composizione del portafoglio analizzato

IMPACT OF BASLE 2 ON ITALIAN BANK
LOANS: CAPITAL REQUIREMENTS
ASSESSMENT, EFFECTS OF COLLATERALS
AND PRICING SIMULATIONS
R. De Lisa,
F. Poli, F. Vallascas
Cagliari, 26 may 2007
Literature review
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
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Basel Committee’s QISs (last QIS 5 – June 2006).
Bocchi & Lusignani (2004): sample of loan portfolios of 15
medium size banks (loans to firms with annual turnover <
50 miln Euros).
Gai & Rossi (2003): sample of 41.000 Tuscanian firms.
Fabi, Laviola, Marullo Reedtz (2003):
Altman & Sabato (2005): sample of 20.000 italian SMEs.
De Lisa, Marchesi, Vallascas (2006): estimation of capital
requiments for Italian bank loan portfolios (loans to firms),
effects of collaterals and pricing implications.
Aims of the study
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
Determine capital requirements under
Basle 2 (IRBF and Standardized) for
bank loan portfolios disaggregated by
type of borrower, type of loan and
geographycal area
Estimate effects of personal guarantees
and collaterals on capital requirements
for …
Italian bank loan portfolio’s
mix
NORTH WEST NORTH EASTT
RETA IL
CORPORATE (SME)
CORPORATE
25,76
10,40
31,50
RETA IL
CORPORATE (SME)
5,48
0,21
MORTGAGES
OTHER LOANS
21,58
5,06
CENTRE
% LOANS TO FIRMS
35,78
24,05
12,43
10,39
17,52
27,40
% LOANS TO FAMILY BUSINESS
7,48
6,47
0,26
0,21
% LOANS TO HOUSEHOLDS
20,82
24,50
5,72
6,99
SOUTH
ITALY
29,25
8,99
11,14
28,53
10,69
23,73
10,16
0,18
6,96
0,22
28,10
12,18
23,07
6,80
Capital adequacy ratios
(IRBF vs Standardized without guarantees and collaterals)
RETA IL
CORPORATE
CAR
MORTGAGES
OTHER LOANS
CAR
NORT H WEST
4,62
8,55
6,88
FIRMS AND FAMILY BUSINESS
NORT H EAST
CENTRE
4,28
5,01
7,68
9,57
5,68
7,54
SOUTH
5,30
9,58
6,75
ITALY
4,79
8,72
6,73
NORT H WEST
4,84
4,02
4,68
HOUSEHOLDS
NORT H EAST
CENTRE
4,21
5,68
3,65
4,48
4,09
5,41
SOUTH
6,59
4,91
6,08
ITALY
5,15
4,20
4,93
6,48
6,20
TOTAL CAR
6,29
5,26
CAR
STAND
CAR
TOTAL CAR
6,87
IRBF
NORT H WEST
7,15
FIRMS AND FAMILY BUSINESS
NORT H EAST
CENTRE
6,82
7,11
SOUTH
6,68
ITALY
5,65
NORT H WEST
3,41
HOUSEHOLDS
NORT H EAST
CENTRE
3,49
3,51
SOUTH
3,77
ITALY
3,53
5,51
5,95
6,15
5,94
5,98
Main findings
Impact of collaterals and guarantees on
CARs for loans to firms
(IRBF vs STAND)
IRBF
CAR WITHO UT
COLLATERALS
CAR WITH
COLLATERALS
% CHANGE
NORTR H WEST
6,88
FIRMS AND FAMILY BUSINESS
CENTRE
NORT H EAST
7,54
5,68
SOUTH
6,75
ITALY
6,73
6,24
5,26
6,77
6,19
6,13
-9,50
-7,55
-10,56
-8,93
-9,24
HYPOTHES ES
% lonas with persona l
guarant ees
% loans with collaterlas
% loans without
guarant ees
PD of guarantor
STAND
20,25%
4,28%
75,48%
0,45%
CAR WITHO UT
COLLATERALS
CAR WITH
COLLATERALS
% CHANGE
NORTH WEST
7,15
FIRMS AND FAMILY BUSINESS
NORTH EAST
CENTRE
6,82
7,11
SOUTH
6,68
ITALY
6,99
6,20
5,96
6,18
5,85
6,08
-13,26
-12,64
-13,07
-12,43
-12,99
Main findings
Capital release and volume of
additional loans to firms
Impact on loan rates
(Estimation without collaterals and personal guarantees)
5,25%
5,33%
5,23%
ITALY
5,46%
5,78%
5,85%
5,75%
SOUTH
5,95%
5,48%
5,50%
CENTRE
5,39%
5,61%
4,92%
5,08%
4,90%
5,17%
NORTH EAST
5,16%
5,23%
NORTH WEST
0,00%
5,10%
5,34%
1,00%
2,00%
3,00%
4,00%
5,00%
Loan rates
BASLE 1 FAMILY BUSINESS
IRBF FAMILY BUSINESS
BASLE 1 FIRMS
IRBF FIRMS
6,00%
Impact on loan rates for all firms - IRBF - (with
and without collaterals and personal guarantees)
NORTH WEST
5,15%
5,00%
4,97%
4,00%
3,00%
ITALY 5,24%
2,00%
5,00%
1,00%
4,92%NORTH EAST
4,75%
0,00%
5,37%
5,77%
SOUTH
IRBF WITHOUT COLLATERALS (Average rate)
5,16%
5,47%
CENTRE
IRBF WITH COLLATERALS (Average rate)
Main findings
Suggestion for further
research
Methodology