2014年-IMF国际货币组织全球_Review_of_the_Adequacy_of_the_Fund39s_Precautionary_Balances_49页_1mb

IMF Policy Paper: Review of the Adequacy of the Fund's Precautionary Balances

Core Content

This IMF policy paper reviews the adequacy of the Fund's precautionary balances using the framework approved by the Board in 2010. The review is conducted on a two-year cycle and aims to inform upcoming Board decisions regarding Fund charges, access, surcharges, and the FCL/PLL/RFI.

The paper assesses the current level of precautionary balances in light of developments since the last review in 2012. It concludes that the indicative medium-term target for precautionary balances should remain unchanged at SDR 20 billion. The forward-looking credit measure has declined moderately, and market indicators suggest that correlated risks have also declined. However, the Fund still faces large concentrated exposures that are expected to increase, and these are projected to substantially exceed the target for an extended period.

The paper highlights that the Fund's credit capacity has increased due to bilateral borrowing agreements, and undrawn commitments remain large. The average maturity of Fund credit has also lengthened, which affects liquidity and risk management. The target for precautionary balances is based on a range linked to total credit outstanding, with a reserve coverage ratio of 20-30 percent, and a minimum floor of SDR 10 billion.

Main Views

• Precautionary Balances Role: Precautionary balances are a key element of the Fund's strategy for managing financial risks and ensuring the strength of its balance sheet. They act as a buffer to absorb potential losses and protect the Fund's income and reserves.
• Risk Management Framework: The framework for assessing reserve adequacy includes:
  • A reserve coverage ratio of 20-30 percent of a forward-looking credit measure.
  • A three-year average of credit outstanding covering the past twelve months and projections for the next two years.
  • Commitments under precautionary arrangements, which are excluded from the credit measure but considered in setting the target.
  • A minimum floor of SDR 10 billion to protect against unexpected increases in credit risks.
• Credit Risks: Credit risks dominate the Fund's financial risks, as the Fund's lending can be highly concentrated and subject to correlated risks. The Fund has a de facto preferred creditor status and a burden sharing mechanism to mitigate these risks, though its capacity is limited due to low SDR interest rates and reliance on borrowed resources.
• Liquidity and Income Risks: Liquidity risk is managed through quota reviews and temporary borrowing. Income risk is mitigated by the Fund's new income model and the accumulation of precautionary balances. The Fund's income is also affected by the accounting treatment under IFRS and the impact of IAS 19 changes.
• Market Risks: Market risks have increased somewhat due to the expanded investment mandate, but they remain modest. The Fund's investment portfolio is managed to limit exposure to market risks, and the framework for assessing precautionary balances will be reviewed again when necessary.

Key Information

• The indicated medium-term target for precautionary balances is SDR 20 billion, which is consistent with the mid-point of the updated indicative range.
• The forward-looking credit measure has declined, and correlated risks have also decreased, but concentrated exposures are expected to increase.
• The minimum floor for precautionary balances is set at SDR 10 billion to protect against unexpected increases in credit risks.
• The burden sharing mechanism is used to protect the Fund's income from overdue charges, but its capacity is limited due to low interest rates and reliance on borrowed resources.
• IAS 19 changes will require the immediate recognition of actuarial gains and losses, which could impact the Fund's income and reserves.
• The Fund's balance sheet is underpinned by precautionary balances, which are essential for maintaining the Fund's ability to provide financial support to members.
• The next review of precautionary balances is expected to occur in 2016, and the target for SDR 20 billion is projected to be reached in FY 2017-FY 2018 under the illustrative assumptions provided in the paper.

Summary of Findings

• Current Target: SDR 20 billion remains the indicative medium-term target for precautionary balances.
• Credit Measure: A forward-looking credit measure, which includes a three-year average, is used to determine the indicative range for precautionary balances.
• Concentrated Exposures: These are expected to increase and may exceed the target for an extended period.
• Commitments: Undrawn commitments remain large, and the Fund's credit capacity has increased.
• Liquidity and Income Management: Quota reviews and the new income model are key in managing liquidity and income risks.
• Accounting Standards: IFRS and IAS 19 changes will impact the Fund's financial reporting and reserves, requiring a re-evaluation of the accounting treatment for credit outstanding.
• Board Discretion: The Board retains the flexibility to set the target based on a comprehensive risk assessment, even if it falls outside the indicative range.

Conclusion and Discussion Issues

• The paper concludes that no change to the indicative medium-term target for precautionary balances is needed at this time.
• It emphasizes the importance of judgment and the use of Board discretion in setting the target.
• The framework will be kept under review and refined as needed, based on further analysis and experience.
• The paper also raises the issue of the impact of IAS 19 changes on the Fund's reserves and income, which will be further discussed in the upcoming Fund income position paper.