344 2019 Universal registration document and annual financial report - BNP PARIBAS

5 risks and CaPital adequaCy Pillar 3

5

Credit risk

➤ TABLE 32: BACKTESTING OF PD (EU CR9)

Portfolio

BNP Paribas

rating

Long term issuer s

credit rating PD range

2018

Arithmetical average PD

Number of non-defaulted obligors at the

beginning of the exercise

Number of defaults

among the non defaulted

obligors at the beginning of the exercise

Historic average

default rates Sovereigns and public sector entities

1+ to 3- AAA to BBB+ 0.00 to 0.11% 0.03% 123 1 0.07%

4+ to 5- BBB to BBB- 0.11 to 0.58% 0.27% 84 - 0.44%

6+ to 8- BB+ to B+ 0.58 to 8.76% 3.57% 52 - 0.25%

9+ to 10- B to C 8.76 to < 100% 17.56% 14 - 5.40% Institutions(*) 1+ to 3- AAA to BBB+ 0.00 to 0.11% 0.05% 1,395 - 0.07%

4+ to 5- BBB to BBB- 0.11 to 0.58% 0.24% 956 - 0.12%

6+ to 8- BB+ to B+ 0.58 to 8.76% 2.62% 1,092 - 0.31%

9+ to 10- B to C 8.76 to < 100% 14.37% 58 1 1.87%

Large corporates(**) 1+ to 3- AAA to BBB+ 0.00 to 0.11% 0.06% 2,499 1 0.05%

4+ to 5- BBB to BBB- 0.11 to 0.58% 0.27% 5,324 - 0.14%

6+ to 8- BB+ to B+ 0.58 to 8.76% 2.72% 7,622 44 0.88%

9+ to 10- B to C 8.76 to < 100% 15.28% 436 38 12.09%

Individuals 1+ to 3- AAA to BBB+ 0.00 to 0.11% 0.04% 2,894,833 2,414 0.04%

4+ to 5- BBB to BBB- 0.11 to 0.58% 0.29% 1,774,701 6,556 0.28%

6+ to 8- BB+ to B+ 0.58 to 8.76% 2.35% 1,346,671 28,872 2.08%

9+ to 10- B to C 8.76 to < 100% 18.83% 107,787 19,595 17.60%

Professionals & SME retail 1+ to 3- AAA to BBB+ 0.00 to 0.11% 0.07% 72,873 86 0.07%

4+ to 5- BBB to BBB- 0.11 to 0.58% 0.30% 264,616 962 0.28%

6+ to 8- BB+ to B+ 0.58 to 8.76% 2.89% 370,623 10,830 2.53%

9+ to 10- B to C 8.76 to < 100% 24.93% 45,623 9,215 20.88%

SME corporate 1+ to 3- AAA to BBB+ 0.00 to 0.11% 0.08% 930 1 0.09%

4+ to 5- BBB to BBB- 0.11 to 0.58% 0.34% 35,165 83 0.25%

6+ to 8- BB+ to B+ 0.58 to 8.76% 2.77% 63,653 1,069 2.01%

9+ to 10- B to C 8.76 to < 100% 18.45% 3,579 468 17.18%

(*) Including the Banks, Insurance and Regulated funds & Agency arrangements portfolios. (**) Including the Large corporates, Real Estate non-retail in France, Project financing and Energy and commodity financing portfolios.