2018 REGISTRATION DOCUMENT AND ANNUAL FINANCIAL REPORT

2018 Registration document and annual fi nancial report - BNP PARIBAS376

5 RISKS AND CAPITAL ADEQUACY PILLAR 3

Securitisation in the banking book

PROPRIETARY SECURITISATION (ORIGINATOR) As part of the day-to-day management of its liquidity, the Group can securitise loans granted to Retail Banking customers (mortgages, consumer loans), as well as loans granted to corporate customers, in order to transform them into liquid assets.

Effi cient securitisations

Exposures retained in securitisation positions originated by BNP Paribas amounted to EUR 18.9 billion at 31 December 2018, corresponding to positions in effi cient securitisation under Basel rules.

At 31 December 2018, nine transactions are effi cient due to signifi cant risk transfer, and are included in the previous table. Three effi cient securitisation programs were set up in 2018 by CIB in partnership with French Retail Banking, BNL and Personal Finance (see paragraph Securitised Exposures).

Ineffi cient securitisations

Furthermore, for securitisation transactions that are ineffi cient under Basel rules, the securitised exposures are included in customer loans. These transactions do not reduce the regulatory capital calculated because no material risk transfer took place.

As at 31 December 2018, BNP Paribas originated thirty-three securitisation transactions, for a total amount of EUR 68.2 billion of securitised exposures. The main transactions concern: BNP Paribas Fortis (EUR 37.5 billion), BNP Paribas Personal Finance (EUR 15.5 billion), French Retail Banking (EUR 12.6 billion) and BNL (EUR 2.4 billion). Four transactions took place in 2018, two by Personal Finance, one by BancWest and one by BNL. The relevant exposures are therefore included in the section on credit risk (see section 5.4).

SECURITISATION ON BEHALF OF CLIENTS AS SPONSOR CIB Fixed Income Credit and Commodities carries out securitisation programmes on behalf of its customers. Under these programmes, liquidity facilities and, where appropriate, guarantees are granted to special purpose entities. Commitments and positions retained or acquired by BNP Paribas on securitisations as sponsor on behalf of clients, amounted to EUR 19.2 billion at 31 December 2018.

Short-term refi nancing

At 31 December 2018, two consolidated multiseller conduits (Starbird and Matchpoint) were sponsored by the Group. These conduits, by seeking refi nancing on the local short-term commercial paper market, are able to provide CIB clients, large corporates and institutions with an attractive fi nancing solution in exchange for some of their loans (commercial and industrial loans, fi nance leases for automobiles or various equipment, credit card receivables, etc.).

BNP Paribas provides each of these conduits with a liquidity line which amounted to EUR 16.1 billion at 31 December 2018, compared with EUR 13.5 billion at 1 January 2018 .

Medium/long-term refi nancing

In Europe and North America, the BNP Paribas Group s structuring platform provides securitisation solutions to its clients, based on products adapted to current conditions in terms of risk and liquidity. The total of these facilities amounted to EUR 2.9 billion at 31 December 2018 compared with EUR 0.6 billion at 1 January 2018.

SECURITISATION AS INVESTOR The securitisation positions of BNP Paribas as an investor amounted to EUR 5.5 billion at 31 December 2018. This business is mainly carried out by CIB and Asset Management. It also includes the legacy positions held by BNP Paribas Fortis and managed in run-off.

CIB Fixed Income Credit and Commodities continued its securitisation activity as an investor, monitoring and managing a securitisation portfolio which represented a total of EUR 4.0 billion at 31 December 2018 compared with EUR 2.9 billion at 1 January 2018 , attesting to new investments made in 2018.

Total exposure of the portfolio managed in run-off at CIB Fixed Income Credit and Commodities and Asset Management amounted to EUR 0.1 billion at 31 December 2018 , stable compared to EUR 0.1 billion at 1 January 2018 .

BNP Paribas Fortis portfolio of structured loans, which was not assigned to a business line and is housed in the Corporate Centre , was worth EUR 1.3 billion at 31 December 2018 compared with EUR 1.7 billion at 1 January 2018 . This portfolio is managed in run-off.