the securitisation process in spain contents
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The securitisation process in Spain Contents. 1. Types of securitisation regulated in Spain 2. Characteristics of the FVCs created to securitised assets in Spain 3. Reform of the accounting standards for credit institutions and its effect on securitisation - PowerPoint PPT PresentationTRANSCRIPT
The securitisation process in Spain. Developments and practical issues
Miguel Ángel Menéndez and Beatriz Sanz
STATISTICS AND CENTRAL BALANCE SHEET DATA OFFICE DEPARTMENT
OECD. WORKING PARTY ON FINANCIAL STATISTICS
Paris, 9 October 2006
2STATISTICS AND CENTRAL BALANCE SHEET DATA OFFICE DEPARTMENT
The securitisation process in SpainContents
1. Types of securitisation regulated in Spain
2. Characteristics of the FVCs created to securitised assets in Spain
3. Reform of the accounting standards for credit institutions and its effect on securitisation
4. Recording of securitisation transactions in the Financial Accounts of
the Spanish Economy
5. Sources of information necessary to measure the different aspects of the securitisation process. Reference to Spanish sources
6. The work of the European System of Central Banks to obtain European Union securitisation statistics
3STATISTICS AND CENTRAL BALANCE SHEET DATA OFFICE DEPARTMENT
1. Types of securitisation regulated in Spain
• Since 1982, credit institutions can raise funds issuing mortgage-backed securities, backed by their mortgage loans which remained on their balance sheet (a)
• In 1992 the Fondos de Titulización Hipotecaria (Mortgage Securitisation Funds) are regulated (b)
• In 1994 the Fondos de Titulización de Activos (Assets Securitisation Funds) are regulated (c)
• In 2003 the synthetic securitisation is regulated (d)
4STATISTICS AND CENTRAL BALANCE SHEET DATA OFFICE DEPARTMENT
2. Characteristics of the FVCs created to securitise assets in Spain
• The FVCs are autonomous portfolios of assets without independent legal status whose purpose is to assemble groups of financial assets and other receivables
• FVCs are set up by FVC management companies which perform the functions of administration and legal representation of the FVCs
• They raise funds issuing securities other than shares and borrowing from credit institutions (e)
• There are open and closed FVCs
• The FVCs and their management companies are supervised by the National Securities Market Commission where the incorporation prospectuses is registered and, where applicable, the issue prospectuses are also registered
• Under the synthetic securitisation the counterpart of the credit derivative has to be a credit institution or a securities dealer company (resident or non-resident)
5STATISTICS AND CENTRAL BALANCE SHEET DATA OFFICE DEPARTMENT
3. Reform of the accounting standards for credit institutions and its effect on
securitisation
• In 2005 new accounting rules for credit institutions enter in force to meet the IAS, for consolidated accounts and for individual credit institutions
• Under the new rules the conditions to derecognise financial assets from the balance sheet are more strict: the risks or the control of the assets should be fully transferred
• These accounting rules have been applied to the securitisation originated since January 2004. Thus, some assets previously derecognised from the balance sheet had to return to it
• The assets transferred to the FVC and the assets returned to the balance sheet of the credit institutions have an effect on the analysis of the credit aggregates: it is necessary to analyse the credit evolution taking into account the credit that has been derecognised from the balance sheet of the credit institutions (f)
6STATISTICS AND CENTRAL BALANCE SHEET DATA OFFICE DEPARTMENT
4. Recording of securitisation transactions in the Financial Accounts of the Spanish
Economy
The originator derecognises the asset
The originator keeps the asset on its balance sheet
Originator
Financial assets
Reduction in loansIncrease in liquid assets
Increase in liquid assets for the funds transferred by the FVCSynthetic: reduction in liquid assets (premiums) and increase in derivatives
Liabilities No entries Increase in deposits for the funds transferred by the FVC
FVCs
Financial assets
Increase in loansNo change in liquid assets (funds raised transferred to the originator)
Increase in deposits for the funds transferred by the FVCSynthetic: increase in liquid assets (premiums)
LiabilitiesIncrease in securities other than shares and loans
Increase in securities other than shares and loansSyntethic: increase in derivatives
Counterpart sectors of credits
Liabilities Change the counterpart from originator to FVC
No entries
7STATISTICS AND CENTRAL BALANCE SHEET DATA OFFICE DEPARTMENT
5. Sources of information necessary to measure the different aspects of the securitisation
process. Reference to Spanish sources (g)
Source Information supplied Use Problems
Credit institutions (Originators)
. Outstanding amounts of on-balance sheet securitisation
. Outstanding amounts of off-balance sheet securitisation, with details of the counterpart sectors
. Measure credit aggregates
. Measure securitisationprocess
. Exclude originators other than credit institutions
. Currently, only outstanding amounts are available
FVCs
. Audited annual financial statements
. FVC formation prospectuses and, where applicable, securities issue prospectuses
. Measure the activity of FVCs and the securitisation process
. Include FVCs in the Financial Accounts in the Other financial interemediaries sub-sector
. Heterogeneous accounting
. Dificulties when originator derecognises assets
. Not very detailed information
. Difficulties for some securities issued: early redemptions and issues without prospectuses
Securities markets and s-b-s information on securities portfolios
. S-b-s data for securities issued by FVCs
. S-b-s data on the portfolios of institutional investors and non-residents
. Measure the activity of FVCs in securities markets
. Obtain the counterpart sector for inclusion in the Financial Accounts
. This information is not available for FVCs that issue their securities abroad
. Currently s-b-s data are not available for all institutional sectors
8STATISTICS AND CENTRAL BALANCE SHEET DATA OFFICE DEPARTMENT
6. The work of the European System of Central Banks to obtain European Union securitisation
statistics (h)
• The objective is to measure the activity of FVCs and the true path of euro area credit aggregates
• Currently the National Central Banks of the European System of Central Banks send to the European Central Bank data on sub-sector Other Financial Intermediaries on the basis of the available information: the statistics are detailed by type of intermediary, mainly Investment Funds and FVCs
• To improve the data and the aggregates the intention is to introduce a homogeneous statistical framework: a guideline to produce national statistics on these financial intermediaries
• For Investment Funds the work is very advanced and a draft regulation is pending endorsement. For FVCs the contents and details of the new guideline are now under discussion
9STATISTICS AND CENTRAL BALANCE SHEET DATA OFFICE DEPARTMENT
Types of securitisation: chart 1 (1)
Total securities and mortgage-backed bonds issued by Credit institutions
Outstanding amounts
0
50
100
150
200
250
300
350
1982
1984
1986
1988
1990
1992
1994
1996
1998
2000
2002
2004
jul-0
6
EU
R b
n
Total securities Mortgage bonds
10STATISTICS AND CENTRAL BALANCE SHEET DATA OFFICE DEPARTMENT
Types of securitisation: scheme 1 (2)
Originator:Credit
institution
Subscribersof the
securitiesFVC
Mortgage loans
Cash Cash
Securities
FVC for securitise mortgage loans
11STATISTICS AND CENTRAL BALANCE SHEET DATA OFFICE DEPARTMENT
Types of securitisation: scheme 2 (3)
FVC for securitise assets
Originator FVCSubscribers
of the securities
Credit institution
Assets andreceivables
Cash
Securities
Lo
ans
(ass
ets)
Lo
ans
(liabilities)
Cash
12STATISTICS AND CENTRAL BALANCE SHEET DATA OFFICE DEPARTMENT
Types of securitisation: scheme 3 (4)
FVC for synthetic securitisation
Originator FVCSubscribers
of thesecurities
Credit institution
Premiun fortransferringrisks (1)
Securities
Lo
ans
(ass
ets)
Lo
ans
(liabilities)
Cash
(1) This transaction has the same effects as a credit derivative
13STATISTICS AND CENTRAL BALANCE SHEET DATA OFFICE DEPARTMENT
Characteristics of the FVCs created to securitise assets in Spain: chart 1 (5)
Issuance of securities by FVCs and of mortgage-backed securities by credit institutions
Outstanding amounts
0
50
100
150
200
250
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
jul-06
EU
R b
n
Securities issued by FVCs Mortgage-backed securities issued by credit institutions
14STATISTICS AND CENTRAL BALANCE SHEET DATA OFFICE DEPARTMENT
Reform of the accounting standards for credit institutions and its effect on securitisation : chart
1 (6)
Lending to euro area households for house purchases
8
13
18
23
28
Dec
-03
Mar
-04
Jun-
04
Sep-
04
Dec
-04
Mar
-05
Jun-
05
Sep-
05
Dec
-05
Mar
-06
annu
al p
erce
ntag
e ch
ange
s
Unadjusted total Total adjusted for securitisation
15STATISTICS AND CENTRAL BALANCE SHEET DATA OFFICE DEPARTMENT
Sources of information necessary to measure the different aspects of the securitisation process.
Reference to Spanish sources: table 1 (7)
FVCs for securitise assets: balance-sheet EUR millions
1995 2000 2004 2005 2006 II
ASSETS
Currency and deposits 63.2 1050.0 43100.0
135990.9
167191.2
Securities other than shares: long-term
- - - 1280.8 1097.2
Loans 1130.8
20456.2
82161.9
40169.2 37240.6
Other assets 24.8 170.0 475.0 1350.0 850.0
Total assets = liabilities 1218.7
21676.2
125736.9
178791.0
206379.0
LIABILITIES
Securities other than shares:
short-term - 1983.7 5107.3 4314.9 5011.0
long-term 1173.4
15921.0
117429.7
170176.0
197068.0
Loans 23.0 3450.0 3000.0 4000.0 4000.0
Other liabilities 22.2 321.5 200.0 300.1 300.0
STATISTICS AND CENTRAL BALANCE SHEET DATA OFFICE DEPARTMENT
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