From-whom-to-whom presentation using Japan’s flow

of funds accounts

Working Party on Financial Statistics24-27 October 2011

Presenter: Yoshiko Sato Research and Statistics Department Bank of Japan

Bank of Japan 2/18

Contents Compilation of whom-to-whom (W-to-W) data Basic method Method for enhancement in loans

- Use of “Detailed Data of FFA” Method for enhancement in debt securities Further challenges

Bank of Japan 3/18

Compilation of whom-to-whom data Importance of individual transactions data showing

interconnectedness among sectors or intersectoral relationship (G20)

Limitation of source data・ Usually, it is difficult to obtain data reported on a W-to-W basis.

Proposed framework for W-to-W matrix・ EC, IMF, OECD, UN, and WB [2009], 2008SNA・ IMF and ECB[2011], An Integrated Framework for Financial Flows and Positions on a Whom-to-Whom Basis・ UNSD and ECB[2011],(draft) Handbook of National Accounting: Financial Production, Flows and Stocks in the System of National Accounts.

Bank of Japan 4/18

Compilation of whom-to-whom data Available source data on a W-to-W basis in Japan

・“ Detailed Data of FFA” on loans and deposits・ It makes it possible to grasp who finances whom.

Our approaches・ First: Make a basic W-to-W matrix.・ Next: Consider enhancement in loans by using Detailed Data of FFA.・ Last: Consider enhancement in debt securities by specifying debtor sectors based on types of debt securities.

Bank of Japan 5/18

Basic method Balance sheet data format

NFC Other sectors

Sector total

Asset

Liab.

Asset

Liab.

Asset Liab.

Loans ３０ ６０ ７０ ４０ １００ １００

Debt SecuritiesSharesTransaction Total

NFC: Non Financial Corporations

Bank of Japan 6/18

Basic method Recompose the data, and pick up one item (e.g. Loans)

NFC Others Sector Liabilities Total

NFC Others Sector Assets Total

Liab. Liab. Liab. Asset

Asset Asset

Loans 60 40 100 30 70 100

Debt SecuritiesSharesTransaction Total

Bank of Japan 7/18

Basic method Convert BS data into a W-to-W format

Assumptions are made that financial assets of a certain instrument category are allocated to counterparty sectors in proportion to the share of liability of respective sectors for the same instrument category.

NFC Other sectors Assets Total

NFC 18 12 30Other sectors 42 28 70

Liabilities total

60 40 100

・ Do the same procedure for all the remaining items.

Debtor→

Creditor↓

<Loans>

Bank of Japan 8/18

Basic method Aggregate all the items into the full W-to-W matrix

HH CG LC SSF ROW Private NFCPublic NFC NPISH CB ODC ICPF OFC FAHH 0 0 0 0 34, 586 0 0 0 526, 287 7, 600, 310 0 0 0CG 0 0 0 0 1, 787 0 0 0 23, 588 30, 806 0 210, 842 0LC 0 0 0 0 895 0 0 0 0 245, 228 0 0 0SSF 0 0 0 0 242 0 0 0 0 72, 340 0 240, 010 0ROW 0 0 0 0 3, 981 0 0 0 0 40, 902 0 0 0Private NFC 0 0 0 0 10, 649 0 0 0 225, 552 1, 864, 236 0 0 0Public NFC 0 0 0 0 342 0 0 0 743 98, 293 0 0 0NPISH 0 0 0 0 864 0 0 0 173 234, 805 0 0 0CB 0 0 0 0 286 0 0 0 0 1, 327 0 0 0ODC 0 0 0 0 23, 757 0 0 0 451, 363 1, 330, 976 0 0 0ICPF 0 0 0 0 216 0 0 0 3, 642 133, 688 0 43, 156 0OFC 0 0 0 0 2, 339 0 0 0 54, 028 117, 974 0 791 0FA 0 0 0 0 40 0 0 0 0 32, 580 0 0 0

2 1 0 0 4 11 1 1 0 18 0 4 05, 525 1, 994 827 0 18, 670 34, 910 4, 349 4, 264 7, 370 81, 781 4, 075 45, 011 03, 468 1, 251 387 0 9, 014 21, 912 2, 503 2, 677 21 35, 964 11 9, 065 01, 425 514 188 0 4, 302 9, 003 1, 078 1, 100 1, 027 19, 219 568 8, 590 029, 048 10, 482 3, 916 0 89, 312 183, 537 22, 121 22, 419 23, 688 379, 709 13, 097 173, 902 013, 371 4, 825 1, 578 0 36, 518 84, 482 9, 797 10, 320 3, 082 165, 965 1, 704 57, 762 02, 224 30 10 0 1, 927 34, 189 541 65 35 3, 153 1, 652 984 01, 288 465 144 0 3, 349 8, 135 929 994 12 13, 365 7 3, 383 0

0 0 19 0 380 0 32 0 647 303, 347 357 262, 865 02, 174, 622 221, 161 242, 053 85 353, 157 2, 128, 660 88, 625 69, 428 11, 063 424, 247 21, 905 664, 124 7, 458

83, 612 35, 376 56, 467 292 34, 310 170, 130 22, 863 6, 428 2, 021 54, 838 2, 236 93, 771 1, 341651, 808 365, 285 718, 162 5, 108 224, 798 621, 573 306, 098 31, 156 74, 021 324, 089 49, 043 897, 249 14, 9643, 967 1, 533 1, 638 0 2, 450 15, 112 592 491 0 1, 865 112 3, 806 51

0 260, 895 13, 218 0 0 35, 281 1, 126 0 0 38, 310 108 562, 554 2990 230, 325 1, 103 0 0 930 172 0 0 1, 233 6 6, 698 800 7, 509 4, 963 0 0 130 652 0 0 0 0 4, 092 2730 646, 515 69, 785 0 0 67, 013 11, 343 0 0 33, 683 605 186, 334 5, 3630 567, 826 1, 979 0 0 47, 741 2, 137 0 0 10, 821 142 99, 672 1, 4450 79, 394 20, 362 0 0 44, 814 3, 736 0 0 43, 588 233 214, 650 1, 8630 11, 535 2, 975 0 0 260 374 0 0 1, 768 1 3, 575 1520 129, 139 54, 565 0 0 16, 488 5, 219 0 0 4, 408 151 47, 603 1, 6340 683, 271 0 0 0 3, 225 0 0 0 572 14 104, 155 00 3, 227, 890 280, 594 0 0 333, 893 36, 485 0 0 200, 818 2, 452 824, 385 15, 1890 1, 550, 442 202, 700 0 0 166, 820 24, 501 0 0 63, 467 1, 444 640, 946 9, 6540 368, 616 6, 646 0 0 47, 681 2, 373 0 0 19, 622 201 104, 579 1, 4200 22, 380 10, 090 0 0 6, 338 534 0 0 4, 728 62 2, 865 0

21, 240 302, 923 13, 997 6, 999 159, 889 938, 682 68, 389 4, 428 526, 330 7, 771, 387 4, 332, 221 652, 243 7, 33510, 934 268, 007 2, 137 1, 930 865, 433 254, 471 82, 980 4, 541 30, 987 199, 477 47, 443 315, 007 2, 4904, 871 35, 182 5, 352 158 9, 955 172, 404 61, 505 3, 364 21 333, 054 14, 138 49, 038 1, 2586, 612 654, 253 70, 173 1, 775 324, 803 306, 488 21, 894 2, 119 1, 038 153, 555 32, 210 453, 261 6, 99940, 895 598, 036 6, 077 1, 571 435, 182 1, 094, 629 51, 654 22, 437 23, 817 795, 664 62, 444 325, 729 2, 750576, 732 151, 855 22, 103 2, 741 1, 132, 933 2, 874, 242 137, 598 17, 172 228, 673 2, 281, 256 77, 768 412, 130 11, 1964, 053 19, 674 3, 048 563 3, 972 87, 720 19, 167 131 782 119, 568 13, 383 17, 069 7772, 392 131, 175 54, 710 14 4, 256 30, 600 6, 398 1, 533 185 255, 094 423 51, 780 1, 6424, 810 690, 257 22 33 46, 294 40, 759 1, 315 2, 375 649 317, 394 1, 422 370, 844 27

2, 201, 511 3, 509, 152 522, 748 1, 106 1, 563, 696 2, 880, 812 170, 380 81, 034 462, 594 2, 468, 275 56, 980 1, 552, 992 24, 289100, 955 1, 603, 021 260, 032 7, 584 802, 248 794, 047 66, 037 8, 283 5, 722 329, 799 119, 075 819, 562 15, 763679, 248 760, 802 724, 949 6, 522 694, 656 1, 065, 819 343, 281 35, 698 128, 061 537, 574 80, 701 1, 042, 948 18, 5534, 011 24, 675 11, 730 28 2, 687 26, 381 2, 925 492 0 41, 060 939 7, 895 106

Currency and deposits

Loans

Debt securities

Total W-to-W matrix

●　 ●　 　 ●

Debtor→Creditor↓

(100mil. yen)

Bank of Japan 9/18

Method for enhancement in loans Use of Detailed Data of FFA in loans・ W-to-W matrix compiled by the basic method is comprehensive but insufficient. It rests upon a resource allocation assumption and lacks any statistical evidence. Source data on a W-to-W basis, if available, should be used.・ BOJ quarterly releases Detailed Data of FFA. It provides figures on which financial sector supplies what amount of loans to which sector. - Therefore, it can be used for enhancement of the basic matrix.

Bank of Japan 10/18

Method for enhancement in loans Loan table is improved (shaded area).

HH CG LC SSF ROW Private NFCPublic NFC NPISH CB ODC ICPF OFC FA2 1 0 0 4 11 1 1 0 18 0 4 0

5, 525 1, 994 827 0 18, 670 34, 910 4, 349 4, 264 7, 370 81, 781 4, 075 45, 011 03, 468 1, 251 387 0 9, 014 21, 912 2, 503 2, 677 21 35, 964 11 9, 065 01, 425 514 188 0 4, 302 9, 003 1, 078 1, 100 1, 027 19, 219 568 8, 590 029, 048 10, 482 3, 916 0 89, 312 183, 537 22, 121 22, 419 23, 688 379, 709 13, 097 173, 902 013, 371 4, 825 1, 578 0 36, 518 84, 482 9, 797 10, 320 3, 082 165, 965 1, 704 57, 762 02, 224 30 10 0 1, 927 34, 189 541 65 35 3, 153 1, 652 984 01, 288 465 144 0 3, 349 8, 135 929 994 12 13, 365 7 3, 383 0

0 0 19 0 380 0 32 0 647 303, 347 357 262, 865 0ODC 2, 174, 622 221, 161 242, 053 85 353, 157 2, 128, 660 88, 625 69, 428 11, 063 424, 247 21, 905 664, 124 7, 458ICPF 83, 612 35, 376 56, 467 292 34, 310 170, 130 22, 863 6, 428 2, 021 54, 838 2, 236 93, 771 1, 341OFC 651, 808 365, 285 718, 162 5, 108 224, 798 621, 573 306, 098 31, 156 74, 021 324, 089 49, 043 897, 249 14, 964

3, 967 1, 533 1, 638 0 2, 450 15, 112 592 491 0 1, 865 112 3, 806 51

HH CG LC SSF ROW Private NFCPublic NFC NPISH CB ODC ICPF OFC FAHH 2 1 0 0 4 11 1 1 0 18 0 4 0CG 5, 525 1, 994 827 0 18, 670 34, 910 4, 349 4, 264 7, 370 81, 781 4, 075 45, 011 0LC 3, 468 1, 251 387 0 9, 014 21, 912 2, 503 2, 677 21 35, 964 11 9, 065 0SSF 1, 425 514 188 0 4, 302 9, 003 1, 078 1, 100 1, 027 19, 219 568 8, 590 0ROW 29, 048 10, 482 3, 916 0 89, 312 183, 537 22, 121 22, 419 23, 688 379, 709 13, 097 173, 902 0Private NFC 13, 371 4, 825 1, 578 0 36, 518 84, 482 9, 797 10, 320 3, 082 165, 965 1, 704 57, 762 0Public NFC 2, 224 30 10 0 1, 927 34, 189 541 65 35 3, 153 1, 652 984 0NPISH 1, 288 465 144 0 3, 349 8, 135 929 994 12 13, 365 7 3, 383 0CB 0 0 19 0 380 0 32 0 647 303, 347 357 262, 865 0ODC 2, 149, 078 244, 931 257, 805 85 386, 267 2, 028, 033 95, 923 77, 213 11, 063 424, 247 21, 905 664, 124 7, 458ICPF 96, 793 2, 870 123, 341 4, 974 5, 982 137, 133 5, 768 1, 147 2, 021 54, 838 2, 236 93, 771 1, 341OFC 660, 463 374, 977 605, 671 511 164, 085 531, 970 311, 925 252 74, 021 324, 089 49, 043 897, 249 14, 964FA 3, 967 1, 533 1, 638 0 2, 450 15, 112 592 491 0 1, 865 112 3, 806 51

(100mil. yen)

Bank of Japan 11/18

Method for enhancement in loans Analysis of the loan table

・ The size of nodes represents the total amount of assets and liabilities within sectors. ・ The thickness of lines represents the amount of exposures among sectors. ・ Interconnectedness through loans are weakened from 2000 to 2010. The volume of

loans provided by ODC to NFC is decreased by 30%.

2000 2010

　

ODC

ICPF

OFC

CB

GG

HH

NFC

1990

ROW

　 　

Bank of Japan 12/18

Method for enhancement in loans Further analysis of the loan table; between ODC and ROW - Direction can be analyzed -

The volume of loans between ODC and ROW increased from 2000 to 2010・ In 2010, ODC borrows more from ROW than in 2000.・ ROW borrows less from ODC than in 2000.

Interconnectedness is enhanced mainly because of the increase of borrowings of ODC from ROW, rather than that of ROW from ODC.

0

10

20

30

40

50

60

70

80

1990 2000 2010

ODC→ROWROW→ODC

tril.　Yen)（

Loans from ODC/ROW to ROW/ODC

Bank of Japan

Method for enhancement in debt securities W-to-W matrix for debt securities (issued by resident) is

compiled by specifying debtor sectors based on types of debt securities.

13/18

Types of debt securities Debtor sector

CP (s-term), Bank debentures & Industrial securities (l-term)

Financial institutions & nonfiancial corporation

Treasury discount bills (s-term), Central government securities and FILP bonds (l-term)

Central government & Fiscal Loan Fund

Local government securities Local governments

Public corporation securities Public corporation

Structured-financing instruments Structured-financing special purpose companies and trusts

Bank of Japan

Method for enhancement in debt securities In Japan’s FFA, some public corporations are classified in

financial institutions, nonfinancial corporation or general government. Public corporation securities issued by those sectors are supposed to be issued by “Public corporation” sector in this matrix.

The advantage of the method is that flow tables can be compiled. ・ In the basic method and in the method for enhancement in loans, flow tables cannot be compiled because of the difficulty in treating negative figures.

14/18

Bank of Japan

Method for enhancement in debt securities– Positions –

15/18

End of June 2011(Preliminary)(100mil. yen)

Centralgovernment

Localgovernments

Social securityfunds

828,962 55,748 2,099 0 97,346 25,218 22,595 21,048 1,053,016

short-term 114,257 17,869 0 0 17 0 0 0 132,143

long-term 714,705 37,879 2,099 0 97,329 25,218 22,595 21,048 920,873

179,272 28,838 0 0 420 0 0 5,566 214,096

6,750,277 90,091 323,808 6,929 724,466 303,839 142,625 668,652 9,010,687

short-term 1,059,723 676 320,015 0 1 0 0 247,490 1,627,905

long-term 5,690,554 89,415 3,793 6,929 724,465 303,839 142,625 421,162 7,382,782

536,642 24,981 1,132 5,401 73,235 13,638 59,364 1,274 715,667

521,267 39,118 1,595 5,561 104,683 5,927 33,340 29,492 740,983

8,816,420 238,776 328,634 17,891 1,000,150 348,622 257,924 726,032 11,734,449

Local governments

Public corporation

Structured-financing specialpurpose companies and trusts

Total

Financial institutions &Nonfinancial corporations

Central government & FiscalLoan Fund

Financialinstitutions

Nonfinancialcorporations

General government Households Private nonprofitinstitutions serving

households

Overseas TotalCreditor

Debtor

Bank of Japan

Method for enhancement in debt securities– Flows –

16/18

2nd Quarter 2011(Preliminary)(100mil. yen)

Centralgovernment

Localgovernments

Social securityfunds

15,609 -14,165 168 0 -2,018 -20 979 927 1,480

short-term 20,657 -4,522 0 0 7 0 0 0 16,142

long-term -5,048 -9,643 168 0 -2,025 -20 979 927 -14,662

-7,748 -6,432 0 0 3 0 0 -379 -14,556

81,299 -3,940 93,730 -27 -15,858 -9,420 -929 58,038 202,893

short-term 44,058 0 91,005 0 0 0 0 -8,128 126,935

long-term 37,241 -3,940 2,725 -27 -15,858 -9,420 -929 66,166 75,958

5,173 136 -40 114 -960 -415 1,240 -239 5,009

6,577 23 28 281 -354 69 1,685 316 8,625

100,910 -24,378 93,886 368 -19,187 -9,786 2,975 58,663 203,451

Public corporation

Structured-financing specialpurpose companies and trusts

Total

Total

Financial institutions &Nonfinancial corporations

Central government & FiscalLoan Fund

Local governments

Financialinstitutions

Nonfinancialcorporations

General government Households Private nonprofitinstitutions serving

households

OverseasCreditor

Debtor

Bank of Japan

Further challenges

17/18

Basic method・ Transactions within non-residents are not covered by definition of a W-to-W framework. Therefore, the intra-sectoral transactions within ROW should be controlled to zero.

Method for enhancement in loans・ The difference of the valuation method should be reconciled. (FFA: market value basis, DD of FFA: book value basis)

Method for enhancement in debt securities・ The W-to-W matrix for debt securities has not yet been integrated into the basic and loan-enhanced matrix, because the composition of debtor sectors is asymmetric to creditor sectors (“Financial institutions & nonfinancial corporations” are not separated each other). ・ Additional W-to-W information by each type of securities is required.

Bank of Japan

Further challenges

18/18

Basic method has limitations for illustrating actual intersectoral relationship.

In order to make W-to-W matrix fully competent, steady efforts such as applying “Detailed Data of FFA” or utilizing carefully compiled W-to-W matrix for debt securities are critically important.

Bank of Japan

Thank you for your attention