Risk density of Santander’s securitisation book hits five-year high

The riskiness of Santander’s securitisation exposures hit its highest level in five years in 2020.

Securitisation exposures in the banking book consumed €8.2 billion ($9.8 billion) of risk-weighted assets (RWAs) at the Spanish bank as of end-December, up 23% on the year prior. However, actual securitisation exposure at default (EAD) stood at €39.3 billion, down almost 10%. This dynamic raised the risk density – RWAs divided by exposures – of the securitisation book to 21%, up from 15% at end

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