Page 459 - Invited Paper Session (IPS) - Volume 1

IPS177 Sayako K. M. et al.
estimated by combining the total outstanding at the nominal value based
on the FFA with microdata which includes individual characteristics of
debt securities. For instance, to calculate the debt securities by currency
we follow steps 1) to 3) (Table 1).
6
1) Break down sectorally classified data by currency and then calculate
the composition ratio of domestic and foreign currency. The granular data
are used solely for calculating the composition ratio since the coverage of
microdata is not exactly the same as that of the FFA.
2) Multiply the composition ratio of 1) by the amount outstanding of debt
securities at nominal values based on the FFA.
e.g. the outstanding of domestic currency issues in the domestic
market are calculated as follows:
Ofd = Of * ( Omd / (Omd + Omr) )
3) Sum up debt securities issued in domestic and international markets
by currency.
e.g. the total outstanding amount of domestic currency issues are
calculated as follows:
Tfd = Ofd + Ifd
Table 1: Debt Securities by Currency

(2)-2 Debt securities issued by residents in the international market
The total outstanding amount of debt securities issued by residents in
international markets by respective sector are compiled based on the FFA
data. Afterwards, the total amount is divided into domestic and foreign
currency; short and long maturity; and fixed and variable interest rates
with the use of the composition ratio estimated from the BIS IDSS’s
disaggregated data. In addition, for further maturity breakdown (1 year

The sectorally classified data are compiled by breaking down microdata of domestic debt
6
securities by economic sector in alignment with sectoral classification in the DGI-2 template.
The individual data is classified into respective economic sector by examining the respective
issuers’ name.
448 | I S I W S C 2 0 1 9