2018 REGISTRATION DOCUMENT AND ANNUAL FINANCIAL REPORT

2018 Registration document and annual fi nancial report - BNP PARIBAS394

5 RISKS AND CAPITAL ADEQUACY PILLAR 3

Counterparty credit risk

➤ TABLE 68: COMPOSITION OF COLLATERAL (EU CCR5-B)

In millions of euros

31 December 201 8

Collateral used in derivative transactions Collateral used in SFTs(*)

Fair value of collateral received

Fair value of posted collateral

Fair value of collateral received

Fair value of posted collateral

Cash euro 28,121 31,484 109,329 132,595

Cash other currencies 16,936 21,439 193,962 159,840

Sovereign debt euro 2,908 4,436 81,068 110,872

Sovereign debt other currencies 3,933 4,454 58,884 101,304

Corporate and institutional debt 6,148 5,033 156,448 141,375

Equit y 230 - 106,304 142,327

Other 78 - 0 118

TOTAL 58,353 66,846 705,995 788,432

(*) Securities Financing Transactions.

CVA RISK MANAGEMENT CVA sensitivities to credit spreads are partially offset by the recognition of hedges. These hedges correspond to credit derivatives on certain identifi ed counterparties or indices composed of identifi able counterparties.

Instruments authorised as hedges in the calculation of the capital requirements for credit valuation adjustment risk form a sub-set of the credit derivatives used as hedge by the Global Markets business in the management of its CVA.

The following table summarises all the notional amounts and market values of the trading portfolio credit derivatives and highlights derivatives authorised as hedges.

➤ TABLE 69: CREDIT DERIVATIVES EXPOSURES (EU CCR6)

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)

The table below shows the breakdown of the collateral posted and received in respect of initial margins, margin calls as well as amounts

in cash and in securities of repurchase agreements and securities lending and borrowing.