Handbook on Securities Statistics

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• Handbook on Securities Statistics
• Overview of a joint BIS-ECB-IMF initiative

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Overview

• The 20 recommendations under the G-20 data gaps
  initiative
• The Handbook on Securities Statistics
• Part 1 of the Handbook - Debt securities issues
• Part 2 of the Handbook - Debt securities holdings
• Implementation of Part 1 and Part 2 of the
  Handbook
• Part 3 of the Handbook - Equity securities
• The Handbook on the web

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The G-20 data gaps initiative

• Data gaps
• As an inevitable consequence of the ongoing
  development of markets and institutions
• Are highlighted when a lack of timely, accurate
  information hinders the ability of policy makers
  and market participants to develop effective
  responses
• Recent crisis has reaffirmed an old lesson good
  data and good analysis are the essentials of
  effective surveillance and policy responses at
  both the national and international levels
• April 2009 G-20 Finance Ministers and Central
  Bank Governors Working Group on Reinforcing
  International Co-operation and Promoting
  Integrity in Financial Markets called on the IMF
  and the FSB to explore information gaps and to
  provided appropriate proposals
• Following widespread consultation, a broad
  consensus over information gaps
• 20 recommendations

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The G-20 data gaps initiative

• Inter-Agency Group on Economic and Financial
  Statistics (IAG)
• Has worked together to start closing some data
  gaps
• Has prepared, together with the FSB, G-20
  Progress Reports on the G-20 data gaps initiative
  (G-20 meetings in St Andrews on 7 November 2009
  and in Busan on 4 and 5 June 2010) and two senior
  officials meeting organised by the IMF and the
  FSB (Washington, 8-9 July 2009 and Basel, 8-9
  April 2010)
• Recommendation 7 on data gaps states
• Central banks and, where relevant, statistical
  offices, particularly those of the G-20
  economies, to participate in the BIS data
  collection on securities and contribute to the
  further development of the BIS-ECB-IMF Handbook
  on Securities Statistics (Handbook). The Working
  Group on Securities Databases (WGSD) to develop
  and implement a communication strategy for the
  Handbook.
• Other recommendations on PGI website, Financial
  Soundness Indicators, IIP, GFS, CDS, public
  sector debt, real estate prices, etc.

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The Handbook on Securities Statistics

• Background
• June 2007 recommendations in CGFS report
• October 2007 recommendations in G8 report
• November 2007 reconvened IMF Working Group on
  Securities Database (WGSD)
• March 2008 in Washington Irving Fisher Committee
  (IFC) workshop Challenges to improve global
  comparison of securities statistics (see IFC
  Publication on )
• Upon general demand, BIS-ECB-IMF took joint
  initiative to develop a Handbook on Securities
  Statistics (HSS)
• Initially to cover debt securities issues (Part
  1) and holdings (Part 2)
• Published in May 2009 and in September 2010
• Decision has been taken to add Part 3 on non-debt
  securities
• Including equity securities

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The Handbook on Securities Statistics

• Objectives
• Improve information on securities markets
• Develop a conceptual framework for presentation
  of statistics on different types of securities
  issued and held
• Consistency with existing international
  statistical standards

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Structure of the Part I of the HSS
Part I of the Handbook - Debt securities issues
Objectives, scope and consistency

• Structure
• Section 1 Introduction
• Section 2 Main features of debt securities
• Section 3 Institutional units and sectors
• Section 4 Securitisation
• Section 5 Accounting rules, valuation, and
  recording of accrued interest
• Section 6 Classification of debt securities
• Section 7 Detailed presentation tables
• Section 8 Metadata
• Annexes structured debt securities Islamic debt
  securities market value and nominal value
  security-by-security databases example of
  metadata for debt securities statistics

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Content of the Part I of the HSS
Part I of the Handbook - Debt securities issues

• Content
• Follows international statistical standards such
  as 2008 SNA or BPM6
• Goes beyond these standards by
• 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
• Delineation of three types of securitisation
• Dealing with borderline cases such as structured
  debt securities
• Having an annex on Islamic debt securities
• Describing security-by-security databases
• Looking at examples of metadata
• Developing detailed presentation tables

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Stylised presentation table
Data with breakdowns by maturity and interest
rate are not collected in the first step of the
data collection data with breakdowns by maturity
and interest rate are covered in the second step
of the data collection which will start in 2011
and will cover all markets only.
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Structure of the Part I of the HSS
Part 2 of the Handbook - Debt securities holdings
Objectives, scope and consistency

• Published in September 2010
• Structure
• Section 1 Introduction
• Section 2 Main features of debt securities
  holdings
• Section 3 Stocks, flows and valuation of debt
  securities holdings
• Section 4 Specific operations related to debt
  securities holdings
• Section 5 Debt securities holdings in a
  from-whom-to-whom framework
• Section 6 Detailed presentation tables
• Annexes The Coordinated Portfolio Investment
  Survey, security-by-security databases and
  security-by-security collection of holder
  information groups of corporations as holders of
  debt securities

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Content of the Part I of the HSS
Part 2 of the Handbook - Debt securities holdings

• Content
• Follows international statistical standards such
  as 2008 SNA or BPM6
• Goes beyond these standards by elaborating on
  additional issues
• Presenting refinements in referring to holdings
  of debt securities
• By money-issuing corporations, institutional
  investors or securitisation corporations
• With breakdowns by type of interest rate
• In the context of the IMF Coordinated Portfolio
  Investment Survey (CPIS)
• Uses two types of stylised presentation tables on
  debt securities holdings
• Presentation table A based on the residence of
  holder approach
• Presentation table B reflecting the
  from-whom-to-whom approach

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Content of the Part I of the HSS
Part 2 of the Handbook - Debt securities holdings

• Specific sections on
• Debtor approach and creditor approach to
  recording accrued interest
• Special operations (reverse transactions,
  short-selling, depository receipts, stripped
  securities, nominee accounts)
• From-whom-to-whom framework
• Transactor principle and debtor/creditor principle

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Content of the Part I of the HSS
Part 2 of the Handbook - Debt securities holdings
Presentation table A based on the residence of
holder approach
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Content of the Part I of the HSS
Part 2 of the Handbook - Debt securities holdings
Presentation table B reflecting the
from-whom-to-whom approach
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Content of the Part I of the HSS
Part 2 of the Handbook - Debt securities holdings
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Content of the Part I of the HSS
Part 2 of the Handbook - Debt securities holdings
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Content of the Part I of the HSS
Implementation of Part 1 and Part 2 of the
Handbook

• BIS to coordinate transmitting data to its
  databank to fill presentation tables according to
  the Handbook
• Around 40 non-euro central banks have nominated
  contacts
• Major exercise for many central banks and BIS
• Process longer than expected, not yet finalised
• 17 central banks have already reported data (10
  from G20 countries)
• Presentation tables as described in Part 1 of the
  Handbook expected to be transmitted by end 2010
  at the earliest
• ECB to coordinate with EU central banks
  (Statistics Committee within the European System
  of Central Banks)
• Implementation of ESA 2010 in 2014 (in line with
  the Handbook)
• Use of the Centralised Securities Database (CSDB)

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Content of the Part I of the HSS
Part 3 of the Handbook - Equity securities

• Part 3 of the Handbook on issues and holdings of
  non-debt securities
• Listed and unlisted shares
• Investment fund shares or units
• Will be coordinated by the ECB in 2011
• Publication foreseen in 2011

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Content of the Part I of the HSS
Handbook on the web

• Handbook on Securities Statistics (Part 1 and
  Part 2) available on the
• IMF website
• http//www.imf.org/external/ns/search.aspx?NewQuer
  yHandbookSecuritiesStatisticscolsubmit.x37
  submit.y7
• ECB website
• http//www.ecb.int/stats/pdf/money/securities/wgsd
  /sec_handbook_bis-ecb-imf_pt2.pdf?502985fd3c4a2fd3
  5f3be23d9c7db3f7