O impacto da securitização de ativos na liquidez dos bancos: uma análise sobre os bancos no Brasil

Abstract

This thesis investigates the relevance of credit securitization as a liquidity management instrument in the Brazilian banking system between 2013 and 2023. The topic is justified by the importance of liquidity for financial sistem and by the lack of national studies addressing the role of securitization in this context. While international literature highlights its contribution to liquidity, funding, regulatory capital, and risk sharing, its adoption in Brazil remains incipient and highly concentrated among a few issuers. The objective is to assess whether securitization exerts a significant effect on the liquidity of multiple banks operating in Brazil, distinguishing between large institutions (S1 and S2) and smaller banks (S3 to S5). To this end, an original database was constructed using data from the Central Bank of Brazil, CVM, and Anbima, covering FIDCs, CRAs, CRIs, and debentures backed by bank loans. A panel data model with fixed effects and robust standard errors was employed, including lagged securitization variables to mitigate endogeneity. The empirical results do not confirm that bank liquidity is significantly affected by securitization. Three structural factors help explain this absence of effect: (i) the low volume and frequency of issuances (419 operations over 11 years), (ii) high concentration in six banks (around 62% of the total), and (iii) residual balance sheet exposure (0.53% of total credit portfolio). The intensive use of repo operations backed by government securities-often exceeding 15% of GDP-also reduces the incentive for securitization. It is concluded that structural factors such as banking concentration, transaction costs, and the predominance of public debt financing limit securitization’s role as a liquidity instrument. This research contributes by filling a gap in the Brazilian literature and offering insights for public policy and long-term funding strategies.