2018年-EBA欧洲银行管理局_EBA_Report_on_Asset_Encumbrance_19页_822kb

EBA Report on Asset Encumbrance Summary (September 2018)

Core Content

This report provides an analysis of the asset encumbrance levels of European banks as of December 2017, based on data collected under the EBA's implementing technical standards (ITS) on supervisory reporting. It aims to monitor the composition of funding sources and assess their implications for the funding structure of EU banks.

Key Findings

Overall Asset Encumbrance Ratio

• The weighted average asset encumbrance ratio increased slightly in 2017 to 27.9%, up from 26.6% in 2016 and 25.4% in 2015.
• The increase is mainly due to a reduction in total assets, not an increase in encumbered assets.
• The ratio has been rising since 2014, but the recent growth is not a cause for immediate concern.

Encumbrance by Country

• Denmark and Sweden have the highest encumbrance levels, with 55% and 27%, respectively.
• Countries affected by the sovereign debt crisis (e.g., Greece, Portugal, Ireland) have seen a decline in encumbrance levels, though they still report relatively high ratios.
• Greece reduced its encumbrance ratio from 43% in 2016 to 32% in 2017.
• Germany, France, and the UK drive the overall increase in the ratio due to their large size and relatively small percentage point increases.
• Portugal, Greece, and Ireland have shown significant reductions in encumbered assets and collateral.

Encumbrance by Asset Class

• Debt securities account for the largest share of encumbered assets and collateral at 45% in December 2017.
• Loans and advances made up 39% of encumbered assets in 2017, down from 42% in 2016.
• Loans on demand remain the largest component of unencumbered assets.
• Equity instruments have seen a slight increase in their share as both encumbered assets and collateral.
• Central bank-eligible assets show an encumbrance ratio of 47% in December 2017, up from 44% in December 2016.

Sources of Encumbrance

• Repos remain the most important source of encumbrance, accounting for 27% of the total in 2017.
• Other sources of encumbrance increased from 23% to 26%, becoming nearly as important as repos.
• Covered bonds decreased in share from 20% in 2016 to 18% in 2017.
• Central bank funding as a source of encumbrance increased to 10.5%, reversing a previous decline.
• Countries like Italy, Finland, and the Netherlands showed an increase in the use of central bank funding.

Encumbrance by Maturity

• The largest share of encumbered assets and collateral have open maturity (on demand) or short maturity (up to one week).
• Medium-term maturity (2–3 years) saw a strong increase, while long maturity (3–10 years) slightly decreased.
• The decline in long maturities is consistent with the reduced use of covered bonds.

Main Views

• The increase in asset encumbrance is not a significant risk to the funding structure of EU banks, as it is primarily due to a decrease in total assets.
• Specialised mortgage institutions report the highest levels of encumbrance, often over 80%.
• The marketability of assets is reflected in their eligibility for central bank funding, with central bank-eligible assets showing a higher encumbrance ratio.
• Volatility in encumbrance levels is observed for certain asset types and maturities.
• Repos remain the dominant source of encumbrance, but other sources are gaining importance.

Key Information

• The report covers 187 banks as of December 2017, with data collected from March 2015 to December 2017.

• Estonia has the lowest encumbrance ratio at 1%, while Denmark has the highest at 55%.

• The asset encumbrance ratio is calculated using the formula:

  $$
  AE% = \frac{Total\ encumbered\ assets\ +\ Total\ collateral\ received\ and\ reused}{Total\ assets\ +\ Total\ collateral\ received\ available\ for\ encumbrance}
  $$

• The report highlights the importance of monitoring changes in encumbrance levels, especially in light of the decreasing role of central bank funding and the increasing use of other sources.

• Collateralisation levels increased slightly in 2017, from 105% to 109%, with a notable rise in over-the-counter derivatives.

Figures Overview

• Figure 1: Distribution of total assets (encumbered and unencumbered) by asset type.
• Figure 2: Distribution of total collateral received available for encumbrance by collateral type.
• Figure 3: Distribution of asset encumbrance ratios (weighted average, median, interquartile range, 5th and 95th percentiles).
• Figure 4: Weighted average asset encumbrance by country.
• Figure 5 & 6: Encumbered and unencumbered assets and collateral by type.
• Figure 7 & 8: Level of encumbrance of total assets and collateral by type, and central bank-eligible assets and collateral by type.
• Figure 9: Distribution of sources of encumbrance.
• Figure 10: Encumbered assets and collateral relative to matching liabilities.
• Figure 11: Distribution of encumbered assets and collateral by maturity.

Conclusion

The EBA continues to monitor the asset encumbrance ratio to understand its implications for the availability of unsecured funding instruments. While the modest increase in the ratio is not a cause for concern, the shift in the sources of encumbrance and the continued use of central bank funding warrant further attention. The analysis also highlights the need for ongoing surveillance of encumbrance levels and their distribution across different asset classes and countries.