Empirical investigation of securitisation drivers: the case of Italian banks

Abstract

This paper explores the determinants of securitisation by Italian banks over the period 1999–2006, investigating the funding, specialisation, and regulatory capital arbitrage hypotheses. According to our evidence, when we consider all securitisation types together, Italian banks seem to have securitised out of funding motives, to diversify and optimise their available funding channels. When we separately consider securitisations backed by residential mortgages and those backed by non-performing loans, we find that the main factors affecting the former type of securitisation are the need for funding and capital arbitrage motivation, whereas the latter appear to have been affected to a lesser extent by a need for funding and to have also been slightly conditioned by a desire to specialise.

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