2018 Registration document and annual fi nancial report - BNP PARIBAS 391

5RISKS AND CAPITAL ADEQUACY PILLAR 3

5

Counterparty credit risk

➤ TABLE 64: STANDARDISED BILATERAL COUNTERPARTY CREDIT RISK EXPOSURE AT DEFAULT (EU CCR3)

Risk weight In millions of euros

31 December 2018

EAD

RWAs0% 20% 35% 50% 75% 100% 150% Total Of which

unrated(*)

Central governments or central banks 2 2 - 2

Corporates 319 59 11 390 0 104

Insitutions 0 7 838 1 846 819 843

Retail 5 5 5 4

TOTAL - 319 0 66 5 851 1 1,243 824 953

(*) Exposure to counterparties without a credit rating from external rating agencies.

Risk weight In millions of euros

31 December 2017

EAD

RWAs0% 20% 35% 50% 75% 100% 150% Total Of which

unrated(*)

Central governments or central banks 0 0 4 4 - 4

Corporates 237 51 27 0 315 6 100

Insitutions 0 0 0 714 15 729 724 736

Retail 6 6 6 5

TOTAL 0 237 0 51 6 744 15 1,054 736 845

(*) Exposure to counterparties without a credit rating from external rating agencies.

The table below presents the EAD distribution of OTC derivatives portfolio by rating. For each element, the table gives the part of netted transactions.

➤ TABLE 65: BILATERAL COUNTERPARTY CREDIT RISK EXPOSURE AT DEFAULT BY RATING

31 December 2018 31 December 2017

Distribution of EAD

of which netted transactions

Distribution of EAD

of which netted transactions

AAA 12% 100% 10% 99%

AA 43% 96% 45% 95%

A 22% 93% 21% 89%

BBB 9% 90% 10% 91%

BB 6% 88% 6% 82%

B 5% 84% 6% 82%

Other 3% 88% 3% 84%

With respect to the OTC derivatives portfolio at 31 December 2018 , the share of collateralised transactions represents more than 75 % of the total in number of transactions.