3972019 Universal registration document and annual financial report - BNP PARIBAS
5risks and CaPital adequaCy Pillar 3
5
Counterparty credit risk
In millions of euros
31 December 2018
Credit derivative hedges Other credit derivatives
Protection bought Protection sold Protection bought Protection sold
Notionals 4,614 1,104 446,447 421,177
Single-name credit default swaps 2,728 503 203,252 203,229
Index credit default swaps 1,386 601 183,693 175,199
Total return swaps - - 23,654 -
Credit options 500 - 35,124 42,749
Other credit derivatives - - 725 -
Fair values (31) 10 (2,150) 1,956
Positive fair value (asset) 20 11 2,431 4,411
Negative fair value (liability) (51) (2) (4,581) (2,455)
CAPITAL REQUIREMENT AND RISK-WEIGHTED ASSETS
➤ TABLE 73: COUNTERPARTY CREDIT RISK CAPITAL REQUIREMENT AND RISK-WEIGHTED ASSETS
In millions of euros
RWAs Capital requirements
31 December 2019
31 December 2018 Variation
31 December 2019
31 December 2018 Variation
Bilateral counterparty credit risk 24,332 20,700 3,631 1,947 1,656 291
Exposure to CCP related to clearing activities 2,895 2,843 52 232 227 4
CVA charge 2,294 3,090 (796) 184 247 (64)
COUNTERPARTY CREDIT RISK 29,520 26,634 2,887 2,362 2,131 231
➤ TABLE 74: 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 Total of which internal
model method
31 December 2018 26,634 19,702 2,131 1,576
Asset size 3,666 3,566 293 285
Asset quality (1,894) (1,538) (151) (123)
Model update 1,524 1,511 122 121
Methodology and policy - - - -
Acquisitons and disposals 53 62 4 5
Currency (1) 0 0 0
Other (461) (82) (37) (7)
31 DECEMBER 2019 29,520 23,221 2,362 1,858
The change in counterparty risk-weighted assets in 2019 is explained mainly by:
■ a EUR 3.7 billion increase related to business activity;
■ a EUR 1.5 billion increase following the updating of the models;
■ a -EUR 1.9 billion decrease caused by the improved risk parameters.
