AE

Question 1

What is asset encumbrance?

Answer 1

Asset encumbrance refers to assets that:

Are pledged as collateral

Cannot be freely used for funding

Examples:

Repo collateral

Covered bond collateral

Derivative collateral

Central bank pledged assets

Question 2

Scope of Asset Encumbrance COREP reporting

Answer 2

Applies to:

All CRR institutions

Individual and consolidated levels

Quarterly reporting

Question 3

COREP Asset Encumbrance Templates (AMM)

Answer 3

Template Description
AMM 01.00 Encumbered and unencumbered assets
AMM 02.00 Collateral received
AMM 03.00 Sources of encumbrance
AMM 04.00 Additional encumbrance information

Question 4

What is reported in Asset Encumbrance COREP

Answer 4

A. Encumbered assets

Assets pledged or restricted.

Examples:

Loans pledged to central banks

Securities pledged in repo

Covered bond collateral

Reported by:

Asset type

Accounting category

Collateral purpose

B. Unencumbered assets

Assets available for funding.

Examples:

Loans not pledged

Securities available for repo

Liquid assets

Important liquidity indicator.

C. Collateral received

Includes collateral from:

Reverse repos

Securities lending

Derivatives

Shows reuse potential and funding capacity.

D. Sources of encumbrance

Funding transactions causing encumbrance:

Examples:

Repo funding

Covered bond issuance

Central bank refinancing

Derivatives margin

Question 5

Supervisory purpose of Asset Encumbrance reporting

Answer 5

Supervisors assess:

Availability of assets for liquidity

Funding flexibility

Reliance on secured funding

Resolution readiness

Collateral reuse risk

Question 6

Key differences: NSFR vs Asset Encumbrance reporting

Answer 6

Feature | NSFR | Asset Encumbrance (AMM) |
| —————- | ———————- | —————————— |
| Type | Liquidity ratio | Monitoring metric |
| Purpose | Ensure stable funding | Monitor asset availability |
| Regulatory limit | Minimum 100% required | No minimum threshold |
| Time horizon | 1 year | Point-in-time |
| Focus | Funding stability | Asset usability |
| COREP templates | C 80–C 86 | AMM 01–AMM 04 |
| Supervisory use | Liquidity risk control | Funding flexibility assessment |

Question 7

How NSFR and Asset Encumbrance interact

Answer 7

Encumbered assets affect NSFR because:

Encumbered assets often require higher RSF

Collateralised funding impacts ASF stability

Encumbrance reduces liquidity flexibility

Both metrics together provide full view of structural liquidity risk.

Question 8

COREP reporting hierarchy (liquidity-related)

Answer 8

COREP includes:

Capital reporting

CET1, Tier 1, Tier 2

Liquidity reporting

NSFR (C 80–C 86)

Asset encumbrance (AMM templates)

Leverage reporting

All reported quarterly.

Question 9

NSFR COREP reporting

Answer 9

Measures long-term funding stability

Minimum requirement 100%

Templates C 80–C 86

Focus: liabilities vs assets stability

Asset Encumbrance COREP reporting

Measures pledged vs available assets

Templates AMM 01–AMM 04

Focus: asset availability and collateral usage

Both are key COREP liquidity monitoring tools used by supervisors under CRR.

Question 10

How Asset Encumbrance affects both LCR and NSFR

Answer 10

Asset encumbrance is a key driver of liquidity metrics.

Impact on LCR

LCR uses:

High-Quality Liquid Assets (HQLA)

But only:

Unencumbered HQLA can be used

If assets are encumbered:

Cannot count as liquidity buffer

LCR decreases

Impact on NSFR

Encumbered assets affect:

Required Stable Funding (RSF)

Available Stable Funding (ASF)

Encumbered assets:

Require more stable funding

Reduce funding flexibility

Result:

NSFR may decrease

Question 11

COREP reporting relationship

Answer 11

hese metrics are reported in COREP under different template groups:

Metric COREP Templates Purpose
LCR C 72–C 76 Short-term liquidity
NSFR C 80–C 86 Structural liquidity
Asset Encumbrance AMM 01–04 Collateral monitoring

All rely on shared data sources:

Collateral systems

Treasury systems

Balance sheet data

Risk systems

Question 12

metrics overview

Answer 12

LCR, NSFR, and Asset Encumbrance are complementary liquidity monitoring tools under CRR and COREP reporting. LCR measures short-term liquidity resilience over 30 days using unencumbered high-quality liquid assets. NSFR measures long-term structural funding stability over one year by comparing stable funding to required funding. Asset encumbrance reporting monitors the proportion of assets pledged as collateral, which directly affects both LCR and NSFR by reducing available liquidity and increasing funding requirements. Together, they provide supervisors with a comprehensive view of a bank’s liquidity risk, funding structure, and collateral usage.