394 2019 Universal registration document and annual financial report - BNP PARIBAS

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 2019, 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 69: EXPOSURE TO CENTRAL COUNTERPARTIES (CCP) (EU CCR8)

In millions of euros

31 December 2019 31 December 2018

EAD RWAs EAD RWAs

1 Exposure to QCCP 2,895 2,621

2 Exposure for trades at QCCPs (excluding initial margin and default fund contributions) 26,113 1,287 26,735 1,235

3 of which OTC derivatives 3,141 63 3,748 75

4 of which listed derivatives 18,542 1,137 22,384 1,145

5 of which SFTs(*) 4,430 87 603 15

8 Non-segregated initial margin(**) 9,368 240 9,873 261

9 Prefunded default fund contributions 3,762 1,320 3,099 1,069

10 Alternative calculation 49 56

10.a of which exposure for trades at QCCPs 201 11 139 10

10.b of which segregated initial margin 664 13 311 6

10.c of which non-segregated initial margin(**) 166 21 211 38

10.d of which prefunded default fund contributions 42 4 32 1

11 Exposure to non-QCCPs - 222

12 Exposure to non-QCCPs (excluding initial margin and default fund contribution) - - 1 1

13 of which OTC derivatives - - 1 1

18 Non-segregated initial margin(**) - - 3 3

19 Prefunded default fund contributions - - 4 55

20 Unfunded default fund contributions - - 11 164

TOTAL 40,316 2,895 40,419 2,843

(*) Securities Financing Transactions. (**) Not bankruptcy remote in accordance with article 300.1 Regulation (EU) No. 575/2013.