Task Force on Portfolio Investment Income Supplementary document 3: empirical evidence on aggregateversus security-by-security recording

1. This document aims at carrying out a comparison between two distinct approaches which may be used for the calculation of income on securities: (i) Security-by-security approach. This approach entails combining resident investors’ holdings of foreign securities and non-resident holdings of domestic securities (by individual securities) with the information available (e.g. in a master file database) regarding the interest rate associated to each individual security. (ii) Aggregate approach. This approach entails combining portfolio investment stocks stratified by categories of securities (determined by the type of securities, original maturity, market of issuance, economic sector of the issuer, etc.) with benchmark yields