350 2019 Universal registration document and annual financial report - BNP PARIBAS

5 risks and CaPital adequaCy Pillar 3

5

Credit risk

➤ FIGURE 8: IRBA EXPOSURE BY INTERNAL RATING RETAIL PORTFOLIO

% of exposure Excellent, good and average risks Under credit watch

1098765432

29.34%12.07%6.60%2.90%1.01%0.36%0.16%0.03% 0.07% Average PD at one year

horizon at 31/12/2019 Rating

31 December 2019 31 December 2018

0%

5%

10%

15%

20%

25%

30%

35%

RETAIL PORTFOLIO The following table gives the breakdown by PD range of the retail loans and commitments for all of the Group s business lines using the advanced IRB Approach. Total exposure represented EUR 273 billion as at 31 December 2019 compared with EUR 264 billion as at 31 December 2018.

INTERNAL RATING SYSTEM SPECIFIC TO RETAIL CUSTOMERS Retail customers are characterised by a high degree of granularity, small unit volumes and a standard risk profile.

The majority of retail borrowers are assigned a behavioural score which serves as a basis to determine the probability of default and, for each transaction, the global recovery rate (GRR) and exposure at default (EAD). These parameters are calculated every month on the basis of the most up-to-date information. They are supplemented by different scores that are made available to the commercial function. The latter has no involvement in determining risk parameters. These methods are used consistently for all retail customers. The general principles of the rating

system are set out in the Rating System paragraph in the section Credit Risk Management Policy.

Scoring techniques are used to assign retail customers to risk groups presenting the same default risk characteristics. This also applies to the other credit risk parameters: EAD and LGD.

The chart below shows a breakdown by credit rating of performing loans and commitments in the retail book for all the Group s business lines, measured using the internal ratings based approach.

This exposure to performing loans represented EUR 264 billion at 31 December 2019, an increase compared with EUR 253 billion at 31 December 2018.