2020 Universal registration document and annual financial report - BNP PARIBAS404

5 risks and CaPital adequaCy Pillar 3

5

Securitisation in the banking book

PROPRIETARY SECURITISATION (ORIGINATOR) The Group acts as an originator by securitising its own credit exposures in order to obtain new sources of financing and improve the liquidity of its balance sheet, and to reduce its risk and capital requirements.

Where the purpose of the transaction is solely to reduce risk, the Group will favour so-called synthetic securitisation transactions, ensuring the risk transfer of exposures (mortgages, consumer loans, corporate loans, etc.) through credit derivatives or guarantees. These transactions are initiated mainly by CIB in collaboration with the Retail Banking & Services business lines.

In the context of securitisation transactions carried out for financing purposes, the Group will favour so-called cash or traditional securitisations, characterised by the sale of securitised exposures to a specially created entity. These operations are initiated by ALM Treasury in collaboration with the businesses whose exposures are securitised in exchange for liquid assets eligible for central bank financing or included in the global liquidity reserve (see paragraph Wholesale funding and liquidity reserve monitoring indicators in section 5.8 Liquidity risk).

Risk transfer of own account securitisation transactions

The capital requirement of securitised credit exposures and securitisation positions depends on the risk transfer level of the transaction.

When the exposures securitised by the Group in the context of own- account securitisation transactions meet the Basel eligibility criteria, in particular that of significant risk transfer as defined in Regulation (EU) No. 2017/2401, they are excluded from the calculation of credit risk-weighted assets and the securitisation transaction is said to be efficient. In this case, only the positions retained by the institution and any commitments granted to the structure after securitisation are subject to risk-weighted assets calculation.

Exposures securitised through proprietary securitisation transactions that do not meet Basel eligibility criteria (inefficient securitisations) remain in their original prudential portfolio. Their capital requirement is calculated as if they were not securitised and is included in section 5.4 Credit risk.

Efficient securitisations

Exposures retained in securitisation positions originated by BNP Paribas amounted to EUR 34.6 billion at 31 December 2020, corresponding to positions in nineteen efficient securitisation programmes under Basel rules.

At 31 December 2020, the main securitisation transactions recognised as efficient are the following:

■ a synthetic operation initiated in 2020 by French Retail Banking concerning an EUR 6.2 billion portfolio of large corporate loans;

■ a synthetic operation initiated in 2020 by French Retail Banking concerning an EUR 1.2 billion portfolio of corporate loans;

■ a synthetic transaction initiated in 2019 by French Retail Banking concerning an EUR 7.5 billion portfolio of corporates loans;

■ a synthetic transaction initiated in 2019 by Belgian Retail Banking concerning an EUR 4.2 billion portfolio of corporates loans;

■ a synthetic transaction initiated in 2018 by French Retail Banking concerning an EUR 10.7 billion portfolio of large corporates loans;

■ a synthetic transaction initiated in 2018 by BNL concerning a EUR 2.2 billion portfolio of corporate loans;

■ a synthetic transaction initiated in 2017 by French Retail Banking concerning an EUR 1.1 billion portfolio of corporates loans;

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

At 31 December 2020, there were no assets awaiting securitisation.

➤ TABLE 57: SECURITISED EXPOSURES BY BNP PARIBAS AS ORIGINATOR BY APPROACH

In millions of euros

Securitised exposures originated by BNP Paribas

31 December 2020 31 December 2019

Traditional 7,505 8,175

of which IRB approach(*) 4,367 5,071

of which standardised approach(**) 3,138 3,104

Synthetic 36,213 31,106

of which IRB approach(*) 36,213 29,415

of which standardised approach(**) - 1,690

TOTAL 43,718 39,281

(*) Securitisation programmes under SEC-IRBA approach defined in Regulation (EU) No. 2017/2401, as well as IRBA approach defined in Regulation (EU) No. 575/2013 for programmes subject to transitional arrangements at 31 December 2019.

(**) Securitisation programmes under SEC-ERBA and SEC-SA approaches defined in Regulation (EU) No. 2017/2401, as well as standardised approach defined in Regulation (EU) No. 575/2013 for programmes subject to transitional arrangements at 31 December 2019.