352 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 scale
31 December 2018
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% 67,090 2,860 69,950 100% 69,958 0.06% 12% 5 1,416 2% 5
0.15 to < 0.25% 15,839 531 16,370 100% 16,372 0.18% 13% 5 945 6% 4
0.25 to < 0.50% 34,751 1,002 35,753 95% 35,743 0.36% 16% 5 3,698 10% 20
0.50 to < 0.75% 13,211 619 13,829 68% 13,645 0.64% 15% 5 4,746 35% 13
0.75 to < 2.50% 16,004 855 16,859 81% 16,730 1.44% 15% 5 4,937 30% 37
2.50 to < 10.0% 7,812 299 8,112 66% 8,028 4.85% 17% 5 4,760 59% 65
10.0 to < 100% 2,995 69 3,064 70% 3,045 20.77% 16% 5 3,074 101% 102
100% (defaults) 3,952 17 3,969 56% 3,964 100.00% 4 1,849 47% 1,204
SUB-TOTAL 161,655 6,252 167,907 91% 167,485 3.29% 14% 5 25,425 15% 1,450 (1,446)
Revolving exposures
0.00 to < 0.15% 171 6,192 6,363 88% 5,932 0.08% 64% 1 180 3% 3
0.15 to < 0.25% 66 973 1,039 84% 921 0.18% 63% 1 62 7% 1
0.25 to < 0.50% 151 1,459 1,610 51% 942 0.34% 64% 1 80 9% 2
0.50 to < 0.75% 196 712 907 43% 519 0.62% 65% 1 140 27% 2
0.75 to < 2.50% 1,202 2,036 3,238 46% 2,177 1.37% 53% 1 795 37% 15
2.50 to < 10.0% 1,707 852 2,559 65% 2,279 5.31% 51% 1 1,380 61% 62
10.0 to < 100% 964 200 1,164 66% 1,114 24.73% 53% 1 772 69% 148
100% (defaults) 1,117 33 1,150 78% 1,144 100.00% 1 358 31% 867
SUB-TOTAL 5,573 12,458 18,031 72% 15,028 10.53% 59% 1 3,768 25% 1,101 (1,080)
Other exposures 0.00 to < 0.15% 10,281 2,736 13,017 88% 12,785 0.07% 40% 3 972 8% 4
0.15 to < 0.25% 2,922 1,116 4,038 86% 3,937 0.19% 41% 2 626 16% 3
0.25 to < 0.50% 11,539 2,538 14,078 91% 14,029 0.34% 36% 3 2,789 20% 17
0.50 to < 0.75% 6,591 1,568 8,159 61% 7,622 0.63% 37% 3 3,853 51% 18
0.75 to < 2.50% 15,205 3,011 18,216 87% 17,988 1.44% 36% 3 8,706 48% 93
2.50 to < 10.0% 9,524 1,301 10,825 84% 10,723 4.86% 37% 3 6,414 60% 191
10.0 to < 100% 3,684 153 3,837 95% 3,866 26.00% 37% 3 2,772 72% 383
100% (defaults) 5,356 98 5,454 88% 5,450 100.00% 2 2,030 37% 3,579
SUB-TOTAL 65,102 12,522 77,624 85% 76,400 9.62% 37% 3 28,163 37% 4,287 (4,158)
TOTAL 232,329 31,232 263,561 81% 258,913 5.58% 23% 4 57,355 22% 6,837 (6,685)
(*) 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.
Most of the mortgage exposures concern French Retail Banking, Belgian Retail Banking and Luxembourg Retail Banking. Mortgages are issued according to strict and well-defined procedures. Average probability of default on retail clients non-defaulted loans is 1.50%. The low average Loss Given Default level reflects the guarantees put in place when the mortgages were granted. Since 2013, all credit institutions have
implemented an add-on for risk-weighted assets on the Belgian mortgage portfolio at the supervisor s request.
Most of the Revolving exposures and Other exposures relate to consumer loans subsidiaries that have a wider range of customers in terms of credit quality and a lower level of guarantees.
