The 11 systemically important banks in the European Union were exposed to €401 billion ($454 billion) of securitisation risk in aggregate at end-2018, Risk Quantum analysis shows, with more than a third held by just two lenders: Banco Santander and Deutsche Bank.
The Spanish bank had the most securitisation exposure of the group, at €76 billion. Deutsche Bank followed with €75 billion and Crédit Agricole with €46 billion.
On the other end of the scale, ING Bank had the smallest amount of
- Libor leaders: ABP crafts blueprint for corporate Libor switch
- Libor leaders: how seven firms are tackling the transition
- Libor replacement: a modelling framework for in-arrears term rates
- Swaps data: a new era of competition in interest rate futures
- From memos to texts, algos fish for signals in-house