Chapter

Section 1: Introduction

Author(s):
International Monetary Fund
Published Date:
November 2009
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Objective of the Handbook

1.1 The Handbook on Securities Statistics (the Handbook) is the first publication of its kind to deal exclusively with the presentation of securities statistics. The objective of the Handbook is to improve information on securities markets. The Handbook develops a conceptual framework for the presentation of statistics on different types of securities. The intention is to develop a framework that produces relevant, coherent, and internationally comparable securities statistics for use in financial stability analysis and monetary policy formulation. Hence, the Handbook will assist policymakers and analysts in these areas, as well as national agencies that prepare securities statistics within their existing presentation frameworks.

Scope of Part 1 of the Handbook

1.2 Part 1 of the Handbook covers the conceptual framework for position and flow statistics on debt securities issues. This conceptual framework is summarised below using a stylised presentation table with aggregate statistics on debt securities issues. In the medium term, it is envisaged that the conceptual framework will be extended to issues of other types of securities and holdings of securities.

1.3 Because debt securities carry obligations to make future payments, they have the potential to render an economy, or sectors of an economy, vulnerable to solvency and liquidity problems, as seen during various periods of financial turmoil. These problems can have adverse effects on the real economy, with implications for financial stability and monetary policy. Hence, debt securities markets clearly need to be monitored and measured.

1.4 The Handbook focuses on concepts and the presentation of securities statistics, and is not intended to be a compilation guide. This means that it does not provide data sources or uses, or methods for compiling statistics, nor does it give practical advice on questions such as frequency and timeliness with which statistics are to be compiled and disseminated.

1.5 Part 1 of the Handbook covers broad conceptual issues related to the presentation of statistics on debt securities issues, thus enabling it to address future financial innovation. It ensures the comparability of statistics across economies, which can then be used to develop meaningful global aggregates. The Handbook provides additional information to that in existing international statistical standards on borderline cases when debt securities are distinguished from other securities and other financial instruments. The Handbook also provides a framework for classifying securities statistics based on existing international statistical standards, extends the groupings used in these standards, and outlines new classifications.

Consistency with existing international statistical standards

1.6 The Handbook is consistent with existing international statistical standards. It is harmonised with the System of National Accounts 2008 (2008 SNA), and the IMF Balance of Payments and International Investment Position Manual, sixth edition (BPM6). The consistency with these standards relates to the definitions used to identify, classify, value and record positions and flows of debt securities. Consistency in the application of these definitions promotes comparability of the statistics within an economy and across countries. It also promotes efficiency in data preparation, improves analytical power, and provides a better understanding of the data.

1.7 The Handbook also provides linkages to other international statistical manuals and guides, including the IMF Monetary and Financial Statistics Manual (MFSM), Monetary and Financial Statistics: Compilation Guide (MFS Guide), Government Finance Statistics Manual 2001 (GFSM 2001), External Debt Statistics: Guide for Compilers and Users (External Debt Guide), and Coordinated Portfolio Investment Survey Guide, second edition (CPIS Guide).3

The conceptual framework

1.8 The development of debt securities markets in each country has been determined by national regulations for listing, trading, and settlement. As a result, debt securities markets can differ considerably across countries, and this has given rise to different presentations for debt securities statistics. While it is not always simple to compare these different presentations, it is possible to develop a standard conceptual framework for them.

1.9 The stylised presentation in Table 1.1 classifies statistics on debt securities issued by institutional units in accordance with five criteria: issuer, currency, maturity, interest rate and market. These classification criteria, which are consistent with existing international statistical standards, are discussed in further detail in Section 6.

Table 1.1Stylised presentation table
IssuerResidentsNon-

residents
All

issuers
Market, currency,

maturity, and interest rate
Non-financial

corporations
Financial

corporations
General

government
Households

and non-

profit

institutions

serving

households
Domestic marketCurrencyLocation of issue
Maturity
Interest rate
International

markets
Currency
Maturity
Interest rate
All

markets
Currency
Maturity
Interest rate
Residence of issuer

1.10 Presentation Table 1.1 is based on the “residence of issuer” approach, in line with the existing international statistical standards, such as the 2008 SNA and the BPM6. It groups into sectors, the resident institutional units that issue debt securities. As an extension to the “residence of issuer” approach, the “location of issue” approach is also presented in Table 1.1. In this approach, debt securities statistics are shown according to the geographic or jurisdictional location of debt securities markets, with data presented on debt securities that have been issued in the domestic market by residents and nonresidents. When collected for many markets, these statistics are useful for assessing the relative importance of financial centres. Such data can also indicate the motivations of debtors and creditors, such as the attractiveness of the domestic market to foreign investors, and possible liquidity risk.

1.11 The structure of the remainder of this Handbook is as follows: Section 2 defines securities and debt securities, distinguishes debt securities from other financial instruments and lists the main features of debt securities; Section 3 defines institutional units and residence, and explains how institutional units are grouped into sectors and sub-sectors; Section 4 addresses securitisation; Section 5 describes the accounting and valuation rules to be followed; Section 6 explains how debt securities statistics can be presented according to different classifications, that is, by issuing sector and sub-sector, currency, maturity, interest rate, market and default risk; Section 7 consolidates the concepts and guidelines outlined in Sections 1-6 into detailed presentation tables, and Section 8 explains metadata for debt securities.

1.12 The Handbook also contains five annexes: Annex 1 defines structured products and structured debt securities, and provides criteria for their classification; Annex 2 describes Islamic debt securities and their classification; Annex 3 illustrates the relationship between market and nominal value; Annex 4 explains security-by-security databases and their benefits and costs; and Annex 5 lists examples of metadata for debt securities statistics. There is also a glossary of key terms used in the Handbook.

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