392 2019 Universal registration document and annual financial report - BNP PARIBAS

5 risks and CaPital adequaCy Pillar 3

5

Counterparty credit risk

In millions of euros PD scale

31 December 2018

EAD Average PD Number of

obligors Average LGD Average maturity RWAs Average RW

Central governments or central banks

0.00 to < 0.15% 25,247 0.03% 100 to 1,000 1% 3 116 0%

0.15 to < 0.25% 18 0.17% 0 to 100 26% 2 5 26%

0.25 to < 0.50% 36 0.33% 0 to 100 49% 2 20 55%

0.50 to < 0.75% 9 0.69% 0 to 100 50% 2 7 85%

0.75 to < 2.50% 0 1.13% 0 to 100 39% 2 0 81%

2.50 to < 10.0% 1 4.39% 0 to 100 68% 1 1 205%

10.0 to < 100% 83 13.52% 0 to 100 60% 3 262 318%

100% (defaults) - - - - -

SUB-TOTAL 25,393 0.07% 2% 3 412 2%

Institutions 0.00 to < 0.15% 18,675 0.05%

1,000 to 10,000 22% 1 1,471 8%

0.15 to < 0.25% 1,254 0.19% 100 to 1,000 45% 1 451 36%

0.25 to < 0.50% 1,120 0.35% 100 to 1,000 50% 1 660 59%

0.50 to < 0.75% 222 0.69% 100 to 1,000 50% 1 202 91%

0.75 to < 2.50% 180 1.27% 100 to 1,000 51% 2 199 111%

2.50 to < 10.0% 181 3.91% 100 to 1,000 57% 1 338 187%

10.0 to < 100% 16 11.44% 0 to 100 19% 1 14 86%

100% (defaults) 1 100.00% 0 to 100 - 0%

SUB-TOTAL 21,649 0.13% 26% 1 3,336 15%

Corporates 0.00 to < 0.15% 43,038 0.06%

1,000 to 10,000 32% 1 6,257 15%

0.15 to < 0.25% 4,850 0.17% 1,000 to

10,000 37% 2 1,499 31%

0.25 to < 0.50% 3,284 0.36% 1,000 to

10,000 41% 2 1,674 51%

0.50 to < 0.75% 1,128 0.69% 100 to 1,000 31% 3 665 59%

0.75 to < 2.50% 2,974 1.30% 1,000 to

10,000 52% 2 3,488 117%

2.50 to < 10.0% 1,141 4.33% 1,000 to

10,000 55% 2 2,044 179%

10.0 to < 100% 154 17.75% 100 to 1,000 46% 2 373 242%

100% (defaults) 88 100.00% 0 to 100 0 0%

SUB-TOTAL 56,656 0.45% 34% 1 15,999 28%

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

TOTAL 103,699 0.29% 24% 2 19,747 19%