HANDBOOK HANDBOOK ON SECURITIES STATISTICS • • • • • • • • • • • BANK FOR €• INTERNATIONAL SETTLEMENTS EUROPEAN CENTRAL BANK INTERNATIONAL MONETARY FUND EUROSYSTEM 2015 INTERNATIONAL MONETARY FUND © 2015 International Monetary Fund Cataloging-in-Publication Data Joint Bank-Fund Library Handbook on securities statistics/International Monetary Fund, Bank for International Settlements, European Central Bank.—Washington, D.C.: International Monetary Fund, 2015. pages ; cm. Includes bibliographical references. ISBN: 978-1-49838-831-3 1. Securities – Statistics – Handbooks, manuals, etc. 2. Securities – Information services. I. International Monetary Fund. II. Bank for International Settlements. III. European Central Bank. HG4515.3.H35 2015 Please send orders to: International Monetary Fund, Publication Services P.O. Box 92780, Washington, D.C. 20090, U.S.A. Tel.: (202) 623-7430 Fax: (202) 623-7201 E-mail: [email protected] Internet: www.elibrary.imf.org www.imfbookstore.org Contents Foreword ix Preface xi Abbreviations xv 1. Introduction 1 Objective of the Handbook 1 Scope of the Handbook 1 Securities as Negotiable Financial Instruments 1 Debt Securities, Equity Securities and Investment Fund Shares or Units 1 Use of Statistics on Securities for Policy Analysis 2 The Conceptual Framework 3 Presentation Tables 4 The Structure of the Handbook 7 2. Main Features of Securities 9 Debt Securities 9 Equity Securities 11 3. Financial Instruments Classified as Securities 15 Debt Securities 15 Equity Securities 15 Borderline Cases 19 Other Financial Instruments Not Classified as Securities 22 4. Institutional Units and Sectors 25 Definition of an Institutional Unit 25 Definition of Residence 25 Allocation of Institutional Units to Sectors and Subsectors 26 5. Positions, Flows, and Accounting Rules 33 Quadruple-entry Accounting and Time of Recording 33 Relationship Between Positions and Flows 33 Gross and Net Transactions 34 Revaluations 35 Other Changes in the Volume of Assets and Liabilities 36 iv Handbook on Securities Statistics Valuation Principles 36 Aggregation, Consolidation, and Netting 47 6. Specific Operations Related to Securities 49 Securitization 49 Reverse Transactions 52 Short-selling 54 Stripped Securities 54 Nominee Accounts 54 Shareholders’ Rights and Subscription Rights 55 Bonus Shares 55 Stock Splits and Reverse Splits 56 Share Buybacks 56 Mergers and Acquisitions 56 Privatization and Nationalization 57 Debt-for-Equity Swaps 58 7. Classification of Securities 59 Issuance and Holding of Debt Securities by Sector and Subsector 59 Issuance and Holding of Equity Securities by Sector and Subsector 60 Classification by Interest Rate 62 Classification by Maturity 65 Classification by Currency 66 Classification by Market 66 Classification by Default Risk 67 8. Issuance and Holdings of Securities in a “From-Whom-to-Whom” Framework 69 The “From-Whom-to-Whom” Framework 69 “From-Whom-to-Whom” Transactions in Debt Securities 70 “From-Whom-to-Whom” Transactions in Equity Securities 72 The Transactor Principle Versus the Issuer/Holder Principle 74 9. Detailed Presentation Tables 79 Type A Presentation Tables (the “Residence of Issuer” Approach) 79 Type B Presentation Tables (the “Residence of Holder” Approach) 86 Type C Presentation Tables (the “From-Whom-to-Whom” Approach) 92 Presentation Tables with Global Aggregates for Securities 103 Reconciliation According to the Classifications by Issuer, Market, Currency, Maturity, Interest Rate, and Type of Share 106 Challenges 107 Annexes 1. Comparing Market Value and Nominal Value for Debt Securities 109 2. Structured Debt Securities 113 3. Islamic Securities 117 4. Security-by-Security Databases 123 Contents v 5. Metadata for Debt and Equity Securities Statistics 127 6. The Coordinated Portfolio Investment Survey and the Coordinated Direct Investment Survey 133 7. The 2008 SNA and the Corporate Group Approach 137 8. Valuation of Unlisted Shares 141 Boxes 5.1 Dirty and Clean Prices of Debt Securities 38 5.2 Aggregation of Securities Denominated in Various Currencies— Positions and Flows 41 5.3 Debtor Approach and Creditor Approach to Recording Accrued Interest 42 5.4 Share Prices and Share Price Indices 45 5.5 Super Dividends 47 8.1 Detailed Recording of Debt Securities Following the Debtor/Creditor Principle 77 Tables 1.1 Equity and Equity Securities 2 1.2 Type A Presentation Table (“Residence of Issuer” Approach, Unconsolidated) for Securities 4 1.3 Type A Presentation Table (“Location of Issue” Approach) for Debt Securities Issues 5 1.4 Type B Presentation Table (“Residence of Holder” Approach, Unconsolidated) for Securities 5 1.5 Type C Presentation Table (“From-Whom-to-Whom” Approach, Unconsolidated) for Securities 6 2.1 Types of Security 10 3.1 Types of Preferred Share 18 4.1 Institutional Sectors and Subsectors According to the 2008 SNA 27 5.1.1 The Dirty and the Clean Price of a Five-year Fixed Interest Rate Bond 38 5.2.1 Aggregation of Securities Denominated in Various Currencies 41 5.3.1 Debtor Approach and Creditor Approach to Recording Accrued Interest 43 6.1 Main Features of Reverse Transactions 53 7.1 Fixed Interest Rate Debt Securities 63 7.2 Variable Interest Rate Debt Securities 65 8.1 “From-Whom-to-Whom” Financial Transactions in Debt Securities, Unconsolidated 70 8.2 “From-Whom-to-Whom” Financial Transactions in Debt Securities, in a Time Series Format 71 8.3 “From-Whom-to-Whom” Financial Transactions in Equity Securities, Unconsolidated 72 8.4 “From-Whom-to-Whom” Financial Transactions in Equity Securities, in a Time Series Format 73 8.5 Recording a Household’s Acquisition of Shares from a Financial Corporation in Accordance with the Transactor Principle 75 8.6 Recording a Household’s Acquisition of Shares from a Financial Corporation in Accordance with the Issuer/Holder Principle 76 8.1.1 Detailed Recording of Debt Securities Following the Debtor/Creditor Principle 77 9.1 Debt Securities Issues by Issuer, Currency, Maturity, Interest Rate, and Market 80 9.2 Debt Securities Issues by Issuer and Market 81 9.3 Debt Securities Issues by Issuer and Currency 81 vi Handbook on Securities Statistics 9.4 Debt Securities Issues by Issuer and Maturity 82 9.5 Debt Securities Issues by Issuer and Interest Rate 83 9.6 Debt Securities Issues by Issuer: Positions and Flows 84 9.7 Equity Securities Issues by Issuer: Positions and Flows 85 9.8 Equity Securities Issues by Issuer and Type of Share 85 9.9 Equity Securities Issues by Issuer: Positions and Flows 86 9.10 Debt Securities by Holder, Currency, Maturity, and Type of Interest Rate 87 9.11 Debt Securities by Residence, Resident Sector and Resident Financial Subsector of Holder, by Residence of Issuer and by Currency Denomination 88 9.12 Debt Securities by Residence, Resident Sector and Resident Financial Subsector of Holder, by Residence of Issuer and by Maturity 89 9.13 Debt Securities by Residence, Resident Sector and Resident Financial Subsector of Holder, by Residence of Issuer and by Type of Interest Rate 90 9.14 Debt Securities by Residence, Resident Sector and Resident Financial Subsector of Holder and by Residence of Issuer: Positions and Flows 91 9.15 Equity Securities by Residence, Resident Sector and Resident Financial Subsector of Holder, by Residence of Issuer and by Type of Share 92 9.16 Equity Securities by Residence, Resident Sector and Resident Financial Subsector of Holder, by Residence of Issuer and by Currency of Denomination 93 9.17 Equity Securities by Residence, Resident Sector and Resident Financial Subsector of Holder and by Residence of Issuer: Positions and Flows 94 9.18 Debt Securities Holdings in a “From-Whom-to-Whom” Framework by Residence and Resident Sector of Holder, by Currency, Maturity, and Interest rate, and by Residence and Resident Sector of Issuer 95 9.19 Debt Securities Holdings in a “From-Whom-to-Whom” Framework by Residence, Resident Sector, and Currency 96 9.20 Debt Securities Holdings in a “From-Whom-to-Whom” Framework by Residence, Resident Sector, and Maturity 97 9.21 Debt Securities Holdings in a “From-Whom-to-Whom” Framework by Residence, Resident Sector, and Interest Rate 98 9.22 Debt Securities Holdings in a “From-Whom-to-Whom” Framework: Positions and Flows 99 9.23 Debt Securities Holdings of Resident Financial Corporations Subsectors in a “From-Whom-to-Whom” Framework, by Residence and Resident Sector of Issuer, and by Original Maturity 100 9.24 Equity Securities Holdings in a “From-Whom-to-Whom” Framework by Residence and Resident Sector of Holder, by Type of Financial Instrument and Residence and Resident Sector of the Issuer 101 9.25 Equity Securities Holdings in a “From-Whom-to-Whom” Framework by Residence and Resident Sector of Holder and Currency of Denomination 101 9.26 Equity Securities Holdings in a “From-Whom-to-Whom” Framework: Positions and Flows 102 9.27 Equity Securities Holdings for Resident Financial Corporations Subsectors in a “From-Whom-to-Whom” Framework by Residence and Resident Sector of Issuer 103 9.28 Debt Securities Holdings by Country, Residence, Resident Sector, Currency, Maturity, and Interest Rate 104 9.29 Debt Securities Holdings and Issues by Country 104 9.30 Debt Securities Holdings in Major Currencies 105 9.31 Equity Securities by Residence and Resident Sector of Holder and Residence of Issuer 105 9.32 Equity Securities Holdings and Issuance by Country of Residence 106 Contents vii A.1.1 A Fixed Interest Rate Bond Issued at Par 110 A.1.2 A Fixed Interest Rate Bond Issued at Discount 110 A.1.3 A Zero-coupon Bond 111 A.1.4 A Bond Indexed to