2020 Universal registration document and annual financial report - BNP PARIBAS 403

5risks and CaPital adequaCy Pillar 3

5

Securitisation in the banking book

5.5 Securitisation in the banking book

Securitisation means a transaction or scheme, whereby the credit risk associated with an exposure or pool of exposures is tranched, having the following characteristics:

■ payments made in the transaction or scheme are dependent upon the performance of the exposure or pool of exposures;

■ the subordination of tranches determines the distribution of losses during the life of the risk transfer.

Any commitment (including derivatives and liquidity lines) granted to a securitisation operation must be treated as a securitisation position. Most of these commitments are held in the prudential banking book (section 5.5). Commitments held in the trading book are set out in Market risk (section 5.7).

The securitisation transactions discussed below concern:

■ the programmes originated by the Group for its own account, securitising its credit exposures ( originator role) which are recognised as efficient under Basel 3 regulatory framework;

■ the programmes that the Group has structured on behalf of its clients ( sponsor role where clients assets are securitised), in which it has retained positions;

■ the programmes to which the Group has subscribed without having a role in structuring the operation ( investor role).

In section 5.5, securitisation positions deducted from own funds are not included. These positions amounted to EUR 177 million at 31 December 2020.

BNP PARIBAS SECURITISATION ACTIVITIES

The Group s activities in each of its roles as originator, sponsor and investor, are described below:

➤ TABLE 56: SECURITISED EXPOSURES AND SECURITISATION POSITIONS (HELD OR ACQUIRED) BY ROLE

In millions of euros 31 December 2020 31 December 2019

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(***) 43,718 34,641 39,281 30,216

Sponsor 4 22,830 6 22,145

Investor - 8,987 - 8,915

TOTAL 43,722 66,458 39,287 61,276

(*) Securitised exposures originated by the Group correspond to the underlying exposures recognised on the Group s balance sheet and off-balance sheet which have been securitised.

(**) Securitisation positions correspond to tranches retained and off-balance sheet commitments granted by the Group in securitisation transactions originated or arranged by the Group, as well as tranches acquired by the Group in securitisation transactions arranged by other parties. Excluding securitisation positions deducted from CET1 capital.

(***) Efficient securitisation programmes only, see next paragraph.