39 / 94
P.
39
2018 Pillar 3 Disclosures
Credit and dilution risks
The following breakdown shows the securitisation positions held on 31 December 2018, classified
by the risk weight bands to which they are assigned:
At 31 December 2018, all Cecabank’s securitisation exposures correspond to investment positions,
they are traditional securitisations (no re-securitisations or synthetic securitisations).
Cecabank has no share in securitisation programmes other than in its own position as an investor.
This includes, in addition to investment in securitisation bonds, acting as a counterparty in
interest-rate swap contracts and, residually, providing liquidity facilities to securitisation funds.
These positions are incorporated in the usual monitoring channels corresponding to the portfolios
in which they are held. As well as the information published by external credit ratings agencies,
monitoring of the behaviour of underlying assets and the structure of securitisation funds is
carried out based on available public information, and market prices of positions are followed.
Securitisation transactions
4 | 4.9
Weighting
Original
exposure
Original
exposure *
Value of the
Exposure **
Level 1
(- 20%)
Level 2
(- 50%)
Level 3
(- 100%)
Level 4
(- 350%)
Risk-
weighted
exposure
On-balance-sheet items
36,140
36,140
36,140
- 34,188
-
1,952
23,926
Derivatives and off-balan-
ce-sheet items
227
227
-
-
-
-
-
-
Total exposure
36,367 36,367
36,140
- 34,188
-
1,952
23,926
Thousands of euros.
* Net corrections and provisions
** Fully adjusted value of the exposure after the applying credit-risk mitigation techniques, and after the distribution of the
fully-adjusted exposure value corresponding to conversion-factor memorandum account entries.