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Recently released ECB statistics on securitisation Jani Matilainen DG-Statistics / ECB OECD Working Party on Financial Statistics Paris, 24 October 2011.

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Presentation on theme: "Recently released ECB statistics on securitisation Jani Matilainen DG-Statistics / ECB OECD Working Party on Financial Statistics Paris, 24 October 2011."— Presentation transcript:

1 Recently released ECB statistics on securitisation Jani Matilainen DG-Statistics / ECB OECD Working Party on Financial Statistics Paris, 24 October 2011

2 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 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 transferred follow 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 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 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)

6 6 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 loans debtor (domestic, other euro area, rest of the world) sector of loans debtor (gen. gov., other financial intermediaries, insurance corporations and pension funds, non-financial corporations, households) at quarterly frequency, by loans purpose (consumer credit, housing loans, other, other-sole proprietors) loans original maturity (only for non-financial corporations loans). Reporters must distinguish transactions with impact on the balance sheet from the rest

7 7 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

8 8 MFI loan securitisation since end-2009 (1)

9 9 MFI loan securitisation since end-2009 (2) billion Cumulative transactions by country Note: data in this chart are non-public

10 10 MFI loans adjusted for securitisation (1) Transactions in loans to private sector

11 11 MFI loans adjusted for securitisation (2) Annual growth rates of MFI loans

12 12 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

13 13 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 positions e)debt securities issued, by maturity; f)totals for other balance sheet items Write-offs/write-downs of securitised loans

14 14 Residency of euro area FVCs Outstanding amount of debt securities issued, Q2 2011

15 15 Nature of securitisation of euro area FVCs Total assets of euro area FVCs by type

16 16 Assets of euro area FVCs Breakdown of assetsSecuritised loans by originator

17 17 Liabilities of euro area FVCs Breakdown of liabilities Debt securities issued - transactions

18 18 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

19 19 Further information FVC press releases: Data published on ECBs Statistical Data Warehouse: List of FVCs: FVC Regulation: BSI Regulation (Securitisation requirements Annex 1, Part 6) :


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