2018 Registration document and annual fi nancial report - BNP PARIBAS390

5 RISKS AND CAPITAL ADEQUACY PILLAR 3

5

Counterparty credit risk

In millions of euros

31 December 2017

PD scale

a b c d e f g

EAD Average PD Number of

obligors Average

LGD Average maturity RWAs

Average RW

Central governments or central banks

0. 00 to < 0. 15% 26,633 0.02% 100 to 1,000 2% 3 118 0%

0. 15 to < 0. 25% 17 0.17% 0 to 100 21% 1 3 16%

0. 25 to < 0. 50% 43 0.33% 0 to 100 50% 1 21 50%

0. 50 to < 0. 75% 767 0.69% 0 to 100 28% 1 301 39%

0. 75 to < 2. 50% 59 1.96% 0 to 100 46% 1 62 105%

2. 50 to < 10. 0% 21 6.37% 0 to 100 8% 4 5 23%

10. 0 to < 100% 91 26.06% 0 to 100 60% 4 335 366%

100% (defaults) - 0.00% - - -

Sub-total 27,631 0.14% 3% 3 845 3%

Institutions 0. 00 to < 0. 15% 22,567 0.05%

1,000 to 10,000 21% 1 2,194 10%

0. 15 to < 0. 25% 1,268 0.17% 100 to 1,000 43% 1 410 32%

0. 25 to < 0. 50% 990 0.34% 100 to 1,000 48% 1 557 56%

0. 50 to < 0. 75% 393 0.69% 100 to 1,000 51% 1 366 93%

0. 75 to < 2. 50% 238 1.40% 0 to 1 00 55% 1 294 123%

2. 50 to < 10. 0% 191 3.68% 100 to 1,000 54% 1 333 175%

10. 0 to < 100% 53 14.11% 0 to 100 68% 0 185 348%

100% (defaults) 3 100.00% 0 to 100 - 0%

Sub-total 25,703 0.15% 25% 1 4,340 17%

Corporates 0. 00 to < 0. 15% 42,837 0.05%

1,000 to 10,000 30% 1 5,320 12%

0. 15 to < 0. 25% 6,873 0.17% 1,000 to

10,000 33% 2 1,610 23%

0. 25 to < 0. 50% 3,879 0.37% 1,000 to

10,000 43% 2 2,023 52%

0. 50 to < 0. 75% 1,635 0.69% 100 to 1,000 32% 3 1,073 66%

0. 75 to < 2. 50% 2,873 1.39% 1,000 to

10,000 51% 2 3,309 115%

2. 50 to < 10. 0% 1,197 4.12% 1,000 to

10,000 55% 2 2,104 176%

10. 0 to < 100% 158 20.09% 100 to 1,000 42% 3 374 237%

100% (defaults) 236 100.00% 100 to 1,000 4 2%

Sub-total 59,689 0.70% 32% 1 15,817 26%

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

TOTAL 113,023 0.44% 23% 2 21,002 19%