2013年-IMF国际货币组织全球_Modifications_to_the_Current_List_of_Financial_Soundness_Indicators_23页_471kb

Summary of Modifications to the Current List of Financial Soundness Indicators (FSIs)

Core Content

The IMF's Statistics Department (STA) has revised the list of Financial Soundness Indicators (FSIs) to align with the evolving financial landscape, the global financial crisis, and the Basel III regulatory framework. The purpose of the revision is to improve the coverage, comparability, and usefulness of FSIs in monitoring systemic risks and financial stability.

Main Modifications

New Indicators Added

• 19 new FSIs have been added to the list, while five have been removed due to limited reporting and comparability.

Sector-Specific Changes

A. Core FSIs for Deposit Takers (DTs)

• The core FSI list for DTs has been updated to align with Basel III definitions.
• New core indicators include:
  • Common Equity Tier 1 (CET1) to Risk-Weighted Assets (RWAs)
  • Liquidity Coverage Ratio (LCR)
  • Net Stable Funding Ratio (NSFR)
• The provision to Non-Performing Loans (NPLs) has been added to the core set as it is included in the GFSR.
• The capital to assets indicator has been revised to "Regulatory Tier 1 capital to assets" and upgraded to core status due to its inclusion in SDDS and SDDS Plus.

B. Core FSI for Real Estate Markets

• Indicator I37, "Residential Real Estate Prices (percentage change in the last 12 months)," has been moved from the additional set to the core set due to the increasing importance of real estate markets for financial stability.
• Countries are requested to provide metadata on national practices for cross-country comparability.

C. Additional FSIs for DTs

• A new additional FSI, "Credit growth to the private sector," has been added. It helps in identifying emerging systemic risks by monitoring excessive credit growth as a potential vulnerability.

D. Additional FSIs for Other Financial Corporations (OFCs)

• The OFC sector has been split into four subsectors:
  • Money Market Funds (MMFs)
  • Insurance Corporations (ICs)
  • Pension Funds (PFs)
  • Other OFCs
• New indicators for OFCs include:
  • OFC assets as a percentage of total financial system assets
  • OFC assets as a percentage of GDP
• For MMFs:
  • Sectoral distribution (assets distributed by debtor sector)
  • Maturity distribution (assets by time buckets)
• For ICs:
  • Shareholders' equity to invested assets
  • Total premium income minus premium ceded by primary insurers to total premium income
  • Return on Equity (ROE) and Return on Assets (ROA)
• For PFs:
  • Liquid assets to estimated pension payments in the next year
  • Return on Assets (ROA)

E. Additional FSIs for Non-Financial Corporations (NFCs)

• New indicators include:
  • ROA
  • Earnings to interest expenses
  • Liquid assets to total assets
  • NFC debt-to-GDP ratio
• The total debt to equity ratio has been expanded to include:
  • External debt to equity
  • Foreign currency debt to equity
• The indicators "Net foreign exchange exposure to equity" and "Number of bankruptcy proceedings initiated" have been dropped due to limited reporting and comparability.

F. Market Liquidity

• Indicators I35 (Average bid-ask spread in the securities market) and I36 (Average daily turnover ratio in the securities market) have been removed as they are readily available from commercial sources and not well aligned with current reporting practices.

G. Additional FSIs for Households (HHs)

• A new indicator, "HHs debt to gross disposable income," has been added to monitor the financial health of households, which is important for macroprudential analysis and systemic risk monitoring.

Other FSI-Related Issues

A. Consolidation Basis

• The consolidation basis for DTs will be streamlined to three options:
  • Cross-border and cross-sector for all domestically incorporated (CBCSDI)
  • Domestically controlled cross-border and cross-sector
  • Domestic consolidation (DC)
• For OFC subsectors, HHs, and NFCs, consolidation is more straightforward, with DC being the primary method for HHs and PFs, and either DC or cross-border for NFCs.

B. Frequency of Reporting

• Quarterly reporting is encouraged for all FSIs, especially for DTs.
• For NFCs, HHs, and possibly OFCs, quarterly reporting is also encouraged, though semi-annual or annual reporting may be necessary due to data availability.
• A time lag of one to two quarters is expected for semi-annual and annual reporting.

C. Labeling Change

• The term "Encouraged FSIs" has been replaced with "Additional FSIs" to avoid confusion with SDDS terminology.
• The revised list includes two sets:
  • Core FSIs
  • Additional FSIs

Forward-Looking Measures

Concentration and Distribution Measures

• STA is planning a voluntary pilot exercise with FSI-reporting countries to develop concentration and distribution measures.
• These measures aim to improve the identification and monitoring of systemic risks by providing a broader view of the financial sector's structure and risk exposure.

Conclusion

The revisions to the FSI list reflect the IMF's ongoing commitment to enhancing the effectiveness of financial surveillance and monitoring. The new indicators aim to capture the evolving financial landscape, including the role of non-bank financial institutions, and align with international regulatory standards. STA continues to work closely with FSI-reporting countries and international bodies to ensure the consistency, usefulness, and timeliness of the FSI data.