2018 Registration document and annual fi nancial report - BNP PARIBAS 377

5RISKS AND CAPITAL ADEQUACY PILLAR 3

5

Securitisation in the banking book

SECURITISED EXPOSURES

At 31 December 2018, the main securitisation transactions recognised as effective are the following:

■ a transaction initiated in 2018 by CIB Portfolio Management in partnership with French Retail Banking concerning an EUR 11.5 billion portfolio of large corporates loans;

■ a transaction initiated in 2018 by BNL concerning a EUR 2.4 billion portfolio of loans to large corporates;

■ a transaction initiated in 2018 by Personal Finance concerning a EUR 1.7 billion portfolio of consumer loans;

■ a transaction initiated in 2017 by CIB Portfolio Management concerning a EUR 3.2 billion portfolio of loans to large corporates;

■ a transaction initiated in 2017 by CIB Portfolio Management in partnership with French Retail Banking on a portfolio of large corporate loans in the amount of EUR 1.7 billion.

BNP Paribas did not securitise for its own account revolving exposures subject to early amortisation treatment.

At 31 December 2018, there are no assets awaiting securitisation.

➤ TABLE 52: SECURITISED EXPOSURES ORIGINATED BY BNP PARIBAS

In millions of euros

Calculation approach

Securitised exposures originated by BNP Paribas

Securitisation type 31 December 2018 1 January 2018

Traditional IRBA 1,673 0

Standard 1,095 1,453 Sub-Total 2,768 1,453 Synthetic IRBA 18,756 6,636

TOTAL 21,524 8,089

➤ TABLE 53: SECURITISED EXPOSURES BY BNP PARIBAS BY UNDERLYING ASSET CATEGORY(*)

0riginated securitised exposures In millions of euros

31 December 2018

Originator Sponsor(**)

TotalTraditional Synthetic Traditional Synthetic Residential mortgages 20 2,351 88 2,459 Consumer loans 2,536 6,098 8,634 Credit card receivables 1,805 1,805 Loans to corporates 16,405 25,844 42,250 Trade receivables 4,943 4,943 Commercial mortgages 54 54 Finance leases 4,108 4,108 Other assets 194 419 614 TOTAL 2,750 18,756 43,360 64,866

0riginated securitised exposures In millions of euros

1 January 2018

Originator Sponsor(**)

TotalTraditional Synthetic Traditional Synthetic Residential mortgages 22 89 111 Consumer loans 1,193 3,736 4,929 Credit card receivables 1,070 1,070 Loans to corporates 6,636 535 7,172 Trade receivables 4,463 4,463 Commercial mortgages 47 47 Finance leases 4,189 4,189 Other assets 194 692 886

TOTAL 1,409 6,636 14,821 22,867

(*) This breakdown is based on the predominant underlying asset of the securitisation. (**) Within the securitised exposures on behalf of clients, EUR 18 millions correspond to originated exposures (from BNP Paribas balance sheet) at 31

December 2018 (compared with EUR 44 million at 1 January 2018).