2018 Registration document and annual fi nancial report - BNP PARIBAS392

5 RISKS AND CAPITAL ADEQUACY PILLAR 3

5

Counterparty credit risk

COUNTERPARTY CREDIT RISK FOR EXPOSURES TO CENTRAL COUNTERPARTIES ASSOCIATED WITH CLEARING ACTIVITIES

The capital requirements related to central counterparties ( CCP) exposures correspond to an extension of the bilateral c ounterparty credit risk perimeter to clearing activities; it covers the cleared part of the OTC derivatives, repo portfolio as well as the listed derivatives portfolio.

It is equal to the sum of the following three elements:

■ a charge resulting from exposures generated by clearing activities (proprietary and client clearing);

■ a requirement resulting from the non-segregated initial margins posted to the CCP;

■ a requirement resulting from the default fund contribution of the central counterparties.

For central counterparties (CCP), Regulation (EU) No. 648/2012 distinguishes qualifying central counterparties (QCCP) from non-qualifi ed central counterparties.

Regulation (EU) No. 575/2013 also provides for the use of an alternative method for calculating capital requirements for exposures to an eligible central counterparty, based only on transaction exposures and prefunded default fund contributions.

The table below presents the breakdown of the risk-weighted assets by method and category of exposure to central counterparties:

➤ TABLE 66: EXPOSURE TO CENTRAL COUNTERPARTIES (CCP) (EU CCR8)

In millions of euros

31 December 2018 31 December 2017

EAD RWAs EAD RWAs

1 Exposure to QCCP (total) 2,621 2,979

2 Exposure for trades at QCCPs (excluding initial margin and default fund contributions) 26,735 1,235 29,696 1,426

3 of which OTC derivatives 3,748 75 1,506 287

4 of which exchange-traded derivatives 22,384 1,145 27,104 1,114

5 of which SFTs(*) 603 15 1,086 25

8 Non-segregated initial margin(**) 9,873 261 8,595 212

9 Prefunded default fund contributions 3,099 1,069 3,240 1,257

10 Alternative calculation 56 83

10.a of which exposure for trades at QCCPs 139 10 530 36

10.b of which segregated initial margin 311 6 - -

10.c of which non-segregated initial margin(**) 211 38 481 36

10.d of which prefunded default fund contributions 32 1 193 12

11 Exposure to non-QCCPs (total) 222 -

12 Exposure to non-QCCPs (excluding initial margin and default fund contribution) 1 1 - -

13 of which OTC derivatives 1 1 - -

18 Non-segregated initial margin(**) 3 3 - -

19 Prefunded default fund contributions 4 55 - -

20 Unfunded default fund contributions 11 164 - -

TOTAL 40,419 2,843 42,735 2,979

(*) Securities Financing Transactions. (**) Not bankruptcy remote in accordance with article 300.1 Regulation (EU) No. 575/2013.