2018 Registration document and annual fi nancial report - BNP PARIBAS 353

5RISKS AND CAPITAL ADEQUACY PILLAR 3

5

Credit risk

➤ FIGURE 7: IRBA EXPOSURE BY INTERNAL RATING SOVEREIGN, FINANCIAL INSTITUTION, CORPORATE AND SPECIALISED FINANCING PORTFOLIOS [Audited]

% of exposure Excellent, good and average risks Under credit watch

1098765431 2

12.67% 21.10%6.49%2.93%1.03%0.35%0.17%0.08%0.01% 0.03% Average PD at

one year horizon at 31/12/2018

Rating

31 December 2018 1 January 2018

0

5

10

15

20

25

30

35

SOVEREIGN, FINANCIAL INSTITUTION, CORPORATE AND SPECIALISED FINANCING PORTFOLIOS The table below presents the breakdown by PD range of the corporate loans and commitments for the asset classes: central governments and central banks, institutions and corporates for all the Group s business lines using the advanced IRB Approach. This exposure represented EUR 836 billion at 31 December 2018, including EUR 823 billion of performing loans and EUR 13 billion of non-performing loans, compared with EUR 807 billion at 1 January 2018, including EUR 791 billion of performing loans and EUR 16 billion of non-performing loans.

The table also gives the weighted averages of the main risk parameters in the Basel framework:

■ average probability of default weighted by exposure at default: average PD ;

■ weighted average of Credit Conversion Factor (CCF) for off-balance sheet items defi ned as the ratio of the exposure at default divided by the off-balance sheet exposure: average CCF ;

■ average Loss Given Default weighted by exposure at default: average LGD ;

■ average of residual maturities (in years) weighted by the exposure at default: average maturity;

■ as well as the average risk weight: average RW defi ned as the ratio between risk-weighted assets and exposure at default (EAD).

The column Expected loss presents the expected loss at a one-year horizon.