The European Central Bank published a Statistics Paper Series paper setting out the estimation approach used to allocate euro area portfolio investment liabilities in the international investment position and the corresponding income debits in the balance of payments by non-resident geographical counterpart. The paper describes how the ECB addresses first-known counterparty and custodial biases that make the residence of final investors difficult to observe directly, and points to quarterly counterpart estimates available in the ECB Data Portal from the reference period Q1 2013. The method expands on reliance on the International Monetary Fund’s Coordinated Portfolio Investment Survey by combining multiple mirror and security-by-security sources, including IMF COFER and the SEFER/SSIO surveys, selected national balance of payments/international investment position and reserve-asset data, ESCB Securities Holdings Statistics by Sector, and the US Treasury International Capital survey, alongside temporal disaggregation (Chow-Lin) and econometric techniques to convert annual and semi-annual inputs to quarterly series. For Q2 2024, the paper reports that Japan, Switzerland, the United States and the United Kingdom hold around 45% of euro area portfolio debt securities liabilities, while the United States (28%) and the United Kingdom (13%) are the largest identified counterparts for equity, with offshore financial centres increasing in importance; unallocated amounts remain material, particularly for equity where they are around EUR 3 trillion (29%) versus 13% for debt securities. Income debits are estimated by applying the geographical weights from stocks to total portfolio income debits using averages of the prior two quarters’ stocks, producing series consistent with lower debt-interest payments up to 2021 and higher payments from 2022, and a seasonal equity-income profile with a decline in 2020-21. The paper flags caveats linked to incomplete CPIS coverage, differing revision practices across sources and the large residual for equity, and notes planned medium-term enhancements including searching for new data sources and exploring extensions to transactions and other flows.
European Central Bank 2025-03-24
European Central Bank publishes methodology and quarterly estimates for the geographical allocation of euro area portfolio investment liabilities and related income
The European Central Bank released a paper on estimating euro area portfolio investment liabilities and income debits by non-resident geographical counterpart. The approach integrates multiple data sources, including IMF surveys and national statistics, to address biases and improve quarterly estimates. Key findings indicate significant holdings by Japan, Switzerland, the U.S., and the U.K., with notable unallocated amounts, particularly in equity.