348 2019 Universal registration document and annual financial report - BNP PARIBAS

5 risks and CaPital adequaCy Pillar 3

5

Credit risk

In millions of euros PD range

31 December 2018

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% 275,585 1,815 277,400 55% 276,903 0.01% 1,000 to

10,000 1% 2 513 0% 1

0.15 to < 0.25% 1,525 18 1,543 52% 1,535 0.19% 0 to 100 16% 3 316 21% 0

0.25 to < 0.50% 2,509 81 2,590 63% 2,560 0.30% 0 to 100 22% 2 609 24% 2

0.50 to < 0.75% 799 732 1,530 55% 1,202 0.69% 0 to 100 12% 2 234 19% 1

0.75 to < 2.50% 163 1 164 64% 163 1.08% 0 to 100 29% 2 92 56% 0

2.50 to < 10.0% 717 164 881 64% 822 5.94% 0 to 100 9% 3 246 30% 4

10.0 to < 100% 403 197 600 75% 551 14.61% 0 to 100 6% 3 192 35% 7

100% (defaults) 101 1 103 55% 102 100.00% 0 to 100 2 0 0% 9

SUB-TOTAL 281,801 3,009 284,811 57% 283,837 0.10% 2% 2 2,201 1% 23 (9)

Institutions 0.00 to < 0.15% 20,134 15,589 35,723 50% 27,919 0.05%

1,000 to 10,000 17% 2 2,632 9% 3

0.15 to < 0.25% 2,126 1,256 3,381 52% 2,778 0.18% 100 to 1,000 37% 2 953 34% 2

0.25 to < 0.50% 2,141 703 2,844 43% 2,443 0.34% 1,000 to

10,000 29% 2 976 40% 2

0.50 to < 0.75% 1,059 620 1,679 41% 1,317 0.67% 100 to 1,000 17% 2 849 64% 1

0.75 to < 2.50% 1,300 792 2,091 43% 1,646 1.28% 100 to 1,000 33% 2 1,089 66% 7

2.50 to < 10.0% 384 354 738 45% 545 4.44% 100 to 1,000 31% 2 493 90% 9

10.0 to < 100% 22 67 88 84% 78 21.34% 100 to 1,000 45% 2 183 234% 7

100% (defaults) 270 46 315 78% 305 100.00% 0 to 100 4 10 3% 206

SUB-TOTAL 27,434 19,426 46,859 49% 37,030 1.09% 21% 2 7,184 19% 237 (250)

Corporates 0.00 to < 0.15% 56,531 131,721 188,253 52% 125,641 0.07%

10,000 to 20,000 38% 2 25,709 20% 32

0.15 to < 0.25% 29,955 30,598 60,553 47% 44,496 0.18% 10,000 to

20,000 35% 2 15,286 34% 28

0.25 to < 0.50% 47,249 32,567 79,816 48% 63,185 0.35% 40,000 to

50,000 33% 3 28,955 46% 72

0.50 to < 0.75% 15,525 15,420 30,945 32% 20,608 0.68% 20,000 to

30,000 27% 3 12,510 61% 37

0.75 to < 2.50% 50,140 27,051 77,192 44% 62,210 1.34% 60,000 to

70,000 28% 3 41,661 67% 233

2.50 to < 10.0% 32,532 16,626 49,158 48% 40,655 4.33% 50,000 to

60,000 32% 3 43,644 107% 503

10.0 to < 100% 3,186 2,274 5,461 54% 4,422 16.56% 1,000 to

10,000 30% 3 6,949 157% 220

100% (defaults) 11,551 1,476 13,028 40% 12,159 100.00% 10,000 to

20,000 2 621 5% 6,907

SUB-TOTAL 246,670 257,735 504,405 49% 373,376 4.29% 34% 3 175,335 47% 8,032 (8,401)

TOTAL 555,905 280,170 836,075 49% 694,244 2.41% 20% 2 184,720 27% 8,292 (8,660)

(*) 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.