This Statistics Working Paper includes the documents that were presented during the various sessions of the Workshop on Securitisation, held in Madrid on 27-28 May 2010, as well as summaries at the beginning of each section. The Workshop brought together regular members of the Working Party on Financial Statistics (WPFS), statisticians, analysts, supervisors, experts from accounting standard-setting institutions and from International Organisations, and representatives from the industry and from international associations. It aimed at exchanging views so as to better understand securitisation from various angles and to help improve the completeness and the usefulness of future statistics...