2018 Registration document and annual fi nancial report - BNP PARIBAS356

5 RISKS AND CAPITAL ADEQUACY PILLAR 3

5

Credit risk

Most of the Group s Central government and central bank counterparties are of very high credit quality and based in developed countries, meaning that they have very good internal ratings and very low average Loss Given Default.

The majority of the Group s corporate commitments concerns counterparties of excellent or good quality, refl ecting the large part of multinationals in BNP Paribas customer base. Other exposures are

mainly structured transactions or transactions secured by high-quality assets, refl ected in their average LGD levels.

On average, the probability of default excluding counterparty default stands at 0.61%. It is 1.07% for Corporates.

➤ TABLE 34: AVERAGE PD AND LGD OF THE CORPORATE ASSET CLASS BY GEOGRAPHIC REGION

In millions of euros

31 December 2018

Non-defaulted exposure Average PD Average LGD

Europe(*) 328,755 1.10% 34%

of which France 100,575 1.07% 37%

of which Belgium 62,970 1.65% 26%

of which Luxembourg 16,442 0.97% 31%

of which Italy 42,613 1.17% 40%

North America 85,985 0.81% 35%

Asia Pacifi c 45,829 1.10% 35%

Rest of the World 30,809 1.30% 29%

TOTAL 491,378 1.07% 34%

(*) Within the European Union and the European Free Trade Association (EFTA).

In millions of euros

1 January 2018

Non-defaulted exposure Average PD Average LGD

Europe(*) 322,218 1.17% 35%

of which France 102,242 1.09% 38%

of which Belgium 59,307 1.60% 27%

of which Luxembourg 15,507 1.05% 30%

of which Italy 43,706 1.31% 42%

North America 75,332 1.06% 35%

Asia Pacifi c 46,376 1.08% 38%

Rest of the World 28,262 1.90% 27%

TOTAL 472,187 1.19% 35%

(*) Within the European Union and the European Free Trade Association (EFTA).