Handbook on Securities Statistics

1

• Handbook on Securities Statistics
• Overview of a joint BIS-ECB-IMF initiative
• Reimund Mink, ECB
• OECD Working Party on Financial Statistics,
  Paris, 2 to 4 November 2009

2
Overview

• Part 1 of the Handbook
• Objectives, scope and consistency
• Structure and content
• Stylised presentational table
• A few examples on its value added
• A large consultation process
• Its implementation
• Available on the IMF website http//www.imf.org/e
  xternal/ns/search.aspx?NewQueryHandbookSecuritie
  sStatisticscolsubmit.x37submit.y7
• Part 2 of the Handbook Brief introduction

3
Objectives, scope and consistency

• Background
• June 2007 recommendations in CGFS report
• October 2007 recommendations in G8 report
• November 2007 reconvened IMF Working Group on
  Securities Database (WGSD)
• March 2008 in Washington IFC workshop
  Challenges to improve global comparison of
  securities statistics (see IFC Publication on )
• Upon general demand BIS-ECB-IMF took joint
  initiative to develop Handbook on Securities
  Statistics (HSS), initially (Part I) to cover
  debt securities issues
• Objectives
• Improve information on securities markets
• Develop a conceptual framework for presentation
  of statistics on different types of securities
  issued and held
• Consistency with existing international
  statistical standards

4
Structure of the Part I of the HSS
Structure of Part I of the Handbook
Objectives, scope and consistency

• Section 1 Introduction
• Section 2 Main features of debt securities
• Section 3 Institutional units and sectors
• Section 4 Securitisation
• Section 5 Accounting rules, valuation, and
  recording of accrued interest
• Section 6 Classification of debt securities
• Section 7 Detailed presentation tables
• Section 8 Metadata
• Annexes structured debt securities Islamic debt
  securities market value and nominal value (to be
  added soon) security-by-security databases
  example of metadata for debt securities statistics

5
Content of the Part I of the HSS
Content of Part I of the Handbook

• Follows international statistical standards like
  2008 SNA or BPM6
• Goes beyond these standards by
• Presenting refinements in
• Developing more detailed financial instrument
  classifications (by currency, maturity, interest
  rate, default risk, etc.)
• Looking at securitisation operations and units
  involved in securitisation
• Dealing with borderline cases like structured
  debt securities
• Having an annex on Islamic debt securities
• Describing security-by-security databases
• Looking at examples of metadata
• Developing detailed presentation tables

6
Stylised presentation table
7
A few examples on its value added

• Debt securities under securitisation
  schemes(Section 4)
• Some further detailed presentation tables
  (Section 7)
• Reconciling market and nominal values for debt
  securities(Annex 3)

8
Debt securities under securitisation schemes (a)

• Securitisation coupon or principal payments are
  backed by specified assets or future income
  streams
• Description of the process with 3 broad
  categories
• Type 1 On-balance sheet securitisation no
  transfer of assets, no ad hoc corporation)
• Type 2 True-sale securitisation use of a
  securitisation corporation and transfer of assets
  from the original owner
• Type 3 Synthetic securitisation no transfer of
  assets, only a transfer of credit risk
• Definition of securitisation narrower in
  Regulation (EC) No 24/2009 of the ECB concerning
  statistics on the assets and liabilities of
  financial vehicle corporations engaged in
  securitisation transactions (ECB/2008/30) than
  the one in the Handbook
• Type 1 securitisation schemes are outside the
  scope of the ECB Regulation by definition, while
• Type 2 und Type 3 securitisation schemes are
  covered

9
Debt securities under securitisation schemes (b)

• Three broad categories of securitisation

10
Debt securities under securitisation schemes (c)

• Statistical classification
• Type of securities
• ABS, including ABCP, covered bonds, CLN and debt
  securities with credit structuring, o/w CDO
• Sector of the issuing unit
• In Type 1 all types
• In (Type 2) and (Type 3) other financial
  intermediaries only
• Residence of the securitisation corporation
  country where it is incorporated, specific case
  of general government units

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Some further detailed presentation tables (a)

• By issuer and market
• By issuer and currency
• By issuer and maturity
• By issuer and interest rate
• By issuer positions and flows

12
Some further detailed presentation tables (b)

• Presentation table by issuer and market
• It shows debt securities issues broken down
• By issuer and market, with a split between
• Issuer into resident sectors and sub-sectors and
• Market into domestic market and international
  markets.
• The third row for debt securities issues in all
  markets represents debt securities issued by all
  issuers in all markets. Supplementary statistics
  may also be shown for debt securities issued by
  non-residents and all issuers in the domestic
  market.

Issuer Market Residents Residents Residents Residents Residents Residents Residents Residents Residents Non-residents All issuers
Issuer Market Non-financial corpo-rations Financial corporations Financial corporations Financial corporations Financial corporations General government General government House-holds and NPISH Memo item public sector Non-residents All issuers
Issuer Market Non-financial corpo-rations Central bank Other moneyissuing corporations Securitisation corporations Other financial corporations Central govern-ment Other general govern-ment House-holds and NPISH Memo item public sector Non-residents All issuers
1. Domestic market
2. International markets    
3. All markets    
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Some further detailed presentation tables (c)

• Presentation table by issuer and currency
• It shows debt securities issues broken down
• By issuer and currency of denomination, with a
  split into
• Domestic currency and foreign currencies
• A third row for debt securities issues
  denominated in all currencies represents debt
  securities issued by issuer in all currencies

Issuer Currency Residents Residents Residents Residents Residents Residents Residents Residents Residents Non-residents All issuers
Issuer Currency Non-financial corpo-rations Financial corporations Financial corporations Financial corporations Financial corporations General government General government House-holds and NPISH Memo item public sector Non-residents All issuers
Issuer Currency Non-financial corpo-rations Central bank Other moneyissuing corpo-rations Securiti-sation corpo-rations Other financial corpo-rations Central govern-ment Other general govern-ment House-holds and NPISH Memo item public sector Non-residents All issuers
1. Domestic currency
2. Foreign currencies
3. All currencies
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Some further detailed presentation tables (d)

• Presentation table by issuer and maturity
• It shows debt securities issues broken down
• By issuer and maturity
• With a split into short term and long term at
  original maturity and
• Long term broken down further into four
  sub-categories
• A memorandum item shows debt securities issues
  with long term at original maturity, with a
  remaining maturity up to and including one year

Issuer Maturity Residents Residents Residents Residents Residents Residents Residents Residents Residents Non-residents All issuers
Issuer Maturity Non-financial corpo-rations Financial corporations Financial corporations Financial corporations Financial corporations General government General government House-holds and NPISH Memo item public sector Non-residents All issuers
Issuer Maturity Non-financial corpo-rations Central bank Other moneyissuing corpo-rations Securi-tisation corpo-rations Other financial corpo-rations Central govern-ment Other general govern-ment House-holds and NPISH Memo item public sector Non-residents All issuers
1. Short term at original maturity
2. Long term at original maturity
2.1 More than one year and up to and including two years
2.2 More than two years and up to and including five years
2.3 More than five years and up to and including ten years
2.4 More than ten years
3. All maturities
4. Memo item long term at original maturity, with a remaining maturity up to and including one year
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Some further detailed presentation tables (e)

• Presentation table by issuer and interest rate
• It shows debt securities issues broken down
• by issuer and interest rate
• with a split into fixed interest rate and
  variable interest rate and
• variable interest rate further broken down into
  three sub-categories

Issuer Interest rate Residents Residents Residents Residents Residents Residents Residents Residents Residents Non-residents All issuers
Issuer Interest rate Non-financial corpo-rations Financial corporations Financial corporations Financial corporations Financial corporations General government General government House-holds and NPISH Memo item public sector Non-residents All issuers
Issuer Interest rate Non-financial corpo-rations Central bank Other moneyissuing corporations Securiti-sation corpo-rations Other financial corpo-rations Central govern-ment Other general govern-ment House-holds and NPISH Memo item public sector Non-residents All issuers
1. Fixed interest rate
2. Variable interest rate
2.1 Inflation-linked
2.2 Interest rate-linked
2.3 Asset price-linked
3. All interest rates
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Some further detailed presentation tables (f)

• Presentation table by issuer positions and flows
• Expressed in market value, positions are covered
  at the end of the previous period, flows during
  the current period and positions at the end of
  the current period transactions are split into
  gross (gross issues and redemptions) and net
  (gross issues net of redemptions)

Issuer Positionsand flows Residents Residents Residents Residents Residents Residents Residents Residents Residents Non-residents All issuers
Issuer Positionsand flows Non-financial corpo-rations Financial corporations Financial corporations Financial corporations Financial corporations General government General government House-holds and NPISH Memo item public sector Non-residents All issuers
Issuer Positionsand flows Non-financial corpo-rations Central bank Other moneyissuing corporations Securiti-sation corpo-rations Other financial corpo-rations Central govern-ment Other general govern-ment House-holds and NPISH Memo item public sector Non-residents All issuers
1. Position at end of previous period
2. Issues during current period
2.1 Net issues (gross issues net of redemptions)
2.2 Gross issues
2.3 Redemptions
3. Revaluations during current period
4. Other changes in volume during current period
5. Position at end of current period
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Reconciling market and nominal values

• Reconciling market and nominal values for debt
  securities (Annex 3)
• Market valuation is the
• Key principle for valuing transactions and
  positions of debt securities adopted by the
  international statistical standards (2008 SNA
  2.59 and BPM6 8.12)
• The market value is that at which debt securities
  are acquired or disposed of between willing
  parties, on the basis of commercial
  considerations only, excluding commissions, fees,
  and taxes.
• In determining market values trading parties also
  take account of accrued interest.
• Nominal valuation of debt securities reflects
• The sum of funds originally advanced, plus any
  subsequent advances less any repayments, plus any
  accrued interest.1, 2
• Nominal value is often mistakenly considered to
  be the same as face value.
• 1 The nominal value in domestic currency of a
  debt denominated in foreign currency also
  includes revaluations arising from exchange rate
  changes (see par 5.22).
• 2 For debt securities indexed to a narrow
  index, the nominal value can also include holding
  gains and losses arising from movements in the
  index. See BPM6, paragraph 11.61 (b).

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Consultation
Large consultation process

• Wide consultation during preparation of Part I of
  the Handbook
• Part I of the Handbook released in May 2009 (less
  than one year to complete)
• Compilers of debt securities statistics invited
  to make use of conceptual framework and improve
  their national debt securities statistics

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Implementation
Implementation

• Use of the framework to improve debt securities
  statistics worldwide
• BIS to coordinate transmitting data to fill
  presentation tables according to the terminology
  as described in the Handbook
• ECB to coordinate with European Union central
  banks in the Statistics Committee of the European
  System of Central Banks
• Implementation of 2010 ESA in 2014 (which is in
  line with the Handbook)
• Application of the Centralised Securities
  Database (CSDB)
• Around 40 central banks have nominated contacts
• Major exercise for many central banks and BIS
• Revised BIS data, according to the terminology
  and the structure of the presentation tables as
  described in the Handbook, expected in first half
  of 2010

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Part II of HSS holdings of debt securities
Part II of the Handbook

• Holdings of debt securities
• September 2009 outline of report agreed by
  BIS-ECB-IMF
• Extend sectoral breakdown of part I to include
  residence of securities holder
• From-whom-to-whom framework between sectors (and
  countries)
• October 2009 comments from Expert Group
• End 2009 first draft coordinated by ECB
• February 2010 meeting of Review Group
• Spring 2010 publication of Part II of the
  Handbook
• Possible future extensions
• Shares and other equity
• Financial derivatives
• Guidelines for security-by-security databases
• World aggregates with regional breakdowns