2012 Registration document and annual financial report - BNP Paribas

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5RISKSAND CAPITAL ADEQUACYSecuritisation in the banking book5PROPRIETARY SECURITISATION(ORIGINATOR UNDER BASEL 2.5)Exposures retained in securitisation positions originated by BNP Paribasamounted to EUR 2.2 billion at 31 December 2012, including EUR 1.5 billionin positions in efficient securitisation vehicles and EUR 0.7 billion in thededicated SPV, Royal Park Investment.As part of the day-to-day management of liquidity, the Group’s least liquidassets may be swiftly transformed into liquid assets by securitising loans(mortgages and consumer loans) granted to retail banking customers,as well as loans granted to corporate customers. Only six transactions,representing a total securitised exposure of EUR 3.2 billion, are efficientunder Basel 2.5 due to significant risk transfer, and are included in thetable above. Securitisation positions retained in these transactionsamounted to EUR 1.5 billion at 31 December 2012, stable comparedwith 31 December 2011.In addition, when BNP Paribas acquired the Fortis Group entities, theriskiest portion of their structured asset portfolio was sold to a dedicatedSPV, Royal Park Investment. Its securitised exposures at 31 December2012 amounted to EUR 8.3 billion, versus EUR 9.1 billion at 31 December2011. The Group retained EUR 0.7 billion in securitisation positions in theSPV at 31 December 2012 compared with EUR 1.4 billion at 31 December2011, including EUR 0.2 billion of the equity tranche and EUR 0.5 billionof financing corresponding to a senior tranche (the super senior trancheof EUR 0.6 billion was repaid during the year).During 2012, two securitisation transactions were carried out byBNP Paribas Personal Finance: securitised customer assets totalledEUR 1.1 billion, with EUR 0.9 billion of notes issues on the markets.These two transactions have no reducing effect on the calculation ofregulatory capital because they do not give rise to any significant risktransfer. The relevant exposures are therefore included in the section oncredit risk (see section 5.4).35 transactions, totalling a securitised exposure (Group BNP Paribas’share) of EUR 60.4 billion, were outstanding at 31 December 2012. Theyinclude EUR 18.8 billion for BNP Paribas Personal Finance, EUR 0.2 billionfor Leasing Solutions, EUR 5.9 billion for BNL, EUR 34.5 billion forBNP Paribas Fortis and EUR 1 billion for French Retail Banking. As thesetransactions are inefficient under Basel rules, the exposures are includedin customer loans.SECURITISATION AS SPONSOR ON BEHALFOF CLIENTSCIB Fixed Income carries out securitisation programmes on behalfof its customers. Under these programmes, liquidity facilities and,where appropriate, guarantees are granted to special purpose entities.These entities over which the Group does not exercise control are notconsolidated. Commitments and positions retained or acquired byBNP Paribas on securitisations as sponsor on behalf of clients, rise toEUR 12.7 billion at 31 December 2012, of which 384 million correspondto originated exposures. They are distributed such as below.Short-term refinancingAt 31 December 2012, three non-consolidated multiseller conduits(Starbird, J Bird and Matchpoint) were managed by the Group onbehalf of customers. These entities are refinanced on the local shorttermcommercial paper market. Liquidity facilities granted to the threeconduits amounted to EUR 7.2 billion at 31 December 2012, comparedto EUR 9.7 billion at 31 December 2011.BNP Paribas Fortis has also granted liquidity facilities to the Scaldismultiseller conduit, totalling EUR 3.3 billion at 31 December 2012compared with EUR 4.7 billion at 31 December 2011.Medium/long-term refinancingIn Europe and Northern America, the BNP Paribas Group’s structuringplatform remained active in providing securitisation solutions to itsclients, based on products adapted to current conditions in terms of riskand liquidity. “Technical” liquidity facilities, designed to cover maturitymismatches are also granted, where appropriate, to non consolidatedfunds, arranged by the Group for receiving securitised customer assets.The total of these facilities, including the few residual positions retained,amounted to EUR 1.9 billion at 31 December 2012, unchanged comparedwith 31 December 2011.During 2012, BNP Paribas continued to manage CLO (Collateralized LoanObligation) conduits for third-party investors. Securitisation positionsretained amounted to EUR 24 million as at 31 December 2012, unchangedcompared with 31 December 2011.2722012 Registration document and annual financial report - BNP PARIBAS
RISKS AND CAPITAL ADEQUACYSecuritisation in the banking book5SECURITISATION AS INVESTORThe BNP Paribas Group’s securitisation business as an investor (withinthe meaning of the regulations) fell sharply from EUR 25.5 billion at31 December 2011 to EUR 17.7 billion at 31 December 2012, mainly dueto the exercise of calls on the BNP Paribas Fortis portfolio. This businessis mainly carried out by CIB, Investment Solutions and BancWest. It alsoincludes positions held by BNP Paribas Fortis.CIB Fixed Income is responsible for monitoring and managing anABS portfolio (Asset Backed Securities), which represented a total ofEUR 2.7 billion at 31 December 2012 compared with EUR 2.9 billion at31 December 2011. Fixed Income also manages liquidity facilities grantedby banking syndicates to ABCP (Asset Backed Commercial Paper) conduitsmanaged by a number of major international industrial groups that areBNP Paribas clients representing a total of EUR 0.3 billion at 31 December2012, compared with EUR 0.6 billion at 31 December 2011.In addition, Fixed Income also houses Negative Basis Trade (NBT) positionsrepresenting an exposure at default of EUR 4.5 billion, compared withEUR 5.2 billion at 31 December 2011.CIB Resource & Portfolio Management (RPM) also managed securitisationprogrammes as an investor in 2012, The exposure of the RPM-managedportfolio has become very low following the arrival to the maturity ofseveral programs (EUR 0.04 billion at 31 December 2012, compared withEUR 0.5 billion at 31 December 2011).During 2012, Investment Solutions reduced securitisation exposure fromEUR 1.4 billion on 31 December 2011 to EUR 1 billion on 31 December2012 primarily thanks to the portfolio amortis ation.BancWest invests exclusively in securitisation positions in listed securitiesas a core component of its refinancing and own funds investment policy.At 31 December 2012, BancWest’s securitisation positions amounted toEUR 0.4 billion compared with EUR 0.3 billion at 31 December 2011.BNP Paribas Fortis’ portfolio of structured loans, which was notassigned to a business line and is housed in “Corporate Center”, is worthEUR 4.7 billion, compared with EUR 6.1 billion at 31 December 2011. Thisportfolio does not carry a guarantee by the Belgian State on the secondlevel of losses anymore.In addition, BNP Paribas Fortis’ investments in Dutch RMBS came toEUR 3.9 billion, compared with EUR 8.1 billion at 31 December 2011,following call exercise in 2012.SECURITISED EXPOSURES5➤ TABLE 25: SECURITISED EXPOSURES ORIGINATED BY BNP PARIBAS BY SECURITISATION TYPEIn millions of eurosSecuritisation typeSecuritised exposures originated byBNP ParibasCalculationapproach 31 December 2012 31 December 2011IRBA 8,644 9,978TraditionalStandardised 2,389 2,548SUB-TOTAL 11,033 12,526Synthetic IRBA 1,020 1,057TOTAL 12,053 13,5832012 Registration document and annual financial report - BNP PARIBAS 273
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2012REGISTRATION DOCUMENTAND ANNUAL
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2012 Registration documentand annua
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1GROUP PRESENTATION1.1 Group presen
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GROUP PRESENTATIONPresentation of a
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1GROUPPRESENTATIONBNP Paribas and i
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1GROUPPRESENTATION1282012 Registrat
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2CORPORATEGOVERNANCEBoard of Direct
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2CORPORATEGOVERNANCEReport of the C
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2CORPORATEGOVERNANCEExecutive Commi
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32012REVIEW OF OPERATIONSBNP Pariba
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32012REVIEW OF OPERATIONSBalance sh
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32012REVIEW OF OPERATIONSProfit and
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32012REVIEW OF OPERATIONSProfit and
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32012REVIEW OF OPERATIONSOutlook3.6
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32012REVIEW OF OPERATIONSLiquidity
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4CONSOLIDATEDFINANCIAL STATEMENTS -
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5RISKSAND CAPITAL ADEQUACY5.6 Count
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5RISKSAND CAPITAL ADEQUACYAnnual ri
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5RISKSAND CAPITAL ADEQUACYAppendice
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5RISKSAND CAPITAL ADEQUACYAppendix
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6INFORMATIONON THE PARENT COMPANY F
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7ARESPONSIBLE BANK: INFORMATION ON
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8GENERALINFORMATIONDocuments on dis
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8GENERALINFORMATIONFounding documen
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8GENERALINFORMATIONStatutory Audito
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8GENERALINFORMATIONStatutory Audito
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9STATUTORYAUDITORSStatutory Auditor
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10PERSON RESPONSIBLE FOR THE REGIST
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11TABLE OF CONCORDANCEHeadings as l
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HEAD OFFICE16, boulevard des Italie
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