Enhancing Statistical Requirements for Financial Institutions

1. Recently released ECB statistics on securitisation Jani Matilainen DG-Statistics / ECB OECD Working Party on Financial Statistics Paris, 24 October 2011

2. Overview • European system of central banks’ data user needs • Monetary financial institutions’ statistical requirements • Financial vehicle corporations’ statistical requirements • Overview of recent data • Current issues

3. ESCB user needs • Dataon securitisation are needed to… • get reliable interpretation of monetary financial institutions (MFIs) credit data: • adjust flows and growth rates for loans which are securitised or transferred • follow loan repayment patterns irrespective of securitisation • monitor securitisation process itself and its impact on: • the creation of money and credit • capital markets • financial stability • understand the financial intermediation role played by financial vehicle corporations (FVCs)

4. Scope of new statistical requirements • Reporting by all MFIs and FVCs resident in the 17 euro area countries • Integrated approachto reduce reporting burden for MFIs & FVCs: • New statistical requirements to be met as far as possible by MFI balance sheet data, and • FVC balance sheet data to fill in the gaps. • MFI balance sheet data cover • MFI loan securitisation through FVCs; • Other MFIs loan transfers without intermediation of FVCs • FVC balance sheet data (addressed only to euro area FVCs) cover • securitised loans originated by non-MFIs, • securitised assets other than loans • synthetic securitisation • FVC liabilities

5. Statistical requirements for MFIs (1) • Included in Regulation ECB/2008/32, first reporting date reference December 2009 Cover: • Traditional MFI loansecuritisation. • Other MFI loan transfers to/from non-MFIs. Do notcover: Synthetic loan securitisation (covered in FVC statistics)

6. Statistical requirements for MFIs (2) • Net flows of loans securitised or otherwise transferred (Net flows = loan disposals minus acquisitions) at monthly frequency, by • type of the transferee (FVC, o/w euro area, other entities) • residency of loan’s debtor (domestic, other euro area, rest of the world) • sector ofloan’s debtor (gen. gov., other financial intermediaries, insurance corporations and pension funds, non-financial corporations, households) at quarterly frequency, by • loan’s purpose (consumer credit, housing loans, other, other-sole proprietors) • loan’s original maturity (only for non-financial corporations’ loans). • Reporters must distinguish transactions with impact on the balance sheet from the rest

7. Statistical requirements for MFIs (3) b) For MFIs acting as servicers in a loan securitisation: • quarterly nominal amount outstanding of all loans being serviced for all items in (a), distinguishing total and ‘of which’ serviced for a euro area FVC  backbone of the ‘integrated approach’– data exchange between NCBs as input into FVC statistics c) For MFIs adopting IAS39 or similar accounting rules in their individual accounts: • nominal amounts outstanding of securitised loans that have not been derecognised (to avoid double counting when combining FVC and MFI statistics) d) Other requirements: • holdings of FVC securities, deposits placed by FVCs

8. MFI loan securitisation since end-2009 (1)

9. MFI loan securitisation since end-2009 (2) Cumulative transactions by country € billion Note: data in this chart are non-public

10. MFI loans adjusted for securitisation (1) Transactions in loans to private sector

11. MFI loans adjusted for securitisation (2) Annual growth rates of MFI loans

12. Statistical requirements for FVCs (1) • New statistical Regulation (ECB/2008/30) • Each NCB may choose one of three compilation approaches: • Direct reporting by the resident FVCs • Direct reporting by the resident FVCs complemented by reporting of loans serviced by MFIs (‘integrated approach’) • Compilation of FVC data using other statistical, public or supervisory data sources • Quarterly frequency, transmission to ECB t+28 working days • First reporting referred to Q4 2009

13. Statistical requirements for FVCs (2) • Data compiled separately for traditional, synthetic and other FVCs • Stocks and flows of • securitised loans by maturity / sector / residency of originator; - loans originated by MFIs also by residency of debtor • holdings of securities other than shares, by maturity/ sector/ residency of issuer; • deposits and loan claims, by sector / residency of counterpart • shares and other equity identifying inter-FVC positions • debt securities issued, by maturity; • totals for other balance sheet items • Write-offs/write-downsof securitised loans

14. Residency of euro area FVCs Outstanding amount of debt securities issued, Q2 2011

15. Nature of securitisation of euro area FVCs Total assets of euro area FVCs by type

16. Assets of euro area FVCs Breakdown of assets Securitised loans by originator

17. Liabilities of euro area FVCs Debt securities issued - transactions Breakdown of liabilities

18. Current issues • ECB Workshop on securitisation and FVC statistics held on 6 October • Presentations by the national central banks on compilation approaches • Discussion on conceptual issues • Analysis of data quality issues • Preparation of documents providing guidance for compilers • Extended data releases • euro area breakdown traditional / synthetic / other • Eurosystem decision on dissemination of national data • Discussion on alternative methods for adjusting for securitisations on MFI balance sheet

19. Further information • FVC press releases: www.ecb.europa.eu/press/pr/stats/fvc/html/index.en.html • Data published on ECB’s Statistical Data Warehouse: http://sdw.ecb.europa.eu/browse.do?node=9484280 • List of FVCs:www.ecb.europa.eu/stats/money/mfi/corporation/html/index.en.html • FVC Regulation:www.ecb.europa.eu/ecb/legal/pdf/l_01520090120en00010013.pdf • BSI Regulation (Securitisation requirements Annex 1, Part 6):www.ecb.europa.eu/ecb/legal/pdf/l_01520090120en00140062.pdf