1. Market Developments Allan Tomas, Chief, Financial and Wealth Accounts November 2 nd 2009 Securitization Activity in Canada

2. 18/05/2015 Statistics Canada Statistique Canada 2 Evolution of activity in Canada  Phase I: inception, NHA MBS  Phase II: moderate growth, IABS  Phase III: strong growth, traditional assets  Phase IV: strong growth, layering and synthetic  Phase V: credit crunch, no growth except for NHA MBS (strong growth)

3. 18/05/2015 Statistics Canada Statistique Canada 3 Investors Canada Mortgage and Housing Corporation Debtors principal and interest proceeds NHA MBS principal and interest may sell NHA MBS Central Payor and Transfer Agent Investment Dealer guarantee Lending Institution National Housing Act Mortgage Backed Security (NHA MBS) Program

4. 18/05/2015 Statistics Canada Statistique Canada 4 Proceeds Traditional asset-backed security transaction: using a Special Purpose Entity/Vehicle (SPE/SPV)

5. 18/05/2015 Statistics Canada Statistique Canada 5 Total financial assets of Issuers of Asset-Backed Securities

6. 18/05/2015 Statistics Canada Statistique Canada 6 Securitized mortgages

7. 18/05/2015 Statistics Canada Statistique Canada 7 Securitized consumer credit receivables

8. 18/05/2015 Statistics Canada Statistique Canada 8 Securitized commercial loans and leases

9. 18/05/2015 Statistics Canada Statistique Canada 9 Non credit market financial assets of Issuers of Asset-Backed Securities

10. 18/05/2015 Statistics Canada Statistique Canada 10 Outstanding debt of issuers of asset backed securities

11. 18/05/2015 Statistics Canada Statistique Canada 11 Phase V: Financial crisis & credit crunch  Shutdown in Asset-Backed Commercial Paper (ABCP) market  Increase in NHA MBS issuance  Government policy reaction: Insured Mortgage Purchase Program

12. 18/05/2015 Statistics Canada Statistique Canada 12 In Canada, the asset-backed securities short-term paper market shuts down in 2007

13. 18/05/2015 Statistics Canada Statistique Canada 13 Quarterly flows: Change in investor demand

14. 18/05/2015 Statistics Canada Statistique Canada 14 Mortgage asset flows: securitized outside of the NHA MBS program

15. 18/05/2015 Statistics Canada Statistique Canada 15 Quarterly asset flows: securitized consumer credit and commercial loans and leases since mid 2007

16. 18/05/2015 Statistics Canada Statistique Canada 16 Future  Strong growth in securitization in Canada, to the point where financial activity significant … securitization likely to continue and evolve  Continuing data challenges: evolving survey design to capture overall activity and avoid any possibility of double counting  As securitization activity is increasingly consolidated on originators’ balance sheets (IFRS), would SNA recommend a securitization sector or sub-sector?  Coordination of groups looking into on securitization issues – credit market side and securities side  Question: how has securitization activity evolved in other OECD countries, before/result of the financial crisis?