IMF Global Financial Stability Report (GFSR) -- Sovereigns, Funding, and Systemic Liquidity; October 2010 -- Contents
Global Financial Stability Report, October 29, 2010
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- IMF Global Financial Stability Report (GFSR) -- Sovereigns, Funding, and Systemic Liquidity; October 2010 -- Contents
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Bibliographic details
- Published: October 29, 2010
- Series: Global Financial Stability Report
Overview
- October 2010: "The global financial system is still in a period of significant uncertainty and remains the Achilles' heel of the economic recovery."
- Progress toward financial stability experienced a setback since the April 2010 GFSR.
- The report:
- highlights how risks have changed over the last six months,
- traces the sources and channels of financial distress with an emphasis on sovereign risk,
- provides a discussion of policy proposals under consideration to mend the global financial system.
- Related multimedia:
- Videos: "IMF Says Global Financial Stability Better with Remaining Risks; Jose Vinals, Financial Counsellor, IMF" (Spanish version) — October 5, 2010
- "IMF on Systemic Liquidity Risks; Jeanne Gobat, IMF MCM Department" — September 29, 2010
- "IMF on Credit Ratings Agencies; John Kiff, IMF MCM Department"
- Webcast of GFSR press briefing, September 29, 2010 — Transcript available
- Sign-up: Email notification sign-up for new series and/or country items.
- Note on terminology: 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.
Executive materials and downloads
- Download the Full Text (6,2 kb)
- Executive Summary (1000 Kb pdf file)
- Preface (376kb pdf file)
- Glossary (277KB pdf file)
- Statistical Appendix (1,6KB pdf file)
- Annex: Summing Up by the Acting Chair
Chapter I — Economic Uncertainty, Sovereign Risk, and Financial Fragilities
- Available items: Full Text | Video | Boxes | Figures | Tables | Press Points
- Sections:
- A. What Is the Outlook for Global Financial Stability?
- B. Sovereign Risks and Financial Fragilities
- C. Sovereign and Banking System Spillovers
- D. Managing Upside Risks to Emerging Markets
- E. Policy Priorities
- Annexes:
- Annex 1.1. Impact of Adverse Growth Shock on Advanced Economy Debt Ratios
- Annex 1.2. Systemic Contingent Claims Analysis of Banking and Sovereign Risk
- Annex 1.3. Analyzing Portfolio Inflows to Emerging Markets and Other Advanced Markets
- Annex 1.4. Asia’s Local Currency Corporate Bond Market—A New Spare Tire
- Annex 1.5. Where Now for Fannie and Freddie? A Review of the Options
- References
Chapter II — Systemic Liquidity Risk: Improving the Resilience of Institutions and Markets
- Available items: Full Text | Video | Boxes | Figures | Press Points
- Sections:
- Summary
- Review of the Systemic Liquidity Shock through Various Short-Term Funding Markets
- Funding Markets as Propagation Channels of Systemic Liquidity Risk
- Policies to Strengthen the Resilience of Funding Markets
- Policies to Strengthen Prudential Liquidity Regulations for Institutions
- Outstanding Policy Issues in Addressing Systemic Liquidity Risk
- Conclusions and Policy Considerations
Chapter III — The Uses and Abuses of Sovereign Credit Ratings
- Sections:
- Basic Rating Definitions and Principles
- The Evolving Roles and Regulation of Credit Ratings and Credit Rating Agencies
- Fundamental Sovereign Credit Risk Analysis
- The Accuracy and Informational Value of Sovereign Ratings
- Conclusions and Policy Implications
- Annex 3.1. Credit Rating Agencies around the World
Key findings, risks, and policy priorities (as presented)
- Short-term: "Short-Term Uncertainty Has Fallen, but Uncertainty Remains High in the Medium Term"
- Sovereign risk: emphasized as a key channel of financial distress and source of spillovers to banking systems.
- Policy priorities and considerations span:
- Managing sovereign–bank spillovers,
- Strengthening funding-market resilience and prudential liquidity regulations,
- Addressing credit rating agency roles, accuracy, and regulation.
- Specific thematic boxes and analysis touching on risks and policy:
- Japan: Risk of Sovereign Interest Rate Shock
- Risk Transmission between Sovereigns and Banks in Europe
- Risks of a Double Dip in the U.S. Real Estate Markets
- China’s Banking System: Managing Challenges after Credit Expansion
- Brazil's Tax on Capital Inflows, 2009–10
- Macroeconomic Costs of Regulatory Measures
- Key Findings of the U.S. Financial Sector Assessment Program
- Calibrating a Sovereign Risk-Adjusted Contingent Claims Analysis Balance Sheet
- Role of Money Markets
- Disruptions to Cross-Border Funding and Foreign Exchange Swaps
- The Repo Markets: A Primer
- What Went Wrong in Financial Firms' Liquidity Risk Management Practices?
- Repo Infrastructure: Trading, Clearing, and Settlement
Data, figures, and tables (selection of report contents)
- Figures and charts include (selected):
- Global Financial Stability Map
- Global Financial Stability Map: Assessment of Risks and Conditions
- Markets Heat Map
- Spillovers from the Sovereign to the Banks and Banks to Sovereigns
- Ten-Year Sovereign Swap Spreads
- Impact of a –1 Percent Growth Shock from Wiorld Economic Outlook Baseline, 2010–15
- Sovereign Gross Funding Requirements
- Custodial Bond Flows, 2007–June 2010
- Developments in Sovereign Credit Default Swap Spreads
- Bank Writedowns or Loss Provisions by Region
- Capital Raised by Banks and Tier 1 Ratios
- Banking Sector Credit Default Swap Spreads
- U.S. Dollar Th ree-Month Forward–Overnight Index Swap Spreads and Basis Swaps
- Bank Bond Maturity Profile
- Bank Debt Maturing as a Percentage of Total Outstanding
- Euro Area: Bank Cumulative Net Issuance
- Reliance on Wholesale Funding
- European Central Bank Lending to Euro Area Monetary Financial Institutions
- Mature Market Credit Default Swap Spreads
- Lending Conditions; Bank Lending to Private Sector
- Bank for International Settlements Cross-Border Bank Flows by Region
- Cumulative Bank of New York Mellon iFlowSM Infl ows to Advanced and Emerging Economies
- Outstanding Local Currency Corporate Bonds; Local Currency Government and Corporate Bond Issuance
- Tables and statistical indicators include (selected):
- Sovereign Market and Vulnerability Indicators
- Low-Growth Shock: Impact Analysis and Ranking
- Typical Haircut on Term Securities Financing Transactions
- Long-Term Senior Debt Rating Symbols
- Rating Agency Statements on What Their Ratings Are Designed to Measure
- Key Factors in Sovereign Credit Rating Assessments
- Sovereign Rating “Failures” during 1997–98 Asian Crisis
- Sovereign Rating “Failures” during the 2008—10 Crisis
- Ratings of AAA-Rated U.S. Mortgage-Related Securities
- Sovereign Rating and Outlook Changes
- Moody’s Sovereign Rating and Outlook Changes by Selected Regions, May 2007–June 2010
- Rating Drivers, May 2007–June 2010
- Average Credit Default Swap Spread and Ratings for Countries Rated by Moody’s, 2005–10
- Impact of Change in Sovereign Ratings and Credit Warnings on Credit Default Swap Spread
- Ratings One Year Prior to Sovereign Default, 1975–2009
- Sovereign Rating Performance by Standard & Poor’s
- Average Proportion of S&P Sovereign Ratings Unchanged Over One Year
- Average Proportion of S&P Sovereign Ratings Downgraded More Than Two Notches Over One Year
Statistical Appendix (selected contents)
- Key Financial Centers: Figures | Tables
- Emerging Markets: Figures | Tables
- Financial Soundness Indicators: Tables
- Statistical Appendix tables include numbered series (examples):
- 1. Major Net Exporters and Importers of Capital in 2009
- 2. Exchange Rates: Selected Major Industrial Countries
- 3. United States: Yields on Corporate and Treasury Bonds
- ...
- 14. United States: Asset-Backed Securities
- Global Capital Flows: Inflows and Outflows
- Emerging Market External Financing: Total Bonds, Equities, and Loans
- Financial Soundness Indicators including:
- 22. Bank Regulatory Capital to Risk-Weighted Assets
- 23. Bank Capital to Assets
- 24. Bank Nonperforming Loans to Total Loans
- 25. Bank Provisions to Nonperforming Loans
- 26. Bank Return on Assets
- 27. Bank Return on Equity
Symbols and conventions used in the 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.
- Definitions:
- "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.
- Note: Minor discrepancies between constituent figures and totals are due to rounding.
- Reiteration of terminology note: 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.
IMF Global Financial Stability Report (GFSR) -- Sovereigns, Funding, and Systemic Liquidity; October 2010 -- Contents
Content in this bundle
- Figure 1.1. Global Financial Stability Map
- Figure 1.10. Exports and Fiscal Balance
- Figure 1.11. Development in Sovereign Credit Default Swap Spreads
- figure1_12
- Figure 1.13. Capital Raised by Banks and Tier 1 Ratios
- Figure 1.14. Banking Sector Credit Default Swap Spreads
- Figure 1.18. Euro Area: Bank Cumulative Net Issuance
- Figure 1.19. Reliance on Wholesale Funding
- Figure 1.2. Global Financial Stability Map: Assessment of Risks and Conditions
- Figure 1.20. European Central Bank Lending to Euro Area Monetary Financial Institutions
- Figure 1.22. Bank Lending
- Figure1 23
- Figure 1.24. BIS Cumulative Cross-Border Bank Flows by Country
- Figure 1.25. Cross-Border Bank Flows and Local Credit
- Figure 1.26. Emerging and Advanced Market Returns
- figure1_29
- Figure 1.3. Markets Heatmap
- Figure 1.30. Equity and Debt Portfolio Inflows
- Figure 1.31. Nominal Effective Exchange Rate Performance
- Figure 1.32. Change in Official Reserves
- Figure 1.33. Sensitivity of Money Supply to Central Bank Foreign Assets
- Figure 1.34. Public Debt, Advanced Countries: Impact of Adverse Growth Shock
- Figure 1.4. Short-Term Uncertaintly Has Fallen, but Remains High in the Medium-Term
- Figure 1.41. Outstanding Local Currency Corporate Bonds
- Figure 1.42. Local Currency Governmetn and Corporate Bond Issuance
- Figure 1.43. Spread Between Prime Rate and Corporate Bond Yield Index
- Content unit: dataset overview
- Figure 1.7. Impact of a Negative 1 Percent Growth Shcok from WEO Baseline, 2010-2015
- Figure 1.8. Sovereign Gross Funding Requirements
- table1_1 dataset overview
- Table 1.2. Low-Growth Shock: Impact Analysis and Rating
- Figure 2.1. U.S. Private-Label Securitization Issuance by Type
- figure2_10 — Commercial Bank Funding Structure
- Figure 2.11. United States: Funding Structure of Selected Largest Commercial and Investment Banks
- Figure 2.12. Bank Deposits versus Money Market Mutual Funds
- Figure 2.2. United States: Outstanding Amount of Commercial Paper
- Figure 2.3. Bank Bond Issuance
- Figure 2.4. Aggregate Bank Credit Default Swap Rate and Selected Spreads
- Figure 2.7. Share of Average Daily Turnover of Secured and Unsecured Lending
- Box 3.1. Total Number of Countries Rated by Credit Rating Agencies
- boxfigure3_6
- Figure 3.1. Ratings of AAA-Rated U.s. Mortgage-Related Securities
- Figure 3.2. Sovereign Rating and Outlook Changes
- Figure 3.3. Moody's Sovereign Rating and Outlook Changes by Selected Regions, May 2007-June 2010
- Figure 3.4. Rating Drivers, May 2007-June 2010
- Figure 3.6 Impact of Change in Sovereign Ratings and Credit Warnings on Credit Default Swap Spread
- Figure 3.7. Ratings One Year Prior to Sovereign Default, 1975-2009
- Figure 1. Major Net Exporters and Importers of Capital in 2009
- Figure 10. Flows into U.S.-Based Equity Funds
- Figure 11. United States: Corporate Bond Market
- Figure 12. Europe: Corporate Bond Market
- Figure 13. United States: Commercial Paper Market
- Figure 14. United States: Asset-Backed Securities
- Figure 15. Emerging Market Volatility Measures
- Figure 16. Emerging Market Debt Cross-Correlation Measures
- Figure 2. Exchange Rates: Selected Major Industrial Countries
- Figure 3. United States: Yields on Corporate and Treasury Bonds
- Dataset overview
- Figure 5. Nonfinancial Corporate Credit Spreads
- Figure 6. Equity Markets: Price Indices
- Figure 7. Implied and Historical Volatility in Equity Markets
- Figure 8. Historical Volatility of Government Bond Yields and Bond Returns for Selected Countries
- Figure 9. Twelve-Month Forward Price/Earnings Ratios
- Table 1. Global Financial Flows: Inflows and Outflows
- Table 10. MSCI Equity Market Indices
- Table 12. Emerging Market Bond Index: EMBI Global Total Returns Index
- Table 13. Emerging Market Bond Index: EMBI Global Yield Spreads
- Table 14. Emerging Market External Issuance: Bonds, Equities, and Loans
- Table 15. Emerging Market External Issuance: Bonds
- Table 16. Emerging Market External Issuance: Equities
- Table 17. Emerging Market External Issuance: Loans
- Table 18. Equity Valuation Measures: Dividend-Yield Ratios
- Table 19. Equity Valuation Measures: Price-to-Book Ratios
- Sa Table2
- Table 20. Equity Valuation Measures: Price/Earnings Ratios
- Table 21. Emerging Markets: Mutual Fund Flows
- Table 22. Bank Regulatory Capital to Risk-Weighted Assets
- Table 23. Bank Capital to Assets
- Table 24. Bank Nonperforming Loans to Total Loans
- Table 25. Bank Provisions to Nonperforming Loans
- Table 26. Bank Return on Assets
- Table 27. Bank Return on Equity
- Table 3. Selected Indicators on the Size of the Capital Markets, 2009
- Sa Table4
- Sa Table5
- Sa Table6
- Table 7. United States: Sectoral Balance Sheets
- Table 8. Japan: Sectoral Balance Sheets1
- Table 9. Europe: Sectoral Balance Sheets
- موجز للصحافة للتقرير الاستقرار المالي العالمي
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- Pressfpdf
- Rapport sur la stabilité financière dans le monde
- 国際金融安定性報告書
- 国際金融安定報告書
- figure 2_10
- figure 2_11
- figure 2_12
- figure 2_1
- figure 2_2
- figure 2_3
- figure 2_4
- figure 2_7
- box figure 3_1
- Boxfigure36pdf
- figure 3_1
- figure 3_2
- figure 3_3
- figure 3_4
- figure 3_6
- figure 3_7
- Global Financial Stability Report
- chapter 1 econoMIc uncertaInty, sovereIgn rIsk, and FInancIal FragIlItIes
- chapter 2 systeMIc lIquIdIty rIsk: IMprovIng the resIlIence oF FInancIal InstItutIons and Markets
- CHApTER 3 tHe uses and aBuses oF sovereIgn credIt ratIngs
- Contentspdf
- Global Financial Stability Report
- Global Financial Stability Report
- Press Points for Chapter 1: Economic Uncertainty, Sovereign Risk, and Financial Fragilities
- _press2pdf
- Press Points for Chapter Three: The Uses and Abuses of Sovereign Credit Ratings
- GFSR October 2010 -- Press Points
- Statappxpdf
- systemic liquidity risk: improving the resilience of financial institutions and markets2
- The Uses and Abuses of Sovereign Credit Ratings3
- Global Financial Stability Report
- GLOBAL FINANCIAL STABILitY REPORT sovereIgns, FundIng, and systeMIc lIquIdIty
- Доклад по вопросам глобальной финансовой стабильности
- Доклад по вопросам глобальной финансовой стабильности
- Pressspdf
- Informe sobre la Estabilidad Financiera Mundial - Octubre de 2010 -- Resumen General
References
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- Spanish version
- http://www.imf.org/external/mmedia/view.aspx?vid=619542444001
- http://www.imf.org/external/mmedia/view.aspx?vid=619701770001
- - Webcast of GFSR press briefing, September 29, 2010
- - Transcript
- Ordering Information
- Disclaimer
- Video
- https://www.imf.org/en/home