Il securitisation framework di Basilea III e le garanzie pubbliche su portafogli di prestiti alle PMI

Luca Erzegovesi ()

No 2015/12, DEM Discussion Papers from Department of Economics and Management

Abstract: The aim of this paper is twofold: (1) describe the new prudential regulatory framework on securitisation approved by the Basel Committee on Banking Supervision in December 2014 which will come into force from January 2018; (2) analyse the impact of the new rules on public guarantees to the benefit of securitised portfolios of SME loans, a policy tool which has grown in importance in Italy in programs fostering SME financing in the presence of a credit crunch. The rationale and principles behind the new framework are considered in the introductory sections. In the central section, the regulatory procedures for calculating minimum capital requirements are examined, with a focus on the two approaches that rely upon Òsupervisory formulasÓ, i.e. SECMIRBA (available to banks with an internal rating system approved by bank supervisors) and SECMSA (available to banks adopting the Standard Approach). In the final section, the impact of the new framework on the effectiveness of public guarantee programs is assessed by means of a simulation exercise where the capital absorption for some representative portfolios is computed and compared under the different regimes, old and new. The evidence obtained indicates that the Basel III framework on securitisation strongly reduces, or even eliminates completely, the capital saving effect of current public guarantee programs on SME portfolios. Therefore, banks and policy makers must design innovative guarantee structures which have a risk mitigation effect and, at the same time, make an efficient use of public resources in order to be ready for the phasing in of the new rules. It is also desirable that the planned review of the Basel III rules recognize guarantees on portfolios of loans to SMEs as eligibility granted to simple, transparent and standardized securitizations

Keywords: securitisation framework; Basilea III (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-ban, nep-cba and nep-rmg
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