Transcript AUSTRALIAN SECURITISERS COLLECTION Wendy Raedt

AUSTRALIAN
SECURITISERS
COLLECTION
Wendy Raedt
Australian Bureau of Statistics
Overview
Development of the Australian
Securitisation Market
Development of the ABS Survey
Results from the Survey
Recent and Current Issues
Statistical Lessons
Development of Securitisation
in Australia
Started in 1980s
 State Government agencies
 Securitising public housing and public
services
1992 first prudential guidelines
 Post recession change in participants
 Some activity by banks
 New entrants (non-traditional lenders)
as mortgage market deregulated
Development of Securitisation
in Australia (cont)
 1995 update guidelines
 Definition of ‘clean sale’
 Banks activity grew rapidly through to 2007
 The market is predominantly backed by
residential mortgages
 Increase in overseas funding with growth
in offshore issues
ABS Securitiser Survey
Rudimentary ‘synthesised’ data
collection to support financial
accounts compilation
Formalised collection in 1993
 Comprehensive survey
 Legislative backing
ABS Securitiser Survey (cont)
Several Key Determinants
 Aided by discussions with market
participants
SNA
Australian prudential guidelines
ABS Securitiser Survey (cont)
Statistical Unit
 Single trust or SPV (although
consolidation under one manager
permitted)
Scope
 ALL resident SPVs not reporting to
APRA
ABS Securitiser Survey (cont)
 Coverage
 Limited to those with rating from an
independent rating agency
 Frequency
 Quarterly to support Financial Accounts
 Quality
 Approaching 95% response
 Considered to be good quality
ABS Securitiser Survey (cont)
Data Collected
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Income and expenses
Assets by type
Liabilities by type
Derivatives
All data aligned to SNA sector and
instrument classifications
Data Releases
2 main publications
 Australian National Accounts:
Financial Accounts (ABS cat.no.
5232.0)
 Assets and Liabilities of Australian
Securitisers (ABS cat.
no.5232.055.001)
Data Releases (cont)
Data Releases (cont)
Data Releases (cont)
Recent and Current
Developments
Internal Securitisation
 Also called ‘self securitisation’
 Originator sells assets to related SPV
and buys all resulting securities
 Used primarily for liquidity through
repurchase agreements with Central
Bank
Recent and Current
Developments (cont)
Australian Government Support
 Government agency (AOFM) directed
to purchase RMBS
 Up to 3 separate mandates, most
recently January 2010
 Purchases up to A$ 16 billion
Recent and Current
Developments (cont)
Covered Bonds
 Provisions in Australia’s Banking
legislation prohibits issuance of
covered bonds
 Several attempts over recent years to
change this have been rejected
 Revived attempts currently underway
due to recent explicit government
guarantee of deposits
Statistical Lessons
Imperative to remain aware and up
to date on emergence of
innovations
 Australia’s securitisation survey
example of this
Statistical Lessons (cont)
Measurement of securities from
surveys of assets
Yielded more accurate measure of
market value than typically reported
face value reported as liabilities
Statistical Lessons (cont)
Reliance on regulatory information
may not provide all data needed
 Securitisation in Australia mostly
outside regulators powers
 RBA changed credit aggregates to
include securitisation as significant
volume of household debt outside
depository corporations
Thank you