396 2019 Universal registration document and annual financial report - BNP PARIBAS
5 risks and CaPital adequaCy Pillar 3
5
Counterparty credit risk
➤ TABLE 72: CREDIT DERIVATIVES EXPOSURES (EU CCR6)
En millions d euros
31 December 2018
Collateral used in derivative transactions Collateral used in SFTs (*)
Fair value of collateral received
Fair value of collateral posted
Fair value of collateral received
Fair value of collateral posted
Cash euro 28,121 31,484 109,329 132,595
Cash other currencies 16,936 21,439 193,962 159,840
Sovereign debt - euro 2,908 4,436 81,068 110,872
Sovereign debt - other currencies 3,933 4,454 58,884 101,304
Corporate and institutional debt 6,148 5,033 156,448 141,375
Equity 230 - 106,304 142,327
Other 78 - - 118
TOTAL 58,353 66,846 705,995 788,432
(*) Securities Financing Transactions.
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.
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)
The following table summarises all the notional amounts and market values of the trading portfolio credit derivatives and highlights derivatives authorised as hedges.
