Korea’s compilation method for securitization 2010. 11 Sung-Hwan KIM (shk@bok.or.kr)

1. Background 2. Data collection 3. Compilation 4. Statistics

Background “Act relating Asset Debenture”(1998) “Mortgage Debenture Company Act”(1999) Institutions establish SPC hand over assets Investors ABS

Background “Act relating Asset Debenture”(1998) “Mortgage Debenture Company Act”(1999) register plans for securitization Institutions FSC FSS information

Data Collection Bank of Korea “DART” ① identify SPCs ② data* * Balance sheet(B/S), detailed statement SPCs

ABS (stock) total liability of the economy = sum of SPCs’ liability Compilation ABS (stock) total liability of the economy = sum of SPCs’ liability ABS (stock) total asset = total liability (of the economy)

Compilation ABS (stock) asset of General Government & Financial Corp. sector  sum of ABS holdings ∙ data : B/S & bond-holdings statement asset of Rest of the World ∙ data : ‘Balance of Payments Team’

Compilation ABS (stock) asset of public corporations  sum of ABS holdings ∙ data : B/S & bond-holdings statement * Non-financial corporation sector = public corp. + private corp.

Compilation ABS (stock) asset of private corp. & Household+NPISH sector ① total asset of the economy minus asset of (general government & financial corp. sector + public corporation)

Compilation ABS (stock) asset of private corp. & Household+NPISH sector (continue) ② estimation using ‘bond-deposit statement’ from securities companies

Valuation at Market Price Compilation Valuation at Market Price Bank of Korea data* Company (3)* * bond price evaluate * price of issue, market price

Compilation ABS (flow) total source of the economy = sum of changes of all SPCs’ liability at issue price* * stock at the end of the period – stock at the end of the previous period total source = total use (of the economy)

Compilation ABS (flow) use of General Government sector & Financial corporation sector & public corporations  changes of ABS at issue price + gain or loss of trading * data : B/S, bond-holdings statement

Compilation ABS (flow) use of private corporations & NPISH+Household sector  estimation using ‘bond-deposit statement’ from securities companies

ABS stock on June 2010 (trillion Won) Statistics ABS stock on June 2010 (trillion Won) Total liability of the economy : 58.9 - Financial corporations : 58.9 ∙ Other financial intermediaries : 58.9

ABS stock on June 2010 (trillion Won) Statistics ABS stock on June 2010 (trillion Won) Total asset of the economy : 58.9 - Financial corporations : 35.6 ∙ DMBs : 18.1 ∙ Insurance companies : 11.1 - General government : 8.1 - Household + NPISH : 10.9