Page 458 - Invited Paper Session (IPS) - Volume 1

IPS177 Sayako K. M. et al.
2.2 Estimation Method
The primary challenge in compiling issuance data in securities statistics is
the data constraints to compiling a breakdown of debt securities by currency,
maturity, interest rate, and market. The key inputs to compile the DGI-2 debt
securities are FFA and its intermediate data, but they have no information on
the disaggregated data of debt securities.
The new data sources for debt securities broken down by currency,
maturity, interest rate, and market differ according to the type of debt
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security . There are primarily three types of new data sources:
(1) microdata on domestic debt securities excluding government bonds, those
with description of issuer name, currency, total amount, type of interest rate,
interest rate payment date, date of issue, redemption date, etc. from the Japan
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Securities Depository Center, Incorporated, (JASDEC ); (2) two sets of survey
data on (a) government bonds provided by the Ministry of Finance Japan, and
(b) monetary claims entrusted with trust banks; and (3) disaggregated data
from the BIS international debt securities statistics (IDSS) and private data
vendors on the debt securities issued by residents in the international market.
The remaining section explains the estimation methods used to compile
(1) the total outstanding amount of debt securities at nominal values and (2)
debt securities broken down by currency, maturity, and interest rate. These are
estimated separately by type of debt securities as follows: (2)-1 debt securities
issued by residents in the domestic market; and (2)-2 debt securities issued by
residents in the international market. The methodology is explained below.
(1) Total outstanding amount at nominal values
The total outstanding amount at nominal values issued by respective
economic sector are recorded based on intermediate data used in the
compilation of the FFA. These intermediate data are basically compiled
with the data sources from the financial statements, aggregated data of
government bonds, etc. recorded at nominal basis in principle.
(2) Debt securities by currency, maturity, and interest rate
(2)-1 Debt securities issued by residents in the domestic market
With regard to debt securities issued by residents in the domestic
market, the breakdown by currency, maturity, and interest rate are

4 The debt securities are described in the international guidelines ("System of National Accounts
2008" and "Handbook on Securities Statistics") as "debt securities are negotiable instruments
serving as evidence of a debt. They include bills, bonds, negotiable certificates of deposit,
commercial paper, debentures, asset backed securities, and similar instruments normally traded
in the financial markets." In accordance with the international guidelines, the BOJ classifies the
following FFA transaction items into the debt securities of the DGI-2 template: treasury discount
bills; central government securities and FILP Bonds; local government securities; public
corporation securities; bank debentures; industrial securities; external securities issued by
residents; commercial paper; trust beneficiary rights; and structured-financing instruments.
5 JASDEC is the central securities depository in Japan.
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