OECD
Working party on financial statistics
2 November 2009
Implementation in France of the new ECB
statistical regulation concerning securitisation
vehicles
Dominique Durant
Outlines
1.
Modernization of the legal framework from the
1988 law until the 2008 law
2.
A new statistical reporting is put in place
3.
First results
1.
Results of the previous reporting
2.
Different types of FVCs already identified
3.
First statistical results
1. Modernisation of the legal framework (1)
According to the 1988 law:
 One legal form for securitisation vehicles (SVs): a common
securitisation fund (FCC or ‘fonds commun de créances’) without
legal personality.
 …managed by a common securitisation fund management
companies authorized by the market regulatory authority (AMF).
… their assets being limited to loans of maturity > 2 years.
 …only issuing ‘FCC unit shares’ which don’t provide to their
owner the right to control the entity. In case of public issuance, the
FCC must be be listed by the AMF.
 Credit enhancement: limited to insurance contracts, guarantee
deposits, oversized collateral, subordination.
1. Modernisation of the legal framework (2)
Developments between 1998 and 2008
 FCC allowed to buy loans of maturity ≤ 2 years
 FCC allowed to buy loans in subsequent transactions after the
initial one (reloading)
 FCC allowed to securitise receivables
 FCC allowed to buy doubtful and impaired loans
 FCC allowed to issue commercial paper
 FCC may enter into derivative contracts for hedging purposes
 Credit enhancement extended to guarantees directly attached to
the purchased loans
1. Modernisation of the legal framework (3)
According to the 13 June 2008 law:
 Enlargement towards new players:
 Common funds (FCT) without legal personality but also
incorporated companies
 The managing company may be a common fund management
company or a portfolio management company
 Broader range of securitised assets: SVs may buy insurance risks
(transposition of the reinsurance directive) ; liquid assets may be
of any kind, no longer restricted to deposits or T-Bills
 Active management allowed : SVs may sell purchased loans,
borrow cash, enter into derivative contracts for any purpose
provided that the maximal loss does not exceed the total asset
 Potential development in the future due to new legal
framework
2. A new statistical reporting is put in place (1)
A new legal framework well suited to statistical reporting:
 Definition of SVs in French Law as large as the ECB’s one
(L214-42-1):
Including any type of legal structure (common fund, company)
 SVs engaged in any type of securitisation operation and assuming
various risks: insurance risks, loans, receivables, derivatives,
impaired loans, securities issued by SVs
 SVs may issue equity shares, common fund shares, debt
securities; they may use loans or any other type of financing as well
as derivatives
 SVs required to report to the Banque de France for the purpose
of monetary statistics (art. L214-45)
2. A new statistical reporting is put in place (2)
 ECB regulation on statistical reporting of FVCs dated
19 December 2008 at the stage of IT implementation:
 all French SVs will report
 accounting data, plus security by security portfolio and
issues, plus identification information (ISIN code, type of
securitisation, sector of the seller…)
 quarterly reporting as from 1rst January 2010
 timeliness: T+10 working days regarding identification
information, T+28 working days for accounting data
3.1. Results of the previous reporting
 Previous quarterly reporting on public SVs (49 out of 178 as at
end June 2009)
Public FVCs - Securitised loans by counterpart
end June 2009
19%
29%
1%
51%
Non-financial corporations
Households
General government
Rest of the world
3.2. Different types of SVs already identified (1)
True sale of loans from CIs: 85% of issuances as at end June
2009
Balance sheet
Securitisation vehicule
100 loans
Credit institution
100 securities
-100 loans
-92 borrowing
-8 Own funds
True sale of impaired /doubtful loans are recorded in the SV at
transaction price and not at nominal value. A few cases.
Balance sheet
Securitisation vehicule
100 impaired/dou
btful loans
100 securities
Credit institution/non financial corporations
-80 impaired/dou
btful loans
-80 borrowing
3.2 Different types of SVs already identified (2)
Synthetic securitisation will materialise by a deposit and an entry
in the P&L account, as credit default swaps are not recorded in the
balance sheet. 5 SVs out of 178 as at end June 2009
synthetic securitisation
Balance sheet
Securitisation vehicule
Credit institution
before default
100 deposit
100 securities
100 loans
100 garantee deposit
after default
-20
-20 securities loss
-20 loans loss
-20
P&L
Securitisation vehicule
before default
after default
10 interest
10 interest
20
Credit institution
10 interest
20
compensation for loses
10 interest
3.2 Different types of SVs already identified (3)
Securitisation of insurance risk, explicitly allowed by the 2008 law,
is accounted for as receivables
insurance securitisation
Balance sheet
Securitisation vehicule
Insurance company
before default
100 deposit
100 securities
100 technical reserves
100 guarantee deposit
after default
-20
-20 securities loss
-20 guarantee deposit
P&L
Securitisation vehicule
before default
after default
10 premium
Insurance company
10 interest
10 premium
received
10 premium
20 benefit paid
20
20 benefit paid
3.3 Preliminary results as at end June 2009 (1)
 6 FCC management companies, 5 portfolio management
companies allowed to manage SVs
 178 SVs for a total amount of securitised assets of 121.7 € billion
 175 common funds (118.3 € billion)
 3 conduits (3.4 € billion)
During H1 2009:
15 funds were created with a total amount of 27.4 € billion.
All were cash securitisation.
24 funds were terminated with a total amount of 29 € billion
 Assets securitised by resident CIs represent less than 4.3% of
total loans to resident private sector as at end June 2009
(overestimation due to inclusions of cases where the residents CI
are only one of multiple originators)
3.3 Preliminary results as at end June 2009 (2)
Originator
type of
securisation
type of
issue
country
France
private
synthetic
Non
resident
France
public
Non
resident
France
private
cash
Non
resident
France
public
conduits
Total
Non
resident
public
Total public
Total originated by resident MFI
sector
Bank
others
Bank
others
Bank
others
Bank
others
Bank
others
Bank
others
Bank
others
Bank
others
€bn - end June 2009
securitised
number
assets
% - end June 2009
securitised
number
assets
3
0,9
2
65
39
21
3
25
8
8
1
3
178
1,0
56,1
7,5
3,9
0,6
23,9
4,2
19,2
0,9
3,4
121,7
1
37
22
12
2
14
4
4
1
2
100
1
46
6
3
0
20
3
16
1
3
100
47
90
50,2
80,0
26
51
41
66
3.3 The largest securitisation vehicles in France
name
creation issuance assets as at
date
type
end June
2009
Traditional securitisation of loans originated by credit institutions
FCT Red & Black Guaranted Home Loans
janv.-09 private
19,0
FCC CIF ASSETS 2001-1
apr-01 private
17,5
GE CAPITAL FCC
dec-99 public
14,7
GINKGO 2009-1
apr-99 public
3,8
RETAIL ABS FINANCE NORIA 2008
may-08 public
3,0
ZEBRE 2008-1
nov.-08 public
2,8
FCT RED & BLACK Consumer 2008-1
oct.-08 private
2,7
DOMOS 2008
dec-08 public
2,5
FCC BPI MASTER MORTGAGE 2003
mai-03 private
2,1
CARS ALLIANCE AUTO LOANS France FCC oct.-02 public
1,9
WINDERMERE XII FCC
CARS ALLIANCE AUTO LOANS GERMANY
aug-07 public
oct.-07 public
1,6
1,6
apr-98 ABCP
nov.-08 ABCP
ABCP
1,5
1,0
0,9
Conduits
LMA S.A.
DIRECT FUNDING
ANTALIS S.A.
Thank you for your attention