2012 Registration document and annual financial report - BNP Paribas

RISKS AND CAPITAL ADEQUACYSecuritisation in the banking book5➤ TABLE 29: SECURITISATION POSITION, EXPOSURE IN DEFAULT AND PROVISIONS BY UNDERLYING ASSET’S COUNTRYIn millions of eurosEADEAD in defaultStandardisedapproach IRB approach TotalSpecificprovisionsDomestic markets 5,272 75 744 819 460France 3,079 37 37 0Belgium 705 678 678 385Italy 1,488 75 29 104 75Other Europeancountries 13,544 26 213 239 73Americas 12,830 6 101 108 28Asia & Pacific 923 0Other 40 0 6 6 6Collectiveprovisions31 December 2012Cost of riskTOTAL 32,609 107 1,064 1,172 567 174 129In millions of eurosEADEAD in defaultStandardisedapproach IRB approach TotalSpecificprovisionsDomestic markets 5,848 84 751 835 451France 2,523 0Belgium 1,570 719 719 385Italy 1,755 84 32 116 66Other Europeancountries 21,199 200 392 592 140Americas 16,825 15 335 350 80Asia & Pacific 1,087 0Other 206 0 0 0 0Collectiveprovisions31 December 2011Cost of riskTOTAL 45,165 299 1,478 1,777 671 336 1025➤ TABLE 30: BANKING BOOK SECURITISATION POSITION QUALITYIn millions of eurosSecuritisation positions held or acquired (EAD)Tranche quality 31 December 2012 31 December 2011Senior tranche 29,892 41,746Mezzanine tranche 2,227 2,910First-loss tranche 490 509TOTAL 32,609 45,165At 31 December 2012, 92% of the securitisation positions held or acquired by the Group were senior tranches, unchanged compared with 31 December2011, reflecting the high quality of the Group’s portfolio. The corresponding Exposures at Default (EADs) and risk weights are given in the following tables.2012 Registration document and annual financial report - BNP PARIBAS 277