2012 Registration document and annual financial report - BNP Paribas

RISKS AND CAPITAL ADEQUACYSecuritisation in the banking book5➤ TABLE 23: STANDARDISED APPROACH – CORPORATE PORTFOLIOThe following table gives for the Corporate portfolio the breakdown by Basel asset class of the risk mitigation resulting from collateral and guaranteesrelating to the portfolio of loans and credit commitments for all the Group’s business lines using the standardised approach.In millions of eurosTotalexposureGuaranteesand creditderivativesCollateral31 December 2012 31 December 2011Risk mitigationTotalguaranteesandcollateralsTotalexposureGuaranteesand creditderivativesCollateralRisk mitigationTotalguaranteesandcollateralsCentral governmentsand central banks 18,825 0 7 7 21,011 401 7 409Corporates 154,986 821 5,673 6,494 159,762 1,653 6,528 8,181Institutions 26,765 4,933 8 4,942 27,031 4,816 8 4,824TOTAL 200,575 5,754 5,688 11,442 207,804 6,870 6,543 13,4135.5 Securitisation in the banking book5The BNP Paribas Group is involved in securitisation transactions asoriginator, sponsor and investor as defined by Basel 2.5.The securitisation transactions described below are those defined inthe CRD (Capital Requirement Directive) and described in Title V of theDecree of 20 February 2007. They are transactions in which the creditrisk inherent in a pool of exposures is divided into tranches. The mainfeatures of these securitisation transactions are:■ there is a significant transfer of risk;■ payments made depend upon the performance of the underlyingexposures;■ subordination of the tranches as defined by the transaction determinesthe distribution of losses during the risk transfer period.As required by the CRD, assets securitised as part of proprietarysecuritisation transactions that meet Basel eligibility criteria, particularlyin terms of significant risk transfer, are excluded from the regulatorycapital calculation. Only BNP Paribas’ positions in the securitisationvehicle, and any commitment subsequently granted to the securitisationvehicle, are included in the capital requirement calculation using theexternal ratings based approach.Proprietary securitisation exposures that do not meet the Basel eligibilitycriteria remain in the portfolio to which they were initially assigned. Thecapital requirement is calculated as if they had not been securitised andis included in the section on credit risk.Consequently, the securitisation transactions discussed below only coverthose originated by the Group deemed to be efficient under Basel 2.5,those arranged by the Group in which it has retained positions, and thoseoriginated by other parties to which the Group has subscribed.2012 Registration document and annual financial report - BNP PARIBAS 269