2018 Registration document and annual fi nancial report - BNP PARIBAS 387

5RISKS AND CAPITAL ADEQUACY PILLAR 3

5

Counterparty credit risk

EXPOSURE TO COUNTERPARTY CREDIT RISK [Audited]

The table below shows exposure to counterparty credit risk (measured as the value at risk) 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).

➤ TABLE 60: COUNTERPARTY CREDIT RISK EXPOSURE AT DEFAULT BY ASSET CLASS (EXCL. CVA RISK CHARGE) [Audited]

EAD In millions of euros

31 December 2018 31 December 2017 Variation

IRBA approach

Standardised approach Total

IRBA approach

Standardised approach Total Total

Bilateral counterparty credit risk 103,699 1,243 104,942 113,023 1,054 114,077 (9,135)

Central governments and central banks 25,393 2 25,395 27,631 4 27,635 (2,239)

Corporates 56,656 846 57,502 59,689 729 60,418 (2,916)

Institutions(*) 21,649 390 22,039 25,703 315 26,018 (3,979)

Retail 0 5 5 0 6 7 (1)

Exposure to CCP related to clearing activites 3,060 37,358 40,419 2,969 39,766 42,735 (2,317)

TOTAL 106,759 38,601 145,360 115,992 40,820 156,812 (11,452)

(*) Institutions asset class comprises credit insti tutions and investment fi rms, 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 represents 99% at 31 December 2018 , stable compared with 31 December 2017.

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 fi nancial instruments booked in the trading portfolio is presented in note 5.a to the consolidated fi nancial statements.

➤ TABLE 61: COUNTERPARTY CREDIT RISK EXPOSURE AT DEFAULT BY PRODUCT (EXCL. CVA RISK CHARGE) [Audited]

EAD In millions of euros

31 December 2018 31 December 2017

Bilateral counterparty credit risk

Exposure to CCP related to

clearing activites Total Bilateral counterparty

credit risk

Exposure to CCP related to

clearing activites Total

OTC derivatives 71,349 88.4% 9,382 11.6% 80,731 75,020 93.0% 5,648 7.0% 80,668

Securities Financing Transactions 33,593 96.1% 1,378 3.9% 34,971 39,057 93.4% 2,777 6.6% 41,834

Listed derivatives 26,513 100.0% 26,513 30,876 100.0% 30,876

Default fund contribution 3,145 100.0% 3,145 3,434 100.0% 3,434

TOTAL 104,942 72.2% 40,419 27.8% 145,360 114,077 72.7% 42,735 27.3% 156,812