2012 Registration document and annual financial report - BNP Paribas

5RISKSAND CAPITAL ADEQUACYAppendix 1: Exposures based on Financial Stability Board recommendationsREAL-ESTATE RELATED ABS AND CDO EXPOSURES➤ BANKING AND TRADING BOOKS5Net exposure 31 December 2011 31 December 2012In billions of euros Net exposure Gross exposure (*) Allowances Net exposureTotal RMBS 12.1 7.0 (0.1) 6.8US 0.4 0.1 (0.0) 0.0Subprime 0.0 0.0 (0.0) 0.0Mid-prime 0.0 0.0 - 0.0Alt-A 0.1 - - -Prime (**) 0.2 0.0 (0.0) 0.0UK 1.3 1.1 (0.0) 1.0Conforming 0.2 0.1 - 0.1Non conforming 1.1 0.9 (0.0) 0.9Spain 1.1 0.9 (0.0) 0.9The Netherlands 8.3 4.2 (0.0) 4.2Other countries 1.0 0.7 (0.1) 0.7Total CMBS 2.5 1.9 (0.0) 1.8US 1.1 0.9 (0.0) 0.9Non US 1.4 1.0 (0.0) 0.9Total CDOs (cash and synthetic) 1.1 1.0 (0.0) 1.0RMBS 0.6 0.7 (0.0) 0.6US 0.1 0.1 - 0.1Non US 0.5 0.5 (0.0) 0.5CMBS 0.4 0.3 (0.0) 0.3CDO of TRUPs 0.0 0.0 - 0.0TOTAL 15.6 9.8 (0.2) 9.6o/w Trading Book 0.2 - - 0.3TOTAL SUBPRIME, ALT-A, US CMBS AND RELATED CDOs 1.2 0.9 (0.0) 0.9(*) Entry price + accrued interests – amortisation.(**) Excluding Government Sponsored Entity backed securities.Real estate ABS and CDO exposure now include the ABS portion of theformer BNP Paribas Fortis “IN” portfolio (EUR 1.8 billion at 31 December2012 compared with EUR 2.9 billion at 31 December 2011) due to theearly cancellation of the Belgian government’s guarantee of the secondloss tranche.As at 31 December 2012, the banking book’s net real estate ABS and CDOexposure decreased by EUR 6.0 billion to EUR 9.6 billion, due notably toamortisations and sales and a reduction in the Dutch RMBS portfoliofollowing repurchases on the call date. 59% of the banking book assetsare rated AA or better (1) .The assets are booked at amortised cost with the appropriate provisionin case of prolonged impairment.(1) Based on the lowest of the S&P, Moody’s & Fitch ratings.3242012 Registration document and annual financial report - BNP PARIBAS