Front Matter

Front Matter

Author(s):
Jose Cartas, and Qi He
Published Date:
June 2015
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    HANDBOOK ON SECURITIES STATISTICS

    2015

    © 2015 International Monetary Fund

    Cataloging-in-Publication Data Joint Bank-Fund Library

    Handbook on securities statistics/International Monetary Fund, Bank for International Settlements, European Central Bank.—Washington, D.C.: International Monetary Fund, 2015.

    pages ; cm.

    Includes bibliographical references.

    ISBN: 978-1-49838-831-3

    1. Securities – Statistics – Handbooks, manuals, etc. 2. Securities – Information services. I. International Monetary Fund. II. Bank for International Settlements. III. European Central Bank.

    HG4515.3.H35 2015

    Please send orders to:

    International Monetary Fund, Publication Services

    P.O. Box 92780, Washington, D.C. 20090, U.S.A.

    Tel.: (202) 623-7430 Fax: (202) 623-7201

    E-mail: publications@imf.org

    Internet: www.elibrary.imf.org

    www.imfbookstore.org

    Contents

    Foreword

    The importance of securities markets in intermediating financial flows, both domestically and internationally, underscores the need for relevant, coherent, and internationally comparable statistics. This need was recognized by the G-20 Data Gaps Initiative, launched in the aftermath of the 2008 global financial crisis with the support of the G-20 Finance Ministers and Central Bank Governors and the International Monetary Fund’s International Monetary and Financial Committee.

    Good securities data, along with monetary and financial statistics, are critical to understand the evolution and structure of financial intermediation. The Handbook on Securities Statistics supports this analysis by enabling the collection of better securities data through clarification of concepts and guidance on harmonized presentation of securities data. The Handbook describes the main features of debt and equity securities, looks at institutional units and sectors as issuers and holders of securities, and discusses the statistical recording rules to be applied.

    As a milestone, the Handbook is the first publication of its kind dealing exclusively with the conceptual framework for the compilation and presentation of securities statistics. Prepared jointly by the Bank for International Settlements, the European Central Bank and the International Monetary Fund in close cooperation, the Handbook has also benefited from comments by experts from national central banks, national agencies, and international organizations.

    We expect that the Handbook will be widely applied, fostering harmonization of international securities statistics that support the analysis of global economic, financial, and macroprudential issues.

    Jaime Caruana

    General Manager

    Bank for International Settlements

    Mario Draghi

    President

    European Central Bank

    Christine Lagarde

    Managing Director

    International Monetary Fund

    Preface

    The production of the Handbook on Securities Statistics (the Handbook) is a joint undertaking by the Bank for International Settlements (BIS), the European Central Bank (ECB) and the International Monetary Fund (IMF). They have specific interests and expertise in the area of securities statistics and are the core members of the Working Group on Securities Databases (WGSD).

    In 2007, the WGSD—originally established by the 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 ECB and includes the BIS, the IMF and the World Bank. Selected experts from national central banks, who participated actively in the various international groups that identified the need to improve data on securities markets, were also invited to contribute to some of the WGSD’s deliberations. In mid-2008, the WGSD agreed to sponsor the development of a handbook on securities statistics.

    In November 2009, the report entitled “The Financial Crisis and Information Gaps,” which was prepared by the Financial Stability Board (FSB) Secretariat and IMF staff at the request of the Group of Twenty (G-20) finance ministers and central bank governors, endorsed the development of the Handbook, as well as the gradual implementation of improved statistics on issuance and holdings of securities at the national and international level. The BIS’s compilation of data on debt securities plays an important role in this respect.1

    The Handbook sponsors responded to the demand from various international groups for the development of methodological standards for securities statistics and released the Handbook in three parts. Part 1 on debt securities issues was published in May 2009, and Part 2 on debt securities holdings in September 2010. Part 3 of the Handbook on equity securities statistics was published in November 2012. The methodology described in all three parts was based on the System of National Accounts 2008 (2008 SNA) and the sixth edition of the Balance of Payments and International Investment Position Manual (BPM6). The three parts also went slightly beyond the confines of these standards by providing guidance and additional information on, for example, the main features of securities, special and borderline cases, and breakdowns of issues and holdings of securities by counterparty. Special attention was also paid to specific operations such as mergers and acquisitions, restructuring, privatization and nationalization, and transactions between general government and public corporations.

    From the beginning, the intention was to combine the three parts into one volume, thereby eliminating any overlap and repetitions between the parts. The Handbook’s conceptual framework is complemented by a set of tables for presenting securities data both at an aggregated level and broken down by various features. This should allow sufficient flexibility in the presentation of data on issuance and holdings of securities, in line with developments in securities markets and financing.

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

    The following officials in the sponsoring organizations and institutions were the most heavily involved in the WGSD’s activities and have played a key role in preparing the Handbook:

    BISMr Christian Dembiermont
    Mr Branimir Gruić
    Mr Philippe Mesny
    Mr Paul Van den Bergh
    Mr Kerry Wood
    ECBMr Werner Bier (Chair of the WGSD)
    Mr Remigio Echeverría
    Mr Reimund Mink (Coordinator)
    IMFMr José M. Cartas
    Mr Alfredo Leone
    Mr J. Roberto Rosales
    Ms Armida San Jose

    The sponsors are grateful for the contributions of various experts from the following central banks, national statistical agencies and international organizations (national agencies are listed alphabetically by country):

    Bank of AlgeriaBank of Greece
    Central Bank of ArgentinaHong Kong SAR Census and Statistics Department
    Central Bank of ArmeniaHong Kong Monetary Authority
    Reserve Bank of AustraliaMagyar Nemzeti Bank
    Austrian National BankCentral Bank of Iceland
    National Bank of BelgiumReserve Bank of India
    Central Bank of BrazilBank Indonesia
    Bulgarian National BankCentral Bank of Ireland
    Bank of CanadaBank of Israel
    Statistics CanadaBank of Italy
    Central Bank of ChileBank of Japan
    The People’s Bank of ChinaBank of Korea
    Bank of the Republic of ColombiaBank of Latvia
    Croatian National BankCentral Bank of Lebanon
    Czech National BankBank of Lithuania
    National Bank of DenmarkNational Bank of the Republic of Macedonia
    Bank of FinlandCentral Bank of Malaysia
    Bank of FranceBank of Mexico
    Deutsche BundesbankNetherlands Bank
    Bank of GhanaReserve Bank of New Zealand
    Central Bank of NorwayBank of Slovenia
    Statistics NorwaySouth African Reserve Bank
    State Bank of PakistanBank of Spain
    Central Reserve Bank of PeruSveriges Riksbank
    Bangko Sentral ng PilipinasSwiss National Bank
    Philippines Bureau of the TreasuryBank of Thailand
    Philippines Securities and Exchange CommissionCentral Bank of the Republic of Turkey
    National Bank of PolandBank of England
    Bank of PortugalBoard of Governors of the Federal Reserve System
    National Bank of RomaniaCentral Bank of Venezuela
    Central Bank of the Russian FederationAsian Development Bank
    Saudi Arabian Monetary AuthorityCommonwealth Secretariat
    Central Bank of LuxembourgIslamic Financial Service Board
    Monetary Authority of SingaporeUnited Nations Conference on Trade and
    National Bank of SlovakiaDevelopment

    The feedback provided by experts from these central banks, agencies, and organizations has made a significant contribution to the preparation of the Handbook. The WGSD envisages continuing to solicit input from users and compilers of securities statistics when providing guidance on security-by-security (SBS) databases and metadata structure definitions that facilitate the compilation and dissemination of securities statistics.

    The WGSD encourages national and international agencies to use the Handbook to improve statistics on securities, for example, in the context of the IMF’s Coordinated Portfolio Investment Survey (CPIS) and Coordinated Direct Investment Survey (CDIS). The recent financial and economic crisis in global financial markets, which also had an impact on issuers and holders of securities, underlined the importance of timely, relevant, coherent, and internationally comparable securities data. The institutions involved will continue to support the WGSD in its efforts to improve the transparency of global securities markets, also through the further development and implementation of the Handbook.

    Claudio Borio

    Head of the Monetary and Economic Department

    Bank for International Settlements

    Aurel Schubert

    Director General Statistics

    European Central Bank

    Louis Marc Ducharme

    Director, Statistics Department

    International Monetary Fund

    For more information, see www.bis.org/statistics/secstats.htm.

    Abbreviations

    2008 SNA

    System of National Accounts 2008

    ABCP

    Asset-backed commercial paper

    ABS

    Asset-backed security

    ADR

    American depository receipt

    AF

    Codes for stocks of financial assets and liabilities in the 2008 SNA

    BCEAO

    Central Bank of West African States

    BIS

    Bank for International Settlements

    BEAC

    Bank of Central African States

    BOOT

    Build-own-operate-transfer

    BOT

    Build-operate-transfer

    BPM6

    Balance of Payments and International Investment Position Manual, Sixth Edition

    CBO

    Collateralized bond obligation

    CCD

    Development capital certificate (also “certificados de capital de desarrollo”)

    CDIS

    Coordinated Direct Investment Survey

    CDO

    Collateralized debt obligation

    CDS

    Credit default swap

    CEM

    Control enhancing mechanism

    CFI

    Classification of financial instruments

    CG

    Central government

    CLN

    Credit-linked note

    CLO

    Collateralized loan obligation

    CMO

    Collateralized mortgage obligation

    CPI

    Consumer price index

    CPIS

    Coordinated Portfolio Investment Survey

    CSDB

    Centralized Securities Database

    CUCB

    Currency union central bank

    D

    Codes for distributive transactions in the 2008 SNA

    DIENT

    Direct investment enterprise

    DQAF

    Data Quality Assessment Framework

    DRIP

    Dividend reinvestment plan/program

    ECB

    European Central Bank

    ECCB

    Eastern Caribbean Central Bank

    EDR

    European depository receipt

    EGR

    Euro Groups Register

    ELI

    Equity-linked instrument

    ELN

    Equity-linked note

    ESCB

    European System of Central Banks

    ETF

    Exchange-traded fund

    EU

    European Union

    F

    Code for financial transactions in the 2008 SNA

    FC

    Financial corporation

    FDI

    Foreign direct investment

    FSB

    Financial Stability Board

    G20

    Group of Twenty

    GAAP

    Generally Accepted Accounting Principles

    GDR

    Global depository receipt

    GFSM 2014

    Government Finance Statistics Manual 2014

    GG

    General government

    HH

    Household

    ICIS

    Islamic collective investment scheme

    IDR

    International depository receipt

    IIP

    International investment position

    IFRS

    International financial reporting standards

    IFSB

    Islamic Financial Services Board

    IMF

    International Monetary Fund

    IPO

    Initial public offering

    ISIN

    International Securities Identification Number

    LIBOR

    London interbank offered rate

    MFSM

    Monetary and Financial Statistics Manual

    MFSCG

    Monetary and Financial Statistics Compilation Guide

    MMF

    Money market fund

    MNE

    Multinational enterprise

    MTN

    Medium-term note

    NAV

    Net asset value

    NFC

    Nonfinancial corporation

    NIF

    Note issuance facility

    NPISHs

    Nonprofit institutions serving households

    OECD

    Organisation for Economic Co-operation and Development

    OFBV

    Own funds at book value

    OFC

    Other financial corporation

    OTC

    Over the counter

    P/E

    Price-to-earnings

    P/B

    Price-to-book value

    PIBS

    Permanent interest-bearing shares

    PFI

    Private finance initiative

    PPP

    Public-private partnership

    RUF

    Revolving underwriting facility

    RMBS

    Residential mortgage-backed security

    S

    Code for institutional sectors or subsectors in the 2008 SNA

    SBS

    Security-by-security

    SDR

    Special drawing right

    SEC

    U.S. Securities and Exchange Commission

    SEFER

    Survey of Securities Held as Foreign Exchange Reserves

    SPAC

    Special-purpose acquisition company

    SPE

    Special purpose entity

    SSIO

    Survey of Securities Held by International Organizations

    STRIPS

    Separate trading of registered interest and principal of securities

    STA

    IMF’s Statistics Department

    UCITS

    Undertakings for collective investment in transferable securities

    U.S.

    United States

    VRN

    Variable rate note

    WGSD

    Working Group on Securities Databases

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