2018 Registration document and annual fi nancial report - BNP PARIBAS388

5 RISKS AND CAPITAL ADEQUACY PILLAR 3

5

Counterparty credit risk

BILATERAL COUNTERPARTY CREDIT RISK

The bilateral counterparty risk corresponds to the contracts treated bilaterally (or over the counter) by BNP Paribas with its clients.

The exposure at default (EAD) is primarily measured with the aid of internal models (see paragraph Counterparty exposure calculation). For the perimeter not covered by internal models ( limited mainly to subsidiaries BNL, BancWest and TEB ), EAD is calculated using the Mark- to-Market method (Net Present Value + Add-On).

Risk-weighted assets linked to counterparty credit risk are computed by multiplying EAD by an appropriate weighting according to the approach used (standardised or IRBA).

The following table shows a summary, by approach, of the regulatory exposures of counterparty credit risk and associated risk-weighted assets for the entire scope of the BNP Paribas Group s bilateral activities, which represents the bulk of counterparty credit risk exposures.

➤ TABLE 62: BILATERAL COUNTERPARTY CREDIT RISK EXPOSURE AT DEFAULT BY APPROACH (EU CCR1)

In millions of euros

31 December 2018

b+c d e f g

NPV(***)+ Add-on EEPE(**) Multiplier

EAD post CRM RWAs

of which standardised

approach of which

IRBA

1 Mark-to-market method 1,899 1,313 998 950 48

4 Internal model method (IMM) 64,768 1.6 103,629 19,702 3 19,699

5 of which SFT( *) 20,994 1.6 33,591 2,690 0 2,690

6 of which derivatives and long settlement transactions 43,774 1.6 70,038 17,012 2 17,009

11 TOTAL 104,942 20,700 953 19,747

(*) Securities Financing Transactions. (**) Effective Expected Positive Exposure. (***) Net Present Value.

In millions of euros

31 December 2017

b+c d e f g of which

standardised approach

of which IRBA

NPV(***)+ Add-on EEPE(**) Multiplier

EAD post CRM RWAs

1 Mark-to-market method 1,830 1,134 1,045 840 205

4 Internal model approach (IMM) 70,589 1.6 112,943 20,802 4 20,798

5 of which SFTs(*) 24,404 1.6 39,046 3,266 0 3,266

6 of which derivatives and long settlement transactions 46,185 1.6 73,896 17,536 4 17,531

11 TOTAL 114,077 21,847 845 21,002

(*) Securities Financing Transactions. (**) Effective Expected Positive Exposure. (***) Net Present Value.