1998-Paribas Annual Report - BNP Paribas

Counterparty risks on derivative products
Counterparty risks on derivative products are measured
on a Value at Risk basis using a computer application
developed internally over recent years (CRM) and
designed to calculate maximum potential exposures
over time.
Paribas’counterparty risk, by type of counterparty
PARIBAS
At the end of 1998, counterparty risk outstandings on
derivative transactions (at liquidation value) of the Fixed
Income Business (swaps, forex, options, equity derivatives)
amounted to EUR 12,281 million, before collateral
received. This amounts falls to EUR 10,235 million
net of collateral.
(a) (b) (a-b) (c) (d)
Liquidation Collateral Net Regulatory Credit
value liquidation add-on equivalent
in EUR million value
Industrial and Commercial companies 1,586 36 1,550 1,813 1,905
Financial institutions 9,374 2,010 7,364 11,354 3,744
Government 1,321 0 1,321 358 0
Total 12,281 2,045 10,235 13,525 5,649
Paribas’ counterparty risk, by external rating (Moody’s or Standard & Poor’s)
(a) (b) (a-b) (c) (d)
Liquidation Collateral Net Regulatory Credit
value liquidation add-on equivalent
in EUR million value
AAA 1,511 88 1,423 1,195 729
AA 3,740 560 3,181 4,831 1,345
A 2,399 475 1,924 2,433 936
NR 4,631 924 3,707 5,066 2,638
Total 12,281 2,045 10,235 13,525 5,649
Paribas’ counterparty risk, by country
(a) (b) (a-b) (c) (d)
Liquidation Collateral Net Regulatory Credit
value liquidation add-on equivalent
in EUR million value
France 2,428 285 2,143 2,383 1,171
Europe, excluding France 5,586 251 5,334 5,234 2,198
Japan 518 0 518 1,004 355
USA 2,171 983 1,188 3,892 1,242
Rest of world 1,579 526 1,053 1,012 683
Total 12,281 2,045 10,235 13,525 5,649
The concepts “Regulatory Add-On” (in column c) and
“Weighted Equivalent Risk” (in column d) are defined
below:
- “Regulatory add-on” is defined as the “estimated
amount representing the potential change in the liquidation
value until contract maturity”;
FINANCIAL REVIEW
Consolidated statements
- “Credit Equivalent” is defined as the “sum of the liquidation
value and the Regulatory add-on, multiplied by a
weighting coefficient depending on the type of counterparty”.
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