Abstract

GUIDE

Title Page

GUIDE

EXTERNAL DEBT STATISTICS

GUIDE FOR COMPILERS AND USERS

INTERNATIONAL MONETARY FUND

Copyright

© 2014 International Monetary Fund

Cataloging-in-Publication Data

External debt statistics: guide for compilers and users / Inter-Agency Task Force on Finance Statistics. – Washington,

D.C.: International Monetary Fund, 2014.

pages.; cm.

Includes bibliographical references.

ISBN 978-1-48436-6622

1. Debts, Public —Statistics—Handbooks, manuals, etc. 2. Debts, Public—Statistical methods—Handbooks, manuals, etc. I. International Monetary Fund.

HJ8011.E75 2014

ISBN: 978-1-48436-6622 (paper)

978-1-48434-8970 (ePub)

978-1-48435-5961 (Mobi pocket)

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Contents

  • Foreword

  • Preface

  • Acknowledgments

  • Abbreviations

    • 1. Overview

      • Purpose of the Guide

      • Conceptual Approach in the Guide

      • Structure of the Guide

  • PART I: CONCEPTUAL FRAMEWORK

    • 2. The Measurement of External Debt: Definition and Core Accounting Principles

      • Introduction

      • Definition of External Debt

      • Outstanding and Actual Current Liabilities

      • Core Accounting Principles

      • Appendix: Accrual of Interest Costs—How Should This Be Implemented?

    • 3. Identification of Institutional Sectors and Financial Instruments

      • Introduction

      • Institutional Sectors

      • Instrument Classification

    • 4. Presentation of the Gross External Debt Position

      • Introduction

      • Presentation Table

      • Memorandum Tables

    • 5. Public and Publicly Guaranteed External Debt

      • Introduction

      • Definitions

      • Presentation of Public and Publicly Guaranteed External Debt Position

    • 6. Further External Debt Accounting Principles

      • Introduction

      • Sectors, Maturity, and Instruments

      • Specific Characteristics of External Debt

      • Debt-Service and Other Payment Schedules

    • 7. Further Presentation Tables of External Debt

      • Introduction

      • External Debt by Short-Term Remaining Maturity

      • Debt-Service Payment Schedule

      • Foreign Currency and Domestic Currency External Debt

      • Interest Rates and External Debt

      • External Debt by Creditor Sector

      • Net External Debt Position

      • Reconciliation of External Debt Positions and Flows

      • Debt Securities

      • Cross-Border Trade-Related Credit

    • 8. Debt Reorganization

      • Introduction

      • Definitions

      • Types of Debt Reorganization

      • Presentation of Data on Debt Reduction

      • Other Transactions Related to Debt Reorganization

    • 9. Contingent Liabilities

      • Introduction

      • Definition

      • Why Measure Contingent Liabilities?

      • Measuring Contingent Liabilities

  • PART II: COMPILATION—PRINCIPLES AND PRACTICE

    • 10. Overview of Data Compilation

      • Introduction

      • Coordination Among Official Agencies

      • Resources

      • Legal Backing for Data Collection

      • Collection Techniques at Different Stages of Liberalization

      • Overview of Data Sources

      • Dissemination of External Debt Statistics

    • 11. Government and Public Sector External Debt Statistics

      • Introduction

      • Debt Office

      • Main Data Sources

      • Some Data Collection and Compilation Considerations

      • Appendix: Functions of the Government Debt Office

    • 12. Deposit-Taking Corporations and Other Sectors’ External Debt Statistics

      • Introduction

      • Deposit-Taking Corporations

      • Other Sectors

      • Appendix: Estimating Position Data with Transactions Information

    • 13. Debt Securities

      • Introduction

      • General Observations

      • Key Considerations

      • Nonresident Investment in Domestically Issued Debt Securities: Potential Respondents

      • Issues of Debt Securities by Residents in Foreign Markets

      • Information on Securities Involved in Reverse Security Transactions

      • Possible Mismeasurement

      • Periodic Position Surveys

      • Counterpart Information

  • PART III: USE OF EXTERNAL DEBT STATISTICS

    • 14. External Debt Sustainability Analysis

      • Introduction

      • Basic Concepts

      • Debt Burden Indicators

      • Basic Steps for Undertaking an External DSA

      • What Are the Main Drivers of Debt Dynamics?

      • Assessing Debt Sustainability in the Context of Fund Program Monitoring and Country Surveillance

    • 15. External Debt Analysis: Further Considerations

      • Introduction

      • Balance Sheet Mismatches

      • Composition of External Debt

      • The Role of Income

      • The Role of Assets

      • Relevance of Financial Derivatives and Repurchase Agreements (Repos)

  • Appendices

    • 1. Specific Financial Instruments and Transactions: Classification

    • 2. Reverse Security Transactions

    • 3. Glossary of External Debt Terms

    • 4. External Debt Statistics, International Investment Position, and National Accounts

    • 5. Heavily Indebted Poor Countries (HIPC) Initiative and Multilateral Debt Relief Initiative (MDRI)

    • 6. Data Quality Assessment Framework (DQAF) for External Debt Statistics

    • 7. Treatment of Arrears in the Gross External Debt Position

    • 8. Private Sector External Debt

    • 9. Main Changes from the 2003 External Debt Statistics Guide

  • Tables

    • 2.1 Present Value and the Accrual of Interest Costs: Example 1 (Simple Case)

    • 2.2 Present Value and the Accrual of Interest Costs: Example 2 (Discounted Principal)

    • 2.3 Present Value and the Accrual of Interest Costs: Example 3 (Zero-Coupon Instrument)

    • 3.1 Standard Components of the IIP: Direct Investment

    • 3.2 Standard Components of the IIP: Portfolio Investment

    • 3.3 Standard Components of the IIP: Financial Derivatives (Other than Reserves) and Employee Stock Options (ESOs)

    • 3.4 Standard Components of the IIP: Other Investment

    • 3.5 Standard Components of the IIP: Reserve Assets

    • 4.1 Gross External Debt Position: By Sector

    • 4.2 Gross External Debt Position: Arrears by Sector

    • 4.3 Gross External Debt Position: Short-Term Remaining Maturity—Total Economy

    • 4.4 Financial Derivatives and Employee Stock Options (ESOs) Positions with Nonresidents: By Sector

    • 4.5 Equity Liability Positions with Nonresidents: By Sector

    • 4.6 Debt Securities Acquired Under Reverse Security Transactions: Positions

    • 4.7 Total Guaranteed External Debt Position: By Sector of the Guarantor

    • 5.1 Gross External Debt Position: Public and Publicly Guaranteed Private Sector Debt and Private Sector Debt Not Publicly Guaranteed

    • 5.2 Gross External Debt Position: Public Sector Debt and Publicly Guaranteed Private Sector Debt

    • 5.3 Gross External Debt Position: Public Sector Debt, Publicly Guaranteed Private Sector Debt, and Private Sector Debt Not Publicly Guaranteed

    • 7.1 Gross External Debt Position: Short-Term Remaining Maturity—By Sector

    • 7.2 Debt-Service Payment Schedule—By Sector

    • 7.3 Debt-Service Payment Schedule: Public and Publicly Guaranteed Private Sector Debt and Private Sector Debt Not Publicly Guaranteed

    • 7.4 Debt-Service Payment Schedule: Public and Publicly Guaranteed Private Sector Debt

    • 7.5 Gross External Debt Position: Principal and Interest Payments Due in One Year or Less—By Sector

    • 7.6 Gross External Debt Position: Foreign Currency and Domestic Currency Denominated Debt

    • 7.7 Gross External Debt Position: Foreign Currency and Domestic Currency Denominated Debt—By Sector

    • 7.8 Gross External Foreign Currency and Foreign-Currency-Linked Debt Position

    • 7.9 Schedule of Projected Payments Settled in Foreign Currency vis-à-vis Nonresidents: Selected Institutional Sectors

    • 7.10 Gross External Debt Position: Interest Rate Composition

    • 7.11 Gross External Debt Position: Average Interest Rates

    • 7.12 Gross External Debt Position: By Debtor and Creditor Sectors

    • 7.13 Public and Publicly Guaranteed Private Sector External Debt Position—By Debtor and Creditor Sectors

    • 7.14 Net External Debt Position: By Sector

    • 7.15 Gross External Debt Position: Reconciliation of Positions and Flows

    • 7.16 Gross External Debt Position: Debt Securities—Reconciliation of Nominal and Market Value

    • 7.17 Gross External Debt Position: Resident-Issued Debt Securities Owned by Nonresidents—Location of Issuance

    • 7.18 Gross External Debt Position: Cross-Border Trade-Related Credit

    • 8.1 Nominal Value Debt Reduction Arising from Debt Reorganizations: By Debtor and Creditor Sectors

    • 8.2 Evolution of Paris Club Rescheduling Terms

    • 9.1 Fiscal Risk Matrix with Illustrative Examples

    • 9.2 Treatment of Contingent Liabilities Under Statistical and Accounting Standards: Recognition as Liabilities and Data Reporting Requirements

    • 9.3 Gross External Debt Position: Ultimate Risk Basis

    • 11.1 Possible Data Sources for Compiling Public Sector External Debt Statistics

    • 11.2 What a Computer-Based Debt-Management System (CBDMS) Should Do

    • 11.3 Information to be Compiled on Each Instrument

    • 11.4 Some Recommended Functions of a Debt Office

    • 12.1 Gross External Debt Position: Possible Data Sources for Main Components According to the Guide

    • 12.2 Re-arranged Information on External Liabilities in MFS—Central Bank

    • 12.3 Re-arranged Information on External Liabilities in MFS—Other Depository Corporations

    • 13.1 Inward Security Investment: Potential Respondents—Advantages and Disadvantages for Positions and Transactions Data

    • 14.1 Common Debt Burden Indicators in Assessing External Debt Sustainability

    • 14.2 Other Indicators for Vulnerability Analysis for the External Sector

    • A2.1 External Debt: Recording of Reverse Security Transactions

    • A4.1 International Investment Position and External Debt Statistics

    • A4.2 Simplified Version of Balance Sheet Accounts

    • A4.3 Balance Sheet of the Total Economy and the Rest of the World

    • A4.4 Link Between Financial Assets Classification and Functional Categories

    • A4.5 2008 SNA Financial Instruments Classification (with Corresponding BPM6 Broad Categories) (Includes 2008 SNA Codes)

    • A4.6 Conversion—Institutional Sector Breakdown SNA—International Accounts Sectors as they are in the 2008 SNA and BPM6

    • A5.1 The HIPC Thresholds for the NPV of Debt

    • A5.2 Data Needed by a HIPC Country Compiler

    • A8.1 Coverage of Private and Public Sector External Debt in Terms of Institutional Sectors

  • Boxes

    • 2.1 The Choice of a Recording Basis: The Case for Accrual Accounting

    • 2.2 Valuation: Comparison Matrix

    • 2.3 General Methods for Estimating Market Value

    • 2.4 Recording of Accrued Interest Costs on Loans

    • 2.5 Recording of Accrual Interest Costs on Debt Securities

    • 4.1 SDDS and GDDS Specifications Regarding Dissemination of External Debt Statistics

    • 6.1 Trade-Related Credit

    • 7.1 High-Frequency Debt-Monitoring Systems

    • 8.1 Sovereign Debt Restructuring with Private Creditors

    • 8.2 Paris Club and Commercial Bank Debt Relief

    • 9.1 Types of Guarantees

    • 9.2 Disclosing the Contingent Liabilities: Country Examples

    • 13.1 Main Features of Debt Securities

    • 13.2 Security-by-Security Databases

    • A6.A The Cascading Structure of the Data Quality Assessment Framework, DQAF, September 2013, for the External Debt Statistics: An Example

    • A7.1 Arrears by Sector

  • Figures

    • 9.1 Overview of Liabilities and Contingent Liabilities in Macroeconomic Statistics

    • 10.1 Data Suppliers and Collection Tools in Different Policy Environments

    • 10.2 Gross External Debt Position: Possible Data Sources

    • 11.1 Organizational Chart of a Government Debt Office

    • 14.1 Evolution of External Debt

    • A5.1 Review of the HIPC Process

  • Bibliography

  • Index

Foreword

This volume, External Debt Statistics: Guide for Compilers and Users (Guide), has been prepared under the joint responsibility of the nine organizations in the Inter-Agency Task Force on Finance Statistics. The preparation of the Guide was based on the broad range of experience of our institutions in close consultation with national compilers of external debt, balance of payments, and international investment position statistics.

International financial crises in recent years and the associated external debt levels in many countries underscored the importance of reliable and timely statistics on external debt as a critical element for the early detection of countries’ external vulnerability. Against this background, improving the quality and timeliness of key external debt data and promoting convergence of recording practices have been the focus in the preparation of the Guide. The Guide is a useful source of reference both for national compilers and users of external debt statistics.

The Guide updates the previous international guidelines on external debt statistics, External Debt Statistics: Guide for Compilers and Users published by our organizations in 2003. The concepts set out in the Guide are harmonized with those of the System of National Accounts 2008 and the sixth edition of the IMF’s Balance of Payments and International Investment Position Manual, published in 2009.

I recommend that countries adopt the Guide as the basis for compiling and disseminating external debt statistics.

Christine Lagarde

Managing Director

International Monetary Fund

Preface

The need for comprehensive, internationally comparable, and reliable information on external debt to inform policymakers, financial markets, and other users of statistics has long been recognized. This was once again reinforced by the international financial crises that started in 2007. Because they carry obligations to make future payments, external debt liabilities have the potential to create circumstances that render an economy vulnerable to solvency and liquidity problems. Moreover, as experience has shown, external vulnerability can have widespread economic costs, and not just for the initially affected economy. It is clear, therefore, that external debt needs to be measured and monitored. To this end, the External Debt Statistics: Guide for Compilers and Users (Guide) provides guidance on (1) the concepts, definitions, and classifications of external debt data; (2) the sources and techniques for compiling these data; and (3) the analytical uses of these data. The Guide is intended to be of use to both compilers and users of external debt statistics.

Evolution of This Guide

The previous international guidance on external debt statistics, External Debt Statistics: Guide for Compilers and Users (2003 Guide)1 provided a comprehensive conceptual framework, derived from the System of National Accounts 1993 (1993 SNA) and the fifth edition of the IMF’s Balance of Payments Manual (BPM5) for the measurement of gross external debt of the public and private sectors. However, since its publication the international statistical guidelines for national accounts and balance of payments statistics have been updated—the System of National Accounts 2008 (2008 SNA) and the sixth edition of the IMF’s Balance of Payments and International Investment Position Manual (BPM6).

Against this background, the Guide maintains but updates the conceptual framework introduced in the 2003 Guide. The changes include modifications in concepts, classification/sectorization, and/or clarifications to the methodological treatment.

The Guide is intended to provide clear and comprehensive guidance for the measurement and presentation of external debt statistics that can be applied consistently across the different sectors of an economy and across the different debt instruments used for borrowing. Thereafter, the Guide provides a scheme for classifying external debt by instruments and sectors that is developed into a presentation table for the gross external debt position. Data disseminated using this presentation table, and employing the concepts outlined earlier in the Guide, are essential for providing a comprehensive and informed picture of the gross external debt position for the whole economy. For countries in which there is a particular interest in public sector debt, the sector information can be rearranged to give focus to public and publicly guaranteed external debt, consistent with the approach used by the World Bank’s Debtor Reporting System (DRS) and Quarterly Public Sector Debt Statistics (PSD) database. Such a presentation may be of central importance where public sector external debt is dominant, although vigilance in monitoring private sector debt liabilities is necessary because experience has shown that these may grow rapidly.

Further, from the evidence of the international financial crises, and from the experience of many countries, additional data series may be vital to assist in identifying potential vulnerability to solvency and liquidity problems arising from the gross external debt position. The important need for data on debt-maturity profiles, currency breakdowns, and short-term remaining maturity has been highlighted in international forums and, together with improving coverage of private-sector debt liabilities, has helped to motivate preparation of the Guide. So, the Guide provides additional conceptual guidance, and presentation tables, for data series such as the debt-service schedule (especially relevant for liquidity analysis), the currency composition of debt, and other series known from experience to be of analytical use. The Guide also explains the concept of net external debt—i.e., a comparison of the stock of external debt with holdings of external financial assets of similar instrument type—and integrates financial derivatives and contingent liabilities positions into external debt analysis. The World Bank’s Quarterly External Debt Statistics (QEDS), developed in 2004 for subscribers of the Special Data Dissemination Standard (SDDS) and extended in 2008 to countries participating in the General Data Dissemination System (GDDS), closely follow the conceptual framework provided in the Guide.

Drawing on the broad range of experience in the international agencies involved in its production, the Guide provides advice on the compilation of external debt statistics and the analytical use of such data. This advice is not intended to be comprehensive but rather provides an overview of the issues. Because the Guide is primarily intended to be a source of reference for both compilers and users of external debt statistics, certain sections will be more relevant for some audiences than others. For instance, the first section discusses complex conceptual measurement issues and provides detailed advice as a source of reference—this guidance is intended particularly for the compiler. In contrast, the section on the use of external debt data is directed toward both users and compilers. It is hoped that by this approach, the Guide will contribute to better external debt statistics and an improved understanding of the complex issues involved in both compiling and analyzing them.

Stephen G. Cecchetti

Economic Adviser and Head of the Monetary and

Economic Department

Bank for International Settlements

Arindam Roy

Adviser and Head (Debt Management)

The Commonwealth Secretariat

Aurel Schubert

Director General Statistics

European Central Bank

Walter Radermacher

Director General

Eurostat

Mr. Louis Marc Ducharme

Director

Statistics Department

International Monetary Fund

Martine Durand

Chief Statistician and Director of Statistics

Directorate

Organisation for Economic Co-operation and Development

Clotilde L’Angevin

Secretary-General

The Paris Club Secretariat

Alfredo Calcagno

Officer-in-Charge, Division on Globalization and

Development Strategies

The United Nations Conference on Trade and

Development

Grant James Cameron

Acting Director

Development Data Group

The World Bank Group

1

The 2003 Guide was prepared by the Bank for International Settlements (BIS), Commonwealth Secretariat (ComSec), European Central Bank (ECB), European Commission (Eurostat), International Monetary Fund (IMF), Organisation for Economic Co-operation and Development (OECD), Paris Club Secretariat, United Nations Conference on Trade and Development (UNCTAD), and World Bank.

Acknowledgments

The production of the Guide has been jointly undertaken by the international agencies that participate in the Inter-Agency Task Force on Finance Statistics (TFFS), in close consultation with national compilers of external debt and balance of payments and international investment position statistics. The TFFS is one of the interagency task forces formed under the aegis of the United Nations Statistical Commission and the Administrative Committee on Coordination—Sub-Committee on Statistical Activities and was set up in 1992. It was reconvened in 1998 to coordinate work among the participating agencies to improve the methodological soundness, transparency, timeliness, and availability of data on external debt and international reserve assets. The TFFS is chaired by the IMF, and the work on the Guide involved representatives from the Bank for International Settlements (BIS), the Commonwealth Secretariat (ComSec), the European Central Bank (ECB), the European Commission (Eurostat), the IMF, the Organization for Economic Co-operation and Development (OECD), the Paris Club Secretariat, the United Nations Conference on Trade and Development (UNCTAD), and the World Bank. The core participants in the TFFS’s work on the Guide are listed below (affiliations are those in effect at the time of preparation of the Guide). Their expert contributions and comments made possible the production of the Guide.

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The preparation of the Guide was primarily undertaken in the IMF. Mr. Eduardo Valdivia-Velarde (Deputy Chief, Balance of Payments Division, Statistics Department) and Ms. Rita Mesías and Mr. Marcelo Dinenzon (both Senior Economists, Balance of Payments Division, Statistics Department) were the primary drafters and coordinated and edited the contributions of TFFS participants, national agencies, and other experts. The work was supervised by Mr. Robert Heath (Deputy Director, Statistics Department) and Mr. Ralph Kozlow (Chief, Balance of Payments Division, Statistics Department). Other staff from the Statistics Department contributed to the program: Mr. Mark Van Wersch (Senior Economist, Data Dissemination and Review Division), Mr. Robert Dippelsman (Deputy Chief, Government Finance Division), Ms. Sagé de Clerck and Mr. Tobias Wickens (both Senior Economists, Government Finance Division), Mr. Artak Harutyunyan (Deputy Chief, Financial Institutions Division), and Mr. José María Cartas, Mr. Thomas Elkjaer, Mr. Richard Walton, and Ms. Xiu-zhen Zhao (all Senior Economists, Financial Institutions Division).

Staff from other IMF departments also contributed. In particular, Mr. Carlos Janada (Senior Economist, Finance Department), Mr. Sarosh Khan (Projects Officer, Finance Department), Mr. Geremia Palomba (Deputy Division Chief, Fiscal Affairs Department), Mr. Nathaniel Arnold and Ms. Christine Richmond (both Economists, Fiscal Affairs Department), Ms. Delphine Moretti (Technical Assistance Advisor, Fiscal Affairs Department), Ms. Eriko Togo (Senior Financial Sector Expert, Monetary and Capital Markets Department), Mr. Myrvin Anthony (Senior Economist, Monetary and Capital Markets Department), Ms. Suman Basu (Senior Economist, Research Department), Ms. Alison Stuart and Mr. Said Bakhache (both Deputy Division Chiefs, Strategy, Policy, and Review Department), Mr. Tetsuya Konuki (Senior Economist, Strategy, Policy, and Review Department), Ms. Karina Garcia and Nicolas Million (both Economists, Strategy, Policy, and Review Department), Ms. Yan Sun-Wang (Senior Research Officer, Strategy, Policy, and Review Department), and Mr. Jayendu De (Research Officer, Strategy, Policy, and Review Department).

The Guide benefited from the written contributions of other experts in the participating agencies; in particular:

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Mr. Roderico De Nitti (Balance of Payments Division, Statistics Department, IMF) provided administrative support in preparing the manuscript. Also, the TFFS acknowledges, with gratitude, the contributions of many compilers and users of external debt statistics in member countries, in particular, Australia, Canada, Dominican Republic, Japan, Mozambique, Norway, Pakistan, and the Philippines. Responses to requests for comments on the draft Guide posted on the Internet in September and November 2012 came from many official agencies and others in countries across the world, and the text benefited enormously from these contributions.

Abbreviations

AfDB

African Development Bank

BIS

Bank for International Settlements

BOPSY

Balance of Payments Statistics Yearbook (IMF)

BPM5

Fifth edition of the Balance of Payments Manual (IMF)

BPM6

Sixth edition of the Balance of Payments Manual and International Investment Position Manual (IMF)

BPM6 Compilation Guide

Balance of Payments and International Investment Position Compilation Guide

CACs

Collective action clauses

CBDMS

Computer-based debt-management system

CDIS

Coordinated Direct Investment Survey (IMF)

CDS

Credit default swaps

CIRRs

Commercial Interest Reference Rates (OECD)

ComSec

Commonwealth Secretariat

CP

Commercial paper

CPIS

Coordinated Portfolio Investment Survey (IMF)

CRS

Creditor Reporting System (OECD)

DAC

Development Assistance Committee (OECD)

DRS

Debtor Reporting System (World Bank)

DSA

Debt sustainability analysis

ECB

European Central Bank

ESA95

European System of Accounts, ESA 1995

ESA2010

European System of Accounts, ESA 2010

ESOs

Employees stock options

EU

European Union

FISIM

Financial intermediation service charge indirectly measured

GDDS

General Data Dissemination System

GDP

Gross domestic product

GFSM

Government Finance Statistics Manual (IMF)

HIPC

Heavily Indebted Poor Countries

IBRD

International Bank for Reconstruction and Development

IBS

International Banking Statistics (BIS)

IDA

International Development Association

IFMS

Integrated Financial Management System

IFS

International Financial Statistics (IMF)

IIP

International investment position

IMF

International Monetary Fund

ISIN

International security identification number

JEDH

Joint External Debt Hub

LIBOR

London interbank offered rate

LICs

Low income countries

MACs

Market access countries

MDRI

Multilateral Debt Relief Initiative

MFSM

Monetary and Financial Statistics Manual (IMF)

MMFs

Money market funds

NIFs

Note issuance facilities

NNA

National numbering agency

NPISH

Nonprofit institutions serving households

ODA

Official development assistance

OECD

Organisation for Economic Co-operation and Development

OTC

Over-the-counter [markets]

PSDS Guide

Public Sector Debt Statistics: Guide for Compilers and Users

QEDS

Quarterly External Debt Statistics (World Bank)

Repo

Repurchase agreement

RUFs

Revolving underwriting facilities

SDDS

Special Data Dissemination Standard

SDDS Plus

Special Data Dissemination Standard Plus

SDRs

Special drawing rights (IMF)

1993 SNA

System of National Accounts 1993

2008 SNA

System of National Accounts 2008

SPE

Special purpose entity

TFFS

Inter-Agency Task Force on Finance Statistics

UNCTAD

United Nations Conference on Trade and Development

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