3772019 Universal registration document and annual financial report - BNP PARIBAS
5risks and CaPital adequaCy Pillar 3
5
Securitisation in the banking book
➤ TABLE 54: SECURITISED EXPOSURES BY BNP PARIBAS AS ORIGINATOR BY UNDERLYING ASSET CATEGORY(*)
Securitised exposures In millions of euros
31 December 2019 31 December 2018
Traditional Synthetic Total Traditional Synthetic Total
Residential mortgages 17 - 17 20 2,351 2,371
Consumer loans 5,281 1,690 6,972 2,536 - 2,536
Credit card receivables - - - - - -
Loans to corporates 1,813 29,415 31,228 - 16,405 16,405
Trade receivables - - - - - -
Commercial mortgages - - - - - -
Finance leases 980 - 980 - - -
Other assets 84 - 84 194 - 194
TOTAL 8,175 31,106 39,281 2,750 18,756 21,506
(*) 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 2019, BNP Paribas originated thirty-one securitisation transactions, for a total amount of EUR 65.2 billion of securitised exposures. The main transactions concern: BNP Paribas Fortis (EUR 37.5 billion), BNP Paribas Personal Finance (EUR 13.2 billion), French Retail Banking (EUR 12.6 billion) and BNL (EUR 1.7 billion).
In 2019, only one transaction without a significant risk transfer was completed by Personal Finance, for an amount of EUR 0.3 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 55: SECURITISED EXPOSURES BY BNP PARIBAS AS SPONSOR(*) BY UNDERLYING ASSET CATEGORY(**)
Securitised exposures In millions of euros
31 December 2019 31 December 2018
Proforma
Traditional Synthetic Total Traditional Synthetic Total
Residential mortgages 2,044 2,044 87 87
Consumer loans 6,768 6,768 5,077 5,077
Credit card receivables 2,526 2,526 1,805 1,805
Loans to corporates 486 486 2,698 2,698
Trade receivables 5,836 5,836 4,943 4,943
Commercial mortgages 34 34 54 54
Finance leases 3,638 3,638 4,108 4,108
Other assets 758 758 419 419
TOTAL 22,090 - 22,090 19,192 - 19,192
(*) Within the securitised exposures by the Group as a sponsor, EUR 6 million correspond to exposures were included in BNP Paribas balance sheet at 31December 2019 (compared with EUR 18 million at 31 December 2018).
(**) This breakdown is based on the predominant underlying asset of the securitisation.
