2012 Registration document and annual financial report - BNP Paribas

RISKS AND CAPITAL ADEQUACYSecuritisation in the banking book5The securitised exposures from BNP Paribas balance sheet are essentiallymade up of residential mortgages.At 31 December 2012, six securitisations were efficient from a Basel 2.5perspective:■ four operations on residential mortgages (Vela Home 2, Vela 3, VelaHome 4 and Vela ABS) originated by BNL for a total exposure ofEUR 2 billion;■ one on residential mortgages originated by UCI, a subsidiary ofBNP Paribas Personal Finance, for a total exposure of EUR 0.2 billion;■ one on SME loans originated by French Retail Banking, with a guaranteefrom the European Investment Bank, for a total of securitised exposuresof EUR 1 billion.Furthermore, the securitisation exposures of the special purpose vehicleRoyal Park Investment (RPI), EUR 8.3 billion, are essentially made up ofresidential mortgages as final underlying asset.At the same date, no consumer loan securitisation transaction wasefficient from a Basel 2.5 perspective. In addition, BNP Paribas did notsecuritised for its own account revolving exposures subject to earlyamortization treatment.Two-thirds of securitised exposures are on behalf of clients, especiallythrough multiseller conduits.➤ TABLE 27: ASSETS AWAITING SECURITISATIONIn millions of euros 31 December 2012 31 December 2011Asset categoryBNP Paribase xposuresawaitingsecuritisationExposuresawaitingsecuritisation inwarehousingBNP Paribase xposuresawaitingsecuritisationExposuresawaitingsecuritisation inwarehousingResidential mortgages - - 1,800 -Consumer loans 600 - 5,900 -Loans to corporates 800 - - -TOTAL 1,400 - 7,700 -52012 Registration document and annual financial report - BNP PARIBAS 275