2018 Registration document and annual fi nancial report - BNP PARIBAS 395
5RISKS AND CAPITAL ADEQUACY PILLAR 3
5
Counterparty credit risk
In millions of euros
31 December 2017
Credit derivative hedges Other credit derivatives
Protection bought Protection sold Protection bought Protection sold
Notionals 4,988 776 431,340 409,114
Single-name credit default swaps 2,991 444 213,635 215,415
Index credit default swaps 1,997 332 164,626 151,350
Total return swaps - - 13,927 -
Credit options - - 39,134 42,349
Other credit derivatives - - 18 -
Fair values (113) 15 (6,729) 6,160
Positive fair value (asset) 11 18 648 6,876
Negative fair value (liability) (124) (3) (7,377) (716)
CAPITAL REQUIREMENT AND RISK-WEIGHTED ASSETS
➤ TABLE 70: COUNTERPARTY CREDIT RISK CAPITAL REQUIREMENT AND RISK-WEIGHTED ASSETS
In millions of euros
RWAs Capital requirements
31 December 2018 31 December 2017 Variation 31 December 2018 31 December 2017 Variation
Bilateral counterparty credit risk 20,700 21,847 (1,147) 1,656 1,748 (92)
Exposure to CCP related to clearing activites 2,843 2,979 (136) 227 238 (11)
CVA charge 3,090 1,910 1,180 247 153 94
COUNTERPARTY CREDIT RISK 26,634 26,736 (102) 2,131 2,139 (8)
➤ TABLE 71: COUNTERPARTY CREDIT RISK-WEIGHTED ASSETS MOVEMENTS BY KEY DRIVER (EU CCR7)
In millions of euros
RWAs Counterparty credit risk Capital Requirements
Counterparty credit risk
Total
a
Total
b
of which internal model method
(IMM)
of which internal model method
(IMM)
1 January 2018 26,736 20,802 2,139 1,664
Asset size 262 (1,211) 21 (97)
Asset quality (731) (497) (59) (40)
Model update (66) 89 (5) 7
Methodology and policy 375 375 30 30
Acquisitons and disposals 11 - 1 -
Currency (14) 1 (1) -
Other 61 143 5 11
31 DECEMBER 2018 26,634 19,702 2,131 1,576
2018 was marked by the reduction in exposure to bilateral counterparty credit risk, a consequence of the changed volumes of activity, combined with an increase in CVA risk related to the widening credit spreads.
