2012 Registration document and annual financial report - BNP Paribas

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5RISKSAND CAPITAL ADEQUACY5.6 Counterparty risk 282Exposure to counterparty risk 282Exposures at default (EAD) by calculation approach 284Risk-weighted assets 285Notional derivatives exposure 2855.7 Market risk 286Market risk related to trading activities 286Market risk related to banking activities 2945.8 Sovereign risks 3005.9 Liquidity and funding risk 303Liquidity risk management policy 303Liquidity risk management and supervision 304Presentation of indicators and trends in 2012 30455.10 Operational risk 309Risk reduction and hedging policy 309Approach and scope 313Operational risk exposure 314Capital requirement 315Risk reduction through insurance policies 3155.11 Compliance and reputation risk 3165.12 Insurance risks 316BNP Paribas Cardif risk management system 316Market risk and credit risk 317Insurance underwriting risk 320Appendices : 322Appendix 1: Exposures based on Financial Stability Board recommendations 322Funding through proprietary securitisation 322Sensitive loan portfolios 323Real-estate related ABS and CDO exposures 324Monoline counterparty exposure 325Exposure to supported countries 325Appendix 2: Capital requirements of significant subsidiaries 326BNP Paribas Fortis 327BNL 328BancWest 329BNP Paribas Personal Finance 330BGL BNP Paribas 3312182012 Registration document and annual financial report - BNP PARIBAS
RISKS AND CAPITAL ADEQUACYAnnual risk survey5The purpose of Pillar 3 – market discipline, is to complement theminimum capital requirements (Pillar 1) and the supervisory reviewprocess (Pillar 2) with a set of disclosures completing the usual financialdisclosures. It is designed to allow market participants to evaluate keyitems of information such as scope of application, capital, exposure todifferent types of risk, risk assessment procedures, and, consequently,capital adequacy with respect to the institution’s risk profile.This chapter presents the information relative to the BNP Paribas Group’srisks and in this respect meets:■ the obligations set forth in Title IX of the French Decree of 20 February2007 (1) on capital requirements for credit institutions and investmentfirms which applies to the consolidated BNP Paribas Group (seearticle 1);■ the accounting standards requirements relating to the natureand the extent of the risks. Pillar 3 information is not subject toan external audit and thus is not addressed for verification to theStatutory Auditors of the Group. However, some information requiredby accounting standards IFRS 7, IFRS 4 and IAS 1 is included in thischapter and covered by the opinion of the Statutory Auditors on theconsolidated financial statements. This information is identified bythe mention “[Audited]” and must be read as being part of the notesto the consolidated financial statements;■ the desire to meet the needs of investors and analysts expressed aspart of the initiative taken by the Financial Stability Board aimingto improve financial information published by international financialinstitutions (Enhanced Disclosure Task Force). BNP Paribas hasimplemented all the recommendations achievable as of 2012 and willmeet the rest in the coming years according to their relevance to theBank and the advance of its works. In this respect, sensitive exposuresthat were hitherto included in section 3.3 “Review of operations” arepresented in the notes of the chapter.5.1 Annual risk surveyKEY RISKS ARISING FROM THE GROUP’S BUSINESS5RISK-WEIGHTED ASSETS BY TYPE OF RISK AT 31 DECEMBER 2012➤ FIGURE 1: RISK-WEIGHTED ASSETS BY RISK TYPE AT 31 DECEMBER 2012 (*) 75% (73%)9% (9%)Operationalrisk5% (6%)Market risk4% (4%)Equity riskCredit risk3% (4%)Securitisation4% (4%)Counterparty riskTotal: EUR 552 billion at 31 December 2012(EUR 614 billion at 31 December 2011)(*) Numbers between brackets correspond to the breakdown as of 31 December 2011(1) Issued by the French Ministry of the Economy, Finance and Industry of 20 February 2007, modified by the Decrees of 19 October 2007, of 11 September 2008, of 29 October 2009,of 25 August 2010, of 13 December 2010 and of 23 November 2011.2012 Registration document and annual financial report - BNP PARIBAS 219
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2012REGISTRATION DOCUMENTAND ANNUAL
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2012 Registration documentand annua
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1GROUP PRESENTATION1.1 Group presen
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GROUP PRESENTATIONPresentation of a
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1GROUPPRESENTATIONBNP Paribas and i
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1GROUPPRESENTATION1282012 Registrat
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2CORPORATEGOVERNANCEBoard of Direct
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2CORPORATEGOVERNANCEReport of the C
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2CORPORATEGOVERNANCEExecutive Commi
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32012REVIEW OF OPERATIONSBNP Pariba
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32012REVIEW OF OPERATIONSBalance sh
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32012REVIEW OF OPERATIONSProfit and
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32012REVIEW OF OPERATIONSProfit and
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32012REVIEW OF OPERATIONSOutlook3.6
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32012REVIEW OF OPERATIONSLiquidity
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4CONSOLIDATEDFINANCIAL STATEMENTS -
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5RISKSAND CAPITAL ADEQUACYSecuritis
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5RISKSAND CAPITAL ADEQUACYCounterpa
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5RISKSAND CAPITAL ADEQUACYMarket ri
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5RISKSAND CAPITAL ADEQUACYSovereign
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5RISKSAND CAPITAL ADEQUACYSovereign
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5RISKSAND CAPITAL ADEQUACYLiquidity
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5RISKSAND CAPITAL ADEQUACYOperation
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5RISKSAND CAPITAL ADEQUACYComplianc
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5RISKSAND CAPITAL ADEQUACYInsurance
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5RISKSAND CAPITAL ADEQUACYInsurance
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5RISKSAND CAPITAL ADEQUACYAppendice
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5RISKSAND CAPITAL ADEQUACYAppendix
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6INFORMATIONON THE PARENT COMPANY F
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7ARESPONSIBLE BANK: INFORMATION ON
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8GENERALINFORMATIONDocuments on dis
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8GENERALINFORMATIONFounding documen
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8GENERALINFORMATIONStatutory Audito
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8GENERALINFORMATIONStatutory Audito
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9STATUTORYAUDITORSStatutory Auditor
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10PERSON RESPONSIBLE FOR THE REGIST
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11TABLE OF CONCORDANCEHeadings as l
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HEAD OFFICE16, boulevard des Italie
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2012 Registration document and annual financial report - BNP Paribas

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