2015年-FSB全球金融稳定委员会_Work_on_Foreign_Currency_Exposures_27页_1mb

报告摘要

Summary of Work on Foreign Currency Exposures

Core Content

The document outlines the progress made by the IMF, FSB, and BIS in addressing data gaps related to foreign currency exposures as part of the G20 Data Gaps Initiative (DGI). The objective is to improve the assessment of cross-border risks through enhanced data collection and analysis. The work focuses on the collection, harmonization, and dissemination of data on foreign currency positions, particularly for non-bank corporations, government debt, and financial sectors.

Main Objectives

To improve the analysis of cross-border risks by addressing data gaps on foreign currency exposures.
To enhance the collection and reporting of data through existing initiatives, including the IMF's Balance of Payments and International Investment Position Manual (BPM6), and the BIS's International Banking Statistics (IBS) and International Debt Statistics (IDS).
To support policy-making by providing comprehensive and comparable data on foreign currency positions and their implications for economic stability.

Key Institutions Involved

IMF: Led the preparation of reports and data collection forms, including Table A9-I in BPM6.
FSB: Conducted peer reviews on OTC derivatives reporting and developed global guidance on data harmonization.
BIS: Provided datasets (IBS and IDS) for analyzing cross-border and FX risks, and will conduct the eleventh Triennial Central Bank Survey in 2016.

Main Views and Recommendations

Policy Interest: There is growing policy interest in understanding foreign currency exposures, especially in the context of balance sheet analysis and assessing risks from exchange rate and interest rate shocks.
Data Collection: The IMF is emphasizing the collection of foreign currency exposure data through Table A9-I in BPM6, which provides a breakdown of debt claims and liabilities by currency and maturity.
Outreach Activities: The IMF has engaged in technical assistance and training to promote data collection on foreign currency exposures, particularly among non-G20 economies.
Harmonization of Data: The FSB is working on harmonizing data elements, including those related to FX exposures, for better supervisory use and cross-border risk analysis.
Phase II of DGI: Three key recommendations of DGI-2 specifically reference foreign currency exposures:
- International Investment Position (IIP): Encourages reporting of currency composition data consistent with BPM6.
- Cross-border Exposures of Non-bank Corporations: Calls for improved consistency and dissemination of data on foreign currency mismatches.
- Securities Statistics: Proposes that G20 economies provide debt securities issuance data to the BIS, including currency breakdowns.

Key Information

Table A9-I in BPM6 is the primary data collection tool for monitoring foreign currency exposures. It provides a detailed breakdown of claims and liabilities by domestic and foreign currencies, including short-term original maturity.
Japan was the first economy to report Table A9-I in mid-2015.
BIS datasets (IBS and IDS) offer granular information on banks' foreign currency positions, including the nationality of reporting banks and the residency of counterparties.
CPIS collects data on the foreign currency composition of portfolio investment assets, with 13 G20 economies reporting as of 2015.
QEDS includes data on the currency composition of external debt, with 9 G20 economies reporting.
RDT provides a breakdown of foreign currency reserves into SDR basket and non-SDR basket currencies, with 18 G20 economies reporting.
SRFs (Standardized Report Forms) include domestic and foreign currency breakdowns for various financial sectors, with varying levels of participation among G20 economies.
Government Finance Statistics: The new GFSM 2014 methodology includes domestic/foreign currency breakdowns for general government debt liabilities, with Brazil being the first G20 economy to report using these forms.
Outreach and Training: The IMF has been promoting the use of Table A9-I and SRFs through workshops, training sessions, and technical assistance missions.
Challenges: There is a need for more detailed data on hedging activities, particularly natural hedges within multinational corporations and hedges arising from future foreign currency receipts or payments.
Future Steps: The IMF and other institutions will continue to work with G20 economies to close data gaps. If DGI-2 recommendations are endorsed, a detailed action plan will be developed in early 2016, including potential timelines for data delivery.

Data Collection Forms and Reporting

Data Collection Form	Economies Reporting Foreign Currency Breakdown
IIP - Table A9-I	Japan (1)
CPIS - Table 2	Brazil, France, Germany, India, Indonesia, Italy, Japan, Korea, Mexico, Russia, South Africa, Turkey, and U.S. (13)
QEDS - Table 2	Argentina, Germany, India, Korea, Mexico, Russia, South Africa, Turkey, and U.S. (9)
RDT	Argentina, Australia, Brazil, Canada, France, Germany, India, Indonesia, Italy, Japan, Korea, Mexico, Russia, Saudi Arabia, South Africa, Turkey, U.K., and U.S. (18)
SRF - 1SR (Central Bank)	Australia, Brazil, Canada, France, Germany, Indonesia, Italy, Japan, Korea, Mexico, South Africa, Turkey, and U.S. (13)
SRF - 2SR (Other Depository Corporations)	Australia, Brazil, France, Germany, Indonesia, Italy, Japan, Korea, Mexico, South Africa, Turkey, and U.S. (12)
SRF - 4SR (Other Financial Corporations)	Australia, Brazil, Indonesia, Japan, Mexico, South Africa, Turkey, and U.S. (8)
Public Sector Debt Statistics (PSDS)	Australia, Brazil, France, Indonesia, Italy, Mexico, Russia, South Africa, Turkey, U.K., and U.S. (11)
Updated Government Finance Statistics (GFSM 2014) - Table 6A	Brazil (1)

Conclusion

The work on foreign currency exposures is a critical part of the G20's efforts to improve cross-border risk assessments. While progress has been made in data collection and reporting, further efforts are needed to address gaps, particularly in the area of hedging activities and non-bank corporate exposures. The continued collaboration among the IMF, FSB, and BIS, along with outreach and training, will be essential to achieving these goals.

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