XXV Edition

1-2 December 2016"

Funding Volatility, Securitization and the Smes’ Access to Bank Credit

Castellani Davide , University of Bergamo
Caviezel Valeria, University of Bergamo
Viganò Laura, University of Bergamo

One of the claimed benefits of the securitization is that it allows issuing banks to diversify the funding sources and increase liquidity. We investigate the bank funding diversification effect of securitization in the post global financial crisis period (2010-2015) in the euro area. This period is characterized by an increased funding stress for banks due in particular to the sovereign debt crisis and, as a response, series of non-conventional monetary policies of the ECB. We test two hypotheses. The first hypothesis is that securitization increases the acceptance rate of SME bank loans in countries that suffer from a temporary liquidity stress. And, second hypothesis, securitization allows banks to offer less stringent loan terms and conditions for SMEs. There is some evidence that placed securitization has contributed to reduce the negative association of change in net wholesale funding on loan terms and conditions. The analysis over firm’s size hints that placed securitization has offered some mitigation effect of funding stress on both loan request approval and loan terms and conditions that somehow favours small and medium enterprises as compared to micro enterprises. On the other hand, we find some evidence that micro enterprise lending has been mostly supported by retained securitization, mostly used as collateral for the refinancing operations with the ECB, during funding stress.

Area: Commercial and Asset-based Finance (Assifact award)

Keywords: Securitization; funding risk; SME lending

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