## GFSR Chapter 1 Oct. 2020 — dataset overview ## Source details **Canonical URL:** [GFSR Chapter 1 Oct. 2020 — dataset overview](https://www.imf.org/-/media/files/publications/gfsr/2020/october/english/data/ch1.xlsx) ## Other formats - [Markdown version](/-/media/files/publications/gfsr/2020/october/english/data/ch1.xlsx.md) - [Structured JSON version](/-/media/files/publications/gfsr/2020/october/english/data/ch1.xlsx.json) --- ### Dataset scope and structure - Workbook contains multiple worksheets corresponding to Chapter 1 figures and boxes (sample worksheet names include "GFSR Chapter 1 Oct. 2020", "Table of Contents", "Figure 1.1.", "Figure 1.4.", "Figure 1.5.", "Figure 1.13.", "Figure 1.14.", "Figure 1.19.", "Box 1.1.1.", "Box 1.2.1.", "Box 1.3.1.", among others). - Worksheets include time series and cross-sectional data with timestamps in ISO format (example: "2004-12-31T00:00:00.000Z", "2020-01-01T00:00:00.000Z"). - Numeric values are provided at recorded precision (examples below preserve the exact values as in the dataset). ### Key figures and indicators (selected exact values) - Figure 1.1. GDP growth distribution (sample years): - "2004-12-31T00:00:00.000Z": shares by growth bins: 3, 8, 9, 14, 13, 19, 31, 93; Global growth (right scale) = 5.4240849654710255 - "2005-12-31T00:00:00.000Z": shares by growth bins: 4, 9, 7, 8, 21, 25, 25, 92; Global growth (right scale) = 4.898372653428593 - Figure 1.4. Global Financial Conditions (sample dates and indices): - "2006-03-31T00:00:00.000Z": United States index = -1.0017667662397127; Euro area = -1.1086018151378931; China = -1.0156749910090888; Other emerging market economies = -1.009650050367003; Other advanced economies = -1.123245599100463 - "2006-06-30T00:00:00.000Z": United States index = -0.5625742003702379; Euro area = -0.8286256837545225; China = -0.9882490128318533; Other emerging market economies = -1.487839836707526; Other advanced economies = -1.1562639137613173 - Figure 1.5. Global Equity Markets — stock market performance (YTD) and sectoral contributions: - Overall performance (YTD): US = 4.398229798407937; Japan = -5.037608825577266; Euro area = -12.702789723583688; UK = -26.883431111553154; China = 11.834014690650848; India = -2.797606097714367; Brazil = -16.773884068408794 - Sector example: Information technology (percent, YTD) — US = 5.508662992985445; Japan = -0.17351158178183598; Euro area = 0.5644685523387856; UK = -0.1037782635687075; China = 1.3085812362067961; India = 3.3352994417664212; Brazil = -0.36044609179631 - Sector label values (example): "Automobiles" 2019 = 2.3834999999999997; "Automobiles" Current = 0.2365 - Figure 1.6. Equity valuations and returns (sample): - EM LatAm: Trough 2020-Current = 34.328315038974935; End 2019-trough = -52.65833444589363; YTD = -36.40673834978211 - Energy (sector): Trough 2020-Current = 23.346848912067554; End 2019-trough = -57.251877227868306; YTD = -47.27153759151358 - S&P 500 indices sample: 2020-01-01T00:00:00.000Z index = 97.01619913843861; S&P 500 ex. top five = 97.01619913843861 (sample alignment) - Figure 1.7. Market volatility (sample dates): - "2020-01-03T00:00:00.000Z": VIX = -0.6746888260418623; Realized Volatility = -0.8343192052207735; EPS dispersion = -0.3664083412040741 - "2020-01-10T00:00:00.000Z": VIX = -0.8462857716470371; Realized Volatility = -0.8209101114627078; EPS dispersion = -0.4568170660315445 - Figure 1.8. Credit market valuations (sample dates and components): - "2019-12-31T00:00:00.000Z": Residual = 0; Fundamentals = 0; Nominal risk-free rates = 0; Yield (right scale) = 0; Other policy support = 0 - "2020-01-31T00:00:00.000Z": Residual = -1.1000000000000085; Fundamentals = -1.2142882793781506; Nominal risk-free rates = -10.999999999999988; Yield (right scale) = -0.1299999999999999; Other policy support = 0.3142882793781441 - "2020-02-28T00:00:00.000Z": Residual = 2.0999999999999943; Fundamentals = 0.6179173375427949; Nominal risk-free rates = -34.00000000000001; Yield (right scale) = -0.31000000000000005; Other policy support = 0.28208266245720637 - Figure 1.9. Proportion of systemically important countries with elevated vulnerabilities (percent of countries with high and medium-high vulnerabilities, by GDP) — comparisons: - Sovereign: Apr. 2020 GFSR = 76.9940375657098; Oct 2020 GFSR = 53.24372790996759; Global Financial Crisis = 22.50559417000226 - Companies: Apr. 2020 GFSR = 85.90663849413882; Oct 2020 GFSR = 76.32110927673897; Global Financial Crisis = 46.84836025514911 - Households: Apr. 2020 GFSR = 43.235522580289135; Oct 2020 GFSR = 40.31821684528279; Global Financial Crisis = 53.53518414627446 - Banks: Apr. 2020 GFSR = 49.6167481237695; Oct 2020 GFSR = 47.71609250805488; Global Financial Crisis = 76.02968940784582 - Figure 1.10. Emerging Market hard-currency corporate and sovereign bond issuance (Billions of US dollars, monthly sample): - Investment grade: 2019 Avg. = 7.679088333333333; Jan. = 41.032900000000005; Feb. = 8.60282; Mar. = 12.889020000000002; Apr. = 69.8468; May = 24.753029999999995; Jun. = 25.555909999999997; Jul. = 16.683369999999996; Aug. = 13.560810000000002; Sep. = 22.598100000000002 - High yield: 2019 Avg. = 5.1400733333333335; Jan. = 17.796200000000006; Feb. = 10.17709; Mar. = 0.8000000000000003; Apr. = 2.1999400000000002; May = 13.652829999999998; Jun. = 13.523430000000001; Jul. = 5.292069999999998; Aug. = 4.00334; Sep. = 12.81481 - Non-rated: 2019 Avg. = 2.4193566666666686; Jan. = 8.810250000000002; Feb. = 0.9332499999999992; Mar. = 0.03600000000000003; Apr. = 3.552713678800501e-15; May = 1.903510000000006; Jun. = 2.9536200000000017; Jul. = 6.4474800000000085; Aug. = 0.577040000000002; Sep. = 3.478239999999996 - Figure 1.13. Aggregate household debt (Percent of GDP) — selected economies, 2019Q4 and 2020Q1: - 2019Q4: CAN = 101.2; GBR = 83.9; USA = 75.2; FRA = 61.7; JPN = 59.1; ESP = 56.9; DEU = 54.3; ITA = 41.2; CHN = 55.2; POL = 34.7; BRA = 30.5; RUS = 19.1; MEX = 16.2; TUR = 14.8; IND = 12.2 - 2020Q1: CAN = 101.7; GBR = 84.5; USA = 75.2; FRA = 62.7; JPN = 59.3; ESP = 56.9; DEU = 54.6; ITA = 41.6; CHN = 57.2; POL = 34.9; BRA = 30.4; RUS = 20.1; MEX = 16.4; TUR = 15.1; IND = 12.6 - min (sample): CAN = 90.4; GBR = 82.9; USA = 74.9; FRA = 52.9; JPN = 56.6; ESP = 56.9; DEU = 52.8; ITA = 40.4; CHN = 26.7; POL = 33.5; BRA = 21.3; RUS = 10.1; MEX = 13.2; TUR = 13.9; IND = 8.7 - range (sample): CAN = 11.299999999999997; GBR = 10.799999999999997; USA = 18.89999999999999; FRA = 9.800000000000004; JPN = 4.899999999999999; ESP = 28.9; DEU = 8.100000000000001; ITA = 3.3000000000000043; CHN = 30.500000000000004; POL = 3.200000000000003; BRA = 9.2; RUS = 10.000000000000002; MEX = 3.3000000000000007; TUR = 5.700000000000001; IND = 3.9000000000000004 - Figure 1.14. Banking sector: distribution of bank assets by CET1 ratio under Adverse Scenario (sample bands and values): - CET1 bands and sample Global values: - "<4.5%": Global = 0; Global (T) = 8.779945213636314; Global (22) = 22; additional columns show values like 11.948737090847166 - "<6%": Global = 0.040460230579459494; Global (T) = 2.3908824665943396; Global (22) = 3.816341555263951 - "<8%": Global = 0.17041710301806295; Global (T) = 10.37975153995299; Global (22) = 3.466598258454084 - "<10%": Global = 4.181261867537776; Global (T) = 25.55664214603281; Global (22) = 14.480170065834926 - Figure 1.15. Nonbank financial sector cumulative monthly fund flows (Percent of assets under management): - Mixed funds cumulative flows (sample dates): 2020-01-31T00:00:00.000Z = 0.12837667531837563; 2020-02-29T00:00:00.000Z = 0.3638031230052215; 2020-03-31T00:00:00.000Z = -1.667791184087851; 2020-04-30T00:00:00.000Z = -1.9420218550369297; 2020-05-31T00:00:00.000Z = -1.9677312922690833; 2020-06-30T00:00:00.000Z = -1.8161084441670348; 2020-07-31T00:00:00.000Z = -1.875028611749359; 2020-08-31T00:00:00.000Z = -1.8941688741836444 - Fixed income funds cumulative flows (sample dates): 2020-01-31T00:00:00.000Z = 1.0924652782317288; 2020-02-29T00:00:00.000Z = 1.6430221980871538; 2020-03-31T00:00:00.000Z = -3.546965533537417; 2020-04-30T00:00:00.000Z = -3.3243715460596133; 2020-05-31T00:00:00.000Z = -2.348861955504881; 2020-06-30T00:00:00.000Z = -1.1143232902774445; 2020-07-31T00:00:00.000Z = 0.09614157551857616; 2020-08-31T00:00:00.000Z = 1.2910826247229554 - Money Market cumulative flows (sample dates): 2020-01-31T00:00:00.000Z = 1.1666349660700563; 2020-02-29T00:00:00.000Z = 2.001213406780367; 2020-03-31T00:00:00.000Z = 14.058325786454459; 2020-04-30T00:00:00.000Z = 22.590766294108406; 2020-05-31T00:00:00.000Z = 24.212464528171243; 2020-06-30T00:00:00.000Z = 22.303950926774302; 2020-07-31T00:00:00.000Z = 23.49411960985812; 2020-08-31T00:00:00.000Z = 22.0889613857856 - Figure 1.16. Leverage of a theoretical volatility-targeting portfolio (sample dates): - "2010-02-11T00:00:00.000Z": Leverage = 0.8758101243650377; Historical average = 1.2493184273042195 - "2010-02-12T00:00:00.000Z": Leverage = 0.9433962264150944; Historical average = 1.2493184273042195 - "2010-02-15T00:00:00.000Z": Leverage = 0.9507510933637573; Historical average = 1.2493184273042195 - Figure 1.17. Sovereign debt-to-GDP and vulnerabilities (sample S29 country entries): - Japan ("JPN"): 2020E sovereign debt-to-GDP = 266.1757959727896; 30-year min = 63.492261393038305; Range over the last 30 years = 202.68353457975132; Corporate vulnerability indicator = 1; Bank vulnerability indicator = 2 - Italy ("ITA"): 2020E = 161.84911944091013; 30-year min = 101.3279213721415; Range = 60.521198068768626; Corporate vulnerability = 1; Bank vulnerability = 1 - Singapore ("SGP"): 2020E = 131.18593908366455; 30-year min = 69.82314146909503; Range = 61.362797614569516; Corporate vulnerability = 1; Bank vulnerability = 3 - United States ("USA"): 2020E = 131.17659959542755; 30-year min = 53.146399604983074; Range = 78.03019999044447; Corporate vulnerability = 2; Bank vulnerability = 1 - Figure 1.18. Capital flows at risk and evolution of EM sovereign debt (sample density and percentile samples): - Capital flows at risk (x-axis sample points): at -10, March 23, 2020 density = 0.00038356923552723; August 14, 2020 density = 3.64713618077996e-9 - Evolution of sovereign debt/external financing requirements — sample percentile ranks: - Current account: GFC = 21.89999999999999; 2019 = 34.39999999999999; 2020 = 87.5; 2023 = 75 - Short term debt to remaining maturity: GFC = 37.5; 2019 = 81.2; 2020 = 90.60000000000001; 2023 = 75 - External debt: GFC = 28.1; 2019 = 59.3; 2020 = 96.8; 2023 = 93.7 - Fiscal balance: GFC = 90.7; 2019 = 68.8; 2020 = 100; 2023 = 96.9 - Figure 1.19. External debt service through end-2021 (share of foreign reserves, percent, as of July 2020) — sample countries: - Zambia: Loans: official = 43.88409433024659; Loans: non-official = 63.450014105206996; Bonds = 28.547311776110128; Total = 135.88142021156372 - Ethiopia: Loans: official = 51.79092167760926; Loans: non-official = 57.19448598955045; Bonds = 3.3392923398657537; Total = 112.32470000702546 - Pakistan: Loans: official = 85.21486156162564; Loans: non-official = 8.927751801537609; Bonds = 8.032553486224412; Total = 102.17516684938765 - Angola: Loans: official = 33.79293355866832; Loans: non-official = 20.048018482728384; Bonds = 3.277992930428702; Total = 57.11894497182539 ### Notable thematic coverage (by worksheet) - GDP growth comparisons (Figure 1.1): distributional shares and global growth time series. - Global financial conditions and drivers (Figure 1.4): indices by region and components such as interest rates, house prices, corporate valuations, EM external costs. - Equity market impacts by country and sector, including long-term EPS growth forecasts (Figures 1.5 and 1.6). - Market volatility, VIX dynamics, and drivers of option-implied volatility (Figure 1.7). - Credit market decompositions, bond spread misalignments, and policy support contributions (Figure 1.8). - Systemic vulnerabilities across sovereigns, corporates, households, banks (Figure 1.9) and distributional impacts under adverse scenarios for banks (Figure 1.14). - Nonbank financial sector flows and fund vulnerabilities (Figure 1.15; Box 1.2.1). - Leverage and cross-asset correlations for volatility-targeting portfolios (Figure 1.16). - Sovereign vulnerabilities, debt-to-GDP ratios, and interconnectedness (Figure 1.17). - Emerging market financing stresses, capital flows at risk, and external debt service burden (Figures 1.18 and 1.19). - Commercial real estate trends and CMBS issuance and metrics (Box 1.1.1). - China local government, corporate, and bank interlinkages and debt measures (Box 1.3.1). *Dataset: GFSR Chapter 1 Oct. 2020 (workbook with multiple figure and box worksheets as provided).* --- _Source: https://www.imf.org/-/media/files/publications/gfsr/2020/october/english/data/ch1.xlsx_