compilat ion and measure ment is sues for the fina ancial ......smc stands fo an individual are...
TRANSCRIPT
Statistics DepMarch 2012
C
1. Introduc
In the
charges imp
– FISIM) br
the high vol
Consid
2010), step
activity. The
which loans
The me
reliability of
concerns w
reference ra
days negat
entities (exp
This inv
currency of
maturity, thi
new approa
incorporates
periods of f
Portuguese
Securit
appearance
deals made
restricted to
Betwee
funds as a
balance) an
1 This paper
the views o2 Defined byof 23 Octobe
partment
Compilat
the
ction
wake of the
plicit in the f
rought about
atility of FISI
ering these
s are put for
e most impo
s and deposit
ethod presen
f the results
were already
ates volatility
tive figures
ports and imp
vestigation a
f the operati
is methodolo
ach is a step
s the issue
financial mar
economy.
tisation ope
e in 1997, d
e use of offs
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en 2001 and
a vehicle, th
nd the securit
r is authored bof the Banco dy Council Reguer 2002.
tion and
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inancial inter
t some theor
IM allocation
developmen
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ortant being
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obtained du
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were punctu
ports).
advocates th
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ogy could als
p forward reg
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rkets turbule
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espite of the
shore structu
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2005 the se
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ties issued w
by Ana M. de de Portugal. Aulation 448/98
measure
or FISIM
crisis, the ap
rmediation a
retically surp
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nts, in the c
FISIM comp
the need to
minated.
n the Europe
uring the tria
hat time, spe
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ual and mos
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evaluation. A
so be taken
garding the m
and currency
nce the prop
Portuguese
e non-existin
ures and the
areas, cars a
curitisations
d assets we
were mostly b
Almeida, M. TAny mistakes o8, of 16 Februa
ement is
and sec
pproach that
activity (Finan
prising outco
quences on t
context of th
putation in or
have differe
ean Union (E
al period of
ecifically the
ove statistica
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fferent interb
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onwards via
measuring o
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posed metho
monetary
ng specific r
e range of a
acquisitions,
in Portugal w
ere derecog
bought by no
Teresa Crespoor inaccuraciesary 1998, later
sues for
curitisatio
t has been
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omes, like the
the GDP mea
e revised E
rder to have
ent reference
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1995 to 199
e instability o
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of the financi
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od led to eco
financial in
regulation ap
asset classes
leasing agre
were mostly
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o and Sílvia Fs are those of r précised by t
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uropean Sys
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done exclus
the originato
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the Commissi
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ystem of Acc
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but securitis
remain in t
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2007 the or
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vehicle and
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2. FISIM
2.1 Me
FISIM m
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ather than th
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o consider th
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ates on inter
Hong Kong
e times outsta
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ISIM compu
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cost of reinv
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uritisations w
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securitisation
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work
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tation for the
nal and the e
computation
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nancing shou
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vesting it in
t rates as op
n be driven b
and the curre
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erations.
rates as the
enchmark in
ecause swap
aps worldwid
D), the Japa
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tween the inc
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pposed to bo
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osits at end of
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Bank (ECB).
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rate, our con
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pportunity co
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crucial for th
ortunity cost
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ve illiquidity d
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JPY), the Br
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ing securitisa
ce, the secu
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ostly bought
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ere MFIs whi
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by consider
etween finan
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of funds, wh
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n particular, o
due to sever
operations,
est rate for sh
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ritish pound
ation funds a
uritised asset
egulatory ch
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ich used thes
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at the opport
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i.e. an inter
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hich, in the f
eposits), we
one should c
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our suggest
hort term op
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credit prem
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swap rates f
(GBP), the
2/17
as a vehicle,
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mpanies as a
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ng changes:
ral Bank non
the maturity
ons.
tunity cost of
spectively of
rest rate that
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e propose to
consider that
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Statistics DepMarch 2012
(CHF) and
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2.2 Eff
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deposits an
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2.3 Re
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2.4 Re
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computation
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are given by
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ata source fo
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sector. With
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at selected m
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ata on intere
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olds and non
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le referenc
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e only need
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of each operat
ned. Therefore
s
this kind of
he possibility
maturities on
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est rates, the
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ble by MFI, t
brace the ho
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spectively, be
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orporations, w
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ouseholds a
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etween one a
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ring the refer
sis. ISDAFIX
rence rates b
ched by the t
tion (EC) No
nce sheet of
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d by monetar
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flows, the
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encompass
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tly on a euro
months (sho
and five year
ates
st rate) data
f the referen
cks’ breakdo
ollowing form
denominated
ge of the indiv
g involved in
ence rate of
X rates are
by maturity a
three months
o 25/2009 of
f the monet
0/2009 of the
ry financial in
interest rat
tistics. There
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financial cor
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ort-term ope
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by sector, c
nce rates (R
owns by sec
mula:
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vidual rmc wher
n the adjustm
the previous
3/17
available on
and currency
s Euribor.
the ECB, of
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nstitutions to
e implicit in
efore, for the
statistics on
porations as
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erations) and
e five years.
currency and
RR). For the
ctor, maturity
c. To each Smc
re the weights
ment of loans
s quarter.
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Statistics DepMarch 2012
For the
of the previo
2.6 Ma
2.6
With th
FISIM prod
irrespective
approach of
Consid
the referenc
some stabil
this analysis
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given that i
end of 200
negative F
intermediari
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period of tim
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partment
e weighted av
ous period.
ain results
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he applicatio
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ly of the mat
f multiple ref
ering the tim
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garding FISIM
n this case
8 onwards.
ISIM in the
ies face neg
ss, apart from
me. Again by
March 2009 i
gative again
in retail fund
of 2011. With
106eu
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verage rate,
reference
n of the mu
ns granted w
turity of the o
ference rates
me lag of the
he one of the
output. More
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e aftermath
gative FISIM
m turning po
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is eliminated
reflecting th
ding. In this c
h this measur
0
250
500
750
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1,250
1,500
1,750
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2,250
2,500
2,750
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this conside
rates
ultiple referen
was overesti
operations c
s is more sta
ese operation
e previous qu
eover, the vo
der the lagge
its, on the ba
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of the fina
during a sh
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he lack of acc
context, the
re the return
FISIM ‐Mul
ure 1 – Total
eration could
nce rates ap
mated, due
concerned. M
ble.
ns, visible in
uarter. There
olatility of FIS
ed rate. This
asis of the s
as underesti
proach could
ancial crisis.
hort period o
ficult to unde
ce rate of th
olatility is re
cess to fund
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to positive F
tiple RR FISIM
l FISIM – loa
d be foreseen
pproach, we
to the fact th
Moreover, the
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finding is vis
same reason
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erstand that
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educed. At th
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ods of intere
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sible in Figur
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he end of 2
guese banks
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ected in 2012
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taking the re
that the tota
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2008, we ha
est rate inflex
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re 1.
e the reverse
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ination of th
nceivable th
ce of some p
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observe that
011, FISIM
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2 (Figure 2)
4/17
eference rate
al amount of
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ave replaced
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d covered by
e conclusion
res from the
he persistent
hat financial
price rigidity.
over a long
the negative
on deposits
to increased
nterest rates
.
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Statistics DepMarch 2012
2
The tot
weighted av
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detailed in t
2.7 All
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both consu
noted that,
methods oc
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In line
overestimat
using a sing
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partment
2.6.2 Single
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verage of re
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the next sect
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plete analysi
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regardless
ccur in the aft
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with our g
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20
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60
80
100
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e weighted
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main user
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tal FISIM – d
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he method w
pact on GD
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termediate a
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approach (
financial corp
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FISIM_Multiple RR
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5/17
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tions among
have FISIM
the effect of
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Statistics DepMarch 2012
The us
non financia
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Regard
outcome in
granted by
on deposits
partment
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al corporation
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terms of fina
non financia
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Figure 3
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6/17
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Statistics DepMarch 2012
2.8 Vo
With th
loans, meas
average of
as banks p
banks’ profi
Therefore, t
the volatility
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volatility dec
deposits do
2.9 Im
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reflect only
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significant fr
partment
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400
600
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Single rate
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o adapt to c
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financial inte
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Multiple rates
ocated to ho
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new approa
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-term referen
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nal consump
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consumptio
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nce the rate
s. Since loan
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ach both the
ssessment it
nce rate.
visible in figu
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volatility, pr
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onger maturi
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t is clear tha
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7/17
y of FISIM on
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t the rate on
7. In order to
res 6 and 7
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Statistics DepMarch 2012
Figure
onwards, w
became neg
Finally,
decrease of
production
stressed tha
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of this new
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partment
7 shows o
when compar
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on loans si
at although t
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Figure 6
Figure 7 – A
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ary a higher
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nce rate (Eur
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Statistics DepMarch 2012
3. Securiti
3.1 Le
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take the lega
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uch entities:
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9/17
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Statistics DepMarch 2012
FTCs h
finance the
resident fin
markets (Fi
Figu
Anothe
securitisatio
In the
deals. Howe
32 and 39,
under IAS 3
their accoun
of the risks/
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39, originator
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recognised,
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he original de
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ing the mone
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t of an inves
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that they act
ritisations w
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saction are n
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t as closed e
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l of the finan
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Statistics DepMarch 2012
3.3 Da
While t
agreement
supervision
quarterly ba
issue secur
Anothe
Credit instit
pension fun
whenever th
to identify
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ance Sheet
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hort of the re
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e of paymen
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ese data so
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om raw dat
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M for the reg
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t data and th
public subsc
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report data t
ions act as o
of the secu
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tical informa
ors are non-
, such as is
regulations;
official acc
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information
equired stan
ary statistica
gories and fo
e of informat
y-investor da
ning securiti
n custody wi
entification o
nts data, for i
e anticipated
ources com
including tho
ta to statist
are supervis
gular remitta
have differen
heir audited
cription or ha
formation on
cial institutio
to the Banco
originators in
ritisations b
direct report
tion on the s
-financial ent
ssuance pro
counting data
plays an imp
on securitis
dard for high
l data source
or checking t
tion is the S
atabase. SS
ies issued in
ith resident f
of the holde
instance, offe
amortization
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ose reported
tical inform
sed by the
ance of (acc
nt periodicitie
balance she
ave quoted s
securitisatio
ns (excludin
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n a securitisa
being carried
ting obligatio
securitisation
tities, the Ba
ospectus, rat
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portant role a
sations is, to
h quality sta
es are used
he quality of
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n Portugal a
financial insti
ers of the d
fer helpful inf
ns of the sec
w for the c
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mation
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securities); F
ons concerns
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anco de Port
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tistics (inter
that allow fo
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atistics Integ
advantage o
and securitie
tutions. Ther
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formation for
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ompilation a
(Figure 10).
e Banco de
ta reported
ng on the typ
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TCs report m
s data collec
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tial supervisi
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e particular
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refore, the S
es and othe
r the STC str
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monthly data
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Portugal ha
case of res
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make use o
s information
ke the one f
curitisations.
d from acco
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own the acc
m (SSIS), a
in a single d
Portuguese
SSIS makes i
er equity iss
ructures, allo
d abroad.
mination of
11/17
as a formal
or prudential
STCs submit
basis (if they
.
e originators.
mpanies and
s. Therefore,
s the means
sident MFIs,
ance sheets
of alternative
n and FTCs
found in the
At any rate,
ounting data,
To cope with
ounting data
security-by-
database, all
and foreign
t feasible, to
sued by the
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Statistics DepMarch 2012
3.4
Table 1
amounted t
side, “Secu
period conc
equity”, acc
Cinfo
B
STC
C
partment
Portugues
1 shows the
to about 62
ritised asset
cerned. Liabi
counting for t
Complemormation
Securities SIntegrated
Balance of P
MFI Balanc
C Issuance pFTC Regu
Central BalaDatab
Fig
se securitis
FVCs’ aggr
billion euros
ts” are, by fa
lities are bas
he paper iss
mentary n source
Statistics System
Payments
ce sheet
prospectus lations
nce Sheet ase
gure 10 – So
sation in nu
regate balan
s, by end-20
ar, the most
sically split b
ued by STCs
es
/
ources and
umbers
ce sheet, br
11, as comp
significant e
etween “Sec
s (59%) and
D
disseminati
roken down
pared to 20
entry, averag
curities other
FTCs (39%)
Disseminat
CInformsupervi
ion
by financial
billion euros
ing about 95
r than shares
), respectivel
Stat
tion
CMVM
ation sent fsory purpos
instrument.
s in 2004. In
5% of total a
s” and “Share
ly.
tistica
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for ses
12/17
Total assets
n the assets
assets in the
es and other
al Info
ial Accou
7
s
s
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r
rmatio
nts
Banco dInformation
of se
o
dne
Statistics DepMarch 2012
The firs
amounting
amount of lo
by FTCs co
As rega
Central Go
amounting t
commercial
In Tabl
reflecting th
mortgage lo
ASSETS
Curre
Secur
Secur
Share
Finan
Other
LIABILITIE
Depos
Secur
Loans
Share
Finan
Other
SECURITISE
MFIs
OFIs
Non‐Fin
Genera
Non‐res
partment
st Portugues
to 1 billion e
oans securit
orresponded
ards STCs, t
overnment. A
to 35 billion
loans origin
les 2 and 3,
he growing i
oans in the w
Tab
ency and deposi
ities other than
itised assets
es and other equ
ncial derivatives
r assets
ES
sits
ities other than
s
es and other equ
ncial derivatives
r l iabilities
D ASSETS
nancial Corpor
l Government
sident entity
Table 1 – A
e FTC starte
euros. By th
ised by this
to mortgages
the first one
As of Decem
euros, 54%
ated by non-
Portuguese
importance o
whole of secu
le 2 – Secur
ts
n shares
uity
s
n shares
uity
s
2
ations
Aggregate b
ed its activity
he end of 20
type of FVCs
s originated
started its a
mber 2011,
of which we
-financial cor
FVCs show
of non-derec
uritised asset
ritised asset
2004 200
19 977 25
770
0
19 119 24
0
0
88
19 977 25
0
1 943 3
0
16 791 20
0
1 242
2004 2005
19 119 24 2
15 487 21 3
734 8
1 521 1 0
1 377 1 0
0
balance shee
y in Decembe
011, thirty ni
s was of 24
by MFIs, and
activity in Dec
there were
ere mortgage
rporations.
sharp increa
cognised sec
ts granted by
ts’ counterp
5 2006
236 28 772
890 910
0 0
273 27 678
0 0
0 7
72 177
236 28 772
0 0
700 5 677
0 0
765 22 331
0 3
770 762
5 2006
273 27 678
312 25 399
894 893
014 844
053 542
0 0
et of Portug
er 2001, by s
ne FTCs we
billion euros
d 16% to non
cember 2003
four STCs
es originated
ases in loans
curitisations
y MFIs.
parts, by ins
2007 2
33 426
1 487
4
31 564
0
15
356
33 426
0
7 485
0
25 099
0
842
2007
8 31 564
29 316
937
4 1 156
155
0 0
guese FVCs
securitising a
ere in activity
. About 74%
n-financial co
3, by securit
in activity,
d by MFIs an
s vis-à-vis MF
since 2005,
stitutional se
2008 2009
42 974 50 3
2 156 1 7
4
40 400 48 2
0
8
405 3
42 974 50 3
0
8 883 14 0
0
33 224 35 5
12
856 7
End‐o
2008 200
40 400 48
38 577 43
1 002 2
822 2
0
0
End
a pool of mo
ty. The total
% of the loans
orporations’
tising fiscal c
with securit
nd 28% corre
FIs in the las
, and the im
ector
9 2010
381 61 915
775 2 981
4 4
280 58 656
0 0
7 35
314 238
381 61 915
0 0
060 28 703
0 1
547 32 534
37 43
737 635
of‐year figures.
09 2010
280 58 656
761 54 701
151 1 818
367 2 137
0 0
0 0
‐of‐year figure
13/17
rtgage loans
outstanding
s securitised
loans.
credits of the
tised assets
esponded to
st four years,
mportance of
2011
61 934
2 891
5
58 743
0
79
217
61 934
0
36 783
171
24 162
116
701
106 Euros
2011
6 58 743
1 56 429
8 316
7 1 892
0 0
0 107
s. 106 Euros
7
s
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s
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,
f
Statistics DepMarch 2012
Tab
By the
to nearly 30
institutions (
Since 2
issued by P
Fig
about 8% of
MFI SECUR
Non‐resi
Resident
counterp
SECURITIES
MFIs
OFIs
Non‐Fi
Genera
House
Non‐re
partment
ble 3 – MFI s
end of 2011
0% of the to
(see Table 3
2009 the MF
Portuguese F
Table 4
ure 11 illust
f the sector’s
MFIs
OFIs
Non‐Finan
General Go
Household
o/w: Mor
RITISED ASSETS
ident counterpart
t
part
S OTHER THEN S
nancial Corpo
al Government
holds
esidents
securitised
, the total of
otal outstand
3).
FI sector su
FVCs (as see
4 – Holders
trates the gr
s total assets
cial Corporations
overnment
ds
rtgage loans
t
2
SHARES
rations
assets’ orig
f securitised
ding amount
bstituted the
en in Table 4
of securitie
owing visibil
s by the end
2004
15 48
s 9
15 27
14 05
11
2004 200
1 943 3
8
120
0
0
0
1 815 3
ginal debtor
mortgage lo
t of mortgag
e Rest of the
4).
es issued by
lity of FVCs
of 2011.
2005 2
87 21 312
0 0
0 0
99 588
0 0
71 20 582
50 19 439
17 142
5 2006
700 5 677
51 100
184 132
0 0
0 0
0 0
465 5 445
, by instituti
ans was of a
e loans gran
e world sect
y FVCs, by i
in the finan
2006 2007
25 399 29 31
0
23 2
1 990 2 49
0
23 043 26 39
21 950 24 90
343 40
2007 2
7 485
0 259
205
0 68
0 0
0 2
6 951
ional sector
about 36 billi
nted by all t
tor as the m
nstitutional
cial sector a
2008 2
6 38 577 4
0 55
3 65
2 4 699
0 137
3 33 105 3
4 31 763 3
9 516
En
2008 200
8 883 14
2 735 9
233
165
0
5
5 744 4
End‐
r and reside
on euros, co
the Portugue
main holder
l sector
as a whole,
009 2010
43 761 54 701
55 22
65 33
4 488 9 941
137 154
38 439 43 958
36 787 41 550
578 593
nd‐of‐year figures
9 2010
060 28 703
414 24 461
411 386
141 86
0 35
6 5
087 3 731
‐of‐year figures
14/17
ency
orresponding
ese financial
of securities
representing
2011
1 56 429
2 30
3 147
1 14 873
4 215
8 40 572
0 36 311
3 592
s. 106 Euros
2011
36 783
31 030
561
43
22
4
5 123
s. 106 Euros
7
g
l
s
g
Statistics DepMarch 2012
3.5
The
covering da
FVCs (both
Dat
Interactive D
As
Banco de P
data on th
transactions
The
Regulation
Refere . Alm
ComBull
. Cam
da B
. Col
curr
and
Bru
partment
Figure
Outputs:
e Banco de P
ata since 200
STCs and F
ta are also a
Database of
regards the
Portugal has
he FVCs’ ba
s are provide
e ECB has
above menti
ences:
meida, Ana mpilation anletin, Octobe
mpos, A. (20Banca, nº 60
angelo, A. a
rent Europea
d Schoder J-
ssels
e 11 – Propo
dissemin
Portugal pub
01. The pres
FTCs), broke
available on
the Banco d
fulfilment o
s been subm
alance shee
ed on a quart
recently be
oned, referri
M., Crespod measurem
er 2011
005), “Titulari0, 77-92
nd R. Inklaar
an methodol
-P, "Product
ortion of tot
nation and
blishes quart
sented inform
n down by in
“BPstat|Esta
de Portugal.
of the report
mitting to the
ets. Data re
terly basis.
egan to diss
ng to the eu
o M. Teresament issues”
rização de C
r (2009) “Me
logy and new
ivity in the F
tal assets of
d institutio
terly data on
mation refers
nstrument, in
atísticas onli
ing requirem
European C
efer to end-
seminate in
ro area as a
a, (2011), “, Banco de
Créditos, algu
easuring the o
w perspectiv
Financial Se
f FVCs on th
onal repo
n securitisati
s to the aggr
n line with the
ine|”, an Inte
ments set fo
Central Bank
-of-quarter o
its website
whole and to
“Assessing Portugal, S
umas notas s
output of the
ves,” in Eds.
rvices Secto
he financial
rting
on in its mo
egate balanc
e breakdown
ernet online
rth in Regul
k, since Feb
outstanding
e information
o each single
Securitisatioupplement 1
sobre titulariz
e banking sec
Balling, M.,
or", SUERF
sector
onthly Statist
ce sheets of
n reported to
access to th
lation ECB/2
bruary 2010,
amounts a
n collected
e country.
on Activity 1/2011 to th
zação sintéti
ctor: shortco
, Gnan, E.,
Studies 200
15/17
tical Bulletin,
f Portuguese
the ECB.
he Statistical
2008/30, the
harmonized
nd financial
through the
in Portugal-he Statistical
ica”, Revista
mings of the
Lierman, F.,
09/4, Larcier,
7
,
e
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e
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a
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,
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