Financial vehicle corporations (FVCs)

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.

Furthermore, the section "Guidance to reporters" provides a gateway to the reporting requirements as implemented by the national central banks in the euro area.

Data

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.

Euro area financial vehicle corporations balance sheets

• Aggregated balance sheet of euro area financial vehicle corporations
• Aggregated balance sheet of euro area financial vehicle corporations broken down by nature of securitisation
• Holdings of securitised loans broken down by originator and borrower sector

National aggregated financial vehicle corporations balance sheets

• Euro area totals and country comparison
• Euro area countries

Statistical Data Warehouse - Interactive data access

• All financial vehicle corporations time series
• MFI loans adjusted for loan sales and securitisation time series
• Further data on securitisation activities of MFIs
• Further data on MFI positions vis-à-vis FVCs
• MFI aggregated balance sheet data

Release calendar for the euro area FVCs statistics

Background

Financial vehicle corporation (FVC) statistics are collected under the Regulation ECB/2021/2 concerning statistics on the assets and liabilities of financial vehicle corporations engaged in securitisation transactions and Guideline ECB/2021/12 on financial intermediaries other than monetary financial institutions. These set the framework for the reporting of statistics regarding the holdings of securitised assets and the issuance by FVCs of securities backed by these assets.

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

•  Regulation ECB/2013/40 of 18 October 2013 concerning statistics on the assets and liabilities of financial vehicle corporations engaged in securitisation transactions (recast)
  

• Regulation (EU) 2021/379 of the European Central Bank of 22 January 2021 on the balance sheet items of credit institutions and of the monetary financial institutions sector (recast)

• Guideline ECB/2021/12 of 26 March 2021 on statistical information to be reported on financial intermediaries other than monetary financial institutions

Guidance to reporters

Central Eurosystem access point for FVC Statistics

The ECB Regulation is directly applicable in all euro area countries. It provides the harmonised definitions applicable in all countries as well as the common reporting requirements. In addition, and depending on the jurisdiction concerned, NCBs may issue more detailed instructions as guidance for reporting agents in the country.

In order to facilitate the access to this information at the euro area level, this page provides a central gateway to information available at national level regarding FVC statistics. It contains links to NCB documents providing information on FVC statistics for reporting agents, including instructions for the national reporting requirements and registration. In addition, relevant contact details at each NCB are provided. All questions regarding the national reporting requirements should be addressed to the respective NCBs.