1 Implementation of FVC defintion specific cases NL WPFS Workshop on Securitisation May 2010 Banco de España - Madrid Eric Klaaijsen De Nederlandsche Bank

2 Introduction 1.Background 2.Definition of originator 3.Specific cases 4.Concluding remarks

3 1. Background ECB Regulation on Financial Vehicle Corporations (FVCs) engaged in securitisations  FVC statistics for monetary policy purposes Implementation on a national level  interpretation problems and borderline cases Still, decisions to be made and therefore clarifications needed

4 2. Definition of originator Transferor of assets or credit risk  should always be identifiable, also for CDO/CLO Assumes assets already created before securitising  actually seller of assets or credit risk

5 3.1 Case 1: Issuing company pass- through bonds Issuance of bonds for financing non yet existing loans  No first lender and no transfer of already created assets  No FVC (issuing company is first lender and a specialised lending corporation rather than FVC)

6 3.2 Case 2: Funding corporation US and purchasing company NL Funding corporation in US issues short-term securities Proceeds as bilateral loans to purchasing company in NL which purchases the assets  Multi-vehicle cross-border securitisation structure consisting of two companies  Both FVCs, but US funding corporation no euro area resident (and therefore not included in euro area FVC statistics)

7 3.3 Case 3: Real estate loan fund Fund has taken over real estate loans by CDS. Financed by private loans by two investors, < EUR 500 million. Issuance of notes if sufficient interest. To be considered as issuance of “other debt instruments”?  Guidance ECB: depends on number of creditors, ranking and amount  No FVC since < 5 creditors and < EUR 500 million

8 3.4 Case 4: Issuing company UK, holding company and originator NL (i) Issuing company UK issues CMBS  proceeds lent to holding company in NL  lent loan proceeds to two companies in NL owning real estate in UK  Transfer of credit risk of existing and owned real estate to investors  securitisation  No purchaser, but holding company grants loan financed by CMBS  multi-vehicle securitisation structure  Counterargument: holding company is first lender and originator, so no FVC

9 3.4 Case 4: Issuing company UK, holding company and originator NL (ii)  Economic reality: real estate owning companies issue (secured) liability to holding company, which in the end is securitised  However: could originated liability be securitised according to FVC definition from a legal point of view?  Still, preliminary: issuing company and holding company FVCs (but issuing company resident in UK and, therefore not included in euro area FVC statistics)

10 4. Concluding remarks Application of uniform interpretations of definitions important for harmonised and consistent FVC statistics Guidance from ECB to be followed Aware of possible differences with market practices and supervisory sources When interpretating definitions, taking into account market practices and economic realities