2012 Registration document and annual financial report - BNP Paribas

RISKS AND CAPITAL ADEQUACYCredit risk5➤ FIGURE 4: BREAKDOWN OF IRBA CORPORATE (*) EXPOSURES BY CREDIT RATING% of exposure30%Excellent, good and average risksUnder credit watch25%31 December 2012 31 December 201120%15%10%5%0%Average PD atone year horizonat 31/12/2012Rating0.01% 0.03%1 20.08%30.17%40.37%51.01%62.99%76.60%811.51% 20.32%910(*) The Corporate book shown in the chart above includes central governments and central banks, corporates, and institutions.The breakdown of Corporate exposures in the IRBA scope remainedbroadly steady, with the exception of exposures rated 1, due to the sharpincrease in central bank deposits prompted by the global liquidity policy.CORPORATE PORTFOLIO BY CLASSAND INTERNAL RATINGThe tables below present the breakdown by internal rating of thecorporate loans and commitments (asset classes: central governmentsand central banks, corporate and institutions) for all the Group’s businesslines using the advanced IRB Approach. This exposure representedEUR 600 billion of the gross credit risk at 31 December 2012, includingEUR 587 billion of performing loans and 13 billion of non-performingloans, compared with EUR 643 billion at 31 December 2011, includingEUR 627 billion of performing loans and 15 billion of non-performingloans, and concerns CIB and business units French Retail Banking (FRB),Belgian Retail Banking, Luxembourg Retail and Corporate Banking aswell as BNP Paribas Securities Services (BP2S) within the InvestmentSolutions division.The tables also give the weighted averages of the main risk parametersin the Basel framework:■ average probability of default weighted by Exposure At Default: averagePD (1) ;■ weighted average of Credit Conversion Factor (CCF) for off-balancesheet items: average CCF (2) ;■ average Loss Given Default weighted by Exposure At Default: averageLGD (3) ;as well as the average risk weight: average RW (4) defined as the ratiobetween risk-weighted assets and Exposure At Default (EAD).The column “Expected loss” presents the expected loss at a one-yearhorizon.5(1) Average PD: “Probability of Default” - average probability of default weighted by Exposure At Default.(2) Average CCF: “Credit Conversion Factor” - ratio of the Exposure At Default divided by the off-balance sheet exposure.(3) Average LGD: “Loss Given Default” - average Loss Given Default weighted by Exposure At Default.(4) Average RW: “Risk Weight” - average risk weight.2012 Registration document and annual financial report - BNP PARIBAS 255