Efectos del aval de las SGR en la Financiación de las PYME y los requerimientos de capital de Basilea II

Abstract

RESUMEN El objetivo del presente trabajo es analizar cómo influye el aval que las Sociedades de Garantía Recíproca (SGR) conceden a las Pequeñas y Medianas Empresas (PYME) en los fondos propios exigidos a las entidades financieras en el nuevo Acuerdo de Capital, conocido como Basilea II. Con ello se pretende examinar el efecto de la garantía sobre la prima de riesgo que los bancos debieran cargar a sus empresas clientes, y si esta previsible disminución en los tipos de interés aplicables se ve compensada por el coste del aval para la PYME. Entre las principales conclusiones encontramos que, dado que el coste del aval de una SGR, en España, se sitúa en el 0,73%, a una PYME que acceda al mercado del crédito este aval le resultará rentable toda vez que la probabilidad de impago de la sociedad garante sea inferior al 1%, si el sistema aplicado por la entidad financiera para calcular su capital regulatorio se basa en la valoración interna del riesgo (enfoque IRB). En el caso de que el banco aplique el enfoque estándar, este límite se sitúa en el 2,5% aproximadamente.ABSTRACT The objective of this work is to analyse how the references that the Loan Guarantee Association (LGA) give to the Small and Medium Enterprises (SMEs) influence in the own funds that the International Convergence of Capital Measurement and Capital Standards. A Revised Framework (known as Basel II Accord) requires to the financial entities. With this, the authors intend to study the collateral's effect on the premium risk that banks should charge to their corporate clients, and if this predictable reduction in the interest rate may be balanced by the cost of the reference for the SME.Among the main conclusions, we have found that, considering that the cost of the LGA' reference is, in Spain, 0.73%, this reference would be economic for SMEs going to the credit market whereas the LGA' probability of failing to pay is less than 1%, if the system used by the financial entity to calculate its regulatory capital is based on the Internal Risk Based Approach (IRB). In the case of the bank applying the standard approach, the limit is placed in 2.5% approximately.

What Do Basel Capital Accords Mean for SMEs?

“…5,6 However, because of Basel II Accord sets up capital requirements that are more sensitive to risk, it increases the risk premium that the banks charge on SMEs and, as a result, it exacerbates their very well-known financial difficulties (Cardone-Riportella and Trujillo-Ponce, 2007). Nevertheless, the new banking regulation allows companies to make use of collateral, 4 A capital conservation buffer of 2.5%, comprised of Common Equity Tier 1, is established above the regulatory minimum capital requirement.…”