Quality of Derivatives
Statistics: the Australian
Experience
OECD Working Party on Financial
Statistics, October 2007
What are derivatives?


A contract whose value depends on other
asset(s) or index values
Swaps
payments streams in $A for $US
fixed interest for floating


Options to buy or sell



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shares, physical assets, etc
Futures, forward rate agreements
Can be exchange traded or OTC
Settled in cash or kind
SNA/BPM on derivatives

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tradeable or offsetable
net value, not notional principal
assets positions, liability positions, change
over time
most transactions are settlements
revaluations is main item in stock
reconciliation
Intertemporal reconciliation
e.g a swap
Opening
Transaction
Reval
Closing
Comment
t1 (asset)
0
0
10
10
created
t2 (asset)
10
0
-5
5
reval
t3 (asset>liab)
5
0
-5
0
}reval -6
t3 (liab)
0
0
1
1
t4 (liab)
1
-1
0
0
settled
Implementation in BoP, 1997


Direct collection attempted via IIS form 90
Info paper
"the information reported to the ABS ....
represents a degree of netting in both the
positions and transactions flows"
expect improvement "as accounting standards
develop and reporting systems are upgraded"


Subsequent improvement

provider coaching, IFRS
Implementation in ANA, 1998


Modelling from direct collection data
Info paper:
"the quality of reporting of transactions in
surveys is lower than for other data items"
"there is a significant amount of imputation in
the estimates"


Reporting burden causes subsequent (2001)
abandonment of bank (APRA) data collection
to meet SNA (draft form ARF 320.6)
Summary of issues for direct
collection
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
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identification of net asset position and net
liability position;
moving from a net asset to net liability;
identification of new and settled contracts;
partitioning changes in value into
transactions, value changes and volume;
summarising by sector of counterparty;
separation of derivatives from assets/liabilities
being hedged;
data by type of derivative contract
Modelling derivatives

conservative market practices
Non-Fin corp and Govt: hedging not trading
use of relationship banker, foreign parent

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market research and regulatory data
AFMA turnover by type of contract
APRA gross positions
RBA report to BIS, infer counterparties

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BoP/IIP data taken as a given
Model boundaries
Possible ways forward

IFRS/IAS39
commercial accounting is moving in SNA
direction, improved direct collection?

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Stock/price modelling
model trans and revals wrt asset prices
needs "type of derivative" position classn

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Leverage market research/regulatory data

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not much enthusiasm
Security by security reporting

privacy, computing power
Future directions

Not much net lending in derivatives (outside
fin corps)
what are the costs/benefits of increased data
collection?
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What are the policy questions?

foreign currency exposures and hedging
surveys not addressed by SNA
Aim to develop collection options which populate
SNA framework suitably and allow analytical
views
