2018 Registration document and annual fi nancial report - BNP PARIBAS 355

5RISKS AND CAPITAL ADEQUACY PILLAR 3

5

Credit risk

In millions of euros PD range

1 January 2018

Balance sheet

exposure

Off- balance

sheet exposure

Total exposure

Average off-

balance sheet

CCF EAD Average

PD Number of

obligors Average

LGD

Average residual maturity RWAs(*)

Average RW(*)

Expec- ted

Loss(**) Provi-

sions(**)

Central governments and central banks

0. 00 to < 0. 15% 263,607 2,146 265,754 65% 265,216 0. 01% 100 to 1, 000 2% 2 1,014 0% 1

0. 15 to < 0. 25% 595 20 615 53% 606 0. 16% 0 to 100 10% 2 39 6% 0

0. 25 to < 0. 50% 2, 734 48 2, 782 54% 2, 760 0. 34% 0 to 100 29% 2 1,017 37% 3

0. 50 to < 0. 75% 865 819 1, 684 55% 1, 316 0. 69% 0 to 100 12% 2 271 21% 1

0. 75 to < 2. 50% 241 2 243 71 % 242 1. 49% 0 to 100 24% 3 157 65% 1

2. 50 to < 10. 0% 828 158 987 55% 915 6.26% 100 to 1, 000 8 % 3 260 28% 4

10. 0 to < 100% 484 236 720 74% 659 16.20% 0 to 100 8 % 3 293 44% 10

100% (defaults) 90 - 90 - 90 100.00% 0 to 100 3 5 6% 19

SUB-TOTAL 269,444 3,430 272,874 63% 271,804 0.11% 2 % 2 3,056 1% 38 60 Institutions

0. 00 to < 0. 15% 19,192 12,899 32,092 59% 26,765 0. 05% 1,000 to

10, 000 18% 2 2,568 10% 3

0. 15 to < 0. 25% 2,137 3,688 5,825 49% 3,931 0. 17% 100 to 1,000 35% 2 1,081 28% 2

0. 25 to < 0. 50% 3,317 852 4,169 43% 3,693 0. 32% 100 to 1,000 23% 2 1,249 34% 3

0. 50 to < 0. 75% 1,014 430 1,445 31% 1,147 0. 67% 100 to 1,000 27% 2 1,241 108% 2

0. 75 to < 2. 50% 1,179 813 1,992 61% 1,674 1. 33% 100 to 1,000 32% 2 1,170 70% 7

2. 50 to < 10. 0% 480 331 811 44% 628 4. 05% 100 to 1,000 40% 2 806 128% 10

10. 0 to < 100% 14 61 75 82% 64 22. 94% 100 to 1,000 33% 1 101 159% 5

100% (defaults) 294 28 322 100% 321 100.00% 0 to 100 4 9 3% 197

SUB-TOTAL 27,628 19,102 46,730 55% 38,225 1.11% 22% 2 8,226 22% 229 288 Corporates

0. 00 to < 0. 15% 48,114 122,603 170,718 53% 113,366 0.07% 10,000 to

20,000 38% 2 23,510 21% 28

0. 15 to < 0. 25% 26,561 34,126 60,687 48% 43,253 0.18% 10,000 to

20,000 37% 3 16,106 37% 29

0. 25 to < 0. 50% 47,043 33,110 80,154 50% 63,703 0.35% 30,000 to

40,000 35% 3 31,097 49% 77

0. 50 to < 0. 75% 15,682 14,174 29,856 33% 20,537 0.68% 20,000 to

30,000 27% 3 11,799 57% 38

0. 75 to < 2. 50% 48,022 25,951 73,973 43% 59,548 1.36% 50,000 to

60,000 29% 3 39,927 67% 229

2. 50 to < 10. 0% 31,527 17,969 49,495 48% 40,216 4.27% 40,000 to

50,000 32% 3 43,361 108% 536

10. 0 to < 100% 4,650 2,655 7,305 48% 5,963 18.25% 1,000 to

10,000 33% 2 10,738 180% 379

100% (defaults) 13,749 1,670 15,419 47% 14,517 100.00% 10,000 to

20,000 2 1,362 9% 8,181

SUB-TOTAL 235,348 252,258 487,606 49% 361,101 5.16% 35% 3 177,900 49% 9,498 9,382

TOTAL 532,420 274,790 807,210 50% 671,130 2.89% 20% 2 189,182 28% 9,766 9,731

(*) 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.