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AUSTRALIAN SECURITISERS COLLECTION

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.

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AUSTRALIAN SECURITISERS COLLECTION

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  1. AUSTRALIAN SECURITISERS COLLECTION Wendy Raedt Australian Bureau of Statistics

  2. Overview • Development of the Australian Securitisation Market • Development of the ABS Survey • Results from the Survey • Recent and Current Issues • Statistical Lessons

  3. 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

  4. 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

  5. ABS Securitiser Survey • Rudimentary ‘synthesised’ data collection to support financial accounts compilation • Formalised collection in 1993 • Comprehensive survey • Legislative backing

  6. ABS Securitiser Survey (cont) • Several Key Determinants • Aided by discussions with market participants • SNA • Australian prudential guidelines

  7. ABS Securitiser Survey (cont) • Statistical Unit • Single trust or SPV (although consolidation under one manager permitted) • Scope • ALL resident SPVs not reporting to APRA

  8. 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

  9. ABS Securitiser Survey (cont) • Data Collected • Income and expenses • Assets by type • Liabilities by type • Derivatives • All data aligned to SNA sector and instrument classifications

  10. 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)

  11. Data Releases (cont)

  12. Data Releases (cont)

  13. Data Releases (cont)

  14. 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

  15. 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

  16. 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

  17. Statistical Lessons • Imperative to remain aware and up to date on emergence of innovations • Australia’s securitisation survey example of this

  18. 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

  19. 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

  20. Thank you

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