2020 Universal registration document and annual financial report - BNP PARIBAS 421
5risks and CaPital adequaCy Pillar 3
5
Counterparty credit risk
➤ TABLE 71: STANDARDISED BILATERAL COUNTERPARTY CREDIT RISK EXPOSURE AT DEFAULT (EU CCR3)
Risk weight In millions of euros
31 December 2020
EAD
RWAs0% 20% 35% 50% 75% 100% 150% Total of which
unrated(*)
Central governments or central banks - - - 68 - 4 - 73 - 39
Institutions - 179 - 42 - 16 - 238 6 73
Corporates - 13 0 53 - 1,438 19 1,524 1,209 1,495
Retail - - - - 11 - - 11 11 8
TOTAL - 193 0 164 11 1,458 19 1,845 1,227 1,615
(*) Exposure to counterparties without a credit rating from external rating agencies.
Risk weight In millions of euros
31 December 2019
EAD
RWAs0% 20% 35% 50% 75% 100% 150% Total of which
unrated(*)
Central governments or central banks 2 - - - - 0 - 2 - 0
Institutions - 204 - 36 - 5 - 246 0 64
Corporates - - 0 0 - 975 3 978 925 980
Retail - - - - 33 - - 33 33 25
TOTAL 2 204 0 36 33 980 3 1,259 959 1,069
(*) Exposure to counterparties without a credit rating from external rating agencies.
The table below presents the EAD distribution of OTC derivatives portfolio by rating. For each element, the table gives the part of netted transactions.
➤ TABLE 72: BILATERAL COUNTERPARTY CREDIT RISK EXPOSURE AT DEFAULT BY RATING
31 December 2020 31 December 2019
Distribution of EAD
of which netted transactions
Distribution of EAD
of which netted transactions
AAA 13% 97% 9% 97%
AA 43% 81% 47% 96%
A 19% 93% 22% 91%
BBB 10% 88% 9% 93%
BB 6% 88% 5% 82%
B 5% 87% 5% 84%
Others 4% 88% 3% 79%
With respect to the OTC derivatives portfolio at 31 December 2020, the share of collateralised transactions represents more than 78% of the total by number of transactions.
