Asset Encumbrance in Euro Area Banks: Analysing Trends, Drivers and Prediction Properties for Individual Bank Crises

Asset encumbrance is a central concept in the context of banks’ liquidity crises, as it associated with their capacity to obtain secured funding. This occasional paper summarises work carried out by task force on asset encumbrance, bringing together analyses ECB and those national competent authorities working topic. First, we describe how has evolved euro area banks, focusing country business model aggregates. Second, conduct an econometric analysis driving factors highlighting relevance credit risk, availability high quality collateral suitable for capital sovereign funding conditions. Third, turn our focus dynamics banks that have experienced crisis. The outcome this event study indicates increases lead-up crisis, partly offset early deposit outflows. Building these findings, show indicators carry predictive information bank-specific crises part multivariate warning model. JEL Classification: G21, G01, G28, C23, C49