3492019 Universal registration document and annual financial report - BNP PARIBAS

5risks and CaPital adequaCy Pillar 3

5

Credit risk

Most of the Group s central government and central bank counterparties are of very high credit quality and based in developed countries, meaning that they have very good internal ratings and very low average Loss Given Default.

The majority of the Group s corporate commitments concerns counterparties of excellent or good quality, reflecting the large part

of multinationals in BNP Paribas customer base. Other exposures are mainly structured transactions or transactions secured by high-quality assets, reflected in their average LGD levels.

On average, the probability of default excluding counterparty default stands at 0.61%. It is 0.99% for Corporates.

➤ TABLE 35: AVERAGE PD AND LGD OF THE CORPORATE ASSET CLASS BY GEOGRAPHIC REGION

In millions of euros

31 December 2019

Non-defaulted exposure Average PD Average LGD

Europe(*) 365,824 1.03% 32%

of which France 117,614 1.02% 35%

of which Belgium 60,777 1.71% 22%

of which Luxembourg 18,092 0.92% 29%

of which Italy 46,009 1.01% 39%

North America 92,013 0.74% 32%

Asia Pacific 52,468 0.98% 34%

Rest of the World 31,217 1.26% 30%

TOTAL 541,523 0.99% 32%

(*) Within the European Union and the European Free Trade Association (EFTA).

In millions of euros

31 December 2018

Non-defaulted exposure Average PD Average LGD

Europe(*) 328,755 1.10% 34%

of which France 100,575 1.07% 37%

of which Belgium 62,970 1.65% 26%

of which Luxembourg 16,442 0.97% 31%

of which Italy 42,613 1.17% 40%

North America 85,985 0.81% 35%

Asia Pacific 45,829 1.10% 35%

Rest of the World 30,809 1.30% 29%

TOTAL 491,378 1.07% 34%

(*) Within the European Union and the European Free Trade Association (EFTA).