Analysis of Collateral Realisation Statistics (2023–2025)

Abstract

The article presents an analysis of statistics on the actual realisation of collateral assets over the period 2023–2025. The issue of collateral valuation accuracy is examined, specifically the extent to which the realised sale price of collateral corresponds to its fair value recognised in accounting. The purpose of the study is to confirm or refute the correctness of the applied approach to fair value measurement of collateral by comparing collateral recovery ratios with regulatory liquidity coefficients. The study is based on a sample of 681 realised collateral items. A recovery ratio R (the ratio of the realised sale price to the fair value recognised in accounting) was calculated, followed by descriptive analysis, visualisation of the distribution of R, and statistical testing. The results show that, on average, collateral is realised at approximately 98% of its recognised fair value, while for real estate the actual recovery level significantly exceeds conservative regulatory benchmarks (0.99 versus the regulatory coefficient of 0.7). Practical recommendations are provided for banking institutions on improving the valuation and monitoring of collateral.