2012 Registration document and annual financial report - BNP Paribas

RISKS AND CAPITAL ADEQUACYCapital management and capital adequacy5At 31 December 2012, the total amount of Basel 2 Pillar 1 risk-weighted assets was EUR 552 billion, versus EUR 614 billion at 31 December 2011, brokendown as follows by type of risk, calculation approach, and asset class:➤ TABLE 6: PILLAR 1 RISK-WEIGHTED ASSETS AND CAPITAL REQUIREMENTSIn millions of euros31 December 2012 31 December 2011 VariationCapitalRequirementCapitalRequirementRiskweightedassetsRiskweightedassetsRiskweightedassetsCapitalRequirementCredit risk 411,151 32,892 446,674 35,734 (35,523) (2,842)Credit risk - IRB approach 172,409 13,793 192,852 15,428 (20,443) (1,635)Central governments and central banks 3,244 260 4,310 345 (1,066) (85)Corporates 121,986 9,759 136,889 10,951 (14,903) (1,192)Institutions 10,326 826 13,391 1,071 (3,065) (245)Retail 36,749 2,940 38,127 3,050 (1,378) (110)Real estate loans 10,772 862 10,311 825 461 37Revolving exposures 5,851 468 6,530 522 (679) (54)Other exposures 20,126 1,610 21,286 1,703 (1,160) (93)Other non credit-obligation assets 104 8 134 11 (30) (3)Credit risk - Standardised approach 238,742 19,099 253,822 20,306 (15,080) (1,207)Central governments and central banks 3,742 299 3,458 277 284 22Corporates 112,909 9,033 117,083 9,367 (4,174) (334)Institutions 8,508 681 7,282 582 1,226 99Retail 80,589 6,447 82,922 6,634 (2,333) (187)Real estate loans 26,276 2,102 26,818 2,145 (542) (43)Revolving exposures 3,137 251 4,295 344 (1,158) (93)Other exposures 51,176 4,094 51,810 4,145 (634) (51)Other non credit-obligation assets 32,994 2,639 43,077 3,446 (10,083) (807)Securitisation positions 19,076 1,526 24,376 1,950 (5,300) (424)Securitisation positions - IRB approach 17,153 1,372 22,665 1,813 (5,512) (441)Securitisation positions - Standardised approach 1,923 154 1,712 137 211 17Counterparty risk 20,533 1,643 23,624 1,890 (3,091) (247)Counterparty risk - IRB approach 18,633 1,491 20,863 1,669 (2,230) (178)Central governments and central banks 222 18 180 14 42 4Corporates 15,117 1,209 16,344 1,308 (1,227) (99)Institutions 3,294 264 4,339 347 (1,045) (83)Counterparty risk - Standardised approach 1,900 152 2,761 221 (861) (69)Central governments and central banks 27 2 1 0 26 2Corporates 1,610 129 2,426 194 (816) (65)Institutions 254 20 320 26 (66) (6)Retail 9 1 14 1 (5) 0Other exposures 9 1 14 1 (5) 0Equity risk 24,377 1,950 25,775 2,062 (1,398) (112)Internal model 21,496 1,720 23,461 1,877 (1,965) (157)Listed equities 7,734 619 8,670 694 (395) (32)Other equity exposures 7,321 586 8,576 686 (1,796) (143)Private equity exposures in diversified portfolios 6,441 515 6,215 497 226 18Simple weighting method 1,733 138 1,248 100 485 38Listed equities 21 2 14 1 7 1Other equity exposures 468 37 125 10 343 27Private equity exposures in diversified portfolios 1,244 99 1,109 89 135 10Standardised approach 1,148 92 1,066 85 82 7Market risk 25,548 2,044 38,501 3,080 (12,953) (1,036)Internal model 22,633 1,811 35,338 2,827 (12,705) (1,016)VaR 5,440 435 8,230 659 (2,790) (224)Stressed VaR 11,179 894 16,605 1,328 (5,426) (434)Incremental Risk Charge 3,421 274 6,440 515 (3,019) (241)Comprehensive Risk Measure 2,593 208 4,063 325 (1,470) (117)Standardised approach 2,652 212 2,386 191 266 21Trading book securitisation positions 263 21 777 62 (514) (41)Operational risk 51,154 4,092 54,617 4,369 (3,463) (277)Advanced Measurement Approach (AMA) 35,586 2,847 38,628 3,090 (3,042) (243)Standardised approach 9,518 761 9,470 758 48 3Basic indicator approach 6,050 484 6,519 521 (471) (37)TOTAL 551,839 44,147 613,567 49,085 (61,728) (4,938)Explanations for the changes in 2012 can be found in the various appropriate sections .2012 Registration document and annual financial report - BNP PARIBAS 2335