The new ECB statistical framework for securitisation

Antonio Matas MirOECD Workshop on Securitisation

Madrid, 27-28 May 2010

2

User needs at the Eurosystem (I)

Data on securitisation are needed for a reliable interpretation of MFI credit data:

correct for negative financial transactions when loans are securitised

follow loan redemption and repayment patterns irrespective of securitisation

Both of the above could arguably be met through consolidated reporting by originator

3

User needs at the Eurosystem (II)

But data also needed to monitor securitisation process itself and its impact on:

the creation of money and credit

the capital markets

financial stability

the incentives at play to use it as funding source, risk diversification, regulatory capital management, etc.

Most of the above best fulfilled by treating FVCs as separate entities

4

User needs at the Eurosystem (III)

Example: loans to households, adjusted vs unadjusted for securitisation and other loan sales, annual percentage changes

-2

0

2

4

6

8

10

12

Mar.

2004

Jun.2

004

Sep.20

04

Dec.20

04

Mar.

2005

Jun.2

005

Sep.20

05

Dec.20

05

Mar.

2006

Jun.2

006

Sep.20

06

Dec.20

06

Mar.

2007

Jun.2

007

Sep.20

07

Dec.20

07

Mar.

2008

Jun.2

008

Sep.20

08

Dec.20

08

Mar.

2009

Jun.2

009

Sep.20

09

Dec.20

09

unadjusted

adjusted

5

Situation prior to the new framework

Data were insufficient:

non-harmonised definitions and compilation approaches;

different availability and coverage across euro area;

highly sensitive to different national accounting rules on asset derecognition;

no sectoral detail available;

no coverage of re-intermediation (FVC securities bought by the MFI sector, unwinding of securitisations)

6

MFI reporting

Loan securitisation flows

Loan outstandings post-securitisation

o/w serviced for euro area FVCs

Effect on the balance sheet (de-recognition issues)A

s or

igin

ator

sA

s se

rvic

ers

FVC reporting

Securitised loanso/w originated by MFIs

o/w originated by non- MFIs and RoW

Other securitised assets

Other assets

Debt securities issued

Other liabilities

Derogati

ons

The ECB ‘integrated approach’ at a glance

7

New statistical requirements for MFIs (1)

New statistics on MFI loan securitisation and other loan transfers are an extension of existing statistical requirements on MFIs.

Cover:

1. Traditional MFI loan securitisation (including via non-resident vehicles).

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

Do not cover:

Synthetic loan securitisation (covered by FVC statistics)

First reporting July 2010 (ref. June)

with data provision back to Dec 2009.

8

New statistical requirements for MFIs (2)

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

at monthly frequency, by residency of the transferee (FVC,o/w euro area, other

entities)

residency of loan’s debtor (domestic, other euro area, RoW)

sector of loan’s debtor (Gen Gov, OFIs, IC&PF, NFCs, HH)

at quarterly frequency, by loan’s purpose (consumer credit, housing loans, other,

sole proprietors)

loan’s original maturity (NFC loans only)

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

9

New statistical requirements for MFIs (3)

b) For MFIs acting as servicers in a loan securitisation: outstandings of loans being serviced for all

items in (a), distinguishing total and ‘of which’ serviced for a euro area FVC data used in ‘integrated approach’

c) For MFIs adopting IAS39 (or rules with similar effect):

outstandings of loans securitised but not de-recognised by originator (control for double-counting when combining MFI and FVC statistics)

d) Other requirements : holdings of FVC securities (including retained),

deposits placed by FVCs (including collateral in synthetic securitisation)

10

Reporting scheme for MFIs (monthly)

A. Domestic (other MUMS identical)

General govern*ent (S. 13) Other resident sectors

BALANCE SHEET ITEMS

Ins. corp & pension funds (S. 125)

NFC (S.11)

Households (S.14+S.15)

1.1 Counterparty in the transfer is an FVC

1.1.1 o/w counterparty in the transfer is a euro area FVC

1.2 other counterparties in the transfer

2.1. All counterparties in the transfer

3. Outstanding amounts of loans serviced in a securitisation1

4. Outstanding amounts of securitised loans not derecognised2

4.1 Total

4.1.1 o/w securitised through a euro area FVC

1. Net flows of loans securitised or otherwise transferred : transactions with impact on the statistical balance sheet calculated as disposals minus acquisitions

2. Net flows of loans securitised or otherwise transferred : transactions without impact on the statistical balance sheet calculated as disposals minus acquisitions

C. Rest of the world

Table 5. Securitisations and other loan transfers

TotalOther Gen. Gov't Total OFIs &

financial auxil. (S.123 + S.124)

(a) Data required at monthly frequency

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Reporting scheme for MFIs (quarterly)

A. Domestic (other MUMs identical)

General government (S. 13) Other resident sectors

BALANCE SHEET ITEMS

Ins. corp & pension funds (S. 125)

NFC (S.11)

Consumer Housing loans Other loans excl. to

credit SP2

1. Net flows of loans securitised or otherwise transferred : transactions with impact on the statistical balance sheet calculated as disposals minus acquisitions

1.1 counterparty in the transfer is an FVC

Loan purpose

Maturity =< 1 year

Maturity > 1 year and =< 5 year

Maturity >5 year

1.1.1. o/w FVC resident in euro area

Maturity =< 1 year

Maturity > 1 year and =< 5 year

Maturity >5 year

1.2 Other counterparties in the transfer

Loan purpose

3. Outstanding amounts of loans serviced in a securitisation3.1 Loans serviced: all FVCs

Maturity =< 1 year

Maturity > 1 year and =< 5 year

Maturity >5 year

3.1.1 Loans serviced : of which euro area FVCs

Maturity =< 1 year

Maturity > 1 year and =< 5 year

Maturity >5 year

C. Rest of the world

Total Households (S.14 + S.15)Other Gen. Gov't Total OFIs &

financial auxil. (S.123 + S.124)

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Statistical requirements for FVCs (1/4)

A new statistical ECB Regulation addressing the vehicles in the euro area directly

Includes a requirement of self-identification Publication of FVC list in February 2010

First reporting of balance sheet data: February 2010

First reporting of financial transactions data +

data on write-downs or similar information: May 2010

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Statistical requirements for FVCs (2/4)

Each NCB may choose one of three compilation approaches, or combination thereof:

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

All cases, quarterly frequency, timeliness t+28 days

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Statistical requirements for FVCs (3/4)

If direct reporting by FVCs:

derogations for FVCs making up to 5% of national total assets

derogations from mark-to-market accounting for difficult to value items (e.g. bespoke CDS)

deviations of reporting period from natural quarter allowed provided large transactions within natural quarter are included

15

Statistical requirements for FVCs (4/4) Data to be compiled separately for traditional, synthetic and other FVCs

Stocks and financial transactions of:

a) Securitised loans : fully sectorised wrt to borrower if MFI-

originated only totals for other originators

b) Debt securities: MFIs/non-MFIs/FVCs/RoW

c) Sufficient information on inter-FVC positions to consolidate sector

d) Write-downs only for total assets (compiler assigns to most likely asset class)

16

Reporting scheme for FVCs

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Some preliminary figures (2009Q4)

Country share of total EA FVC assets (largest countries are IE, NL, ES and IT – accounting for 80% of total FVC assets)

Securitised loans by sector of borrower (largely Households 69%, followed by NFCs 25%)

NOT FOR PUBLICATION

IE22%

NL21%

AT0%

BE3% DE

4%

ES21%

FR7%

PT2%

LU4%

IT16%

BE

DE

ES

FR

IE

IT

LU

NL

AT

PT

(share, EUR bn)

Households69%

Gral Gov0%

OFIs3% ICPFs

3%

NFCs25%

Gral Gov

OFIs

ICPFs

NFCs

Households

(percentage of total) (percentage of total)

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Summary

• Harmonised and complementary MFI and FVC data on securitisation for the euro area beginning 2009Q4

• MFI data covers also securitisations via non-resident vehicles

• FVC data restricted to euro area vehicles (plus some EU countries, but not UK)