2015年-EBA欧洲银行管理局_Report_on_institutions_exposures_to_shadow_banking_entities_30页_891kb

Summary of the EBA Report on Institutions' Exposures to Shadow Banking Entities (2015 Data Collection)

Core Content

This report provides an analysis of exposures by financial institutions in the European Union to shadow banking entities, which are defined as entities that engage in credit intermediation activities outside a regulated framework. The data collection was conducted in 2015 to support the European Commission's evaluation of potential limits on such exposures, as outlined in the Guidelines on limits on exposures to shadow banking entities.

The report includes data from 184 institutions (169 credit institutions and 15 investment firms) across 22 Member States, with varying sample coverage (ranging from 6% to 90% of the financial sector in each country). The focus is on individual exposures that are equal to or exceed 0.25% of eligible capital, after applying exemptions and credit risk mitigation (CRM).

Main Points

1. Scope and Definitions

• A broader definition of 'shadow banking entity' was used in the data collection than in the guidelines to capture more comprehensive data.
• Exposures to shadow banking entities include:
  • Credit intermediation and funding activities (e.g., securitisation, CLOs, ABCPs, SIVs).
  • Non-MMF investment funds (e.g., hedge funds, equity funds, real estate funds).
  • Finance companies (dependent on short-term funding).
  • Broker-dealers, credit insurers, non-equivalent banks/insurers, and other unspecified entities.

2. Data Collection Methodology

• Institutions were asked to report exposures at the consolidated level or individual level if not applicable.
• The materiality threshold of 0.25% of eligible capital was applied to reduce reporting burden.
• Institutions were also asked to provide qualitative information regarding the revenue impact, risk-weight, and profitability impact of exposures to shadow banking entities.

3. Exposures by Reporting Institution's Country

• GB reported the highest aggregate exposures (285 billion EUR after exemptions and CRM), followed by DE (113 billion EUR), FR (78.9 billion EUR), LU (109 billion EUR), and IT (26.8 billion EUR).
• IE had the lowest aggregate exposure (5.95 billion EUR), while GR and MT reported relatively low values.
• The sample coverage in each country varied, with GB covering 85% and DE covering 55% of the financial sector.

4. Exposures by Type of Reporting Institution

• Group 1 banks (large, internationally active banks) accounted for more than 80% of the total exposures.
• Group 2 banks (other banks) accounted for 17% of the total exposures.
• Investment firms reported much smaller exposures, only slightly above 0% of eligible capital.

5. Exposures by Type of Counterparty

• Securitisation was the largest category, accounting for 25.8% of total exposures.
• Non-MMF investment funds (excluding money market funds) represented 19.4% of exposures, with hedge funds being the most significant subcategory at 5.2%.
• Finance companies accounted for 15.4%, and non-equivalent banks/insurers for 13.3%.
• MMFs represented 3.1%, and broker-dealers for 2.9%.
• The remaining 14.8% were classified as other unspecified types.

6. Exposure Characteristics

• The average individual exposure after exemptions and CRM ranged from 0.02% to 5.06% of eligible capital, depending on the type of institution and counterparty.
• The average aggregate exposure per institution ranged from 27% to 80% of eligible capital, with Group 1 banks having the highest average.

7. Quality Checks and Assumptions

• Data was harmonised and quality-checked to ensure consistency and accuracy.
• For institutions that reported aggregated exposures below the materiality threshold, it was assumed that the aggregate referred to one individual counterparty if the number was not specified.

Key Information

• The materiality threshold of 0.25% of eligible capital was used to reduce the reporting burden.
• Securitisation and non-MMF investment funds were the most significant types of shadow banking entities in terms of exposure volume.
• Group 1 banks had the highest aggregate exposure (80% of total), while investment firms had the lowest.
• Non-supervised counterparties made up the majority (90%) of reported exposures, classified under 'other'.
• The report supports the European Commission in assessing the appropriateness and impact of imposing limits on exposures to shadow banking entities.

Conclusion

This data collection highlights the significant exposure of EU financial institutions to shadow banking entities, particularly securitisation activities and non-MMF investment funds. The findings are crucial for understanding the risks and implications of such exposures and will inform future regulatory decisions.