2012 Registration document and annual financial report - BNP Paribas

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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
RISKS AND CAPITAL ADEQUACYSecuritisation in the banking book5➤ Standardised approachIn millions of euros 31 December 2012Calculation methodSecuritisationpositionsExposure at defaultRe-securitisationpositions ( * )SecuritisationpositionsRisk-weighted assetsRe-securitisationpositions ( * )20% 820 16440% 44 1750% 770 354100% 554 11 553 11225% 38 87350% 22 73External ratings based method 2,166 93 1,144 1151,250% 170 644Weighted Average method 47 18Look-through approach 2 2TOTAL 2,385 93 1,808 115In millions of euros 31 December 2011Calculation methodSecuritisationpositionsExposure at defaultRe-securitisationpositions ( * )SecuritisationpositionsRisk-weighted assetsRe-securitisationpositions ( * )20% 1,421 28440% 2 150% 215 107100% 116 27 110 27225% 92 45350% 65 212External ratings based method 1,817 121 713 731,250% 175 900Weighted Average method 65 24Look-through approach 2 2TOTAL 2,059 121 1,639 73(*) CRD 3 definition .5Guarantees on securitisation positions amounted to EUR 4.44 billionat 31 December 2012. The Belgian government’s guarantee held byBNP Paribas Fortis on the RPI senior debt accounts for EUR 4.33 billion.The only one re-securitisation position guaranteed is the senior debt ofthe Royal Park Investments portfolio held by BNP Paribas Fortis. It isensured by the Belgian government, rated AA (Standard & Poor’s).2012 Registration document and annual financial report - BNP PARIBAS 281
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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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5RISKSAND CAPITAL ADEQUACYCapital m
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5RISKSAND CAPITAL ADEQUACYAppendix
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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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2012 Registration document and annual financial report - BNP Paribas

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