2020 Universal registration document and annual financial report - BNP PARIBAS 405
5risks and CaPital adequaCy Pillar 3
5
Securitisation in the banking book
➤ TABLE 58: SECURITISED EXPOSURES BY BNP PARIBAS AS ORIGINATOR BY UNDERLYING ASSET CATEGORY(*)
Originated securitised exposures In millions of euros
31 December 2020 31 December 2019
Traditional Synthetic Total Traditional Synthetic Total
Residential mortgages 11 - 11 17 - 17
Consumer loans 4,902 - 4,902 5,281 1,690 6,972
Credit card receivables - - - - - -
Loans to corporates 1,743 36,213 37,956 1,813 29,415 31,228
Trade receivables - - - - - -
Commercial mortgages - - - - - -
Finance leases 849 - 849 980 - 980
Other assets - - - 84 - 84
TOTAL 7,505 36,213 43,718 8,175 31,106 39,281
(*) This breakdown is based on the predominant underlying asset of the securitisation.
Inefficient securitisations
Inefficient securitisation transactions are mainly carried out for refinancing purposes. These operations, which do not result in any risk transfer within the meaning of Regulation (EU) No. 2017/2401, do not have a diminishing effect on the calculation of risk-weighted assets. Securitised exposures are included in customer loans and subject to credit risk-weighted assets calculation.
As at 31 December 2020, BNP Paribas originated thirty-three securitisation transactions, for a total amount of EUR 61.8 billion of securitised exposures. The main transactions concern: BNP Paribas Fortis (EUR 31.2 billion), BNP Paribas Personal Finance (EUR 15.6 billion), French Retail Banking (EUR 12.6 billion) and BNL (EUR 2.4 billion). In 2020, two transactions without a significant risk transfer have been completed by
BNP Paribas Personal Finance, for a total amount of EUR 2.7 billion. The relevant exposures are therefore included in the section on credit risk (see section 5.4).
SECURITISATION ON BEHALF OF CLIENTS (SPONSOR) As part of their third-party securitisation activity, CIB enables its large corporate and institutional clients to obtain attractive financing conditions directly from the financing markets, through multiple conduits (short- term refinancing markets) or specific structured operations (medium and long-term refinancing).
➤ TABLE 59: SECURITISED EXPOSURES BY BNP PARIBAS AS SPONSOR(*) BY UNDERLYING ASSET CATEGORY(**)
Securitised exposures In millions of euros
31 December 2020 31 December 2019
Traditional Synthetic Total Traditional Synthetic Total
Residential mortgages 369 - 369 2,044 - 2,044
Consumer loans 8,354 - 8,354 6,768 - 6,768
Credit card receivables 2,814 - 2,814 2,526 - 2,526
Loans to corporates 657 - 657 486 - 486
Trade receivables 5,818 - 5,818 5,836 - 5,836
Commercial mortgages - - - 34 - 34
Finance leases 4,364 - 4,364 3,638 - 3,638
Other assets 408 - 408 758 - 758
TOTAL 22,784 - 22,784 22,090 - 22,090
(*) Within the securitised exposures by the Group as a sponsor, EUR 4 million correspond to exposures coming from BNP Paribas balance sheet at 31 December 2020 (compared with EUR 6 million at 31 December 2020).
(**) This breakdown is based on the predominant underlying asset of the securitisation.
