2012 Registration document and annual financial report - BNP Paribas

5RISKSAND CAPITAL ADEQUACYSecuritisation in the banking book5In millions of euros 31 December 2011Calculation methodSecuritisationpositionsExposure at defaultRe-securitisationpositions ( * )SecuritisationpositionsRisk-weighted assetsRe-securitisationpositions ( * )7% – 10% 18,684 1,37112% – 18% 864 7920% – 35% 2,857 336 526 6040% – 75% 733 2,677 301 741100% 310 78 36 82225% 105 249250% 262 633350% 257 817425% 77 133650% 27 122 30 559750% 197 1,561850% 250 2,253External ratings based method 23,814 4,022 3,109 6,3221,250% 844 369 7,609 1,852Internal Assessment Approach 1,307 31[0% – 7%] 7,606 0 532 0]7% – 100%] 2,773 1,528 812 363]100% – 350%] 14 153 27 358]350% – 1,250%] 36 519 456 1,193Supervisory Formula Approach 10,429 2,200 1,827 1,914TOTAL 36,394 6,591 12,576 10,088(*) CRD 3 definition .Out of the EUR 20 billion of securitisation positions with an externalratings:■ 65% by EAD are rated above A+ and therefore have a risk weight of lessthan 10% at 31 December 2012, compared with 67% at 31 December2011;■ the great majority (82% by EAD) are rated above BBB+ at 31 December2012 (82% at 31 December 2011).2802012 Registration document and annual financial report - BNP PARIBAS