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

Synthetic securitisations helped cap credit RWAs last year

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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