Financial Soundness Indicators: Recent
Developments and Plans
OECD Working Party on Financial Statistics
Paris, October 24-27, 2011
Manik Shrestha
IMF Statistics Department
The views expressed herein are those of the author and should not be attributed to the IMF, its Executive Board, or its management.
Background on FSI Work
• IMF started to work on developing Financial
Soundness Indicators (FSIs) together with
international community in early 2000
– A draft compilation guide was prepared in 2004
• Final version published in 2006
• Amendments to guide were introduced in 2007 to
enhance international comparability, particularly for
consolidation rules and the use of Basel principles and
IFRS for compiling underlying data series
– IMF launched online database of FSIs in July 2009
(http://fsi.imf.org/)
• Includes data underlying FSIs, where available
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Scope of FSIs
• A list of 40 FSIs (approved by the IMF’s Executive Board)
–
–
–
–
–
–
25 for deposit-takers (12 core and 13 encouraged FSIs)
2 for other financial corporations (encouraged)
5 for non-financial corporations (encouraged)
2 for households (encouraged)
2 for market liquidity (encouraged)
4 for real estate markets (encouraged)
 See Annex for a complete list and reporting status
3
FSIs: Recent Developments
•
FSIs for inclusion in the SDDS
– Approval in March 2010 by the IMF Board to include 7 FSIs as a new data category
in SDDS on an encouraged basis
– Technical work is underway to make these FSIs available through the SDDS
– One FSI not in the list of original 40
•
FSIs in the IMF’s Global Financial Stability Report (GFSR) to be integrated into
the FSI project
– GFSR FSIs will become by-product of overall IMF FSI Project
– Collection and preparation of FSIs for inclusion in GFSR starting with the April 2011
issue
• Work focused on non-FSI reporters included in GFSR
• Work with current FSI reporters to obtain time series data
– One FSI not in the list of original 40
•
SDDS Plus has a proposal to
– Include almost all FSIs encouraged in the SDDS as required in the SDDS Plus
– Add two real estate prices to the list of required data in the SDDS Plus
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FSI Reference Group (FSIRG) Meeting
• FSIRG meeting is scheduled to take place during November 15-16, 2011
at IMF Headquarters
• An Issues Paper was circulated in July 2011 that identifies issues for
discussion
– FSIs for deposit takers
•
Impact of the BASEL III Accord on the scope and definition of FSIs
– FSIs for other financial corporations
•
Scope of FSIs, sectoral breakdown of OFCs, large non-bank financial institutions, etc.
– FSIs for non-financial corporations, households, and real estate markets
•
•
•
Scope or refinement of FSIs for non-financial corporations
Scope or refinement of FSIs for households
Expanding the reporting of real estate prices
– Improving the frequency and timeliness of FSIs
•
•
Higher frequency, at least quarterly; timeliness to be reduced to 8-16 weeks?
Underlying profit and loss accounts and balance sheets
– Improving the cross-country comparability
•
Consolidation basis and other issues for better standardization
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FSIs Concerning Households
• I33 Household debt to GDP (encouraged)
– The data for household debt comprise debt incurred by resident
households of the economy. This FSI measures the overall level of
household indebtedness (commonly related to consumer loans and
mortgages) as a share of GDP.
• I34 Household debt service and principal payments to
income (encouraged)
– This FSI is calculated by using household debt service payments as
the numerator and gross disposable income over the same period as
the denominator. It measures the capacity of households to cover
their debt payments (interest and principal).
 http://fsi.imf.org/ has data entries (quarterly and/or annual) from (at least) 2010 Q1 for
only 22 and 8 respectively for the above indicators of the 65 countries on the database.
Many not up to date.
• I37 Residential real estate price index (encouraged)
– See next slide
6
Residential Property Prices Indexes
•
A difficult area:
— Only a sub-set of properties are transacted each period. Not comparing prices of like with like.
— Data sources for weights and prices differ between countries depending on legal registration and
financing arrangements. Sources include land registry, lenders, realtors.
•
Progress on methods: Handbook on Residential Property Prices Indexes, version 4, May 2011 on:
http://epp.eurostat.ec.europa.eu/portal/page/portal/hicp/methodology/owner_occupied_housing_hpi/r
ppi_handbook
— Essentially complete: aim is to facilitate the setting-up/improvement of residential property prices.
— Focus is on methods of quality-mix adjustment; also includes a conceptual issues, uses, methods
used, and empirical examples.
•
Progress on implementation: Eurostat initiative to develop harmonized RPPIs. Experimental results
available for owner-occupied housing (OOH) in the framework of the Harmonized Indexes of Consumer
Prices (HICP) for countries in the euro area and at the European Union level.
•
Progress on dissemination: BIS database http://www.bis.org/statistics/pp.htm
— Currently includes data from 43 countries at different frequencies. Data differ significantly from
country to country in terms of type of property, area covered, vintage, priced unit, and compilation
methods.
— Country RPPIs included are in some cases a selection of those available.
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Other Data Initiatives Related to Households
• Income, consumption, and wealth of households
– The Inter Agency Group (IAG) on Economic and Financial Statistics (BIS,
Eurostat, ECB, IMF, OECD, UN, and World Bank) is promoting the production
and dissemination of sectoral macroeconomic accounts, including those for
the household and nonprofit institutions sector.
• Financial interconnectedness of household with the other
economic sectors (including the rest of the world)
– The IAG is promoting the development of from-whom-to-whom breakdowns
of the sectoral macroeconomic accounts for financial positions and flows
within the context of the sectoral accounts work.
• Distributional aspects and micro-macro link
– OECD and Eurostat task forces will develop the methodology for matching
micro data with national accounts. Once methodologies are in place, periodic
monitoring of the distribution of household economic resources (income,
consumption, and wealth) within the System of National Accounts could be
envisaged. This might extend to household debt, given its importance to the
identification of vulnerabilities developing in the domestic economy.
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Status of FSI Reporting to the IMF
Reporting population as of July 2011:
Descriptions
(in percent of total reporting population)
Monthly Quarterly
Sem iannual
Annual
63
Only
once
TOTAL
Core FSIs for Deposit Takers
14%
14%
14%
14%
5%
14%
14%
14%
14%
14%
13%
10%
54%
54%
52%
51%
51%
51%
51%
51%
51%
52%
52%
40%
10%
10%
10%
10%
10%
10%
10%
10%
10%
8%
8%
6%
21%
21%
21%
21%
16%
24%
24%
22%
22%
17%
17%
14%
2%
2%
2%
2%
2%
2%
2%
2%
2%
2%
2%
2%
100%
100%
98%
97%
83%
100%
100%
98%
98%
94%
92%
71%
I25
14%
5%
Geographical distribution of loans to total loans
2%
Gross asset position in financial derivatives to capital
6%
Gross liability position in financial derivatives to capital
6%
Trading income to total income
11%
Personnel expenses to noninterest expenses
13%
Spread betw een reference lending and deposit rates (basis points)
6%
Spread betw een highest and low est interbank rates (basis points)
3%
Customer deposits to total (noninterbank) loans
14%
Foreign-currency-denominated loans to total loans
13%
Foreign-currency-denominated liabilities to total liabilities
13%
Net open position in equities to capital
5%
51%
29%
35%
33%
33%
41%
43%
32%
16%
43%
38%
35%
17%
6%
3%
5%
5%
5%
6%
6%
6%
2%
6%
5%
5%
2%
13%
10%
8%
10%
10%
13%
14%
3%
2%
10%
11%
13%
8%
2%
2%
0%
2%
2%
2%
2%
2%
2%
2%
2%
2%
2%
86%
48%
49%
56%
56%
73%
78%
49%
24%
75%
68%
67%
33%
I26
Assets to total financial system assets
I27
Assets to Gross Domestic Product (GDP)
2%
2%
21%
19%
3%
3%
8%
8%
0%
0%
33%
32%
I28
Total debt to equity
I29
Return on equity
I30
Earnings to interest and principal expenses
I31
Net foreign exchange exposure to equity
I32
Number of bankruptcy proceedings initiated
0%
0%
0%
0%
0%
13%
10%
3%
0%
11%
6%
5%
5%
3%
2%
5%
6%
3%
0%
6%
0%
0%
0%
0%
0%
24%
21%
11%
3%
19%
I33
Household debt to GDP
I34
Household debt service and principal payments to income
0%
0%
21%
10%
5%
2%
6%
5%
0%
0%
32%
16%
I35
Average bid-ask spread in the securities market
I36
Average daily turnover ratio in the securities market
0%
2%
14%
14%
0%
0%
2%
3%
0%
0%
16%
19%
I37
Residential real estate prices (index)
I38
Commercial real estate prices (index)
I39
Residential real estate loans to total loans
I40
Commercial real estate loans to total loans
0%
0%
3%
2%
16%
6%
33%
24%
3%
2%
6%
3%
10%
3%
6%
3%
0%
0%
0%
0%
29%
11%
49%
32%
I41
Regulatory Tier 1 capital to total assets
I42
Provisions to non-performing loans
I1
Regulatory capital to risk-w eighted assets
I2
Regulatory Tier 1 capital to risk-w eighted assets
I3
Nonperforming loans net of provisions to capital
I4
Nonperforming loans to total gross loans
I5
Sectoral distribution of loans to total loans
I6
Return on assets
I7
Return on equity
I8
Interest margin to gross income
I9
Noninterest expenses to gross income
I10
Liquid assets to total assets
I11
Liquid assets to short-term liabilities
I12
Net open position in foreign exchange to capital
I13
Capital to assets
I14
Large exposures to capital
SDDS
GFSR
encouraged
tables
(Seven FSIs)
(Six FSIs)
X
X
X
X
X
X
X
X
X
X
Encouraged FSIs for Deposit takers
I15
I16
I17
I18
I19
I20
I21
I22
I23
I24
X
Other
Encouraged
Financial
FSIs
Corporations
for Other Financial Corporations
Nonfinancial
Encouraged
Corporations
FSIs for Nonfinancial Corporations
Households
Encouraged FSIs for Households
MarketEncouraged
liquidity
FSIs for Market Liquidity
Real estate
m arkets
Encouraged
FSIs for Real Estate Markets
X
X
Source: IMF's Statistics Department
GFSR – IMF’s Global Financial Stability Report
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