2017年-EBA欧洲银行管理局_EBA_Report_on_Asset_Encumbrance_July_2017_18页_621kb

EBA Report on Asset Encumbrance (July 2017)

Core Content Overview

This report is the third edition of the EBA's annual analysis on asset encumbrance across European banks, based on data from December 2014 to December 2016. It provides insights into the composition and trends of asset encumbrance, including its distribution by country, asset class, maturity, and source, with an emphasis on how these factors relate to funding structures and market conditions.

Main Points

Asset Encumbrance Ratio

• The weighted average asset encumbrance ratio for December 2016 was 26.6%, up from 25.4% in December 2015 and 25.1% in December 2014.
• This ratio measures the proportion of encumbered assets and collateral relative to the total assets and collateral available for encumbrance.
• There is wide dispersion among countries and banks, with some institutions reporting levels as high as 80–90%.

Encumbrance by Country

• Countries with large and established covered bond markets (e.g., Denmark and Sweden) report higher encumbrance ratios.
• Greece and Cyprus showed a decrease in encumbrance levels due to reduced reliance on central bank funding, indicating potential improvement in funding conditions.
• Italy and the UK drove the overall increase in the encumbrance ratio due to their large banking sectors and increased use of central bank funding and repo financing.
• Germany had a relatively high share of covered bonds, collateralised deposits, and over-the-counter derivatives.
• Finland reported a decline in the encumbrance ratio, returning to levels seen in 2014.
• Portugal experienced a change in the ratio due to a combination of increased encumbrance and reduced total assets.

Encumbrance by Asset Class

• Loans and debt securities constitute the largest portion of encumbered assets and collateral, each at 42%.
• Loans and advances other than loans on demand have shown an increasing trend in the share of encumbered assets over the past two years.
• Debt securities have decreased in volume since 2014, while covered bonds have increased, especially in the last two quarters of 2016.
• Loans on demand have decreased in share, driven by a significant increase in unencumbered assets.

Sources of Encumbrance

• Repos remain the main source of asset encumbrance, with the UK (39%) and Italy (32%) showing the highest shares.
• Covered bonds increased in volume from EUR 1.9 trillion in December 2014 to EUR 2.2 trillion in December 2016.
• Over-the-counter derivatives also saw an increase in volume, reaching EUR 1.2 trillion in September 2016.
• Central bank funding decreased slightly to 8% in December 2016 from 10% in December 2015, with some countries (e.g., Greece, Cyprus) showing a significant decline in its use.

Encumbrance by Maturity

• A large share of assets and collateral is encumbered with open maturity or very short maturity.
• Long-term encumbrance (>10 years) increased, aligning with the rise in covered bond issuance.
• Volatility is observed in short-term encumbrance, especially for maturities up to two weeks.

Key Observations

• The increase in the asset encumbrance ratio is modest and not considered an immediate cause for concern.
• The marketability of assets is reflected through their eligibility for central bank funding.
• The encumbrance of central bank eligible assets rose to 44% in December 2016 from 42% in December 2015.
• The use of over-the-counter derivatives as a source of encumbrance is increasing and should be monitored.
• Specialised mortgage institutions report the highest levels of encumbrance, with some approaching 90%.

Key Information

• Sample Size: 195 out of 196 banks for which the EBA receives data.
• Time Period: December 2014 to December 2016, with focus on the last two quarters.
• Data Source: Based on the EBA's implementing technical standards (ITS) on supervisory reporting.
• Collateral Treatment: Collateral is measured at fair value, while assets are measured at carrying amount.
• Funding Trends: There is a shift from central bank funding to other forms such as covered bonds and over-the-counter derivatives.

Conclusion

The report highlights a modest increase in the asset encumbrance ratio across the EU, driven by Italy and the UK, while some countries affected by the sovereign debt crisis showed reductions in encumbrance levels. The overall trend suggests a gradual improvement in funding structures, though central bank funding and over-the-counter derivatives remain critical areas to monitor. The analysis supports the EBA's ongoing efforts to understand the funding composition and market dynamics in European banking.