1 securitisation process in the handbook on securities statistics mr christian dembiermont...
TRANSCRIPT
1
Securitisation process in the Handbook on Securities Statistics
Mr Christian Dembiermont
Presentation at the Workshop on securitisationOECD Working Party on Financial StatisticsMadrid, 28 May 2010
The views expressed are those of the presenter and not necessarily those of the BIS or the WGSD
1
2
Objectives
o Improve information on securities markets
o Develop a conceptual framework for presentation of statistics on different types of securities issued and held
o Consistency with existing international statistical standards
Handbook on Securities Statistics
3
Its scope
o Debt securities issued by institutional units in an economy
o Positions and flows of debt securities issued
o Not a compilation guide
Consistency with existing international statistical standards
o Harmonised with 2008 SNA & BPM6 to promote consistency, transparency and comparability
o Linkages to other international statistical frameworks
Definition of a debt security
o A negotiable financial instrument serving as evidence of a debt
Handbook on Securities Statistics
4
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
Handbook on Securities Statistics: timeline
5
Currency
Maturity
Interest rate
Currency
Maturity
Interest rate
Currency
Maturity
Interest rate
Lo
ca
tio
n o
f is
su
e
Residence of issuer
Domestic market
International markets
Total markets
Total residents
Non-residents
TotalNon-financial corporations
Financial corporations
General government
Households and non-profit
institutions serving
households
Issuing sector
Currency,Maturity, Interest rate& Market
Debt securities issues: stylised presentation table
6
Securitisation results in debt securities for which coupon and principal payments are backed by payments on specified assets or future income streams
o A variety of assets or future income streams may be used securitised
o residential and commercial mortgage loanso consumer loanso corporate loanso government loanso credit derivativeso future revenue.
Definition of securitisation
7
Securitisation process, type 1
Original collateral holder
Investors
T1: Funds
T1: Debt securities
No securitisation corporationNo transfer of assets
8
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
Examples of type 1 securitisation
9
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
Type 1 securitisation characteristics
10
Securitisation process, type 2
Original collateral holder
Securitisation corporation
Investors
T2: FundsT2: Collateral
T2: FundsT2: Debt securities
11
Securitisation process, type 3
Original collateral holder
Securitisation corporation
Investors
T3: FundsT3: Debt securities
T3: CDS premium
T3: Contingent funds after credit event
12
Issuing sector: o Original collateral holder (non-financial corporation
or financial corporation) oro Securitisation corporation (financial corporation)
Type of securitisation debt securities issued:o Covered bondso Mortgage-backed bonds (MBB)o Asset-backed securities (ABS)o Asset-backed commercial paper (ABCP)o Credit-linked notes (CLN)o Colletarised debt obligations (CDO)
Classification of debt securities issued in securitisation schemes
13
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;
European Union definition of securitisation
14
Reconciliation between 2 definitions
o ECB definition narrower than the one in the Handbook of Debt Securities
o ECB definition corresponds to Type 2 and Type 3 securitisation schemes
o Type 1 securitisation schemes are by definition outside the scope of the ECB regulation on statistics
Reconciliation between 2 definitions
o Type 1: on-balance sheet securitisation
o Types 2 and 3: off-balance sheet securitisation
Two definitions of securitisation
15
Handbook on Securities Statistics’ recommendation
o Collection only on the issuer side Data collection
o Type 1: Monetary institutions’ balance sheets
Other financial institutions’ balance sheets
o Types 2 and 3: specific statistical reporting templates
Data collection on securitisation
16
Extended presentation table: types 1 to 3 Residents Non-
residents All
issuers
Issuer
Market, currency, maturity, and interest rate
Non-financial
corporations
Financial corporations
General govern-
ment
House-holds and
NPISH
1.1 Currency 1.2 Maturity 1.3 Interest rate
1. Domestic market
1.4 Memo item: securitisation debt securities
Lo
cati
on
of
iss
ue
2.1 Currency 2.2 Maturity 2.3 Interest rate
2. International markets
2.4 Memo item: securitisation debt securities
3.1 Currency 3.2 Maturity 3.3 Interest rate
3. All markets
3.4 Memo item: securitisation debt securities
Residence of issuer
17
Extended presentation table: types 2 and 3
Residents Non-residents
Financial corporations General government
Issuer
Market
Non-finan-cial
corps.
Central bank
Other money–issuing corps.
Securitisation corps.
Other finan-cial corps.
Central government
Other general government
House-holds and
NPISH
Memo item: public sector
All issuers
1. Domestic market
2. International markets
3. All markets