THE SECURITISATION PROCESS IN THE OECD COUNTRIES:
RESULTS OF THE SECOND QUESTIONNAIRE
Miguel Ángel Menéndez
Beatriz Sanz
WORKING PARTY ON FINANCIAL STATISTICS
OECD
Paris, 2-3 November 2009
STATISTICS DEPARTMENT
THE SECURITISATION PROCESS IN THE OECD
COUNTRIES: RESULTS OF THE SECOND
QUESTIONNAIRE
Contents
1. Launch of the second questionnaire
2. Structure of the second questionnaire
3. Results of the survey
4. Proposed follow-up
STATISTICS DEPARTMENT
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1. LAUNCH OF THE SECOND QUESTIONNAIRE
• The results of the first questionnaire on securitisation were presented to
the WPFS at its October 2007 meeting [COM/STD/DAF(2007)9]. It was
concluded that there was a need:



to have more qualitative and quantitative information on SPVs
to update the document that summarises the first questionnaire
to take another look at the text on securitisation in the SNA
• The WPFS decided, at its 2008 meeting [COM/STD/DAF(2008)10], to launch
a second questionnaire to obtain further information on topics such as:



“traditional” and “synthetic” securitisation
the structure of SPVs’ liabilities
and to begin to explore the availability of data and the feasibility of
data collection
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2. STRUCTURE OF THE SECOND QUESTIONNAIRE
I.
“Traditional securitisation”, when the originator is not allowed to
derecognise the asset
II. “Synthetic” securitisation
III. Structure of SPVs’ liabilities
IV. Involvement of two SPVs
V.
Valuation of assets and liabilities linked to securitisation
VI. Involvement of international organisations in the work on securitisation
VII. Some insurance operations in the securitisation process
VIII. Quantitative information: SPVs’ balance sheets
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3. RESULTS OF THE SURVEY
Replying to or completing the questionnaire: 29 countries
All or most of the questionnaire not applicable
Replying to most of the
questionnaire
Australia, Belgium,
Canada, Denmark, France,
Germany, Ireland, Italy,
Japan, Korea,
Luxembourg, Netherlands,
Poland, Portugal, Spain,
United Kingdom, United
States
Securitisation process not
regulated or of low
importance
Securitisation conducted
only by non-resident SPVs
Austria, Czech Republic,
Finland, Greece, Iceland
Hungary, New Zealand,
Slovakia, Slovenia, Sweden,
Switzerland, Turkey
Therefore, most of the answers below refer to the 17 countries of the first column.
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3. RESULTS OF THE SURVEY
I. Questions on “traditional securitisation”, where the originator is
not allowed to derecognise the asset
• Securitisation in which the originator does not derecognise the
asset exists in some countries (11); however, in nearly all cases
(9), double counting can be avoided
• In a further 2 countries, derecognition is allowed in all cases, while
in another 4 only “true sales” or “synthetic” securitisation exist. In
all these cases there is no room for double counting
• In countries where the originator acquires part of the securities
issued by the SPV (10), the recording of these operations is gross
(or is not applicable). There is just one exception, where this
acquisition is netted against a related liability
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3. RESULTS OF THE SURVEY
II. Questions on “synthetic” securitisation
• In most countries (14), “synthetic” operations do not differ from the
description in the questionnaire, or the differences are minor (1)
• In another 2 countries, this kind of securitisation is not currently
relevant, or is usually performed by non-resident SPVs, or does not
exist
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3. RESULTS OF THE SURVEY
III. Questions on the structure of SPVs’ liabilities
• Although some countries (9) affirm that SPVs finance their
medium or long-term lending transactions by issuing short-term
securities, for 3 of them this practice is not relevant
• In 11 countries there is a formal or informal commitment by the
originator to provide financial support via some kind of guarantee
or via acquisition of SPV securities. In some cases this
commitment exists for SPVs established abroad; in others it is due
to the financial crisis
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3. RESULTS OF THE SURVEY
IV. Questions on securitisation involving the participation of two
SPVs
• 8 countries report cases in which one SPV acquires the assets and
another SPV issues the securities. For the other 9 countries this
phenomenon does not exist, is unknown or has not yet been
observed
• Regarding the existence of a time span between acquisition of the
asset by an SPV and the issuance of securities, in 12 countries
there is no time span, none has been observed or it is unknown.
For the other 5 countries, this period can range from several days
to 12 months
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3. RESULTS OF THE SURVEY
V. Questions on valuation of assets and liabilities linked to
securitisation
• Most countries are in favour of adopting, insofar as possible, a common
valuation method to increase international comparability, although some
degree of flexibility is advisable
• For the euro area countries, the entry into force, in February 2010, of an
ECB regulation concerning statistics on SPVs engaged in securitisation
will help provide homogeneous statistics. The Handbook on Securities
Statistics coordinated by the BIS, the ECB and the IMF is also a highly
valuable step
• Practically all countries consider the information on write-offs and writedowns very useful, although currently these data are not generally
available (4)
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3. RESULTS OF THE SURVEY
VI. Questions on some insurance operations in the securitisation
process
• 13 countries report that insurance plays no part in the process of
securitisation, that they are “not aware of” this or that it is
unknown
• The remaining 4 countries gave a positive reply, but in one no
information is available and in another one the operations exist
but are rare
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3. RESULTS OF THE SURVEY
VII. Involvement of international organisations in the work on
securitisation
• There is virtual unanimity among the 29 countries responding on
the role that should be played by international organisations,
working together to establish a common terminology, concepts
and homogeneous definitions for the institutions, transactions and
instruments used in securitisation
• The replies are also practically unanimous on the usefulness of
guidance notes being developed by the institutions involved in the
revision of the SNA
• The guidance notes should include references to definitions for
institutions, transactions and instruments, valuation, write-offs,
write-downs and the replacement of assets
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3. RESULTS OF THE SURVEY
VIII. Quantitative information
Total assets
Australia
Belgium
Canada
Denmark
France (a)
Italy
Japan
Korea
Netherlands (b)
Portugal
Spain
United Kingdom (c)
United States
2004
99,721
n.a
152,543
48
19,273
114,159
199,583
39,953
97,504
20,646
125,737
94,137
4,423,904
2005
120,295
n.a
231,840
145
22,272
133,136
237,126
41,940
136,071
25,026
178,791
122,627
5,864,288
2006
139,708
n.a
265,971
207
23,535
153,087
229,366
38,150
185,664
28,302
252,149
150,998
6,090,509
2007
155,626
n.a
331,367
184
38,997
162,009
214,977
31,415
275,107
33,266
362,772
193,606
6,100,537
€ million
2008
110,741
50,737
335,037
n.a
54,139
238,113
271,455
25,027
333,615
42,898
462,615
236,541
6,507,006
a) FVCs allowed to issue securities to the public (€50bn, of €106bn in 2008). Private SPV data will be collected as from December 2009
b) Excluding SPVs that are also Special Financial Institutions
c) Only covers SPVs holding residential mortgages, sponsored by UK resident MFIs and where the parent MFI derecognises the loans. Therefore,
securitisation linked to non-derecognised loans is not included.
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3. RESULTS OF THE SURVEY
VIII. Quantitative information
Total assets 2004-2008
Chart 1
7.000.000
6.500.000
6.000.000
5.500.000
5.000.000
million euro
4.500.000
4.000.000
500000
2004
3.500.000
2005
400000
3.000.000
2006
300000
2.500.000
2008
2007
200000
2.000.000
100000
1.500.000
0
1.000.000
500.000
0
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3. RESULTS OF THE SURVEY
VIII. Quantitative information
Asset: Securitised loans
Breakdown by sectors
Chart 2
100%
90%
80%
70%
Rest of the world
60%
Other financial institutions
Non-financial corporations
50%
Households
General government
40%
Banks
30%
20%
10%
0%
2008
BE
2004
2008
ES
2004
2008
FR
2008
IT
2004
2008
NL
2004
2008
PT
2004
2008
UK
2004
2008
USA
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3. RESULTS OF THE SURVEY
VIII. Quantitative information
Liability: Securities issued
Breakdown by holding sectors
Chart 3
100%
90%
80%
70%
Rest of the world
60%
Other financial institutions
50%
Non-financial corporations
40%
General government
Banks
30%
20%
10%
0%
2004
2005
2006
ES
2007
2008
2004
2005
2006
2007
2008
PT
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4. PROPOSED FOLLOW-UP
• Proposal 1. To follow the development of the securitisation
process through monographic presentation country-by-country.
Might it be worth holding a workshop on securitisation in 2010?
• Proposal 2. To include relevant items on the securitisation
process at the next WPFS meetings and to follow the
improvements stemming from the new ECB Regulation
Data on securitisation for euro area countries will be available in
2010 following the harmonised statements established by the ECB
Regulation, providing data that may be used for comparison with
other OECD countries. This process relating to the availability of
information should be followed by the WPFS
• Proposal 3. International organisations should work in close
cooperation to avoid duplication of effort
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THANK YOU FOR YOUR ATTENTION
STATISTICS DEPARTMENT