Workshop on Integrated Management
of Micro-databases
The Use of Micro Data to Develop
Remaining Maturity Data for Debt
Securities and Loans
21 June 2013
Kuniko Moriya
Research and Statistics Department
Bank of Japan
kuniko.moriya@boj.or.jp
Outline
Introduction and Some Background
Data Availability and Data Collection
From Micro to Macro Data
Issues with Micro Data
Concluding Remarks
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1. Introduction and Some Background
The Bank of Japan (BOJ) is currently developing sectoral debt
securities and loans with remaining maturity of short and long
term to capture macro financial risks by different sectors in the
economy.
(a) G-20 Data Gaps Initiative (DGI), recommendation #15, calls
for developing data in common templates, which include debt
securities and loans with remaining maturity of one year and
less, and of more than a year.
(b) IMF’s SDDS Plus requests to disseminate data for government
debt with the same remaining maturities as DGI.
Need more detailed data than current Japan’s Flow of Funds
Accounts (J-FFA) , which comprehensively records financial assets
and liabilities in matrices of 43 sectors and 51 financial
transactions.
Make the use of micro data of individual financial institutions.
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2. Data Availability and Data Collection
Macro data of debt securities and loans by remaining maturities
currently in Japan are quite limited.
A readily and publicly available macro data source is on the liabilities
side as follows:
(a) Macro Data from Japan Securities Depository Center (JASDEC),
(b) “Debt Management Report (DMR)” by Ministry of Finance (MOF),
(c) “Financial Statements Statistics of Corporations by Industry
(FSSC)” by MOF.
In contrast, on the assets side, have to rely on micro data, taking into
account the reporting burden incurred by financial institutions:
(a) Data required to disclose by regulations (e.g., Banking Act),
(b) Data internally collected for their own purpose of risk management.
Data Sources for Compiling Statistics
Assets (holding) side
Liabilities (issuance) side
Debt securities
Micro data of financial institutions
JASDEC, MOF (DMR)
Loans
Micro data of financial institutions
MOF (FSSC)
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3. From Micro to Macro Data
Compile micro data and calculate ratios between debt securities/loans
with remaining maturity of one year and less (e.g., a/(a+b)), and of
more than a year (e.g., b/(a+b)) for subsectors.
Calculate macro data in subsectors by multiplying those ratios with
amounts outstanding in corresponding sectors (e.g., F3 debt securities)
in J-FFA.
Derivation from J-FFA Data (Rec. #15 Template, partial)
Non-Financial Financial
General
Rest of
Households
Corporations Corporations Government
the World
F1 Monetary gold and SDRs
Data avairable in J-FFA
F2 Currency and deposits
Data avairable in J-FFA
F3 Debt securities (D)
Data avairable in J-FFA
One year and less
a/(a+b), calculated from micro data, times D
More than a year
b/(a+b), calculated from micro data, times D
F4 Loans (L)
Data avairable in J-FFA
One year and less
c/(c+d), calculated from micro data, times L
More than a year
d/(c+d), calculated from micro data, times L
･･
･
･･
･
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3. From Micro to Macro Data (cont’d)
On the assets side, for both debt securities and loans, estimate deposittaking corporations, insurance corporations, and public financial
corporations.
Data to Be Estimated (Assets Side)
Total
Economy
Non-financial corporations
Of which: Public
non­ financial
corporations
Total
S1
F1 Monetary gold and SDRs
F11 Monetary gold
F12 SDRs
F2 Currency and deposits
Of which: Domestic currency
F21 Currency
F22 Transferable deposits
F221 Interbank positions
F229 Other transferable deposits
F29 Other deposits
F3 Debt securities
Of which: Domestic currency
F31 Short-term
F32 Long-term
With remaining maturity of one year and less
With remaining maturity of more than a year
F4 Loans
Of which: Domestic currency
F41 Short-term
F42 Long-term
With remaining maturity of one year and less
With remaining maturity of more than a year
F5 Equity and investment fund shares
F51 Equity
F511 Listed shares
F512 Unlisted shares
F519 Other equity
F52 Investment fund shares/units
F521 Money market fund shares/units
F522 Non MMF investment fund shares/units
F6 Insurance, pension and standardized guarantee schemes
F61 Non-life insurance technical reserves
F62 Life insurance and annuity entitlements
F63+F64+F65 Retirement entitlements
F63 Pension entitlements
F64 Claim of pension fund on pension managers
F65 Entitlements to non­pension benefits
F66 Provisions for calls under standarized guarantees
F7 Financial derivatives and employee stock options
F71 Financial derivatives
F711 Options
F712 Forwards
F72 Employee stockoptions
F8 Other accounts receivable/payable
Of which: Domestic currency
F81 Trade credits and advances
F89 Other accounts receivable/payable
S11
Total
S11001
Debt Secrities
by Remaining Maturity
Loans
by Remaining Maturity
S12
Monetary financial institutions
Central Other deposit- Moneybank
taking
market
corporations
funds
Total
S121+S122+
S123
S121
S122
S123
Financial corporations
Insurance corp. and pension funds
Insurance
Pension
corporations
funds
Total
Total
S128+S129
S124+S125+
S126+S127
S128
Deposit-taking
Corporations
S129
Other financial corporations
Non­MMF Other financial Financial
investment Intermediaries Auxiliaries
funds
except
Insurance
corporations
and pension
funds
S124
S125
S126
Captive
financial
institutions
and money
lenders
S127
Of which:
Public
financial
corporations
S12001
○
○
○
○
○
Insurance Corporations
S13
S1314
Households and NPISHs
Households NPISH s
Rest of the
World
Total
S14+S15
S14
S15
S12
Public Financial
Corporations
Insurance Corporations
○
Deposit-taking
Corporations
General government
Of which:
Social
Security
Funds
Total
Public Financial
Corporations
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3. From Micro to Macro Data (cont’d)
On the liabilities side, estimate all domestic sectors for debt securities,
and non-financial corporations for loans.
Data to Be Estimated (Liabilities Side)
Total
Economy
Non-financial corporations
Of which: Public
non­ financial
corporations
Total
S1
F1 Monetary gold and SDRs
F11 Monetary gold
F12 SDRs
F2 Currency and deposits
Of which: Domestic currency
F21 Currency
F22 Transferable deposits
F221 Interbank positions
F229 Other transferable deposits
F29 Other deposits
F3 Debt securities
Of which: Domestic currency
F31 Short-term
F32 Long-term
With remaining maturity of one year and less
With remaining maturity of more than a year
F4 Loans
Of which: Domestic currency
F41 Short-term
F42 Long-term
With remaining maturity of one year and less
With remaining maturity of more than a year
F5 Equity and investment fund shares
F51 Equity
F511 Listed shares
F512 Unlisted shares
F519 Other equity
F52 Investment fund shares/units
F521 Money market fund shares/units
F522 Non MMF investment fund shares/units
F6 Insurance, pension and standardized guarantee schemes
F61 Non-life insurance technical reserves
F62 Life insurance and annuity entitlements
F63+F64+F65 Retirement entitlements
F63 Pension entitlements
F64 Claim of pension fund on pension managers
F65 Entitlements to non­pension benefits
F66 Provisions for calls under standarized guarantees
F7 Financial derivatives and employee stock options
F71 Financial derivatives
F711 Options
F712 Forwards
F72 Employee stockoptions
F8 Other accounts receivable/payable
Of which: Domestic currency
F81 Trade credits and advances
F89 Other accounts receivable/payable
S11
Total
S11001
S12
Monetary financial institutions
Central Other deposit- Moneybank
taking
market
corporations
funds
Total
S121+S122+
S123
Financial corporations
Insurance corp. and pension funds
Insurance
Pension
corporations
funds
Total
S121
S122
S123
S128+S129
Total
S128
S129
S124+S125+
S126+S127
Other financial corporations
Non­MMF Other financial Financial
investment Intermediaries Auxiliaries
funds
except
Insurance
corporations
and pension
funds
S124
S125
S126
Captive
financial
institutions
and money
lenders
S127
Of which:
Public
financial
corporations
S12001
General government
Of which:
Social
Security
Funds
Total
S13
S1314
Households and NPISHs
Households NPISH s
Rest of the
World
Total
S14+S15
S14
S15
S12
Debt Secrities
by Remaining Maturity
○
All Domestic Sectors
○
Loans
by Remaining Maturity
Non-financial
Corporations
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4. Issues with Micro Data
Administrative costs to collect and process micro data.
Apply imputation method, which uses ratios for certain components as
substitute for corresponding sectors in J-FFA, when
(a) micro data are not readily available,
(b) costs of data collection outweigh benefits for corresponding sectors
(e.g., foreign banks in Japan, of which amounts outstanding are
small).
Vary in calculating methods of “remaining maturity” data across
individual institutions. In case where debt repaid with predetermined
schedule over the course of borrowing period (“scheduled repayment”),
when recording debt on their books, financial institutions could regard
“remaining maturity” as either of the following:
(a) “redemption at maturity,”
(b) “scheduled repayment.”
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4. Issues with Micro Data (cont’d)
Illustrated Example of Different Calculations of Remaining Maturities
(Face value: 100; Maturity: 5 years)
Year 1
Year 2
Year 3
Year 4
Year 5
(Maturity end)
100
100
Redemption at maturity
80
Scheduled repayment
60
40
20
0
20
0
20
0
20
0
20
20
0
One year and less
More than a year
Different outcomes calculated for installment debt
Redemption at maturity
Scheduled repayment
One year and less
0
20
More than a year
100
80
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5. Concluding Remarks
BOJ is currently in the midst of collecting data from financial institutions
with publications projected early 2014.
Recognize some specific issues in using micro data to develop macro
data:
(a) Projecting micro data into macro data,
(b) Difficulties in standardizing data definition across individual
reporting parties.
Need to consider choices of micro data, as the reporting burden can be
significant.
BOJ continues to improve and develop financial statistics by weighting
benefits for users and costs for reporting parties.
Thank you!
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(Reference) Documents of J-FFA
Publications
http://www.boj.or.jp/en/statistics/sj/index.htm/
Explanations
http:// www.boj.or.jp/en/statistics/outline/exp/exsj01.htm/
http://www.boj.or.jp/en/statistics/outline/exp/exsj02.htm/
Time-series data
http://www.stat-search.boj.or.jp/en/index_en.html/
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