2018 Registration document and annual fi nancial report - BNP PARIBAS358

5 RISKS AND CAPITAL ADEQUACY PILLAR 3

5

Credit risk

➤ TABLE 35: IRBA EXPOSURE BY INTERNAL RATING AND ASSET CLASS RETAIL PORTFOLIO (EU CR6)

In millions of euros PD scale

31 December 2018

Balance sheet

exposure

Off- balance

sheet exposure

Total exposure

Average off-

balance sheet

CCF EAD Average

PD Average

LGD

Average residual maturity RWAs(*)

Average RW(*)

Expec- ted

Loss(**) Provi-

sions(**)

Mortgages 0. 00 to < 0. 15% 67,090 2,860 69,950 100% 69,958 0.06% 12% 5 1,416 2% 5

0. 15 to < 0. 25% 15,839 531 16,370 100% 16,372 0.18% 13% 5 945 6% 4

0. 25 to < 0. 50% 34,751 1,002 35,753 95% 35,743 0.36% 16% 5 3,698 10% 20

0. 50 to < 0. 75% 13,211 619 13,829 68% 13,645 0.64% 15% 5 4,746 35% 13

0. 75 to < 2. 50% 16,004 855 16,859 81% 16,730 1.44% 15% 5 4,937 30% 37

2. 50 to < 10. 0% 7,812 299 8,112 66% 8,028 4.85% 17% 5 4,760 59% 65

10. 0 to < 100% 2,995 69 3,064 70% 3,045 20.77% 16% 5 3,074 101% 102

100% (defaults) 3,952 17 3,969 56% 3,964 100.00% 4 1,849 47% 1,204

SUB-TOTAL 161,655 6,252 167,907 91% 167,485 3.29% 14% 5 25,425 15% 1,450 1,446

Revolving exposures

0. 00 to < 0. 15% 171 6,192 6,363 88% 5,932 0.08% 64% 1 180 3% 3

0. 15 to < 0. 25% 66 973 1,039 84% 921 0.18% 63% 1 62 7% 1

0. 25 to < 0. 50% 151 1,459 1,610 51% 942 0.34% 64% 1 80 9% 2

0. 50 to < 0. 75% 196 712 907 43% 519 0.62% 65% 1 140 27% 2

0. 75 to < 2. 50% 1,202 2,036 3,238 46% 2,177 1.37% 53% 1 795 37% 15

2. 50 to < 10. 0% 1,707 852 2,559 65% 2,279 5.31% 51% 1 1,380 61% 62

10. 0 to < 100% 964 200 1,164 66% 1,114 24.73% 53% 1 772 69% 148

100% (defaults) 1,117 33 1,150 78% 1,144 100.00% 1 358 31% 867

SUB-TOTAL 5,573 12,458 18,031 72% 15,028 10.53% 59% 1 3,768 25% 1,101 1,080

Other exposures 0. 00 to < 0. 15% 10,281 2,736 13,017 88% 12,785 0.07% 40% 3 972 8% 4

0. 15 to < 0. 25% 2,922 1,116 4,038 86% 3,937 0.19% 41% 2 626 16% 3

0. 25 to < 0. 50% 11,539 2,538 14,078 91% 14,029 0.34% 36% 3 2,789 20% 17

0. 50 to < 0. 75% 6,591 1,568 8,159 61% 7,622 0.63% 37% 3 3,853 51% 18

0. 75 to < 2. 50% 15,205 3,011 18,216 87% 17,988 1.44% 36% 3 8,706 48% 93

2. 50 to < 10. 0% 9,524 1,301 10,825 84% 10,723 4.86% 37% 3 6,414 60% 191

10. 0 to < 100% 3,684 153 3,837 95% 3,866 26.00% 37% 3 2,772 72% 383

100% (defaults) 5,356 98 5,454 88% 5,450 100.00% 2 2,030 37% 3,579

SUB-TOTAL 65,102 12,522 77,624 85% 76,400 9.62% 37% 3 28,163 37% 4,287 4,158

TOTAL 232,329 31,232 263,561 81% 258,913 5.58% 23% 4 57,355 22% 6,837 6,685

(*) 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.