Financial Soundness Indicators Compilation Guide 2019
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Financial Soundness Indicators Compilation Guide 2019

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eBook - ePub

Financial Soundness Indicators Compilation Guide 2019

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Information

Publisher
INTERNATIONAL MONETARY FUND
Year
2019
eBook ISBN
9781484396209

Financial Soundness Indicators Compilation Guide 2019

International Monetary Fund
Washington, D.C.
GUIDE
FINANCIAL SOUNDNESS INDICATORS COMPILATION GUIDE
INTERNATIONAL MONETARY FUND
GUIDE
FINANCIAL SOUNDNESS INDICATORS COMPILATION GUIDE
2019
INTERNATIONAL MONETARY FUND
© 2019 International Monetary Fund
Cataloging-in-Publication Data IMF Library
Names: International Monetary Fund, publisher.
Title: Financial soundness indicators compilation guide.
Description: [Washington, DC] : International Monetary Fund, 2019. | Revision of the 2006 FSI Guide. | Includes bibliographical references.
Identifiers: ISBN 978148436209 (paper)
Subjects: LCSH: Financial institutions—Auditing. | Economic indicators.
Classification: LCC HF5686.F46 F352 2019
ISBN: 978-1-48439-620-9 (paper)
ISBN: 978-1-51351-095-8 (PDF)
ISBN: 978-1-51351-094-1 (ePub)
Please send orders to:
International Monetary Fund, Publication Services
P.O. Box 92780, Washington, D.C. 20090, U.S.A.
Tel.: (202) 623–7430 Fax: (202) 623–7201
E-mail: [email protected]
Internet: www.elibrary.imf.org
www.bookstore.imf.org
© 2019 International Monetary Fund
Cataloging-in-Publication Data IMF Library
Names: International Monetary Fund, publisher.
Title: Financial soundness indicators compilation guide.
Description: [Washington, DC] : International Monetary Fund, 2019. | Revision of the 2006 FSI Guide. | Includes bibliographical references.
Identifiers: ISBN 978148436209 (paper)
Subjects: LCSH: Financial institutions—Auditing. | Economic indicators.
Classification: LCC HF5686.F46 F352 2019
ISBN: 978-1-48439-620-9 (paper)
ISBN: 978-1-51351-095-8 (PDF)
ISBN: 978-1-51351-094-1 (ePub)
Please send orders to:
International Monetary Fund, Publication Services
P.O. Box 92780, Washington, D.C. 20090, U.S.A.
Tel.: (202) 623–7430 Fax: (202) 623–7201
E-mail: [email protected]
Internet: www.elibrary.imf.org
www.bookstore.imf.org

Contents

  • Preface
  • Acknowledgments
  • Acronyms
  • 1. Introduction
  • Overview
  • Background
  • The Structure of the Guide
  • Foundational Blocks
  • Description of Financial Soundness Indicators
  • Compilation and Dissemination Issues
  • The Intersection of FSIs and Macroprudential Analysis
  • 2. Institutional Sectors and the Financial System
  • Introduction
  • Institutional Units
  • Residence
  • Institutional Sectors
  • Financial Sector
  • Financial Markets
  • 3. Basel Capital and Liquidity Standards for Deposit Takers
  • Introduction
  • Evolution of the Basel Capital Accord
  • Concepts and Terminology
  • Aggregation of Capital Components under Different Basel Accords
  • 4. Accounting Principles for Financial Soundness Indicators
  • Introduction
  • Flows and Positions
  • Time of Recognition of Flows and Positions
  • Valuation
  • Recording of Gains and Losses
  • Domestic and Foreign Currencies, Unit of Account, and Exchange Rate Conversion
  • Maturity
  • 5. Sectoral Financial Statements for Financial Soundness Indicators
  • Introduction
  • Financial Statements
  • Sectoral Financial Statements
  • 6. Aggregation and Consolidation of Data
  • Introduction
  • Aggregation and Consolidation
  • Ownership and Control of Corporations
  • Consolidation Basis
  • 7. Specification of Core Financial Soundness Indicators for Deposit Takers
  • Introduction
  • Core FSIs for DTs
  • 8. Specification of Additional Financial Soundness Indicators for Deposit Takers
  • Introduction
  • Additional FSIs for DTs
  • 9. Specification of Financial Soundness Indicators for Other Financial Corporations
  • Introduction
  • Consolidation Basis
  • Calculation of Financial Soundness Indicators for OFCs
  • 10. Specification of Financial Soundness Indicators for Nonfinancial Sectors
  • Introduction
  • Consolidation Basis
  • Calculation of Financial Soundness Indicators for NFCs
  • Calculation of Financial Soundness Indicators for Households
  • Real Estate Markets
  • 11. Compilation and Dissemination of Financial Soundness Indicators
  • Introduction
  • Strategic Issues
  • Managerial Issues
  • Compilation of FSIs: Practical Issues
  • Dissemination of FSIs and Related Data
  • 12. Concentration and Distribution Measures
  • Introduction
  • Background
  • Compilation of CDMs
  • Use of CDMs
  • Addressing Confdentiality Issues
  • 13. Financial Soundness Indicators and Macroprudential Analysis
  • Introduction
  • Macroprudential Policies
  • Macroprudential Analysis
  • Related Analytic Approaches
  • Challenges to Enhance FSIs for Macroprudential Analysis
  • Annexes
  • 3.1 The Basel Regulatory Frameworks
  • 3.2 Illustration of Increasing Granularity in Standardized Approaches to Credit Risk
  • 6.1 Intra-Group Consolidation
  • 6.2 Numerical Example on Intra-Group Consolidation
  • 7.1 Summary of Core Financial Soundness Indicators for Deposit Takers
  • 7.2 Numerical Example of Liquidity Coverage Ratio
  • 7.3 Numerical Example of Net Stable Funding Ratio
  • 7.4 Islamic Deposit Takers and Financial Soundness Indicators
  • 8.1 Summary of Additional FSIs for DTs
  • 8.2 Geographical Distribution of Countries
  • 8.3 Weighted Average Interest Rate for a Loan Portfolio
  • 9.1 Summary of FSIs for OFCs
  • 10.1 Summary of FSIs for Nonfinancial Sectors
  • 12.1 CDM Template
  • 13.1 FSIs in the Financial Stability Reports of Members of the Basel Committee
  • Bibliography
  • Glossary
  • Boxes
  • 5.1 Measurement Framework
  • 7.1 Interpreting Regulatory Capital Trends
  • 7.2 Calculation of Loan Concentration by Economic Activity
  • 7.3 Source of Funds
  • 7.4 Uses of Funds
  • 8.1 Regional Grouping of Countries
  • 8.2 Co-circulation of Foreign Currency
  • 9.1 The Relative Size of the OFC Sector
  • 10.1 European Central Balance Sheet Data Offices
  • 10.2 Nonfinancial Corporations Debt to Equity in the United States
  • 10.3 Nonfinancial Corporations Debt to GDP by Instrument
  • 10.4 Earning to Interest Expenses
  • 10.5 Household Debt to GDP
  • 10.6 The Housing Bubble in the United States
  • 12.1 Step-By-Step Instructions to Compute Weighted Quartiles
  • 13.1 FSIs in the Macroprudential Literature
  • Tables
  • 1.1 Financial Soundness Indicators: The Core and Additional
  • 1.2 Financial Soundness Indicators: Mapping from the 2006 Guide
  • 3.1 Basel III Capital Ratios
  • 3.2 Basel I Risk Weights for On-Balance-Sheet Assets
  • 3.3 Credit Conversion Factors for Off-Balance-Sheet Items
  • 3.4 Recommended Aggregation of Capital Components
  • 5.1 Deposit Takers
  • 5.2 Other Financial Corporations: Money Market Funds
  • 5.3 Other Financial Corporations: Insurance Corporations
  • 5.4 Other Financial Corporations: Pension Funds
  • 5.5 Nonfinancial Corporations
  • 5.6 Households
  • 7.1 Example of Measuring the Net Open Position in Foreign Exchange
  • 12.1 CDM Indicators
  • 12.2 Subset of FSIs Covered by CDMs
  • 12.3 Example of Computing the Herfindahl Index
  • 12.4 Unweighted and Weighted Medians of Tier 1 Ratios for a Hypothetical Sample of 15 Deposit Takers
  • 12.5 Calculation Steps of the Unweighted and Weighted Medians of Tier 1 Ratios
  • 12.6 Reporting Tresholds for CDMs
  • 13.1 Comparison Between Macroprudential and Microprudential Policies
  • 13.2 Macroprudential Indicators, Policy Tools and Financial Soundness Indicators
  • Annex Tables
  • 6.1 Consolidation of Income and Expense Statements
  • 6.2 Consolidation of Balance Sheets
  • 6.3 Consolidation of Memorandum Series
  • 7.1 Islamic Deposit Taker
  • Figures
  • 3.1 Basel Capital Requirements
  • 6.1 Cross-Border, Cross-Sector, Domestically Incorporated Consolidation Basis
  • 6.2 Cross-Border, Cross-Sector, Domestically Controlled Consolidation Basis
  • 6.3 Domestic Location Consolidation Basis
  • 7.1 Interpreting Regulatory Capital Trends
  • 12.1 Example of Right Skewed Distribution
  • 12.2 Leptokurtic Distribution versus Normal Distribution
  • 12.3 Weighted Quartiles for Selected French Banks’ Capital Adequacy Ratios
  • 12.4 DM Analysis for the Return on Assets
  • 13.1 Analytic Framework for Financial Stability

Preface

In the late 1990s, the International Monetary Fund (IMF) launched an ambitious data collection effort—the Financial Soundness Indicators (FSIs)—to monitor the soundness of the system-wide financial sector, from a macroprudential vantage point. The FSIs included indicators of capital adequacy, asset quality, profitability, liquidity, and market risk sensitivity. The 2006 Financial Soundness Indicators Compilation Guide (2006 Guide) provided guidance about the source supervisory statistics, consolidation options, and compilation and dissemination advice, while simultaneously aiming at cross-country comparability. The initiative succeeded in persuading policymakers about the value of FSIs for tracking financial soundness trends that could inform financial stability analysis and policies—with a corresponding growth in the number of economies compiling and reporting these indicators.
However, the global financial crisis that started in 2007–2008 revealed to the international community...

Table of contents

  1. Cover Page