RISULTATI AL 31 DICEMBRE 2007 - BNP Paribas

Exposure to US Subprime
BNP Paribas’ subprime exposure is located in
CIB and BancWest
CIB :
BancWest :
1% of the individual customer loan portfolio
1% of the investment portfolio
No subprime asset wrapped by monoline
insurers
(1) Exposure net of impairment charges
A negligible net exposure
CIB: Subprime and Monoline Exposures
Subprime exposure
Exposure to monoline insurers:
limited by hedging and credit adjustments
RISULTATI AL 31 DICEMBRE 2007
in €bn as at 31/12/07
in €bn as at 31/12/07
Net exposure
Net exposure
RMBS
RMBS
0.1
0.1
CDOs
CDOs
(cash
(cash
&
&
synthetic) -0.1
synthetic) -0.1
Total Total CIB 0.0
CIB 0.0
Net exposure
in €bn as at 31/12/07 Net exposure
in €bn as at 31/12/07
First
First
Mortgages
Mortgages
and
and
Home
Home
Equity
Equity
Loans 0.1
Loans 0.1
Consumer
Consumer
Loans 0.1
Loans 0.1
Investment portfolio (1)
Investment portfolio (1)
(1) Replacement cost based on market indices
(2) Essentially (~80%) concentrated on Ambac, CIFG, MBIA; no residual exposure to ACA
(3) Credit adjustments consistent with the maximum spreads widening observed in January 2008 on the
monolines
0.1
0.1
Total
Total
BancWest 0.3
BancWest 0.3
in €bn
in €bn
au 31.12.2007
au 31.12.2007
RMBS
RMBS
Net
Net
(a=b+c+d)
(a=b+c+d)
0.1
0.1
Long
Long
(b)
(b)
0.1
0.1
Notional Equivalent
Notional Equivalent
Short with other
Short with other
counterparties
counterparties
(c)
(c)
-
-
Short with
Short with
monolines
monolines
(d)
(d)
-
-
CDO's (cash and synthetic)
CDO's (cash and synthetic)
-0.1
-0.1
3.1
3.1
-0.2
-0.2
-3.0
-3.0
Total
Total
0.0
0.0
3.2
3.2
-0.2
-0.2
-3.0
-3.0
Counterparty risk exposure:
present value (1) = €1.3bn
in €bn as at 31/12/2007
Subprime-related monolines counterparty exposure 1.3
Non subprime-related monolines counterparty exposure 0.6
Total monolines counterparty exposure 1.9 (2)
Credit Derivatives bought from banks or other collateralized third parties -0.8
Unhedged monoline counterparty exposure 1.1
Credit adjustments -0.4 (3)
in €bn as at 31/12/2007
Subprime-related monolines counterparty exposure 1.3
Non subprime-related monolines counterparty exposure 0.6
Total monolines counterparty exposure 1.9
Net monolines counterparty exposure 0.7
(2)
Credit Derivatives bought from banks or other collateralized third parties -0.8
Unhedged monoline counterparty exposure 1.1
Credit adjustments -0.4 (3)
Net monolines counterparty exposure 0.7
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