Assets and Liabilities of Australian Securitisers methodology

The securitisation process is a means of creating a liquid market for assets, such as mortgages and credit card loans, which are illiquid. In addition, the process can be used to improve the liquidity of assets such as bonds.

In its simplest form, a securitisation program can operate in the following way:

1. The manager of the program arranges for the creation of a special purpose vehicle (SPV) which is usually a trust.
2. The manager then arranges for the SPV to buy a specific pool of assets from a financial enterprise or arranges the creation of assets through credit assessment and loan approval processes by agents (called originators). The assets are usually reasonably homogeneous (e.g. good quality, fixed term, fixed rate mortgages) which should provide a steady income stream.
3. The SPV finances the initial purchase of assets by using a line of credit (sometimes from a parent or associated company). The SPV then issues debt securities which can be short or long term in nature. Money raised from the issue is used to repay any line of credit and to purchase more assets to securitise. The investors receive the income and repayment of principal from the asset (via the SPV) over the lifetime of the securities. To ensure maximum marketability for the issue, managers usually arrange enhancement facilities (e.g. guaranteed credit lines, asset insurance, etc.) and have the issue rated by at least one of the major rating agencies.
4. The manager can arrange for the SPV to issue securities, provided there is a specific and separate pool of assets backing each issue.

For the purpose of these statistics, securitisers are those legal entities which issue short and/or long-term debt securities, using specifically selected assets to back them and generate the payment streams necessary to fulfil interest and principal requirements of investors.

A securitisation program must have:

• A specifically created SPV - usually a trust - which is resident in Australia, and which is not required to provide data to the Australian Prudential Regulation Authority (APRA) under the Financial Statistics (Collection of Data) Act.
• Specifically selected assets (e.g. mortgages, receivables, etc.) backing its liabilities in the form of debt securities. In the case of mortgages, these may be on the balance sheet of the SPV or that of the originator. If the latter, the SPV will have a lien over them.

The scope of these statistics is all resident SPVs which securitise any type of asset (including mortgages, credit card receivables, lease receivables, short and long term debt securities), excluding internal securitisation. Internal securitisation, also referred to as self-securitisation, is a process in which an originator sells a pool of assets to a related special purpose vehicle (SPV), and the SPV in turn issues debt securities, which are held entirely by the originator. These securities are eligible for use as collateral in repurchase agreements (repos) with the Reserve Bank of Australia (RBA).

Balance sheet data is collected from all resident SPVs through the Survey of Financial Information (SFI).

Coverage is limited to those SPVs which are independently rated by a recognised rating agency. For more information on credit ratings, please refer to Credit Rating | Australian Securitisation Forum. 

Data are at market values. 

Data is classified according to the Australian System of National Accounts under the Standard Economic Sector Classifications of Australia (SESCA), 2021. From the September quarter 2009 issue of the Australian National Accounts: Finance and Wealth, Australian securitisers are classified to the Securitisers subsector. An explanation of how Securitiser estimates contribute to the Australian National Accounts can be found in Australian System of National Accounts: Concepts, Sources and Methods.

The securities issued - asset backed securities - are classified as either Short term debt securities (subcategory one name paper) or Long term debt securities depending on their original term to maturity.

Where figures have been rounded, discrepancies may occur between sums of the component items and totals. Published changes in dollar value and percentage terms are calculated using unrounded data and may differ slightly from, but are more accurate than, changes calculated from the rounded data presented in this publication.

Any holdings of asset backed securities issued by other programs within the same group have been eliminated on consolidation from both assets and liabilities aggregates.

Assets and Liabilities of Australian Securitisers is released quarterly, at the beginning of the third month following the reference period.

Future release dates are published under the Future releases section of the publication and in the ABS Release Calendar.

The Census and Statistics Act, 1905 provides the authority for the ABS to collect statistical information and requires that statistical outputs shall not be published or disseminated in a manner that is likely to enable the identification of a particular person or organisation.

Some statistics in this release may be suppressed to guard against identification or disclosure of confidential information in statistical tables.

The publication includes quarterly information on the following assets and liabilities:

Assets:

• Residential mortgages
• Non-residential mortgages
• Credit card loans and trade receivables
• Cash & deposits
• Holdings of short-term securities
• Holdings of asset backed bonds
• Holdings of other long-term securities
• Other loans & placements
• Other assets

Liabilities:

• Asset backed securities, issued overseas
• Asset backed securities issued in Australia, short term
• Asset backed securities issued in Australia, long term
• Loans and placements
• Other liabilities, resident
• Other liabilities, non-resident

• Australian National Accounts: Finance and Wealth.
• Managed Funds, Australia.