- International Monetary Fund
- Published Date:
- November 2009
Commission of the European Communities1995European System of National Accounts 1995 (Brussels). Available via the Internet: http://circa.europa.eu/irc/dsis/nfaccount/info/data/esa95/en/een00sum.htm.
Commission of the European Communities International Monetary Fund Organisation for Economic Cooperation and Development United Nations and World Bank2008System of National Accounts2008: Volume 1 (Brussels, Luxembourg, New York, Paris, and Washington). Available via the Internet: http://unstats.un.org/unsd/sna1993/draftingphase/WC-SNAvolume1.pdf.
Commission of the European Communities International Monetary Fund Organisation for Economic Cooperation and Development United Nations and World Bank2008System of National Accounts2008: Volume 2 (Brussels, Luxembourg, New York, Paris, and Washington). Available via the Internet: http://unstats.un.org/unsd/sna1993/draftingphase/volume2.pdf.
European Central Bank2005Securities Statistics Methodological Notes(Frankfurt am Main). Available via the Internet: http://www.ecb.europa.eu/stats/pdf/money/securities/sec_methodologicalnotes.pdf.
European Central Bank2007Guideline of the European Central Bank of 1 August 2007 on Monetary Financial Institutions and Markets Statistics(recast) (ECB/2007/9) (Frankfurt am Main). Available via the Internet: http://www.ecb.europa.eu/ecb/legal/pdf/en_gui_2007_9_f_signed_ecb_website.pdf.
European Central Bank2008Regulation (EC) No 24/2009 concerning statistics on the assets and liabilities of financial vehicle corporations engaged in securitisation transactions (ECB/2008/30) (Frankfurt am Main). Available via the Internet: http://www.ecb.int/ecb/legal/pdf/l_01520090120en00010013.pdf.
International Monetary Fund2000Monetary and Financial Statistics Manual (Washington). Available via the Internet: http://www.imf.org/external/pubs/ft/mfs/manual/index.htm.
International Monetary Fund2001Government Finance Statistics Manual 2001 (Washington). Available via the Internet: http://www.imf.org/external/pubs/ft/gfs/manual/pdf/all.pdf.
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Islamic Financial Services Board2007Capital Adequacy Requirements for Sukūk Securitisations and Real Estate Investment (Kuala Lumpur). Available via the Internet: http://www.ifsb.org/docs/ed_sukuk_english.pdf.
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The WGSD also recognises the contributions, on various specific issues, from a number of officials at the BIS, the ECB and the IMF.
Representatives of institutions marked with an asterisk gave, as members of an expert group, additional advice on the development of the Handbook.
These statistical handbooks and guides are expected to be updated and brought into line with the 2008 SNA.
Financial instruments are identical to financial claims. They are financial assets that have corresponding financial liabilities (2008 SNA 11.27).
The maturity date may coincide with the conversion of a debt security into an equity security. In this context, convertibility means that the holder may exchange a debt security for the issuer’s common equity. Exchangeability means that the holder may exchange the debt security for equity securities of a corporation other than the issuer. Perpetual securities and some preferred shares, which have no stated maturity date, are classified as debt securities (see paragraph 2.14).
The face value of a debt security is defined as the amount of principal to be repaid (2008 SNA 3.154 (d)).
Some debt securities have no coupon payments during their life, with the full return being paid at maturity (zero-coupon bonds, see Section 6), while some structured debt securities pay no coupon at all (see Annex 1).
Preferred shares are also called preference shares, preferred stock or non-participating preferred shares.
Examples of the centralised model are the Central Bank of West African States (BCEAO), the Bank of Central African States (BEAC) and the Eastern Caribbean Central Bank (ECCB). The European Central Bank (ECB) is an example of the decentralised model.
This sub-sector excludes institutional units involved in the securitisation of assets, or securitisation corporations, which are classified as other financial intermediaries.
Non-profit institutions are allocated to the corporations sectors when they are engaged in market production and to the general government sector if they are engaged in non-market production but subject to government control.
There is a wide spectrum of schemes similar to BOT and BOOT, such as build-transfer, build-own-operate, build-lease-transfer, build-transfer-operate, contract-add-operate, design-build-finance-operate, develop-operate-transfer, rehabilitate-operate-transfer, rehabilitate-own-operate, etc.
The public sector is not a separate institutional sector such as the five sectors described in this section, but rather it is a grouping of sectors and sub-sectors used in analysis.
In the European Union (EU), the definition of securitisation is narrower than the one in this Handbook. In particular, the definition of securitisation in Regulation (EC) No 24/2009 of the ECB concerning statistics on the assets and liabilities of financial vehicle corporations engaged in securitisation transactions (ECB/2008/30) is similar to those described below for Type 2 and Type 3 securitisation schemes. Type 1 securitisation schemes, or on-balance sheet securitisation, are outside the scope of the ECB regulation by definition.
Transactions where the original asset owner converts one type of asset (for example, loans) on its balance sheet to another type of asset (for example, debt securities) through the use of a securitisation corporation is not considered as securitisation, but rather as a restructuring of assets. In this case, the original asset owner sells assets to a securitisation corporation, and then the securitisation corporation issues debt securities back to the original asset owner. The original asset owner typically retains these debt securities on its balance sheet rather than trading them in the secondary market. The debt securities issued by the securitisation corporation should, however, be included in debt securities statistics.
A credit default swap (CDS) is a financial derivative whose primary purpose is to trade credit default risk (2008 SNA 11.122).
The debt securities issued can be split into different credit rated tranches enabling holders with different risk profiles to satisfy their investment criteria. The most senior tranche has the first claim on the securities underlying assets, with the priority of claims decreasing to the most junior tranche. If a default occurs, the coupon payments to holders of debt securities in the junior tranche are the first to be re-directed to the original asset owner.
Debt securities issued under similar schemes include: Pfandbriefe, obligations foncières, obbligazioni bancarie garantite, lettres de gage hypothécaires and lettres de gage publiques, obrigações hipotecárias and obrigações hipotecárias sobre a sector público, and cédulas hipotecarias and cédulas territoriales.
In the EU, covered bonds are defined by the Capital Requirements Directive, which limits the range of accepted assets.
The ability to raise taxes or other government revenue is not classified as an asset in the 2008 SNA. Nevertheless, the earmarking of future revenue, such as receipts from road tolls, to service debt securities issued by general government may resemble securitisation. General governments that use these schemes give holders of the securitisation debt securities a higher level of protection, or a preferred status, as the principal repayments and coupon payments are backed by earmarked future revenue. In the EU, methodological criteria have been developed for securitisation undertaken by general government (see also http://europa.eu/rapid/pressrelease/2007/88).
Revaluations are also known as holding gains and losses (2008 SNA 12.71).
In the context of debt securities issues and redemptions, financial transactions are recorded.
In the financial accounts, a creditor may recognise that debt securities can no longer be redeemed on account because of bankruptcy, liquidation or other factors, and remove the claims from its balance sheet. The fall in the creditor’s balance sheet holdings of securities is recorded as an entry as other changes in volume. To maintain balance in the accounts, the corresponding liability must be removed from the debtor’s balance sheet in the same way (2008 SNA 12.39). Write-downs that reflect the market value of debt securities are recorded as revaluations (2008 SNA 11.40).
The concept of consolidation used in business accounting involves extending the boundary to all subsidiaries, eliminating mutual equity holdings, financial links and other transactions and applying some specific extra accounting treatments. In the national accounts, consolidation involves only the second step, since the boundary for reporting is defined by the sector, sub-sector or any other grouping under consideration.
In the case of discount debt securities, accrued interest is determined by the discount that is distributed over the life of the securities.
For example, a fixed interest rate bond is issued at 100 and pays annual fixed coupons of 10 during its life. Interest accrues of 10, even though no coupon is actually paid. The interest is considered as reinvested in the bond increasing the nominal value of the bond from 100 to 110. The coupon paid by the debtor at the end of each year is a (partial) redemption of the bond, reducing its nominal value from 110 to 100.
The money-issuing corporations sector usually covers the central bank, deposit-taking corporations except the central bank and money market funds (MMF). MMF are only included in money-issuing corporations if they issue liabilities included in the national definition of broad money.
The Handbook recommends that debt securities be presented on a “currency of denomination” basis only.
Payable on demand refers to a demand for payment issued by the creditor.
Face value is also known as par value, or simply par.
Equity warrant bonds may also be issued as variable interest rate convertible bonds. This is also applies for convertible bonds and exchangeable bonds.
Where debt securities are issued in multiple markets, the presentation will depend on whether the “residence of issuer” or the “location of issue” approach is used, and the legal arrangements of the debt securities issue.
In statistics, a decile is any of the nine values that divide the sorted data into ten equal parts, so that each part represents one-tenth of the sample or population. Thus, the first decile cuts off the lowest 10 per cent of data.
The two approaches can also be combined. In this case, debt securities issues in international markets would also be shown separately for resident issuers, and all markets would comprise domestic and international markets where these issuers are present.
The 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 the debt securities statistics. The DQAF focuses on some features of the governance of authorities that produce statistics, as well as the processes to produce statistical indicators and the qualities of these indicators. Based on the United Nations Fundamental Principles of Official Statistics, it is the product of an extensive consultation with national and international statistical authorities and data users.
See paragraph 4.9.
See paragraph 6.35.
Several Islamic banking products, such as the Profit Sharing Investment Account (PSIA), have features of a mutual fund. This indicates that the scope of services available in Islamic finance extends beyond the provision of a single industry product. The cross-sector nature of Islamic finance, however, has created some uncertainties in classifying products as either debt instruments or equity securities.
An Ijārah contract refers to a contract to lease a specified asset for an agreed period against specified instalments of lease rental.
A Murābahah contract refers to a contract to sell a specified asset at an agreed profit margin plus cost (selling price), where the cost and profit margin are disclosed. The asset must be under complete ownership of the seller.
A Mudārabah is a partnership contract between the capital provider (Rabbu al-Māl) and an entrepreneur (Muḍārib) in which the capital provider contributes capital to an enterprise or activity that is to be managed by the entrepreneur. Profits generated by the enterprise or activity are shared in accordance with the percentage specified in the contract, while losses are to be borne solely by the capital provider unless the losses are due to the entrepreneur’s misconduct, negligence or breach of contractual terms.
A Mushārakah is a partnership contract in which the partners (Shuraka’) agree to contribute capital to an enterprise, whether existing or new, or towards the ownership of an asset, either on a temporary or permanent basis. Profits generated by the enterprise or asset are shared in accordance with percentage specified in the Mushārakah agreement, while losses are shared in proportion to each partner’s share of capital.
A “pay-through” securitisation structure derives its name from the fact that payments to investors are directed through a securitisation corporation that does not strictly pay the investors only when the receivables are collected by it, but keeps paying on the stipulated dates irrespective of the collection dates.
A “pass-through” securitisation structure derives its name from the fact the securitisation corporation passes payments to the investors in the same periods and subject to the same fluctuations as those applicable in the actual receivables.
A Salam contract refers to a contract to purchase an asset where the price, quantity and quality are specified to be delivered in the future.
An Istisnā contract refers to a contract to order the manufacture of an asset according to the buyer’s specifications at a predetermined selling price. The payment of the price and delivery of the asset will be on a specified future date.
Under Wakalah, the holder appoints the beneficiary of funds to an agent to perform certain business operations. Depending on the underlying assets, these contracts are negotiable.
The nominal value in domestic currency of a debt security denominated in foreign currency also includes revaluations arising from exchange rate changes (see paragraph 5.22).
For debt securities linked to a narrow index, the nominal value can also include holding gains or losses arising from movements in the index (see BPM6, paragraph 11.61 (b)).
There is an inverse relationship between market interest rates and the market price of a fixed interest rate bond, because of the effect of the market interest rate on the net present value of the future cash payments on the debt security. When the market interest rate falls, the market value of a fixed interest rate bond increases, and vice versa.
SBS databases may include statistics covering various categories of financial instruments, such as debt securities, equity securities, investment fund shares or units, and financial derivatives. A prominent example of a SBS database is the Centralised Securities Database (CSDB) set up by the European System of Central Banks.