IDEAS home Printed from
   My bibliography  Save this paper

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


  • Luca Erzegovesi



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

Suggested Citation

  • Luca Erzegovesi, 2015. "Il securitisation framework di Basilea III e le garanzie pubbliche su portafogli di prestiti alle PMI," DEM Discussion Papers 2015/12, Department of Economics and Management.
  • Handle: RePEc:trn:utwpem:2015/12

    Download full text from publisher

    File URL:
    Download Restriction: no

    More about this item


    securitisation framework; Basilea III;

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:trn:utwpem:2015/12. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ( General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.