3892019 Universal registration document and annual financial report - BNP PARIBAS

5risks and CaPital adequaCy Pillar 3

5

Counterparty credit risk

EAD In millions of euros

31 December 2019 31 December 2018

Bilateral counterparty credit risk

Exposure to CCP related to clearing

activities Total Bilateral counterparty

credit risk

Exposure to CCP related to clearing

activities Total

OTC derivatives 83,142 91.7% 7,570 8.3% 90,712 71,349 88.4% 9,382 11.6% 80,731

Securities Financing Transactions 43,619 88.2% 5,834 11.8% 49,453 33,593 96.1% 1,378 3.9% 34,971

Listed derivatives 23,108 100.0% 23,108 26,513 100.0% 26,513

Default fund contribution 3,804 100.0% 3,804 3,145 100.0% 3,145

TOTAL 126,761 75.9% 40,316 24.1% 167,077 104,942 72.2% 40,419 27.8% 145,360

➤ TABLE 63: COUNTERPARTY CREDIT RISK EXPOSURE AT DEFAULT BY ASSET CLASS (EXCL. CVA RISK CHARGE)

EXPOSURE TO COUNTERPARTY CREDIT RISK

The table below shows exposure to counterparty credit risk (measured as the exposure at default) by Basel asset class on derivatives contracts and securities lending/borrowing transactions, after the impact of any netting agreement. Bilateral transactions between the Bank and customers (bilateral counterparty risk) are distinguished from transactions related to the clearing activities of the Bank, including essentially exposures to central counterparties (CCP).

EAD In millions of euros

31 December 2019 31 December 2018 Variation

IRBA Standardised

approach Total IRBA Standardised

approach Total Total

Bilateral counterparty credit risk 125,501 1,259 126,761 103,699 1,243 104,942 21,819

Central governments and central banks 37,751 2 37,753 25,393 2 25,395 12,358

Corporates 67,660 978 68,638 56,656 846 57,502 11,136

Institutions(*) 20,091 246 20,336 21,649 390 22,039 (1,703)

Retail 0 33 33 0 5 5 28

Exposure to CCP related to clearing activities 3,736 36,580 40,316 3,060 37,358 40,419 (102)

TOTAL 129,238 37,839 167,077 106,759 38,601 145,360 21,717

(*) Institutions asset class comprises credit institutions and investment firms, including those recognised in other countries, it also includes some exposures to regional and local authorities, public sector agencies and multilateral development banks that are not treated as central government authorities.

For bilateral counterparty credit risk, the share of exposures under the IRB approach represented 99% at 31 December 2019, stable compared with 31 December 2018.

The following table summarises the exposures to counterparty credit risk with a breakdown by product. An indication of the Group s business volume on derivative financial instruments booked in the trading portfolio is presented in note 5.a to the consolidated financial statements.

➤ TABLE 64: COUNTERPARTY CREDIT RISK EXPOSURE AT DEFAULT BY PRODUCT (EXCL. CVA RISK CHARGE)