Front Matter

Front Matter

Author(s):
International Monetary Fund
Published Date:
November 2009
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    HANDBOOK ON SECURITIES STATISTICS

    Part 1: Debt Securities Issues

    May 2009

    Editor’s note:

    The following changes have been made since the publication of this edition of the handbook:

    (April 2013): A revised version of Figure 4.1 (page 16) was substituted for the original.

    Contents

    Foreword

    This Handbook on Securities Statistics (the Handbook) has been prepared jointly by the Bank for International Settlements (BIS), the European Central Bank (ECB) and the International Monetary Fund (IMF) in response to calls by different international groups, including the Committee on the Global Financial System, the Group of Eight (G8), the Irving Fisher Committee on Central Bank Statistics and the Working Group on Securities Databases to develop methodological standards for securities statistics. The preparation of the Handbook was initiated in mid-2008 and has been guided by the broad range of expertise in our organisations, as well as by close consultation with national experts on financial statistics. It also addresses a concern voiced by the Group of Twenty (G20) to fill data gaps and to strengthen data collection where needed.

    It is the first publication of its kind to focus exclusively on debt securities statistics. Recent turmoil in global financial markets has confirmed the importance of timely, relevant, coherent and internationally comparable data on debt securities issues, from the perspective of both monetary policy and financial stability analysis. The Handbook provides a conceptual framework for the compilation and presentation of statistics on different types of debt securities, including those derived from the securitisation of assets, and is consistent with the recently reviewed international statistical standards.

    Part I of the Handbook covers debt securities issues. Over time, further parts may be added to the Handbook, for instance to cover issues of other types of securities and holdings of securities. More specific compilation guidelines may also be developed, including with respect to the establishment of national and international security-by-security databases.

    We recommend that national and international agencies, whose task is to prepare securities statistics make use of the Handbook within their existing statistical frameworks and develop strategies for the improvement of these frameworks, also with a view to achieving greater international comparability of securities statistics.

    Stephen G. Cecchetti

    Economic Adviser and Head of the

    Monetary and Economic Department

    Bank for International Settlements

    Steven J. Keuning

    Director General Statistics

    European Central Bank

    Adelheid Burgi-Schmelz

    Director, Statistics Department

    International Monetary Fund

    Preface

    In 2007, the Working Group on Securities Databases (WGSD) – originally established by the International Monetary Fund (IMF) in 1999 – was reconvened in response to various international initiatives and recommendations to improve information on securities markets. The WGSD is chaired by the IMF and includes the Bank for International Settlements (BIS), the European Central Bank (ECB) and the World Bank. Selected experts from national central banks, who participated actively in various international groups that identified the need to improve data on securities markets, have also been invited to contribute to some of the deliberations of the WGSD. In mid-2008, the WGSD agreed to sponsor the development of a Handbook on Securities Statistics.

    Part I of the Handbook provides a conceptual framework for the presentation of statistics on debt securities issues based on the 2008 System of National Accounts and the Balance of Payments and International Investment Position Manual, sixth edition. It gives guidelines on debt securities statistics by issuer, currency, maturity, type of interest rate and market. Finally, it shows how the general framework and the various classification schemes can be developed into more detailed presentation tables. In this way, the implementation of the concepts outlined in the Handbook would provide a comprehensive informed picture of debt securities issues statistics for the whole economy. At the same time, the Handbook allows flexibility in the presentation of such statistics, in line with the relative state of development of national debt securities markets.

    The production of the Handbook is a joint undertaking by the BIS, the ECB and the IMF, which have a particular interest and expertise in securities statistics. The following officials were primarily involved:1

    BISMr Paul Van den Bergh
    Mr Kerry Wood (Coordinator)
    ECBMr Werner Bier
    Mr Reimund Mink
    IMFMr José Cartas
    Mr Alfredo Leone (Chair of the WGSD)
    Mrs Armida San Jose.

    The BIS, the ECB and the IMF also acknowledge, with gratitude, the contributions of various experts from the following central banks, national statistical agencies and international organisations (national agencies are listed alphabetically by country): 2

    Bank of AlgeriaCentral Bank of Lebanon
    Central Bank of ArgentinaCentral Bank of Luxembourg
    Central Bank of ArmeniaNational Bank of the Republic of Macedonia
    Reserve Bank of AustraliaCentral Bank of Malaysia
    Austrian National BankBank of Mexico*
    National Bank of BelgiumNetherlands Bank*
    Central Bank of Brazil*Reserve Bank of New Zealand
    Bulgarian National BankStatistics Norway
    Bank of CanadaState Bank of Pakistan
    Statistics CanadaCentral Reserve Bank of Peru
    Central Bank of ChileBangko Sentral ng Pilipinas
    People’s Bank of ChinaPhilippines Bureau of the Treasury
    Bank of the Republic of ColombiaPhilippines Securities and Exchange Commission
    Croatian National BankNational Bank of Poland
    Czech National BankBank of Portugal
    National Bank of DenmarkNational Bank of Romania
    Bank of FinlandCentral Bank of the Russian Federation
    Bank of FranceSaudi Arabian Monetary Agency
    Deutsche Bundesbank*Monetary Authority of Singapore*
    Bank of GhanaNational Bank of Slovakia
    Bank of GreeceBank of Slovenia
    Hong Kong SAR Census and Statistics Department*South African Reserve Bank
    Bank of Spain
    Hong Kong Monetary AuthoritySveriges Riksbank
    Magyar Nemzeti BankSwiss National Bank
    Central Bank of IcelandBank of Thailand
    Reserve Bank of India*Central Bank of the Republic of Turkey
    Bank IndonesiaBank of England
    Central Bank and Financial Services Authority of IrelandBoard of Governors of the Federal Reserve System*
    Bank of IsraelAsian Development Bank
    Bank of ItalyCommonwealth Secretariat
    Bank of JapanIslamic Financial Services Board
    Bank of KoreaUnited Nations Conference on Trade and Development
    Bank of Latvia

    The valuable inputs, comments and suggestions received from experts in these institutions, as well as from the Statistics Committee of the European System of Central Banks, have significantly contributed to the preparation of the first part of the Handbook.

    The envisaged preparation of additional parts of this Handbook, such as issues of other types of securities and holdings of securities, will actively involve users and compilers of securities statistics.

    Abbreviations and Acronyms

    2008 SNA

    System of National Accounts 2008

    ABCP

    Asset-backed commercial paper

    ABS

    Asset-backed security

    BCEAO

    Central Bank of West African States

    BEAC

    Bank of Central African States

    BIS

    Bank for International Settlements

    BOOT

    Build-own-operate-transfer

    BOT

    Build-operate-transfer

    BPM6

    Balance of Payments and International Investment Position Manual, sixth edition

    CBO

    Collateralised bond obligation

    CDO

    Collateralised debt obligation

    CDS

    Credit default swap

    CLN

    Credit-linked note

    CLO

    Collateralised loan obligation

    CMO

    Collateralised mortgage obligation

    CPI

    Consumer price index

    CPIS

    Coordinated Portfolio Investment Survey Guide, second edition

    CSDB

    Centralised Securities Database

    CUCB

    Currency union central bank

    DQAF

    Data Quality Assessment Framework

    ECB

    European Central Bank

    ECCB

    Eastern Caribbean Central Bank

    EU

    European Union

    GFSM 2001

    Government Finance Statistics Manual 2001

    IFSB

    Islamic Financial Services Board

    IIFS

    Institution offering Islamic financial services

    IMF

    International Monetary Fund

    ISIN

    International Security Identification Number

    LIBOR

    London interbank offered rate

    MFS Guide

    Monetary and Financial Statistics: Compilation Guide

    MFSM

    Monetary and Financial Statistics Manual

    MMF

    Money market fund

    MTN

    Medium-term note

    NIF

    Note issue facility

    NPISH

    Non-profit institutions serving households

    PFI

    Private finance initiative

    PIBS

    Permanent interest-bearing share

    PPP

    Public-private partnership

    PSIA

    Profit sharing investment fund

    RMBS

    Residential mortgage-backed security

    RUF

    Revolving underwriting facility

    SBS

    Security-by-security

    SPE

    Special purpose entity

    STRIPS

    Separate trading of registered interest and principal of securities

    VRN

    Variable rate note

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