STATISTICS DEPARTMENT THE SECURITISATION PROCESS IN THE OECD COUNTRIES: RESULTS OF THE SECOND QUESTIONNAIRE Miguel Ángel Menéndez Beatriz Sanz WORKING PARTY ON FINANCIAL STATISTICS OECD Paris, 2-3 November 2009

STATISTICS DEPARTMENT THE SECURITISATION PROCESS IN THE OECD COUNTRIES: RESULTS OF THE SECOND QUESTIONNAIRE 2 Contents 1.Launch of the second questionnaire 2.Structure of the second questionnaire 3.Results of the survey 4.Proposed follow-up

STATISTICS DEPARTMENT 3 1.LAUNCH OF THE SECOND QUESTIONNAIRE The results of the first questionnaire on securitisation were presented to the WPFS at its October 2007 meeting [COM/STD/DAF(2007)9]. It was concluded that there was a need:  to have more qualitative and quantitative information on SPVs  to update the document that summarises the first questionnaire  to take another look at the text on securitisation in the SNA The WPFS decided, at its 2008 meeting [COM/STD/DAF(2008)10], to launch a second questionnaire to obtain further information on topics such as:  “traditional” and “synthetic” securitisation  the structure of SPVs’ liabilities  and to begin to explore the availability of data and the feasibility of data collection

STATISTICS DEPARTMENT 4 2. STRUCTURE OF THE SECOND QUESTIONNAIRE I.“Traditional securitisation”, when the originator is not allowed to derecognise the asset II. “Synthetic” securitisation III. Structure of SPVs’ liabilities IV. Involvement of two SPVs V. Valuation of assets and liabilities linked to securitisation VI. Involvement of international organisations in the work on securitisation VII. Some insurance operations in the securitisation process VIII. Quantitative information: SPVs’ balance sheets

STATISTICS DEPARTMENT 5 3. RESULTS OF THE SURVEY Replying to most of the questionnaire All or most of the questionnaire not applicable Securitisation process not regulated or of low importance Securitisation conducted only by non-resident SPVs Australia, Belgium, Canada, Denmark, France, Germany, Ireland, Italy, Japan, Korea, Luxembourg, Netherlands, Poland, Portugal, Spain, United Kingdom, United States Austria, Czech Republic, Hungary, New Zealand, Slovakia, Slovenia, Sweden, Switzerland, Turkey Finland, Greece, Iceland Therefore, most of the answers below refer to the 17 countries of the first column. Replying to or completing the questionnaire: 29 countries

STATISTICS DEPARTMENT 6 I. Questions on “traditional securitisation”, where the originator is not allowed to derecognise the asset Securitisation in which the originator does not derecognise the asset exists in some countries (11); however, in nearly all cases (9), double counting can be avoided In a further 2 countries, derecognition is allowed in all cases, while in another 4 only “true sales” or “synthetic” securitisation exist. In all these cases there is no room for double counting In countries where the originator acquires part of the securities issued by the SPV (10), the recording of these operations is gross (or is not applicable). There is just one exception, where this acquisition is netted against a related liability 3. RESULTS OF THE SURVEY

STATISTICS DEPARTMENT 7 II. Questions on “synthetic” securitisation In most countries (14), “synthetic” operations do not differ from the description in the questionnaire, or the differences are minor (1) In another 2 countries, this kind of securitisation is not currently relevant, or is usually performed by non-resident SPVs, or does not exist 3. RESULTS OF THE SURVEY

STATISTICS DEPARTMENT 8 III. Questions on the structure of SPVs’ liabilities Although some countries (9) affirm that SPVs finance their medium or long-term lending transactions by issuing short-term securities, for 3 of them this practice is not relevant In 11 countries there is a formal or informal commitment by the originator to provide financial support via some kind of guarantee or via acquisition of SPV securities. In some cases this commitment exists for SPVs established abroad; in others it is due to the financial crisis 3. RESULTS OF THE SURVEY

STATISTICS DEPARTMENT 9 IV. Questions on securitisation involving the participation of two SPVs 8 countries report cases in which one SPV acquires the assets and another SPV issues the securities. For the other 9 countries this phenomenon does not exist, is unknown or has not yet been observed Regarding the existence of a time span between acquisition of the asset by an SPV and the issuance of securities, in 12 countries there is no time span, none has been observed or it is unknown. For the other 5 countries, this period can range from several days to 12 months 3. RESULTS OF THE SURVEY

STATISTICS DEPARTMENT 10 V. Questions on valuation of assets and liabilities linked to securitisation Most countries are in favour of adopting, insofar as possible, a common valuation method to increase international comparability, although some degree of flexibility is advisable For the euro area countries, the entry into force, in February 2010, of an ECB regulation concerning statistics on SPVs engaged in securitisation will help provide homogeneous statistics. The Handbook on Securities Statistics coordinated by the BIS, the ECB and the IMF is also a highly valuable step Practically all countries consider the information on write-offs and write- downs very useful, although currently these data are not generally available (4) 3. RESULTS OF THE SURVEY

STATISTICS DEPARTMENT 11 VI. Questions on some insurance operations in the securitisation process 13 countries report that insurance plays no part in the process of securitisation, that they are “not aware of” this or that it is unknown The remaining 4 countries gave a positive reply, but in one no information is available and in another one the operations exist but are rare 3. RESULTS OF THE SURVEY

STATISTICS DEPARTMENT 12 VII. Involvement of international organisations in the work on securitisation There is virtual unanimity among the 29 countries responding on the role that should be played by international organisations, working together to establish a common terminology, concepts and homogeneous definitions for the institutions, transactions and instruments used in securitisation The replies are also practically unanimous on the usefulness of guidance notes being developed by the institutions involved in the revision of the SNA The guidance notes should include references to definitions for institutions, transactions and instruments, valuation, write-offs, write-downs and the replacement of assets 3. RESULTS OF THE SURVEY

STATISTICS DEPARTMENT RESULTS OF THE SURVEY 13 VIII. Quantitative information € million Total assets Australia99,721120,295139,708155,626110,741 Belgium n.a 50,737 Canada 152,543231,840265,971331,367335,037 Denmark n.a France (a) 19,27322,27223,53538,99754,139 Italy 114,159133,136153,087162,009238,113 Japan 199,583237,126229,366214,977271,455 Korea 39,95341,94038,15031,41525,027 Netherlands (b) 97,504136,071185,664275,107333,615 Portugal 20,64625,02628,30233,26642,898 Spain 125,737178,791252,149362,772462,615 United Kingdom (c) 94,137122,627150,998193,606236,541 United States 4,423,9045,864,2886,090,5096,100,5376,507,006 a)FVCs allowed to issue securities to the public (€50bn, of €106bn in 2008). Private SPV data will be collected as from December 2009 b)Excluding SPVs that are also Special Financial Institutions c)Only covers SPVs holding residential mortgages, sponsored by UK resident MFIs and where the parent MFI derecognises the loans. Therefore, securitisation linked to non-derecognised loans is not included.

STATISTICS DEPARTMENT RESULTS OF THE SURVEY VIII. Quantitative information Chart 1

STATISTICS DEPARTMENT 3. RESULTS OF THE SURVEY 15 VIII. Quantitative information

STATISTICS DEPARTMENT 3. RESULTS OF THE SURVEY 16 VIII. Quantitative information

STATISTICS DEPARTMENT 17 Proposal 1. To follow the development of the securitisation process through monographic presentation country-by-country. Might it be worth holding a workshop on securitisation in 2010? Proposal 2. To include relevant items on the securitisation process at the next WPFS meetings and to follow the improvements stemming from the new ECB Regulation Data on securitisation for euro area countries will be available in 2010 following the harmonised statements established by the ECB Regulation, providing data that may be used for comparison with other OECD countries. This process relating to the availability of information should be followed by the WPFS Proposal 3. International organisations should work in close cooperation to avoid duplication of effort 4. PROPOSED FOLLOW-UP

STATISTICS DEPARTMENT THANK YOU FOR YOUR ATTENTION