3932019 Universal registration document and annual financial report - BNP PARIBAS
5risks and CaPital adequaCy Pillar 3
5
Counterparty credit risk
➤ TABLE 67: STANDARDISED BILATERAL COUNTERPARTY CREDIT RISK EXPOSURE AT DEFAULT (EU CCR3)
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.
Risk weight In millions of euros
31 December 2018
EAD
RWAs0% 20% 35% 50% 75% 100% 150% Total of which
unrated(*)
Central governments or central banks - - - - - 2 - 2 - 2
Institutions - 319 - 59 - 11 - 390 0 104
Corporates - - 0 7 0 838 1 846 819 843
Retail - - - - 5 - - 5 5 4
TOTAL - 319 0 66 5 851 1 1,243 824 953
(*) 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 68: BILATERAL COUNTERPARTY CREDIT RISK EXPOSURE AT DEFAULT BY RATING
31 December 2019 31 December 2018
Distribution of EAD
of which netted transactions
Distribution of EAD
of which netted transactions
AAA 9% 97% 12% 100%
AA 47% 96% 43% 96%
A 22% 91% 22% 93%
BBB 9% 93% 9% 90%
BB 5% 82% 6% 88%
B 5% 84% 5% 84%
Others 3% 79% 3% 88%
With respect to the OTC derivatives portfolio at 31 December 2019, the share of collateralised transactions represents more than 77% of the total by number of transactions.
