2018 REGISTRATION DOCUMENT AND ANNUAL FINANCIAL REPORT

2018 Registration document and annual fi nancial report - BNP PARIBAS 351

5RISKS AND CAPITAL ADEQUACY PILLAR 3

Credit risk

➤ TABLE 31: BACKTESTING OF PD (EU CR9)

Portfolio BNP Paribas

rating

Long- term issuer s credit

rating PD range

2017(*)

Arithmetical average PD

Number of non-defaulted obligors at the

beginning of the exercise

Number of defaults

among the non- defaulted obligors at the

beginning of the exercise

Historic average

default rates Sovereigns and p ublic s ector e ntities

1+ to 3- AAA to BBB+ 0.00 to 0.11% 0.03% 107 - 0.00%

4+ to 5- BBB to BBB- 0.11 to 0.58% 0.27% 82 - 0.48%

6+ to 8- BB+ to B+ 0.58 to 8.76% 3.64% 32 - 0.28%

9+ to 10- B to C 8.76 to < 100% 17.64% 16 - 4.76% Institutions(**) 1+ to 3- AAA to BBB+ 0.00 to 0.11% 0.05% 1,089 - 0.08%

4+ to 5- BBB to BBB- 0.11 to 0.58% 0.24% 890 - 0.15%

6+ to 8- BB+ to B+ 0.58 to 8.76% 2.63% 1,065 3 0.34% 9+ to 10- B to C 8.76 to < 100% 14.51% 69 2 1.88%

Large c orporates(***) 1+ to 3- AAA to BBB+ 0.00 to 0.11% 0.06% 2,421 - 0.06%

4+ to 5- BBB to BBB- 0.11 to 0.58% 0.27% 5,308 2 0.15%

6+ to 8- BB+ to B+ 0.58 to 8.76% 2.74% 7,860 41 0.90% 9+ to 10- B to C 8.76 to < 100% 15.30% 471 31 12.27%

Individuals 1+ to 3- AAA to BBB+ 0.00 to 0.11% 0.04% 2,797,776 1,432 0.04%

4+ to 5- BBB to BBB- 0.11 to 0.58% 0.28% 1,838,568 5,323 0.28%

6+ to 8- BB+ to B+ 0.58 to 8.76% 2.40% 1,223,339 24,443 2.24% 9+ to 10- B to C 8.76 to < 100% 19.26% 116,362 18,881 17.82%

Professionals & SME r etail 1+ to 3- AAA to BBB+ 0.00 to 0.11% 0.06% 73,674 71 0.07%

4+ to 5- BBB to BBB- 0.11 to 0.58% 0.31% 269,424 852 0.27%

6+ to 8- BB+ to B+ 0.58 to 8.76% 2.93% 373,505 8,835 2.24% 9+ to 10- B to C 8.76 to < 100% 23.98% 55,474 11,410 19.28%

SME c orporate 1+ to 3- AAA to BBB+ 0.00 to 0.11% 0.08% 2,016 3 0.16%

4+ to 5- BBB to BBB- 0.11 to 0.58% 0.33% 27,523 52 0.26%

6+ to 8- BB+ to B+ 0.58 to 8.76% 2.51% 62,509 965 2.14% 9+ to 10- B to C 8.76 to < 100% 19.34% 5,092 734 17.37%

(*) Data based on the 2016 backtesting exercise for the Individuals, Professionals & SME r etail and SME c orporate portfolios. (**) Including the Banks, Insurance and Regulated funds & Agency arrangements portfolios. (***) Including the Large corporates, Real Estate n on-r etail in France, Project fi nancing and Energy and C ommodity fi nancing portfolios.