Securitisation process in the Handbook on Securities Statistics

1
Securitisation process in the Handbook on
Securities Statistics

• Mr Christian Dembiermont
• Presentation at the Workshop on securitisation
• OECD Working Party on Financial Statistics
• Madrid, 28 May 2010
• The views expressed are those of the presenter
  and not necessarily those of the BIS or the WGSD

1
2
Handbook on Securities Statistics

• Objectives
• Improve information on securities markets
• Develop a conceptual framework for presentation
  of statistics on different types of securities
  issued and held
• Consistency with existing international
  statistical standards

3
Handbook on Securities Statistics

• Its scope
• Debt securities issued by institutional units in
  an economy
• Positions and flows of debt securities issued
• Not a compilation guide
• Consistency with existing international
  statistical standards
• Harmonised with 2008 SNA BPM6 to promote
  consistency, transparency and comparability
• Linkages to other international statistical
  frameworks
• Definition of a debt security
• A negotiable financial instrument serving as
  evidence of a debt

4
Handbook on Securities Statistics timeline

• June 2007 recommendations in CGFS report
• October 2007 recommendations in G8 report
• November 2007 reconvened IMF Working Group on
  Securities Database (WGSD)
• March 2008 IFC workshop in Washington on
  Challenges to improve global comparison of
  securities statistics (see IFC Publication on )
• Upon general demand BIS-ECB-IMF took joint
  initiative to develop Handbook on Securities
  Statistics (HSS), initially (Part I) to cover
  debt securities issues
• May 2009 Part 1 of the Handbook on statistics of
  debt securities issues has been published (see
  http//www.imf.org/external/np/sta/wgsd/hbook.htm)
  
• March 2010 first draft of Part 2 on debt
  securities holdings prepared by the BIS, the ECB
  and the IMF has been discussed by the Review
  Group
• Plan to publish Part 2 of the Handbook by June
  2010
• Part 3 of the Handbook will cover equities
  statistics and is expected to be finalised by end
  2011

5
Debt securities issues stylised presentation
table
6
Definition of securitisation

• Securitisation results in debt securities for
  which coupon and principal payments are backed by
  payments on specified assets or future income
  streams
• A variety of assets or future income streams may
  be used securitised
• residential and commercial mortgage loans
• consumer loans
• corporate loans
• government loans
• credit derivatives
• future revenue.

7
Securitisation process, type 1
Original collateral holder
T1 Funds
No securitisation corporation No transfer of
assets
T1 Debt securities
Investors
8
Examples of type 1 securitisation

• Debt securities issued under similar schemes as
  Type 1
• Pfandbriefe (Germany)
• Obligations foncières (France)
• Obbligazioni bancarie garantite (Italy)
• Lettres de gage hypothécaires and lettres de gage
  publiques (Luxembourg)
• Obrigações hipotecárias and obrigações
  hipotecárias sobre a sector público (Portugal)
• Cédulas hipotecarias and cédulas territoriales
  (Spain)
• Realkreditobligationer (Denmark)
• Mainly continental Europe for legal reasons
• Now being promoted in other countries, incl. US

9
Type 1 securitisation characteristics

• There is no transfer of the assets to a special
  purpose entity
• Assets are identified and ring-fenced as per
  local law, and are placed as a security for the
  bonds
• In the event of bankruptcy of the mortgage
  originator, a general secured lending law or a
  special law relating to the covered bonds grants
  the bondholders recourse against the pool of
  mortgages over which security interest had been
  created
• In the event of defaults on the mortgages,
  investors still have a recourse against the bond
  issuer

10
Securitisation process, type 2
Original collateral holder
T2 Funds
T2 Collateral
Securitisation corporation
T2 Funds
T2 Debt securities
Investors
11
Securitisation process, type 3
Original collateral holder
T3 CDS premium
T3 Contingent funds after credit event
Securitisation corporation
T3 Funds
T3 Debt securities
Investors
12
Classification of debt securities issued in
securitisation schemes

• Issuing sector
• Original collateral holder (non-financial
  corporation or financial corporation) or
• Securitisation corporation (financial
  corporation)
• Type of securitisation debt securities issued
• Covered bonds
• Mortgage-backed bonds (MBB)
• Asset-backed securities (ABS)
• Asset-backed commercial paper (ABCP)
• Credit-linked notes (CLN)
• Colletarised debt obligations (CDO)

13
European Union definition of securitisation

• ECB regulation (EC) No 24/2009 of the ECB
  concerning statistics on the assets and
  liabilities of financial vehicle corporations
  engaged in securitisation transactions
  (ECB/2008/30)
• Securitisation means a transaction or scheme
  whereby an asset or pool of assets is transferred
  to an entity that is separate from the originator
  and is created for or serves the purpose of the
  securitisation and/or the credit risk of an asset
  or pool of assets, or part thereof, is
  transferred to the investors in the securities,
  securitisation fund units, other debt instruments
  and/or financial derivatives issued by an entity
  that is separate from the originator and is
  created for or serves the purpose of the
  securitisation, and
• (a) in case of transfer of credit risk, the
  transfer is achieved by
• the economic transfer of the assets being
  securitised to an entity separate from the
  originator created for or serving the purpose of
  the securitisation, or
• the use of credit derivatives, guarantees or
  any similar mechanism and
• (b) where such securities, securitisation fund
  units, debt instruments and/or financial
  derivatives are issued, they do not represent the
  originator's payment obligations

14
Two definitions of securitisation

• Reconciliation between 2 definitions
• ECB definition narrower than the one in the
  Handbook of Debt Securities
• ECB definition corresponds to Type 2 and Type 3
  securitisation schemes
• Type 1 securitisation schemes are by definition
  outside the scope of the ECB regulation on
  statistics
• Reconciliation between 2 definitions
• Type 1 on-balance sheet securitisation
• Types 2 and 3 off-balance sheet securitisation

15
Data collection on securitisation

• Handbook on Securities Statistics recommendation
• Collection only on the issuer side
• Data collection
• Type 1 Monetary institutions balance sheets
• Other financial institutions
  balance sheets
• Types 2 and 3 specific statistical reporting
  templates

16
Extended presentation table types 1 to 3
17
Extended presentation table types 2 and 3