2018 Registration document and annual fi nancial report - BNP PARIBAS360
5 RISKS AND CAPITAL ADEQUACY PILLAR 3
5
Credit risk
➤ TABLE 36: AVERAGE PD AND LGD OF THE RETAIL PORTFOLIO BY GEOGRAPHIC REGION
In millions of euros
31 December 2018
Non-defaulted exposure Average PD Average LGD
Europe(*) 252,638 1.56% 23%
of which France 128,986 1.50% 24%
of which Belgium 73,131 1.37% 18%
of which Luxembourg 7,067 0.92% 23%
of which Italy 32,673 1.66% 24%
North America 69 n.s. n.s.
Asia Pacifi c 78 n.s. n.s.
Rest of the World 202 n.s. n.s.
TOTAL 252,988 1.56% 23%
(*) 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(*) 244,693 1.65% 23%
of which France 125,927 1.59% 24%
of which Belgium 71,211 1.51% 18%
of which Luxembourg 6,162 0.87% 23%
of which Italy 32,133 1.77% 25%
North America 71 n.s. n.s.
Asia Pacifi c 85 n.s. n.s.
Rest of the World 220 n.s. n.s.
TOTAL 245,068 1.65% 23%
(*) Within the European Union and the European Free Trade Association (EFTA).
CREDIT RISK: STANDARDISED APPROACH
For exposures under the standardised approach, BNP Paribas uses the external ratings from External Credit Assessment Institutions (ECAIs) Standard & Poor s, Moody s, Fitch Ratings, Euler Hermes Rating GmbH, Cerved and Banque de France in accordance with the instructions issued by the supervisor.
When there is no directly applicable external rating, the issuer s senior unsecured rating may, if available, be obtained from external databases and used for risk-weighting purposes in some cases.
As at 31 December 2018, standardised approach exposure represents 28% of the BNP Paribas Group s total gross exposures to credit risk, stable compared with 1 January 2018.
The following table shows a summary of standardised risk-weighted exposures broken down by regulatory asset class. The equity exposures weighted using the standardised approach consist primarily of asset value guarantees given to fund unit holders.
