The recent global recession and international financial crisis have sparked fresh interest in financial data. Traditionally, data on the balance sheets of financial intermediaries has been collected fairly comprehensively, but data on debt securities markets has been considerably more patchy. New Zealand’s financial system is still dominated by lending intermediated by the balance sheets of banks. However, debt securities markets are likely to continue to grow in importance, and understanding developments, and changes through periods of stress, will be of growing importance, both to the Reserve Bank and to others wanting to understand the financial aspects of the New Zealand economy. The Reserve Bank has been seeking to build up its resources in this area and the next step in this will be the development of a security-by-security database covering the issuance of securities within New Zealand. This article outlines some of the reasons for wanting better, more comprehensive and more timely information on activity in New Zealand’s debt securities markets, and some of the issues and challenges around developing such a database.