THE SECURITISATION PROCESS IN THE OECD COUNTRIES:
PROPOSAL FOR A NEW QUESTIONNAIRE TO BETTER
UNDERSTAND THIS PHENOMENON
Miguel Ángel Menéndez
Beatriz Sanz
WORKING PARTY ON FINANCIAL STATISTICS
OECD
París, 13-14 October 2008
STATISTICS DEPARTMENT
Securitisation in the OECD countries
Contents
1. The first questionnaire. Updated version
2. The need for further details
3. The structure of a new questionnaire
4. Table requested with statistical data
5. Proposed follow-up schedule
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1. The first questionnaire. Updated version
 The WPFS in its October 2006 meeting agreed to launch a questionnaire to
identify the securitisation being carried out in OECD countries
[COM/STD/DAF(2006)2]. Its aim was to investigate:
 the existence, organisation and extent of securitisation
 the availability of data and the sources
 the treatment of securitisation in national accounts
 The results were presented to the WPFS in its October 2007 meeting
[COM/STD/DAF(2007)9] and the main conclusions were:
 the need for more information on SPEs
 the need to collect more quantitative and qualitative information
 Updated version of the results. Summary of responses:
[COM/STD/DAF(2008)8]
 only Iceland and Japan missing
 the aim is to have a live updating process
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2. The need for further details
• The agreed follow-up in 2007 has been affected by the financial turmoil:
 securitisation and transfer of credit risk are complex processes
 an in-depth understanding of the phenomenon of securitisation is an
essential and complex task
 close international co-operation seems to be necessary
• As a consequence:
 The proposal of a new questionnaire to obtain further information to
supplement that provided by the first one, seems the best way
forward, and
 The request to complete a standardised table with very full
information on the SPEs engaged in the securitisation processes
[COM/STD/DAF(2008)10]
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3. The structure of a new questionnaire
I. Questions related to “traditional securitisation”, when the
originator is not allowed to derecognise the loan:
a) The precise heading on the asset side of the SPEs’ balance
sheet
b) The mechanisms to avoid a single loan being recorded twice
c) The name of the heading on the liability side of the
originators’ balance sheet
d) If the heading on the liability side of the originators’ balance
sheet is “deposits”: the consolidation criterion followed when
the originator buys the securities issued by the SPE
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3. The structure of a new questionnaire
II. Question related to “synthetic” securitisation:
e) How “synthetic” securitisation is performed
III. Questions related to the structure of the SPE’s liabilities:
f) Issues of short-term securities that are continually re-issued
by the SPEs
g) Commitment by the originator to provide financial support to
the SPE if necessary and the provision of lines of liquidity to
the SPE
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3. The structure of a new questionnaire
IV. Questions related to securitisation involving the participation of two
SPEs (one issues the securities to provide the funds to the SPE that
acquires the assets from the originator):
h) The existence of this type of securitisation
i) Residency of the SPE issuing the securities
j) Identification and description of similar types of securitisation
k) Cases in which the period between the acquisition by an SPE of the
assets and the issuance of securities is lengthy
l) If there are such cases: examples of the length of the period
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3. The structure of a new questionnaire
V. Question related to the securitisation scope and definitions:
m) Role of international organisations in establishing
homogeneous terminology, concepts and definitions for
institutions, transactions and instruments involved in
securitisation
VI. Questions related to the valuation of assets and liabilities linked
to securitisation:
n) Valuation rules and the need for homogeneous valuation
criteria
o) Treatment of write-offs and write-downs by the SPEs
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3. The structure of a new questionnaire
VII. Question related to the revised version of the SNA
p) Guidance notes complementing the SNA, setting out in detail
all the known securitisation alternatives and the
recommended way of recording them in the SNA, with some
examples of valuation criteria
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4. Table requested with statistical data
SPE’s Balance Sheet (year-end 2005-2007)
Assets
(Units in national currency)
Total
Rest of the
world
Households
General
government
Other financial
institutions
Banks
Non-financial
corporations
ASSETS
Currency and Deposits
Seurities other than shares: short term
Securities other than shares: long-term
Loans
Shares and other equity
Financial derivatives
Other assets
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4. Table requested with statistical data
SPE’s Balance Sheet (year-end 2005 to 2007)
Liabilities
(Units in national currency)
Total
Rest of the
world
Households
General
government
Other financial
institutions
Banks
Non-financial
corporations
LIABILITIES
Deposits
Seurities other than shares: short term
Securities other than shares: long-term
Loans
Shares and other equity
Financial derivatives
Other liabilities
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5. Proposed follow-up schedule
• End-October 2008: delegates send further proposals to enlarge or
amend the questionnaire and the table requested
• Mid-November 2008: OECD launches the final versions of the
questionnaire and of the table
• Mid-February 2009: delegates send their replies to the
questionnaire and the data requested (by fully or partially
completing the table)
• October 2009: a summary of the results will be presented at the
next WPFS meeting
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THANK YOU FOR YOUR ATTENTION
STATISTICS DEPARTMENT