On July 4, 2016, the EBA published its second report analyzing the level of asset encumbrance across EU banks. The analysis aims to assist EU supervisors in assessing how banks manage funding stress as well as the impact that switching from unsecured to secured funding might have on banks in conditions of stress. The report is based on data covering time from December 2014 to December 2015, further to a requirement under the CRR for banks to report levels of repurchase agreements, securities lending and all forms of asset encumbrance to national regulators and for the EBA to prepare annual reports based on that data. The analysis shows that there has been no significant increase in the overall weighted average encumbrance ratio over the last year. The report noted that high levels of asset encumbrance in some countries (notably Denmark and Sweden) were driven by large covered bond markets or by high central bank funding in countries affected by the sovereign debt crisis (e.g. Greece) or by high levels of repo financing and collateral requirements for OTC derivatives (e.g. UK and Belgium).
The report is available at: http://www.eba.europa.eu/documents/10180/1360107/EBA+Report+on+Asset+Encumbrance+- +June+2016.pdf.