Korea’s compilation methodfor securitization

2010. 11

Sung-Hwan KIM

(shk@bok.or.kr)

1. Background

2. Data collection

3. Compilation

4. Statistics

Background

Institutions SPC

“Act relating Asset Debenture”(1998)

“Mortgage Debenture Company Act”(1999)

establish

hand over assets

Investors ABS

Background

Institutions FSC

“Act relating Asset Debenture”(1998)

“Mortgage Debenture Company Act”(1999)

register plans for securitization

FSS information

Data Collection

Bank of Korea “DART” ① identify SPCs

SPCs

② data* * Balance

sheet(B/S), detailed statement

Compilation

ABS (stock)

total liability of the economy = sum of SPCs’ liability

ABS (stock)

total asset = total liability (of the economy)

Compilation

ABS (stock)

asset of General Government & Financial Corp. sector

sum of ABS holdings

∙ data : B/S & bond-holdings statement

asset of Rest of the World

∙ data : ‘Balance of Payments Team’

Compilation

ABS (stock)

asset of public corporations

sum of ABS holdings

∙ data : B/S & bond-holdings statement

* Non-financial corporation sector = public corp. + private corp.

Compilation

ABS (stock)

asset of private corp. & Household+NPISH

sector

① total asset of the economy minus asset of (general government & financial corp. sector + public corporation)

Compilation

ABS (stock)

asset of private corp. & Household+NPISH

sector (continue)

② estimation

using ‘bond-deposit statement’ from securities companies

Compilation

Valuation at Market Price

Bank of Korea

Company (3)* * bond price evaluate

data*

* price of issue, market price

Compilation

ABS (flow)

total source of the economy = sum of changes of all SPCs’ liability at issue price*

* stock at the end of the period – stock at the end of the previous period

total source = total use (of the economy)

Compilation

ABS (flow)

use of General Government sector & Financial corporation sector & public corporations

changes of ABS at issue price + gain or loss of trading

* data : B/S, bond-holdings statement

Compilation

ABS (flow)

use of private corporations &

NPISH+Household sector

estimation

using ‘bond-deposit statement’ from securities companies

Statistics

ABS stock on June 2010 (trillion Won)

Total liability of the economy : 58.9

- Financial corporations : 58.9

∙ Other financial intermediaries : 58.9

Statistics

ABS stock on June 2010 (trillion Won)

Total asset of the economy : 58.9

- Financial corporations : 35.6

∙ DMBs : 18.1 ∙ Insurance companies : 11.1

- General government : 8.1

- Household + NPISH : 10.9