Working Party on Financial Statistics OECD Working Party on Financial Statistics 29 November - 1 December 2010 Summary record of the Workshop on Securitisation, held in Madrid on 28-29 May 2010 Omar Birouk

Outlines The reasons for holding the Workshop on securitisation. Overview of the securitisation process The role of statisticians in the securitisation process Thoughts about securitisation

1. The reasons of holding the Workshop on securitisation. Securitisation has become a major phenomenon in the way of financing economic activities in many countries and areas There is a need to better understand the features of the securitisation process due to its : Growing impact on financial credit and monetary analysis Important role in the transfer of risk Effects on financial intermediation and financial stability To better assess securitisation activities across the OECD countries, the collected information must be comparable. This calls for : Common definition of instruments Dissemination of common templates

2. Overview of the securitisation process (1). The securitisation process was described from the standpoint of many stakeholders including analysts, supervisors and investors. It has been illustrated with respect to the pre-crisis period… The driving factors of the boom in securitisation ( the pre-crisis period 2000- August 2007) were pointed out from macro-financial perspective: Global imbalances caused a global “savings glut” Emerging countries registered since the early 2000s a trade surplus While developed countries saw their deficit widening Low rates facilitated the expansion of credit Some key figures from the spanish market illustrated the expansion of the securitisation market.

2. Overview on the securitisation process (2) …analysed with regard to the current economic situation The factors for the collapse in the ABS market were: Lack of investor confidence The exit of SIVs and ABCP conduits Uncertainty regarding credit quality Some key aspects of the securitisation process were highlighted: Distinction of ABS market / Covered bond market Financing of Small and medium enterprises Accounting treatment of securitisation

2. Overview on the securitisation process (3) …and discussed to restore the ABS market for the future There is some initiatives that were pointed out : The enhancement of the information in the ABS market The minimum retention rules supported by G20 But we have to weight the pros and cons of enhancing information in the ABS market by doing a good balance between disclosure and efficiency The real need is to have a better information to enhance four aspects of data disclosure : transparency, accessibility, comparability and granularity

3 The role of the stasticians in the secutitisation process (1) Trying to delimit the securitisation phenomenon The cases exposed by the Netherlands and Ireland highlighted the difficulty of : Having thorough information on securitisation Assessing the complexity of some securitisation transactions So an effort should be made to give a general framework capable to encompass the securitisation process The handbook of securities is a step towards this general framework but its definition of securitisation is not consistent with the ECB’s one. A common definition of securitisation calls for a further work

3 The role of the stasticians in the process (2) Trying to collect and integrate data The collection of data on securitisation is done in different ways according to the domestic statistical framework : Through the new ECB statistical framework for the euro area countries Through central securities depository for some countries as Japan or a survey as in Australia Through new types of securitisation transactions such as securitisation of insurance risk The integration of data on securitisation into the financial accounts remains difficult for non-standard transactions and needs a consultation among countries.

4 Thoughts about securitisation At the roundtable, it was stressed out : The need to harmonize terms and to have common methodology and uniform dissemination of statistics with the active participation of international organisations (IOs) The need to exchange information between countries directly or through IOs The importance for the future of securitisation to enhance : Transparency Harmonisation Cooperation

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