Securitização de Recebíveis no Setor Bancário Brasileiro: Um Estudo Empírico

Securitization is a modality of structured finance which allows acompany to raise funds based on its receivables through capital markets. InBrazil, securitization was developed mostly in the form of mutual funds --the FIDC, which raise money by issuing senior cotes for qualified investors,and subordinated cotes, usually bought by the company that originated thereceivables. This paper evaluates the risk and return for both kinds ofinvestors through a stochastic model with two main variables: interest ratesand default rates. The model is still sensible to the characteristics of thefund, like the amount of subordinated cotes, the type of asset beingsecuritized; and the amount of receivables in relation to the assets.Regarding the case of senior cotes, the risk of returns under the basiclevel of interest rates is highly improbable; and in the case ofsubordinated cotes, the risk of returns under the basic interest rate may beconsidered still low, due to the high spreads observed in the Brazilianfinancial market. The simulations indicated that under historically meaninterest rate volatility the default rates are the main component of thetotal risk. Accordingly to the developed analysis of international standardsof regulation, the Brazilian Central Bank imposes very strong capitalrequirements to banks that securitize their assets and purchase thecorresponding subordinated cotes.