Issuers of asset-backed securities (ABS) are special purpose vehicles (SPVs) that hold pools of assets (usually loans) in trust and use them as collateral for issuance of ABS. Most of these SPVs are formed by depository institutions, real estate investment trusts (REITs), and finance companies to move assets off their balance sheets into bankruptcy-remote entities. These originators often continue to act as servicers of the loans after the SPV is formed to earn fee income. This sector includes all off-balance-sheet SPVs, except those in the sector for agency- and GSE-backed mortgage pools and those in the REIT sector (shown as a memo item at the bottom of this table).
Assets in the pools include home, multifamily, and commercial mortgages; consumer credit (such as automobile and student loans and credit card receivables); trade credit; Treasury securities; agency- and GSE-backed securities; and other loans and advances. The instrument "other loans and advances" includes nonfinancial business loans securitized by depository institutions and finance companies and syndicated loans to nonfinancial corporate businesses.
Liabilities of this sector are the securities issued by the SPVs and are typically medium- to long-term corporate bonds and commercial paper. These securities are largely pass-through securities, in which purchasers receive any interest, amortization, and principal payments on the underlying collateral.
Also included in this sector are consumer motor vehicle leases that were originally held by finance companies but have now been securitized. Acquisition of the motor vehicles by issuers of ABS occurs when the lease is securitized and is shown as fixed investment on this table. The leases themselves are not financial assets of this sector or of the original finance company lessor and are not liabilities of the household sector; rather, lease payments are treated as consumer expenditures by the household sector and as current income of the issuers of the ABS sector. The securitized consumer leases are shown as a memo item at the bottom of this table.
Instruments comprised of asset-backed securities, such as collateralized debt obligations (CDOs) and structured investment vehicles (SIVs), are not included in the flow of funds accounts because of limited source data. In the ABS table, CDOs and SIVs, which are comprised of outstanding securities, are not included on the asset side. Similarly, the bonds issued by CDOs and SIVs are not included on the liabilities side of the ABS sector balance sheet.
Note: Because of accounting rule changes established by Statements of Financial Accounting Standards Nos. 166 and 167 in the first quarter of 2010, commercial paper that had been issued by SPVs with depository institution parents was removed from this sector's debt and consolidated back on to the parents' balance sheet. The amount of commercial paper outstanding that was shifted is shown as a memo item at the bottom of this table.