Global Financial Stability Report
Navigating the Financial Challenges Ahead
September 2009
©2009 International Monetary Fund
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The Global Financial Stability Report provides semiannual assessments of global financial markets and addresses emerging market financing in a global context.*
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Executive Summary (550KB pdf file)
Chapter I. The Road to Recovery
Full Text | Boxes | Figures | Tables | Press PointsA. Global Financial Stability Map | ||
B. Challenges on the Road to Recovery for the Global Financial System | ||
C. Emerging Markets Navigate the Global Crisis but Vulnerabilities Remain | ||
D. Will Credit Constraints Hurt the Recovery? | ||
E. Managing the Transfer of Private Risks to Sovereign Balance Sheets | ||
F. Policy Implications | ||
Annex 1.1. Global Financial Stability Map: Construction and Methodology | ||
Annex 1.2. Loan Loss and Bank Writedown Estimation Methodology | ||
Annex 1.3. Estimating Core Bank Earnings | ||
Annex 1.4. Credit Demand and Capacity Estimates in the United States, Euro Area, and the United Kingdom | ||
Annex 1.5. The Impact of the Financial Crisis on the Savings Complex—Insurance and Pensions Funds | ||
References |
Chapter II. Restarting Securitization Markets: Policy Proposals and Pitfalls
Full Text | Boxes | Figures | Press Points
The Rise, Decline, and Fall of Securitization | ||
Policy Initiatives Aimed at Restarting Sustainable Securitization | ||
Conclusions and Policy Recommendations | ||
Annex 2.1. Optimal Retention Policy and Capital Requirements | ||
References |
Chapter III. Market Interventions during the Financial Crisis: How Effective and How to Disengage?
Full Text | Boxes | Figures | Press Points
Intervention during the Crisis—Market Reaction to Announcements | ||
Follow-Up to Initial Market Reaction—Longer-Term Effects of Intervention | ||
Japan's Experience during the Latter Part of Its "Lost Decade" | ||
Disengagement: A Conventional Primer for Unwinding Unconventional Policies | ||
Conclusions and Policy Takeaways | ||
Annex 3.1. Financial and Economic Stress Indices | ||
Annex 3.2. Event Study Methodology and Data | ||
References |
Statistical Appendix(1100KB pdf file)
Key Financial Centers: Figures | Tables
Emerging Markets: Figures | Tables
Financial Soundness Indicators: Tables
Boxes
1.1 | Uncertainty Surrounding Loan Loss Estimations | ||
1.2 | Repairing Securitization Is Critical to Supporting the Supply of Credit | ||
1.3 | Rising Public Deficits, Debts, and Bond Yields | ||
1.4 | Restoring the Level and Quality of Bank Capital | ||
2.1 | The Case for Restarting Securitization | ||
2.2 | Credit Rating Agency Regulatory Developments | ||
2.3 | Re-Remics and the Revival of Resecuritization | ||
Chart | Data | 2.4 | Covered Bond Primer |
2.5 | Accounting for Securitization Exposures | ||
2.6 | Basel II Securitization- and Resecuritization-Related Enhancements | ||
2.7 | Optimal Retention Policies for Loan Securitization | ||
Chart | Data | 3.1 | Usage of Unconventional Central Bank Facilities |
3.2 | Interventions during Japan's 1990s Financial Crisis | ||
3.3 | Excess Reserves as an Indicator of Funding Liquidity Concerns | ||
3.4 | Implications of the Changes on Central Bank Balance Sheets |
Data | 1.1 | Credit Market Spreads | ||
Data | 1.2 | Estimates of Global Writedowns by Bank Domicile (2007–10) as of September 2009 | ||
Data | 1.3 | Bank Capital, Earnings, and Writedowns | ||
1.4 | Heat Map of Macro and Financial Indicators in Selected Emerging Market Countries | |||
Data | 1.5 | Growth of Credit Demand from Nonfinancial Private Sector | ||
Data | 1.6 | Total Net Borrowing Needs of Nonfinancial Sectors | ||
Data | 1.7 | Projections of Credit Capacity for and Demand from Nonfinancial Sector | ||
Data | 1.8 | Selected Spreads: Current and Pre-Lehman Brothers | ||
Data | 1.9 | Sensitivity to Common Risk Factor for Euro Area Countries | ||
1.10 | Changes in Risks and Conditions since the April 2009 Global Financial Stability Report | |||
Data | 1.11 | OECD Database: Coverage and Degree of Consolidation | ||
Data | 1.12 | Statistical Output for the Euro Area Provision Rate Model | ||
Data | 1.13 | Forecasts of Euro Area Provision Rates by Loan Type | ||
Data | 1.14 | Statistical Output for the U.K Provision Rate Model | ||
Data | 1.15 | Cumulative Loss Rates, 2007–10 | ||
Data | 1.16 | List of Security Indexes | ||
Data | 1.17 | Euro Area Residential Securities Market | ||
Data | 1.18 | U.S. Residential Securities Market | ||
1.19 | Regression Output on Demand for Nonfinancial Private and Public Sector Credit | |||
Data | 1.20 | Underfunding Is More Serious in Mature U.S. Industries | ||
Data | 1.21 | Mandatory Defined-Contribution Pension Assets, Selected Countries | ||
Data | 1.22 | Equity Share in Total Portfolios, Selected Countries | ||
Data | 1.23 | Real Performance of Mandatory Defined-Contribution Systems, Selected Countries | ||
Data | 1.24 | Performance of Default Investment Options, Selected Countries | ||
2.1 | Securitization Policy Progress Report | |||
2.2 | United States: Issuance of Asset-Backed and Mortgage-Backed Securities—Average Degree of Tranche Retention | |||
2.3 | Credit Ratings versus Idealized Expected Losses and Basel II Risk Weights | |||
2.4 | Calculation of Tranche Sizes (Steps 1 and 2) with Assumed 20 Percent Effort Level | |||
2.5 | Calculation of Ratings and Risk Weights (Step 3) with 31.2 Percent Effort Level: Mezzanine Tranche Retention | |||
3.1 | Classification of Events | |||
3.2 | Number of Interventions | |||
3.3 | Effectiveness of Crisis Interventions | |||
3.4 | Effectiveness of Crisis Interventions on the Financial Stress Index | |||
3.5 | Efficiency of Financial Sector Policy Measures | |||
3.6 | Three-Month LIBOR-Overnight Index Swap (OIS) Spread: Declines from Peak | |||
3.7 | Supplementary Operations for Managing the Central Bank Balance Sheet | |||
3.8 | Reversibility and Impact of Financial Sector Measures |
Chart | Data | 1.1 | Global Financial Stability Map |
Chart | Data | 1.2 | Heat Map: Developments in Systemic Asset Classes |
Chart | Data | 1.3 | Contributions to Changes in Corporate Spreads |
Chart | Data | 1.4 | Systemic Bank Default Risk |
Chart | Data | 1.5 | Asset Price Volatility and Funding and Market Liquidity |
Chart | Data | 1.6 | Composite Real Private Borrowing Rate and Short-Term Interest Rates |
Chart | Data | 1.7 | U.S. Loan Charge-Off Rates |
Chart | Data | 1.8 | Euro Area: Provision Rates |
Chart | Data | 1.9 | Realized and Expected Writedowns or Loss Provisions for Banks by Region |
Chart | Data | 1.10 | Bank Problem Loans and Income |
Chart | Data | 1.11 | Bank Earnings |
Chart | Data | 1.12 | Bank Capital Needs |
Chart | Data | 1.13 | Mature Market Banks: Bond Debt Maturity Structure |
Chart | Data | 1.14 | Mature Markets: Gross and Guaranteed Bond Issuance by Month |
Chart | Data | 1.15 | European Central Bank Refinancing Facilities |
Chart | Data | 1.16 | Global Bank and Insurance Equity Indices |
Chart | Data | 1.17 | Funding Levels of Defined-Benefit Pension Plans of Companies in Major Equity Indices |
Chart | Data | 1.18 | Heat Map: Developments in Emerging Market Systemic Asset Classes |
Chart | Data | 1.19 | Contributions to Changes in Emerging Market Sovereign External Spreads |
Chart | Data | 1.20 | Emerging Europe Credit Default Swap Spreads, June 30, 2008 to August 31, 2009 |
Chart | Data | 1.21 | Net Capital Inflows |
Chart | Data | 1.22 | Emerging Markets: Bank Credit to the Private Sector |
Chart | Data | 1.23 | Refinancing Needs of Emerging Market Forex-Denominated Corporate Debt |
Chart | Data | 1.24 | Emerging Market External Bond Issuance by Sector and Rating |
Chart | Data | 1.25 | Rollover Rate of Emerging Market Forex-Denominated Corporate Debt |
Chart | Data | 1.26 | Emerging Market Corporate Spreads and Speculative-Grade Default Rate |
Chart | Data | 1.27 | Emerging Europe: Nonperforming Loan Ratios |
Chart | Data | 1.28 | Private Sector Credit Growth |
Chart | Data | 1.29 | Growth of Nonfinancial Sector Debt: History and Projected Borrowing Needs |
Chart | Data | 1.30 | Bank Lending Capacity Growth |
Chart | Data | 1.31 | Emerging Market Reserve Accumulation |
Chart | Data | 1.32 | Net Sovereign Debt Issuance in Mature Markets |
Chart | Data | 1.33 | Emerging Market Sovereign Issuance in International Capital Markets |
Chart | Data Data Data Data Data |
1.34 | Global Financial Stability Map: Monetary and Financial Conditions |
Chart | Data Data Data |
1.35 | Global Financial Stability Map: Risk Appetite |
Chart | Data Data Data Data Data Data |
1.36 | Global Financial Stability Map: Macroeconomic Risks |
Chart | Data Data Data Data Data |
1.37 | Global Financial Stability Map: Emerging Market Risks |
Chart | Data Data Data Data Data Data |
1.38 | Global Financial Stability Map: Credit Risks |
Chart | Data Data Data Data Data Data |
1.39 | Global Financial Stability Map: Market and Liquidity Risks |
Chart | Data | 1.40 | Provisions for Loan Losses |
Chart | Data | 1.41 | Estimated Share of Euro Area Bank Loans, 2007–10 |
Chart | Data | 1.42 | Estimated Breakdown of Securities Exposure of Euro Area Banks |
Chart | Data | 1.43 | Growth of Nonbank Fixed-Income Assets Under Management |
Chart | Data | 1.44 | Financial Sector Credit Default Swap Spreads |
Chart | Data | 1.45 | Worsening Funding Ratio of U.S. Defined-Benefit Plans in 2008 |
2.1 | The Securitization Landscape | ||
Chart | Data | 2.2 | Global Private-Label Securitization Issuance by Type |
Chart | Data | 2.3 | U.S. Private-Label Securitization Issuance by Type |
Chart | Data | 2.4 | European Private-Label Securitization Issuance by Type |
Chart | Data | 2.5 | U.S. Asset-Backed Security (ABS) and Private-Label Mortgage-Backed Security (MBS) Issuance |
Chart | Data | 2.6 | Credit Spreads on U.S. AAA Securitization Instruments |
Chart | Data | 2.7 | U.S. Government-Sponsored Enterprise versus Private-Label Mortgage-Backed Security Issuance |
Chart | Data | 2.8 | Non-U.S. and Non-European Private-Label Securitization Issuance |
Chart | Data | 2.9 | Global Covered Bond Issuance |
Chart | Data | 2.10 | Selected Covered Bond Spreads |
2.11 | Illustrative Intermediation Chain | ||
Chart | Data | 2.12 | Where Did All the AAAs Go? |
Chart | Data | 2.13 | U.S. Issuance of Asset-Backed and Mortgage-Backed Securities |
3.1 | Time Pattern of Crisis Measures in Sample Countries | ||
3.2 | Spillovers from Global and U.S. Crisis Interventions Reflected on the Financial Stress Index | ||
3.3 | United States: Impact of Counterproductive Interventions on the Financial Stress Index | ||
3.4 | Government-Guaranteed Bonds (GGB) and Nonguaranteed Investment-Grade Bank Bonds | ||
3.5 | Impact of Liability Guarantees on Bond Issuance | ||
Chart | Data | 3.6 | United States: Outstanding Amount of Commercial Paper |
Chart | Data | 3.7 | Securitization in the United States and Europe |
Chart | Data | 3.8 | Credit Growth and Bank Lending Standards |
3.9 | United States: Outstanding Amount of Unconventional Measures by the Federal Reserve | ||
Chart | Data | 3.10 | Impact of Financial Sector Stabilization Measures on Credit Default Swap (CDS) Spreads |
Chart | Data | 3.11 | Mortgage Rates |
Chart | Data | 3.12 | Banking Sector Current Account Balance with the Bank of Japan |
Chart | Data | 3.13 | Failed Banks Assisted by Deposit Insurance Corporation of Japan |
Chart | Data | 3.14 | Three-Month Spread between TIBOR and LIBOR |
Chart | Data | 3.15 | Japan: Bank Loans and the Consumer Price Index |
Chart | Data | 3.16 | Changes in the Major Components of Central Banks’ Balance Sheet |
Statistical Appendix
Key Financial Centers
Chart | Data | 1. | Major Net Exporters and Importers of Capital in 2008 |
Chart | Data | 2. | Exchange Rates: Selected Major Industrial Countries |
Chart | Data | 3. | United States: Yields on Corporate and Treasury Bonds |
Chart | Data | 4. | Selected Spreads |
Chart | Data | 5. | Nonfinancial Corporate Credit Spreads |
Chart | Data | 6. | Equity Markets: Price Indices |
Chart | Data | 7. | Implied and Historical Volatility in Equity Markets |
Chart | Data | 8. | Historical Volatility of Government Bond Yields and Bond Returns for Selected Countries |
Chart | Data | 9. | Twelve-Month Forward Price/Earnings Ratios |
Chart | Data | 10. | Flows into U.S.-Based Equity Funds |
Chart | Data | 11. | United States: Corporate Bond Market |
Chart | Data | 12. | Europe: Corporate Bond Market |
Chart | Data | 13. | United States: Commercial Paper Market |
Chart | Data | 14. | United States: Asset-Backed Securities |
Data | 1. | Global Financial Flows: Inflows and Outflows |
Data | 2. | Global Financial Flows: Amounts Outstanding and Net Issues of International Debt Securities by Currency of Issue and Signed International Syndicated Credit Facilities by Nationality of Borrower |
Data | 3. | Selected Indicators on the Size of the Capital Markets, 2008 |
Data | 4. | Global Over-the-Counter Derivatives Markets: Notional Amounts and Gross Market Values of Outstanding Contracts |
Data | 5. | Global Over-the-Counter Derivatives Markets: Notional Amounts and Gross Market Values of Outstanding Contracts by Counterparty, Remaining Maturity, and Currency |
Data | 6. | Exchange-Traded Derivative Financial Instruments: Notional Principal Amounts Outstanding and Annual Turnover |
Data | 7. | United States: Sectoral Balance Sheets |
Data | 8. | Japan: Sectoral Balance Sheets |
Data | 9. | Europe: Sectoral Balance Sheets |
Emerging Markets
Chart | Data | 15. | Emerging Market Volatility Measures |
Chart | Data | 16. | Emerging Market Debt Cross-Correlation Measures |
Data | 10. | Equity Market Indices |
Data | 11. | Foreign Exchange Rates |
Data | 12. | Emerging Market Bond Index: EMBI Global Total Returns Index |
Data | 13. | Emerging Market Bond Index: EMBI Global Yield Spreads |
Data | 14. | Emerging Market External Financing: Total Bonds, Equities, and Loans |
Data | 15. | Emerging Market External Financing: Bond Issuance |
Data | 16. | Emerging Market External Financing: Equity Issuance |
Data | 17. | Emerging Market External Financing: Loan Syndication |
Data | 18. | Equity Valuation Measures: Dividend-Yield Ratios |
Data | 19. | Equity Valuation Measures: Price-to-Book Ratios |
Data | 20. | Equity Valuation Measures: Price/Earnings Ratios |
Data | 21. | Emerging Markets: Mutual Fund Flows |
Financial Soundness Indicators
Data | 22. | Bank Regulatory Capital to Risk-Weighted Assets |
Data | 23. | Bank Capital to Assets |
Data | 24. | Bank Nonperforming Loans to Total Loans |
Data | 25. | Bank Provisions to Nonperforming Loans |
Data | 26. | Bank Return on Assets |
Data | 27. | Bank Return on Equity |
The following symbols have been used throughout this volume: . . . to indicate that data are not available; — to indicate that the figure is zero or less than half the final digit shown, or that the item does not exist; - between years or months (for example, 1997-99 or January-June) to indicate the years or months covered, including the beginning and ending years or months; / between years (for example, 1998/99) to indicate a fiscal or financial year. "Billion" means a thousand million; "trillion" means a thousand billion. "Basis points" refer to hundredths of 1 percentage point (for example, 25 basis points are equivalent to 1/4 of 1 percentage point). "n.a." means not applicable. Minor discrepancies between constituent figures and totals are due to rounding. As used in this volume the term "country" does not in all cases refer to a territorial entity that is a state as understood by international law and practice. As used here, the term also covers some territorial entities that are not states but for which statistical data are maintained on a separate and independent basis. |
On this site, the term "country" does not in all cases refer to a territorial entity that is a state as understood by international law and practice. As used here, the term also covers some territorial entities that are not states. Dependent territories of member countries are listed alphabetically followed by a description of the constitutional relationships with their member countries. |