2012 Registration document and annual financial report - BNP Paribas

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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
RISKS AND CAPITAL ADEQUACYSecuritisation in the banking book5➤ TABLE 32: SECURITISATION POSITIONS BY APPROACH, CALCULATION METHOD, AND RISK WEIGHT➤ IRB ApproachIn millions of euros 31 December 2012Calculation methodSecuritisationpositionsExposure at defaultRe-securitisationpositions ( * )SecuritisationpositionsRisk-weighted assetsRe-securitisationpositions ( * )7% – 10% 12,804 99212% – 18% 778 11520% – 35% 1,056 1,380 294 38240% – 75% 509 1,528 275 651100% 367 72 361 76150% 0 1225% 235 561250% 36 23350% 255 947425% 55 92500% 61 107650% 42 42 100 271750%850% 334 2,771External ratings based method 15,647 3,907 2,252 5,7671,250% 287 506 2,468 3,643Internal Assessment Approach 719 114[0% – 7%] 6,192 0 411 0[7% – 100%] 1,975 77 514 21[100% – 350%] 10 247 26 510[350% – 1,250%] 86 478 635 792Supervisory Formula Approach 8,263 802 1,586 1,323TOTAL 24,916 5,215 6,420 10,73352012 Registration document and annual financial report - BNP PARIBAS 279
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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 OPERATIONSCore busin
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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 ADEQUACY5.6 Count
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5RISKSAND CAPITAL ADEQUACYAnnual ri
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Page 230 and 231: 5RISKSAND CAPITAL ADEQUACYCapital m
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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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