2018 Registration document and annual fi nancial report - BNP PARIBAS354

5 RISKS AND CAPITAL ADEQUACY PILLAR 3

5

Credit risk

➤ TABLE 33: IRBA EXPOSURE BY PD SCALE AND ASSET CLASS SOVEREIGN, FINANCIAL INSTITUTION, CORPORATE AND SPECIALISED FINANCING PORTFOLIOS (EU CR6)

In millions of euros PD range

31 December 2018

Balance sheet

exposure

Off- balance

sheet exposure

Total exposure

Average off-

balance sheet

CCF EAD Average PD Number of

obligors

Ave- rage LGD

Average r esidual maturity RWAs(*)

Average RW(*)

Expec- ted

Loss(**) Provi-

sions(**)

Central governments and central banks

0. 00 to < 0. 15% 275, 585 1, 815 277, 400 55% 276, 903 0.01%

1, 000 to 10,000 1% 2 513 0% 1

0. 15 to < 0. 25% 1,525 18 1,543 52% 1,535 0.19% 0 to 100 16% 3 316 21% 0

0. 25 to < 0. 50% 2,509 81 2,590 63% 2,560 0.30% 0 to 100 22% 2 609 24% 2

0. 50 to < 0. 75% 799 732 1,530 55% 1,202 0.69% 0 to 100 12% 2 234 19% 1

0. 75 to < 2. 50% 163 1 164 64% 163 1.08% 0 to 100 29% 2 92 56% 0

2. 50 to < 10. 0% 717 164 881 64% 822 5.94% 0 to 100 9% 3 246 30% 4

10. 0 to < 100% 403 197 600 75% 551 14.61% 0 to 100 6% 3 192 35% 7 100% (defaults) 101 1 103 55% 102 100.00% 0 to 100 2 0 0% 9

SUB-TOTAL 281,801 3,009 284,811 57% 283,837 0.10% 2% 2 2,201 1% 23 9 Institutions 0. 00 to <

0. 15% 20,134 15,589 35,723 50% 27,919 0.05% 1,000 to

10,000 17% 2 2,632 9% 3 0. 15 to <

0. 25% 2,126 1,256 3,381 52% 2,778 0.18% 100 to 1,000 37% 2 953 34% 2

0. 25 to < 0. 50% 2,141 703 2,844 43% 2,443 0.34%

1,000 to 10,000 29% 2 976 40% 2

0. 50 to < 0. 75% 1,059 620 1,679 41% 1,317 0.67%

100 to 1,000 17% 2 849 64% 1

0. 75 to < 2. 50% 1,300 792 2,091 43% 1,646 1.28%

100 to 1,000 33% 2 1,089 66% 7

2. 50 to < 10. 0% 384 354 738 45% 545 4.44%

100 to 1,000 31% 2 493 90% 9

10. 0 to < 100% 22 67 88 84% 78 21.34% 100 to 1,000 45% 2 183 234% 7

100% (defaults) 270 46 315 78% 305 100.00% 0 to 100 4 10 3% 206 SUB-TOTAL 27,434 19,426 46,859 49% 37,030 1.09% 21% 2 7,184 19% 237 250 Corporates 0. 00 to <

0. 15% 56,531 131,721 188,253 52% 125,641 0.07% 10,000 to

20,000 38% 2 25,709 20% 32 0. 15 to <

0. 25% 29,955 30,598 60,553 47% 44,496 0.18% 10,000 to

20,000 35% 2 15,286 34% 28 0. 25 to <

0. 50% 47,249 32,567 79,816 48% 63,185 0.35% 40,000 to

50,000 33% 3 28,955 46% 72 0. 50 to <

0. 75% 15,525 15,420 30,945 32% 20,608 0.68% 20,000 to

30,000 27% 3 12,510 61% 37 0. 75 to <

2. 50% 50,140 27,051 77,192 44% 62,210 1.34% 60,000 to

70,000 28% 3 41,661 67% 233 2. 50 to <

10. 0% 32,532 16,626 49,158 48% 40,655 4.33% 50,000 to

60,000 32% 3 43,644 107% 503

10. 0 to < 100% 3,186 2,274 5,461 54% 4,422 16.56% 1,000 to

10,000 30% 3 6,949 157% 220

100% (defaults) 11,551 1,476 13,028 40% 12,159 100.00% 10,000 to

20,000 2 621 5% 6,907 SUB-TOTAL 246,670 257,735 504,405 49% 373,376 4.29% 34% 3 175,335 47% 8,032 8,401 TOTAL 555,905 280,170 836,075 49% 694,244 2.41% 20% 2 184,720 27% 8,292 8,660

(*) A dd-on included. (**) The expected losses and provisions are not directly comparable data: the expected one-year losses are statistical estimates through the cycle (TTC)

whilst the provisions for credit risk are calculated according to the IFRS 9 standard as explained in note 1.e.5 to the fi nancial statements.