Recently released ECB statistics on

securitisation

Jani MatilainenDG-Statistics / ECB

OECD Working Party on Financial Statistics

Paris, 24 October 2011

2

Overview

European system of central banks’ data user needs

Monetary financial institutions’ statistical requirements

Financial vehicle corporations’ statistical requirements

Overview of recent data

Current issues

3

ESCB user needs

Data on securitisation are needed to… get reliable interpretation of monetary financial

institutions (MFIs) credit data: adjust flows and growth rates for loans which

are securitised or transferredfollow loan repayment patterns irrespective of

securitisation

monitor securitisation process itself and its impact on:

the creation of money and credit

capital markets

financial stability

understand the financial intermediation role played by financial vehicle corporations (FVCs)

4

Scope of new statistical requirements

Reporting by all MFIs and FVCs resident in the 17 euro area countries

Integrated approach to reduce reporting burden for MFIs & FVCs: New statistical requirements to be met as far as possible by

MFI balance sheet data, and

FVC balance sheet data to fill in the gaps.

MFI balance sheet data cover

MFI loan securitisation through FVCs;

Other MFIs loan transfers without intermediation of FVCs

FVC balance sheet data (addressed only to euro area FVCs) cover

securitised loans originated by non-MFIs,

securitised assets other than loans

synthetic securitisation

FVC liabilities

5

Statistical requirements for MFIs (1)

Included in Regulation ECB/2008/32, first reporting date reference December 2009

Cover:

1. Traditional MFI loan securitisation.

2. Other MFI loan transfers to/from non-MFIs.

Do not cover:

Synthetic loan securitisation (covered in FVC statistics)

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Statistical requirements for MFIs (2)

a) Net flows of loans securitised or otherwise transferred (Net flows = loan disposals minus acquisitions)

at monthly frequency, by

type of the transferee (FVC, o/w euro area, other entities)

residency of loan’s debtor (domestic, other euro area, rest of the world)

sector of loan’s debtor (gen. gov., other financial intermediaries, insurance corporations and pension funds, non-financial corporations, households)

at quarterly frequency, by

loan’s purpose (consumer credit, housing loans, other, other-sole proprietors)

loan’s original maturity (only for non-financial corporations’ loans).

Reporters must distinguish transactions with impact on the balance sheet from the rest

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Statistical requirements for MFIs (3)b) For MFIs acting as servicers in a loan securitisation:

quarterly nominal amount outstanding of all loans being serviced for all items in (a), distinguishing total and ‘of which’ serviced for a euro area FVC

backbone of the ‘integrated approach’ – data exchange between NCBs as input into FVC statistics

c) For MFIs adopting IAS39 or similar accounting rules in their individual accounts:

nominal amounts outstanding of securitised loans that have not been derecognised (to avoid double counting when combining FVC and MFI statistics)

d) Other requirements:

holdings of FVC securities, deposits placed by FVCs

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MFI loan securitisation since end-2009 (1)

-30

-20

-10

0

10

20

30

40

50

60

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug

2010 2011

€ billions

Not derecognised from MFI balance sheet

Derecognised - Euro area FVC as counterparty

Derecognised - Non-euro area FVC as counterparty

Derecognised - other counterparty

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MFI loan securitisation since end-2009 (2)

€ billion

Cumulative transactions by country

-30

-20

-10

0

10

20

30

40

50

60

70

BE

DE

GR

ES

FR

IE

IT

LU

NL

AT

PT

Note: data in this chart are non-public

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MFI loans adjusted for securitisation (1)

-40

-20

0

20

40

60

80

100

120

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug

2010 2011

€ billions

Securitisations and other loan transfersTransactions (unadjusted)Transactions adjusted for securitisations and other loan transfers

Transactions in loans to private sector

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MFI loans adjusted for securitisation (2)

Annual growth rates of MFI loans

-3

-2

-1

0

1

2

3

4

Jan. 2010 Apr. 2010 Jul. 2010 Oct. 2010 Jan. 2011 Apr. 2011 Jul. 2011

loans to households loans to households, adjusted loans to non-financial corporations loans to non-financial corporations, adjusted

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Statistical requirements for FVCs (1)

New statistical Regulation (ECB/2008/30)

Each NCB may choose one of three compilation approaches:

Direct reporting by the resident FVCs

Direct reporting by the resident FVCs complemented by reporting of loans serviced by MFIs (‘integrated approach’)

Compilation of FVC data using other statistical, public or supervisory data sources

Quarterly frequency, transmission to ECB t+28 working days

First reporting referred to Q4 2009

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Statistical requirements for FVCs (2) Data compiled separately for traditional, synthetic

and other FVCs

Stocks and flows of

a) securitised loans by maturity / sector / residency of originator;

- loans originated by MFIs also by residency of debtor

b) holdings of securities other than shares, by maturity/ sector/ residency of issuer;

c) deposits and loan claims, by sector / residency of counterpart

d) shares and other equity identifying inter-FVC positionse) debt securities issued, by maturity;f) totals for other balance sheet items

Write-offs/write-downs of securitised loans

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Residency of euro area FVCs

ES

IE NL

IT

FR

BELU

DE

PT

AT

€5 billion

Outstanding amount of debt securities issued, Q2 2011

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Nature of securitisation of euro area FVCs

Total assets of euro area FVCs by type

Traditional€1991 billion

Synthetic€99 billion

Other€116 billion

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Assets of euro area FVCs

Euro area MFI81%Euro area

OFI and ICPF9%

Euro area NFC and General

Government2%

Non-euro area8%Securitised

loans66%

Deposits and loan claims

15%

Securities other than

shares11%

Shares and other equity

2%

Other securitised

assets4%

Other assets

2%

Breakdown of assets Securitised loans by originator

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Liabilities of euro area FVCs

Debt securities

issued84%

Loans and deposits received

6%

Capital and reserves

1%

Other liabilities

9%

Breakdown of liabilities

Debt securities issued - transactions

-100

-80

-60

-40

-20

0

20

40

Q1 Q2 Q3 Q4 Q1 Q2

2010 2011

€ billions

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Current issues

ECB Workshop on securitisation and FVC statistics held on 6 October

Presentations by the national central banks on compilation approaches

Discussion on conceptual issues

Analysis of data quality issues

Preparation of documents providing guidance for compilers

Extended data releases

euro area breakdown traditional / synthetic / other

Eurosystem decision on dissemination of national data

Discussion on alternative methods for adjusting for securitisations on MFI balance sheet

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Further information

FVC press releases: www.ecb.europa.eu/press/pr/stats/fvc/html/index.en.html

Data published on ECB’s Statistical Data Warehouse: http://sdw.ecb.europa.eu/browse.do?node=9484280

List of FVCs: www.ecb.europa.eu/stats/money/mfi/corporation/html/index.en.html

FVC Regulation: www.ecb.europa.eu/ecb/legal/pdf/l_01520090120en00010013.pdf

BSI Regulation (Securitisation requirements Annex 1, Part 6): www.ecb.europa.eu/ecb/legal/pdf/l_01520090120en00140062.pdf