2016年-EBA欧洲银行管理局_EBA_Report_on_Asset_Encumbrance_June_2016_18页_665kb

EBA Report on Asset Encumbrance (June 2016)

Core Content

This report by the European Banking Authority (EBA) provides an analysis of asset encumbrance across European banks, based on data collected from December 2014 to December 2015. It aims to help supervisors monitor the impact of funding source changes on the financial stability of EU institutions and assess their resilience to funding stress.

Key Findings

1. Asset Encumbrance Ratio

• The weighted average asset encumbrance ratio in December 2015 was 25.6%, slightly higher than the 25.2% in December 2014.
• There was a wide dispersion in encumbrance levels across institutions and countries.
• The highest values (above 80%) were reported by specialised mortgage institutions, with some banks reporting up to 90%.
• Encumbrance for collateral received was significantly higher than encumbrance for assets alone.

2. Country-Level Encumbrance

• Estonia had the lowest encumbrance ratio, close to 0%, while Denmark and Greece reported 55% and 47% respectively.
• Greece showed the largest absolute increase in encumbrance, rising by 21 percentage points over the year.
• The highest levels of asset encumbrance are driven by:
  • Large covered bond markets (Denmark, Sweden)
  • High central bank funding usage in countries affected by the sovereign debt crisis (e.g., Greece)
  • High repo financing and collateral requirements for over-the-counter derivatives (e.g., UK, Belgium)

3. Asset Classes and Collateral

• Debt securities and loans and advances make up the largest share of encumbered assets.
• Loans on demand account for the majority of unencumbered assets.
• Debt securities also dominate the encumbered collateral category.
• Central bank eligible assets had a slight decrease in encumbrance from 45% in December 2014 to 42% in December 2015.

4. Sources of Encumbrance

• The main sources of encumbrance are:
  • Repos
  • Covered bonds
  • Central bank funding
• The share of repos decreased from 32.2% in December 2014 to 26.9% in December 2015.
• Central bank funding increased by over 2 percentage points from March 2015 onwards.
• Covered bonds remained a stable source of encumbrance throughout the year.

5. Encumbrance by Maturity

• The largest share of encumbered assets and collateral has short or open maturity.
• There is high volatility in the data, especially for maturities of up to 2 weeks.
• Long-term encumbrance (>10 years) increased, which is consistent with the rise in covered bond issuance.

Main Viewpoints

• Asset encumbrance is a key indicator for assessing funding stability and financial risk in the EU banking sector.
• No significant overall increase in asset encumbrance was observed over the year, though some jurisdictions (like Greece) showed substantial increases.
• Central bank funding remains a major driver of encumbrance, particularly in countries affected by the sovereign debt crisis.
• Profitability and capitalisation are not directly correlated with asset encumbrance, suggesting that business models and country-specific factors play a more significant role.

Key Information

• The report is based on data from 185 out of 191 EU banks, with the EBA receiving data based on the implementing technical standards (ITS) published in 2013.
• The sample includes at least three banks per country and all large banks, with specific criteria for inclusion based on:
  • Being among the three largest institutions in a Member State
  • Having total assets exceeding EUR 30 billion
  • Having a 4-year average of total assets exceeding 20% of GDP
• The asset encumbrance ratio is defined as:
  $$
  AE% = \frac{\text{Total encumbered assets + Total collateral received and reused}}{\text{Total assets + Total collateral received available for encumbrance}}
  $$
• Collateral is measured at fair value, while assets are measured at carrying amount.
• The analysis of encumbrance is also linked to profitability, with high ROA banks generally reporting lower levels of encumbrance.

Conclusion

• The EBA highlights the importance of monitoring asset encumbrance to understand funding structure changes in the EU.
• While there is no significant increase in the overall encumbrance ratio, country-specific variations and institutional differences remain important.
• Central bank funding and covered bonds are the most significant sources of encumbrance.
• Further analysis is needed to understand the causal relationships between profitability, capitalisation, and asset encumbrance.

Annexes

• Annex I defines the asset encumbrance ratio and explains the methodology used in the report.
• Annex II provides details on the sample and the criteria for inclusion in the analysis.