2018 Registration document and annual fi nancial report - BNP PARIBAS 389

5RISKS AND CAPITAL ADEQUACY PILLAR 3

5

Counterparty credit risk

The following tables provide: the calculation of risk-weighted assets according to the Basel risk parameters using an IRB approach (see paragraph Sovereign, fi nancial institution, corporate and specialised

fi nancing portfolios in Credit risk: Internal Ratings Based Approach (IRBA) in section 5.4) then using the standardised approach.

➤ TABLE 63: IRBA BILATERAL COUNTERPARTY CREDIT RISK EXPOSURE AT DEFAULT (EU CCR4)

In millions of euros

31 December 2018

PD scale

a b c d e f g

EAD Average PD Number of

obligors Average LGD Average

marturity RWAs Average RW

Central governments or central banks

0. 00 to < 0. 15% 25,247 0.03% 100 to 1,000 1% 3 116 0%

0. 15 to < 0. 25% 18 0.17% 0 to 100 26% 2 5 26%

0. 25 to < 0. 50% 36 0.33% 0 to 100 49% 2 20 55%

0. 50 to < 0. 75% 9 0.69% 0 to 100 50% 2 7 85%

0. 75 to < 2. 50% 0 1.13% 0 to 100 39% 2 0 81%

2. 50 to < 10. 0% 1 4.39% 0 to 100 68% 1 1 205%

10. 0 to < 100% 83 13.52% 0 to 100 60% 3 262 318%

100% (defaults) - 0.00% - - -

Sub-total 25,393 0.07% 2% 3 412 2%

Institutions 0. 00 to < 0. 15% 18,675 0.05%

1,000 to 10,000 22% 1 1,471 8%

0. 15 to < 0. 25% 1,254 0.19% 100 to 1,000 45% 1 451 36%

0. 25 to < 0. 50% 1,120 0.35% 100 to 1,000 50% 1 660 59%

0. 50 to < 0. 75% 222 0.69% 100 to 1,000 50% 1 202 91%

0. 75 to < 2. 50% 180 1.27% 100 to 1,000 51% 2 199 111%

2. 50 to < 10. 0% 181 3.91% 100 to 1,000 57% 1 338 187%

10. 0 to < 100% 16 11.44% 0 to 100 19% 1 14 86%

100% (defaults) 1 100.00% 0 to 100 - 0%

Sub-total 21,649 0.13% 26% 1 3,336 15%

Corporates 0. 00 to < 0. 15% 43,038 0.06%

1,000 to 10,000 32% 1 6,257 15%

0. 15 to < 0. 25% 4,850 0.17% 1,000 to

10,000 37% 2 1,499 31%

0. 25 to < 0. 50% 3,284 0.36% 1,000 to

10,000 41% 2 1,674 51%

0. 50 to < 0. 75% 1,128 0.69% 100 to 1,000 31% 3 665 59%

0. 75 to < 2. 50% 2,974 1.30% 1,000 to

10,000 52% 2 3,488 117%

2. 50 to < 10. 0% 1,141 4.33% 1,000 to

10,000 55% 2 2,044 179%

10. 0 to < 100% 154 17.75% 100 to 1,000 46% 2 373 242%

100% (defaults) 88 100.00% 0 to 100 0 0%

Sub-total 56,656 0.45% 34% 1 15,999 28%

Retail Sub-total 0 n.s. n.s. n.s. 0 n.s.

TOTAL 103,699 0.29% 24% 2 19,747 19%