## Figure 1.5. Balance Sheet Vulnerabilities

## Source details

**Canonical URL:** [Figure 1.5. Balance Sheet Vulnerabilities](https://www.imf.org/-/media/files/publications/gfsr/2019/april/english/ch1data/charts/figure1-5.pdf)

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### Sovereigns: Vulnerability Indicators for Advanced and Emerging Market Economies (Z-scores)
- Finding: "Sovereign vulnerabilities are elevated in both advanced and emerging market economies."
- Indicators plotted (rescaled average z-scores for 29 systemic countries over 2000 to 2018 calculated within AEs and EMs separately):
  - Government debt (measured as a percentage of GDP)
  - Primary gap (difference between government revenue and expenditure excluding interest payments; measured as a percentage of GDP)
  - Maturity (average remaining number of years until maturity of government debt)
  - Foreign holdings (measured as a percentage of total government debt)
  - External financing requirements (measured as a percentage of GDP)
- Countries shown (ISO codes): CHN, USA, AUT, BEL, DEU, ESP, FIN, FRA, IRL, ITA, NLD, DNK, CHE, NOR, SWE, AUS, CAN, KOR, SGP, GBR, JPN, IND, MEX, POL, RUS, TUR
- Note: Panel 1 methodology references Online Technical Annex 1.1.

### Nonfinancial Firms: Debt to GDP, by Region (Percent)
- Finding: "Corporate debt has expanded faster than GDP in several systemically important economies."
- Axis/scale indicators present: 60, 70, 80, 90, 100, 110, 120, 140, 160, 180 (visual scale context for debt-to-GDP levels by region)

### Banks: Capitalization and Market Valuation (Percent of risk-weighted assets; ratio)
- Finding: "Some banking systems need to continue strengthening their balance sheets."
- Plotted metrics:
  - Tier 1 capital ratio, 2018 (percent)
  - Price-to-book ratio, 2019:Q1
- Axis/scale indicators present: 6, 8, 10, 12, 14, 16, 18, 20, 22, 24 (Tier 1 capital ratio); 0.2 0.4 0.6 0.8 1.0 1.2 1.4 1.6 1.8 2.0 (price-to-book ratio)

### Redemptions versus High-Quality Liquid Assets, December 2018 (Percent)
- Finding: "Investment funds invested in less liquid assets have experienced higher redemptions during recent stress."
- Fund categories plotted:
  - High-yield funds
  - Leveraged loan funds
  - Fixed income funds
  - Money market funds
  - Equity funds
  - Mixed funds
- Metrics plotted:
  - HQLA to assets
  - Net flows to assets
  - Monthly redemptions = HQLA (visual threshold)
- Axis/scale indicators present: 0, 20, 40, 60, 80, 100 for both HQLA and net flows; net flows axis includes negative values shown as –15, –10, –5
- Interpretation cue: Movement toward the lower-right indicates "Increasing liquidity stress"

### Data and Measurement Notes
- Sources: Bank for International Settlements; Bloomberg Finance L.P.; Haver Analytics; IMF, Financial Soundness Indicators database; Moody’s; Standard & Poor’s Global Market Intelligence; Arslanalp and Tsuda (2014); Standard & Poor’s Leveraged Commentary and Data; and IMF staff calculations.
- HQLA measurement assumptions (panel 4): assuming that 50 percent of equities, 67.5 percent of corporate IG bonds, and 93 percent of sovereign bonds are liquid assets. Securitized assets were split into IG and non-IG debt. The assigned values are based on Basel III liquidity coverage ratio principles.
- Bubble sizes (panel 4): indicate the degree of dispersion of observations and relate to one half of the geometric distances between sector averages and most distant observations among those with extreme values for net flows and liquidity within respective sector samples.
- Sample (panel 4): includes the 50 largest global funds within each fund category reported in Bloomberg. Average HQLA and net flows are computed on an asset-weighted base.
- Acronyms: AE = advanced economy; EM = emerging market; HQLA = high-quality liquid assets; IG = investment grade.

*Source: IMF staff calculations and listed data providers (as noted in figure).*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2019/april/english/ch1data/charts/figure1-5.pdf_