2018 Registration document and annual fi nancial report - BNP PARIBAS 359

5RISKS AND CAPITAL ADEQUACY PILLAR 3

5

Credit risk

In millions of euros PD scale

1 January 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% 63,006 2,838 65,844 100% 65,852 0.06% 12% 5 1,322 2% 5

0. 15 to < 0. 25% 16,008 558 16,566 100% 16,567 0.18% 13% 5 926 6% 4

0. 25 to < 0. 50% 32,848 915 33,763 96% 33,768 0.36% 16% 5 3,480 10% 19

0. 50 to < 0. 75% 12,089 595 12,684 67% 12,507 0.64% 15% 5 3,395 27% 12

0. 75 to < 2. 50% 16,002 837 16,839 79% 16,697 1.48% 15% 5 4,452 27% 37

2. 50 to < 10. 0% 7,517 272 7,789 64% 7,715 4.81% 16% 5 3,958 51% 60

10. 0 to < 100% 3,090 65 3,155 70% 3,139 22.29% 16% 5 2,733 87% 110

100% (defaults) 4,202 20 4,222 53% 4,216 100.00% 4 1,711 41% 1,188

SUB-TOTAL 154,762 6,100 160,862 91% 160,461 3.62% 14% 5 21,979 14% 1,435 1,601

Revolving exposures

0. 00 to < 0. 15% 109 5,741 5,850 94% 5,768 0.09% 62% 1 187 3% 3

0. 15 to < 0. 25% 45 655 700 65% 501 0.19% 70% 1 36 7% 1

0. 25 to < 0. 50% 107 1,973 2,081 53% 1,203 0.32% 60% 1 97 8% 2

0. 50 to < 0. 75% 166 451 617 49% 404 0.63% 67% 1 106 26% 2

0. 75 to < 2. 50% 1,137 2,355 3,493 43% 2,170 1.31% 51% 1 732 34% 14

2. 50 to < 10. 0% 1,629 915 2,545 67% 2,260 5.03% 48% 1 1,255 56% 55

10. 0 to < 100% 1,040 253 1,292 58% 1,202 23.74% 55% 1 880 73% 172

100% (defaults) 1,147 36 1,183 75% 1,175 100.00% 1 247 21% 909

SUB-TOTAL 5,381 12,379 17,760 72% 14,684 11.00% 58% 1 3,542 24% 1,158 1,211

Other exposures 0. 00 to < 0. 15% 9,669 2,591 12,260 88% 12,031 0.07% 41% 3 914 8% 3

0. 15 to < 0. 25% 2,820 1,000 3,821 85% 3,786 0.19% 41% 3 606 16% 3

0. 25 to < 0. 50% 12,119 2,366 14,485 91% 14,602 0.35% 36% 3 2,862 20% 18

0. 50 to < 0. 75% 6,574 1,477 8,051 59% 7,548 0.64% 38% 3 3,599 48% 18

0. 75 to < 2. 50% 15,698 3,018 18,715 86% 18,577 1.47% 36% 3 8,772 47% 98

2. 50 to < 10. 0% 9,289 1,272 10,562 81% 10,467 4.88% 37% 3 5,924 57% 187

10. 0 to < 100% 3,809 148 3,957 93% 3,985 26.51% 41% 2 2,899 73% 481

100% (defaults) 5,980 99 6,079 83% 6,069 100.00% 2 2,964 49% 3,793

SUB-TOTAL 65,958 11,971 77,929 83% 77,066 10.41% 38% 3 28,540 37% 4,601 4,878

TOTAL 226,100 30,451 256,551 80% 252,211 6.12% 23% 4 54,061 21% 7,195 7,691

(*) 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.

Most of the mortgage exposures concern French Retail Banking, Belgian Retail Banking and Luxembourg Retail Banking. Mortgages are issued according to strict and well-defi ned procedures. Average probability of default on retail clients performing loans is 1.56%. The low average Loss Given Default level reflects the guarantees put in place when the mortgages were granted. Since 2013, all credit institutions have

implemented an add-on for risk-weighted assets on the Belgian mortgage portfolio at the supervisor s request.

Most of the revolving exposures and other exposures relate to consumer loans subsidiaries that have a wider range of customers in terms of credit quality and a lower level of guarantees.