Page 431 - Invited Paper Session (IPS) - Volume 2

IPS307 Tjeerd Jellema et al.
It has been observed previously that SPEs may occur in different
institutional subsectors, even including non-financial corporations. Two
financial corporation subsectors, other financial intermediaries (S125) and
captive financial institutions and money lenders (S127) are however
considered particularly relevant in relation to SPEs. This was confirmed by the
ECB fact finding [ECB (2017)]. The sector detail provided in the European b.o.p.
does not allow a detailed assessment of the relative importance of these two
subsectors by country. More sectoral detail is however available from the
monetary union financial accounts (MUFA) that provides an aggregate for
subsectors S125, financial auxiliaries (S126) and S127 that is denoted by the
code S12O. As subsector S126 would lack a substantial balance sheet, the
S12O balance sheet mostly reflects on the two sub-sectors of interest. In order
to establish the relative importance of these sub-sectors as regards the
presence of SPEs, we focus on their equity and debt securities liabilities.
Whereas entities classified in S125 would have by and large liabilities
consisting of debt securities but relatively little equity, entities belonging in
S127 might have either equity or debt securities as liabilities. By assessing the
relative size of liabilities of the combined sector S12O in the economy a sense
of the importance of these types of SPEs can be obtained. We assess the share
of equity liabilities for S12O which captures for instance holding companies
(S127) compared with the total economy (S1). We also calculate the share of
debt security liabilities in S12O to the total debt security liabilities of S11 and
S12O (associated with either S125 or S127), as well as the share of debt
security liabilities of securitization vehicles (SPV’s, exclusively classified in
S125).
Figure 2 presents these data. The seven countries with assumed SPE
concentrations are labelled with a yellow diamond. As regards the equity
indicator, the euro area SPE concentrating countries all report high shares
(between 55% for the Netherlands to 95% for Luxembourg, only Ireland has a
relatively low 20%). As regards the debt securities indicator, values exceeding
50% are observed for all SPE concentrating countries (except Hungary). It is
noteworthy however that high values are observed also for several non-SPE
concentrating countries such as Spain, Italy and Germany. Part of the
1
explanation is found in the relevance of SPV’s (S125) in these euro area

1 The data is not available for other EU countries
The ECB has started recently a separate voluntary collection from EU countries of quarterly
b.o.p. and i.i.p. data for resident SPEs. This collection covers some broad details of the current
and financial account, a split by financial and non-financial SPEs and basic geography to
understand the impact of SPEs in the EU. This collection is currently based on national
definitions; however the idea is to move to the IMF TF-SPE definition to make this definition
operational supported by the European typology.

418 | I S I W S C 2 0 1 9