2018 Registration document and annual fi nancial report - BNP PARIBAS 375
5RISKS AND CAPITAL ADEQUACY PILLAR 3
5
Securitisation in the banking book
SECURITISATION RISK MANAGEMENT [Audited]
The risk management framework for securitisation is part of the risk management described in section 5.3.
The Business represents the fi rst line of defence with responsibility for understanding all the risks incurred in order to ensure correct evaluation. RISK acts independently, as a second line of defence.
Positions taken are monitored to measure changes in individual and portfolio risks.
The monitoring of securitised assets covers credit, counterparty, market and liquidity risks on the underlying assets.
CREDIT RISK ON SECURITISED ASSETS Securitisation assets outside the trading book are subject to specifi c approval by the Credit Committees. For new transactions, a credit proposal is prepared by the business, and a comprehensive risk analysis is carried out by the RISK analysts before presentation to the Credit Committee. All approvals are subject to an annual review. Exposures are monitored to ensure that they do not exceed the limits set by the Credit Committees.
The risk exposure of securitisation tranches is intrinsically linked to that of the underlying assets, whether for securitisation or re-securitisation. Through the customary governance of Credit Committees, the Group monitors changes in the quality of underlying assets for the entire duration of the programme concerned.
COUNTERPARTY RISK ON SECURITISATION RELATED TO INTEREST RATES OR FX DERIVATIVES Securitisation-related derivative instruments are also subject to the approval of the Securitisation Credit Committees. BNP Paribas integrates counterparty risk into the securitisation structure. The principles are the same as those described above in respect of credit risk.
MARKET RISK WITHIN THE BANKING BOOK On fi xed rate ABS positions, a macro hedge consisted of fi xed/variable rate swaps is put in place to cover interest rate risk. The hedge is recorded in accordance with the rules of hedge accounting.
LIQUIDITY/FUNDING RISK Securitisation positions are fi nanced internally by the ALM Treasury or via conduits sponsored by BNP Paribas.
BNP PARIBAS SECURITISATION ACTIVITY [Audited]
The Group s activities in each of its roles as originator, sponsor and investor, are described below:
➤ TABLE 51: SECURITISED EXPOSURES AND SECURITISATION POSITIONS (HELD OR ACQUIRED) BY ROLE [Audited]
In millions of euros 31 December 2018 1 January 2018
BNP Paribas role
Securitised exposures originated
by BNP Paribas(*)
Securitised positions held or acquired
(EAD) (**)
Securitised exposures originated
by BNP Paribas(*)
Securitised positions held or acquired
(EAD) (**)
Originator 21,506 18,919 8,046 6,303
Sponsor 18 19,222 44 14,832
Investor 0 5,467 0 4,799
TOTAL 21,524 43,608 8,089 25,934
(*) Securitised exposures originated by the Group correspond to the underlying exposures recognised on the Group s balance sheet which have been securitised.
(**) Securitisation positions correspond to tranches retained in securitisation transactions originated or arranged by the Group, tranches acquired by the Group in securitisation transactions arranged by other parties, and off-balance sheet commitments. Excluding securitisation positions deducted from CET1 capital, since 31 December 2017.
