Handbook on Securities Statistics Overview of a joint

Handbook on Securities Statistics Overview of a joint BIS-ECB-IMF initiative Reimund Mink, ECB OECD Working Party on Financial Statistics, Paris, 2 to 4 November 2009

Overview l Part 1 of the Handbook o Objectives, scope and consistency o Structure and content o Stylised presentational table o A few examples on its value added o A large consultation process o Its implementation o Available on the IMF website: http: //www. imf. org/external/ns/search. aspx? New. Query=Handbook+Securities+St atistics&col=&submit. x=37&submit. y=7 ● Part 2 of the Handbook: Brief introduction

Objectives, scope and consistency l Background o June 2007: recommendations in CGFS report o October 2007: recommendations in G 8 report o November 2007: reconvened IMF Working Group on Securities Database (WGSD) o March 2008 in Washington: IFC workshop “Challenges to improve global comparison of securities statistics” (see IFC Publication on …) o Upon general demand BIS-ECB-IMF took joint initiative to develop Handbook on Securities Statistics (HSS), initially (Part I) to cover debt securities issues l Objectives o Improve information on securities markets o Develop a conceptual framework for presentation of statistics on different types of securities issued and held o Consistency with existing international statistical standards

Structure of Part I of the Handbook Structure of the Part I of the HSS Objectives, scope and consistency l Section 1: Introduction l Section 2: Main features of debt securities l Section 3: Institutional units and sectors l Section 4: Securitisation l Section 5: Accounting rules, valuation, and recording of accrued interest l Section 6: Classification of debt securities l Section 7: Detailed presentation tables l Section 8: Metadata l Annexes: structured debt securities; Islamic debt securities; market value and nominal value (to be added soon); security-by-security databases; example of metadata for debt securities statistics

Content of Part I of the Handbook Content of the Part I of the HSS l Follows international statistical standards like 2008 SNA or BPM 6 l Goes beyond these standards by o Presenting refinements in • Developing more detailed financial instrument classifications (by currency, maturity, interest rate, default risk, etc. ) • Looking at securitisation operations and units involved in securitisation • Dealing with borderline cases like structured debt securities • Having an annex on Islamic debt securities • Describing security-by-security databases • Looking at examples of metadata o Developing detailed presentation tables

Stylised presentation table

A few examples on its value added ● Debt securities under securitisation schemes (Section 4) ● Some further detailed presentation tables (Section 7) ● Reconciling market and nominal values for debt securities (Annex 3)

Debt securities under securitisation schemes (a) ● Securitisation: coupon or principal payments are backed by specified assets or future income streams Description of the process with 3 broad categories: o Type 1: On-balance sheet securitisation: no transfer of assets, no ad hoc corporation); o Type 2: True-sale securitisation: use of a securitisation corporation and transfer of assets from the original owner; o Type 3: Synthetic securitisation: no transfer of assets, only a transfer of credit risk Definition of securitisation narrower 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) than the one in the Handbook o Type 1 securitisation schemes are outside the scope of the ECB Regulation by definition, while o Type 2 und Type 3 securitisation schemes are covered ● ●

Debt securities under securitisation schemes (b) ● Three broad categories of securitisation

Debt securities under securitisation schemes (c) ● Statistical classification o Type of securities: o o Sector of the issuing unit: o o o ABS, including ABCP, covered bonds, CLN and debt securities with credit structuring, o/w CDO In Type 1: all types; In (Type 2) and (Type 3): other financial intermediaries only Residence of the securitisation corporation: country where it is incorporated, specific case of general government units

Some further detailed presentation tables (a) ● ● ● By issuer and market By issuer and currency By issuer and maturity By issuer and interest rate By issuer: positions and flows

Some further detailed presentation tables (b) Presentation table by issuer and market ● It shows debt securities issues broken down ● By issuer and market, with a split between: o Issuer into resident sectors and sub-sectors; and o Market into domestic market and international markets. ● The third row for debt securities issues in all markets represents debt securities issued by all issuers in all markets. Supplementary statistics may also be shown for debt securities issued by non-residents and all issuers in the domestic market. Residents Issuer Nonfinancial corporations Market Financial corporations Central bank Other money –issuing corporations Securitisation corporations General government Other financial corporations Central government Other general government Households and NPISH Nonresidents Memo item: public sector 1. Domestic market 2. International markets 3. All markets All issuers

Some further detailed presentation tables (c) Presentation table by issuer and currency ● It shows debt securities issues broken down ● By issuer and currency of denomination, with a split into: o Domestic currency and foreign currencies ● A third row for debt securities issues denominated in all currencies represents debt securities issued by issuer in all currencies Issuer Currency 1. Domestic currency 2. Foreign currencies 3. All currencies Residents Nonfinancial corporations Financial corporations Central bank Other money– issuing corporations Securitisation corporations General government Other financial corporations Central government Other general govern-ment Households and NPISH Memo item: public sector Nonresidents All issuers

Some further detailed presentation tables (d) Presentation table by issuer and maturity ● It shows debt securities issues broken down ● By issuer and maturity; o With a split into short term and long term at original maturity; and o Long term broken down further into four sub-categories ● A memorandum item shows debt securities issues with long term at original maturity, with a remaining maturity up to and including one year Residents Issuer Nonfinancial corporations Maturity 1. Short term at original maturity 2. Long term at original maturity 2. 1 More than one year and up to and including two years 2. 2 More than two years and up to and including five years 2. 3 More than five years and up to and including ten years 2. 4 More than ten years 3. All maturities 4. Memo item: long term at original maturity, with a remaining maturity up to and including one year Financial corporations Central bank Other money– issuing corporations Securitisation corporations General government Other financial corporations Central government Other general government Households and NPISH Memo item: public sector Nonresidents All issuers

Some further detailed presentation tables (e) Presentation table by issuer and interest rate ● It shows debt securities issues broken down ● by issuer and interest rate; o with a split into fixed interest rate and variable interest rate; and o variable interest rate further broken down into three sub-categories Residents Issuer Nonfinancial corporations Interest rate 1. Fixed interest rate 2. Variable interest rate 2. 1 Inflation-linked 2. 2 Interest rate-linked 2. 3 Asset price-linked 3. All interest rates Financial corporations Central bank Other money –issuing corporations Securitisation corporations General government Other financial corporations Central government Other general government Households and NPISH Memo item: public sector Nonresidents All issuers

Some further detailed presentation tables (f) Presentation table by issuer: positions and flows ● Expressed in market value, positions are covered at the end of the previous period, flows during the current period and positions at the end of the current period; transactions are split into gross (gross issues and redemptions) and net (gross issues net of redemptions) Issuer Residents Nonfinancial corporations Positions and flows 1. Position at end of previous period 2. Issues during current period 2. 1 Net issues (gross issues net of redemptions) 2. 2 Gross issues 2. 3 Redemptions 3. Revaluations during current period 4. Other changes in volume during current period 5. Position at end of current period Financial corporations Central bank Other money– issuing corporations Securitisation corporations General government Other financial corporations Central government Other general government Households and NPISH Memo item: public sector Nonresidents All issuers

Reconciling market and nominal values for debt securities (Annex 3) Market valuation is the ● Key principle for valuing transactions and positions of debt securities adopted by the international statistical standards (2008 SNA 2. 59 and BPM 6 8. 12) ● The market value is that at which debt securities are acquired or disposed of between willing parties, on the basis of commercial considerations only, excluding commissions, fees, and taxes. ● In determining market values trading parties also take account of accrued interest. Nominal valuation of debt securities reflects ● The sum of funds originally advanced, plus any subsequent advances less any repayments, plus any accrued interest. [1], [2] ● Nominal value is often mistakenly considered to be the same as face value. [1] The nominal value in domestic currency of a debt denominated in foreign currency also includes revaluations arising from exchange rate changes (see par 5. 22). [2] For debt securities indexed to a narrow index, the nominal value can also include holding gains and losses arising from movements in the index. See BPM 6, paragraph 11. 61 (b).

Large consultation process Consultation ● Wide consultation during preparation of Part I of the Handbook ● Part I of the Handbook released in May 2009 (less than one year to complete) ● Compilers of debt securities statistics invited to make use of conceptual framework and improve their national debt securities statistics

Implementation Use of the framework to improve debt securities statistics worldwide ● BIS to coordinate transmitting data to fill presentation tables according to the terminology as described in the Handbook ● ECB to coordinate with European Union central banks in the Statistics Committee of the European System of Central Banks o Implementation of 2010 ESA in 2014 (which is in line with the Handbook) o Application of the Centralised Securities Database (CSDB) ● Around 40 central banks have nominated contacts o Major exercise for many central banks and BIS o Revised BIS data, according to the terminology and the structure of the presentation tables as described in the Handbook, expected in first half of 2010

Part II of HSS: holdings of debt securities Part II of the Handbook Holdings of debt securities ● September 2009: outline of report agreed by BIS-ECB-IMF o Extend sectoral breakdown of part I to include residence of securities holder o From-whom-to-whom framework between sectors (and countries) ● October 2009: comments from Expert Group ● End 2009: first draft coordinated by ECB ● February 2010: meeting of Review Group ● Spring 2010: publication of Part II of the Handbook ● Possible future extensions o Shares and other equity o Financial derivatives o Guidelines for security-by-security databases o World aggregates with regional breakdowns