Planned Periodic Revision of "L" -- Broadly-Defined Liquidity -- in the Money Stock Statistics
March 9, 2021
Research and Statistics Department
Bank of Japan
The Bank of Japan periodically (in principle every three years) reviews data sources and estimation methods for components of "L" -- broadly-defined liquidity -- in the Money Stock Statistics (MSS), and revises them if necessary.
As a result of the most recent review, a revision of "L" is scheduled to be implemented in April 2021, and data from April 2003 through February 2021 will be updated accordingly. Specifically, the year-on-year rates of change in "L" for these months are likely to be revised in the range of minus 0.6 to plus 0.3 percentage points.
Charts in the material below present figures that reflect the planned revision and comparisons of these with currently available figures.
Data in the material are tentative, and subject to additional changes as a result of, for example, newly obtained source data in the period ahead. For data that reflect the revision and possible additional changes, please see "Preliminary figures for March 2021" of the MSS and the associated document, both of which are scheduled to be released on April 13.
Highlights of the planned revision are as follows.
1. Investment trusts
The amount of investment trusts held by money holders is calculated by deducting the portion held by non-money holders (financial institutions, etc.) from the total amount of investment trusts issued. The total amount issued is calculated by using data from "Assets and Liabilities of Domestically Licensed Banks (Trust Accounts)" in Financial Institutions Accounts and from Real Estate Investment Trusts.
With the planned revision, the Bank will modify the method for using the following amount when calculating the total amount of investment trusts issued: the principal amount of investment trusts recorded in "Assets and Liabilities of Domestically Licensed Banks (Trust Accounts)." This is in light of the fact that the principal amount has been fluctuating significantly due to the consolidation of trust beneficiary rights of an individual investment trust. By applying the modified method for using this amount, the total amount of investment trusts issued will be estimated on a basis excluding the effect of the consolidation.
Consequently, figures for "investment trusts" will be revised back to September 2017.
2. Pecuniary trusts
"Pecuniary trusts" in the MSS refers to trust principals of the following types of trusts held by money holders: (1) "jointly operated designated money trusts"; (2) "loan trusts"; (3) "designated non-collectively invested money trusts"; (4) "specified money trusts excluding securities investment trusts" (the so-called Tokkin); (5) "pecuniary trusts other than money trusts"; and (6) trusts that are considered virtually equivalent to either of the aforementioned five types of trusts among "composite trusts" (trusts that hold two or more different kinds of trust property).
With the planned revision, the Bank will refine the method for estimating the principal amount of the trusts defined as above among "composite trusts" held by non-money holders, which is deducted to obtain the portion held by money holders.
Consequently, figures for "pecuniary trusts" will be revised back to April 2003 (the start of the data series in the MSS).
3. Commercial paper (CP) issued by financial institutions
The amount of CPs issued by financial institutions and held by money holders is calculated by deducting the portion held by financial institutions from the total amount of CPs issued by such financial institutions as domestically licensed banks, insurance companies, and holding companies of these institutions.
With the planned revision, the Bank will change the data source for calculating the average amount outstanding of CPs issued by foreign banks in Japan. Specifically, the source will be switched from Deposits, Vault Cash, and Loans and Bills Discounted to the data from Japan Securities Depository Center (JASDEC). Accordingly, the calculation method will be changed from the one obtaining the average of the amounts outstanding at the end of the reference month and the previous month to one using JASDEC's daily data for the amounts of individual CPs issued.
Consequently, figures for "commercial paper issued by financial institutions" will be revised back to June 2016.
Economic Statistics Division, Research and Statistics Department