AUSTRALIAN SECURITISERS COLLECTION Wendy Raedt Australian Bureau of Statistics

Overview  Development of the Australian Securitisation Market  Development of the ABS Survey  Results from the Survey  Recent and Current Issues  Statistical Lessons

Development of Securitisation in Australia  Started in 1980s  State Government agencies  Securitising public housing and public services  1992 first prudential guidelines  Post recession change in participants  Some activity by banks  New entrants (non-traditional lenders) as mortgage market deregulated

Development of Securitisation in Australia (cont)  1995 update guidelines  Definition of ‘clean sale’  Banks activity grew rapidly through to 2007  The market is predominantly backed by residential mortgages  Increase in overseas funding with growth in offshore issues

ABS Securitiser Survey  Rudimentary ‘synthesised’ data collection to support financial accounts compilation  Formalised collection in 1993  Comprehensive survey  Legislative backing

ABS Securitiser Survey (cont)  Several Key Determinants  Aided by discussions with market participants  SNA  Australian prudential guidelines

ABS Securitiser Survey (cont)  Statistical Unit  Single trust or SPV (although consolidation under one manager permitted)  Scope  ALL resident SPVs not reporting to APRA

ABS Securitiser Survey (cont)  Coverage  Limited to those with rating from an independent rating agency  Frequency  Quarterly to support Financial Accounts  Quality  Approaching 95% response  Considered to be good quality

ABS Securitiser Survey (cont)  Data Collected  Income and expenses  Assets by type  Liabilities by type  Derivatives  All data aligned to SNA sector and instrument classifications

Data Releases  2 main publications  Australian National Accounts: Financial Accounts (ABS cat.no )  Assets and Liabilities of Australian Securitisers (ABS cat. no )

Data Releases (cont)

Recent and Current Developments  Internal Securitisation  Also called ‘self securitisation’  Originator sells assets to related SPV and buys all resulting securities  Used primarily for liquidity through repurchase agreements with Central Bank

Recent and Current Developments (cont)  Australian Government Support  Government agency (AOFM) directed to purchase RMBS  Up to 3 separate mandates, most recently January 2010  Purchases up to A$ 16 billion

Recent and Current Developments (cont)  Covered Bonds  Provisions in Australia’s Banking legislation prohibits issuance of covered bonds  Several attempts over recent years to change this have been rejected  Revived attempts currently underway due to recent explicit government guarantee of deposits

Statistical Lessons  Imperative to remain aware and up to date on emergence of innovations  Australia’s securitisation survey example of this

Statistical Lessons (cont)  Measurement of securities from surveys of assets  Yielded more accurate measure of market value than typically reported face value reported as liabilities

Statistical Lessons (cont)  Reliance on regulatory information may not provide all data needed  Securitisation in Australia mostly outside regulators powers  RBA changed credit aggregates to include securitisation as significant volume of household debt outside depository corporations

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