## GFSR Chapter 4 Oct. 2020 — Dataset overview

## Source details

**Canonical URL:** [GFSR Chapter 4 Oct. 2020 — Dataset overview](https://www.imf.org/-/media/files/publications/gfsr/2020/october/english/data/ch4.xlsx)

## Other formats

- [Markdown version](/-/media/files/publications/gfsr/2020/october/english/data/ch4.xlsx.md)
- [Structured JSON version](/-/media/files/publications/gfsr/2020/october/english/data/ch4.xlsx.json)

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### Worksheets included
- "GFSR Chapter 4 Oct. 2020" (rowCount: 32, columnCount: 10)
- "Table of Contents" (rowCount: 40, columnCount: 12)
- "Figure 4.1." (rowCount: 82, columnCount: 34)
- "Figure 4.3." (rowCount: 38, columnCount: 119)
- "Figure 4.4." (rowCount: 1,038,587, columnCount: 32)
- "Figure 4.5." (rowCount: 2,939, columnCount: 40)
- "Figure 4.6." (rowCount: 1,112, columnCount: 39)
- "Box 4.1." (rowCount: 70, columnCount: 35)

### Major themes and labels (from worksheet headings)
- Chapter title: "Chapter 4. BANK CAPITAL: COVID-19 CHALLENGES AND POLICY RESPONSES"
- Figure headings include:
  - "Figure 4.1. Historical Context: Magnitude of the Current Crisis and the Ex Ante Position of Banks"
  - "Figure 4.3. Magnitude of Announced Mitigation Policies"
  - "Figure 4.4. Scenarios for Stress Test Simulation"
  - "Figure 4.5. Bank Solvency under COVID-19, without Policy Mitigation"
  - "Figure 4.6. Bank Solvency under COVID-19 with Policy Mitigation"
  - "Figure 4.1.1. Additional Quarterly Provisioning" (Box 4.1.)

### Key statistics and time series excerpts
- Figure 4.1 — "Average Tier 1 Ratio, by Region" (selected series)
  - North America (2010–2019): 12.323277565824407, 12.657859801325749, 12.83528610709139, 12.673149608297562, 12.571082029110721, 12.482390019129056, 12.693002659407371, 12.992787710744327, 13.062639285724078, 13.142701709727481
  - Europe (2010–2019): 10.93824156873762, 11.384332546268277, 12.451183721788688, 13.695346496435176, 13.67080973622225, 14.348126222197147, 15.252048587509288, 16.07200719885079, 15.746590768802598, 16.280323620502973
  - Other EMs (2010–2019): 12.264113755915327, 12.704600025159001, 12.519896504819508, 13.214813599522179, 13.0550577211468, 13.592521960469615, 13.768489973062529, 12.536507321793577, 14.214303897384752, 14.038641026485335
- Figure 4.1 — selected datapoints related to bank credit tightening causes (single-row values)
  - "2020-07-01T00:00:00.000Z": -76.6, -93.4, -68.9, 11.399999999999999, 83.89999999999999, 65.5
  - Europe date reference: "2008-01-01T00:00:00.000Z" with values 32.1, 29, -8
  - Other EMs date reference: "2008-04-01T00:00:00.000Z" with values 55.4, 44, -6

### Mitigation policies (Figure 4.3) — selected country-level metrics
- Columns represented include: "Loan Guarantees (Percent of GDP)", "Change in Statutory Bank Capital Buffers since February 1, 2020 (Percent of risk-weighted assets)", "Estimated Pro Forma Increase in CET1 Capital Ratio and Buffer from Announced Policies (Percentage points)", "Increase in Leverage Ratio from Announced Policies (Percentage points)"
- Sample country rows:
  - US:
    - Loan Guarantees: 2.282898423105251 (Percent of GDP)
    - Change in statutory buffers: 0 (CCyB), 0 (CCB), 0 (D-SIB/Systemic Risk Buffers)
    - Estimated pro forma CET1 ratio increase: 0.01603595419849298 (CET1 ratio (%))
    - Buffer - Statutory: 0
    - Buffer - Guidance: 0.032
    - Increase in Leverage Ratio: 0.016174471191796103 (Percentage points)
  - CA:
    - Loan Guarantees: 3.0574656096118233 (Percent of GDP)
    - Change in statutory buffers: 0 (CCyB), 0 (CCB), -1.25 (D-SIB)
    - Estimated pro forma CET1 ratio increase: 0.00011068449296978531 (CET1 ratio (%))
    - Buffer - Statutory: 0.0125
    - Buffer - Guidance: 0
    - Increase in Leverage Ratio: 0.0019113656819041772 (Percentage points)
  - GB:
    - Loan Guarantees: 16.833400201848196 (Percent of GDP)
    - Change in statutory buffers: -1 (CCyB), 0 (CCB), 0 (D-SIB)
    - Estimated pro forma CET1 ratio increase: 0.017576205879666226 (CET1 ratio (%))
    - Buffer - Statutory: 0.019999999999999993
    - Buffer - Guidance: 0.025
    - Increase in Leverage Ratio: 0.000250166761991244 (Percentage points)

### Stress-test scenarios (Figure 4.4) — baseline and adverse, by economy group
- Table headings: "Real GDP Growth (Year over year, percent)", "Unemployment Rate (Percent)", "Short-term Interest Rates (Percent)", "Term Spread (Percent)"
- AE: Baseline
  - Real GDP Growth (2019–2022): 1.5545804876480698, -5.891385325921158, 4.150940763003547, 2.941457287813729
  - Unemployment Rate (2019–2022): 5, 6.167886941153825, 7.1254319260182, 5.974468383402895
  - Short-term Interest Rates (2019–2022): 0.05500000000000001, 0.061306079972668695, 0.011054764116575501, 0.0191404945355175
  - Term Spread (2019–2022): 0.46414873342803054, 0.346605091213889, 0.5988879516229915, 0.634513463059001
- AE: Adverse
  - Real GDP Growth (2019–2022): 1.5545804876480698, -6.705441309106141, 1.7430478579671949, 3.7558174392169352
  - Unemployment Rate (2019–2022): 5, 6.635247171153825, 8.5180702760182, 7.442165983402895
  - Short-term Interest Rates (2019–2022): 0.05500000000000001, 0.061306079972668695, 0.1734620041165755, 0.565982134535519
  - Term Spread (2019–2022): 0.46414873342803054, 0.346605091213889, 0.5943010571672136, 0.653545628637671
- EM: Baseline
  - Real GDP Growth (2019–2022): 1.136720610439488, -7.999986280720495, 3.52977052303551, 2.2724697741860385
  - Unemployment Rate (2019–2022): 5.28, 8, 6.8, 5.8
  - Short-term Interest Rates (2019–2022): 6.4, 5.27958333333333, 3.93583333333333, 4.06083333333333
  - Term Spread (2019–2022): 1.7687916666666652, 2.3200000000000003, 2.6641666666666697, 2.7391666666666694

### Bank solvency and capital shortfalls (Figures 4.5 and 4.6) — selected entries
- Figure 4.5 — Baseline CET1 ratio (Global, 2019–2022): 13.16200926182093, 9.569264806054093, 11.018465976020602, 12.510976065832077
- Figure 4.5 — Adverse CET1 ratio (Global, 2019–2022): 13.16200926182093, 9.260748600171679, 9.368021967140711, 10.714861848997327
- Figure 4.5 — Maximum broad capital shortfall under Adverse Scenario (examples)
  - "Barebone: 4.5% + GSIB buffer": 190.21558125854176 (Billions of US dollars)
  - "Broad: fully loaded": 422.44742311160445 (Billions of US dollars)
  - Component split (example row): 354.18039337902803, 68.26702973257643, 178.2190737908808, 244.22834932072365 (Billions of US dollars)
- Figure 4.6 — With mitigation, sample outcomes
  - "No mitigation" End CET1 related entry: 180.30335959815727
  - "With provision mitigation" End CET1 related entry: 180.30335959815685
  - "With provision and capital mitigation" End CET1 related entry: 106.2727355495847
  - Example "Barebone: 4.5% + GSIB buffer, with mitigation": 106.2727355495847 (Billions of US dollars)
  - "Broad: fully loaded" under mitigation: 422.44742311160445; component values include 354.18039337902803, 68.26702973257643, 178.2190737908808, 244.22834932072365 (Billions of US dollars)

### Provisioning snapshots (Box 4.1, Figure 4.1.1)
- Additional quarterly provisioning (As share of loans) — Advanced Economies (Corporate, Household)
  - 2020Q1: 0.08107445389032364, 0.11990334838628769
  - 2020Q2: 0.25464263558387756, 0.24967584013938904
  - 2020Q3: 0.43434518575668335, 0.38023650646209717
- Additional quarterly provisioning (As share of loans) — Emerging Markets and Developing Economies (Corporate, Household)
  - 2020Q1: 0.03975106030702591, 0.014238238334655762
  - 2020Q2: 0.12485209107398987, 0.02964840829372406
  - 2020Q3: 0.21296082437038422, 0.045152172446250916

*Source: ch4 — GFSR Chapter 4 Oct. 2020 dataset.*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2020/october/english/data/ch4.xlsx_