2020 Universal registration document and annual financial report - BNP PARIBAS422
5 risks and CaPital adequaCy Pillar 3
5
Counterparty credit risk
COUNTERPARTY CREDIT RISK FOR EXPOSURES TO CENTRAL COUNTERPARTIES ASSOCIATED WITH CLEARING ACTIVITIES
The capital requirements related to central counterparties (CCP) exposures correspond to an extension of the bilateral counterparty credit risk perimeter to clearing activities; it covers the cleared part of the OTC derivatives, repo portfolio as well as the listed derivatives portfolio.
It is equal to the sum of the following three elements:
■ a charge resulting from exposures generated by clearing activities (proprietary and client clearing);
■ a requirement resulting from the non-segregated initial margins posted to the CCP;
■ a requirement resulting from the default fund contribution of the central counterparties.
For central counterparties (CCP), Regulation (EU) No. 575/2013 distinguishes qualifying central counterparties (QCCP) from non-qualifying central counterparties. Qualifying central counterparties correspond to central counterparties authorised or recognised in accordance with Regulation (EU) No. 648/2012.
Regulation (EU) No. 575/2013 also provides for the use of an alternative method for calculating capital requirements for exposures to an qualifying central counterparty, based only on transaction exposures and prefunded default fund contributions.
At 31 December 2020, the Group had no exposure in non-qualifying central counterparties.
The table below presents the breakdown of the risk-weighted assets by method and category of exposure to central counterparties.
➤ TABLE 73: EXPOSURE TO CENTRAL COUNTERPARTIES (CCP) (EU CCR8)
In millions of euros
31 December 2020 31 December 2019
EAD RWAs EAD RWAs
1 Exposure to QCCP (total) 3,333 2,895
2 Exposure for trades at QCCPs (excluding initial margin and default fund contributions) 21,798 1,230 26,113 1,287
3 of which OTC derivatives 4,539 91 3,141 63
4 of which exchange-traded derivatives 16,049 1,116 18,542 1,137
5 of which SFTs(*) 1,209 24 4,430 87
8 Non-segregated initial margin(**) 14,328 337 9,368 240
9 Prefunded default fund contributions 4,372 1,713 3,762 1,320
10 Alternative calculation 53 49
10.a of which exposure for trades at QCCPs 198 11 201 11
10.b of which segregated initial margin 842 17 664 13
10.c of which non-segregated initial margin(**) 178 22 166 21
10.d of which prefunded default fund contributions 34 3 42 4
11 Exposure to non-QCCPs (total) - -
TOTAL 41,750 3,333 40,316 2,895
(*) Securities Financing Transactions. (**) Not bankruptcy remote in accordance with article 300.1 Regulation (EU) No. 575/2013.
