This section provides information on statistical data and background information on statistics on the assets and liabilities of financial vehicle corporations engaged in securitisation transactions.

FVC - FVC statistics refer to the aggregated balance sheet of the financial vehicle corporation (FVC) sector resident in the euro area.

Reporting of financial vehicle corporations (FVC) statistics began in the first quarter of 2010 for the reference period end-December 2009. These statistics, complemented by an enhanced reporting by monetary financial institutions (MFIs) involved in securitisation transactions, as laid down in Regulation ECB/2021/2, provide harmonised information on the securitisation market and risk transfer. Euro area FVC statistics relate to those EU Member States that had adopted the euro at the time covered by the statistics.

The FVC data refer to assets and liabilities of FVCs, covering end-of-quarter outstanding amounts and financial transactions provided on a quarterly basis.

Outstanding amounts , or stock data, refer to the value of the assets and liabilities at the end of the reference period.

Transactions , or flows data, refer to the net acquisition of a given type of asset during the period, or the net incurrence of a given type of liability.

The MFI data also include relevant information on securitisation activities. Firstly, this includes data on the net transfers of securitised loans to FVCs (with or without derecognition from the MFI balance sheet). Data on these loan transfers are used for example in adjusting loans to euro area residents for loan sales and securitisations – for more information on the method of adjustment see this Explanatory Note. Data are also available on MFIs’ holdings of debt securities issued by euro area FVCs, and MFI loans to and deposits from euro area FVCs.

Aggregated results are also compiled for the following four vehicle sub-categories:

(i) FVCs engaged in traditional securitisation;

(ii) FVCs engaged in synthetic securitisation;

(iii) FVCs engaged in insurance-linked securitisation; and

(iv) other FVCs.

FVCs resident in the territory of a euro area Member State  form the reference reporting population.

NCBs are entitled to exempt FVCs from statistical reporting requirements that would cause unreasonably high costs compared to their statistical benefit, see Annex I of Regulation ECB/2013/40.

Methodology

What is a Financial Vehicle Corporation (FVC)?

An FVC is an entity whose principal activity meets both of the following criteria:

  • it carries out securitisation transactions and its structure is intended to isolate the payment obligations of the undertaking from those of the originator, or the insurance or reinsurance undertaking (in the case of insurance-linked securitisations);
  • it issues debt securities, other debt instruments, securitisation fund units, and/or financial derivatives and/or legally or economically owns assets underlying the issue of these financing instruments that are offered for sale to the public or sold on the basis of private placements.

What is securitisation?

“Securitisation” means a transaction or scheme whereby an entity that is separate from the originator, or insurance or reinsurance undertaking, and is created for or serves the purpose of the transaction or scheme, issues financing instruments to investors, and one or more of the following takes place:

  • an asset or pool of assets, or part thereof, is transferred to an entity that is separate from the originator and is created for or serves the purpose of the transaction or scheme, either by the transfer of legal title or beneficial interest of those assets from the originator or through sub-participation;
  • the credit risk of an asset or pool of assets, or part thereof, is transferred through the use of credit derivatives, guarantees or any similar mechanism to the investors in the financing instruments issued by an entity that is separate from the originator and is created for or serves the purpose of the transaction or scheme;
  • insurance risks are transferred from an insurance or reinsurance undertaking to a separate entity that is created for or serves the purpose of the transaction or scheme, whereby the entity fully funds its exposure to such risks through the issuance of financing instruments, and the repayment rights of the investors in those financing instruments are subordinated to the reinsurance obligations of the entity.

For the purposes of FVC statistics:

  • Traditional securitisations are securitisations where there is a transfer of credit risk of an asset or pool of assets achieved either by the transfer of legal title or beneficial interest of the assets being securitised or through sub-participation.
  • Synthetic securitisations are securitisations where there is a transfer of credit risk of an asset or pool of assets achieved by the use of credit derivatives, guarantees or any similar mechanism.
  • Insurance-linked securitisations are securitisations where there is a transfer of insurance policies achieved either by the transfer of legal title or beneficial interest to an FVC, or there is a transfer of insurance risks from an insurance or reinsurance undertaking to an FVC which fully funds its exposure to such risks through the issuance of financing instruments, and the repayment rights of the investors in those financing instruments are subordinated to the reinsurance obligations of the FVC.

Definition of “originator”

“Originator” means the transferor of the assets, or a pool of assets, and/or the credit risk of the asset or pool of assets to the securitisation structure.

Integrated approach between MFI and FVC balance sheet data

Given the close links between the securitisation activities of FVCs and monetary financial institutions (MFIs), consistent, complementary and integrated reporting of MFIs and FVCs is required.

  • The MFI balance sheet statistical reporting covers: (i) Traditional MFI loan securitisation through FVCs; (ii) Other MFI loan transfers to/from non-MFIs, without the intermediation of FVCs.
  • The FVC balance sheet statistical reporting covers: (i) Securitised loans originated by MFIs and non-MFIs; (ii) Securitised assets other than loans; (iii) Synthetic securitisation; and (iv) FVC liabilities. NCBs may grant derogations on some of these reporting obligations. The reporting by FVCs on securitised loans originated by euro area MFIs may be waived by an NCB when the NCB obtains the necessary data from the MFI statistical returns.

Overview of relevant documents

 

More about data
Dataset Bulk download Calendar
FVC - Financial Vehicle Corporation Assets and Liabilities Statistics SDMX2.1CSV Release Calendar