Quantitative Easing, Structured Finance and Support to the Real Economy Proposals on ABS

Abstract

In the current European macroeconomic context Asset Backed Securities (ABS) represent an appropriate instrument to revitalize bank lending and to help overcoming the manifestations of credit crunch notably for SMEs. As evidence of this, the purchase of properly designed ABS has been recently announced by the ECB among the monetary policy measures constituting the Quantitative Easing (QE) program. The present paper illustrates possible ABS engineering schemes able to re-launch a virtuous relationship between finance and the real economy. In particular several hypotheses of capital structures and of the consequent risk transferring features are developed according to the quality of underlying loans and of the guarantor for the mezzanine tranche the numerical examples presented refer to guarantee schemes provided by a national entity such as the Italian Government and a supranational entity such as the European Investment Bank.