Assessing securitisation activity in Portugal
Compilation
measurement issues
Assessing securitisation activity
in and
Portugal
Compilation and measurement issues
OECD Workshop on Securitisation, Madrid, 27-28 May 2010
Ana M. de Almeida
Statistics Department
Assessing securitisation activity in Portugal
Compilation and measurement issues
Outline
1. Introduction
2. Legal framework
3. Key features of Portuguese securitisations
4. From raw data to statistics
5. Portuguese securitisations in numbers
6. Data dissemination and institutional reporting
OECD Workshop on Securitisation, Madrid, 27-28 May 2010
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Assessing securitisation activity in Portugal
Compilation and measurement issues
Introduction
• Definition: Securitisation means a scheme whereby a pool of assets is
transferred by its original holder to a Special Purpose Vehicle which
issues debt securities or securitisation fund units and places them next
to investors (normally institutional) to finance the assets’ acquistion
•
Motivation includes funding diversification, credit risk mitigation,
regulatory capital relief and interest rate instruments’ term structure
management with a view to matching assets and liabilities
• Securitisation operations by Portuguese MFIs made their first
appearance in 1997; use of offshore structures and range of asset
classes restricted to consumers’ credit areas, cars acquisitions, leasing
and long-term rentals
OECD Workshop on Securitisation, Madrid, 27-28 May 2010
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Assessing securitisation activity in Portugal
Compilation and measurement issues
Legal framework
• Decree-Law No. 453/99 of 5 November (“Securitisation Law”)
– Legal requirements applicable to loan securitisations
– Constitution and functioning of securitisation vehicles (FTCs and STCs)
• Shortcomings
– Minimum capital requirements applicable to the financial vehicles engaged
in securitisations
– Lack of a clear (and attractive) tax legal framework
• Decree-Law No. 219/2001 of 4 August (“Tax Securitisation Law”)
– Removed withholding tax from Portuguese obligors’ payments to
securitisation vehicles, and from the interest on paper issued by the latter
• Decree-Law No. 303/2003 of 5 December
– Framework for securitising receivables held by the Portuguese State and
other public entities and broadening the scope of securitisable assets
OECD Workshop on Securitisation, Madrid, 27-28 May 2010
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Assessing securitisation activity in Portugal
Compilation and measurement issues
Legal framework
• The Securitisation Law allows for two types of Financial Vehicle
Corporations (FVCs):
– Securitisation Companies (Sociedades de Titularização de Crédito,
or STCs)
– Securitisation Funds (Fundos de Titularização de Crédito, or FTCs)
• Both kind of FVCs are supervised by the CMVM (the Portuguese
securities market commission)
• CMVM grants activity permission and regulates the securitisation
activity
OECD Workshop on Securitisation, Madrid, 27-28 May 2010
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Assessing securitisation activity in Portugal
Compilation and measurement issues
Key features of Portuguese securitisations
• STCs are single purpose, limited liability companies, while FTCs
structures are very similar to that of investment funds; initially, capital
prerequisites of FTCs lower than the STCs ones
• STCs finance their activities by issuing equity and securitisation bonds
– The issue of securitisation bonds, collateralised by securitised loans, is
made by private or public placement in domestic and/or in foreign markets
• To finance loans acquisition FTCs issue securitisation units
– Securitisation units are typically acquired by non-resident financial
vehicles.
• FTCs act as closed entities, while STCs carry out several securitisation
transactions over time
OECD Workshop on Securitisation, Madrid, 27-28 May 2010
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Assessing securitisation activity in Portugal
Compilation and measurement issues
Key features of Portuguese securitisations
Typical securitisation process involving an STC
Simplifid scheme for a
securitisation engaging a
resident STC
Original
debtor
Resident
STC
Originator
Asset flows
Investors
Monetary flows
OECD Workshop on Securitisation, Madrid, 27-28 May 2010
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Assessing securitisation activity in Portugal
Compilation and measurement issues
Key features of Portuguese securitisations
Typical securitisation process involving an FTC
Original
debtor
Simplified scheme for a securitisation
engaging a resident FTC and a nonresident FVC
Resident
FTC
Originator
Asset flows
Non-resident
FVC
Investors
Monetary flows
OECD Workshop on Securitisation, Madrid, 27-28 May 2010
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Assessing securitisation activity in Portugal
Compilation and measurement issues
Key features of Portuguese securitisations
• In the early days, off-balance sheet securitisations were the most
widespread type of securitisation deals
• In 2005, started to change in favour of on-balance sheet
recognition; actually, IAS 39 provided for two different
treatments depending upon whether the originator retained
control of the financial asset following transfer. Where control is
retained (as will be the case in most securitisation transactions),
the financial asset must be recognised to the extent of the
reporting entity’s “continuing involvement”
OECD Workshop on Securitisation, Madrid, 27-28 May 2010
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Assessing securitisation activity in Portugal
Compilation and measurement issues
Key features of Portuguese securitisations
• Recording the two cases of traditional loan securitisations,
involving Portuguese FVCs:
– Off-balance sheet securitisations (loans derecognised):
In the FVC’s balance sheet, loans are
recorded vis-à-vis the original sector
– On-balance sheet securitisations (loans not derecognised):
In the FVC’s balance sheet, loans are
recorded vis-à-vis the originator’s sector
(to circumvent double counting)
OECD Workshop on Securitisation, Madrid, 27-28 May 2010
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Assessing securitisation activity in Portugal
Compilation and measurement issues
From raw data to statistics
• FVCs do not report statistical data to the Banco de Portugal (BdP)
• Both STCs and FTCs have to submit accounting data to the
CMVM, for supervisory purposes
– STCs report
• Audited annual balance sheets
• Semi-annual balance sheet data, in case they issue securities through
public subscription or have quoted securities
– FTCs report monthly data
• Formal agreement between BdP and CMVM
OECD Workshop on Securitisation, Madrid, 27-28 May 2010
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Assessing securitisation activity in Portugal
Compilation and measurement issues
From raw data to statistics
• Credit Institutions and OFIs have to report data to the BdP for
prudential supervision purposes
– When these institutions are originators in a securitisation deal, BdP
can recognize the nature of the securitisations being carried out
• MFI balance sheet data for statistical purposes
– Enables the identification of the nature of the operation: off-balance sheet
/ on-balance sheet securitisations
– and details for high statistical quality standards not covered by accounting
data
OECD Workshop on Securitisation, Madrid, 27-28 May 2010
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Assessing securitisation activity in Portugal
Compilation and measurement issues
From raw data to statistics
• To help identifying the counterpart of the securitised loans,
namely in securitisations originated by Non-financial
corporations, BdP uses:
– Issuance prospectus
– Rating agencies’ pre-sales information
– FTC’s management rules and regulations
OECD Workshop on Securitisation, Madrid, 27-28 May 2010
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Assessing securitisation activity in Portugal
Compilation and measurement issues
From raw data to statistics
• Securities Statistics Integrated System:
– Security-by-security and investor-by-investor database
– Information on all securities issued by Portuguese residents and
securities held by Portuguese or foreign investors and kept in
custody with resident financial institutions
– Identification of the holders of the debt securities and other equity
issued by the Portuguese FVCs
• Balance of Payments data:
– Information on STC securitisation structures
• Identification of possible anticipated amortizations of the securities
issued and placed abroad
OECD Workshop on Securitisation, Madrid, 27-28 May 2010
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Assessing securitisation activity in Portugal
Compilation and measurement issues
From raw data to statistics
Data flow
Complementary
information sources
Accounting
data
STC issuance
prospectus / FTC
Regulations
MFI balance sheet
Statistical Information
Securities Statistics
Integrated System
Balance of Payments
Dissemination
OECD Workshop on Securitisation, Madrid, 27-28 May 2010
ECB report
(Regulation ECB/2008/30)
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Assessing securitisation activity in Portugal
Compilation and measurement issues
Portuguese securitisations in numbers
Aggregate balance sheet of Portuguese FVCs
OECD Workshop on Securitisation, Madrid, 27-28 May 2010
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Assessing securitisation activity in Portugal
Compilation and measurement issues
Portuguese securitisations in numbers
• First securitisations: FTC in 2001; STC in 2003
• By the end of 2009, number of FVCs in operation:
– 52 (48 FTC and 4 STC)
• Activity:
– Total outstanding loans securitised by Portuguese FVCs amounted to
48 billion euros (34 for FTC and 14 for STC)
• 79% correspond to mortgage credits originated by MFIs
• 10% - 15% correspond to loans originated by Non-financial corporations
OECD Workshop on Securitisation, Madrid, 27-28 May 2010
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Assessing securitisation activity in Portugal
Compilation and measurement issues
Portuguese securitisations in numbers
Proportion of total assets of FVCs on those of the Financial sector
OECD Workshop on Securitisation, Madrid, 27-28 May 2010
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Assessing securitisation activity in Portugal
Compilation and measurement issues
Portuguese securitisations in numbers
Loans’ counterparts, by institutional sector
OECD Workshop on Securitisation, Madrid, 27-28 May 2010
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Assessing securitisation activity in Portugal
Compilation and measurement issues
Portuguese securitisations in numbers
Holders of securities issued by STCS, by institutional sector
OECD Workshop on Securitisation, Madrid, 27-28 May 2010
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Assessing securitisation activity in Portugal
Compilation and measurement issues
Data dissemination and institutional reporting
The Statistical Bulletin of the BdP covers quarterly data since 2001:
OECD Workshop on Securitisation, Madrid, 27-28 May 2010
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Assessing securitisation activity in Portugal
Compilation and measurement issues
Data dissemination and institutional reporting
• As regards the fulfilment of the reporting requirements set forth in Regulation
ECB/2008/30, the Banco de Portugal has been submitting to the European
Central Bank, since February 2010, harmonized data on the FVCs’ balance
sheets
• Based on these statistical data, aggregated results are compiled for the
following three sub-categories: (i) FVCs engaged in traditional securitisation;
(ii) FVCs engaged in synthetic securitisation; and (iii) other FVCs
• Data refer to end-of-quarter outstanding amounts, and financial transactions
are provided on a quarterly basis.
OECD Workshop on Securitisation, Madrid, 27-28 May 2010
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Assessing securitisation activity in Portugal
Compilation
measurement issues
Assessing securitisation activity
in and
Portugal
Compilation and measurement issues
OECD Workshop on Securitisation, Madrid, 27-28 May 2010
Thank you for your attention!
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