 54 IRBA Credit risk mitigation for sovereign, financial institution, corporate and specialised financing portfolios 402

Table 55 Standardised approach Credit risk mitigation for sovereign, financial institution, corporate and specialised financing portfolios 402

5.5 SECURITISATION IN THE BANKING BOOK 403

Table 56 Securitised exposures and securitisation positions (held or acquired) by role 403

Table 57 Securitised exposures by BNP Paribas as originator 404

Table 58 Securitised exposures by BNP Paribas as originator by underlying asset category 405

Table 59 Securitised exposures by BNP Paribas as sponsor by underlying asset category 405

Table 60 Securitisation positions in the banking book by type of asset (EU SEC1) 408

Table 61 Securitisation positions, exposure in default and provisions by underlying asset s geographic area 409

Table 62 Banking book securitisation position quality 409

Table 63 Securitisation positions and risk-weighted assets by approach 411

Table 64 Securitisation risk-weighted assets movements by key driver 411

Table 65 Securitisation positions and risk-weighted assets BNP Paribas acting as originator or as sponsor (EU SEC3) 412

Table 66 Securitisation positions and risk-weighted assets BNP Paribas acting as investor (EU SEC4) 413

5.6 COUNTERPARTY CREDIT RISK 414

Table 67 Counterparty credit risk exposure at default by asset class (excl. CVA risk charge) 417

Table 68 Counterparty credit risk exposure at default by product (excl. CVA risk charge) 417

Table 69 Bilateral counterparty credit risk exposure at default by approach (EU CCR1) 418

Table 70 IRBA bilateral counterparty credit risk exposure at default (EU CCR4) 419

Table 71 Standardised bilateral counterparty credit risk exposure at default (EU CCR3) 421

Table 72 Bilateral counterparty credit risk exposure at default by rating 421

Table 73 Exposure to central counterparties (CCP) (EU CCR8) 422