2020 Universal registration document and annual financial report - BNP PARIBAS424
5 risks and CaPital adequaCy Pillar 3
5
Counterparty credit risk
In millions of euros
31 December 2019
Collateral used in derivative transactions Collateral used in SFTs(*)
Fair value of collateral received
Fair value of posted collateral
Fair value of collateral received
Fair value of posted collateral
Cash - euro 33,285 37,012 137,383 149,081
Cash - other currencies 18,810 19,900 236,981 213,017
Sovereign debt - euro 5,961 9,828 193,217 184,522
Sovereign debt - other currencies 4,026 5,837 203,200 221,090
Corporate and institutional debt 10,711 8,359 77,793 86,528
Equity 172 - 86,458 70,182
Other 370 - 235 110
TOTAL 73,335 80,936 935,267 924,530
(*) Securities Financing Transanctions.
CVA RISK MANAGEMENT CVA sensitivities to credit spreads are partially offset by the recognition of hedges. These hedges correspond to credit derivatives on certain identified counterparties or indices composed of identifiable counterparties.
Instruments authorised as hedges in the calculation of the capital requirements for credit valuation adjustment risk form a sub-set of the
credit derivatives used as hedges by the Global Markets business in the management of its CVA.
The following table summarises all the notional amounts and market values of the trading portfolio credit derivatives and highlights derivatives authorised as hedges.
➤ TABLE 76: CREDIT DERIVATIVES EXPOSURES (EU CCR6)
In millions of euros
31 December 2020
Credit derivative hedges Other credit derivatives
Protection bought Protection sold Protection bought Protection sold
Notionals 8,664 4,057 505,347 418,376
Single-name credit default swaps 3,503 663 206,777 176,985
Index credit default swaps 3,843 2,074 243,747 190,840
Total return swaps - - 2,594 1,052
Credit options 1,319 1,319 51,821 49,499
Other credit derivatives - - 408 -
Fair values (193) 83 (6,915) 6,486
Positive fair value (asset) 18 86 899 7,330
Negative fair value (liability) (211) (3) (7,815) (844)
