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 Part 1 of the Handbook oObjectives, scope and consistency oStructure and content oStylised presentational table oA few examples on its value added oA large consultation process oIts implementation oAvailable on the IMF website: atistics&col=&submit.x=37&submit.y=7 atistics&col=&submit.x=37&submit.y=7 ●Part 2 of the Handbook: Brief introduction

Objectives, scope and consistency Background oJune 2007: recommendations in CGFS report oOctober 2007: recommendations in G8 report oNovember 2007: reconvened IMF Working Group on Securities Database (WGSD) oMarch 2008 in Washington: IFC workshop “Challenges to improve global comparison of securities statistics” (see IFC Publication on …) oUpon general demand BIS-ECB-IMF took joint initiative to develop Handbook on Securities Statistics (HSS), initially (Part I) to cover debt securities issues Objectives oImprove information on securities markets oDevelop a conceptual framework for presentation of statistics on different types of securities issued and held oConsistency with existing international statistical standards

Structure of the Part I of the HSS 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 (to be added soon); security-by-security databases; example of metadata for debt securities statistics Objectives, scope and consistency Structure of Part I of the Handbook

Content of the Part I of the HSS Follows international statistical standards like 2008 SNA or BPM6 Goes beyond these standards by oPresenting 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 oDeveloping detailed presentation tables Content of Part I of the Handbook

Stylised presentation table

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

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

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

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

●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 (a)

Presentation table by issuer and market ●It shows debt securities issues broken down ●By issuer and market, with a split between: oIssuer into resident sectors and sub-sectors; and oMarket 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. Some further detailed presentation tables (b) Issuer Market ResidentsNon- residents All issuers Non- financial corpo- rations Financial corporationsGeneral governmentHouse- holds and NPISH Memo item: public sector Central bank Other money– issuing corporations Securitisation corporations Other financial corporations Central govern- ment Other general govern- ment 1. Domestic market 2. International markets 3. All markets

Presentation table by issuer and currency ●It shows debt securities issues broken down ●By issuer and currency of denomination, with a split into: oDomestic currency and foreign currencies ●A third row for debt securities issues denominated in all currencies represents debt securities issued by issuer in all currencies Some further detailed presentation tables (c) Issuer Currency ResidentsNon- residents All issuers Non- financial corpo- rations Financial corporationsGeneral governmentHouse- holds and NPISH Memo item: public sector Central bank Other money– issuing corpo- rations Securiti- sation corpo- rations Other financial corpo- rations Central govern- ment Other general govern- ment 1. Domestic currency 2. Foreign currencies 3. All currencies

Presentation table by issuer and maturity ●It shows debt securities issues broken down ●By issuer and maturity; oWith a split into short term and long term at original maturity; and oLong 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 Some further detailed presentation tables (d) Issuer Maturity ResidentsNon- residents All issuers Non- financial corpo- rations Financial corporationsGeneral governmentHouse- holds and NPISH Memo item: public sector Central bank Other money– issuing corpo- rations Securi- tisation corpo- rations Other financial corpo- rations Central govern- ment Other general govern- ment 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

Presentation table by issuer and interest rate ●It shows debt securities issues broken down ●by issuer and interest rate; owith a split into fixed interest rate and variable interest rate; and ovariable interest rate further broken down into three sub-categories Some further detailed presentation tables (e) Issuer Interest rate ResidentsNon- residents All issuers Non- financial corpo- rations Financial corporationsGeneral governmentHouse- holds and NPISH Memo item: public sector Central bank Other money– issuing corporations Securiti- sation corpo- rations Other financial corpo- rations Central govern- ment Other general govern- ment 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

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) Some further detailed presentation tables (f) Issuer Positions and flows ResidentsNon- residents All issuer s Non- financial corpo- rations Financial corporationsGeneral government House- holds and NPISH Memo item: public sector Central bank Other money– issuing corporations Securiti- sation corpo- rations Other financial corpo- rations Central govern- ment Other general govern- ment 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

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 BPM6 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][1][2] ●Nominal value is often mistakenly considered to be the same as face value. [1][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][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 BPM6, paragraph (b). Reconciling market and nominal values

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 Large consultation process

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 oImplementation of 2010 ESA in 2014 (which is in line with the Handbook) oApplication of the Centralised Securities Database (CSDB) ●Around 40 central banks have nominated contacts oMajor exercise for many central banks and BIS oRevised BIS data, according to the terminology and the structure of the presentation tables as described in the Handbook, expected in first half of 2010 Implementation

Part II of HSS: holdings of debt securities Holdings of debt securities ●September 2009: outline of report agreed by BIS-ECB-IMF oExtend sectoral breakdown of part I to include residence of securities holder oFrom-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 oShares and other equity oFinancial derivatives oGuidelines for security-by-security databases oWorld aggregates with regional breakdowns Part II of the Handbook