European banks' securitisation exposures jump 80% as risk density drops

Key facts

• European banks' securitisation exposures rose 80% in H1 2024.
• Synthetic securitisation deals drove the increase.
• Risk density of securitised exposures fell, leading to a 10% RWA decrease.

Securitisation exposures at European banks experienced an 80% increase during the first half of 2024. This significant rise was primarily fueled by a surge in synthetic securitisation deals. Despite the increase in exposures, the associated risk-weighted assets (RWAs) saw a 10% decline due to a lower risk density.