Financial Vehicle Corporation Statistics Q3 2015

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Summary

Total FVC asset values fell to €415bn in Q3 2015, despite an increase in FVC reporting numbers. The fall in asset values was attributable to valuation movements, as net transaction flows remained positive over the quarter.

In Q3 2015, the total value of FVC assets fell by €3.4 billion to €415 billion[1], arising from transactions of €1.8 billion and revaluations of minus €5.2 billion (Chart 1). Inflows on the assets side of €6.1 billion occurred in the Securitised Loans and Other Assets categories, although these were somewhat offset by outflows in deposit and loan claims and other securitised assets. Large transactions and revaluations in Other Assets and Other Liabilities primarily reflected offsetting derivatives contract movements. Asset valuations were also affected by a weakening of sterling against the euro of 4% over the quarter.

Despite FVC asset values falling back to Q1 2015 levels (Chart 2), reporting numbers rose over the quarter, with increases mainly in consumer and corporate asset backed securities type vehicles. This is a reversal from the previous quarter, when a number of these vehicles were wound down. The combination of an increase in vehicle numbers and positive net transactions indicates an increase in activity in the Irish FVC sector. Net inflows into Irish FVCs have been positive for the past four quarters, totalling €30.4 billion.

Euro area FVC asset values rose by €19 billion in Q3 2015 to €1,826 billion. Ireland’s share of euro area assets fell slightly from 23.1% in Q2 2015 to 22.7% in Q3 2015 (Chart 3), having risen in the previous four quarters as euro area FVC assets declined. The rising number of reporting vehicles confirms Ireland as a major host location for the incorporation of securitisation vehicles.

Notes

These data were collected under the requirements of Regulation (EC) No. 24/2009 concerning statistics on the assets and liabilities of financial vehicle corporations engaged in securitisation transactions (ECB/2008/30), which was passed on 19 December 2008, obliging financial vehicle corporations to report quarterly balance sheets. Reporting is obligatory for all financial vehicle corporations resident in Ireland.
The full data series for Ireland is available on the Central Bank of Ireland website here and euro area statistics are available from the ECB website here.

‘Financial vehicle corporations’ (FVCs) are undertakings which are constituted pursuant to National or Community Law and whose principal activity meets both of the following criteria:

• to carry out securitisation transactions which are insulated from the risk of bankruptcy or any other default of the originator;
• to issue securities, securitisation fund units, other debt instruments and/or financial derivatives, and/or to legally or economically own assets underlying the issue of securities, securitisation fund units, other debt instruments and/or financial derivatives that are offered for sale to the public or sold on the basis of private placements.

‘Securitisation’ refers to a transaction or scheme whereby: (i) an asset or pool of assets is transferred to an entity that is separate from the originator and is created for or serves the purpose of the securitisation; and/or (ii) the credit risk of an asset or pool of assets, or part thereof, is transferred to the investors in the securities, securitisation fund units, other debt instruments and/or financial derivatives issued by an entity that is separate from the originator and is created for or serves the purpose of the securitisation.
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¹ FVC data include assets of two NAMA vehicles at nominal value.