3472019 Universal registration document and annual financial report - BNP PARIBAS

5risks and CaPital adequaCy Pillar 3

5

Credit risk

➤ TABLE 34: IRBA EXPOSURE BY PD SCALE AND ASSET CLASS SOVEREIGN, FINANCIAL INSTITUTION, CORPORATE AND SPECIALISED FINANCING PORTFOLIOS (EU CR6)

In millions of euros PD range

31 December 2019

Balance sheet

exposure

Off- balance

sheet exposure

Total exposure

Average off-

balance sheet

CCF EAD Average PD Number of

obligors

Ave- rage

LGD

Average residual maturity RWAs(*)

Average RW(*)

Expec- ted

Loss(**) Provi-

sions(**)

Central governments and central banks

0.00 to < 0.15% 262,902 1,245 264,147 54% 264,185 0.02% 100 to 1,000 1% 2 1,502 1% 1

0.15 to < 0.25% 721 1 722 50% 721 0.18% 0 to 100 13% 2 72 10% 0 0.25 to < 0.50% 2,278 21 2,299 73% 2,293 0.28% 0 to 100 21% 2 591 26% 1 0.50 to < 0.75% 1,088 666 1,753 55% 1,453 0.69% 0 to 100 15% 2 380 26% 2 0.75 to < 2.50% 220 17 237 69% 232 1.52% 0 to 100 23% 2 100 43% 1 2.50 to < 10.0% 448 101 549 70% 519 6.17% 0 to 100 4% 3 80 15% 1 10.0 to < 100% 375 215 590 66% 517 13.36% 0 to 100 9% 3 258 50% 9

100% (defaults) 56 3 59 55% 58 100.00% 0 to 100 2 0 0% 9 SUB-TOTAL 268,088 2,268 270,355 57% 269,977 0.08% 2% 2 2,984 1% 24 (27) Institutions

0.00 to < 0.15% 29,541 16,464 46,005 48% 37,414 0.05% 1,000 to

10,000 18% 2 4,539 12% 4

0.15 to < 0.25% 1,925 1,261 3,185 52% 2,581 0.19% 100 to 1,000 34% 2 882 34% 2

0.25 to < 0.50% 3,178 823 4,001 40% 3,509 0.33% 100 to 1,000 31% 2 1,337 38% 4

0.50 to < 0.75% 870 410 1,280 33% 1,007 0.64% 100 to 1,000 17% 2 420 42% 1

0.75 to < 2.50% 1,695 855 2,551 48% 2,110 1.27% 100 to 1,000 30% 2 1,152 55% 9

2.50 to < 10.0% 344 302 646 45% 483 4.10% 100 to 1,000 38% 2 620 128% 7

10.0 to < 100% 4 58 62 87% 55 23.78% 0 to 100 34% 1 103 188% 4 100% (defaults) 359 47 406 88% 400 100.00% 0 to 100 3 29 7% 320

SUB-TOTAL 37,916 20,221 58,137 48% 47,559 1.06% 21% 2 9,081 19% 352 (359) Corporates

0.00 to < 0.15% 62,377 145,447 207,825 52% 137,877 0.07% 10,000 to

20,000 36% 2 29,443 21% 35

0.15 to < 0.25% 36,622 33,238 69,860 47% 52,175 0.18% 1,000 to

10,000 35% 2 17,732 34% 33

0.25 to < 0.50% 58,019 34,670 92,689 47% 74,568 0.34% 30,000 to

40,000 32% 3 33,752 45% 81

0.50 to < 0.75% 20,071 18,819 38,890 34% 26,649 0.68% 20,000 to

30,000 26% 3 13,462 51% 47

0.75 to < 2.50% 50,514 25,151 75,665 43% 61,734 1.34% 50,000 to

60,000 25% 3 37,708 61% 209

2.50 to < 10.0% 33,746 17,899 51,644 48% 42,409 4.37% 40,000 to

50,000 31% 3 44,978 106% 588

10.0 to < 100% 3,083 1,866 4,949 50% 4,025 16.33% 1,000 to

10,000 29% 3 6,119 152% 197

100% (defaults) 9,834 1,915 11,749 48% 10,754 100.00% 1,000 to

10,000 2 3,515 33% 5,946 SUB-TOTAL 274,266 279,006 553,272 48% 410,190 3.59% 32% 3 186,710 46% 7,135 (6,789) TOTAL 580,270 301,494 881,764 48% 727,726 2.12% 20% 2 198,775 27% 7,511 (7,175)

(*) Add-on included. (**) The expected losses and provisions are not directly comparable data: the expected one-year losses are statistical estimates through the cycle (TTC) whilst

the provisions for credit risk are calculated according to the IFRS 9 standard as explained in note 1.e.5 to the financial statements.