Universal registration document and annual financial report 2019

4612019 Universal registration document and annual financial report - BNP PARIBAS

5risks and CaPital adequaCy Pillar 3

Appendix 5: List of tables and figures

Page

Table 32 Backtesting of PD (EU CR9) 344

Table 33 Backtesting of LGD 345

Figure 7 IRBA exposure by internal rating Sovereign, financial institution, corporate and specialised financing portfolios 346

Table 34 IRBA exposure by PD scale and asset class Sovereign, financial institution, corporate and specialised financing portfolios (EU CR6) 347

Table 35 Average PD and LGD of the corporate asset class by geographic region 349

Figure 8 IRBA exposure by internal rating Retail portfolio 350

Table 36 IRBA exposure by internal rating and asset class Retail portfolio (EU CR6) 351

Table 37 Average PD and LGD of the retail portfolio by geographic region 353

Table 38 Standardised credit risk exposures by standard exposure class (EU CR4) 354

Table 39 Standardised credit exposure at default (EU CR5) 355

Figure 9 Standardised credit exposure at defaul by risk-weight 356

Table 40 Equity positions under the simple weighting method (EU CR10) 358

Table 41 Insurance undertakings (INS1) 358

Table 42 Equity under the simple weighting method risk-weighted assets movements by key driver 358

Table 43 Performing and non performing exposures and related provisions (EU NPL4) 360

Table 44 Performing and non performing exposures by past due days (EU NPL3) 362

Table 45 Breakdown of financial assets subject to impairment by stage and internal rating 364

Table 46 Exposures and provisions by asset class (EU CR1-A) 366

Table 47 Exposures and provisions by geographic region (EU CR1-C) 368

Table 48 Exposures and stage 3 provisions by industry (EU CR1-B) 370

Table 49 Credit quality of restructured loans (EU NPL1) 372

Table 50 IRBA Credit risk mitigation for sovereign, financial institution, corporate and specialised financing portfolios 374

Table 51 Standardised approach Credit risk mitigation for sovereign, financial institution, corporate and specialised financing portfolios 374

5.5 SECURITISATION IN THE BANKING BOOK 375

Table 52 Securitised exposures and securitisation positions (held or acquired) by role 375

Table 53 Securitised exposures by BNP Paribas as originator 376

Table 54 Securitised exposures by BNP Paribas as originator by underlying asset category 377

Table 55 Securitised exposures by BNP Paribas as sponsor by underlying asset category 377

Table 56 Securitisation positions in the banking book by type of asset (EU SEC1) 380

Table 57 Securitisation positions, exposure in default and provisions by underlying asset s geographic area 381

Table 58 Banking book securitisation position quality 381

Table 59 Securitisation positions and risk-weighted assets by approach 383

Table 60 Securitisation risk-weighted assets movements by key driver 383

Table 61 Securitisation positions and risk-weighted assets BNP Paribas acting as originator or as sponsor (EU SEC3) 384

Table 62 Securitisation positions and risk-weighted assets BNP Paribas acting as investor (EU SEC4) 385

5.6 COUNTERPARTY CREDIT RISK 386

Table 63 Counterparty credit risk exposure at default by asset class (excl. CVA risk charge) 389

Table 64 Counterparty credit risk exposure at default by product (excl. CVA risk charge) 389

Table 65 Bilateral counterparty credit risk exposure at default by approach (EU CCR1) 390

Table 66 IRBA bilateral counterparty credit risk exposure at default (EU CCR4) 391

Table 67 Standardised bilateral counterparty credit risk exposure at default (EU CCR3) 393

Table 68 Bilateral counterparty credit risk exposure at default by rating 393

Table 69 Exposure to central counterparties (CCP) (EU CCR8) 394