Chapter

Annex 5. Metadata for Debt and Equity Securities Statistics

Author(s):
Jose Cartas, and Qi He
Published Date:
June 2015
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A5.1Annex 5 presents guidelines on metadata for debt and equity securities statistics. These metadata complement the statistics presented in the tables in Chapter 9. While quantitative information is useful for assessing the financing activity of residents and nonresidents across securities markets, it is not sufficient in itself to support a comprehensive analysis, particularly when comparing national data and constructing global aggregates.

A5.2 To properly assess securities markets and produce comparable statistics, additional information is required. This reflects, among other things, the range of data sources used to construct securities statistics, the various accounting rules under which the data can be produced, and the regulations governing debt securities issuance.

A5.3 There are no specific international guidelines for metadata on debt and equity securities statistics. This Handbook represents a first attempt to fill this gap.

A5.4 This annex recommends the presentation of three groups of statistical metadata. The first group is specific to securities statistics and covers information on the regulatory and supervisory environment in which securities are issued in domestic and international markets, as well as on market arrangements. There are two additional groups of metadata:1

  • Statistical metadata items that are shared by all financial statistics, and hence by debt and equity securities statistics

  • General statistical metadata items shared by all types of statistics.

A5.5 Any type of metadata can be specific to an individual series or can be attached to a whole group of statistical series. An example of metadata for securities time series is shown in this annex. It demonstrates the type of information that can be included in metadata for securities statistics.

Specific Statistical Metadata Items for Debt and Equity Securities Statistics

Regulatory and Supervisory Environment

A5.6 Each country has developed its own set of regulations governing the issue of debt and equity securities. These regulations are designed to satisfy specific national requirements that have evolved over time and are developed and monitored by a range of national agencies. To enhance the comparability of securities statistics, it is crucial that a basic set of information on the regulatory environment is presented with the quantitative statistics. Metadata on the regulatory environment could include:

  • Main domestic and international regulations governing the operation of debt and equity securities markets

  • Names of the regulatory organizations responsible for governing debt and equity securities markets

  • Listing and numbering requirements of issuers of debt and equity securities

  • Disclosure requirements for issuers of debt and equity securities

  • Accounting rules for recording the issuance and trade of debt and equity securities.

Market Arrangements

A5.7 The coverage of securities statistics may also vary across economies owing to differences in market operations and arrangements. Metadata on market information could include trading, clearing, and settlement arrangements for debt and equity securities.

Statistical Metadata Items Shared by All Financial Statistics

A5.8 In addition to the corresponding specific statistical metadata items, debt securities statistics should also take advantage of metadata that are already used in existing databases containing financial statistics. In the metadata listed below, each statistical item is followed by the categories recommended by this Handbook.

Debt securities

A5.9 Metadata for debt securities statistics should include information relating to the classifications in the detailed tables in Chapter 9, including:

  • Issuer sector: all sectors, nonfinancial corporations, financial corporations, general government, households and nonprofit institutions serving households (NPISHs), or nonresidents

  • Issue currency: all currencies, domestic currency, or foreign currencies

  • Issue market: all markets, domestic markets, or international markets

  • Maturity: all maturities, short-term maturities, or long-term maturities

  • Term to maturity: original maturity or remaining maturity

  • Interest rate: all interest rates, fixed interest rates, or variable interest rates

  • Variable interest rates: all variable interest rates, inflation-linked, asset price-linked, or interest rate-linked.

A5.10 Metadata for debt securities statistics should also include information relating to valuation and accounting rules, including:

  • Valuation: nominal value or market value

  • Recording basis: accrual basis

  • Grossing/netting: gross or net recording of transactions

  • Measure: position or flows (transactions i.e., gross issues or redemptions; revaluations; other changes in volume)

  • Accounting system: quadruple-entry bookkeeping.

A5.11 Metadata for debt securities statistics should also include information relating to the features of the statistics that are common to other groups of series, including, among others:

  • Title

  • Unit of measure

  • Frequency

  • Unit multiplier

  • Decimals

  • Seasonal adjustment

  • Collection reference period

  • Start date

  • Coverage

  • Breaks

  • Data source

  • Methodology

  • Timeliness

  • Revision procedure

  • Contact details.

Equity securities

A5.12. Metadata for equity securities statistics should include information relating to the classifications in the detailed tables in Chapter 9, including:

  • Issuer sector: all sectors, nonfinancial corporations, financial corporations, general government, or nonresidents

  • Trading currency: domestic currency or foreign currencies

  • Country of incorporation: all markets, domestic markets, or international markets

  • Country of operation: all markets, domestic markets, or foreign markets

  • Types of share: listed or unlisted shares, ordinary or preferred shares, depository receipts.

Table A.5.1Metadata for Statistics on Debt Securities Issues
Statistical metadata items shared by all financial statistics
Issuer sectorGeneral government
Issue currency typeAll currencies
Issue marketAll markets
MaturityAll maturities
Term to maturityOriginal
Interest rate typeAll interest rates
Variable interest rate typeNot applicable
Debt security typeNonsecuritization debt securities
ValuationNominal value
Recording basisAccrual
Grossing/nettingGross
Position and flowsPosition
Accounting systemQuadruple-entry bookkeeping
General statistical metadata items shared by all types of statistics
TitleGeneral government, all maturities (original), all markets, all currencies, all interest rates, non-securitization
Unit of measureU.S. dollar
FrequencyQuarterly
Unit multiplierBillion
DecimalsOne
Seasonal adjustmentNonseasonally adjusted
Collection reference periodEnd of period
Start date1980 Q1
CoverageExcludes savings bonds and budget agency securities
BreaksBefore 1985 Q3 data include savings bonds and budget agency securities
Data sourceFinancial Accounts of the United States; Table L.105 Federal Government and Table L.104 State and Local Governments.
MethodologyFinancial Accounts Guide. See www.federalreserve.gov/apps/fof/
TimelinessOne month after reference period
Revision procedureMainly affecting recent periods when available
Contact name and e-mailMr. Debt Security; debt.security@frb.gov
Specific statistical metadata items for debt securities statistics
Regulatory and supervisory environment
Main domestic and international regulations governing the operation of debt securities marketsThe Securities Act of 1933 and the Securities Exchange Act of 1934
Names of the regulatory organizations responsible for governing debt securities marketsU.S. Securities and Exchange Commission and self-regulatory organizations such as the Financial Industry Regulatory Authority and the Municipal Securities Rulemaking Board
Specific statistical metadata items for debt securities statistics
Regulatory and supervisory environment
Listing and numbering requirements of issuers of debt securitiesListing requirements vary by exchange and marketplace; the Committee on Uniform Security Identification Procedures (CUSIP) numbering system is used, although not all debt securities acquire a CUSIP number
Disclosure requirements for issuers of debt securitiesDepends on the type of security and how it is traded
Accounting rules for recording the issuance and trade of debt securitiesNational Book-Entry System
Market arrangements
Trading arrangements for debt securitiesThe Depository Trust & Clearing Corporation and the National Book-Entry System
Clearing arrangements for debt securitiesNational Securities Clearing Corporation and Fixed Income Clearing Corporation
Settlement arrangements for debt securitiesNational Securities Clearing Corporation and Fixed Income Clearing Corporation
Table A.5.2Metadata for Statistics on Equity Securities Issues
Issuer companyApplies to individual equity securities
Issuer industryFinancial
Issuer sectorDeposit-taking corporation except central bank
List dateMay be presented in brackets (e.g., before 1Q1990, 1Q1990-4Q1999, after 4Q1990)
ISINApplies to individual equity securities
Ticker symbolApplies to individual equity securities
Country of incorporationDomestic market
Country of operationDomestic market
Trading currencyDomestic currency
Listing categoryOrdinary shares
Authorized capitalTotal volume of authorized capital
Issued sharesTotal number of issued shares
Market capitalizationTotal value of market capitalization
ValuationMarket value
Recording basisAccrual
Grossing/netting of transactionsNet
Position and flowsPosition
Accounting systemQuadruple-entry bookkeeping

A5.13. Metadata for equity securities statistics should also include information relating to valuation and accounting rules, including:

  • Valuation: market value, book value, discounted forecast profits

  • Recording basis: accrual basis

  • Grossing/netting: gross or net recording of transactions

  • Measure: position or flows (transactions, i.e., gross issues less redemptions; revaluations; other changes in volume)

  • Accounting system: quadruple-entry bookkeeping.

A5.14. Metadata for equity securities statistics should also include information relating to the features of the statistics that are common to other groups of series, including, among others:

  • Issuing corporation

  • ISIN

  • Ticker symbol

  • Listing category: ordinary shares, preferred shares, depository receipts

  • Industry: sector and subsector

  • Trading currency

  • Unit of measure

  • Market capitalization

  • Issued shares

  • List date

  • Collection reference period

  • Coverage

  • Breaks.

The International Monetary Fund (IMF) has developed the Data Quality Assessment Framework (DQAF), which covers several metadata items that are listed among the two groups of statistical metadata that are not specific to securities statistics. The DQAF is used to assess the quality of countries’ economic and financial data. It focuses on certain features of the governance of authorities producing statistics, as well as the processes to produce statistical indicators and the quality of those indicators. Based on the United Nations Fundamental Principles of Official Statistics, it is the result of extensive consultation with national and international statistical authorities and data users.

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