2012 Registration document and annual financial report - BNP Paribas

RISKS AND CAPITAL ADEQUACYAppendix 1: Exposures based on Financial Stability Board recommendations5MONOLINE COUNTERPARTY EXPOSUREIn billions of eurosNotional31 December 2011 31 December 2012GrosscounterpartyexposureNotionalGrosscounterpartyexposureCDOs of US RMBS subprime 0.70 0.60 0.00 0.00CDOs of european RMBS 0.26 0.04 0.24 0.02CDOs of CMBS 0.71 0.22 0.67 0.19CDOs of corporate bonds 6.40 0.16 4.40 0.04CLOs 4.96 0.16 4.58 0.07Non credit related n.s 0.00 n.s 0.00TOTAL GROSS COUNTERPARTY EXPOSURE N.S 1.18 N.S 0.33In billions of euros 31 December 2011 31 December 2012Total gross counterparty exposure 1.18 0.33Credit derivatives bought from banks or other collateralized third parties ( 0.24) ( 0.14)Total unhedged gross counterparty exposure 0.93 0.19Credit adjustments and allowances ( 0.83) ( 0.17)NET COUNTERPARTY EXPOSURE 0.10 0.03At 31 December 2012, gross exposure to counterparty risk stood atEUR 0.33 billion, down EUR 0.85 billion compared with 31 December2011. Exposure to US RMBS CDOs was zero following commutationsduring the second half of 2012.5EXPOSURE TO SUPPORTED COUNTRIESa. Banking book➤ EXPOSURE TO GREECEIn billions of euros Total (a) Sovereign Corporates Other (b)Exposure net of collateral and provisions 1.0 0.0 0.7 0.4(a) Excluding exposure to companies related to Greek interests (e.g. shipping) that are not dependent on the country’s economic situation (EUR 1.6 bn).(b) Including Personal Finance, Arval, Leasing Solutions, Wealth Management.2012 Registration document and annual financial report - BNP PARIBAS 325