Capital market data

a. Securities markets

Securities issues data BIS (International issues) The BIS statistics on international issues excludes local currency issues by residents.

The data presented are current stocks and net changes between periods, with no separate identification of gross redemptions and gross issues.

These data are presented in four ways:

(i) by currency of issue;

(ii) by type of issuer— commercial banks, other financial institutions, governments, state entities, corporate entities and international institutions;

32

xxvii

(iii) by type of issue— fixed, floating rate and equity related issues; and

(iv) geographical dissection— both on the basis of issuance location and ultimate nationality of issuer.

BIS (Domestic debt issues)

National aggregates are currently collected from central banks and other national authorities. The information is comprised of net issues and amounts outstanding.

These data are presented by type of issue, by business sector (i.e. public/private) by residence of issuer (country).

Country coverage is expected to increase in future changes to BIS domestic security statistics.

OECD OECD33 data covers a limited number of countries because data are unavailable in other countries.

Sources:

Some commercial organisations (e.g. Bondware) have databases containing information on new issues (by individual issue), although their coverage is often limited to a specific geographic area and/or might only include the largest issues34.

Security markets: prices and

yields No international_{framework currently} exists for this information.

Sources:

Commercial sources (e.g. Reuters, Bloomberg) give prices for frequently traded instruments only.

33

Financial Statistics Monthly, OECD Publications, France.

34

xxviii Market turnover data No international

framework currently exists for this information.

b. Equity market

Capital raised by equity issues OECD OECD publishes information on new issues of equity for the limited number of countries where data are available.

Current equity prices _{No international} framework currently exists for this information.

Sources:

Many countries publish summary equity market information in regular publications.

Equity price information is available through numerous commercial sources (e.g. newspapers, Reuters etc).

Market turnover data No international framework currently exists for this information.

Sources:

Information on exchange traded activity is widely available through numerous commercial sources (e.g. newspapers, Reuters etc).

xxix b. Market activity in new

instruments

Derivatives SNA93/ BPM535 National Accounts recommendations are for the recording of gross market value positions and transactions data for financial derivatives.

BIS The BIS publishes two sets of information:

(i) Positions data36

Semi-annual data on the derivatives activity record total worldwide data by notional amounts and market values according to type of contracts, counterpart type, currency and remaining maturity.

(ii) Derivatives turnover

A triennial survey37 reports on global OTC turnover and also contains references to results for individual countries. The BIS also publishes quarterly data

number of contracts and turnover and amounts outstanding in notional amounts of exchange-traded derivatives.

Supervisory Information about Derivatives and Trading Activities (BIS/IOSCO39), Sept 199840

This framework was developed for the supervisors of individual institutions and gathers data to monitor credit risk, liquidity funding risk, market risk and earnings risk. It requires information on marked-to-market and notional amounts by counterpart, maturity and type of risk. It also recommends the use of VAR models gauge the maximum possible loss on a portfolio over a given period of time.

35

Updated in: The statistical measurement of financial derivatives, IMF, March 1998

36

Regular OTC Derivative Market Statistics, BIS, semi-annual.

37

Central Bank Survey of Foreign Exchange and Derivatives Market Activity, BIS, triennial publication. More detailed information is published on a triennial basis.

38

In the BIS publication, International Banking and Financial Market Developments, Basle.

39

International Organisation of Securities Commissions (IOSCO)

40

xxx International Accounting Standards (IAS) 39, Financial Instruments: Recognition and Measurement42

Derivative assets and liabilities will be measured at cost, including transaction costs, then re- measured to fair value41. This includes certain derivatives that are embedded in non-derivative instruments, where certain conditions are met.

The standard was available from 5 March 1999, and is effective for annual financial statements covering periods beginning on or after 1 January 2001.

Sources:

1. Trading and Derivatives Disclosures of Banks and Securities Firms, Report (available for 1994, 1995, 1996 and 1997).

This report contains the results of a survey on the total notional value of derivative contracts on an individual institution basis for the largest players in the derivatives (quantitative data). It also provides qualitative information (such as the disclosure practices of the major institutions). 2. International Swaps and Derivatives Association (ISDA)

Releases half-yearly reports of notional principal of globally outstanding swap contracts. ISDA also releases an annual summary of notional outstanding of OTC Derivative Market Data 3. Commercial sources

Prices are available from various commercial sources (e.g. Reuters, Bloomberg).

41

ISAC News Releases IASC Publishes a Comprehensive Standard on Financial Instruments, 5 March 1999. The exception to this is a derivative asset/liability that is indexed to an unquoted equity whose fair value cannot be measured reliably, and is thus carried at amortised cost subject to a test for impairment.

42

This is a new comprehensive international accounting standard on how to account for conventional financial assets and liabilities (e.g. cash, trade receivables and payables, investments in debt and equity securities, notes, bonds and loans payable) and newer financial instruments (e.g. derivatives, securitisation and repurchase agreements). The extent of disclosure of these balance sheet items is explained and the standard also provides guidance in the definition and use of hedge accounting.

43

Refer to website http://www.isda.org

44

xxxi Repurchase agreements

(repos)

SNA 1993/BPM5 The SNA and BPM5 acknowledge the rise of new instruments in the financial markets. The

recommends the recording of repos on a collateralised loan basis, provided ownership of the underlying security does not change hands45.

The IMF is currently reviewing the treatment and reporting requirements for repos.

IAS 39, Financial Instruments: Recognition and Measurement

The standards establishes conditions for determining when control over a financial asset or liability has been transferred to another party (analogous to change-of-ownership) and how to account for lending involving collateral.

Accounting standard IAS 39 recommends that securities provided to another institution, as collateral should be separately identified from other securities. In addition, the receiver of the collateral (if it is re-sellable) should recognise an asset on its balance sheet and also recognise its obligation to return the collateral as a liability. If the collateral is not re-sellable then the collateral should not be recorded on balance sheet.

Value of securities used as collateral

Accounting Standards

Supervisory Standards

See entry under repos above.

Supervisors recognise that collateral can reduce credit risk and the Basle capital accord

recommends that loans secured against securities issued by OECD central governments be given either a zero or very low risk weighting.