STATISTICS DEPARTMENT The securitisation process in the OECD countries. Summary of responses to the OECD-WPFS questionnaire and discussion on the follow-up

STATISTICS DEPARTMENT

The securitisation process in the OECD countries. Summary of responses to the OECD-WPFS questionnaire and discussion on the follow-up

Miguel Ángel Menéndez

Beatriz Sanz

WORKING PARTY ON FINANCIAL STATISTICS

OECD

Paris, 2 - 3 October 2007

STATISTICS DEPARTMENT2

The securitisation process in the OECD countriesContents

1. The launch of the questionnaire

2. Structure of the questionnaire

3. Results of the survey 4. Discussion on the follow-up


1. The launch of the questionnaire

• The complexity of the process of asset securitisation has been increasing in recent years

• The emergence of financial intermediaries specialising in securitisation (SPEs)

• Impact on financial, credit and monetary analysis

• Lack of systematic information

At its 2006 meeting the WPFS approved the launch ofa questionnaire on securitisation to identify the processes

carried out in OECD countries


2. Structure of the questionnaire

• Questions regarding the existence of securitisation processes

• Questions related to the type of securitisation carried out through SPEs

• Questions on the sources of information available on the securitisation carried out through SPEs

• Questions on the quantitative aspects of securitisation


3. Results of the survey

a. Results regarding the existence, organisation and extent of securitisation processes

b. Availability of data on securitisation for the purpose of financial accounts

c. Treatement in national accounts of securitisation


3.a Results regarding the existence, organisation and extent of securitisation processes

Responses to the questionnaire

Countries that respondedNot currently having

securitisation through SPEs

Returning the questionnaire

Answering that they have no securitisation

processes

Australia, Austria, Belgium, Canada, Denmark, Germany, Finland, France, Greece, Ireland, Italy, Korea, Netherlands, New Zealand, Norway, Poland, Portugal, Slovak Republic, Spain, Switzerland, Turkey, United Kingdom, United States

Hungary, Czech Republic

Czech Republic, Denmark, Hungary, Norway, Slovak Republic, Turkey


3.a Results regarding the existence, organization and extent of securitisation processes

Securitisation processes in the OECD countries

Securitisation through SPEs No experience of

securitisation procesess

Resident SPEs Only non-

resident SPEs

Large and growing

amount of securitisation

Limited securitisati

on

Australia, Austria, Belgium, Canada, France, Germany, Ireland, Italy, Korea, Netherlands, New Zealand, Poland, Portugal, Spain, Switzerland, United Kingdom, United States

Finland, Greece

Australia, Canada, Netherlands, Portugal, Spain, United States

Austria Czech Republic, Hungary



Assets of SPEs / assets of financial corporationsPercentage

02468

101214

Au

stra

lia

Be

lgiu

m

Ca

na

da

Fra

nce

Italy

Ko

rea

Ne

the

rla

nd

s

Po

rtu

ga

l

Sp

ain

Sw

itze

rla

nd

Un

ited

Sta

tes



Outstanding securities issued by SPEs / outstanding securities issued by financial corporations

Percentage

0

10

20

30

40

50

60

70

Au

stra

lia

Ca

na

da

Fra

nce

Ge

rma

ny

Italy

Ko

rea

Ne

the

rla

nd

s

Po

rtu

ga

l

Sp

ain

Sw

itze

rla

nd

Un

ite

dS

tate

s



Three main questions:

• What procedures are followed to carry out the securitisation through SPEs?

• Does the government act as originator?

• What kind of assets can be securitised?



Derecognising the assets: “true sales”(risks and rewards are completely

transferred: the majority of countries use “true sales”)

Without derecognising the assets (risks and rewards not completely

transferred, in accordance with IAS rules:some countries follow these rules

for individual balance sheets)

Without derecognising the assets (this practice is currently marginal)

What procedures are followed to carry outsecuritisation through SPEs?

Traditional (conventional) securitisation

Synthetic securitisation (transferring the risks through a

financial derivative)



- Eight countries responded that the government acts as

originator (Austria, Belgium, Finland, France, Germany, Italy,

Portugal and United States)

- Government securitisations have led to detailed EU guidelines

in the framework of the Excessive Deficit Procedure

Does the government act as originator?



- All countries reported that any type of assets can be securitised

- The majority of assets are mortgages and consumer loans. Future income or contingent assets could be also securitised

What type of assets can be securitised?


3.b Availability of data on securitisation for the purpose of financial accounts

There are three different sources to obtain information onsecuritisation process:

1. Directly from the SPEs, depending on:– The possibilities of identifying them– Whether their activity is regulated– Whether their activity is supervised

2. Directly from the originators, depending on:– The possibilities of identifying them– Their role as servicer of the securitised assets

3. Other indirect sources



Data sources on securitisation processes

Identification of SPEs Quantitative data

Registers of

supervisors

Through the

originators

Credit surveys or rating agencies

SPEsurveys

Directly from SPEsDirectly

from originators

Systematic but not

standarised

Some SPEs’ data standarise

d

BelgiumItalyKoreaPolandPortugalSpain

United Kingdom

AustraliaCanadaNew Zealand

Canada FranceSpain

United KingdomUnited States

BelgiumFinlandFranceGreeceIrelandNew ZealandPolandSpainUnited States



Other indirect sources

Issue prospectuses and presale reports

Rating agencies

Commercial data providers

Management companies

Investor reports

Monetary data and analysis of movements in assets of Monetary Financial Institutions

Balance of payments

Centralised Securities Database of the European System of Central Banks (for some European Union countries)



There are not always systematic and standarised sources

Not many countries are able to construct complete (or even partial) financial accounts of securitisation processes

The main problem is including the details of assets and liabilities by broad category and whom-to-whom information (i.e. counterpart sectors)

The difficulties of using the sources for

the production of the financial accounts


3.c Treatment in national accounts of securitisation processes

Two main items regarding the treatment in national accounts of

securitisation processes:

1. The classification of SPEs in the financial accounts

2. The possibilities of “double counting” when the assets are not derecognised in the balance sheet of the originator



The majority of countries report that SPEs are classified in S.123 Other financial intermediaries

United Kingdom advises that this is only the case when they are autonomous

United States notes that some SPEs are automatically consolidated with the sponsor in the business accounts of the sponsor when the latter “retains interest in the SPE”

European Union guidelines for securitisation originated by government establish that SPEs should be consolidated with the originator if they do not have autonomy of decision regarding the management and disposal of the transferred assets

The classification of SPEs in the financial accounts



Countries consider that this is essentially not a problem

– In some countries no derecognition is marginal

– In other countries (Netherlands and Spain) when no derecognition occurs the counterpart of the securitisation is a deposit or a special covered bond, which is not included either in total security issues or, on the assets side, in the loans of SPEs

The possibilities of “double counting”


4. Discussion on the follow-up

The follow-up will depend on the results of the discussion of the questions relating to the main aspects addressed in the

questionnaire:

Is securitisation in which, in accordance with IASs, the assets are not derecognized common in the OECD countries? If so, in which item of the liabilities of the originator is the liability generated by the raising of funds classified?

Does the WPFS recommend that, because of the increasing importance of securitisation, member countries should estimate a complete aggregate balance sheet, including counterpart information, for securitisation SPEs, thus making this sector anadditional informal sub-sector of S.123?

Does the WPFS recommend that more detailed guidelines shouldbe drafted for the recording of securitisation transactions, as partof a draft implementation document of SNA? If yes, are therevolunteer countries to propose a first draft?

STATISTICS DEPARTMENT

THANK YOU FOR YOUR ATTENTION

Documents

STATISTICS DEPARTMENT The securitisation process in the OECD countries. Summary of responses to the OECD-WPFS questionnaire and discussion on the follow-up