Circular BCL 2009/224 of 8 June 2009 — New Statistical Collection from Securitisation Vehicles

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Luxembourg, 8 June 2009
To all securitisation vehicles

CIRCULAR BCL 2009/224
New Statistical Collection from Securitisation Vehicles

Dear Madam, Dear Sir,

On 19 December 2008, the Governing Council of the European Central Bank (ECB) adopted Regulation ECB/2008/30 on statistics on assets and liabilities of securitisation special purpose entities.

This regulation complements the existing framework of ECB statistical activities necessary to enable the European System of Central Banks (ESCB) to perform its functions by defining the natural and legal persons subject to reporting obligations, the confidentiality regime, and adequate implementation and sanction provisions, in accordance with Article 5.4 of the Statutes of the European System of Central Banks and of the European Central Bank.

In this context, it should be clarified that Regulation ECB/2008/32 concerning the consolidated balance sheet of the monetary financial institutions sector, as well as ECB Guideline ECB/2004/15 on statistical reporting obligations established by the ECB concerning balance of payments and global external position statistics and the framework for the dissemination of foreign exchange reserve data, already define a number of statistical information requests concerning the securitisation vehicles sector.

The entirety of the ECB's requirements for statistical reporting from securitisation vehicles adheres to three essential rules.

First, the ECB must receive comparable, reliable, and up-to-date statistical information, collected under similar conditions throughout the euro area.

Second, the reporting obligations established in the regulations must respect the principles of transparency and legal certainty. The regulations are therefore binding and apply directly throughout the euro area. They impose obligations directly on legal or natural persons, subject to sanctions that may be imposed by the ECB if reporting requirements are not met.

The statistical information subject to reporting in accordance with ECB requirements and the minimum standards to be respected are detailed in the aforementioned ECB Guideline and Regulations. In accordance with Articles 7 and 8 of Regulation ECB/2008/30, the National Central Banks (NCBs):

• determine and implement the reporting mechanism to be followed by the actual reporting population in accordance with national characteristics;
• exercise the right of verification or mandatory collection of information that reporting agents are required to provide under the aforementioned ECB Regulation.

Based on the aforementioned ECB Guideline and Regulations, the BCL has developed a collection system for securitisation vehicles, the characteristics of which are detailed in this circular.

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1 Objectives

Based on ECB Guideline ECB/2004/15 and Regulations ECB/2008/30 and ECB/2008/32, the BCL has developed a collection system intended to meet the following objectives:

• complete coverage of the foreseeable requirements of the European Central Bank regarding monetary and financial statistics.
• minimization of the workload for reporting agents.
• consistency with data collected for prudential supervision purposes.
  This consistency, which is not possible for all information to be collected, allows the use of prudential data in the process of compiling data intended for the ECB and contributes to the quality control of collected data.
• compatibility with the ESA 95 standard (European System of Accounts 1995).
  The conformity of data collected according to the ESA 95 standard will facilitate their use in the field of national accounting and in the field of the balance of payments and should help avoid additional inquiries.

2 Main Innovations

Compared to the existing prudential collection system, the innovations concern both the reporting population and the detail of data to be collected.

• A significant innovation is the introduction of a new category of reporting agents, namely securitisation vehicles that do not fall under the scope of the Law of 22 March 2004 but are governed by the Law of 10 August 1915 on commercial companies.
• On the other hand, securitisation vehicles of modest size are exempt from collection provided that they communicate their balance sheet total to the BCL quarterly.
  Indeed, the aforementioned ECB Regulations provide for the possibility of exempting small-sized reporters from reporting. Exemptions will be granted based on the share of the balance sheet total of reporters in the aggregate balance sheet total of all securitisation vehicles. Exemptions will be granted as long as the degree of coverage of the collection will be greater than 95% of the aggregate balance sheet total of all Luxembourg securitisation vehicles.

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• The introduction of a new category of reporting establishments also implies the definition of new statistical reports addressed to all securitisation vehicles. Thus, securitisation vehicles must prepare specific statistical reports to satisfy the ECB's information requests.

The statistical reports differ from the existing prudential reporting in that they provide for an allocation of assets and liabilities according to:

• the country of residence of the counterparty;
• the currency of assets and liabilities;
• the economic sector of the counterparty;
• the initial maturity of assets and liabilities.

The nomenclature and definitions allowing the application of this allocation of assets and liabilities are described in the document “Definitions and concepts for statistical reporting of securitisation vehicles” as well as in the reporting instructions relating to the statistical reports of securitisation vehicles.

3 Securitisation Vehicles

3.1 Definitions

In accordance with Article 1 of Regulation ECB/2008/30, “securitisation vehicle” means an entity constituted in accordance with national or Community law, pursuant to:

• contract law, as a common fund managed by management companies;
• trust law;
• company law, as a public limited company or a limited liability company;
  or
• any other similar mechanism;

and whose main activity meets the following two criteria:

• the entity intends to perform, or performs, one or more securitisation transactions and is protected against the risk of bankruptcy or any other failure of the originator;

and

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• the entity issues, or intends to issue, securities, fund shares, other debt securities and/or financial derivative products and/or is, or may be, legally or economically the owner of the underlying assets for the issuance of securities, fund shares, other debt securities and/or financial derivative products that are the subject of a public offer for sale or are sold in the context of private placements.

In this same context, “securitisation” means a transaction or structure by which an asset or basket of assets is transferred to an entity separate from the originator that has been created for the purpose of securitisation or is used for that purpose, and/or the credit risk associated with an asset or basket of assets, or part thereof, is transferred to investors who acquire the securities, fund shares, other debt securities and/or financial derivative instruments issued by an entity separate from the originator that has been created for the purpose of securitisation or is used for that purpose; and in the context of which:

• in the case of transfer of credit risk, this is achieved by:
  • the economic transfer of securitized assets to an entity separate from the originator that has been created for the purpose of securitisation or is used for that purpose. This implies the transfer by the originator of the ownership of the securitized assets or a sub-participation;
  • or the use of credit derivatives, guarantees, or any similar mechanism;

and

• in the case of issuance of such securities, fund shares, debt securities and/or financial derivative products, these do not represent the payment obligations of the originator.

Finally, “originator” means the transferor of an asset or basket of assets and/or the credit risk associated with the asset or basket of assets to the securitisation structure.

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3.2 List of Securitisation Vehicles

The ECB establishes and updates, for statistical purposes, a list of securitisation vehicles constituting the reference reporting population. To this end, Luxembourg securitisation vehicles provide the BCL with the data requested by the latter in accordance with ECB Guideline ECB/2008/31 of 19 December 2008 amending ECB Guideline ECB/2007/9 on monetary statistics, financial institutions, and capital market statistics. The BCL transmits this information to the ECB, which establishes the list of securitisation vehicles for the entire euro area and ensures access to this list and its updates through appropriate means, including electronic means via the Internet, or, upon request by the concerned reporting agents, on paper.

4 Statistical Data Collection

The statistical data collection addressed to all securitisation vehicles is intended for purely statistical purposes and is based primarily on the requirements formulated in the aforementioned ECB Regulations.

4.1 Regulation ECB/2008/30 concerning assets and liabilities of securitisation vehicles

In accordance with Regulation ECB/2008/30, the BCL must provide the ECB with quarterly information on:

• outstanding amounts of assets and liabilities of securitisation vehicles;
• transactions carried out by securitisation vehicles.

4.1.1 Outstanding Reporting

Regarding information on outstanding amounts, the ECB Regulation provides for a quarterly collection of data from securitisation vehicles.

As indicated above, the BCL opted for the introduction of a single report for all securitisation vehicles, regardless of the existence of prudential reporting for securitisation vehicles falling under the supervision of the CSSF.

Report S 2.14 “Quarterly Statistical Balance Sheet of Securitisation Vehicles,” attached to this circular, allows for the identification of all necessary information on the outstanding amounts of assets and liabilities of securitisation vehicles.

4.1.2 Transaction Reporting

Regarding information on transactions carried out by securitisation vehicles, the ECB Regulation provides for a quarterly collection of data from securitisation vehicles.

As indicated above, the BCL also opted for the introduction of a single report for all securitisation vehicles, regardless of the existence of prudential reporting for securitisation vehicles falling under the supervision of the CSSF.

Report S 2.15 “Information on transactions carried out by securitisation vehicles,” attached to this circular, allows for the identification of all necessary information on transactions carried out on the assets and liabilities of securitisation vehicles.

4.2 BCL Statistical Reporting

To ensure the collection of statistical data by the ECB, securitisation vehicles must periodically submit specific information to the BCL.

These financial information are:

• Report S 2.14 “Quarterly Statistical Balance Sheet of Securitisation Vehicles”;
• Report S 2.15 “Information on transactions carried out by securitisation vehicles.”

These documents are available and can be downloaded from the BCL website at the following addresses:

http://www.bcl.lu/fr/reporting/index.html http://www.bcl.lu/en/reporting/index.html

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4.3 Entities Subject to BCL Statistical Reporting

4.3.1 Reporting Population

The reference reporting population consists of resident securitisation vehicles located on the territory of Luxembourg and governed by the Laws of:

• 22 March 2004;
• 10 August 1915.

While the Law of 22 March 2004 concerns securitisation vehicles that issue securities continuously and are therefore subject to approval and supervision by the CSSF, the Law of 10 August 1915 concerns all other securitisation vehicles.

The actual reporting population consists of the reference reporting population, excluding securitisation vehicles that benefit from a total exemption (cf. point 4.3.2).

The actual reporting population is subject to the reporting obligations set out in point 4.2.

When a securitisation vehicle does not have legal personality under Luxembourg law, the reporting of information required under this circular is performed by the persons legally authorized to represent it or, in the absence of official representation, by the persons who, under Luxembourg law, are responsible for the acts of the securitisation vehicle.

4.3.2 Derogations

The BCL may grant the following derogations from the reporting obligations set out in point 4.2:

• The BCL may grant securitisation vehicles derogations from their reporting obligations regarding loans for which the originator is a monetary financial institution (MFI) of the euro area, allocated by maturity, sector, and residence of debtors, when the MFI continues to ensure the collection of securitized loans within the meaning of Regulation ECB/2008/32. The reporting of this data is provided for by Regulation ECB/2008/32.

• The BCL may exempt securitisation vehicles from all reporting obligations set out in the annex, with the exception of the obligation to report quarterly data regarding end-of-quarter outstanding amounts on total assets, provided that securitisation vehicles contributing to the aggregate quarterly assets/liabilities represent at least 95% of the total assets of securitisation vehicles established in Luxembourg. The BCL verifies compliance with this condition in a timely manner to grant or withdraw any derogation if necessary, this decision taking effect at the beginning of each calendar year.

• To the extent that the data referred to in point 4.2 can be established in accordance with the minimum statistical standards specified in the reporting instructions from other statistical data sources, public or prudential, the BCL may, after consulting the ECB, exempt reporting agents totally or partially from the reporting obligations set out in the annex of this Regulation.

Securitisation vehicles may choose, with the prior consent of the BCL, not to use the derogations mentioned above but to comply with the full reporting obligations set out in point 4.2.

Securitisation vehicles benefiting from a derogation report their annual financial situations to the BCL, if they are not publicly accessible, within six months from the end of the reference period or as soon as possible after this date, in accordance with national legal practices in force in Luxembourg. The BCL informs securitisation vehicles subject to this reporting obligation.

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4.3.3 List of Entities Subject to BCL Statistical Reporting

The Central Bank of Luxembourg informs reporting agents subject to statistical reporting by separate letter.

In this same context, the BCL will contact securitisation vehicles subject to the statistical reporting obligation individually to determine by mutual agreement the practical modalities for the execution of the statistical reporting obligation in view of the derogations mentioned under point 4.3.2.

5 Quality of Data Transmitted

It should be emphasized that the quality of data transmitted to the BCL is important and that data must be submitted to detailed verification rules in the technical documentation prior to transmission. Only rigorous control performed at the time of data production can meet both quality requirements and imposed deadlines. This point is all the more important as the data collected in this manner are controlled by the ECB services before being aggregated with data from other Member States. Any significant error or negligence will have damaging repercussions on the reputation of the entire Luxembourg financial community.

6 Compliance with Reporting Deadlines

The BCL will establish and publish on its website a table listing the precise dates by which the quarterly statistical tables must be submitted.

It is reminded to securitisation vehicles that the BCL must transmit the quarterly statistical reports to the European Central Bank within 28 working days following the period to which they relate. It is therefore essential that institutions strictly respect the delivery deadlines defined in this circular so that the BCL can meet its commitments within the ESCB.

7 Implementation of the New Collection

The communication of this information is mandatory starting from the end of December 2009 deadline. The first declaration in application of the statistical reporting obligations therefore begins with the quarterly data of December 2009. Only outstanding amounts are declared during the first declaration of data.

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The first quarterly statistical report S 2.14 “Quarterly Statistical Balance Sheet of Securitisation Vehicles” must be submitted by 5 February 2010 at the latest.

Please accept, Madam, Sir, the assurance of our very distinguished sentiments.

CENTRAL BANK OF LUXEMBOURG
The Management

Pierre BECK Serge KOLB Yves MERSCH