Recently released ECB
statistics on securitisation
Jani Matilainen
DG-Statistics / ECB
OECD Working Party on Financial Statistics
Paris, 24 October 2011
Overview

European system of central banks’ data user needs

Monetary financial institutions’ statistical requirements

Financial vehicle corporations’ statistical requirements

Overview of recent data

Current issues
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ESCB user needs
 Data on securitisation are needed to…
 get reliable interpretation of monetary financial institutions
(MFIs) credit data:
 adjust flows and growth rates for loans which are
securitised or transferred
 follow loan repayment patterns irrespective of
securitisation
 monitor securitisation process itself and its impact on:
 the creation of money and credit
 capital markets
 financial stability
 understand the financial intermediation role played by
financial vehicle corporations (FVCs)
3
Scope of new statistical requirements
 Reporting by all MFIs and FVCs resident in the 17 euro area countries
 Integrated approach to reduce reporting burden for MFIs & FVCs:
 New statistical requirements to be met as far as possible by MFI
balance sheet data, and
 FVC balance sheet data to fill in the gaps.
 MFI balance sheet data cover
 MFI loan securitisation through FVCs;
 Other MFIs loan transfers without intermediation of FVCs
 FVC balance sheet data (addressed only to euro area FVCs) cover
 securitised loans originated by non-MFIs,
 securitised assets other than loans
 synthetic securitisation
 FVC liabilities
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Statistical requirements for MFIs (1)
 Included in Regulation ECB/2008/32, first reporting date reference
December 2009
Cover:
1. Traditional MFI loan securitisation.
2. Other MFI loan transfers to/from non-MFIs.
Do not cover:
Synthetic loan securitisation (covered in FVC statistics)
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Statistical requirements for MFIs (2)
a) Net flows of loans securitised or otherwise transferred
(Net flows = loan disposals minus acquisitions)
at monthly frequency, by
 type of the transferee (FVC, o/w euro area, other entities)
 residency of loan’s debtor (domestic, other euro area, rest of the world)
 sector of loan’s debtor (gen. gov., other financial intermediaries, insurance
corporations and pension funds, non-financial corporations, households)
at quarterly frequency, by
 loan’s purpose (consumer credit, housing loans, other, other-sole
proprietors)
 loan’s original maturity (only for non-financial corporations’ loans).
 Reporters must distinguish transactions with impact on the balance
sheet from the rest
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Statistical requirements for MFIs (3)
b) For MFIs acting as servicers in a loan securitisation:

quarterly nominal amount outstanding of all loans being
serviced for all items in (a), distinguishing total and ‘of which’
serviced for a euro area FVC
 backbone of the ‘integrated approach’ – data exchange
between NCBs as input into FVC statistics
c) For MFIs adopting IAS39 or similar accounting rules in their
individual accounts:

nominal amounts outstanding of securitised loans that have
not been derecognised (to avoid double counting when
combining FVC and MFI statistics)
d) Other requirements:

holdings of FVC securities, deposits placed by FVCs
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MFI loan securitisation since end-2009 (1)
€ billions
60
Not derecognised from MFI balance sheet
Derecognised - Euro area FVC as counterparty
50
Derecognised - Non-euro area FVC as counterparty
40
Derecognised - other counterparty
30
20
10
0
-10
-20
-30
Jan
Feb Mar Apr May Jun
Jul
2010
Aug Sep
Oct Nov Dec
Jan
Feb Mar Apr May Jun
Jul
Aug
2011
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MFI loan securitisation since end-2009 (2)
Cumulative transactions by country
€ billion
70
60
50
BE
DE
40
30
GR
ES
FR
20
IE
IT
10
0
LU
NL
AT
-10
PT
-20
-30
Note: data in this chart are non-public
9
MFI loans adjusted for securitisation (1)
Transactions in loans to private sector
€ billions
120
100
80
Securitisations and other loan transfers
Transactions (unadjusted)
Transactions adjusted for securitisations and other loan transfers
60
40
20
0
-20
-40
Jan
Feb
Mar
Apr
May
Jun
2010
Jul
Aug
Sep
Oct
Nov
Dec
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
2011
10
MFI loans adjusted for securitisation (2)
Annual growth rates of MFI loans
loans to households
loans to non-financial corporations
loans to households, adjusted
loans to non-financial corporations, adjusted
4
3
2
1
0
Jan. 2010
-1
Apr. 2010
Jul. 2010
Oct. 2010
Jan. 2011
Apr. 2011
Jul. 2011
-2
-3
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Statistical requirements for FVCs (1)
 New statistical Regulation (ECB/2008/30)
 Each NCB may choose one of three compilation approaches:
 Direct reporting by the resident FVCs
 Direct reporting by the resident FVCs complemented by
reporting of loans serviced by MFIs (‘integrated approach’)
 Compilation of FVC data using other statistical, public or
supervisory data sources
 Quarterly frequency, transmission to ECB t+28 working days
 First reporting referred to Q4 2009
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Statistical requirements for FVCs (2)
 Data compiled separately for traditional, synthetic and other
FVCs
 Stocks and flows of
a)
securitised loans by maturity / sector / residency of originator;
- loans originated by MFIs also by residency of debtor
b)
holdings of securities other than shares, by maturity/ sector/
residency of issuer;
c)
d)
e)
f)
deposits and loan claims, by sector / residency of counterpart
shares and other equity identifying inter-FVC positions
debt securities issued, by maturity;
totals for other balance sheet items
 Write-offs/write-downs of securitised loans
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Residency of euro area FVCs
€5 billion
DE
NL
IE
BE
LU
FR
AT
IT
ES
PT
Outstanding amount of debt securities issued, Q2 2011
14
Nature of securitisation of euro area FVCs
Total assets of euro area FVCs by type
Synthetic
€99 billion
Other
€116 billion
Traditional
€1991
billion
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Assets of euro area FVCs
Breakdown of assets
Other
securitised Other
assets assets
Shares and 4%
2%
other equity
2%
Securities
other than
shares
11%
Securitised loans by originator
Securitised
loans
66%
Euro area
NFC and
General
Government
2%
Euro area
OFI and ICPF
9%
Non-euro
area
8%
Euro area
MFI
81%
Deposits
and loan
claims
15%
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Liabilities of euro area FVCs
Breakdown of liabilities
Other
Capital and liabilities
9%
reserves
Loans and 1%
deposits
received
6%
Debt securities issued transactions
€ billions
40
Debt
securities
issued
84%
20
0
-20
-40
-60
-80
-100
Q1
Q2
Q3
2010
Q4
Q1
Q2
2011
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Current issues
 ECB Workshop on securitisation and FVC statistics held on 6
October
 Presentations by the national central banks on compilation approaches
 Discussion on conceptual issues
 Analysis of data quality issues
 Preparation of documents providing guidance for compilers
 Extended data releases
 euro area breakdown traditional / synthetic / other
 Eurosystem decision on dissemination of national data
 Discussion on alternative methods for adjusting for securitisations
on MFI balance sheet
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Further information
 FVC press releases:
www.ecb.europa.eu/press/pr/stats/fvc/html/index.en.html
 Data published on ECB’s Statistical Data Warehouse:
http://sdw.ecb.europa.eu/browse.do?node=9484280
List of FVCs:
www.ecb.europa.eu/stats/money/mfi/corporation/html/index.en.html
 FVC Regulation:
www.ecb.europa.eu/ecb/legal/pdf/l_01520090120en00010013.pdf
 BSI Regulation (Securitisation requirements Annex 1, Part 6):
www.ecb.europa.eu/ecb/legal/pdf/l_01520090120en00140062.pdf
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