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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