2012 Registration document and annual financial report - BNP Paribas

5RISKSAND CAPITAL ADEQUACYSecuritisation in the banking bookRISK-WEIGHTED ASSETSUnder the standardised approach, risk-weighted assets are calculatedby multiplying Exposure at Default by a risk weight based on an externalrating of the securitisation position, as required by article 222 of theFrench Decree of 20 February 2007. In a small number of cases, a lookthroughapproach may be applied. Securitisation positions rated B+ orlower or without an external rating are given a risk weighting of 1, 250%.The standardised approach is used for securitisation positions originatedby BNL or UCI and for securitisation investments made by BancWest andthe Investment Solutions division.Under the IRB Approach, risk-weighted assets are calculated accordingto one of the following methods:■ if the securitisation position has an external rating, the Group usesan external rating-based method whereby the position’s risk weightis determined directly from a correspondence table provided by thebanking supervisor that matches risk weights to external ratings;■ if the securitisation position does not have an external rating, andif BNP Paribas is the originator or sponsor, the Group uses theSupervisory Formula Approach. In this approach the risk weight iscalculated from a formula provided by the banking supervisor thatfactors in the internal credit rating of the underlying asset portfolio,as well as the structure of the transaction (most notably the amountof credit enhancement subscribed out by the Group);■ the internal ratings approach is applied for liquidity facilities in theABCP programmes of the BNP Paribas Fortis and BGL BNP Paribasportfolios for which there are no external ratings. This approach hasbeen approved by the BNB;■ a look-through approach may be applied to derive the risk weight ina very small number of cases.At 31 December 2012, the IRB Approach is used for positions held by theCIB division and BNP Paribas Fortis.For rated securitisation positions, the Group uses external ratings fromthe Standard & Poor’s, Moody’s, and Fitch rating agencies. These ratingsare mapped to equivalent credit quality levels in accordance with theinstructions of the French banking supervisor.➤ TABLE 31: SECURITISATION POSITIONS AND RISK WEIGHT BY CALCULATION APPROACH5In millions of euros 31 December 2012 31 December 2011 VariationCalculation approachSecuritisationpositions held oracquired (EAD)Risk-weightedassetsSecuritisationpositions held oracquired (EAD)Risk-weightedassetsSecuritisationpositions heldor acquired(EAD)Risk-weightedassetsIRBA 30,131 17,153 42,985 22,665 ( 12,853) ( 5,512)Standardised 2,478 1,923 2,180 1,711 298 212TOTAL 32,609 19,076 45,165 24,376 ( 12,555) ( 5,300)Risk-weighted assets corresponding to securitisation positions held oracquired by the Group amounted to EUR 19.1 billion at 31 December2012, or 3% of BNP Paribas total risk-weighted assets, compared withEUR 24.3 billion at 31 December 2011 (4% of Group total risk-weightedassets).The decline in risk-weighted assets is due to asset sales, amortisationsand redemption options exercised by issuers (-EUR 9.4 billion) offset bya downgrade of the external ratings of some positions (+EUR 4.2 b illion).2782012 Registration document and annual financial report - BNP PARIBAS