Securitization of (bad) loans to Italian SMES: The role of the public guarantee

  • Received April 27, 2021;
    Accepted September 10, 2021;
    Published December 21, 2021
  • Author(s)
  • DOI
    http://dx.doi.org/10.21511/bbs.16(4).2021.16
  • Article Info
    Volume 16 2021 , Issue #4, pp. 193-208
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This study investigates the main factors driving the evolution of the securitization of loans to Italian small and medium-sized enterprises (SMEs). The value of securitization increased in last two years, even though it has not been used as collateral for central banks. The disposal of non-performing loans (NPLs) may have been rather triggered by increasing attention of the international institutions to such an issue, within the general purpose of financial stability. The purpose of this paper is to interpret such a phenomenon focusing on Italian banks and restricting the analysis to the case of securitizations backed with loans to small and medium-sized enterprises (SMEs). The interesting result that emerges, supported by econometrically tested empirical evidence, is that given the orientation of international financial institutions, such as the ECB and the EBA, and reacting to incentives coming from the fiscal policy authorities for the public guarantee of loans, banks have been using securitization to reduce the burden on their bad balance sheets due to (NPLs). It was found that the public guarantee had a positive impact on SME securitization, whereas securitization in other sectors has not been affected significantly. Such evidence suggests that, in the absence of a public guarantee, the financial stability target would have been at risk, and the effectiveness of collateral-based policies in the recent past must be improved to enhance access to credit for SMEs.

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    • Figure A1. Original balance of securitized loans to Italian SMEs (Euros)
    • Figure A2. Assets pledged in the Euro Area (Billions of euros, end-month average)
    • Figure A3. Dynamics of regressors
    • Figure A4. Securitization dynamics in Italy (number of securitizations in which a bank was involved)
    • Figure A5. Securitization dynamics in Italy (number of originator banks issuing ABS)
    • Table A1. Loans to Italian SMEs and firms
    • Table A2. Assets pledged as collateral from Italian banks to the Eurosystem
    • Table A3. Non-performing loans owned by Italian banks (billions of euros)
    • Table A4. Average relative margin of ABS issued on loans of Italian SMEs, weighted by their relative size with respect to the total in the year and proportion of Class A assets on total
    • Table A5. Total number of banks, in each year, whose loans are securitized
    • Table A6. Logit estimation for SME, RMBS and Any-sector securitizations (t-statistics in parentheses)
    • Table A7. Pooled logit estimation (t-statistics in parentheses)
    • Conceptualization
      Lucilla Bittucci, Stefano Marzioni, Pina Murè, Marco Spallone
    • Data curation
      Lucilla Bittucci, Stefano Marzioni, Pina Murè, Marco Spallone
    • Formal Analysis
      Lucilla Bittucci, Stefano Marzioni, Pina Murè, Marco Spallone
    • Investigation
      Lucilla Bittucci, Stefano Marzioni, Pina Murè, Marco Spallone
    • Methodology
      Lucilla Bittucci, Stefano Marzioni, Pina Murè, Marco Spallone
    • Project administration
      Lucilla Bittucci, Stefano Marzioni, Pina Murè, Marco Spallone
    • Supervision
      Lucilla Bittucci, Stefano Marzioni, Pina Murè, Marco Spallone
    • Validation
      Lucilla Bittucci, Stefano Marzioni, Pina Murè, Marco Spallone
    • Writing – original draft
      Lucilla Bittucci, Stefano Marzioni, Pina Murè, Marco Spallone