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342 2019 Universal registration document and annual financial report - BNP PARIBAS

5 risks and CaPital adequaCy Pillar 3

5

Credit risk

Modelled parameter Portfolio

Number of models Model and methodology

Number of years default/loss data Main asset class

LGD Sovereigns 1 Qualitative > 10 years

Central governments and central banks

Banks 1 Quantitative calibrated on internal data > 10 years Corporate other

Insurance 1 Qualitative > 10 years Corporate other

Regulated funds & Agency arrangements 1 Qualitative > 10 years Corporate other

Large corporates 2 Quantitative calibrated on internal data > 10 years Corporate other

Real Estate non-retail in France 2 Qualitative asset valuation haircut > 10 years Corporate other

Project financing 1 Quantitative calibrated on internal data > 10 years Corporate specialised lending

Energy and commodity financing 1

Quantitative calibrated on internal data > 10 years Corporate specialised lending

Non Retail Rating Global Policy 1 Qualitative > 10 years Corporate other

French Retail Banking SME Corporate 1

Quantitative calibrated on internal data > 10 years Corporate SME

French Retail Banking Professionals & Entrepreneurs 6

Quantitative calibrated on internal data > 10 years Retail other SME

French Retail Banking Private life (Individuals & Professionnals) 5

Quantitative calibrated on internal data > 10 years

Retail other SME/qualifying Revolving/secured by real estate non-SME

Personal Finance France 1 Quantitative calibrated on internal data > 10 years Retail other non-SME

Belgian Retail Banking Professionals & SME 1

Quantitative calibrated on internal data > 10 years

Retail other SME/secured by real estate non-SME

Belgian Retail Banking Individuals 2

Quantitative calibrated on internal data > 10 years

Retail Secured by real estate non- SME

Banca Nazionale del Lavoro Small Corporate 1

Quantitative calibrated on internal data > 10 years Corporate SME

Banca Nazionale del Lavoro Retail Individuals 2

Quantitative calibrated on internal data > 10 years Retail other non-SME

Banca Nazionale del Lavoro Professionals and Retail SME 2

Quantitative calibrated on internal data > 10 years Retail other SME

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