2020 Universal registration document and annual financial report - BNP PARIBAS 417

5risks and CaPital adequaCy Pillar 3

5

Counterparty credit risk

EXPOSURE TO COUNTERPARTY CREDIT RISK

The table below shows exposure to counterparty credit risk (measured as the exposure at default) by Basel asset class on derivative contracts and securities lending/borrowing transactions, after the impact of any netting agreement. Bilateral transactions between the Bank and customers (bilateral counterparty risk) are distinguished from transactions related to the clearing activities of the Bank, including essentially exposures to central counterparties (CCP).

➤ TABLE 67: COUNTERPARTY CREDIT RISK EXPOSURE AT DEFAULT BY ASSET CLASS (EXCL. CVA RISK CHARGE)

EAD In millions of euros

31 December 2020 31 December 2019 Variation

IRBA

Standar- dised

approach Total IRBA

Standar- dised

approach Total Total

Bilateral counterparty credit risk 172,912 1,845 174,758 125,501 1,259 126,761 47,997

Central governments and central banks 57,422 73 57,495 37,751 2 37,753 19,742

Corporates 90,253 1,524 91,777 67,660 978 68,638 23,139

Institutions(*) 25,237 238 25,475 20,091 246 20,336 5,138

Retail 0 11 11 0 33 33 (22)

Exposure to CCP related to clearing activites 3,205 38,545 41,750 3,736 36,580 40,316 1,434

TOTAL 176,118 40,390 216,508 129,238 37,839 167,077 49,431

(*) Institutions asset class comprises credit institutions and investment firms, including those recognised in other countries, it also includes some exposures to regional and local authorities, public sector agencies and multilateral development banks that are not treated as central government authorities.

For bilateral counterparty credit risk, the share of exposures under the IRB approach represented 99% at 31 December 2020 (stable compared with 31 December 2019).

The following table summarises the exposures to counterparty credit risk with a breakdown by product. An indication of the Group s business volume on derivative financial instruments booked in the trading portfolio is presented in note 4.a to the consolidated financial statements.

➤ TABLE 68: COUNTERPARTY CREDIT RISK EXPOSURE AT DEFAULT BY PRODUCT (EXCL. CVA RISK CHARGE)

EAD In millions of euros

31 December 2020 31 December 2019

Bilateral counterparty credit risk

Exposure to CCP related to clearing

activites Total Bilateral counterparty

credit risk

Exposure to CCP related to clearing

activites Total

OTC derivatives 103,899 90.0% 11,587 10.0% 115,486 83,142 91.7% 7,570 8.3% 90,712

Securities Financing Transactions 70,858 96.4% 2,673 3.6% 73,531 43,619 88.2% 5,834 11.8% 49,453

Listed derivatives 23,085 100.0% 23,085 23,108 100.0% 23,108

Default fund contribution 4,406 100.0% 4,406 3,804 100.0% 3,804

TOTAL 174,758 80.7% 41,750 19.3% 216,508 126,761 75.9% 40,316 24.1% 167,077