The European Central Bank has published a working paper finding that euro area banks active in securitisation adjust credit supply more sharply after monetary policy shocks than comparable non-securitising banks. A 1 percentage point policy rate increase is associated with lending flows that are 6% to 10% lower for securitising banks on average over the following year. The findings are based on granular AnaCredit loan data and represent the authors’ views rather than those of the ECB. Securitisation expands lending capacity by freeing regulatory capital, but it also increases reliance on capital market investors whose required returns and risk appetite respond quickly to monetary tightening. Higher rates reduce investor demand for securitised assets, constraining banks’ ability to originate and securitise new loans. The effect is concentrated in synthetic securitisations linked to Significant Risk Transfers and in longer maturity loans to safer borrowers, which are more likely to be securitised. Firms exposed to securitising banks cannot fully replace the resulting credit contraction through existing or new banking relationships.
2026-09-22European Central Bank
European Central Bank working paper finds securitisation amplifies monetary policy transmission through bank lending
A European Central Bank working paper finds that securitisation amplifies monetary policy transmission, with a 1 percentage point rate increase associated with 6% to 10% lower lending flows from securitising banks over the following year. The effect mainly reflects reduced investor demand for synthetic securitisations and Significant Risk Transfers, and affected firms cannot fully replace the lost credit.