The Future of Corporate Governance in Capital Markets Following the COVID-19 Crisis

Annex A. Methodology for data collection and classification

A. Balance sheet information for non-financial listed firms

The information presented in Section 2.1 of Chapter 2 is based on the Thomson Reuters Datastream. The unbalanced panel dataset contains financial statement information for non‑financial listed companies between 2005 and 2019. The universe covers 49 607 companies registered in 131 countries.

Financial information cleaning

The raw financial dataset contains several firm‑year observations when a company reports for different purposes. To construct a panel with a unique firm‑year observation, the following steps are applied:

• Financial companies are excluded

• Firms listed on an over‑the‑counter (OTC) market are excluded

• Security types classified as “units” and “trust” are excluded

• Firms identified as delisted are excluded

• For firms with multiple observations but different countries of domicile, their tue country of domicile is manually checked to remove the duplicates

• Financial statements covering a 12‑month period are used

• Companies with at least one observation showing negative assets or negative fixed assets are excluded

• Financial information is adjusted by annual US Consumer Price Index changes and information is reported in 2020 USD

The information presented in Section 5.1 of Chapter 5 is also based on the Thomson Reuters Datastream. The information on reported sales is collected for a representative regional sample of listed companies. Sales data reported in interim quarterly financial statements are collected for all quarters in 2019 and the ones available in 2020. Financial companies are excluded from the sample.

Industry classification

The Thomson Reuters Datastream uses Thomson Reuters Business Classification (TRBC). The economic sectors used in the analysis are the following:

 

Thomson Reuters Economic Sector
Basic Materials	Industrials
Cyclical Consumer Goods / Services	Non-Cyclical Consumer Goods / Services
Energy	Technology
Financials	Telecommunications Services
Healthcare	Utilities

B. Financial information of non-financial listed and unlisted firms

The information presented in Figure 5.5 in Chapter 5 is based on the OECD‑ORBIS Corporate Finance database. The extract of information presented includes financial statement information for non-financial listed and unlisted companies between 2005 and 2018.

The calculations take into account the ownership structure of companies and avoid considering companies that are already consolidated in the accounts of domestic non-financial parent companies. Thus, calculations include listed companies, large unlisted companies, small and mid-sized companies not controlled by another corporation, companies without ownership information, and companies registered in any of the four jurisdictions shown in the figure that had a foreign parent or a financial domestic parent.

C. Public equity data

The information on initial public offering (IPOs) and secondary public offerings (SPOs or follow-on offerings) presented in Chapter 2 and Chapter 4 is based on transaction and/or firm‑level data gathered from several financial databases, such as Thomson Reuters Eikon, Thomson Reuters Datastream, FactSet and Bloomberg. Considerable resources have been committed to ensuring the consistency and quality of the dataset. Different data sources are checked against each other and, whenever necessary, the information is also controlled against original sources, including regulator, stock exchange and company websites and financial statements.

Country coverage and classification

The dataset includes information about all initial public offerings (IPOs) and secondary public offerings (SPOs or follow‑on offerings) by financial and non‑financial companies. All public equity listings following an IPO, including the first time listings on an exchange other than the primary exchange, are classified as a SPO. If a company is listed on more than one exchange within 180 days, those transactions are consolidated under one IPO. The country breakdown is carried out based on the issuer’s country of domicile. In the dataset, the country of issue classification is also made based on the stock exchange location of the issuer.

It is possible that a company becomes listed in more than one country when going public. The financial databases record a dual listing as multiple transactions for each country where the company is listed. However, there is also a significant number of cases where dual listings are reported as one transaction only based on the primary market of the listing. For this reason, the country breakdown based on the stock exchange is based on the primary market of the issuer.

Currency conversion, inflation adjustment and growth company threshold

The IPO and SPO data are collected on a deal basis via commercial databases in current USD values. The information provided in Chapter 2 is aggregated at the annual frequency and in some tables, presented at the year‑industry level. Issuance amounts initially collected in USD were adjusted by 2020 US Consumer Price Index (CPI).

In Chapter 2, the threshold for identifying growth company IPOs - USD 100 million - is fixed in 2010 USD adjusted by US CPI. The information provided in Chapter 4 is aggregated at the monthly frequency and in some tables, presented at the monthly‑industry level and issuance amounts are collected and presented in current USD.

Industry classification

Initial public offering and secondary offering statistics are presented in this report using the Thomson Reuters Business Classification (TRBC). The economic sectors used in the analysis are the followings:

 

Thomson Reuters Economic Sector
Basic Materials	Industrials
Cyclical Consumer Goods / Services	Non-Cyclical Consumer Goods / Services
Energy	Technology
Financials	Telecommunications Services
Healthcare	Utilities

Exclusion criteria

With the aim of excluding IPOs and SPOs by trusts, funds and special purpose acquisition companies the following industry categories are excluded:

• Financial companies that conduct trust, fiduciary and custody activities

• Asset management companies such as health and welfare funds, pension funds and their third‑party administration, as well as other financial vehicles

• Open-end investment funds

• Other financial vehicles

• Grant-making foundations

• Asset management companies that deal with trusts, estates and agency accounts

• Special Purpose Acquisition Companies (SPACs)

• Closed-end investment funds

• Listings on an over‑the‑counter (OTC) market

• Security types classified as “units” and “trust”

• Real Estate Investment Trusts (REITs)

• Transactions with missing or zero proceeds

D. Ownership data

The main source of information is the FactSet Ownership database. This dataset covers companies with a market capitalisation of more than USD 50 million and accounts for all positions equal to or larger than 0.1% of the issued shares. Data are collected as of end of 2020 in current USD, thus no currency nor inflation adjustment is needed. The data are complemented and verified using Thomson Reuters Eikon and Bloomberg. Market information for each company is collected from Thomson Reuters Eikon. The dataset includes the records of owners for 25 766 companies listed on 92 markets covering 98% of the world market capitalisation. For each of the countries/regions presented in Chapter 2 and Chapter 5 the information corresponds to all listed companies in those countries/regions with available information.

The information for all the owners reported as of the end of 2020 is collected for each company. Some companies have up to 5 000 records in their list of owners. Each record contains the name of the institution, the percentage of outstanding shares owned, the investor type classification, the origin country of the investor, the ultimate parent name, among other things.

The table below presents the five categories of owners defined and used in this report. Different types of investors are grouped into these five categories of owners. In many cases, when the ultimate owner is identified as a Government, a Province or a City and the direct owner was not identified as such, ownership records are reclassified as public sector. For example, public pension funds that are regulated under public sector law are classified as government, and sovereign wealth funds (SWFs) are also included in that same category.

 

Investor category	Categories of owners
	Investor type
Private corporations and holding companies	Business Association	Operating Division
	Employee Stock Ownership Plan	Private Company
	Holding Company	Public Company
	Joint Venture	Subsidiary
	Non-profit organisation
Public sector	Government	Regional Governments
	Sovereign Wealth Manager	Public Pension Funds
Strategic individuals and family members	Individual (Strategic Owners)	Family Office
Institutional investors	Bank Investment Division	Mutual Fund Manager
	Broker	Other
	College/University	Pension Fund
	Foundation/Endowment Manager	Pension Fund Manager
	Fund of Funds Manager	Private Banking/Wealth Management
	Fund of Hedge Funds Manager	Private Equity Fund/Alternative Inv.
	Hedge Fund	Real Estate Manager
	Hedge Fund Manager	Research Firm
	Insurance Company	Stock Borrowing/Lending
	Investment Adviser	Trust/Trustee
	Market Maker	Umbrella Fund
	Mutual Fund-Closed End	Venture Capital/Private Equity
Other free-float including retail investors	Shares in the hands of investors that are not required to disclose their holdings. It includes the direct holdings of retail investors who are not required to disclose their ownership and institutional investors that did not exceed the required thresholds for public disclosure of their holdings.

E. Dividends and share buybacks data

Data shown on payout developments in Section 2.5 of Chapter 2 are based on OECD calculations using data obtained from Bloomberg combined with the Thomson Reuters Datastream database.

Information on share buyback operations is gathered from company announcements as listed on Bloomberg. In the case that buyback amounts are recorded as a number of shares or a certain percentage of outstanding market capitalisation rather than in a currency amount, the data are matched with share price/market capitalisation data from Thomson Reuters Datastream database to calculate the corresponding current USD amount.

Dividend payments are collected from the Thomson Reuters Datastream database, as are all company level data (revenues, investment). Data expressed initially in current USD amount are adjusted by 2020 US Consumer Price Index (CPI) and expressed in 2020 USD.

The dataset covers observations in the period from 1 January 2000 to 31 December 2020. Regional data are based on listing location. The same exclusion criteria as for the Company financial information (see section A) apply.

F. Corporate bond data

Data shown on corporate bond issuances in chapters 2, 4 and 5 are based on OECD calculations using data obtained from Thomson Reuters Eikon that provides international deal‑level data on new issues of corporate bonds, that are underwritten by an investment bank. The database provides a detailed set of information for each corporate bond issue, including the identity, nationality and sector of the issuer; the type, interest rate structure, maturity date and rating category of the bond, the amount of and use of proceeds obtained from the issue.

Convertible bonds, deals that were registered but not consummated, preferred shares, sukuk bonds, bonds with an original maturity less than or equal to 1 year or an issue size less than USD 1 million are excluded from the dataset. The analyses in the report are limited to bond issues by non‑financial companies. The industry classification is carried out based on Thomson Reuters Business Classification (TRBC). The country breakdown is carried out based on the issuer’s country of domicile. Yearly issuance amounts initially collected in USD were adjusted by 2020 US Consumer Price Index (CPI). Information provided in monthly frequency is collected and presented in USD.

Given that a significant portion of bonds are issued internationally, it is not possible to assign such issues to a certain country of issue. For this reason, the country breakdown is carried out based on the country of domicile of the issuer. The advanced/emerging market classification is based on IMF country classification.

Rating data

Thomson Reuters Eikon provides rating information from three leading rating agencies: S&P, Fitch and Moody’s. For each bond that has rating information in the dataset, a value of 1 to the lowest credit quality rating (C) and 21 to the highest credit quality rating (AAA for S&P and Fitch and Aaa for Moody’s) is assigned. There are eleven non-investment grade categories: five from C (C to CCC+); and six from B (B- to BB+). There are ten investment grade categories: three from B (BBB- to BBB+); and seven from A (A- to AAA).

If ratings from multiple rating agencies are available for a given issue, their average is used. Some issues in the dataset, on the other hand, do not have rating information available. For such issues, the average rating of all bonds issued by the same issuer in the same year (t) is assigned. If the issuer has no rated bonds in year t, year t-1 and year t-2 are also considered, respectively. This procedure increases the number of rated bonds in the dataset and hence improves the representativeness of rating‑based analyses. When differentiating between investment and non‑investment grade bonds, the final rating is rounded to the closest integer and issues with a rounded rating less than or equal to 11 are classified as non‑investment grade.

Early redemption data

When calculating the outstanding amount of corporate bonds in a given year, issues that are no longer outstanding due to being redeemed earlier than their maturity should also be deducted. The early redemption data are obtained from Thomson Reuters Eikon and cover bonds that have been redeemed early due to being repaid via final default distribution, called, liquidated, put or repurchased. The early redemption data are merged with the primary corporate bond market data via international securities identification numbers (i.e. ISINs).

Covenant data

Covenant analyses are based on authors’ original calculations performed on data obtained from Mergent Fixed Investment Securities Database (FISD), a database providing issue‑level covenant data for publicly offered bonds in the United States, issued either by US or non‑US entities. The initial dataset covers observations in the period from 1 January 2000 to 30 September 2020. From this initial set, issues by non‑corporate issuers, preferred shares, convertible bonds, bonds with an original maturity less than or equal to 1 year, bonds for which no covenant data have been collected and bonds with no rating data available are excluded. The analyses in the paper are limited to bond issues by non-financial companies.

Thirty‑seven covenant‑related data fields, each of which corresponds to a covenant type, are taken into covenant analyses. Ten of those thirty-seven covenant types are almost never used in non‑investment or investment grade bonds and are therefore excluded from the covenant protection index calculations to ensure that they do not unnecessarily distort the index. For each corporate bond, binary variables denoting the presence/absence of 27 different types of covenants in the bond contract are first summed up. This sum is then divided by 27 and multiplied by 100 to create a score that ranges between 0 and 100, with 100 denoting the highest level of protection for bond investors. For any given year, the index is the average of the covenant scores of bonds issued in that year.

G. Syndicated loans data

Data shown on syndicated loans in Section 2.3 of Chapter 2 are based on OECD calculations using data obtained from Thomson Reuters Eikon that provides international deal‑level data on new syndicated loans. The database provides a detailed set of information for each syndicated loan, including the identity, nationality of the issuer; maturity date and yield type category of the loan, the amount of and use of proceeds obtained from the issue.

The initial dataset covers observations in the period from 1 January 2000 to 31 December 2019. From this initial set, loans with an original maturity less than 1 year or a loan size less than USD 1 million are excluded. The analyses in the report are limited to loans of non-financial companies. The country breakdown is carried out based on the country of domicile of the issuer. Issuance amounts initially collected in USD were adjusted by 2020 US Consumer Price Index (CPI) and presented in 2020 USD.