Brief overview of the European Central Bank (prospective) statistical requirements OECD WPFS meeting Paris, October 2008 MFS/08/203.1

2 Overview Securitisation: how much do we know? The integrated approach to securitisation statistics Legal framework for ECB/ESCB statistics Draft FVC Regulation in detail Items for discussion

3 FVC data 7,907 / 43% ESF only 6,510 / 45% FVC only 3,997 / 28% ESF & FVC 3,910 / 27% Securitisation: how much do we know? (1/3) ESF data 10,420 / 57% Total: 14,417 6/21

4 Securitisation: how much do we know? (2/3) Amounts outstanding (EUR billion) Nb. ISINs

5 Securitisation: how much do we know? (3/3) Amounts outstanding (EUR billion) 15/21

6 The integrated approach to securitisation statistics (1/3) Objectives: –Analytical enhancement to monetary analysis and operations Traditional securitisation affects the balance sheet of banks (MFIs) and may blur the amounts lent to Non-Financial Corp. and Households Synthetic securitisation may impact MFI liabilities (deposits and short term securities issued) Developments in issuance and trading of ABS, RMBS, ABCP, etc. severely affect the liquidity conditions in the money market –Enhancements to financial stability analysis Use of Securitisation vehicles - ‘Financial Vehicle Corporations’ – has been instrumental in transferring risks in a rather opaque way Losses have, in cases, been incurred by (originating) banks; in other cases by holders of ABS, RMBS, CDOs, etc. Source: Securitisation in the euro area, ECB Monthly Bulletin, Febr. 08

7 The integrated approach to securitisation statistics (2/3) Merits and costs procedure –Run by the European System of Central Banks (ECB + EU National Central Banks) –In liaison with the industry concerned –To assess the merits for policy conduct, the feasibility and the associated costs (development and running; for reporting agents and compilers) Outcome: –focusing the user requests on essential requirements –optimising the data collection, e.g. between (MFI) originators and FVCs –while minimising reporting burden on reporting agents using alternative sources where possible, e.g. public or supervisory data; granting derogations (e.g. for small entities) cross-border data exchange among NCBs, where appropriate.

8 The integrated approach to securitisation statistics (3/3) FVCs Public or supervisory data sources Monetary Financial Institutions (MFIs)

9 The legal framework for ECB/ESCB statistics Treaty Commission ESCB/ECB Statute Other European institutions Treaty Art. 285, and ESCB/ECB Statute (Art. 5) EP and Council Regulations Commission’s Regulations Council Regulation 2533/98 ECB Regulations or Guidelines EP and Council Directives Institutions: Legal acts:

10 The draft FVC Regulation (1/7) Article 1: Definitions - ‘FVC’ means an undertaking whose principal activity meets the following criteria: (a) it is intended to carry out, or carries out, one or more securitisation transactions and is insulated from the risk of bankruptcy or any other default of the originator; and (b) issues, or is intended to issue, securities, securitisation fund units, other debt instruments and/or financial derivatives and/or legally or economically owns, or may own, assets underlying the issue of securities, securitisation fund units, other debt instruments and/or financial derivatives that are offered for sale to the public or sold on the basis of private placements; and (c)is constituted pursuant to national or Community law […] Monetary Financial Institutions (e.g. banks) and Investment Funds are excluded - ‘Originator’ means the transferor of the assets, or a pool of assets, and/or the credit risk of the asset or pool of assets to the securitisation structure

11 The draft FVC Regulation (2/7) Article 1: Definitions - ‘ securitisation’ means a transaction or scheme whereby an asset or pool of assets is transferred to an entity separate from the originator created or serving 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 separate from the originator created or serving 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 or serving the purpose of the securitisation. This is accomplished by the transfer of ownership of the securitised assets from the originator or through sub-participation; 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

12 The draft FVC Regulation (3/7) Article 2: Reporters are FVCs resident in euro area Member States - Exemption may be granted where information is available through other channels (see Art. 5) Article 3: List of FVCs for statistical purposes - FVCs subject to the Regulation are recorded in a list, to be made publicly available by the ECB (and updated on a quarterly basis) - Timely self-declaration by FVC, irrespective of its reporting obligations

13 The draft FVC Regulation (4/7) Article 4: Quarterly statistical reporting requirements and reporting rules - End-quarter stocks, financial transactions and write-offs/write-downs (or possibly investors report such as Principal Deficiency Ledger) - In general, IAS/IFRS or local GAAPs, depending on local rules - Financial assets and liabilities reported in line with Annex II; loans and deposits at nominal value. - Reporting table provided in Annex I

14 The draft FVC Regulation (5/7) Reporting scheme

15 The draft FVC Regulation (6/7)  Article 5: Derogations -Loans originated by euro area MFIs: FVCs may be granted derogations when data are collected from MFIs who continue to service these loans -NCBs may grant derogations to small FVCs who then report only securities issued. FVCs subject to the full reporting requirements need to cover at least 95% of the total of issued securities -Reporting population may be exempted from all or sub-set of requirements, if data can be derived, according to comparable statistical standards, from public, supervisory or other statistical data sources;  Exempted FVCs to report their annual financial statement within 6 months after end of reference period (or at the earliest point in time thereafter, in accordance with the applicable national legal practices);  Exemptions are granted as long as conditions are fulfilled;  Ad hoc reporting requirements are possible.

16 The draft FVC Regulation (7/7)  Article 6: Timeliness - NCBs send data to the ECB on 28 th working day after reference quarter – up to each NCB to decide how much time they need for data processing  Article 9: First reporting - First reporting for end 2009 data – to take place in early Publication of FVC Regulation planned for end-2008

17 Proposed items for discussion 1.Definition of FVCs in the context of the 2008 SNA 2.Securitisation statistics: traditional vs. synthetic securitisation 3.Securitisation statistics: for macro-economic vs fin. stability analysis 4.Treatment of private placements 5.Integrated approach: originators and/or securitisation vehicles 6."Other" category of securitisation (neither traditional, nor synthetic) 7.ESA residency and sector classification of FVCs