346 2019 Universal registration document and annual financial report - BNP PARIBAS

5 risks and CaPital adequaCy Pillar 3

5

Credit risk

➤ FIGURE 7: IRBA EXPOSURE BY INTERNAL RATING SOVEREIGN, FINANCIAL INSTITUTION, CORPORATE AND SPECIALISED FINANCING PORTFOLIOS

% of exposure

6.48% 11.93% 20.37%2.95%1.01%0.34%0.16%0.08%0.03%0.01%Average PD at one year horizon at 31/12/2019

Rating 1 2 3 4 5 6 7 8 9 10

31 December 2019 31 December 2018

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35% Excellent, good and average risks Under credit watch

SOVEREIGN, FINANCIAL INSTITUTION, CORPORATE AND SPECIALISED FINANCING PORTFOLIOS The table below presents the breakdown by PD range of the corporate loans and commitments for the asset classes: Central governments and central banks, Institutions and Corporates for all the Group s business lines using the advanced IRB Approach. This exposure represented EUR 882 billion at 31 December 2019, including EUR 870 billion of non-defaulted loans and EUR 12 billion of defaulted loans, compared with EUR 836 billion at 31 December 2018, including EUR 823 billion of non-defaulted loans and EUR 13 billion of defaulted loans.

The table also gives the weighted averages of the main risk parameters in the Basel framework:

■ average probability of default weighted by exposure at default: average PD(1);

■ weighted average of Credit Conversion Factor (CCF) for off-balance sheet items: average CCF(2);

■ average Loss Given Default weighted by exposure at default: average LGD(3);

■ average of residual maturities (in years) weighted by the exposure at default: average maturity.

The average risk weight (average RW(4)) is defined as the ratio between risk-weighted assets and the exposure at default (EAD), resulting from the parameters defined above.

The column Expected loss presents the expected loss at a one-year horizon.

(1) Average PD: Probability of Default average probability of default weighted by exposure at default.

(2) Average CCF: Credit Conversion Factor ratio of exposure at default to off-balance sheet exposure.

(3) Average LGD: Loss Given Default average Loss Given Default weighted by exposure at default.

(4) Average RW: Risk Weight average risk weighting.