2020 Universal registration document and annual financial report - BNP PARIBAS418

5 risks and CaPital adequaCy Pillar 3

5

Counterparty credit risk

BILATERAL COUNTERPARTY CREDIT RISK

The bilateral counterparty risk corresponds to the contracts treated bilaterally (or over-the-counter) by BNP Paribas with its clients.

The exposure at default (EAD) is primarily measured with the aid of internal models (see paragraph Counterparty exposure calculation). For the perimeter not covered by internal models (limited mainly to subsidiaries BNL, BancWest and TEB), EAD is calculated using the Mark- to-Market method (Net Present Value + Add-On).

Risk-weighted assets linked to counterparty credit risk are computed by multiplying EAD by an appropriate weighting according to the approach used (standardised or IRBA).

The following table shows a summary, by approach, of the regulatory exposures of counterparty credit risk and associated risk-weighted assets for the entire scope of the BNP Paribas Group s bilateral activities, which represents the bulk of counterparty credit risk exposures.

➤ TABLE 69: BILATERAL COUNTERPARTY CREDIT RISK EXPOSURE AT DEFAULT BY APPROACH (EU CCR1)

In millions of euros

31 December 2020

NPV(***)

+  Add-on EEPE(**) Multiplier EAD post

CRM RWAs

of which standardised

approach of which

IRBA

Mark-to-market 3,042 1,901 1,655 1,609 45

Internal model approach (IMM) 108,035 1.6 172,856 33,164 6 33,158

of which SFTs(*) 44,283 1.6 70,853 4,015 5 4,010

of which derivatives and long settlement transactions 63,752 1.6 102,003 29,149 1 29,148

TOTAL 174,758 34,818 1,615 33,203

(*) Securities Financing Transactions. (**) Effective Expected Positive Exposure. (***) Net Present Value.

In millions of euros

31 December 2019

NPV(***) + Add-on EEPE(**) Multiplier

EAD post CRM RWAs

of which standardised

approach of which

IRBA

Mark-to-market 2,091 1,307 1,110 1,067 43

Internal model approach (IMM) 78,409 1.6 125,454 23,221 2 23,220

of which SFTs(*) 27,256 1.6 43,610 2,760 1 2,759

of which derivatives and long settlement transactions 51,152 1.6 81,844 20,461 1 20,460

TOTAL 126,761 24,332 1,069 23,263

(*) Securities Financing Transactions. (**) Effective Expected Positive Exposure. (***) Net Present Value.