2018 Registration document and annual fi nancial report - BNP PARIBAS 331

5RISKS AND CAPITAL ADEQUACY PILLAR 3

5

Credit risk

5.4 Credit risk

Credit risk is the consequence resulting from the likelihood that a borrower or counterparty will fail to meet its obligations in accordance with agreed terms. The probability of default and the expected recovery on the loan or receivable in the event of default are key components of the credit quality assessment.

EXPOSURE TO CREDIT RISK [Audited]

The following table shows the gross exposure of all of the BNP Paribas Group s assets exposed to credit risk. The banking book securitisation positions as well as derivatives and repurchase agreements exposed to counterparty risk are excluded from this section and presented in section 5.5 and 5.6, respectively.

In accordance with the EBA s recommendations published in December 2016 on the revised Pillar 3, equity exposures under the standardised approach and using the simple weighting method are included in this section.

The main differences between the carrying amounts of the prudential balance sheet and the risk exposure amounts used for regulatory purposes are presented in Table 11 in the Scope of Application section of section 5.2.

These gross exposure amounts do not take into account guarantee and collateral received by the Group in its normal credit risk management operations (see the section Credit risk mitigation techniques).

➤ TABLE 23: CREDIT RISK EXPOSURE BY ASSET CLASS AND APPROACH [Audited]

Exposure In millions of euros

31 December 2018 1 January 2018 Variation

IRB approach

Standardised approach(*)

Simple weighting

method Total IRB

approach Standardised

approach(*)

Simple weighting

method Total Total

Total excluding

foreign exchange

effect

Central governments and central banks 284,811 40,579 - 325,390 272,874 46,000 - 318,874 6,515 3,720

Corporates 504,405 146,722 - 651,127 487,606 144,290 - 631,896 19,231 10,940

Institutions(**) 46,859 23,490 - 70,350 46,730 24,556 - 71,286 (936) (1,642)

Retail 263,561 186,027 - 449,589 256,551 182,554 - 439,105 10,484 12,667

Equity - 1,262 12,959 14,220 - 1,699 13,621 15,320 (1,100) (1,147)

Other items(***) 833 32,013 - 32,846 381 28,040 - 28,420 4,426 4,541

TOTAL 1,100,469 430,094 12,959 1,543,521 1,064,142 427,139 13,621 1,504,902 38,620 29,079

(*) In the following paragraphs, stand ardised credit risk exposures are reported according to the regulatory standardised classifi cation. (**) Institutions asset class comprises credit institutions and investment fi rms, including those recognised in other countries. It also includes some exposures

to regional and local authorities, public sector agencies and multilateral development banks that are not treated as central government authorities. (***) Other non credit-obligation assets include tangible assets, accrued income and residual values

Exposure related to loan acquisitions on the secondary market in 2018 only accounts for a marginal amount.