Securitisation exposures surge 80% at European banks as risk density falls
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RWAs grow just 52% over four years as synthetic positions more than double
Securitisation exposures at large European banks have risen 80% since 2022, while associated risk-weighted assets (RWAs) have grown only 52.3%, a Risk Quantum analysis found.
Aggregate securitisation exposures at the 20 European banks with the largest positions grew from €609.8 billion ($633.4 billion) in Q2 2022 to €1.1 trillion in Q2 2026. Associated RWAs increased by €65.8 billion to €191.6
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