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Statistics DepMarch 2012

C

1. Introduc

In the

charges imp

– FISIM) br

the high vol

Consid

2010), step

activity. The

which loans

The me

reliability of

concerns w

reference ra

days negat

entities (exp

This inv

currency of

maturity, thi

new approa

incorporates

periods of f

Portuguese

Securit

appearance

deals made

restricted to

Betwee

funds as a

balance) an

1 This paper

the views o2 Defined byof 23 Octobe

partment

Compilat

the

ction

wake of the

plicit in the f

rought about

atility of FISI

ering these

s are put for

e most impo

s and deposit

ethod presen

f the results

were already

ates volatility

tive figures

ports and imp

vestigation a

f the operati

is methodolo

ach is a step

s the issue

financial mar

economy.

tisation ope

e in 1997, d

e use of offs

o, e.g. consu

en 2001 and

a vehicle, th

nd the securit

r is authored bof the Banco dy Council Reguer 2002.

tion and

e cases fo

e financial c

inancial inter

t some theor

IM allocation

developmen

rward in the

ortant being

ts are denom

ntly in use in

obtained du

y latent at th

y and the ne

were punctu

ports).

advocates th

ons under e

ogy could als

p forward reg

of maturity a

rkets turbule

rations by

espite of the

shore structu

mers’ credit

2005 the se

e securitised

ties issued w

by Ana M. de de Portugal. Aulation 448/98

measure

or FISIM

crisis, the ap

rmediation a

retically surp

n with conseq

nts, in the c

FISIM comp

the need to

minated.

n the Europe

uring the tria

hat time, spe

eed to impro

ual and mos

he use of dif

evaluation. A

so be taken

garding the m

and currency

nce the prop

Portuguese

e non-existin

ures and the

areas, cars a

curitisations

d assets we

were mostly b

Almeida, M. TAny mistakes o8, of 16 Februa

ement is

and sec

pproach that

activity (Finan

prising outco

quences on t

context of th

putation in or

have differe

ean Union (E

al period of

ecifically the

ove statistica

stly concent

fferent interb

Alternatively,

onwards via

measuring o

y, which are

posed metho

monetary

ng specific r

e range of a

acquisitions,

in Portugal w

ere derecog

bought by no

Teresa Crespoor inaccuraciesary 1998, later

sues for

curitisatio

t has been

ncial interme

omes, like the

the GDP mea

e revised E

rder to have

ent reference

EU)2 follows t

1995 to 199

e instability o

al data sourc

trated in no

bank referenc

in the abse

a a weighted

of the financi

e elements in

od led to eco

financial in

regulation ap

asset classes

leasing agre

were mostly

nised from

on-residents.

o and Sílvia Fs are those of r précised by t

r the fina

on in Po

adopted for

ediation serv

e occurrence

asures.

uropean Sys

a more relia

e rates acco

the findings o

98. Nonethel

of the FISIM

ces. The diss

n-resident F

ce rates con

ence of inco

average of t

al services i

nfluencing ba

onomically ex

nstitutions (M

pplicable. At

s to be sold

eements and

done exclus

the originato

. Santa, and dthe authors.

the Commissi

ancial sec

ortugal 1

r measuring

vices indirect

e of negative

ystem of Acc

able measure

ording to the

of the final r

ess, some o

M output cau

similarity bei

FISIM betwe

nferring the m

ome data by

the interban

ndirectly me

anks decisio

xplainable re

MFIs) made

first, the se

d by the orig

d long-term re

sively using s

or’s balance

does not nece

on Regulation

ctor:

the service

ly measured

e FISIM and

counts (ESA

e of financial

e currency in

report on the

of the actual

used by the

ing, in those

een financial

maturity and

y sector and

k rates. This

easured as it

ons. Even in

esults for the

e their first

ecuritisations

ginators was

entals.

securitisation

e sheet (off-

essarily reflect

n 1889/2002,

e

d

d

A

l

n

e

l

e

e

l

d

d

s

t

n

e

t

s

s

n

-

t


As from

but securitis

remain in t

securities is

2007 the or

From 2

vehicle and

date. The s

were also m

as collatera

2. FISIM

2.1 Me

FISIM m

would have

Regard

discontinuat

financial ac

and the curr

As for t

the funds ra

the type of

reflects the

It is cle

considering

FISIM, sho

concentrate

government

to investors

Thus, t

the inter-ba

the ISDAFIX

The pro

that those r

to the interb

for fixed ra

(EUR), the

3 Interest rate

partment

m 2005 onwa

sation comp

the originato

ssued either

iginators beg

2010 to the p

several ope

securitised a

mainly bough

l to obtain liq

ethodologic

may be defin

been receiv

ding the FIS

tion of the F

ccount, settin

rency breakd

the theory su

ather than th

funding sho

same matur

ear that the

that the refe

uld be the c

e on the inter

t bonds mark

s.

o consider th

nk borrowing

X rates for lo

oposal to us

rates are con

bank market)

ates on inter

Hong Kong

e times outsta

ards the secu

panies began

or’s balance

by securitisa

gan to buy th

present, the s

erations prev

assets remai

ht by the orig

quidity next to

cal framew

ned as the di

ved/paid if a r

SIM methodo

ISIM compu

ng the intern

downs in the

upporting the

he cost of fin

uld exist. We

rity, currency

selection of

erence rate s

cost of reinv

rbank marke

ket price can

he maturity a

g and lending

ong term ope

se ISDAFIX r

nsidered a b

) and also be

rest rate swa

g dollar (HKD

nding amount

uritisations w

n to gain mo

e sheet (on-

ation funds o

hemselves th

securitisation

viously done

ined mostly

ginators. Mos

o the Europe

work

fference betw

reference rat

ology, the re

tation for the

nal and the e

computation

e choice of th

nancing shou

e should con

, and risk of

f the referen

should meas

vesting it in

t rates as op

n be driven b

and the curre

g rates, spec

erations.

rates as the

enchmark in

ecause swap

aps worldwid

D), the Japa

t of loans/depo

were still mos

ore and mor

-balance), a

or companies

he issued sec

ns were done

by securitisa

in the origin

st of these or

ean Central B

tween the inc

te were appl

revised ESA

e Central Ba

external refe

n and exclud

he reference

uld be consid

nsider the op

the operatio

nce rate is c

sure the oppo

the same in

pposed to bo

by their relativ

ency mismat

cifically the E

reference ra

n interbank o

p markets ar

de, providin

anese yen (J

osits at end of

stly done us

re importanc

s a conseq

s were still m

curities.

e exclusively

ation funds w

nator’s balan

riginators we

Bank (ECB).

come actuall

ied.

A already en

nk and the r

erence rates

ding FISIM be

rate, our con

dered, since

pportunity co

ns.

crucial for th

ortunity cost

nstrument (l

onds rates. In

ve illiquidity d

tch of banks’

Euribor intere

ate for long t

operations (in

re rather liqu

g average m

JPY), the Br

f period.

ing securitisa

ce, the secu

uence of re

ostly bought

y using secur

were redeem

nce sheet an

ere MFIs whi

y received/p

ncompasses

estructuring

by consider

etween finan

nviction is tha

a similar tre

ost of funds,

e computati

of funds, wh

oans and de

n particular, o

due to sever

operations,

est rate for sh

term operatio

ncorporating

uid. ISDAFIX

mid-market s

ritish pound

ation funds a

uritised asset

egulatory ch

t by non-resi

ritisation com

med before th

nd the issue

ich used thes

paid3 and the

the followin

of the Centr

ring namely

ncial institutio

at the opport

eatment irres

i.e. an inter

on of FISIM

hich, in the f

eposits), we

one should c

ral regulation

our suggest

hort term op

ons is based

credit prem

X is a leading

swap rates f

(GBP), the

2/17

as a vehicle,

ts started to

hanges. The

dents, but in

mpanies as a

he stipulated

ed securities

se securities

income that

ng changes:

ral Bank non

the maturity

ons.

tunity cost of

spectively of

rest rate that

M. Therefore,

ramework of

e propose to

consider that

ns applicable

tion is to use

erations and

d on the fact

ium inherent

g benchmark

for the euro

Swiss franc

7

,

o

e

n

a

d

s

s

t

:

n

y

f

f

t

,

f

o

t

e

e

d

t

t

k

o

c


(CHF) and

Thomson R

The fol

comparing i

2.2 Eff

The da

19 Decemb

institutions s

March 2009

deposits an

Althoug

accounting

compilation

stocks outs

counterpart

2.3 Re

In Port

the comput

the EURFIX

2.4 Re

Alterna

maturity, w

computation

and currenc

Smc stands fo

an individual

are given by

2.5 La

Consid

and deposit

partment

the U.S. do

Reuters and B

lowing sectio

it with the ap

fective rate

ata source fo

ber 2008 (EC

sector. With

9 (ECB/2009

d loans vis-à

gh realising

data (flows/

of interest i

tanding. The

sectors whic

eference ra

ugal, the op

ation of FIS

X 3 and EUR

eference ra

atively, in the

e analysed

n of a weigh

cy. The refer

or the outstand

market rate -

the respective

gged refer

ering that an

ts interest, w

llar (USD), a

Bloomberg.

on evaluates

pproach that

e – Data so

or stocks on

CB/2008/32)

regard to da

/7), concern

à-vis househ

that accoun

stocks) is c

income rece

e MIR statist

ch however r

te - Multipl

erations cov

IM, since we

RFIX 5 for ope

te - Single

e absence of

the possibil

hted average

rence rate co

ding amount o

- rmc - is assign

e Smc.

rence rates

n attribute of

we explored th

at selected m

s the outcom

takes a sing

ources

loans and d

), concerning

ata on intere

ing statistics

olds and non

nting flows

compatible w

ivable/payab

tics only em

represent alm

le referenc

vered by the

e only need

erations, res

weighted a

f interest inc

ity of using

e the informa

ould be comp

of each operat

ned. Therefore

s

this kind of

he possibility

maturities on

me of using d

le reference

eposits was

g the conso

est rates, the

s on interest

n-financial co

diverge from

with monetary

ble by MFI, t

brace the ho

most all of th

ce rates

internal FIS

to have the

spectively, be

average of

come (or effe

a weighted

ation needed

puted accord

tion within mat

e, RR is a we

operations is

y of consider

n a daily bas

ifferent refer

rate approac

the Regulat

lidated balan

Regulation

rates applied

orporations, w

m statistical

y interest rat

the exercise

ouseholds a

he FISIM con

SIM are mos

Euribor 3M

etween one a

f multiple ra

ective interes

average of

d are the sto

ding to the fo

turity band m,

eighted averag

s the time lag

ring the refer

sis. ISDAFIX

rence rates b

ched by the t

tion (EC) No

nce sheet of

(EC) No 290

d by monetar

was used.

flows, the

te (MIR) stat

encompass

nd the non-f

nsumption.

tly on a euro

months (sho

and five year

ates

st rate) data

f the referen

cks’ breakdo

ollowing form

denominated

ge of the indiv

g involved in

ence rate of

X rates are

by maturity a

three months

o 25/2009 of

f the monet

0/2009 of the

ry financial in

interest rat

tistics. There

ses the MIR

financial cor

o basis, whi

ort-term ope

rs and above

by sector, c

nce rates (R

owns by sec

mula:

d in currency c

vidual rmc wher

n the adjustm

the previous

3/17

available on

and currency

s Euribor.

the ECB, of

ary financial

e ECB, of 31

nstitutions to

e implicit in

efore, for the

statistics on

porations as

ch simplifies

erations) and

e five years.

currency and

RR). For the

ctor, maturity

c. To each Smc

re the weights

ment of loans

s quarter.

7

n

y

f

l

o

n

e

n

s

s

d

d

e

y

c

s

s


For the

of the previo

2.6 Ma

2.6

With th

FISIM prod

irrespective

approach of

Consid

the referenc

some stabil

this analysis

Reg

given that i

end of 200

negative F

intermediari

Nevertheles

period of tim

FISIM of M

became neg

competition

at the end o

partment

e weighted av

ous period.

ain results

.1 Multiple

he applicatio

uced on loan

ly of the mat

f multiple ref

ering the tim

ce rate for th

ity in FISIM

s, decreases

garding FISIM

n this case

8 onwards.

ISIM in the

ies face neg

ss, apart from

me. Again by

March 2009 i

gative again

in retail fund

of 2011. With

106eu

ros

verage rate,

reference

n of the mu

ns granted w

turity of the o

ference rates

me lag of the

he one of the

output. More

s if we consid

M on deposi

the amount

Therefore, t

e aftermath

gative FISIM

m turning po

y considering

is eliminated

reflecting th

ding. In this c

h this measur

0

250

500

750

1,000

1,250

1,500

1,750

2,000

2,250

2,500

2,750

Figu

this conside

rates

ultiple referen

was overesti

operations c

s is more sta

ese operation

e previous qu

eover, the vo

der the lagge

its, on the ba

of FISIM wa

this new app

of the fina

during a sh

oints it is diff

g the referen

d and the vo

he lack of acc

context, the

re the return

FISIM ‐Mul

ure 1 – Total

eration could

nce rates ap

mated, due

concerned. M

ble.

ns, visible in

uarter. There

olatility of FIS

ed rate. This

asis of the s

as underesti

proach could

ancial crisis.

hort period o

ficult to unde

ce rate of th

olatility is re

cess to fund

Banco de Po

to positive F

tiple RR FISIM

l FISIM – loa

d be foreseen

pproach, we

to the fact th

Moreover, the

the peak of

efore, in perio

SIM produce

finding is vis

same reason

mated, even

d contribute

Theoretical

of time as a

erstand that

e previous q

educed. At th

ing of Portug

ortugal decid

FISIM is expe

M ‐Multiple RR_Lag

ans (Lagged

n by simply t

concluded t

hat we were

e FISIM outc

f December

ods of intere

ed on loans,

sible in Figur

ing, we have

n reaching n

to the elim

lly, it is co

consequenc

negative FIS

quarter, we o

he end of 2

guese banks

ded to set up

ected in 2012

d RR)

taking the re

that the tota

e considering

come with thi

2008, we ha

est rate inflex

in the period

re 1.

e the reverse

negative figu

ination of th

nceivable th

ce of some p

SIM sustain

observe that

011, FISIM

s, which led

p maximum i

2 (Figure 2)

4/17

eference rate

al amount of

g Euribor 3M

s alternative

ave replaced

xion, there is

d covered by

e conclusion

res from the

he persistent

hat financial

price rigidity.

over a long

the negative

on deposits

to increased

nterest rates

.

7

e

f

M

e

d

s

y

n

e

t

l

.

g

e

s

d

s


2

The tot

weighted av

FISIM by b

detailed in t

2.7 All

A comp

both consu

noted that,

methods oc

Lo

In line

overestimat

using a sing

assessment

(Figure 3),

partment

2.6.2 Single

tal FISIM is e

verage of re

both consum

the next sect

location to

plete analysi

mption secto

regardless

ccur in the aft

oans

with our g

ted on loans

gle reference

t was that bo

which is the

‐60

‐40

‐20

20

40

60

80

100

106euros

e weighted

exactly the s

eference rate

mption secto

tion.

main user

s of the imp

or and purpo

of the cons

termath of th

general conc

s allocated to

e rate (weig

oth methods

component

00

00

00

0

00

00

00

00

00

Fig

d average o

ame whethe

es. Neverthe

or and purpo

r sectors

act of the pr

oses of cons

sumption sec

he financial c

clusion, in t

o household

hted average

lead to simi

with higher c

FISIM_multiple

gure 2 – Tot

of referenc

er we apply th

eless, the im

oses of con

roposed met

sumption (in

ctor under a

crisis, specific

the current

ds and non-f

e of interban

ilar outcome

contribution t

RR (lagged) F

tal FISIM – d

e rates

he method w

pact on GD

nsumption w

hods require

termediate a

analysis, the

cally from 20

approach (

financial corp

nk rates) ins

es in the case

to the GDP.

FISIM_Multiple RR

deposits (La

with three ref

P would not

ould diverge

es splitting th

and final con

most signif

009 onwards

Euribor app

porations. Fo

tead of mult

e of loans fo

gged RR)

ference rates

t be the sam

e. This ana

he FISIM com

nsumption).

ficant deviat

.

proach) we

ocusing on

tiple interban

or consumptio

5/17

s or with one

me since the

lysis will be

mponents by

It should be

tions among

have FISIM

the effect of

nk rates, our

on purposes

7

e

e

e

y

e

g

M

f

r

s


The us

non financia

De

Regard

outcome in

granted by

on deposits

partment

e of multiple

al corporation

eposits

ding deposits

terms of fina

non financia

s was underv

Figure 3

Figu

e reference ra

ns (Figure 4

s both the mu

al consumpti

al corporation

valued (Figur

3 – FISIM on

ure 4 – FISIM

ates, instead

4).

ultiple refere

on, neverthe

ns. On the ba

re 5).

n loans alloc

M on loans a

d of a single

ence rate and

eless some d

asis of the E

cated to hou

allocated to

rate, leads t

d the weighte

differences o

Euribor appro

useholds fo

o non financ

o higher FIS

ed average m

ccur on FISI

oach, the am

r final consu

ial corporat

SIM on loans

method lead

IM produced

mount of FISI

umption

tions

6/17

allocated to

to the same

on deposits

IM produced

7

o

e

s

d


2.8 Vo

With th

loans, meas

average of

as banks p

banks’ profi

Therefore, t

the volatility

Contrar

volatility dec

deposits do

2.9 Im

The co

illustrate th

reflect only

From f

significant fr

partment

olatility of lo

is new appro

sured throug

the four qua

provide a var

its, loans rat

the replacem

y of the marg

rily, regardin

creases. The

oes not follow

pact on GD

ntributions o

e external c

the FISIM pr

figure 6 we

rom 2009 on

-6

-4

-2

2

4

6

810

6 e

uro

s

Figure 5 –

oans and d

oach of using

gh its standa

arters moving

riety of differ

e would mor

ment of the r

gin measured

ng the FISIM

e deposit rat

w the dynami

DP

of the differe

component,

roduced by t

e observe a

nwards.

600

400

200

0

200

400

600

800

– FISIM on d

deposits

g different ra

rd deviation,

g volatility inc

rent loans to

re closely fol

reference rat

d at short inte

M on deposit

te is not very

cs of the inte

nt componen

the intermed

he resident f

a decrease

Single rate

deposits allo

ates instead o

, decreases.

creases. Th

o adapt to c

llow the dyna

te by a new

ervals.

ts, with this

y elastic and

erbank short-

nts of FISIM

diate and fin

financial inte

of the final

Multiple rates

ocated to ho

of a single on

However, th

his occurs sin

clients’ needs

amics of the

rate that inc

new approa

d from this as

-term referen

output are v

nal consump

rmediaries.

consumptio

Weigh

ouseholds f

ne, the long-

he short-run

nce the rate

s. Since loan

interbank sh

corporates lo

ach both the

ssessment it

nce rate.

visible in figu

ption presen

on contributi

hted average

for final con

-run volatility

volatility, pr

on loans is

ns are the m

hort-term ref

onger maturi

e long and th

t is clear tha

ures 6 and 7

nted on figur

ion which b

nsumption

7/17

y of FISIM on

oxied by the

very elastic,

main goal of

ference rate.

ity increases

he short run

t the rate on

7. In order to

res 6 and 7

became less

7

n

e

,

f

.

s

n

n

o

7

s


Figure

onwards, w

became neg

Finally,

decrease of

production

stressed tha

GDP justifie

of this new

to the one th

partment

7 shows o

when compar

gative beacu

the adoptio

f the FISIM p

on loans si

at although t

ed by the FIS

approach le

hat uses a s

‐5

5

1,0

1,5

2,0

2,5

106euros

‐50

50

1,00

1,50

2,00

2,50

106euros

on the contra

red to the pre

use of FISIM

n of this met

produced inte

nce there is

total FISIM o

SIM allocate

ads to an inc

ingle referen

Figure 6

Figure 7 – A

00

0

00

00

00

00

00

0

0

0

0

0

0

0

ary a higher

evious appro

on deposits

thodology, as

ernally, exce

s an increas

output is redu

d to the fina

crease in the

nce rate (Eur

– FISIM out

Allocation of

Interm

Interm

r contributio

oach. To be

which, as ex

s an alternat

ept for the 20

se of FISIM

uced, the ne

al consumptio

e level of GD

ribor).

tput compon

f FISIM outp

mediate Cons. Final

mediate Cons. Final C

n of the fin

noted that f

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work

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uch entities:

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uese securiti

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public place

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ity company

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securitisation

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ation bonds,

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32 and 39,

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their accoun

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originator ba

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balance out

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ure 9 – Simp

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early days,

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upon whethe

etained (as

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oans are not

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derecognise

on the assets

ing the mone

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t of an inves

units issued

esident finan

pical securiti

resident FVC

that they act

ritisations w

revised versi

o change in f

saction are n

ed securitisat

et. In such ca

ained contro

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“continuing

ed or non-de

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the amount

with a match

ebtor sector.

ed, the amou

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etary aggreg

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the originato

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ncial vehicle

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t as closed e

were the mos

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tion transact

ases, IAS 39

l of the finan

ation transac

involvement”

recognised i

orded as follo

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unt of “loans

e balance sh

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r’s sector to

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t FTCs are ty

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provides for

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n the origina

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s” outstandin

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FIs, over tw

circumvent d

ue securitisa

ypically acqu

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ognise asset

uld normally

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financial ass

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ng is kept un

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ation units to

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nd a non-

y out several

securitisation

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ation. In fact,

t transfers in

retain some

nt treatments

nsfer. Where

set must be

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VC’s balance

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y to the FVC

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3.3 Da

While t

agreement

supervision

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issue secur

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to identify

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which fall s

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into the env

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security and

the informa

investors th

a large ext

Portuguese

Balance

identification

All the

securitisatio

partment

ata flow: fro

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with CMVM

purposes. T

alance sheet

ities through

er important s

tutions and

nds) have to

hese instituti

the nature

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ditional statis

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nt rules and

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ance Sheet

le statistical

hort of the re

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visaged categ

er key source

d investor-by

ation concern

at are kept i

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e of paymen

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ese data so

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om raw dat

uese FVCs

M for the reg

These data h

t data and th

public subsc

source of inf

other financ

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ions act as o

of the secu

o subject to

tical informa

ors are non-

, such as is

regulations;

official acc

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equired stan

ary statistica

gories and fo

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y-investor da

ning securiti

n custody wi

entification o

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e anticipated

ources com

including tho

ta to statist

are supervis

gular remitta

have differen

heir audited

cription or ha

formation on

cial institutio

to the Banco

originators in

ritisations b

direct report

tion on the s

-financial ent

ssuance pro

counting data

plays an imp

on securitis

dard for high

l data source

or checking t

tion is the S

atabase. SS

ies issued in

ith resident f

of the holde

instance, offe

amortization

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ose reported

tical inform

sed by the

ance of (acc

nt periodicitie

balance she

ave quoted s

securitisatio

ns (excludin

o de Portuga

n a securitisa

being carried

ting obligatio

securitisation

tities, the Ba

ospectus, rat

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h quality sta

es are used

he quality of

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n Portugal a

financial insti

ers of the d

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securities); F

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al for prudent

ation deal, th

d out. In the

ons for statis

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anco de Port

ting agencie

nancial corp

as a data so

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tistics (inter

that allow fo

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atistics Integ

advantage o

and securitie

tutions. Ther

debt securitie

formation for

urities issued

ompilation a

(Figure 10).

e Banco de

ta reported

ng on the typ

annual or se

TCs report m

s data collec

nt funds, ins

tial supervisi

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e particular

stical purpose

tugal has to

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porations, lik

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alia, for lack

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rated System

f gathering,

es held by

refore, the S

es and othe

r the STC str

d and placed

and dissem

Portugal h

by FVCs fo

pe of FVC: S

emi-annual b

monthly data

cted from the

surance com

ion purposes

Portugal ha

case of res

es, their bal

make use o

s information

ke the one f

curitisations.

d from acco

k of detail). T

own the acc

m (SSIS), a

in a single d

Portuguese

SSIS makes i

er equity iss

ructures, allo

d abroad.

mination of

11/17

as a formal

or prudential

STCs submit

basis (if they

.

e originators.

mpanies and

s. Therefore,

s the means

sident MFIs,

ance sheets

of alternative

n and FTCs

found in the

At any rate,

ounting data,

To cope with

ounting data

security-by-

database, all

and foreign

t feasible, to

sued by the

owing for the

high quality

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3.4

Table 1

amounted t

side, “Secu

period conc

equity”, acc

Cinfo

B

STC

C

partment

Portugues

1 shows the

to about 62

ritised asset

cerned. Liabi

counting for t

Complemormation

Securities SIntegrated

Balance of P

MFI Balanc

C Issuance pFTC Regu

Central BalaDatab

Fig

se securitis

FVCs’ aggr

billion euros

ts” are, by fa

lities are bas

he paper iss

mentary n source

Statistics System

Payments

ce sheet

prospectus lations

nce Sheet ase

gure 10 – So

sation in nu

regate balan

s, by end-20

ar, the most

sically split b

ued by STCs

es

/

ources and

umbers

ce sheet, br

11, as comp

significant e

etween “Sec

s (59%) and

D

disseminati

roken down

pared to 20

entry, averag

curities other

FTCs (39%)

Disseminat

CInformsupervi

ion

by financial

billion euros

ing about 95

r than shares

), respectivel

Stat

tion

CMVM

ation sent fsory purpos

instrument.

s in 2004. In

5% of total a

s” and “Share

ly.

tistica

Financ

for ses

12/17

Total assets

n the assets

assets in the

es and other

al Info

ial Accou

7

s

s

e

r

rmatio

nts

Banco dInformation

of se

o

dne


The firs

amounting

amount of lo

by FTCs co

As rega

Central Go

amounting t

commercial

In Tabl

reflecting th

mortgage lo

ASSETS

Curre

Secur

Secur

Share

Finan

Other

LIABILITIE

Depos

Secur

Loans

Share

Finan

Other

SECURITISE

MFIs

OFIs

Non‐Fin

Genera

Non‐res

partment

st Portugues

to 1 billion e

oans securit

orresponded

ards STCs, t

overnment. A

to 35 billion

loans origin

les 2 and 3,

he growing i

oans in the w

Tab

ency and deposi

ities other than

itised assets

es and other equ

ncial derivatives

r assets

ES

sits

ities other than

s

es and other equ

ncial derivatives

r l iabilities

D ASSETS

nancial Corpor

l Government

sident entity

Table 1 – A

e FTC starte

euros. By th

ised by this

to mortgages

the first one

As of Decem

euros, 54%

ated by non-

Portuguese

importance o

whole of secu

le 2 – Secur

ts

n shares

uity

s

n shares

uity

s

2

ations

Aggregate b

ed its activity

he end of 20

type of FVCs

s originated

started its a

mber 2011,

of which we

-financial cor

FVCs show

of non-derec

uritised asset

ritised asset

2004 200

19 977 25

770

0

19 119 24

0

0

88

19 977 25

0

1 943 3

0

16 791 20

0

1 242

2004 2005

19 119 24 2

15 487 21 3

734 8

1 521 1 0

1 377 1 0

0

balance shee

y in Decembe

011, thirty ni

s was of 24

by MFIs, and

activity in Dec

there were

ere mortgage

rporations.

sharp increa

cognised sec

ts granted by

ts’ counterp

5 2006

236 28 772

890 910

0 0

273 27 678

0 0

0 7

72 177

236 28 772

0 0

700 5 677

0 0

765 22 331

0 3

770 762

5 2006

273 27 678

312 25 399

894 893

014 844

053 542

0 0

et of Portug

er 2001, by s

ne FTCs we

billion euros

d 16% to non

cember 2003

four STCs

es originated

ases in loans

curitisations

y MFIs.

parts, by ins

2007 2

33 426

1 487

4

31 564

0

15

356

33 426

0

7 485

0

25 099

0

842

2007

8 31 564

29 316

937

4 1 156

155

0 0

guese FVCs

securitising a

ere in activity

. About 74%

n-financial co

3, by securit

in activity,

d by MFIs an

s vis-à-vis MF

since 2005,

stitutional se

2008 2009

42 974 50 3

2 156 1 7

4

40 400 48 2

0

8

405 3

42 974 50 3

0

8 883 14 0

0

33 224 35 5

12

856 7

End‐o

2008 200

40 400 48

38 577 43

1 002 2

822 2

0

0

End

a pool of mo

ty. The total

% of the loans

orporations’

tising fiscal c

with securit

nd 28% corre

FIs in the las

, and the im

ector

9 2010

381 61 915

775 2 981

4 4

280 58 656

0 0

7 35

314 238

381 61 915

0 0

060 28 703

0 1

547 32 534

37 43

737 635

of‐year figures.

09 2010

280 58 656

761 54 701

151 1 818

367 2 137

0 0

0 0

‐of‐year figure

13/17

rtgage loans

outstanding

s securitised

loans.

credits of the

tised assets

esponded to

st four years,

mportance of

2011

61 934

2 891

5

58 743

0

79

217

61 934

0

36 783

171

24 162

116

701

106 Euros

2011

6 58 743

1 56 429

8 316

7 1 892

0 0

0 107

s. 106 Euros

7

s

g

d

e

s

o

,

f


Tab

By the

to nearly 30

institutions (

Since 2

issued by P

Fig

about 8% of

MFI SECUR

Non‐resi

Resident

counterp

SECURITIES

MFIs

OFIs

Non‐Fi

Genera

House

Non‐re

partment

ble 3 – MFI s

end of 2011

0% of the to

(see Table 3

2009 the MF

Portuguese F

Table 4

ure 11 illust

f the sector’s

MFIs

OFIs

Non‐Finan

General Go

Household

o/w: Mor

RITISED ASSETS

ident counterpart

t

part

S OTHER THEN S

nancial Corpo

al Government

holds

esidents

securitised

, the total of

otal outstand

3).

FI sector su

FVCs (as see

4 – Holders

trates the gr

s total assets

cial Corporations

overnment

ds

rtgage loans

t

2

SHARES

rations

assets’ orig

f securitised

ding amount

bstituted the

en in Table 4

of securitie

owing visibil

s by the end

2004

15 48

s 9

15 27

14 05

11

2004 200

1 943 3

8

120

0

0

0

1 815 3

ginal debtor

mortgage lo

t of mortgag

e Rest of the

4).

es issued by

lity of FVCs

of 2011.

2005 2

87 21 312

0 0

0 0

99 588

0 0

71 20 582

50 19 439

17 142

5 2006

700 5 677

51 100

184 132

0 0

0 0

0 0

465 5 445

, by instituti

ans was of a

e loans gran

e world sect

y FVCs, by i

in the finan

2006 2007

25 399 29 31

0

23 2

1 990 2 49

0

23 043 26 39

21 950 24 90

343 40

2007 2

7 485

0 259

205

0 68

0 0

0 2

6 951

ional sector

about 36 billi

nted by all t

tor as the m

nstitutional

cial sector a

2008 2

6 38 577 4

0 55

3 65

2 4 699

0 137

3 33 105 3

4 31 763 3

9 516

En

2008 200

8 883 14

2 735 9

233

165

0

5

5 744 4

End‐

r and reside

on euros, co

the Portugue

main holder

l sector

as a whole,

009 2010

43 761 54 701

55 22

65 33

4 488 9 941

137 154

38 439 43 958

36 787 41 550

578 593

nd‐of‐year figures

9 2010

060 28 703

414 24 461

411 386

141 86

0 35

6 5

087 3 731

‐of‐year figures

14/17

ency

orresponding

ese financial

of securities

representing

2011

1 56 429

2 30

3 147

1 14 873

4 215

8 40 572

0 36 311

3 592

s. 106 Euros

2011

36 783

31 030

561

43

22

4

5 123

s. 106 Euros

7

g

l

s

g


3.5

The

covering da

FVCs (both

Dat

Interactive D

As

Banco de P

data on th

transactions

The

Regulation

Refere . Alm

ComBull

. Cam

da B

. Col

curr

and

Bru

partment

Figure

Outputs:

e Banco de P

ata since 200

STCs and F

ta are also a

Database of

regards the

Portugal has

he FVCs’ ba

s are provide

e ECB has

above menti

ences:

meida, Ana mpilation anletin, Octobe

mpos, A. (20Banca, nº 60

angelo, A. a

rent Europea

d Schoder J-

ssels

e 11 – Propo

dissemin

Portugal pub

01. The pres

FTCs), broke

available on

the Banco d

fulfilment o

s been subm

alance shee

ed on a quart

recently be

oned, referri

M., Crespod measurem

er 2011

005), “Titulari0, 77-92

nd R. Inklaar

an methodol

-P, "Product

ortion of tot

nation and

blishes quart

sented inform

n down by in

“BPstat|Esta

de Portugal.

of the report

mitting to the

ets. Data re

terly basis.

egan to diss

ng to the eu

o M. Teresament issues”

rização de C

r (2009) “Me

logy and new

ivity in the F

tal assets of

d institutio

terly data on

mation refers

nstrument, in

atísticas onli

ing requirem

European C

efer to end-

seminate in

ro area as a

a, (2011), “, Banco de

Créditos, algu

easuring the o

w perspectiv

Financial Se

f FVCs on th

onal repo

n securitisati

s to the aggr

n line with the

ine|”, an Inte

ments set fo

Central Bank

-of-quarter o

its website

whole and to

“Assessing Portugal, S

umas notas s

output of the

ves,” in Eds.

rvices Secto

he financial

rting

on in its mo

egate balanc

e breakdown

ernet online

rth in Regul

k, since Feb

outstanding

e information

o each single

Securitisatioupplement 1

sobre titulariz

e banking sec

Balling, M.,

or", SUERF

sector

onthly Statist

ce sheets of

n reported to

access to th

lation ECB/2

bruary 2010,

amounts a

n collected

e country.

on Activity 1/2011 to th

zação sintéti

ctor: shortco

, Gnan, E.,

Studies 200

15/17

tical Bulletin,

f Portuguese

the ECB.

he Statistical

2008/30, the

harmonized

nd financial

through the

in Portugal-he Statistical

ica”, Revista

mings of the

Lierman, F.,

09/4, Larcier,

7

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