3512019 Universal registration document and annual financial report - BNP PARIBAS

5risks and CaPital adequaCy Pillar 3

5

Credit risk

➤ TABLE 36: IRBA EXPOSURE BY INTERNAL RATING AND ASSET CLASS RETAIL PORTFOLIO (EU CR6)

In millions of euros PD scale

31 December 2019

Balance sheet

exposure

Off- balance

sheet exposure

Total exposure

Average off-

balance sheet

CCF EAD Average PD Average

LGD

Average residual maturity RWAs(*)

Average RW(*)

Expec- ted

Loss(**) Provi-

sions(**)

Mortgages 0.00 to < 0.15% 71,905 3,480 75,385 100% 75,392 0.06% 12% 5 1,575 2% 6

0.15 to < 0.25% 17,011 737 17,748 99% 17,751 0.18% 13% 5 1,788 10% 4

0.25 to < 0.50% 37,090 1,250 38,340 97% 38,330 0.35% 16% 5 4,098 11% 21

0.50 to < 0.75% 14,094 756 14,850 74% 14,673 0.64% 15% 5 5,823 40% 15

0.75 to < 2.50% 15,718 926 16,644 83% 16,510 1.47% 15% 5 5,009 30% 37

2.50 to < 10.0% 7,914 369 8,283 68% 8,183 4.84% 17% 5 4,819 59% 66

10.0 to < 100% 2,841 58 2,899 81% 2,890 22.07% 16% 5 2,847 99% 101

100% (defaults) 3,591 18 3,608 66% 3,604 100.00% 4 1,650 46% 1,067

SUB-TOTAL 170,163 7,594 177,757 93% 177,333 2.92% 14% 5 27,609 16% 1,318 (1,278)

Revolving exposures

0.00 to < 0.15% 170 6,715 6,885 90% 6,449 0.08% 65% 1 79 1% 3

0.15 to < 0.25% 59 383 442 78% 387 0.18% 75% 1 53 14% 1

0.25 to < 0.50% 151 1,563 1,714 60% 1,142 0.33% 64% 1 101 9% 2

0.50 to < 0.75% 173 782 955 49% 580 0.61% 65% 1 148 26% 2

0.75 to < 2.50% 1,128 1,965 3,093 47% 2,073 1.46% 55% 1 890 43% 16

2.50 to < 10.0% 1,661 881 2,542 64% 2,241 5.34% 53% 1 1,362 61% 63

10.0 to < 100% 942 206 1,148 69% 1,098 24.38% 54% 1 761 69% 146

100% (defaults) 1,024 36 1,059 72% 1,051 100.00% 1 348 33% 764

SUB-TOTAL 5,308 12,532 17,839 74% 15,022 9.86% 61% 1 3,742 25% 998 (1,028)

Other exposures 0.00 to < 0.15% 9,927 2,805 12,732 85% 12,446 0.07% 41% 3 967 8% 4

0.15 to < 0.25% 2,845 969 3,814 87% 3,799 0.20% 39% 3 648 17% 3

0.25 to < 0.50% 12,098 2,568 14,666 91% 14,632 0.34% 37% 3 3,378 23% 18

0.50 to < 0.75% 7,334 1,871 9,205 64% 8,655 0.64% 37% 3 3,755 43% 21

0.75 to < 2.50% 14,070 3,306 17,377 88% 17,149 1.46% 37% 2 8,636 50% 92

2.50 to < 10.0% 10,090 1,371 11,462 86% 11,462 4.72% 37% 2 6,772 59% 201

10.0 to < 100% 3,559 160 3,719 100% 3,771 25.75% 37% 2 2,716 72% 372

100% (defaults) 4,812 109 4,921 88% 4,924 100.00% 2 2,377 48% 3,086

SUB-TOTAL 64,736 13,160 77,897 84% 76,838 8.86% 38% 3 29,248 38% 3,796 (3,889)

TOTAL 240,207 33,286 273,493 82% 269,194 5.01% 23% 4 60,599 23% 6,112 (6,195)

(*) 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.