Front Matter

Front Matter

Author(s):
International Monetary Fund
Published Date:
November 2009
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HANDBOOK ON SECURITIES STATISTICS

Part 1: Debt Securities Issues

May 2009

Editor’s note:

The following changes have been made since the publication of this edition of the handbook:

(April 2013): A revised version of Figure 4.1 (page 16) was substituted for the original.

Contents

Foreword

This Handbook on Securities Statistics (the Handbook) has been prepared jointly by the Bank for International Settlements (BIS), the European Central Bank (ECB) and the International Monetary Fund (IMF) in response to calls by different international groups, including the Committee on the Global Financial System, the Group of Eight (G8), the Irving Fisher Committee on Central Bank Statistics and the Working Group on Securities Databases to develop methodological standards for securities statistics. The preparation of the Handbook was initiated in mid-2008 and has been guided by the broad range of expertise in our organisations, as well as by close consultation with national experts on financial statistics. It also addresses a concern voiced by the Group of Twenty (G20) to fill data gaps and to strengthen data collection where needed.

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

Part I of the Handbook covers debt securities issues. Over time, further parts may be added to the Handbook, for instance to cover issues of other types of securities and holdings of securities. More specific compilation guidelines may also be developed, including with respect to the establishment of national and international security-by-security databases.

We recommend that national and international agencies, whose task is to prepare securities statistics make use of the Handbook within their existing statistical frameworks and develop strategies for the improvement of these frameworks, also with a view to achieving greater international comparability of securities statistics.

Stephen G. Cecchetti

Economic Adviser and Head of the

Monetary and Economic Department

Bank for International Settlements

Steven J. Keuning

Director General Statistics

European Central Bank

Adelheid Burgi-Schmelz

Director, Statistics Department

International Monetary Fund

Preface

In 2007, the Working Group on Securities Databases (WGSD) – originally established by the International Monetary Fund (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 IMF and includes the Bank for International Settlements (BIS), the European Central Bank (ECB) and the World Bank. Selected experts from national central banks, who participated actively in various international groups that identified the need to improve data on securities markets, have also been invited to contribute to some of the deliberations of the WGSD. In mid-2008, the WGSD agreed to sponsor the development of a Handbook on Securities Statistics.

Part I of the Handbook provides a conceptual framework for the presentation of statistics on debt securities issues based on the 2008 System of National Accounts and the Balance of Payments and International Investment Position Manual, sixth edition. It gives guidelines on debt securities statistics by issuer, currency, maturity, type of interest rate and market. Finally, it shows how the general framework and the various classification schemes can be developed into more detailed presentation tables. In this way, the implementation of the concepts outlined in the Handbook would provide a comprehensive informed picture of debt securities issues statistics for the whole economy. At the same time, the Handbook allows flexibility in the presentation of such statistics, in line with the relative state of development of national debt securities markets.

The production of the Handbook is a joint undertaking by the BIS, the ECB and the IMF, which have a particular interest and expertise in securities statistics. The following officials were primarily involved:1

BISMr Paul Van den Bergh

Mr Kerry Wood (Coordinator)
ECBMr Werner Bier

Mr Reimund Mink
IMFMr José Cartas

Mr Alfredo Leone (Chair of the WGSD)

Mrs Armida San Jose.

The BIS, the ECB and the IMF also acknowledge, with gratitude, the contributions of various experts from the following central banks, national statistical agencies and international organisations (national agencies are listed alphabetically by country): 2

Bank of AlgeriaCentral Bank of Lebanon
Central Bank of ArgentinaCentral Bank of Luxembourg
Central Bank of ArmeniaNational Bank of the Republic of Macedonia
Reserve Bank of AustraliaCentral Bank of Malaysia
Austrian National BankBank of Mexico*
National Bank of BelgiumNetherlands Bank*
Central Bank of Brazil*Reserve Bank of New Zealand
Bulgarian National BankStatistics Norway
Bank of CanadaState Bank of Pakistan
Statistics CanadaCentral Reserve Bank of Peru
Central Bank of ChileBangko Sentral ng Pilipinas
People’s Bank of ChinaPhilippines Bureau of the Treasury
Bank of the Republic of ColombiaPhilippines Securities and Exchange Commission
Croatian National BankNational Bank of Poland
Czech National BankBank of Portugal
National Bank of DenmarkNational Bank of Romania
Bank of FinlandCentral Bank of the Russian Federation
Bank of FranceSaudi Arabian Monetary Agency
Deutsche Bundesbank*Monetary Authority of Singapore*
Bank of GhanaNational Bank of Slovakia
Bank of GreeceBank of Slovenia
Hong Kong SAR Census and Statistics Department*South African Reserve Bank
Bank of Spain
Hong Kong Monetary AuthoritySveriges Riksbank
Magyar Nemzeti BankSwiss National Bank
Central Bank of IcelandBank of Thailand
Reserve Bank of India*Central Bank of the Republic of Turkey
Bank IndonesiaBank of England
Central Bank and Financial Services Authority of IrelandBoard of Governors of the Federal Reserve System*
Bank of IsraelAsian Development Bank
Bank of ItalyCommonwealth Secretariat
Bank of JapanIslamic Financial Services Board
Bank of KoreaUnited Nations Conference on Trade and Development
Bank of Latvia

The valuable inputs, comments and suggestions received from experts in these institutions, as well as from the Statistics Committee of the European System of Central Banks, have significantly contributed to the preparation of the first part of the Handbook.

The envisaged preparation of additional parts of this Handbook, such as issues of other types of securities and holdings of securities, will actively involve users and compilers of securities statistics.

Abbreviations and Acronyms

2008 SNA

System of National Accounts 2008

ABCP

Asset-backed commercial paper

ABS

Asset-backed security

BCEAO

Central Bank of West African States

BEAC

Bank of Central African States

BIS

Bank for International Settlements

BOOT

Build-own-operate-transfer

BOT

Build-operate-transfer

BPM6

Balance of Payments and International Investment Position Manual, sixth edition

CBO

Collateralised bond obligation

CDO

Collateralised debt obligation

CDS

Credit default swap

CLN

Credit-linked note

CLO

Collateralised loan obligation

CMO

Collateralised mortgage obligation

CPI

Consumer price index

CPIS

Coordinated Portfolio Investment Survey Guide, second edition

CSDB

Centralised Securities Database

CUCB

Currency union central bank

DQAF

Data Quality Assessment Framework

ECB

European Central Bank

ECCB

Eastern Caribbean Central Bank

EU

European Union

GFSM 2001

Government Finance Statistics Manual 2001

IFSB

Islamic Financial Services Board

IIFS

Institution offering Islamic financial services

IMF

International Monetary Fund

ISIN

International Security Identification Number

LIBOR

London interbank offered rate

MFS Guide

Monetary and Financial Statistics: Compilation Guide

MFSM

Monetary and Financial Statistics Manual

MMF

Money market fund

MTN

Medium-term note

NIF

Note issue facility

NPISH

Non-profit institutions serving households

PFI

Private finance initiative

PIBS

Permanent interest-bearing share

PPP

Public-private partnership

PSIA

Profit sharing investment fund

RMBS

Residential mortgage-backed security

RUF

Revolving underwriting facility

SBS

Security-by-security

SPE

Special purpose entity

STRIPS

Separate trading of registered interest and principal of securities

VRN

Variable rate note

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