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Title: Securitisation process in the Handbook on Securities Statistics


1
Securitisation process in the Handbook on
Securities Statistics
  • Mr Christian Dembiermont
  • Presentation at the Workshop on securitisation
  • OECD Working Party on Financial Statistics
  • Madrid, 28 May 2010
  • The views expressed are those of the presenter
    and not necessarily those of the BIS or the WGSD

1
2
Handbook on Securities Statistics
  • Objectives
  • Improve information on securities markets
  • Develop a conceptual framework for presentation
    of statistics on different types of securities
    issued and held
  • Consistency with existing international
    statistical standards

3
Handbook on Securities Statistics
  • Its scope
  • Debt securities issued by institutional units in
    an economy
  • Positions and flows of debt securities issued
  • Not a compilation guide
  • Consistency with existing international
    statistical standards
  • Harmonised with 2008 SNA BPM6 to promote
    consistency, transparency and comparability
  • Linkages to other international statistical
    frameworks
  • Definition of a debt security
  • A negotiable financial instrument serving as
    evidence of a debt

4
Handbook on Securities Statistics timeline
  • June 2007 recommendations in CGFS report
  • October 2007 recommendations in G8 report
  • November 2007 reconvened IMF Working Group on
    Securities Database (WGSD)
  • March 2008 IFC workshop in Washington on
    Challenges to improve global comparison of
    securities statistics (see IFC Publication on )
  • Upon general demand BIS-ECB-IMF took joint
    initiative to develop Handbook on Securities
    Statistics (HSS), initially (Part I) to cover
    debt securities issues
  • May 2009 Part 1 of the Handbook on statistics of
    debt securities issues has been published (see
    http//www.imf.org/external/np/sta/wgsd/hbook.htm)
  • March 2010 first draft of Part 2 on debt
    securities holdings prepared by the BIS, the ECB
    and the IMF has been discussed by the Review
    Group
  • Plan to publish Part 2 of the Handbook by June
    2010
  • Part 3 of the Handbook will cover equities
    statistics and is expected to be finalised by end
    2011

5
Debt securities issues stylised presentation
table
6
Definition of securitisation
  • Securitisation results in debt securities for
    which coupon and principal payments are backed by
    payments on specified assets or future income
    streams
  • A variety of assets or future income streams may
    be used securitised
  • residential and commercial mortgage loans
  • consumer loans
  • corporate loans
  • government loans
  • credit derivatives
  • future revenue.

7
Securitisation process, type 1
Original collateral holder
T1 Funds
No securitisation corporation No transfer of
assets
T1 Debt securities
Investors
8
Examples of type 1 securitisation
  • Debt securities issued under similar schemes as
    Type 1
  • Pfandbriefe (Germany)
  • Obligations foncières (France)
  • Obbligazioni bancarie garantite (Italy)
  • Lettres de gage hypothécaires and lettres de gage
    publiques (Luxembourg)
  • Obrigações hipotecárias and obrigações
    hipotecárias sobre a sector público (Portugal)
  • Cédulas hipotecarias and cédulas territoriales
    (Spain)
  • Realkreditobligationer (Denmark)
  • Mainly continental Europe for legal reasons
  • Now being promoted in other countries, incl. US

9
Type 1 securitisation characteristics
  • There is no transfer of the assets to a special
    purpose entity
  • Assets are identified and ring-fenced as per
    local law, and are placed as a security for the
    bonds
  • In the event of bankruptcy of the mortgage
    originator, a general secured lending law or a
    special law relating to the covered bonds grants
    the bondholders recourse against the pool of
    mortgages over which security interest had been
    created
  • In the event of defaults on the mortgages,
    investors still have a recourse against the bond
    issuer

10
Securitisation process, type 2
Original collateral holder
T2 Funds
T2 Collateral
Securitisation corporation
T2 Funds
T2 Debt securities
Investors
11
Securitisation process, type 3
Original collateral holder
T3 CDS premium
T3 Contingent funds after credit event
Securitisation corporation
T3 Funds
T3 Debt securities
Investors
12
Classification of debt securities issued in
securitisation schemes
  • Issuing sector
  • Original collateral holder (non-financial
    corporation or financial corporation) or
  • Securitisation corporation (financial
    corporation)
  • Type of securitisation debt securities issued
  • Covered bonds
  • Mortgage-backed bonds (MBB)
  • Asset-backed securities (ABS)
  • Asset-backed commercial paper (ABCP)
  • Credit-linked notes (CLN)
  • Colletarised debt obligations (CDO)

13
European Union definition of securitisation
  • ECB regulation (EC) No 24/2009 of the ECB
    concerning statistics on the assets and
    liabilities of financial vehicle corporations
    engaged in securitisation transactions
    (ECB/2008/30)
  • Securitisation means a transaction or scheme
    whereby an asset or pool of assets is transferred
    to an entity that is separate from the originator
    and is created for or serves the purpose of the
    securitisation and/or the credit risk of an asset
    or pool of assets, or part thereof, is
    transferred to the investors in the securities,
    securitisation fund units, other debt instruments
    and/or financial derivatives issued by an entity
    that is separate from the originator and is
    created for or serves the purpose of the
    securitisation, and
  • (a) in case of transfer of credit risk, the
    transfer is achieved by
  • the economic transfer of the assets being
    securitised to an entity separate from the
    originator created for or serving the purpose of
    the securitisation, or
  • the use of credit derivatives, guarantees or
    any similar mechanism and
  • (b) where such securities, securitisation fund
    units, debt instruments and/or financial
    derivatives are issued, they do not represent the
    originator's payment obligations

14
Two definitions of securitisation
  • Reconciliation between 2 definitions
  • ECB definition narrower than the one in the
    Handbook of Debt Securities
  • ECB definition corresponds to Type 2 and Type 3
    securitisation schemes
  • Type 1 securitisation schemes are by definition
    outside the scope of the ECB regulation on
    statistics
  • Reconciliation between 2 definitions
  • Type 1 on-balance sheet securitisation
  • Types 2 and 3 off-balance sheet securitisation

15
Data collection on securitisation
  • Handbook on Securities Statistics recommendation
  • Collection only on the issuer side
  • Data collection
  • Type 1 Monetary institutions balance sheets
  • Other financial institutions
    balance sheets
  • Types 2 and 3 specific statistical reporting
    templates

16
Extended presentation table types 1 to 3
17
Extended presentation table types 2 and 3
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