## Dataset overview ## Source details **Canonical URL:** [Dataset overview](https://www.imf.org/-/media/files/publications/gfsr/2025/october/data/ch1data.xlsx) ## Other formats - [Markdown version](/-/media/files/publications/gfsr/2025/october/data/ch1data.xlsx.md) - [Structured JSON version](/-/media/files/publications/gfsr/2025/october/data/ch1data.xlsx.json) --- ### Uncertainty and market volatility (Figure ES.1; Figure 1.1 P1) - October 2024 GFSR: - Trade Policy Uncertainty: 90.60000000000001 - Economic Policy Uncertainty: 80.7 - Geopolitical Risk Index: 80.80000000000001 - VIX Index: 38.9 - MOVE Index: 59.5 - April 2025 GFSR: - Trade Policy Uncertainty: 99.4 - Economic Policy Uncertainty: 99.4 - Geopolitical Risk Index: 95.6 - VIX Index: 93.8 - MOVE Index: 86.2 - Latest: - Trade Policy Uncertainty: 97.89999999999999 - Economic Policy Uncertainty: 96.7 - Geopolitical Risk Index: 77 - VIX Index: 42.5 - MOVE Index: 31.1 - Average Postpandemic: - Trade Policy Uncertainty: 83.03777777777775 - Economic Policy Uncertainty: 86.84545454545453 - Geopolitical Risk Index: 81.55555555555556 - VIX Index: 46.71333333333332 - MOVE Index: 73.62666666666667 ### Extreme outflow scenarios and asset composition (Figure ES.4; Figure 1.14 P4; Figure 1.14 P1) - Scenario labels and associated rate shocks (rich text preserved): - "99th pct outflows\n+ 100 bps rate shock" - "March 2020 outflows\n+ 80 bps rate shock" - "April 2025 outflows\n+ 60 bps rate shock" - Per-scenario asset exposures (values preserved): - 99th pct outflows (+ 100 bps rate shock): - Cash: 9.647510268320259 - MMF shares: 43.09252209091733 - T-bills: 11.93614811431538 - CP: 7.757015105656302 - US Treasuries: 282.6178510482463 - Share of USTs: 0.7959921643176812 - March 2020 outflows (+ 80 bps rate shock): - Cash: 7.298421946767187 - MMF shares: 31.13676999138484 - T-bills: 6.974069016731621 - CP: 7.905650557360329 - US Treasuries: 137.9960085859746 - Share of USTs: 0.7213179912319055 - April 2025 outflows (+ 60 bps rate shock): - Cash: 6.607521291273785 - MMF shares: 14.08796285334483 - T-bills: 2.524359881626212 - CP: 0.2480140890399781 - US Treasuries: 43.13653994636454 - Share of USTs: 0.6476530259523876 - Nominal holdings and share of total assets (Figure 1.14 P1): - Nominal: - Cash: 0.010254439641349 - MMF-shares: 0.0472051089549326 - T-bills: 0.0561733341 - Commercial Paper: 0.00880665920391 - US Treasuries: 1.122582816647931 - Other assets: 3.621665430297181 - Share of total assets: - Cash: 0.0021070674935944524 - MMF-shares: 0.009699637824133514 - T-bills: 0.011542415814869436 - Commercial Paper: 0.0018095796537627318 - US Treasuries: 0.23066670091739766 - Other assets: 0.7441745982962422 ### Fund flows and net flows under scenarios (Figure 1.14 P2) - 99th percentile outflow scenario: - Funds with inflows: 0.038217777123918495 - Funds with outflows: -501.0852775910301 - Net flows for all US bond funds: -501.0470598139062 - March 2020 outflow scenario: - Funds with inflows: 58.58503305929443 - Funds with outflows: -275.1792580228055 - Net flows for all US bond funds: -216.5942249635111 - April 2025 outflow scenario: - Funds with inflows: 19.54099093305404 - Funds with outflows: -83.37109423929765 - Net flows for all US bond funds: -63.83010330624361 ### Margin pressures and rate-shock sensitivities (Figure 1.14 P3) - IRS variation margin (funds with margin credit; funds with margin calls; net for all funds) and UST Futures variation margin reported for shocks: - 60 bps rate shock: - IRS (funds with margin credit): 8.19045135232624 - IRS (funds with margin calls): -5.289097684570194 - Net variation margin pressure for all funds (IRS): 2.9013536677560463 - UST Futures (funds with margin credit): 0.7576800532360362 - UST Futures (funds with margin calls): -8.768448489056022 - Net variation margin pressure for all funds (UST Futures): -8.010768435819985 - Net margin calls for all bond funds (IRS and UST Futures): -5.109414768063939 - 80 bp rate shock: - IRS (funds with margin credit): 10.920601803101656 - IRS (funds with margin calls): -7.0521302460935935 - Net variation margin pressure for all funds (IRS): 3.8684715570080623 - UST Futures (funds with margin credit): 1.0102400709813817 - UST Futures (funds with margin calls): -11.691264652074697 - Net variation margin pressure for all funds (UST Futures): -10.681024581093315 - Net margin calls for all bond funds (IRS and UST Futures): -6.812553024085252 - 100 bps rate shock: - IRS (funds with margin credit): 13.65075225387707 - IRS (funds with margin calls): -8.815162807616991 - Net variation margin pressure for all funds (IRS): 4.835589446260078 - UST Futures (funds with margin credit): 1.262800088726727 - UST Futures (funds with margin calls): -14.61408081509337 - Net variation margin pressure for all funds (UST Futures): -13.351280726366642 - Net margin calls for all bond funds (IRS and UST Futures): -8.515691280106566 ### Exchange rate return volatility and beta to uncertainty shock (Figure ES.9) - High uncertainty shock — Exchange rate return volatility Beta: - VIX Index: 0.134 - US EPU: 0.0782 - MOVE Index: 0.0573 ### Sponsored repo share over time (Figure 1.13 P3) - Date-indexed sample (Sponsored repo share): - 2020-03-31T00:00:00.000Z: 16.0742193755004 - 2020-06-30T00:00:00.000Z: 13.430513051305132 - 2020-09-30T00:00:00.000Z: 11.295241809672387 - 2020-12-31T00:00:00.000Z: 13.711989795918367 - 2021-03-31T00:00:00.000Z: 8.59815703783525 - 2021-06-30T00:00:00.000Z: 10.52054054054054 - 2021-09-30T00:00:00.000Z: 10.573592715231788 - 2021-12-31T00:00:00.000Z: 14.935345581802276 - 2022-03-31T00:00:00.000Z: 15.131043710972348 ### Cross-region net value shifts (Figure 1.19 P3) - Sample net_value flows (from_region → to_region): - Asia and Pacific → Africa and Middle East: 0.269559196755295 - North America → Africa and Middle East: 8.34157582371559 - North America → Asia and Pacific: 20.8038504896495 - Africa and Middle East → Europe: 1.57114901350649 - Asia and Pacific → Europe: 6.15066200439345 - Latin America and Caribbean → Europe: 0.420495444205762 - North America → Europe: 16.8475619440399 - Africa and Middle East → Latin America and Caribbean: 0.638089260980201 - Asia and Pacific → Latin America and Caribbean: 1.87921618289828 - North America → Latin America and Caribbean: 8.06792259999611 ### Trading volumes and liquidity mismatches (Figure 1.25 P3) - Trading volume (average monthly amount) and liquidity mismatch (ratio of maximum historical outflow to trading volume): - US HY (US high yield bonds): - Trading volume: 208.836 - Liquidity mismatches: 0.07930624988028884 - US IG (US investment grade bonds): - Trading volume: 646.586 - Liquidity mismatches: 0.03862440572483784 - US Treasuries (US Treasuries): - Trading volume: 3401.38 - Liquidity mismatches: 0.006467963003251621 ### High-frequency fund-level and market time series (Figure 1.25 P6) - Sample daily fund-level series rows (dates and two numeric series preserved), e.g.: - 2011-01-04T00:00:00.000Z: 0.703031947053141, 0.31988834260503035 - 2011-01-05T00:00:00.000Z: 0.7011152625645036, 0.3163773657122292 - 2011-01-06T00:00:00.000Z: 0.701032186450168, 0.31556928479918583 - 2011-01-07T00:00:00.000Z: 0.7011215707617646, 0.31919458223476055 - 2011-01-10T00:00:00.000Z: 0.7010762947558322, 0.31865125458739585 ### Fed funds and net interest payments (Figure 1.21 P2) - Fed Funds rates (right scale) and Net interest payments (sample quarterly observations): - 2010-03-31T00:00:00.000Z: Fed Funds: 0.25, Net interest payments: 301.3 - 2010-06-30T00:00:00.000Z: Fed Funds: 0.25, Net interest payments: 304.5 - 2010-09-30T00:00:00.000Z: Fed Funds: 0.25, Net interest payments: 305.4 - 2010-12-31T00:00:00.000Z: Fed Funds: 0.25, Net interest payments: 304.7 - 2011-03-31T00:00:00.000Z: Fed Funds: 0.25, Net interest payments: 301.8 - 2011-06-30T00:00:00.000Z: Fed Funds: 0.25, Net interest payments: 300.6 - 2011-09-30T00:00:00.000Z: Fed Funds: 0.25, Net interest payments: 301.6 - 2011-12-31T00:00:00.000Z: Fed Funds: 0.25, Net interest payments: 303.1 - 2012-03-31T00:00:00.000Z: Fed Funds: 0.25, Net interest payments: 306.7 ### Fund categories and historical allocations (Figure 1.25 P1 and P4) - Historical sample shares (year-end samples): - 2015-12-30T00:00:00.000Z: - High yield dedicated exchange traded funds: 3.05018472333751 - High yield bond dedicated investment funds: 24.14981527666249 - Other bond investment funds: 9.7 - 2016-12-30T00:00:00.000Z: - High yield dedicated exchange traded funds: 3.6826589022390697 - High yield bond dedicated investment funds: 24.81734109776093 - Other bond investment funds: 9.9 - 2017-12-30T00:00:00.000Z: - High yield dedicated exchange traded funds: 3.8103974696993466 - High yield bond dedicated investment funds: 23.789602530300655 - Other bond investment funds: 10.8 - 2018-12-30T00:00:00.000Z: - High yield dedicated exchange traded funds: 3.360653216780903 - High yield bond dedicated investment funds: 22.139346783219096 - Other bond investment funds: 11.1 - 2019-12-30T00:00:00.000Z: - High yield dedicated exchange traded funds: 4.904327948505633 - High yield bond dedicated investment funds: 24.59567205149437 - Other bond investment funds: 11.100000000000001 - 2020-12-30T00:00:00.000Z: - High yield dedicated exchange traded funds: 5.96875929922218 - High yield bond dedicated investment funds: 26.131240700777823 - Other bond investment funds: 11.2 - 2021-12-30T00:00:00.000Z: - High yield dedicated exchange traded funds: 5.582176907802647 - High yield bond dedicated investment funds: 23.61782309219735 - Other bond investment funds: 12.7 ### Sector exposures and concentration by bank type (Figure 1.16 P2) - Sample exposures (percent-format values preserved as provided): - All (Loans) — All Other, Private Equity Funds, Consumer, Business, Mortgage: - All Other: 29.57302794519584 - Private Equity Funds: 23.036041706119065 - Consumer: 8.754384828844387 - Business: 20.817222414280437 - Mortgage: 17.81932310556027 - UC (Loans) — All Other, Private Equity Funds, Consumer, Business, Mortgage: - All Other: 41.15092297695335 - Private Equity Funds: 23.09936765710669 - Consumer: 8.996974929701786 - Business: 16.90225533853991 - Mortgage: 9.850479097698264 - GSIBs (Loans) — All Other, Private Equity Funds, Consumer, Business, Mortgage: - All Other: 32.292466982722864 - Private Equity Funds: 19.31697748971784 - Consumer: 11.422756821503192 - Business: 19.992634831046903 - Mortgage: 16.975163875009205 - GSIBs UC (Loans) — All Other, Private Equity Funds, Consumer, Business, Mortgage: - All Other: 46.62222892036613 - Private Equity Funds: 17.699865452043003 - Consumer: 12.629531914739085 - Business: 16.436276743903125 - Mortgage: 6.612096968948656 - Large Regionals (Loans) — All Other, Private Equity Funds, Consumer, Business, Mortgage: - All Other: 27.555186156266288 - Private Equity Funds: 30.60389645032904 - Consumer: 4.90776448838298 - Business: 23.29308760901214 - Mortgage: 13.640065296009556 - Large Regionals UC (Loans) — All Other, Private Equity Funds, Consumer, Business, Mortgage: - All Other: 37.173041296231986 - Private Equity Funds: 29.926252156548227 - Consumer: 3.8772948526657705 - Business: 17.61706085397228 - Mortgage: 11.406350840581739 ### China deposit and loan spread series (Box 1.3 P2) - Recent sample daily observations (Deposit Spread (1y CGB - 1y Time Deposit, rhs); Loan Spread (1y LPR - 1y CGB)): - 2025-09-01T00:00:00.000Z: 41.81000000000002, 163.19 - 2025-08-29T00:00:00.000Z: 42.09, 162.91 - 2025-08-28T00:00:00.000Z: 41.559999999999995, 163.44 - 2025-08-27T00:00:00.000Z: 41.120000000000005, 163.88 - 2025-08-26T00:00:00.000Z: 41.13, 163.87 - 2025-08-25T00:00:00.000Z: 42.49000000000001, 162.51 - 2025-08-22T00:00:00.000Z: 44.05000000000001, 160.95 - 2025-08-21T00:00:00.000Z: 43.95, 161.05 - 2025-08-20T00:00:00.000Z: 43.45000000000001, 161.54999999999998 - 2025-08-19T00:00:00.000Z: 45.16, 159.84 ### Chinese banking indicators and supervisory series (Box 3.1 P3; Box 3.1 P4) - National Financial Regulatory Administration series (sample quarterly): - 2014-03-01T00:00:00.000Z: 1.4, 20.8 - 2014-06-01T00:00:00.000Z: 1.37, 20.66 - 2014-09-01T00:00:00.000Z: 1.35, 19.78 - 2014-12-01T00:00:00.000Z: 1.23, 17.59 - 2015-03-01T00:00:00.000Z: 1.29, 17.76 - 2015-06-01T00:00:00.000Z: 1.23, 17.26 - 2015-09-01T00:00:00.000Z: 1.2, 16.68 - 2015-12-01T00:00:00.000Z: 1.1, 14.98 - 2016-03-01T00:00:00.000Z: 1.19, 15.93 - 2016-06-01T00:00:00.000Z: 1.11, 15.16 - Bank-level sample deposit shares (Box 3.1 P4) — values by bank for sampled quarters: - 2025:Q2: - PSBC: 10.133342387745504 - ABC: 9.626654047764305 - BOC: 9.091611741450922 - BoCom: 8.838757995842638 - ICBC: 8.435041876889326 - CCB: 7.885803428770455 - Five-year Average: - PSBC: 12.46566038688886 - ABC: 13.070009294480084 - BOC: 10.57951986341705 - BoCom: 9.977495929290999 - ICBC: 10.95069265351195 - CCB: 11.318380472505584 - 2024:Q2: - PSBC: 10.688106754384407 - ABC: 11.920902473643192 - BOC: 9.765781573622068 - BoCom: 6.054987970940395 - ICBC: 10.064988736917213 - CCB: 10.027395215996183 *Source: ch1data; https://www.imf.org/-/media/files/publications/gfsr/2025/october/data/ch1data.xlsx* --- _Source: https://www.imf.org/-/media/files/publications/gfsr/2025/october/data/ch1data.xlsx_