Capital Adequacy and Basel Reform

1. Capital Adequacy and Basel Reform Felicity Ann Youl Regional Head Compliance & Control BNP Paribas, Asia Pacific 30 November 2010

2. Some Quick facts about BNP Paribas • 201,000 employees across 84 countries • Diversified business model across Retail, Corporate & Investment Banking and Investment Solutions • After CEBS stress test, buffer of over €20 Billion • Gross Revenues €33.56 Billion/Net Income €6.293 Billion (for 9 months to 9/2010) • In the top 15 banks by market capitalisation (€80 Billion) • Common equity tier 1 ratio 9% / tier 1 ratio 11.2% (at 30/9/10) • ROE 13.2% for 9M 2010 (at 30/9/2010) • AUM of €887 Billion (at 30/9/2010) • RWA €608 billion (at 30/9/2010) • One of only 6 banks in the world rated AA or above • 6th most important global banking brand • (English Brand Finance Magazine)

3. Completion Completion Completion Completion External data External data External data Extreme Extreme Annual Annual Annual Annual Annual risk risk Qualitative analysis Qualitative analysis Quantitative analysis Quantitative analysis Indirect Indirect Indirect Indirect Calculation Calculation Calculation aggregated aggregated aggregated aggregated aggregated Use Use Use Use LIKELY CASE LIKELY CASE engine engine engine Causes Causes Controls Controls losses losses losses losses losses Direct use Direct use Direct use Direct use Analysis Analysis Potential Potential Distributions Distributions Distributions Description Description Event Event Frequency Frequency Severity Severity Simulations Simulations Simulations • • Risk Assessments Risk Assessments Incidents Incidents Potential Incident Potential Incident Potential Incident Potential Incident WORST CASE WORST CASE WORST CASE • • 30 majors Scenarios 30 majors Scenarios Process Process Indirect Indirect Severity Severity Indirect Indirect Capital Capital Capital Capital Capital Description Description Effects Effects Frequency Frequency Use Use Use Use Common Common Completion Completion Historical Historical Historical Completion Completion risks risks incidents incidents incidents BNP Paribas’ Operational Risk Approach The Group Capital Calculation Model • The cornerstone of the BNPP model is the potential incidents • Selection of scope: • Key business processes analysis, • Identification of the potential incidents, • Selection of the most important in terms of financial impact. • Detailed analysis of those potential incidents: • Qualitative: Analysis of the causes, controls, effects and quantification factors, • Quantitative: Frequency and severity assessment of two cases (Likely and Worst). • Historical internal and external incidents are used to back test our prospective analysis and ensure its completeness and accuracy. • The incidents output data (frequency, severity) are modeled by distribution laws. • Capital is derived from simulation of annual aggregated losses resulting from modeled incidents.