EBA欧洲银行-EBA-Report-on-Asset-Encumbrance-June-2016_18页_670kb

EBA Report on Asset Encumbrance (June 2016)

Core Content

This report provides an analysis of asset encumbrance across European banks based on data collected from 185 out of 191 EU banks for the period December 2014 to December 2015. It is the second annual report using quarterly data and is based on the EBA's implementing technical standards (ITS) on supervisory reporting, which were published in October 2013.

The main focus of the report is to monitor the impact of changes in funding sources on European banks and assess their ability to withstand funding stress. Asset encumbrance refers to the portion of a bank's assets and collateral that are pledged as security for liabilities.

Key Findings

• Overall Encumbrance Ratio: The weighted average asset encumbrance ratio in December 2015 was 25.6%, slightly up from 25.2% in December 2014. However, there is a wide dispersion across institutions and countries.
• High Encumbrance Institutions: Banks with encumbrance ratios above 80% are mostly specialised mortgage institutions.
• Country Variations:
  • Estonia reported nearly 0% encumbrance.
  • Denmark and Greece reported 55% and 47%, respectively.
  • Greece showed the largest absolute increase in encumbrance, rising by 21 percentage points.
  • Portugal reported a decrease of 6 percentage points, which may be influenced by changes in the sample.
• Drivers of Encumbrance:
  • Covered bond markets (e.g., Denmark and Sweden) contribute significantly to high encumbrance.
  • Central bank funding is a major source in countries affected by the sovereign debt crisis (e.g., Greece).
  • Repo financing and collateral requirements for over-the-counter derivatives are prominent in the UK and Belgium.
• Collateral Eligibility: Only 21.6% of loans and advances were encumbered, but 44.4% of central bank eligible loans and advances were encumbered.
• Central Bank Eligible Assets: The encumbrance of central bank eligible assets slightly decreased from 45% in December 2014 to 42% in December 2015, with a large dispersion across countries.

Main Asset Classes

• Encumbered Assets: Debt securities and loans and advances constitute the largest share of encumbered assets. Loans and advances showed an increasing percentage over the year.
• Unencumbered Assets: Loans and advances are the main unencumbered asset class.
• Collateral: Debt securities also make up the largest share of encumbered collateral, though this decreased slightly over the year.

Sources of Encumbrance

• Repos: The share of repos as a source of encumbrance decreased from 32.2% in December 2014 to 26.9% in December 2015.
• Covered Bonds: These remained a significant source, with stable issuance volumes in 2015.
• Central Bank Funding: This increased by more than 2 percentage points from March 2015, becoming a more prominent source of encumbrance.
• Over-Collateralisation: The ratio of encumbered assets and collateral to matching liabilities remained relatively stable, though there was a notable decrease for exchange-traded derivatives and an increase for central bank funding and other debt instruments.

Encumbrance by Maturity

• A large share of assets and collateral are encumbered with open maturity or very short maturity.
• There is high volatility in data for maturities up to 2 weeks.
• Long-term encumbrance (greater than 10 years) increased, which is consistent with the growing share of covered bonds.

Key Relationships

• Asset Encumbrance vs. Capitalisation: There is no clear aggregate relationship between encumbrance levels and CET1 ratios, suggesting that encumbrance is more influenced by business models and country-specific factors.
• Asset Encumbrance vs. Profitability: Banks with higher ROA tend to report lower encumbrance levels, indicating that less profitable banks may rely more on secured funding.
• Central Bank Funding vs. Profitability: A negative relationship is observed between encumbrance from central bank funding and profitability, but this is not consistent across all sources of encumbrance.

Conclusion

• The asset encumbrance ratio remained stable at 25.6% in the EU, with no significant overall increase over the year.
• The increase in Greece and the decrease in Portugal highlight the country-specific dynamics.
• Central bank funding continues to be a major source of encumbrance, especially in sovereign debt crisis-affected countries.
• Covered bonds have become a more significant source of encumbrance compared to over-the-counter derivatives.
• The report recommends continued monitoring of encumbrance trends, particularly in relation to funding structures and central bank eligibility.

Annexes

• Annex I: Defines the asset encumbrance ratio, which is calculated as the ratio of encumbered assets and collateral to total assets and collateral available for encumbrance.
• Annex II: Explains the sample selection criteria, which includes:
  • Top 3 largest institutions in each Member State.
  • Institutions with total assets exceeding EUR 30 billion.
  • Institutions whose 4-year average total assets exceed 20% of the 4-year average GDP of their Member State.

This report serves as a baseline for further analysis on the relationship between asset encumbrance, profitability, and capitalisation across the EU.