3532019 Universal registration document and annual financial report - BNP PARIBAS

5risks and CaPital adequaCy Pillar 3

5

Credit risk

➤ TABLE 37: AVERAGE PD AND LGD OF THE RETAIL PORTFOLIO BY GEOGRAPHIC REGION

In millions of euros

31 December 2019

Non-defaulted exposure Average PD Average LGD

Europe(*) 263,483 1.50% 23%

of which France 134,462 1.45% 24%

of which Belgium 77,269 1.33% 18%

of which Luxembourg 7,899 0.87% 24%

of which Italy 32,566 1.53% 24%

North America 126 n.s. n.s.

Asia Pacific 84 n.s. n.s.

Rest of the World 212 n.s. n.s.

TOTAL 263,904 1.50% 23%

(*) 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(*) 252,638 1.56% 23%

of which France 128,986 1.50% 24%

of which Belgium 73,131 1.37% 18%

of which Luxembourg 7,067 0.92% 23%

of which Italy 32,673 1.66% 24%

North America 69 n.s. n.s.

Asia Pacific 78 n.s. n.s.

Rest of the World 202 n.s. n.s.

TOTAL 252,988 1.56% 23%

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

CREDIT RISK: STANDARDISED APPROACH

For exposures under the standardised approach, BNP Paribas uses the external ratings from External Credit Assessment Institutions (ECAIs) Standard & Poor s, Moody s, Fitch Ratings, Cerved and Banque de France recognised by the supervisor.

The ratings supplied by Standard & Poor s, Moody s and Fitch Ratings are mainly used for exposures to Central governments and central banks, Regional and local authorities, Public sector entities and Multilateral development banks, Institutions and Corporates. The ratings supplied by the Banque de France are mainly used for corporate exposures and exposures secured by a mortgage on a real estate asset. The ratings supplied by Cerved are mainly used for Corporate exposures.

When there is no directly applicable external rating, the issuer s senior unsecured rating may, if available, be obtained from external databases and used for risk-weighting purposes in some cases.

As at 31 December 2019, standardised approach exposure represented 27% of the BNP Paribas Group s total gross exposures to credit risk, slightly decreasing compared to 28% as of 31 December 2018.

The following table shows a summary of standardised risk-weighted exposures broken down by regulatory asset class. The equity exposures weighted using the standardised approach consist primarily of asset value guarantees given to fund unit holders.