2018 REGISTRATION DOCUMENT AND ANNUAL FINANCIAL REPORT

2018 Registration document and annual fi nancial report - BNP PARIBAS 461

5RISKS AND CAPITAL ADEQUACY PILLAR 3

Appendix 5: List of tables and fi gures

Page

Table 30 Main models: PD, LGD and CCF/EAD 348

Table 31 Backtesting of PD (EU CR9) 351

Table 32 Backtesting of LGD 352

Figure 7 IRBA exposure by internal rating Sovereign, fi nancial institution, corporate and specialised fi nancing portfolios 353

Table 33 IRBA exposure by PD scale and asset class Sovereign, fi nancial institution, corporate and specialised fi nancing portfolios (EU CR6) 354

Table 34 Average PD and LGD of the corporate asset class by geographical region 356

Figure 8 IRBA exposure by internal rating Retail portfolio 357

Table 35 IRBA exposure by internal rating and asset class Retail portfolio (EU CR6) 358

Table 36 Average PD and LGD of the retail portfolio by geographic region 360

Table 37 Standardised credit risk exposures by standard exposure class (EU CR4) 361

Table 38 Standardised credit EAD (EU CR5) 362

Figure 9 Standardised exposures by risk-weight 363

Table 39 Equity positions under the simple weighting method (EU CR10) 364

Table 40 Insurance undertakings (INS1) 365

Table 41 Equity risk-weighted assets movements by key driver 365

Table 42 Breakdown of fi nancial assets subject to impairment by stage and internal rating 366

Table 43 Defaulted exposures and provisions by asset class (EU CR1-A) 367

Table 44 Defaulted exposures and provisions by geographic region (EU CR1-C) 368

Table 45 Defaulted exposures and provisions by industry (EU CR1-B) 369

Table 46 Ageing of past due exposures (EU CR1-D) 370

Table 47 Restructured loans by asset class 371

Table 48 Restructured loans by geographic region 371

Table 49 IRBA Credit risk mitigation for sovereign, fi nancial institution, corporate and specialised fi nancing portfolios 373

Table 50 Standardised approach Credit risk mitigation for sovereign, fi nancial institution, corporate and specialised fi nancing portfolios 373

5.5 SECURITISATION IN THE BANKING BOOK 374

Table 51 Securitised exposures and securitisation positions (held or acquired) by role 375

Table 52 Securitised exposures originated by BNP Paribas 377

Table 53 Securitised exposures by BNP Paribas by underlying asset category 377

Table 54 Securitisation positions held or acquired by underlying asset category 378

Table 55 Securitisation positions, exposure in default and provisions by underlying asset s geographic area 378

Table 56 Banking book securitisation position quality 379

Table 57 Securitisation positions and risk-weighted assets by approach 380

Table 58 Securitisation risk-weighted assets movements by key driver 380

Table 59 Securitisation positions and risk-weighted assets by risk weight 381

5.6 COUNTERPARTY CREDIT RISK 384

Table 60 Counterparty credit risk exposure at default by asset class (excl. CVA risk charge) 387

Table 61 Counterparty credit risk exposure at default by product (excl. CVA risk charge) 387

Table 62 Bilateral counterparty credit risk exposure at default by approach (EU CCR1) 388

Table 63 IRBA bilateral counterparty credit risk exposure at default (EU CCR4) 389

Table 64 Standardised bilateral counterparty credit risk exposure at default (EU CCR3) 391