3912019 Universal registration document and annual financial report - BNP PARIBAS

5risks and CaPital adequaCy Pillar 3

5

Counterparty credit risk

The following tables provide: the calculation of risk-weighted assets according to the Basel risk parameters using an IRB approach (see paragraph Sovereign, financial institution, corporate and specialised financing portfolios in Credit risk: Internal Ratings Based Approach (IRBA) in section 5.4), then using the standardised approach.

➤ TABLE 66: IRBA BILATERAL COUNTERPARTY CREDIT RISK EXPOSURE AT DEFAULT (EU CCR4)

In millions of euros PD scale

31 December 2019

EAD Average PD Number of

obligors Average LGD Average maturity RWAs Average RW

Central governments or central banks

0.00 to < 0.15% 37,519 0.02% 100 to 1,000 1% 2 176 0%

0.15 to < 0.25% 45 0.20% 0 to 100 20% 1 8 17%

0.25 to < 0.50% 12 0.28% 0 to 100 50% 2 8 61%

0.50 to < 0.75% 2 0.69% 0 to 100 50% 2 2 96%

0.75 to < 2.50% 1 1.10% 0 to 100 50% 1 1 93%

2.50 to < 10.0% 170 3.12% 0 to 100 50% 5 339 199%

10.0 to < 100% 1 n.s. 0 to 100 n.s. n.s. 6 n.s.

100% (defaults) - - - - -

SUB-TOTAL 37,751 0.04% 2% 2 540 1%

Institutions 0.00 to < 0.15% 17,265 0.05%

1,000 to 10,000 24% 1 2,078 12%

0.15 to < 0.25% 1,058 0.18% 100 to 1,000 38% 1 347 33%

0.25 to < 0.50% 1,169 0.35% 100 to 1,000 48% 1 707 60%

0.50 to < 0.75% 131 0.68% 0 to 100 56% 1 86 65%

0.75 to < 2.50% 267 1.38% 100 to 1,000 56% 1 234 88%

2.50 to < 10.0% 173 4.51% 100 to 1,000 53% 1 242 140%

10.0 to < 100% 0 11.95% 0 to 100 38% 1 0 179%

100% (defaults) 26 100.00% 0 to 100 0 2%

SUB-TOTAL 20,091 0.26% 27% 1 3,695 18%

Corporates 0.00 to < 0.15% 53,373 0.06%

1,000 to 10,000 33% 1 8,319 16%

0.15 to < 0.25% 4,630 0.17% 1,000 to

10,000 34% 2 1,499 32%

0.25 to < 0.50% 3,446 0.37% 1,000 to

10,000 36% 2 1,753 51%

0.50 to < 0.75% 1,588 0.69% 100 to 1,000 33% 3 1,071 67%

0.75 to < 2.50% 2,991 1.33% 1,000 to

10,000 56% 2 3,876 130%

2.50 to < 10.0% 1,399 4.35% 1,000 to

10,000 48% 2 2,145 153%

10.0 to < 100% 122 16.86% 100 to 1,000 53% 2 359 295%

100% (defaults) 111 100.00% 0 to 100 7 6%

SUB-TOTAL 67,660 0.43% 35% 1 19,028 28%

Retail 0 n.s. n.s. n.s. 0 n.s.

TOTAL 125,501 0.29% 24% 2 23,263 19%