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
Overview
Part 1 of the Handbook
o Objectives, scope and consistency
o Structure and content
o Stylised presentational table
o A few examples on its value added
o A large consultation process
o Its implementation
o Available on the IMF website:
http://www.imf.org/external/ns/search.aspx?NewQuery=Handbook+Securities+St
atistics&col=&submit.x=37&submit.y=7
Part 2 of the Handbook: Brief introduction

Objectives, scope and consistency
Background
o June 2007: recommendations in CGFS report
o October 2007: recommendations in G8 report
o November 2007: reconvened IMF Working Group on Securities Database
(WGSD)
o March 2008 in Washington: IFC workshop Challenges to improve global
comparison of securities statistics (see IFC Publication on )
o 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
o Improve information on securities markets
o Develop a conceptual framework for presentation of statistics on different types
of securities issued and held
o Consistency with existing international statistical standards
Structure of the Part I of the HSS
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
Objectives, scope and consistency
Structure of Part I of the Handbook
Content of the Part I of the HSS
Follows international statistical standards like 2008 SNA or BPM6
Goes beyond these standards by
o 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
o Developing detailed presentation tables
Content of Part I of the Handbook
Stylised presentation table
Debt securities under securitisation
schemes
(Section 4)

Some further detailed presentation tables
(Section 7)

Reconciling market and nominal values for
debt securities
(Annex 3)


A few examples on its value added
Securitisation: coupon or principal payments are backed by specified assets or
future income streams
Description of the process with 3 broad categories:
o Type 1: On-balance sheet securitisation: no transfer of assets, no ad hoc
corporation);
o Type 2: True-sale securitisation: use of a securitisation corporation and
transfer of assets from the original owner;
o 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
o Type 1 securitisation schemes are outside the scope of the ECB Regulation
by definition, while
o Type 2 und Type 3 securitisation schemes are covered


Debt securities under securitisation schemes (a)
Three broad categories of securitisation


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

Debt securities under securitisation schemes (c)
By issuer and market
By issuer and currency
By issuer and maturity
By issuer and interest rate
By issuer: positions and flows

Some further detailed presentation tables (a)
Presentation table by issuer and market
It shows debt securities issues broken down
By issuer and market, with a split between:
o Issuer into resident sectors and sub-sectors; and
o 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.



Some further detailed presentation tables (b)
Issuer






Market
Residents Non-
residents
All
issuers
Non-
financial
corpo-
rations
Financial corporations General government House-
holds
and
NPISH
Memo
item:
public
sector
Central
bank
Other
money
issuing
corporations
Securitisation
corporations
Other
financial
corporations
Central
govern-
ment
Other
general
govern-
ment
1. Domestic
market
2. International
markets

3. All markets

Presentation table by issuer and currency
It shows debt securities issues broken down
By issuer and currency of denomination, with a split into:
o 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
Some further detailed presentation tables (c)
Issuer






Currency
Residents Non-
residents
All
issuers
Non-
financial
corpo-
rations
Financial corporations General government House-
holds
and
NPISH
Memo
item:
public
sector
Central
bank
Other
money
issuing
corpo-
rations
Securiti-
sation
corpo-
rations
Other
financial
corpo-
rations
Central
govern-
ment
Other
general
govern-
ment
1. Domestic currency
2. Foreign currencies
3. All currencies
Presentation table by issuer and maturity
It shows debt securities issues broken down
By issuer and maturity;
o With a split into short term and long term at original maturity; and
o 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
Some further detailed presentation tables (d)
Issuer






Maturity
Residents Non-
residents
All
issuers
Non-
financial
corpo-
rations
Financial corporations General government House-
holds
and
NPISH
Memo
item:
public
sector
Central
bank
Other
money
issuing
corpo-
rations
Securi-
tisation
corpo-
rations
Other
financial
corpo-
rations
Central
govern-
ment
Other
general
govern-
ment
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
Presentation table by issuer and interest rate
It shows debt securities issues broken down
by issuer and interest rate;
o with a split into fixed interest rate and variable interest rate; and
o variable interest rate further broken down into three sub-categories
Some further detailed presentation tables (e)
Issuer





Interest rate
Residents Non-
residents
All
issuers
Non-
financial
corpo-
rations
Financial corporations General government House-
holds
and
NPISH
Memo
item:
public
sector
Central
bank
Other
money
issuing
corporations
Securiti-
sation
corpo-
rations
Other
financial
corpo-
rations
Central
govern-
ment
Other
general
govern-
ment
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
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)


Some further detailed presentation tables (f)
Issuer





Positions
and flows
Residents Non-
residents
All
issuer
s
Non-
financial
corpo-
rations
Financial corporations General
government
House-
holds
and
NPISH
Memo
item:
public
sector
Central
bank
Other
money
issuing
corporations
Securiti-
sation
corpo-
rations
Other
financial
corpo-
rations
Central
govern-
ment
Other
general
govern-
ment
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
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).
Reconciling market and nominal values
Consultation
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
Large consultation process
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
o Implementation of 2010 ESA in 2014 (which is in line with the Handbook)
o Application of the Centralised Securities Database (CSDB)
Around 40 central banks have nominated contacts
o Major exercise for many central banks and BIS
o 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
Implementation

Part II of HSS: holdings of debt securities

Holdings of debt securities

September 2009: outline of report agreed by BIS-ECB-IMF
o Extend sectoral breakdown of part I to include residence of securities holder
o 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
o Shares and other equity
o Financial derivatives
o Guidelines for security-by-security databases
o World aggregates with regional breakdowns
Part II of the Handbook