AUSTRALIAN SECURITISERS COLLECTION

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AUSTRALIAN SECURITISERS COLLECTION

• Wendy Raedt
• Australian Bureau of Statistics

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Overview

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

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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

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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

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ABS Securitiser Survey

• Rudimentary synthesised data collection to
  support financial accounts compilation
• Formalised collection in 1993
• Comprehensive survey
• Legislative backing

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ABS Securitiser Survey (cont)

• Several Key Determinants
• Aided by discussions with market participants
• SNA
• Australian prudential guidelines

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ABS Securitiser Survey (cont)

• Statistical Unit
• Single trust or SPV (although consolidation under
  one manager permitted)
• Scope
• ALL resident SPVs not reporting to APRA

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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

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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

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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)

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Data Releases (cont)
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Data Releases (cont)
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Data Releases (cont)
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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

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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

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Recent and Current Developments (cont)

• Covered Bonds
• Provisions in Australias 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

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Statistical Lessons

• Imperative to remain aware and up to date on
  emergence of innovations
• Australias securitisation survey example of this

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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

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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

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Thank you