2020 Universal registration document and annual financial report - BNP PARIBAS 425
5risks and CaPital adequaCy Pillar 3
5
Counterparty credit risk
In millions of euros
31 December 2019
Credit derivative hedges Other credit derivatives
Protection bought Protection sold Protection bought Protection sold
Notionals 5,214 1,158 500,019 434,469
Single-name credit default swaps 3,365 673 233,371 209,300
Index credit default swaps 1,849 485 214,731 173,426
Total return swaps - - 3,091 1,048
Credit options - - 48,448 50,695
Other credit derivatives - - 378 -
Fair values (136) 30 (7,170) 6,694
Positive fair value (asset) 6 31 923 7,699
Negative fair value (liability) (142) (1) (8,093) (1,005)
CAPITAL REQUIREMENT AND RISK-WEIGHTED ASSETS
➤ TABLE 77: COUNTERPARTY CREDIT RISK CAPITAL REQUIREMENT AND RISK-WEIGHTED ASSETS
In millions of euros
RWAs Capital requirements
31 December 2020
31 December 2019 Variation
31 December 2020
31 December 2019 Variation
Bilateral counterparty credit risk 34,818 24,332 10,487 2,785 1,947 839
Exposure to CCP related to clearing activities 3,333 2,895 438 267 232 35
CVA charge 2,810 2,294 516 225 184 41
COUNTERPARTY CREDIT RISK 40,961 29,520 11,441 3,277 2,362 915
➤ TABLE 78: COUNTERPARTY CREDIT RISK-WEIGHTED ASSETS MOVEMENTS BY KEY DRIVER (EU CCR7)
In millions of euros
RWAs - Counterparty credit risk Capital Requirements - Counterparty
credit risk
Total
of which internal model method
(IMM) Total
of which internal model method
(IMM)
31 December 2019 29,520 23,221 2,362 1,858
Asset size 6,144 4,906 492 392
Asset quality 951 1,410 76 113
Model update 3,820 3,820 306 306
Methodology and policy 23 23 2 2
Acquisitions and disposals - - - -
Currency (118) 0 (9) 0
Other 620 (216) 50 (17)
31 DECEMBER 2020 40,961 33,164 3,277 2,653
The change in counterparty risk-weighted assets in 2020 is explained mainly by:
■ a EUR 6.1 billion increase in line with business activity;
■ a EUR 3.8 billion increase following the updating of the models;
■ a EUR 1.0 billion increase caused by the deteriorated risk parameters.
