The impact of regulating occupational pensions in Europe on investment and financial stability

This study examines the European Commission’s 2011 call for advice to the European Insurance and Occupational Pensions Authority (EIOPA) on the improvement of the Institutions for Occupational Retirement Provision (IORP) Directive (the “IORP Directive”). Specifically, it uses both the EIOPA final advice to the Commission and its quantitative impact study as a basis for answering the following questions: first, what would be the likely impact of the changes proposed to the IORP Directive, in particular minimum solvency requirements, the introduction of risk-based solvency capital requirements, on IORP investment strategies in the short and long term? Second, what would be the impact, if any, of these proposals on financial stability, in particular as regards possible pro-cyclical IORP investment behaviour? The main findings of the study are that the proposed solvency capital requirement framework could lead to IORPs shifting their investment allocations towards a greater proportion of “low-risk” asset classes. However, the impact is likely to vary extensively across EU countries, in line with national pension legislation, demographic profiles, the macro-financial situation and cultural preferences. Nevertheless, the study finds some empirical support to suggest that even the announcement of the proposed revisions, which have in the meantime been deferred, may already have led to some de-risking of some IORPs. Furthermore, some pro-cyclicality of IORPs’ investment strategies could be expected should these proposals be adopted, although the exact outcomes will depend on their precise calibration, especially regarding counter-cyclical adjustments

Tracing European structured finance counterparty networks

Asset-backed securities (ABSs) and covered bonds (CBs) are structured finance instruments that require a range of key services, which may be provided by many firms. However, despite the prevalence of structured finance instruments in Europe, the network between issuers and service providers has to date remained unexplored. This paper traces and describes these connections, using a new database covering the majority of public ABSs and CBs outstanding between August 2008 and March 2017. It appears that ABS and CB issuers are highly reliant on affiliated counterparties ("close links") to provide the above-mentioned key services, especially when programmes are larger and/or are retained by the issuer for use as collateral with the Eurosystem. When only "non-close links" across banking groups are considered, instances of reliance on just a few service providers have gradually decreased in number, with a more balanced system developing over time. The paper finds similar results for networks based on the use of securities as Eurosystem collateral. These findings help demonstrate the importance of the Eurosystem's risk management framework for ABSs and CBs, and support the orientation of recent regulatory efforts at the European level

Monetary policy transmission to mortgages in a negative interest rate environment

Do negative policy rates hinder banks' transmission of monetary policy? To answer this question, we examine the behaviour of Italian mortgage lenders using a novel loan-level dataset. When policy rates turn negative, banks with higher ratios of retail overnight deposits to total assets charge more on new fixed rate mortgages. This suggests that the funding structure of banks may matter for the transmission of negative policy rates, especially for long-maturity illiquid assets. Nevertheless, the aggregate economic implications for households are small, suggesting that concerns about inefficient monetary policy transmission to households under modestly negative rates are likely overstated

THE IMPacT OF REGULATING OCCUPATIONAL PENSIONS IN EUROPE ON INVESTMENT AND FINANCIAL STABILITY

the impact of Regulating occupational pensions in Europe on investment and financial stability By Adrien Amzallag, Daniel Kapp and Christoffer Kok In 2014 all ECB publications feature a motif taken from the €20 banknote. NOTE: This Occasional Paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. Acknowledgements The authors thank Giuseppe Loiacono and Cedric Mercken for providing excellent research assistance. The authors would als

PenKid measurement at admission is associated with outcome in severely ill burn patients

International audienceBackground: Proenkephalin A 119-159 (penKid) has been proposed as a sensitive biomarker of renal function. This study evaluated the association of concentrations of plasma penKid with death and risk of acute kidney injury (AKI) in severely ill burn patients.Methods: A prospective observational study in two centers with severely ill adult burn patients was conducted. The inclusion criteria were total body surface area (TBSA) burns >15%, with burn injury occurring <72 h before intensive care unit (ICU) admission and plasma sample taken at admission. The primary endpoint was 90-day mortality. The secondary endpoints were AKI and a combined endpoint of 90-day mortality and/or AKI. Mortality was also evaluated in the sub-group of patients with sub-clinical AKI, defined as a patient without AKI but with elevated penKid.Results: A total of 113 consecutive patients were enrolled. The median age was 48 years (Interquartile range [IQR] 33-64), the median burn TBSA was 35% (IQR 25-53), and 90-day mortality was 31.9%. Thirty-one percent of the patients had AKI, and 41.6% of patients had the combined endpoint. There was a stepwise decrease in survival from patients without AKI, sub-AKI, and with AKI (survival rate 90.0% [95% CI 82.7-97.9], 66.7% [95% CI 48.1-92.4], and 31.4% [95% CI 19.3-51.3], respectively, p < 0.001). Plasma penKid concentration was significantly higher in non-survivors compared to survivors (86.9 pmol/L [IQR 53.3-166.1] versus 52.9 pmol/L [IQR 37.1-70.7]; p = 0.0001) and in patients with AKI compared to patients without AKI (86.4 pmol/L [IQR 56.5-153.4] versus 52.5 pmol/L [IQR 35.5-71.2]; p < 0.001). Penkid provided added value on top of serum creatinine (Screat) and Sepsis Related Organ Failure Assessment (SOFA) scores to predict 90-day mortality (combined c-index of 0.738 versus 0.707; p = 0.024 and 0.787 versus 0.752; p < 0.001).Conclusions: Plasma penKid concentration at admission was associated with an increased risk of death in burn patients. PenKid has additional prognostic value on top of Screat and SOFA to predict 90-day mortality

Circulating dipeptidyl peptidase-3 at admission is associated with circulatory failure, acute kidney injury and death in severely ill burn patients.

BackgroundDipeptidyl peptidase-3 (DPP3) is a metallopeptidase which cleaves bioactive peptides, notably angiotensin II, and is involved in inflammation regulation. DPP3 has been proposed to be a myocardial depressant factor and to be involved in circulatory failure in acute illnesses, possibly due to angiotensin II cleavage. In this study, we evaluated the association between plasmatic DPP3 level and outcome (mortality and hemodynamic failure) in severely ill burn patients.MethodsIn this biomarker analysis of a prospective cohort study, we included severely ill adult burn patients in two tertiary burn intensive care units. DPP3 was measured at admission (DPP3admin) and 3 days after. The primary endpoint was 90-day mortality. Secondary endpoints were hemodynamic failure and acute kidney injury (AKI).ResultsOne hundred and eleven consecutive patients were enrolled. The median age was 48 (32.5-63) years, with a median total body surface area burned of 35% (25-53.5) and Abbreviated Burn Severity Index (ABSI) of 8 (7-11). Ninety-day mortality was 32%. The median DPP3admin was significantly higher in non-survivors versus survivors (53.3 ng/mL [IQR 28.8-103.5] versus 27.1 ng/mL [IQR 19.4-38.9]; p &lt; 0.0001). Patients with a sustained elevated DPP3 had an increased risk of death compared to patients with high DPP3admin but decreased levels on day 3. Patients with circulatory failure had higher DPP3admin (39.2 ng/mL [IQR 25.9-76.1] versus 28.4 ng/mL [IQR 19.8-39.6]; p = 0.001) as well as patients with AKI (49.7 ng/mL [IQR 30.3-87.3] versus 27.6 ng/mL [IQR 19.4-41.4]; p = 0.001). DPP3admin added prognostic value on top of ABSI (added chi2 12.2, p = 0.0005), Sequential Organ Failure Assessment (SOFA) score at admission (added chi2 4.9, p = 0.0268), and plasma lactate at admission (added chi2 6.9, p = 0.0086) to predict circulatory failure within the first 48 h.ConclusionsPlasma DPP3 concentration at admission was associated with an increased risk of death, circulatory failure, and AKI in severely burned patients. Whether DPP3 plasma levels could identify patients who would respond to alternative hemodynamic support strategies, such as intravenous angiotensin II, should be explored