376 2019 Universal registration document and annual financial report - BNP PARIBAS

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 the Group s 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 30.2 billion at 31 December 2019, corresponding to positions in nineteen efficient securitisation programmes under Basel rules.

At 31 December 2019, the main securitisation transactions recognised as efficient are the following:

■ 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 2019 by BNL concerning an EUR 1.4 billion portfolio of consumer 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 classic transaction initiated in 2018 by Personal Finance concerning a EUR 1.0 billion portfolio of consumer loans;

■ a synthetic transaction initiated in 2017 by French Retail Banking concerning an EUR 1.6 billion portfolio of large corporates loans;

■ a synthetic transaction initiated in 2017 by CIB concerning a EUR 1.3 billion portfolio of corporate loans.

In addition, the Group held positions in four securitisation transactions implemented in 2019 by Personal Finance totalling EUR 0.3 billion, representing a EUR 3.8 billion portfolio of underlying assets in total.

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

At 31 December 2019, there were no assets awaiting securitisation.

➤ TABLE 53: SECURITISED EXPOSURES BY BNP PARIBAS AS ORIGINATOR

In millions of euros

Securitised exposures originated by BNP Paribas

31 December 2019 31 December 2018

Traditional 8,175 2,750

of which IRB approach 5,071 1,673

of which standardised approach 3,104 1,076

Synthetic 31,106 18,756

of which IRB approach 29,415 18,756

of which standardised approach 1,690 0

TOTAL 39,281 21,506