Back Matter

Back Matter

Author(s):
International Monetary Fund. Monetary and Capital Markets Department
Published Date:
April 2008
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    GLOSSARY

    Asset-backed security (ABS)

    A security that is collateralized by loans, leases, receivables, or installment contracts on personal property or on real estate. Often when the securities are collateralized by mortgages, they are called mortgage-backed securities (MBSs), although in principle MBSs are a type of ABS.

    Asset allocation

    The process of allocating investments among different kinds of assets, such as stocks, bonds, real estate, and cash, to optimize the risk/reward trade-off based on an individual’s or institution’s specific objectives and risk preferences.

    Asset/liability management (ALM)

    The management of assets to ensure that liabilities are sufficiently covered by suitable assets at all times.

    Assets under management (AUM)

    Assets managed by an investment company on behalf of investors.

    Balance sheet mismatch

    A balance sheet is a financial statement showing a company’s assets, liabilities, and equity on a given date. Typically, a mismatch in a balance sheet implies that the maturities of the liabilities differ (are typically shorter) from those of the assets and/or that some liabilities are denominated in a foreign currency while the assets are not.

    Banking soundness

    The financial health of a single bank or of a country’s banking system.

    Brady bonds

    Bonds issued by emerging market countries as part of a restructuring of defaulted commercial bank loans. These bonds are named after former U.S. Treasury Secretary Nicholas Brady and were first issued in March 1990.

    Call (put) option

    A financial contract that gives the buyer the right, but not the obligation, to buy (sell) a financial instrument at a set price on or before a given date.

    Carry trade

    A leveraged transaction in which borrowed funds are used to take a position in which the expected return exceeds the cost of the borrowed funds. The “cost of carry” or “carry” is the difference between the yield on the security and the financing cost (e.g., in a “positive carry” the yield exceeds the financing cost).

    Cash securitization

    The creation of securities from a pool of preexisting assets and receivables that are placed under the legal control of investors through a special intermediary created for this purpose. This compares with a “synthetic” securitization in which the generic securities are created out of derivative instruments.

    CAT bonds

    Catastrophe bonds (a type of insurance-linked security whereby investors bear risk if a specified catastrophic event occurs in return for an interest premium).

    Collateralized debt obligations (CDOs)

    A structured credit security backed by the performance of a portfolio of securities, loans, or credit default swaps, and in which securitized interests in the portfolio’s performance are divided into tranches with differing repayment and interest earning streams. In the event of nonpayment or default, the higher-risk “equity” tranche absorbs the first loss from anywhere in the portfolio, up to a limit. After the equity tranche has been exhausted, the next least-secured tranche then absorbs the additional principal loss, and so on. When the tranches are backed by credit default swaps, the structure is called a “synthetic” CDO.

    Corporate governance

    The governing relationships between all the stakeholders in a company—including the shareholders, directors, and management—as defined by the corporate charter, bylaws, formal policy, and rule of law.

    Credit default swaps (CDS)

    Default-triggered credit derivatives. Most CDS default settlements are “physical,” whereby the protection seller buys a defaulted reference asset from the protection buyer at its face value. “Cash” settlement involves a net payment to the protection buyer equal to the difference between the reference asset face value and the price of the defaulted asset.

    Credit derivatives

    A financial contract under which an agent buys or sells risk protection against the credit risk associated with a specific reference entity (or specific entities). For a periodic fee, the protection seller agrees to make a contingent payment to the buyer on the occurrence of a credit event (default in the case of a credit default swap).

    Credit risk

    The potential for losses on fixed-income investments and derivative contracts, caused by issue and counterparty defaults, and market value losses related to credit quality deterioration.

    Credit spreads

    The spread between benchmark securities and other debt securities that are comparable in all respects except for credit quality (e.g., the difference between yields on U.S. Treasuries and those on single A-rated corporate bonds of a certain term to maturity). Sometimes simply referred to as “spread.”

    Defined-benefit plan

    Pension plan in which benefits are determined by such factors as salary history and duration of employment. The sponsor company is responsible for the investment risk and portfolio management.

    Defined-contribution plan

    Pension plan in which benefits are determined by returns on the plan’s investments. Beneficiaries bear the investment risk.

    Derivatives

    Financial contracts whose value derives from underlying securities prices, interest rates, foreign exchange rates, commodity prices, and market or other indices.

    Distance to default (DD)

    The number of standard deviations of the value of a firm’s assets from its default threshold, which is a function of the value of its liabilities. A higher distance to default is associated with a lower default probability, in which default is assumed to occur when the market value of the firm’s assets becomes lower than the default threshold.

    Dollarization

    The widespread domestic use of another country’s currency (typically the U.S. dollar) to perform the standard functions of money—that of a unit of account, medium of exchange, and store of value.

    EBITDA

    Earnings before interest, taxes, depreciation, and amortization.

    EMBI

    The JPMorgan Emerging Market Bond Index, which tracks the total returns for traded external debt instruments in emerging markets.

    Emerging markets (EMs)

    Developing countries’ financial markets that are less than fully developed, but are nonetheless broadly accessible to foreign investors.

    Extreme value theory (EVT)

    A theory focusing on co-movements between extreme events (“co-exceedances”)—specifically in this context, the co-movement of extreme negative (left-tail) realizations of measures of banks’ soundness.

    Foreign bank affiliate

    A branch, subsidiary, or joint venture of a foreign bank, whose head office is located abroad.

    Foreign bank claim

    Foreign bank on-balance sheet financial assets including deposits and balances with domestic banks, loans, and advances to domestic nonbanks, and holdings of domestic debt securities.

    Foreign direct investment (FDI)

    The acquisition abroad (i.e., outside the home country) of physical assets, such as plant and equipment, or of a controlling stake in a company (usually greater than 10 percent of shareholdings).

    Forward price-earnings ratio

    The multiple of future expected earnings at which a stock sells. It is calculated by dividing the current stock price (adjusted for stock splits) by the estimated earnings per share for a future period (typically the next 12 months).

    Funded pension plan

    Pension plan that has accumulated dedicated assets to pay for the pension benefits.

    Hedge funds

    Investment pools, typically organized as private partnerships and often resident offshore for tax and regulatory purposes. These funds face few restrictions on their portfolios and transactions. Consequently, they are free to use a variety of investment techniques—including short positions, transactions in derivatives, and leverage—to raise returns and cushion risk.

    Hedging

    Offsetting an existing risk exposure by taking an opposite position in the same or a similar risk, for example, by buying derivatives contracts.

    Herfindahl index

    A measure of concentration—usually the sum of the squares of the market shares of firms in a particular industry. In this context, it is used to measure the degree of cross-border diversification of a bank. Calculated for each bank as the sum of the squared shares of its assets or revenues across the countries under consideration: the lower the index, the more cross-border diversified the bank.

    Home-equity loan/home-equity line of credit (HEL/HELOC)

    Loans or lines of credit drawn against the equity in a home, calculated as the current market value less the value of the first mortgage. When originating a HEL or HELOC, the lending institution generally secures a second lien on the home, i.e., a claim that is subordinate to the first mortgage (if it exists).

    Implied volatility

    The expected volatility of a security’s price as implied by the price of options or swaptions (options to enter into swaps) traded on that security. Implied volatility is computed as the expected standard deviation that must be imputed to investors to satisfy risk neutral arbitrage conditions, and is calculated with the use of an options pricing model such as Black-Scholes. A rise in implied volatility suggests the market is willing to pay more to insure against the risk of higher volatility, and hence implied volatility is sometimes used as a measure of risk appetite (with higher risk appetite being associated with lower implied volatility). One of the most widely quoted measures of implied volatility is the VIX, an index of implied volatility on the S&P 500 index of U.S. stocks.

    Interest rate swaps

    An agreement between counterparties to exchange periodic interest payments on some predetermined dollar principal, which is called the notional principal amount. For example, one party will make fixed-rate and receive variable-rate interest payments.

    Institutional investor

    A bank, insurance company, pension fund, mutual fund, hedge fund, mutual fund, brokerage, or other financial group that takes large investments from clients or invests on its own behalf.

    Intermediation

    The process of transferring funds from the ultimate source to the ultimate user. A financial institution, such as a bank, intermediates credit when it obtains money from depositors or other lenders and on-lends it to borrowers.

    Investment-grade obligation

    A bond or loan is considered investment grade if it is assigned a credit rating in the top four categories. S&P and Fitch classify investment-grade obligations as BBB- or higher, and Moody’s classifies investment-grade bonds as Baa3 or higher.

    Large complex financial institution (LCFI)

    A major financial institution frequently operating in multiple sectors and often with an international scope.

    Leverage

    The proportion of debt to equity. Leverage can be built up by borrowing (on-balance-sheet leverage, commonly measured by debt-to-equity ratios) or by using off-balance-sheet transactions.

    Leveraged buyout (LBO)

    Acquisition of a company using a significant level of borrowing (through bonds or loans) to meet the cost of acquisition. Usually, the assets of the company being acquired are used as collateral for the loans.

    Leveraged loans

    Bank loans that are rated below investment grade (BB+ and lower by S&P or Fitch, and Baa1 and lower by Moody’s) to firms with a sizable debt-to-EBITDA ratio, or trade at wide spreads over LIBOR (e.g., more than 150 basis points).

    Mark-to-market

    The valuation of a position or portfolio by reference to the most recent price at which a financial instrument can be bought or sold in normal volumes. The mark-to-market value might equal the current market value—as opposed to historical accounting or book value—or the present value of expected future cash flows.

    Mezzanine capital

    Unsecured, high-yield, subordinated debt, or preferred stock that represents a claim on a company’s assets that is senior only to that of a company’s shareholders.

    Mortgage-backed security (MBS)

    A security that is collateralized by mortgages. MBSs can be backed by residential mortgages (RMBS) or mortgages on commercial properties (CMBS).

    Mutual fund

    An investment company that pools money from shareholders and invests it in a group of assets, in accordance with a stated set of objectives. Open-ended mutual funds sell and redeem shares at any time directly to shareholders. Closed-end funds generally sell a fixed number of shares, which trade on an exchange.

    Nonperforming loans

    Loans that are in default or close to being in default (i.e., typically past due for 90 days or more).

    Occupational pension scheme

    Pension plan set up and managed by a sponsor company for the benefit of its employees.

    Offshore instruments

    Securities issued outside of national boundaries.

    (Pair-wise) correlations

    A statistical measure of the degree to which the movements of two variables (e.g., asset returns) are related.

    Primary market

    The market in which a newly issued security is first offered/sold to investors.

    Private equity

    Shares in companies that are not listed on a public stock exchange.

    Private equity funds

    Pools of capital invested by private equity partnerships. Investments can include leveraged buyouts, as well as mezzanine and venture capital. In addition to the sponsoring private equity firm, other qualified investors can include pension funds, financial institutions, and wealthy individuals.

    Private pension plan

    Pension plan in which a private entity receives pension contributions and administers the payment of pension benefits.

    Put (call) option

    A financial contract that gives the buyer the right, but not the obligation, to sell (buy) a financial instrument at a set price on or before a given date.

    Rate of return on equity (ROE)

    Annual return as a percentage of equity capital.

    Reinsurance

    Insurance risk placed by an underwriter with another insurance company to reduce the level of the risk assumed under the original contract.

    Risk aversion

    The degree to which an investor who, when faced with two investments with the same expected return but different risk, prefers the one with the lower risk. That is, it measures an investor’s aversion to uncertain outcomes or payoffs.

    Risk premium

    The extra expected return on an asset that investors demand in exchange for accepting the risk associated with the asset.

    Sarbanes-Oxley of 2002

    Act An act passed by the U.S. Congress that established new or enhanced standards for U.S. public company boards, management, and public accounting firms. The act covers such issues as auditor independence, corporate governance, and enhanced financial disclosure, and is geared toward protecting investors from the possibility of fraudulent accounting activities by corporations.

    Secondary markets

    Markets in which securities are traded after they are initially offered/sold in the primary market.

    Securitization

    The creation of securities from a pool of preexisting assets and receivables that are placed under the legal control of investors through a special intermediary created for this purpose—a “special purpose vehicle” (SPV) or “special purpose entity” (SPE). With a “synthetic” securitization the securities are created out of a portfolio of derivative instruments.

    Spread

    See “credit spreads” (the word credit is sometimes omitted). Other definitions include (1) the gap between bid and ask prices of a financial instrument; and (2) the difference between the price at which an underwriter buys an issue from the issuer and the price at which the underwriter sells it to the public.

    Subinvestment-grade obligation

    An obligation rated below investment grade, sometimes referred to as “high-yield” or “junk.”

    Subprime mortgages

    Mortgages to borrowers with impaired or limited credit histories, and who typically have low credit scores.

    Swaps

    An agreement between counterparties to exchange periodic interest payments based on different references on a predetermined notional amount. For example, in an interest rate swap, one party will make fixed-rate and receive variable-rate interest payments.

    Syndicated loans

    Large loans made jointly by a group of banks to one borrower. Usually, one lead bank takes a small percentage of the loan and partitions (syndicates) the rest to other banks.

    Tail event

    The occurrence of large or extreme security price movements that, in terms of their probability of occurring, lie within the tail region of the distribution of possible price movements.

    Tobin’s q

    The ratio of the market value of a firm’s assets to their replacement value.

    Trustee

    Private entity (person or organization) with a duty to receive, manage, and disburse the assets of a financial plan.

    Value-at-risk (VaR)

    An estimate of the loss, over a given horizon, that is statistically unlikely to be exceeded at a given probability level.

    With-profits policies

    Under this policy, an insurance company guarantees to pay an agreed amount at a specific time in the future, and may increase this guaranteed amount through bonus payments. In effect, the policyholders are participating in the profits of the life insurance company.

    Yield curve

    A chart that plots the yield to maturity at a specific point in time for debt securities having equal credit risk but different maturity dates.

    z-score

    A measure of bank soundness derived from accounting data. As used in Chapter III, it is defined as z = (k + μ)/σ, where k is equity capital as a percent of assets, μ is the return as a percent of assets, and σ is the standard deviation of the return on assets used as a proxy for return volatility. A higher z-score is associated with a lower probability of default.

    ANNEX: SUMMING UP BY THE CHAIRMAN

    The following remarks by the Chairman were made at the conclusion of the Executive Board’s discussion of the Global Financial Stability Report on March 19, 2007.

    Directors welcomed the balanced, in-depth analysis and discussion of financial risks in the Global Financial Stability Report (GFSR). They agreed that global financial stability continues to be underpinned by solid economic prospects, although downside risks have increased somewhat in a few areas.

    Assessing Global Financial Stability Risks

    Directors considered that a number of market developments warrant increased attention, reflecting a shift in underlying financial risks and conditions since last September’s GFSR. While none of the identified short-term risks constitutes, in and of itself, a threat to financial stability, adverse events in one area can lead to a reappraisal of risks in other areas—with possible broader implications for the economy. The recent market turbulence validates this assessment, and serves to remind market participants that such reevaluations can occur quite rapidly.

    Directors agreed with the general assessment portrayed in the global financial stability map presented by the staff, namely, that macroeconomic risks as well as those faced by emerging markets have eased marginally since September, but that market and credit risks have risen, albeit from relatively low levels. This has occurred against the backdrop of relatively benign monetary and financial conditions and a continued increase in investors’ appetite for risk. Directors welcomed the global financial stability map as a useful tool for visualizing changes in the main near-term risks. They considered that further staff work on the analytics underpinning the map and their integration with the GFSR should serve to strengthen the framework for assessing financial stability.

    Directors had a wide-ranging discussion of the near-term risks to the global financial system. Some Directors felt that the risks of a possible spillover of the deterioration of credit quality from the U.S. subprime mortgage segment to broader market segments were relatively minimal, given the underlying support provided by the strong household income growth and the low unemployment rate, as well as the relatively small size of the subprime segment and the concentration of problem loans in states with weak employment. However, most Directors expressed varying degrees of caution or concern going forward. Mortgage securities are now held more widely by both public and private international investors as a result of wider securitization. Directors noted that the risk has been distributed more widely, thereby enhancing the resiliency of financial markets. At the same time, the identification of the ultimate holders of risk in the mortgage-related derivatives market has become more complex, and many Directors called for more focused attention to the possible spillover effects of an unwinding of risky positions on other asset classes or on U.S. consumer confidence.

    Directors observed that the wider use of leveraged buyouts and the heavy flows into private equity have increased the risks to the corporate sector, but agreed that this is not yet worrisome. At the same time, continued supervisory vigilance and scrutiny of credit discipline and lending standards will be required. A few Directors noted possibly longer-term effects on corporate leverage, with newly acquired companies with very high leverage ratios potentially experiencing difficulties if the current benign financing conditions change. Moreover, developments in the leverage loan market suggest some relaxation of credit discipline that could weaken overall corporate credit quality. A key question is whether the possible reactions of investors in credit risk transfer markets to changing circumstances could give rise to wider financial stability concerns. A promising area for further research is the medium-term ramifications of private equity activity, including the extent to which regulatory costs may be a factor in encouraging a shift from public to private companies.

    Directors noted that although the risks of a disorderly unwinding of global imbalances have eased somewhat, they remain a concern, and require the pursuit of appropriate policies. Large inflows are still needed to finance the U.S. current account deficit. Directors underscored that fixed-income inflows have become more dominant and more sensitive to interest rate differentials between various countries and the United States. Many Directors noted that the increased sensitivity could make attracting inflows more susceptible to changes in investor sentiment, pointing to the need to pay continued attention to the role of shifting exchange rate expectations in the demand for U.S. fixed-income securities.

    Directors generally agreed that risks and vulnerabilities in emerging markets have broadly declined, reflecting improved economic fundamentals, sound macroeconomic policies, and prudent debt management. Combined with investors’ search for yield, this has resulted in large capital inflows in a number of countries, posing challenges to policymakers. Directors observed that an investment environment conducive to the maintenance of confidence, the efficient use of capital, and the development of local financial markets should help emerging markets reap the benefits of foreign capital. At the same time, they called on staff to continue to work toward identifying measures and strategies that would help mitigate the adverse effects of rapid capital inflows or possible reversals.

    Directors discussed the relative contributions of structural and cyclical factors in bringing about the current low financial market volatility and historically tight risk spreads, which have encouraged risk-taking. Some concern was expressed that investors may be giving insufficient weight to downside risks, particularly the prospect of near-term reversal of the cyclical factors contributing to the low volatility environment—abundant global liquidity, still low corporate leverage, and high risk appetite. At the same time, it was suggested that market participants generally understood the risk outlook, and that the recent turbulence was evidence that rapid price changes can be absorbed easily. In this regard, while carry trades are a natural outcome of the current set of interest rates and low volatility in foreign exchange markets, some Directors expressed concern about the possibility of large currency swings if investors attempted to unwind carry trade positions suddenly in response to an increase in underlying volatility. Directors noted that hedge funds have played a constructive role in improving market efficiency and stability, but cautioned that their size and complex risk structure can lead to increased transmission or amplification of shocks. They underscored the importance of greater transparency to investors and counterparties for monitoring hedge fund activities as a means to support financial stability. Some Directors emphasized that indirect monitoring of hedge fund activity is likely to remain the most effective and practical approach. Directors noted the work and analysis under way both nationally and internationally, including at the Financial Stability Forum, and some Directors also saw a positive role for the IMF in the design of constructive solutions for hedge fund regulation or monitoring.

    Changes in the International Investor Base and Implications for Financial Stability

    Directors observed that the increased diversity of assets, source countries, and investor types contributes to a globalized financial system which, by allowing capital to flow freely, should enable a more effective diversification of risks, enhance the efficiency of capital markets, and support financial stability. They underscored the importance for market participants to bear the risk of their positions, while policymakers should underpin the strength of the financial system through structural reforms and strong macroeconomic policies. Directors also stressed the need to devise mechanisms to deal with the considerable gaps in information concerning global financial flows.

    Directors believed that the larger global diversity of investors and the increase in institutional investors with longer investment horizons should support financial stability. However, several Directors expressed concern that in some countries increased demand has outpaced the availability of domestic financial assets, leading to a sharp increase in asset prices, rapid credit growth, and currency appreciation.

    Directors noted that the development and improved functioning of domestic financial markets can help reduce the likelihood of foreign investors withdrawing their funds. Directors acknowledged that facilitating capital outflows to allow domestic investors to better manage risks and help mitigate strong inflows may be of particular relevance for certain emerging market economies. At the same time, Directors underscored the importance of gradual and carefully sequenced liberalization of financial markets, and several Directors observed that economic efficiency, rather than conjunctural factors such as the need to reduce pressures on asset prices and currencies from rapid inflows, should be the main rationale for outward capital account liberalization.

    Globalization of Financial Institutions: Financial Stability Implications

    Directors noted the accelerating trend toward the globalization of financial institutions—which is most evident for banks, but also present in the asset management, insurance, and reinsurance industries. Directors considered that the process of globalization has generally improved financial stability, although some Directors cautioned that it cannot be taken for granted that global financial systems as a whole are more resilient in the face of extreme events. In this respect, some Directors noted that increased international linkages within and across countries may make crises more broad-ranging and complicated to deal with.

    Directors welcomed the contribution being made by the GFSR to financial sector surveillance, including in encouraging national legal, regulatory, and supervisory systems to adjust to the more globalized financial environment. In this respect, Directors favored improved mechanisms for multilateral collaboration, specifically for strengthening ongoing supervisory coordination, including through better application of well-established international standards and further work on crisis management and resolution arrangements. Overall, Directors thought that even relatively modest but practical steps to make progress on domestic policies and procedures, while enhancing cross-border cooperation and coordination, will increase the benefits of globalization while mitigating some of the potential risks to financial stability.

    STATISTICAL APPENDIX

    This statistical appendix presents data on financial developments in key financial centers and emerging markets. It is designed to complement the analysis in the text by providing additional data that describe key aspects of financial market developments. These data are derived from a number of sources external to the IMF, including banks, commercial data providers, and official sources, and are presented for information purposes only; the IMF does not, however, guarantee the accuracy of the data from external sources.

    Presenting financial market data in one location and in a fixed set of tables and charts, in this and future issues of the GFSR, is intended to give the reader an overview of developments in global financial markets. Unless otherwise noted, the statistical appendix reflects information available up to February 6, 2007.

    Mirroring the structure of the chapters of the report, the appendix presents data separately for key financial centers and emerging market countries. Specifically, it is organized into three sections:

    • Figures 1-14 and Tables 1-9 contain information on market developments in key financial centers. This includes data on global capital flows, and on markets for foreign exchange, bonds, equities, and derivatives as well as sectoral balance sheet data for the United States, Japan, and Europe.

    • Figures 15 and 16, and Tables 10-21 present information on financial developments in emerging markets, including data on equity, foreign exchange, and bond markets, as well as data on emerging market financing flows.

    • Tables 22-27 report key financial soundness indicators for selected countries, including bank profitability, asset quality, and capital adequacy.

    List of Tables and Figures

    Figure 1.Major Net Exporters and Importers of Capital in 2006

    Countries That Export Capital1

    Countries That Export Capital3

    Source: International Monetary Fund, World Economic Outlook database, as of March 21, 2007.

    1 As measured by countries’ current account surplus (assuming errors and omissions are part of the capital and financial accounts).

    2 Other countries include all countries with shares of total surplus less than 2.1 percent.

    3 As measured by countries’ current account deficit (assuming errors and omissions are part of the capital and financial accounts).

    4 Other countries include all countries with shares of total deficit less than 1.9 percent.

    Figure 2.Exchange Rates: Selected Major Industrial Countries

    Sources: Bloomberg L.P.; and the IMF Global Data System.

    Note: In each panel, the effective and bilateral exchange rates are scaled so that an upward movement implies an appreciation of the respective local currency.

    1 Local currency units per U.S. dollar except for the euro area and the United Kingdom, for which data are shown as U.S. dollars per local currency.

    2 2000 = 100; constructed using 1999–2001 trade weights.

    Figure 3.United States: Yields on Corporate and Treasury Bonds

    (Weekly data)

    Sources: Bloomberg L.P.; and Merrill Lynch.

    Figure 4.Selected Spreads

    (In basis points)

    Sources: Bloomberg L.P.; and Merrill Lynch.

    1 Spreads over 10-year U.S. treasury bond; weekly data.

    2 Spread between yields on three-month U.S. treasury repo and on three-month U.S. treasury bill.

    3 Spread between yields on 90-day investment-grade commercial paper and on three-month U.S. treasury bill.

    4 Spread between three-month U.S. dollar LIBOR and yield on three-month U.S. treasury bill.

    5 Spreads over 10-year government bond.

    Figure 5.Nonfinancial Corporate Credit Spreads

    (In basis points)

    Source: Merrill Lynch.

    Figure 6.Equity Markets: Price Indices

    (January 1, 1990 = 100; weekly data)

    Source: Bloomberg L.P.

    Figure 7.Implied and Historical Volatility in Equity Markets

    Sources: Bloomberg L.P.; and IMF staff estimates.

    Note: Implied volatility is a measure of the equity price variability implied by the market prices of call options on equity futures. Historical volatility is calculated as a rolling 100-day annualized standard deviation of equity price changes. Volatilities are expressed in percent rate of change.

    1 VIX is the Chicago Board Options Exchange volatility index. This index is calculated by taking a weighted average of implied volatility for the eight S&P 500 calls and puts.

    Figure 8.Historical Volatility of Government Bond Yields and Bond Returns for Selected Countries1

    Sources: Bloomberg L.P.; and Datastream.

    1 Volatility calculated as a rolling 100-day annualized standard deviation of changes in yield and returns on 10-year government bonds. Returns are based on 10-plus year government bond indices.

    Figure 9.Twelve-Month Forward Price/Earnings Ratios

    Source: I/B/E/S.

    Figure 10.Flows into U.S.-Based Equity Funds

    Sources: Investment Company Institute; and Datastream.

    1 In billions of U.S. dollars.

    Figure 11.United States: Corporate Bond Market

    Sources: Board of Governors of the Federal Reserve System; and Bloomberg L.P.

    1 Spread against yield on 10-year U.S. government bonds.

    Figure 12.Europe: Corporate Bond Market1

    Sources: Bondware; and Datastream.

    1 Nonfinancial corporate bonds.

    2 Spread between yields on a Merrill Lynch High-Yield European Issuers Index bond and a 10-year German government benchmark bond.

    Figure 13.United States: Commercial Paper Market1

    Source: Board of Governors of the Federal Reserve System.

    1 Nonfinancial commercial paper.

    2 Difference between 30-day A2/P2 and AA commercial paper.

    Figure 14.United States: Asset-Backed Securities

    Sources: Merrill Lynch; Datastream; and the Bond Market Association.

    1 Merrill Lynch AAA Asset-Backed Master Index (fixed rate) option-adjusted spread.

    2 Collateralized bond/debt obligations.

    Table 1.Global Capital Flows: Inflows and Outflows1(In billions of U.S. dollars)
    InflowsOutflows
    1995199619971998199920002001200220032004200519951996199719981999200020012002200320042005
    United States
    Direct investment57.886.5105.6179.0289.4321.3167.084.464.0133.2109.8–98.8–91.9–104.8–142.6–224.9–159.2–142.4–154.5–149.9–244.1–9.1
    Portfolio investment210.4332.8333.1187.6285.6436.6428.3427.6520.3766.2908.5–122.4–149.3–116.9–130.2–122.2–127.9–90.6–48.6–146.7–146.5–180.1
    Other investment170.4131.8268.157.0165.2289.0187.5285.8280.5550.9193.9–121.4–178.9–262.8–74.2–165.6–273.1–144.7–87.9–31.3–479.9–251.7
    Reserve assetsn.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.–9.76.7–1.0–6.78.7–0.3–4.9–3.71.52.814.1
    Total capital flows438.6551.1706.8423.6740.21,046.9782.9797.8864.81,450.21,212.2–352.3–413.4–485.5–353.8–504.1–560.5–382.6–294.7–326.4–867.8–426.8
    Canada
    Direct investment9.39.611.522.724.866.127.722.17.31.234.1–11.5–13.1–23.1–34.1–17.3–44.5–36.2–26.8–22.2–42.5–34.2
    Portfolio investment18.413.711.716.62.710.324.211.913.941.67.0–5.3–14.2–8.6–15.1–15.6–43.0–24.4–18.6–13.8–18.9–42.7
    Other investment–3.915.728.05.4–10.80.87.85.111.4–4.724.9–8.3–21.1–16.29.410.2–4.2–10.7–7.9–14.6–7.9–16.6
    Reserve assetsn.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.–2.7–5.52.4–5.0–5.9–3.7–2.20.23.32.8–1.3
    Total capital flows23.939.151.244.816.677.259.739.032.638.166.0–27.9–53.9–45.4–44.8–28.5–95.4–73.4–53.2–47.4–66.5–94.8
    Japan
    Direct investment0.23.23.312.38.26.29.16.27.83.2–22.5–23.4–26.1–24.6–22.3–31.5–38.5–32.0–28.8–31.0–45.4
    Portfolio investment59.866.879.256.1126.947.460.5–20.081.2196.7183.1–86.0–100.6–47.1–95.2–154.4–83.4–106.8–85.9–176.3–173.8–196.4
    Other investment97.331.168.0–93.3–265.1–10.2–17.626.634.168.345.9–102.25.2–192.037.9266.3–4.146.636.4149.9–48.0–106.6
    Reserve assetsn.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.–58.6–35.1–6.66.2–76.3–49.0–40.5–46.1–187.2–160.9–22.3
    Total capital flows157.198.1150.4–34.0–125.945.449.115.7121.5272.8232.3–269.4–154.0–271.6–75.813.4–168.0–139.2–127.7–242.3–413.6–370.8
    United Kingdom
    Direct investment21.727.437.574.789.3122.253.825.527.677.9195.6–49.1–36.7–60.9–122.8–202.5–246.3–61.8–50.3–65.6–98.2–91.7
    Portfolio investment58.868.043.735.2183.9255.669.676.2155.6159.9230.5–61.7–93.4–85.0–53.2–34.3–97.2–124.71.2–58.4–259.2–303.1
    Other investment106.2251.8322.2110.590.0414.6327.0109.1396.7741.2938.3–74.9–214.7–277.8–22.9–97.1–426.8–255.5–151.0–415.6–596.9–909.1
    Reserve assetsn.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.0.90.73.90.31.0–5.34.50.62.6–0.4–1.7
    Total capital flows186.7347.2403.4220.3363.3792.4450.5210.8579.9979.01,364.4–184.8–344.1–419.8–198.6–332.9–775.6–437.6–199.5–537.1–954.7–1,305.6
    Euro area
    Direct investment216.3379.5199.7183.8151.1126.294.5–348.8–413.7–298.0–163.4–165.8–178.7–287.3
    Portfolio investment305.1268.1318.3298.3398.0496.6747.7–341.7–385.3–255.0–163.2–313.2–420.8–551.7
    Other investment198.4340.3238.160.5195.7345.2801.7–30.3–165.8–243.8–220.1–284.4–392.0–708.1
    Reserve assetsn.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.11.616.216.5–2.933.315.623.9
    Total capital flows719.8987.8756.2542.5744.8968.01,643.9–709.3–948.7–780.3–549.6–730.1–975.8–1,523.2
    Emerging Markets and Developing Countries2
    Direct investment125.1148.4191.5187.4213.1211.7225.5182.2199.6272.8361.2–27.7–31.6–41.4–27.4–35.7–43.0–42.7–30.0–34.3–82.7–94.8
    Portfolio investment89.5176.0146.932.3102.791.711.4–10.791.1143.6221.7–51.0–86.1–110.3–7.3–46.8–105.8–105.2–91.4–138.3–160.9–258.6
    Other investment104.695.5150.3–116.5–70.2–5.9–57.61.8124.0202.8133.4–55.7–96.3–133.632.6–68.4–128.042.935.6–115.5–196.3–231.1
    Reserve assetsn.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.–110.7–101.9–87.9–28.0–98.2–131.2–120.6–198.9–358.9–508.3–590.0
    Total capital flows319.2419.9488.7103.2245.6297.4179.2173.3414.7619.2716.4–245.2–315.8–373.1–30.1–249.2–408.1–225.6–284.8–647.0–948.2–1,174.4
    Sources: International Monetary Fund, International Financial Statistics and World Economic Outlook database as of March 21, 2007.

    The total net capital flows are the sum of direct investment, portfolio investment, other investment flows, and reserve assets. “Other investment” includes bank loans and deposits.

    This aggregate comprises the group of Other Emerging Market and Developing Countries defined in the World Economic Outlook, together with Hong Kong SAR, Israel, Korea, Singapore, and Taiwan Province of China.

    Table 2.Global Capital Flows: Amounts Outstanding and Net Issues of International Debt Securities by Currency of Issue and Announced International Syndicated Credit Facilities by Nationality of Borrower(In billions of U.S. dollars)
    2006
    20012002200320042005Q1Q2Q3
    Amounts outstanding of international debt securities by currency of issue
    U.S. dollar3,699.04,122.54,536.64,905.55,381.15,592.45,831.16,043.1
    Japanese yen411.4433.2488.0530.5472.1472.8487.7477.4
    Pound sterling505.6618.2776.3981.01,063.01,130.61,244.51,309.7
    Canadian dollar47.651.679.5112.6146.7155.2168.2175.0
    Swedish krona8.211.115.820.923.224.327.028.3
    Swiss franc123.6159.2195.6227.9208.6218.3240.4238.9
    Euro2,289.83,283.24,826.66,211.76,313.56,797.07,392.57,583.9
    Other110.4152.0216.7285.7355.8374.2393.7410.9
    Total7,195.58,830.911,135.013,275.813,964.014,764.915,785.116,267.1
    Net issues of international debt securities by currency of issue
    U.S. dollar667.4423.5414.1368.9475.6211.4238.7211.9
    Japanese yen18.5–17.53.726.94.0–1.74.92.1
    Pound sterling65.152.484.5133.2198.060.248.342.3
    Canadian dollar–1.13.615.625.529.48.95.77.0
    Swedish krona1.41.12.03.46.20.70.91.5
    Swiss franc–5.28.015.812.713.18.49.02.6
    Euro622.8492.0779.0917.8991.3317.6251.0222.7
    Other19.330.738.052.987.624.416.215.6
    Total1,388.2993.81,352.51,541.31,805.1629.8574.6505.8
    Announced international syndicated credit facilities by nationality of borrower
    All countries1,381.41,296.91,241.41,806.92,232.3433.3569.5456.5
    Industrial countries1,270.01,199.61,130.41,635.41,989.0391.6482.2382.6
    Of which:
    United States845.2739.7606.6897.6977.3193.7226.9199.9
    Japan23.819.518.227.519.316.66.42.6
    Germany36.584.497.6116.3133.123.642.926.0
    France50.364.165.9150.9171.837.544.017.9
    Italy35.922.845.322.374.02.65.47.1
    United Kingdom106.0109.8103.9150.3178.628.132.024.3
    Canada39.234.930.438.771.213.517.616.4
    Source: Bank for International Settlements.
    Table 3.Selected Indicators on the Size of the Capital Markets, 2005(In billions of U.S. dollars unless noted otherwise)
    GDPTotal Reserves Minus Gold1Stock Market CapitalizationDebt SecuritiesBank Assets2Bonds, Equities, and Bank Assets3Bonds, Equities, and Bank Assets2(In percent of GDP)
    PublicPrivateTotal
    World44,595.04,243.841,966.623,422.436,268.259,690.763,473.2165,130.4370.3
    European Union12,879.0241.29,555.76,673.812,024.118,697.830,975.159,228.6459.9
    Euro area10,030.7147.75,990.65,731.59,451.215,182.721,782.843,159.0430.3
    North America13,588.387.018,483.06,614.618,683.225,297.811,086.854,867.7403.8
    Canada1,132.433.01,482.2693.1531.61,224.71,762.74,469.5394.7
    United States12,455.854.117,000.95,921.618,151.624,073.19,324.150,398.1404.6
    Japan4,557.1834.37,542.76,607.92,037.08,644.96,647.022,834.7501.1
    Memorandum items:
    EU countries
    Austria305.36.8126.3160.4259.9420.3389.7936.3306.6
    Belgium372.78.2264.3378.1323.1701.31,527.32,492.9668.8
    Denmark259.232.9159.795.8405.7501.5635.61,296.9500.3
    Finland195.810.5183.7112.883.7196.5202.9583.1297.8
    France2,127.227.81,550.91,107.31,766.32,873.76,284.410,708.9503.4
    Germany2,791.745.11,221.11,267.62,835.54,103.13,706.99,031.1323.5
    Greece284.20.5145.1294.459.6354.1275.8775.1272.7
    Ireland200.80.8114.137.6250.2287.81,047.91,449.8722.1
    Italy1,772.825.5798.11,514.21,360.62,874.83,111.26,784.1382.7
    Luxembourg36.60.251.20.049.449.4686.0786.72,148.2
    Netherlands629.99.0508.8261.01,148.91,409.92,598.34,517.1717.1
    Portugal185.63.567.1133.5152.7286.2177.4530.7285.9
    Spain1,128.09.7959.9464.41,161.21,625.61,977.84,563.2404.6
    Sweden358.522.1347.2161.0301.2462.2454.91,264.3352.7
    United Kingdom2,230.638.53,058.2685.51,865.92,551.47,898.913,508.5605.6
    Emerging market countries412,014.11,940.06,385.13,175.81,610.44,786.210,895.222,066.5183.7
    Of which:
    Asia5,433.11,248.44,408.61,484.91,189.02,673.97,322.914,405.5265.1
    Latin America2,448.5195.5972.51,013.9276.81,290.81,374.33,637.6148.6
    Middle East1,134.2149.5159.034.026.860.8869.01,088.896.0
    Africa808.691.5549.390.044.2134.2525.61,209.1149.5
    Europe2,189.8255.1295.6552.973.6626.5803.41,725.578.8
    Sources: World Federation of Exchanges; Bank for International Settlements; International Monetary Fund, International Financial Statistics (IFS) and World Economic Outlook database as of March 21, 2007; and © 2003 Bureau van Dijk Electronic Publishing-Bankscope.

    Data are from IFS.

    Assets of commercial banks.

    Sum of the stock market capitalization, debt securities, and bank assets.

    This aggregate comprises the group of Other Emerging Market and Developing Countries defined in the World Economic Outlook, together with Hong Kong SAR, Israel, Korea, Singapore, and Taiwan Province of China.

    Table 4.Global Over-the-Counter Derivatives Markets: Notional Amounts and Gross Market Values of Outstanding Contracts1(In billions of U.S. dollars)
    Notional AmountsGross Market Values
    End-JuneEnd-Dec.End-JuneEnd-Dec.End-JuneEnd-JuneEnd-Dec.End-JuneEnd-Dec.End-June
    2004200420052005200620042004200520052006
    Total220,058257,894281,493297,670369,9066,3959,37710,6059,74910,074
    Foreign exchange26,99729,28931,08131,36438,1118671,5461,1419971,134
    Forwards and forex swaps13,92614,95115,80115,87319,415309643464406436
    Currency swaps7,0348,2238,2368,5049,669442745549453533
    Options6,0386,1157,0456,9879,027116158129138166
    Interest rate2164,626190,502204,795211,971262,2963,9515,4176,6995,3975,549
    Forward rate agreements13,14412,78913,97314,26918,1172922312225
    Swaps127,570150,631163,749169,106207,3233,5624,9036,0774,7784,944
    Options23,91227,08227,07328,59636,856360492592597579
    Equity-linked4,5214,3854,5515,7936,783294498382582671
    Forwards and swaps6917561,0861,1771,423637688112147
    Options3,8303,6293,4654,6175,361231422294470523
    Commodity31,2701,4432,9405,4356,394166169376871718
    Gold3183692883344564532245177
    Other9521,0742,6525,1005,938122137351820641
    Forwards and swaps5035591,7481,9092,186
    Options4495169043,1913,752
    Credit default swaps6,39610,21113,90820,352133188243294
    Single-name instruments5,1177,31010,43213,873112136171186
    Multi-name instruments1,2792,9013,4766,479225271109
    Unallocated22,64425,87927,91529,19935,9691,1161,6131,8181,6591,707
    Memorandum items:
    Gross credit exposure4n.a.n.a.n.a.n.a.n.a.1,4782,0751,8971,9002,032
    Exchange-traded derivatives26,99729,28931,08131,36438,111
    Source: Bank for International Settlements.

    All figures are adjusted for double-counting. Notional amounts outstanding have been adjusted by halving positions vis-à-vis other reporting dealers. Gross market values have been calculated as the sum of the total gross positive market value of contracts and the absolute value of the gross negative market value of contracts with non-reporting counterparties.

    Single-currency contracts only.

    Adjustments for double-counting are estimated.

    Gross market values after taking into account legally enforceable bilateral netting agreements.

    Table 5.Global Over-the-Counter Derivatives Markets: Notional Amounts and Gross Market Values of Outstanding Contracts by Counterparty, Remaining Maturity, and Currency1(In billions of U.S. dollars)
    Notional AmountsGross Market Values
    End-JuneEnd-Dec.End-JuneEnd-Dec.End-JuneEnd-JuneEnd-Dec.End-JuneEnd-Dec.End-June
    2004200420052005200620042004200520052006
    Total220,058257,894281,493297,670369,9066,3959,37710,6059,74910,074
    Foreign exchange26,99729,28931,08131,36438,1118671,5461,1419971,134
    By counterparty
    With other reporting dealers10,79611,66812,17912,16115,281247486377323367
    With other financial institutions10,11311,41712,33412,72115,120352648471412471
    With nonfinancial customers6,0886,2046,5686,4827,711267413294261296
    By remaining maturity
    Up to one year221,25222,83424,25623,91029,578
    One to five years23,9124,3864,7295,1655,841
    Over five years21,8342,0692,0972,2892,692
    By major currency
    U.S. dollar324,55225,72627,58526,29731,7718081,4081,024867967
    Euro310,31211,90012,40512,85715,348380752512397472
    Japanese yen36,5167,0766,9077,5789,510178258220256242
    Pound sterling34,6144,3314,2734,4245,219130220150121148
    Other38,0009,54510,99411,57214,374238455377354439
    Interest rate4164,626190,502204,795211,971262,2963,9515,4176,6995,3975,549
    By counterparty
    With other reporting dealers72,55082,25887,04991,541114,4741,6062,1552,5982,0962,219
    With other financial institutions70,21985,72992,09295,321115,0891,7082,6313,2652,6252,613
    With nonfinancial customers21,85722,51625,65525,10932,734638631837676718
    By remaining maturity
    Up to one year257,15762,65966,68169,37890,583
    One to five years266,09377,92982,34186,550101,795
    Over five years241,37649,91555,77356,04269,918
    By major currency
    U.S. dollar57,82861,10372,55874,44188,0941,4641,5351,8261,5152,149
    Euro63,00676,16276,42681,442103,6071,7742,9863,6922,9652,358
    Japanese yen21,10324,20925,22425,60532,214324352454295472
    Pound sterling11,86715,28916,62115,06019,079188240372344296
    Other10,82213,74013,96615,42219,302201305356279276
    Equity-linked4,5214,3854,5515,7936,783294498382582671
    Commodity51,2701,4432,9405,4356,394166169376871718
    Credit default swaps6,39610,21113,90820,352133188243294
    Unallocated22,64425,87927,91529,19935,9691,1161,6131,8181,6591,707
    Source: Bank for International Settlements.

    All figures are adjusted for double-counting. Notional amounts outstanding have been adjusted by halving positions vis-à-vis other reporting dealers. Gross market values have been calculated as the sum of the total gross positive market value of contracts and the absolute value of the gross negative market value of contracts with nonreporting counterparties.

    Residual maturity.

    Counting both currency sides of each foreign exchange transaction means that the currency breakdown sums to twice the aggregate.

    Single-currency contracts only.

    Adjustments for double-counting are estimated.

    Table 6.Exchange-Traded Derivative Financial Instruments: Notional Principal Amounts Outstanding and Annual Turnover
    2006
    1993199419951996199719981999200020012002200320042005Q1Q2Q3
    (In billions of U.S. dollars)(In billions of U.S. dollars)
    Notional principal amounts outstanding
    Interest rate futures4,960.45,807.65,876.25,979.07,586.78,031.47,924.87,907.89,269.59,955.613,123.718,164.920,708.724,438.924,862.324,699.0
    Interest rate options2,361.42,623.22,741.83,277.83,639.84,623.53,755.54,734.212,492.811,759.520,793.824,604.131,588.248,001.951,975.743,369.3
    Currency futures34.740.433.837.742.331.736.774.465.647.079.9103.5107.6109.7118.7139.9
    Currency options75.955.7120.4133.4118.649.222.421.427.427.437.960.766.170.869.168.0
    Stock market index futures110.0127.7172.2195.9210.9291.6346.9377.5344.2365.5549.3635.2802.9922.41,475.7985.6
    Stock market index options231.6242.7337.7394.5808.7947.41,510.31,148.41,574.91,700.82,202.43,024.04,542.65,400.35,913.36,316.5
    Total7,774.18,897.29,282.010,018.212,407.113,974.813,596.614,263.823,774.423,855.836,786.946,592.457,816.278,943.984,414.775,578.4
    North America4,359.94,823.54,852.34,841.26,347.97,395.16,930.68,167.916,203.213,719.819,504.027,608.436,394.251,328.553,499.345,898.7
    Europe1,777.91,831.82,241.22,828.03,587.34,397.14,008.54,197.96,141.68,800.815,406.516,307.817,982.423,393.025,726.724,631.3
    Asia-Pacific1,606.02,171.81,990.12,154.02,235.71,882.52,407.81,611.81,318.41,206.01,659.92,426.93,014.13,760.04,692.34,534.8
    Other30.370.1198.4195.0236.2300.1249.7286.2111.2129.1216.5249.3425.5462.5496.5513.5
    (In millions of contracts traded)(In millions of contracts traded)
    Annual turnover
    Interest rate futures427.0628.5561.0612.2701.6760.1672.7781.21,057.51,152.11,576.81,902.62,110.4650.3688.8669.3
    Interest rate options82.9116.6225.5151.1116.8129.7118.0107.7199.6240.3302.3361.0430.8139.1157.0146.7
    Currency futures39.069.899.673.773.654.537.143.549.042.658.883.7143.050.361.755.5
    Currency options23.721.323.326.321.112.16.87.010.516.114.313.019.45.55.76.4
    Stock market index futures71.2109.0114.893.8115.9178.0204.9225.2337.1530.3725.6804.4918.7268.7354.1291.6
    Stock market index options144.1197.6187.3172.3178.2195.0322.5481.51,148.22,235.53,233.92,980.13,139.8874.2835.5773.4
    Total787.91,142.91,211.51,129.41,207.11,329.31,362.01,646.02,801.94,216.85,911.66,144.86,762.01,988.12,102.71,942.9
    North America382.4513.5455.0428.3463.5530.0462.8461.3675.6912.21,279.81,633.61,926.8593.7695.4648.9
    Europe263.4398.1354.8391.7482.8525.9604.7718.6957.71,074.81,346.31,412.61,592.8472.2539.3466.5
    Asia-Pacific98.5131.7126.4115.9126.9170.9207.7331.3985.12,073.13,111.62,847.62,932.4825.0770.6722.2
    Other43.699.6275.5193.4134.0102.586.8134.9183.4156.7174.0251.0310.097.297.5105.4
    Source: Bank for International Settlements.
    Table 7.United States: Sectoral Balance Sheets(In percent)
    1999200020012002200320042005
    Corporate sector
    Debt/net worth50.948.350.849.747.644.442.4
    Short-term debt/total debt38.839.333.329.927.027.128.0
    Interest burden113.415.817.714.411.88.78.1
    Household sector
    Net worth/assets86.185.083.581.581.881.380.9
    Equity/total assets35.331.427.121.024.224.223
    Equity/financial assets50.246.341.734.438.739.238
    Net worth/disposable personal income629.0577.5539.4495.7538.7552.5560.4
    Home mortgage debt/total assets9.09.810.912.512.713.213.9
    Consumer credit/total assets3.23.53.94.23.93.83.6
    Total debt/financial assets19.722.225.530.229.330.231.5
    Debt-service burden212.312.613.113.413.513.514.1
    Banking sector3
    Credit quality
    Nonperforming loans4/total loans1.01.11.41.51.20.90.8
    Net loan losses/average total loans0.60.71.01.10.90.70.6
    Loan-loss reserve/total loans1.71.71.91.91.81.51.3
    Net charge-offs/total loans0.60.71.01.10.90.60.6
    Capital ratios
    Total risk-based capital12.212.112.712.812.812.612.3
    Tier 1 risk-based capital9.59.49.910.010.110.09.9
    Equity capital/total assets8.48.59.19.29.110.110.1
    Core capital (leverage ratio)7.87.77.87.87.98.18.3
    Profitability measures
    Return on average assets (ROA)1.31.21.21.31.41.31.3
    Return on average equity (ROE)15.714.813.214.515.313.713.3
    Net interest margin4.03.93.94.13.83.63.6
    Efficiency ratio558.758.457.755.856.558.057.2
    Sources: Board of Governors of the Federal Reserve System, Flow of Funds; Department of Commerce, Bureau of Economic Analysis; Federal Deposit Insurance Corporation; and Federal Reserve Bank of St. Louis.

    Ratio of net interest payments to pre-tax income.

    Ratio of debt payments to disposable personal income.

    FDIC-insured commercial banks.

    Loans past due 90+ days and nonaccrual.

    Noninterest expense less amortization of intangible assets as a percent of net interest income plus noninterest income.

    Table 8.Japan: Sectoral Balance Sheets1(In percent)
    FY2000FY2001FY2002FY2003FY2004FY2005FY2006
    Corporate sector
    Debt/shareholders’ equity (book value)156.8156.0146.1121.3121.5101.7101.9
    Short-term debt/total debt37.736.839.037.836.836.436.0
    Interest burden228.432.327.822.018.415.616.0
    Debt/operating profits1,229.31,480.01,370.01,079.2965.9839.9897.4
    Memorandum items:
    Total debt/GDP3104.2102.2101.190.996.585.789.9
    Household sector
    Net worth/assets84.784.584.484.584.6
    Equity4.73.63.54.95.6
    Real estate36.635.834.732.931.8
    Net worth/net disposable income751.3744.0724.4727.3721.9
    Interest burden45.45.25.14.94.84.7
    Memorandum items:
    Debt/equity324.3426.9449.6316.7275.7
    Debt/real estate41.743.245.046.948.4
    Debt/net disposable income135.3136.1134.0132.9131.3
    Debt/net worth18.018.318.518.318.2
    Equity/net worth5.64.34.15.86.6
    Real estate/net worth43.242.341.138.937.6
    Total debt/GDP380.380.279.277.376.0
    Banking sector
    Credit quality5
    Nonperforming loans6/total loans6.38.47.45.84.02.92.7
    Capital ratio
    Stockholders’ equity/assets4.63.93.33.94.24.94.9
    Profitability measures
    Return on equity (ROE)7–0.5–14.3–19.5–2.74.111.313.9
    Sources: Ministry of Finance, Financial Statements of Corporations by Industries; Cabinet Office, Economic and Social Research Institute, Annual Report on National Accounts; Japanese Bankers Association, Financial Statements of All Banks; and Financial Services Agency, The Status of Nonperforming Loans.

    Data are for fiscal years beginning April 1. Data on household nonfinancial assets and disposable income are only available through FY2004.

    Interest payments as a percent of operating profits.

    Revised due to the change in GDP figures.

    Interest payments as a percent of disposable income.

    The figure in FY2005 is at the end of September 2005.

    Nonperforming loans are based on figures reported under the Financial Reconstruction Law.

    Net income as a percentage of stockholders’ equity (no adjustment for preferred stocks, etc.).

    Table 9.Europe: Sectoral Balance Sheets(In percent)
    1999200020012002200320042005
    Corporate sector
    Debt/equity169.167.872.375.572.971.071.4
    Short-term debt/total debt37.839.638.837.136.436.938.4
    Interest burden215.418.419.618.517.217.618.4
    Debt/operating profits289.8317.1323.5339.8330.3328.3342.3
    Memorandum items:
    Financial assets/equity1.51.51.51.41.41.41.4
    Liquid assets/short-term debt76.069.773.374.181.087.992.0
    Household sector
    Net worth/assets84.584.583.983.984.084.184.3
    Equity/net worth16.215.513.510.811.411.312.2
    Equity/net financial assets39.739.836.531.833.133.134.7
    Interest burden36.36.56.26.16.06.06.2
    Memorandum items:
    Nonfinancial assets/net worth57.859.761.765.765.665.964.9
    Debt/net financial assets45.046.148.453.351.651.648.9
    Debt/income93.594.694.898.2100.8104.9107.5
    Banking sector4
    Credit quality
    Nonperforming loans/total loans3.33.02.92.52.31.71.5
    Loan-loss reserve/nonperforming loans79.382.180.881.573.091.988.7
    Loan-loss reserve/total loans2.62.52.42.42.41.91.6
    Loan-loss provisions/total operating income34.523.638.052.135.626.231.0
    Capital ratios
    Equity capital/total assets3.94.33.33.12.93.53.4
    Capital funds/liabilities6.56.96.85.45.05.75.5
    Profitability measures
    Return on assets (after tax)0.60.80.50.40.50.60.5
    Return on equity (after tax)14.218.311.29.011.314.215.8
    Net interest margin1.51.51.41.61.51.41.1
    Efficiency ratio565.966.468.269.073.163.663.2
    Sources: ©2003 Bureau van Dijk Electronic Publishing-Bankscope; European Central Bank, Monthly Bulletin; and IMF staff estimates.Note: GDP-weighted average for France, Germany, and the United Kingdom, unless otherwise noted.

    Corporate equity adjusted for changes in asset valuation.

    Interest payments as a percent of gross operating profits.

    Interest payments as percent of disposable income.

    Fifty largest European banks. Data availability may restrict coverage to less than 50 banks for specific indicators.

    Cost-to-income ratio.

    Figure 15.Emerging Market Volatility Measures

    Sources: For “Emerging Market Equity Volatility,” Morgan Stanley Capital International (MSCI); and IMF staff estimates. For “Emerging Market Debt Volatility,” JPMorgan Chase & Co.; and IMF staff estimates.

    1 Data utilize the EMBI Global total return index in U.S. dollars to calculate 30-day rolling volatilities.

    2 Data utilize the MSCI Emerging Markets index in U.S. dollars to calculate 30-day rolling volatilities.

    Figure 16.Emerging Market Debt Cross-Correlation Measures

    Sources: JPMorgan Chase & Co.; and IMF staff estimates.

    1 Thirty-day moving simple average across all pair-wise return correlations of 20 constituents included in the EMBI Global.

    2 Simple average of all pair-wise correlations of all markets in a given region with all other bond markets, regardless of region.

    Table 10.Equity Market Indices
    2006 End of PeriodEnd of Period12-Month High12-Month LowAll-Time High1All-Time Low1
    Q1Q2Q3Q420022003200420052006
    World1,335.11,319.91,373.41,483.6792.21,036.31,169.31,257.81,483.61,486.61,243.91,486.6423.1
    Emerging Markets787.8747.5778.2912.6292.1442.8542.2706.5912.6912.6665.3912.6175.3
    Latin America2,469.42,368.22,473.12,995.7658.91,100.81,483.62,150.02,995.72,995.71,986.32,995.7185.6
    Argentina2,370.32,473.92,307.73,084.1470.3933.61,163.01,857.13,084.13,093.61,879.63,093.6152.6
    Brazil1,886.21,821.81,790.82,205.4395.4802.01,046.51,569.42,205.42,205.41,489.82,205.484.1
    Chile1,263.71,169.31,262.81,492.4445.5800.6997.31,180.71,492.41,512.81,074.11,512.8183.0
    Colombia580.4395.2470.7549.868.3108.6245.0495.7549.8599.1309.0599.141.2
    Mexico4,216.04,016.04,645.15,483.31,442.81,873.12,715.63,943.65,483.35,483.33,446.15,483.3308.9
    Peru483.5543.7598.7671.4182.7344.1343.4441.3671.4696.5442.2696.573.5
    Venezuela161.1151.4156.2174.177.7103.8151.0107.4174.1174.1105.8278.456.1
    Asia311.9303.7322.9371.5140.3206.4231.6286.2371.5371.5276.9433.0104.1
    China35.635.738.652.314.125.525.329.352.352.329.3136.912.9
    India459.2427.4501.4560.8148.8246.2273.1382.9560.8562.1356.6562.177.7
    Indonesia1,831.51,808.82,108.22,449.0519.6831.11,324.01,579.82,449.02,470.51,596.22,470.5280.0
    Korea386.0365.3383.9395.2184.7246.0256.4386.3395.2414.1337.8414.159.5
    Malaysia345.9338.5356.8408.8244.0300.4335.9329.0408.8411.3326.6465.788.3
    Pakistan407.3335.8355.4333.7146.0188.2211.7333.2333.7431.5287.6431.554.4
    Philippines460.4445.6531.1620.2210.1303.7381.1431.9620.2620.2420.5917.3132.6
    Taiwan Province of China279.7279.5286.2318.2189.5259.1257.7275.8318.2318.2258.5483.5103.9
    Thailand293.5271.3280.7274.9130.2280.5263.9292.0274.9315.9249.0669.472.0
    Europe, Middle East, & Africa342.6306.5306.3364.4108.4163.9222.7300.3364.4377.7271.1377.780.8
    Czech Republic394.5357.7369.8408.3116.2152.9234.8371.5408.3422.5288.4422.562.8
    Egypt1,320.0960.01,266.11,389.397.4234.6505.21,215.71,389.31,576.2936.51,576.289.9
    Hungary1,586.21,450.71,446.01,690.0535.5646.91,057.01,447.01,690.01,764.31,244.61,764.377.1
    Israel201.4176.4187.7194.490.8141.4167.4209.2194.4218.3165.7236.267.6
    Jordan554.4486.0482.2439.6153.4238.3379.2650.6439.6708.1422.7760.7103.1
    Morocco315.3303.6333.5342.9138.5171.4189.1231.3342.9362.9230.4362.999.6
    Poland1,980.21,953.51,979.12,253.2861.01,118.31,419.31,867.42,253.22,349.91,707.12,349.999.6
    Russia1,043.61,065.01,067.41,250.3270.7461.1479.9813.41,250.31,250.3813.41,250.330.6
    South Africa561.2548.3553.3641.3272.7296.8352.4492.0641.3643.7477.9643.799.7
    Turkey682,935558,350581,504614,409169,900319,808425,009645,739614,409777,492491,161777,492426
    Sectors
    Energy680.6680.6654.5760.0163.1287.4349.0548.6760.0803.4552.4803.481.7
    Materials374.6382.2374.5442.1182.8250.1265.0325.4442.1442.1322.4442.198.5
    Industrials175.0166.8181.5210.761.898.9128.0156.1210.7210.7152.7276.852.6
    Consumer discretionary398.4352.5370.2422.6138.8233.8292.3381.1422.6426.4323.0426.474.1
    Consumer staple225.1211.4226.1266.288.2118.6147.0197.0266.2266.2189.3266.280.4
    Health care405.5328.0350.5356.3169.8272.5290.8393.3356.3433.8308.8433.883.3
    Financials269.1250.3266.0328.898.6138.8187.9240.6328.8328.8228.9328.874.6
    Information technology212.9202.6216.4231.8103.9149.6161.5209.1231.8237.0185.5300.073.1
    Telecommunications169.7158.4180.7218.072.7100.8131.6158.9218.0218.0145.7218.062.9
    Utilities229.6217.8232.2282.172.4127.2149.8197.0282.1282.1193.7282.163.1
    Table 10 (continued)
    Period on Period Percent Change
    2006 End of PeriodEnd of Period
    Q1Q2Q3Q420022003200420052006
    World6.1–1.14.18.0–21.130.812.87.618.0
    Emerging Markets11.5–5.14.117.3–8.051.622.430.329.2
    Latin America14.9–4.14.421.1–24.867.134.844.939.3
    Argentina27.64.4–6.733.6–51.098.524.659.766.1
    Brazil20.2–3.4–1.723.2–33.8102.930.550.040.5
    Chile7.0–7.58.018.2–21.779.724.618.426.4
    Colombia17.1–31.919.116.818.359.0125.7102.310.9
    Mexico6.9–4.715.718.0–15.029.845.045.239.0
    Peru9.612.410.112.126.888.4–0.228.552.1
    Venezuela50.0–6.03.111.5–18.633.645.4–28.962.2
    Asia9.0–2.66.315.0–6.247.112.223.529.8
    China21.50.38.235.4–16.080.3–0.715.678.7
    India19.9–6.917.311.85.365.511.040.246.5
    Indonesia15.9–1.216.616.218.960.059.319.355.0
    Korea–0.1–5.45.12.9–3.033.24.250.62.3
    Malaysia5.1–2.15.414.6–2.723.111.8–2.124.2
    Pakistan22.2–17.55.8–6.1116.728.912.557.50.1
    Philippines6.6–3.219.216.8–28.144.525.513.343.6
    Taiwan Province of China1.4–0.12.411.2–25.836.7–0.67.015.4
    Thailand0.5–7.63.5–2.121.1115.4–5.910.6–5.9
    Europe, Middle East, & Africa14.1–10.5–0.119.04.751.235.834.921.3
    Czech Republic6.2–9.33.410.419.231.653.658.29.9
    Egypt8.6–27.331.99.7–4.4140.8115.4140.614.3
    Hungary9.6–8.5–0.316.95.420.863.436.916.8
    Israel–3.8–12.46.43.6–31.655.718.425.0–7.1
    Jordan–14.8–12.3–0.8–8.82.655.359.171.6–32.4
    Morocco36.3–3.79.92.8–23.123.810.422.348.3
    Poland6.0–1.41.313.9–3.529.926.931.620.7
    Russia28.32.00.217.113.970.34.169.553.7
    South Africa14.1–2.30.915.9–11.88.818.739.630.3
    Turkey5.8–18.24.15.7–27.588.232.951.9–4.9
    Sectors
    Energy24.10.0–3.816.10.676.221.457.238.5
    Materials15.12.0–2.018.15.236.86.022.835.9
    Industrials12.1–4.78.816.1–3.260.129.522.035.0
    Consumer discretionary4.5–11.55.014.16.368.425.030.410.9
    Consumer staple14.2–6.16.917.8–6.734.424.034.035.1
    Health care3.1–19.16.91.615.960.56.735.2–9.4
    Financials11.8–7.06.223.6–8.440.735.428.136.7
    Information technology1.8–4.86.87.1–22.643.98.029.510.9
    Telecommunications6.8–6.614.120.7–20.938.730.520.837.2
    Utilities16.5–5.16.621.5–20.975.717.831.543.2
    Table 10 (continued)
    2006 End of PeriodEnd of Period12-Month High12-Month LowAll-Time High1All-Time Low1
    Q1Q2Q3Q420022003200420052006
    Developed Markets
    Australia1,036.41,025.21,037.91,135.1604.4655.5797.9959.61,135.11,135.1959.61,135.1250.2
    Austria290.3266.1277.3316.691.8118.0185.3262.7316.6316.6240.1316.679.7
    Belgium102.095.5106.8113.055.360.177.894.8113.0113.189.1113.135.4
    Canada1,518.81,448.81,464.41,628.3818.31,019.71,139.31,406.81,628.31,647.01,356.71,647.0338.3
    Denmark3,161.12,997.23,285.43,662.61,448.81,772.72,115.92,994.03,662.63,662.62,787.13,662.6556.5
    Finland141.2129.6132.4140.3100.397.493.9123.4140.3149.5121.2383.122.9
    France137.8131.3138.9147.181.393.2100.6124.9147.1147.1121.6178.642.9
    Germany108.8100.6106.4116.956.074.679.298.2116.9117.193.5163.641.4
    Greece121.1109.1115.7127.346.863.583.3108.1127.3128.5100.1197.238.2
    Hong Kong SAR8,556.68,438.18,940.410,152.84,808.46,341.37,668.48,016.210,152.810,152.87,925.810,165.31,995.5
    Ireland104.297.9107.0120.356.865.985.293.5120.3120.790.1120.740.5
    Italy112.3107.7113.5121.469.678.193.2106.0121.4121.4103.7132.139.5
    Japan1,061.4980.51,001.11,060.2524.3637.3699.1999.31,060.21,097.3897.31,655.2462.1
    Netherlands95.988.998.6101.366.068.469.388.3101.3101.783.2134.938.5
    New Zealand135.7124.5123.7138.290.0107.6127.0130.0138.2140.2117.2141.056.7
    Norway2,710.52,499.82,454.92,951.8898.31,240.91,690.32,267.72,951.82,957.22,249.72,957.2455.9
    Portugal97.190.197.5105.557.066.174.782.2105.5105.581.9128.035.2
    Singapore1,398.81,352.41,431.31,696.1764.91,005.11,148.11,295.31,696.11,696.11,263.81,696.1508.2
    Spain133.4129.4144.9158.269.889.6104.3122.1158.2160.5121.1160.527.4
    Sweden8,366.77,434.48,083.79,047.53,517.44,675.25,785.47,489.89,047.59,055.76,762.312,250.4787.2
    Switzerland1,052.81,005.21,104.41,159.5603.2714.3747.1994.61,159.51,164.1939.81,164.1158.1
    United Kingdom1,785.91,742.61,782.61,865.61,179.21,348.71,453.01,685.31,865.61,874.31,645.51,974.2585.4
    United States1,224.11,199.31,257.91,336.3824.61,045.41,137.41,180.61,336.31,345.41,153.31,493.0273.7
    Period on Period Percent Change
    Developed Markets
    Australia8.0–1.11.29.4–12.58.521.720.318.3
    Austria10.5–8.34.214.2–3.028.557.041.720.5
    Belgium7.7–6.411.95.7–29.78.729.521.719.2
    Canada8.0–4.61.111.2–15.324.611.723.515.7
    Denmark5.6–5.29.611.5–29.722.419.441.522.3
    Finland14.4–8.22.26.0–41.6–2.9–3.631.413.7
    France10.4–4.75.85.9–34.014.67.924.217.8
    Germany10.7–7.55.89.9–44.133.26.124.119.0
    Greece12.0–9.96.110.0–39.135.831.129.817.7
    Hong Kong SAR6.7–1.46.013.6–20.631.920.94.526.7
    Ireland11.4–6.09.312.4–39.016.029.29.828.7
    Italy6.0–4.15.46.9–23.612.219.313.814.6
    Japan6.2–7.62.15.9–19.421.69.742.96.1
    Netherlands8.6–7.310.92.7–34.33.61.327.514.7
    New Zealand4.4–8.3–0.611.7–4.419.618.02.46.3
    Norway19.5–7.8–1.820.2–29.738.136.234.230.2
    Portugal18.2–7.38.28.2–28.315.913.110.028.3
    Singapore8.0–3.35.818.5–18.431.414.212.830.9
    Spain9.2–3.012.09.1–29.528.316.417.029.5
    Sweden11.7–11.18.711.9–43.132.923.729.520.8
    Switzerland5.8–4.59.95.0–25.818.44.633.116.6
    United Kingdom6.0–2.42.34.7–25.714.47.716.010.7
    United States3.7–2.04.96.2–24.026.88.83.813.2
    Source: Data are provided by Morgan Stanley Capital International. Regional and sectoral compositions conform to Morgan Stanley Capital International Definitions.

    From 1990 or inception of index.

    Table 11.Foreign Exchange Rates(Units per U.S. dollar)
    2006 End of PeriodEnd of Period12-Month High112-Month Low1All-Time High1All-Time Low1
    Q1Q2Q3Q420022003200420052006
    Emerging Markets
    Latin America
    Argentina3.083.093.103.063.362.932.973.033.063.033.110.983.86
    Brazil2.162.172.172.143.542.892.662.342.142.062.350.003.95
    Chile526.35538.85535.10533.38720.25592.75555.75512.00533.38511.00550.35295.18759.75
    Colombia2,290.852,573.802,397.522,240.002,867.002,780.002,354.752,286.502,240.002,226.502,644.00689.212,980.00
    Mexico10.8711.3410.9810.8210.3711.2311.1510.6310.8210.4411.482.6811.67
    Peru3.373.263.253.203.513.463.283.423.203.203.451.283.65
    Venezuela2,1472,1472,1472,1471,3891,5981,9182,1472,1472,1472,147452,148
    Asia
    China8.027.997.907.818.288.288.288.077.817.818.074.738.73
    India44.6246.0445.9244.2647.9845.6243.4645.0544.2644.1246.9916.9249.05
    Indonesia9,0709,2639,2238,9948,9508,4209,2709,8308,9948,7039,8151,97716,650
    Korea9729499479301,1861,1921,0351,0109309141,0086841,963
    Malaysia3.683.673.693.533.803.803.803.783.533.533.782.444.71
    Pakistan60.1260.2160.5560.8858.2557.2559.4259.7960.8859.7760.9521.1864.35
    Philippines51.0553.1350.2549.0153.6055.5456.2353.0949.0149.0153.5223.1056.46
    Taiwan Province of China32.4632.3833.1032.5934.6333.9631.7432.8332.5931.3333.3224.4835.19
    Thailand38.8838.1237.5735.4543.1139.6238.9241.0335.4535.1941.0323.1555.50
    Europe, Middle East, & Africa
    Czech Republic23.5022.2722.3220.8230.0725.7122.4224.5520.8220.8224.5520.8242.17
    Egypt5.755.765.745.714.626.176.095.745.715.715.773.296.25
    Hungary217.88221.39215.30190.29224.47208.70181.02212.97190.29190.29224.2190.20317.56
    Israel4.664.434.304.224.744.394.324.614.224.174.721.965.01
    Jordan0.710.710.710.710.710.710.710.710.710.710.710.640.72
    Morocco11.4811.3411.4211.709.8010.0811.0911.9411.7011.1312.067.7512.06
    Poland3.243.183.132.903.833.733.013.252.902.853.291.724.71
    Russia27.7026.8526.8026.3331.9529.2427.7228.7426.3326.1728.740.9831.95
    South Africa6.187.177.777.018.576.685.676.337.015.967.882.5012.45
    Turkey1.351.591.511.421.661.411.341.351.421.301.710.001.77
    Developed Markets
    Australia20.720.740.750.790.560.750.780.730.790.700.790.840.48
    Canada1.171.121.121.171.571.301.201.161.171.011.171.101.61
    Denmark6.165.835.885.657.085.915.496.305.655.596.315.349.00
    Euro area21.211.281.271.321.051.261.361.181.321.181.331.360.83
    Hong Kong SAR7.767.777.797.787.807.767.777.757.787.757.797.707.82
    Japan117.78114.42118.18119.07118.79107.22102.63117.75119.07109.76119.7880.63159.90
    New Zealand20.620.610.650.700.520.660.720.680.700.600.710.740.39
    Norway6.556.226.536.246.946.676.086.746.245.996.845.519.58
    Singapore1.621.581.591.531.731.701.631.661.531.531.661.391.91
    Sweden7.807.207.336.858.697.196.667.946.856.777.985.0911.03
    Switzerland1.301.221.251.221.381.241.141.311.221.191.321.121.82
    United Kingdom21.741.851.871.961.611.791.921.721.961.721.982.011.37
    Table 11 (concluded)
    Period on Period Percent Change
    2006 End of PeriodEnd of Period
    Q1Q2Q3Q420022003200420052006
    Emerging Markets
    Latin America
    Argentina–1.7–0.1–0.61.4–70.214.7–1.4–1.9–1.0
    Brazil7.9–0.1–0.21.6–34.722.48.913.79.4
    Chile–2.7–2.30.70.3–8.221.56.78.5–4.0
    Colombia–0.2–11.07.47.0–20.63.118.13.02.1
    Mexico–2.2–4.13.21.5–11.7–7.60.74.8–1.7
    Peru1.53.30.41.7–2.01.55.6–4.17.1
    Venezuela0.00.00.00.0–45.5–13.1–16.7–10.70.0
    Asia
    China0.70.31.11.30.00.00.02.63.4
    India1.0–3.10.33.80.65.25.0–3.51.8
    Indonesia8.4–2.10.42.516.26.3–9.2–5.79.3
    Korea3.92.40.21.810.8–0.515.22.58.6
    Malaysia2.60.2–0.44.50.00.00.00.57.1
    Pakistan–0.5–0.1–0.6–0.52.81.7–3.7–0.6–1.8
    Philippines4.0–3.95.72.5–3.7–3.5–1.25.98.3
    Taiwan Province of China1.10.2–2.21.60.92.07.0–3.30.7
    Thailand5.52.01.56.02.68.81.8–5.115.7
    Europe, Middle East, & Africa
    Czech Republic4.55.5–0.27.218.416.914.7–8.717.9
    Egypt–0.2–0.10.30.5–0.9–25.11.36.10.5
    Hungary–2.3–1.62.813.122.47.615.3–15.011.9
    Israel–1.25.32.92.1–7.38.01.6–6.19.2
    Jordan0.00.00.0–0.1–0.10.10.00.1–0.1
    Morocco4.01.3–0.7–2.5–1.9–2.7–9.2–7.12.0
    Poland0.31.81.57.93.52.624.0–7.211.8
    Russia3.73.20.21.8–4.59.35.5–3.69.2
    South Africa2.5–13.9–7.710.939.628.218.0–10.5–9.7
    Turkey0.2–15.14.96.7–12.417.74.7–0.6–4.7
    Developed Markets
    Australia–2.23.60.55.710.233.93.8–6.17.6
    Canada–0.64.7–0.2–4.11.321.27.93.4–0.3
    Denmark2.35.6–0.94.117.919.87.8–12.911.5
    Euro area2.35.5–0.94.118.020.07.6–12.611.4
    Hong Kong SAR–0.1–0.1–0.30.20.00.4–0.10.2–0.3
    Japan0.02.9–3.2–0.710.810.84.5–12.8–1.1
    New Zealand–9.9–1.27.37.825.925.09.5–4.83.0
    Norway2.95.3–4.84.829.24.19.6–9.88.1
    Singapore2.92.1–0.33.56.42.14.2–1.98.4
    Sweden1.88.3–1.97.120.620.98.0–16.215.9
    Switzerland0.76.6–2.22.620.011.78.7–13.27.7
    United Kingdom0.86.41.34.610.710.97.4–10.213.7
    Source: Bloomberg L.P.

    High value indicates value of greatest appreciation against the U.S. dollar; low value indicates value of greatest depreciation against the U.S. dollar. “All Time” refers to the period since 1990 or initiation of the currency.

    U.S. dollars per unit.

    Table 12.Emerging Market Bond Index: EMBI Global Total Returns Index
    2006 End of PeriodEnd of Period12-Month High12-Month LowAll-Time HighAll-Time Low
    Q1Q2Q3Q420022003200420052006
    EMBI Global35534837038522528331635038538634238664
    Latin America
    Argentina9892106126576881831261268319447
    Brazil52251655558023039044650558058150058168
    Chile17617518218515016217217818518717418798
    Colombia26425227128316920122825628328424728470
    Dominican Republic1641621761841179912615618418415618483
    Ecuador70268768156123046456263656175056175061
    El Salvador1381341451529811012313415215313215395
    Mexico32732234335325428430833335335431835458
    Panama58355861063739545251156763763855063856
    Peru51952856559134143148651559159251159252
    Uruguay156146162177629713015117717714417738
    Venezuela59557160263428139348456263463555863559
    Asia
    China25625626727123024125326027127425427498
    Indonesia13613614615412113315415413215498
    Malaysia21120921922417619420721522422620822664
    Philippines34934236839423026128033739439433739481
    Vietnam1021001071121011121129811298
    Europe, Middle East, & Africa
    Bulgaria63562266267652557963064367668562268580
    Côte d’Ivoire959590844358667984977910129
    Egypt15215115716112214015015516116115116187
    Hungary14414215015313714214414815315514215597
    Iraq1001011021021021069810698
    Lebanon21721821621514817719521221522120222199
    Morocco28829229629923726226828529929928529973
    Nigeria73173975876037758665672776076072176066
    Pakistan11311011712316016010711212312310916091
    Poland32131933534028029031232734034431734471
    Russia53152355456834842647553856857151757126
    Serbia111010211011710811711810211899
    South Africa33432834435027129732333735035332435399
    Tunisia14113914714911212713814314915013815098
    Turkey33931434035621327930733635635830735891
    Ukraine331325342353241289310334353354319354100
    Latin America32431834035418925228531635435631235662
    Non-Latin America41440442844329134237441344344439944472
    Table 12 (concluded).
    Period on Period Percent Change
    2006 End of periodEnd of period
    Q1Q2Q3Q420022003200420052006
    EMBI Global1.5–2.16.63.813.125.711.710.79.9
    Latin America
    Argentina17.9–6.014.819.0–6.419.119.82.751.3
    Brazil3.4–1.27.64.4–3.669.814.313.214.8
    Chile–0.9–0.43.91.515.88.36.03.24.1
    Colombia3.1–4.37.24.713.319.413.212.410.7
    Dominican Republic5.3–1.38.64.613.9–15.327.224.118.0
    Ecuador10.4–2.2–0.9–17.6–4.7101.521.113.2–11.8
    El Salvador2.9–2.88.75.011.911.58.814.1
    Mexico–1.7–1.46.42.816.111.68.68.16.0
    Panama2.8–4.39.34.411.914.413.011.112.3
    Peru0.91.87.04.510.826.612.66.014.8
    Uruguay3.8–6.711.28.8–40.655.634.016.317.3
    Venezuela5.9–3.95.35.318.939.923.216.112.8
    Asia
    China–1.5–0.14.21.613.64.55.13.04.1
    Indonesia2.00.17.45.79.715.9
    Malaysia–1.8–0.84.92.116.910.76.63.74.3
    Philippines3.4–1.97.67.014.613.47.120.616.8
    Vietnam0.8–2.26.75.110.6
    Europe, Middle East, & Africa
    Bulgaria–1.3–1.96.32.112.210.28.92.15.1
    Côte d’Ivoire21.40.0–5.9–6.3–20.734.812.920.07.1
    Egypt–1.9–0.73.82.718.514.46.83.83.8
    Hungary–2.7–1.25.62.212.33.71.22.83.7
    Iraq1.00.60.7
    Lebanon2.60.4–0.9–0.514.119.59.98.71.6
    Morocco1.11.31.51.07.210.22.46.35.0
    Nigeria0.51.22.50.33.355.811.910.74.6
    Pakistan1.7–2.76.05.231.3–0.2–33.34.510.3
    Poland–1.9–0.75.01.514.23.77.55.03.8
    Russia–1.3–1.55.92.535.922.411.513.35.5
    Serbia12.2–7.07.75.98.3
    South Africa–1.0–1.85.11.522.99.68.84.33.7
    Tunisia–1.7–1.15.31.413.38.73.73.8
    Turkey1.1–7.48.24.721.130.810.09.56.1
    Ukraine–0.9–1.85.23.521.019.87.27.75.9
    Latin America2.5–2.07.04.26.833.013.410.911.9
    Non-Latin America0.1–2.35.93.421.017.79.210.67.2
    Source: JPMorgan Chase & Co.

    Data prior to 2006 refer to Serbia and Montenegro.

    Table 13.Emerging Market Bond Index: EMBI Global Yield Spreads(In basis points)
    2006 End of PeriodEnd of Period12-Month High12-Month LowAll-Time HighAll-Time Low
    Q1Q2Q3Q420022003200420052006
    EMBI Global1912182081717254033472371712371701,631170
    Latin America
    Argentina3443853422166,3425,4854,5275042165042167,222216
    Brazil2322522321901,4604593763081903081902,451190
    Chile7383858417690648084906726052
    Colombia1742392021616334273322441612651461,076146
    Dominican Republic2782992501964991,1418243781963781921,750192
    Ecuador5035066089201,8017996906619209204364,764436
    El Salvador171217201159411284245239159
    Mexico1401541411153292011741431151721131,149113
    Panama176212187146446324274239146239146769146
    Peru2262021691186093252392571182631171,061117
    Uruguay2233072541851,2286363882981853111851,982185
    Venezuela1902262331831,1315864033131833131612,658161
    Asia
    China686567518458576851705036439
    Indonesia213220205153244269153273153433153
    Malaysia8697896621210078826699651,14165
    Philippines233259232155522415457302155305153993153
    Vietnam14917515595190951979519795
    Europe, Middle East, & Africa
    Bulgaria831058766291177779066105511,67951
    Côte d’Ivoire2,5682,7132,8953,3253,1953,0133,1213,0703,3253,3252,4963,609582
    Egypt801031015232513110158521232064620
    Hungary7590795852283274589055196–22
    Iraq465444514526526549376549376
    Lebanon1721893663957764213342463954191581,082111
    Morocco875490723901601707572112481,60648
    Nigeria259253325661,94649945732966392132,93713
    Pakistan1442512401542712331981542731222,225122
    Poland6469614718576696247774241017
    Russia1051231159947825721311899135937,06392
    Serbia1181266246186238186285165322165
    South Africa85123998425015210287841386575765
    Tunisia9212190832731469181831244939448
    Turkey1822942562076963092642232073281681,196168
    Ukraine1982572181726712582551841722821602,314157
    Latin America2082312181809815184152721802721791,532179
    Non-Latin America1641981931594442482391791592101501,812150
    Table 13 (concluded).
    Period on Period Spread Change
    2006 End of periodEnd of period
    Q1Q2Q3Q420022003200420052006
    EMBI Global–4627–10–37–3–322–56–110–66
    Latin America
    Argentina–16041–43–126979–857–958–4,023–288
    Brazil–7620–20–42596–1,001–83–68–118
    Chile–7102–11–86–26164
    Colombia–7065–37–41125–206–95–88–83
    Dominican Republic–10021–49–5453642–317–446–182
    Ecuador–1583102312568–1,002–109–29259
    El Salvador–6846–16–42–127–39–6–80
    Mexico–314–13–2623–128–27–31–28
    Panama–6336–25–4142–122–50–35–93
    Peru–31–24–33–5188–284–8618–139
    Uruguay–7584–53–69944–592–248–90–113
    Venezuela–123367–501–545–183–90–130
    Asia
    China0–32–16–15–26–111–17
    Indonesia–567–15–5225–116
    Malaysia411–8–235–112–224–16
    Philippines–6926–27–7756–10742–155–147
    Vietnam–4126–20–60–95
    Europe, Middle East, & Africa
    Bulgaria–722–18–21–142–114–10013–24
    Côte d’Ivoire–502145182430777–182108–51255
    Egypt2223–2–49–35–194–30–43–6
    Hungary115–11–21–41–24442–16
    Iraq–217012
    Lebanon–741717729131–355–87–88149
    Morocco12–3336–18–128–23010–95–3
    Nigeria–70–672–259843–1,447–42–128–263
    Pakistan–54107–11–86–844233–35–44
    Poland25–8–14–10–109–7–7–15
    Russia–1318–8–16–191–221–44–95–19
    Serbia1–5785–20–60–52
    South Africa–238–24–15–69–98–50–15–3
    Tunisia1129–31–7–127–55–102
    Turkey–41112–38–49–6–387–45–41–16
    Ukraine1459–39–46–269–413–3–71–12
    Latin America–6423–13–3893–463–103–143–92
    Non-Latin America–1534–5–34–79–196–9–60–20
    Source: JPMorgan Chase & Co.

    Data prior to 2006 refer to Serbia and Montenegro.

    Table 14.Emerging Market External Financing: Total Bonds, Equities, and Loans(In millions of U.S. dollars)
    2006
    2000200120022003200420052006Q1Q2Q3Q4
    Total216,841.9148,946.0133,282.8195,744.8276,541.2401,288.8483,460.0101,324.5121,399.997,267.0163,468.5
    Africa10,006.96,169.37,014.010,862.011,359.911,601.311,650.74,529.43,816.21,914.31,390.8
    Algeria50.0150.040.0271.7412.7
    Angola455.0350.01,522.02,900.03,122.788.038.837.112.1
    Botswana22.5
    Burkina Faso11.0
    Cameroon53.8100.0
    Chad300.0
    Congo, Dem. Rep. of20.8
    Côte d’Ivoire15.0100.0
    Djibouti40.0
    Ethiopia40.0
    Gabon22.034.314.420.0
    Ghana320.0291.0420.0650.0870.0662.5846.050.0796.0
    Guinea70.0
    Kenya7.580.2134.023.516.816.8
    Malawi4.8
    Mali150.4287.6288.9
    Mauritius180.0100.080.0
    Morocco56.4136.1474.7147.63.48.1136.0
    Mozambique160.035.5
    Namibia35.050.0100.050.050.0
    Niger27.0
    Nigeria95.0960.0488.0225.0618.8480.0480.0
    Senegal40.0
    Seychelles40.5150.080.0
    South Africa8,869.33,977.74,053.16,553.15,492.26,118.09,104.34,306.03,202.4840.1755.8
    Sudan31.0
    Tanzania135.0
    Tunisia557.4533.0740.5485.2924.4582.1473.5473.5
    Zambia30.0105.0105.0
    Zimbabwe75.175.1
    Asia84,015.355,888.352,129.085,939.6116,367.8145,731.1194,248.837,313.546,989.033,934.976,011.4
    Bangladesh176.832.632.6
    Brunei Darussalam129.0
    China9,226.94,254.84,256.112,842.922,850.134,914.251,748.03,435.617,167.35,673.925,471.1
    Hong Kong SAR30,191.19,306.46,591.97,693.413,050.214,569.518,927.51,351.87,381.63,673.76,520.4
    India3,428.02,065.51,360.03,775.713,059.718,829.531,163.97,153.94,141.03,937.915,931.1
    Indonesia1,185.1971.9618.05,198.23,636.15,255.26,316.92,102.0521.5365.83,327.7
    Korea15,105.216,181.215,909.317,244.123,916.034,985.637,442.311,761.08,997.78,268.18,415.6
    Lao P.D.R.210.0500.0
    Macao SAR29.5357.01,480.3800.0680.3
    Malaysia4,116.93,878.34,142.15,550.16,300.95,547.97,826.32,487.2469.12,687.42,182.7
    Marshall Islands34.724.0170.0170.0
    Mongolia30.0
    Pakistan182.585.0800.0591.82,713.0900.0119.8771.0
    Papua New Guinea153.7922.2
    Philippines4,548.13,263.85,396.25,727.36,056.35,681.68,876.12,468.358.31,698.44,651.1
    Singapore8,200.911,331.63,094.66,857.68,934.87,678.415,957.63,050.43,847.94,502.44,556.9
    Sri Lanka100.0105.0186.0135.0367.0128.79.719.0100.0
    Taiwan Province of China6,382.13,662.89,198.418,337.112,986.311,221.66,362.71,387.41,338.72,062.91,573.8
    Thailand1,484.5684.4930.12,322.43,784.64,520.84,328.1831.31,951.2297.21,248.3
    Vietnam17.0383.551.0114.01,014.0774.7204.8162.568.0339.4
    Europe41,018.821,727.429,940.046,459.372,717.6102,213.1139,298.027,058.630,502.335,175.746,561.4
    Azerbaijan16.01,005.0383.7911.2750.035.00.3126.0
    Belarus24.032.0298.045.347.7121.383.8
    Bulgaria8.9230.41,260.8322.5818.1573.7507.550.5457.0
    Croatia1,456.61,724.21,384.11,944.42,196.9637.21,268.2475.6792.6
    Cyprus384.6633.0547.9648.21,174.01,453.83,660.9318.11,201.41,300.5840.9
    Czech Republic127.1485.1453.41,518.82,904.12,169.51,435.6105.0285.81,044.8
    Estonia232.4202.1333.9457.31,187.7693.5449.4449.4
    Faroe Islands85.3206.2206.2
    Georgia6.0
    Gibraltar80.01,319.52,168.92,371.71,934.2437.5
    Hungary1,252.91,347.21,040.23,870.48,134.58,687.57,597.43,490.51,002.41,072.62,031.9
    Kazakhstan449.6573.51,043.52,200.05,093.25,457.915,929.01,883.12,125.43,737.98,182.6
    Kyrgyz Republic95.0
    Latvia23.0212.174.670.7889.3391.31,401.3237.5293.5656.5213.8
    Lithuania679.4247.3374.3431.7888.21,222.01,241.7485.4756.2
    Macedonia17.4
    Malta85.0114.7392.7256.060.0196.0
    Moldova1.0
    Poland4,468.53,135.15,941.28,550.34,909.314,949.66,761.03,653.1431.6108.02,568.2
    Romania589.41,347.21,442.21,738.8659.02,229.8564.386.1120.9127.4230.0
    Russia8,312.52,831.28,534.512,238.822,532.137,062.160,941.19,042.812,809.220,554.418,534.7
    Serbia119.4
    Slovak Republic1,293.9219.9143.1940.61,315.7579.31,217.11,217.1
    Slovenia672.7827.2309.3394.81,430.81,881.51,672.5215.51,124.9332.1
    Turkey19,819.86,271.36,382.59,549.514,734.518,521.625,501.33,070.310,193.15,383.26,854.7
    Ukraine1,127.415.0514.01,400.02,434.93,031.85,101.7524.5120.01,156.23,301.0
    Uzbekistan40.05.046.037.84.94.9
    Middle East15,412.511,247.310,943.08,954.322,553.456,601.273,032.715,666.426,198.211,237.719,930.5
    Bahrain1,477.0202.0922.62,326.61,767.03,070.93,787.1795.0819.1670.01,503.0
    Egypt909.52,500.0670.0155.01,138.73,395.13,323.2257.82,777.9200.087.5
    Iran, I.R. of757.7887.02,666.4700.01,942.71,928.8134.873.843.317.7
    Iraq107.82,877.02,877.0
    Israel3,150.01,897.6344.4766.63,514.03,986.44,331.61,729.7128.0339.12,134.8
    Jordan60.080.9199.460.060.0
    Kuwait250.0770.0750.0365.01,282.54,783.04,761.31,271.42,821.4468.5200.0
    Lebanon1,932.43,300.0990.0160.04,383.01,780.02,956.5248.42,613.195.0
    Libya50.0
    Oman600.02,332.0818.31,328.64,747.13,245.4250.02,970.425.0
    Qatar1,980.0895.01,536.7880.82,042.710,418.511,425.42,765.22,283.22,241.64,135.4
    Saudi Arabia2,200.9275.0280.0839.52,214.04,981.08,772.72,007.05,650.289.51,026.0
    United Arab Emirates2,045.0520.7370.01,942.62,741.017,402.627,357.73,391.09,062.14,240.910,663.8
    Latin America66,388.553,913.833,256.843,529.553,542.485,142.165,229.716,756.713,894.215,004.419,574.5
    Argentina16,643.55,017.9824.2130.01,882.422,180.62,814.9969.4550.0325.5970.0
    Bolivia10.090.0116.0123.0
    Brazil21,454.119,265.611,119.412,908.615,834.024,962.225,837.97,383.15,868.56,368.96,217.4
    Chile5,747.54,335.32,959.64,631.06,439.95,956.05,279.31,048.51,760.41,117.11,353.3
    Colombia3,028.24,974.82,096.01,911.21,626.82,780.94,915.6238.1365.02,300.12,012.4
    Costa Rica250.0365.0250.0490.0310.0117.21.71.7
    Cuba69.81.9
    Dominican Republic74.0531.1258.0650.4140.5244.4721.9304.940.0112.0265.0
    Ecuador910.010.0712.5
    El Salvador160.0421.51,391.5381.0467.0454.51,309.6400.0721.6188.0
    Grenada100.0
    Guadeloupe17.4
    Guatemala505.0325.044.0300.0439.3365.0
    Haiti96.556.540.0
    Honduras169.04.6
    Jamaica421.0821.5345.049.6903.21,466.61,268.4350.0568.4150.0200.0
    Mexico14,299.412,348.010,040.616,964.318,832.816,314.416,315.44,745.63,351.42,011.96,206.5
    Nicaragua22.0
    Paraguay70.0
    Peru465.4237.51,993.01,375.01,475.72,184.21,478.8305.0101.9150.0921.9
    St. Lucia20.0
    Trinidad and Tobago280.070.0303.046.0415.0100.02,454.4400.0812.11,242.3
    Uruguay797.11,147.4400.01,061.32,700.01,000.0500.01,200.0
    Venezuela2,263.33,063.41,015.03,672.54,399.16,112.635.312.120.03.2
    Source: Data provided by the Bond, Equity and Loan database of the International Monetary Fund sourced from Dealogic.

    Data prior to 2006 refer to Serbia and Montenegro.

    Table 15.Emerging Market External Financing: Bond Issuance(In millions of U.S. dollars)
    2006
    2000200120022003200420052006Q1Q2Q3Q4
    Developing Countries82,994.780,710.764,628.1100,538.9135,345.4188,542.2174,841.249,646.335,387.232,640.857,167.0
    Africa2,119.41,509.62,161.14,357.82,495.43,059.25,904.61,948.82,411.9840.1703.7
    Morocco464.9
    South Africa1,656.31,047.71,511.13,535.91,950.92,568.35,904.61,948.82,411.9840.1703.7
    Tunisia463.1462.0650.0357.0544.5490.9
    Asia23,067.727,946.024,336.737,076.952,125.452,601.155,784.314,913.212,761.313,471.514,638.3
    China652.72,341.9340.02,039.24,888.13,953.93,057.0333.3499.6695.71,528.5
    Hong Kong SAR3,998.32,950.31,923.32,160.63,725.36,457.95,057.0565.62,539.4225.01,727.0
    India689.399.3153.0450.04,631.04,247.75,979.52,396.91,334.11,169.51,079.0
    Indonesia137.0275.0609.01,363.53,217.73,000.02,000.01,000.0
    Korea8,505.67,279.79,071.511,880.117,529.219,426.920,375.23,928.65,008.66,394.05,043.9
    Malaysia1,119.71,816.11,280.01,142.51,414.52,303.13,372.41,200.01,772.4400.0
    Pakistan500.01,050.0800.0250.0
    Philippines2,467.31,842.44,773.84,449.64,458.13,900.04,619.02,214.81,654.2750.0
    Singapore3,886.89,048.2826.34,534.84,856.03,203.25,820.3684.02,654.5816.81,665.0
    Sri Lanka100.0
    Taiwan Province of China1,748.02,152.45,645.89,511.07,259.72,898.12,289.0400.0525.0634.0730.0
    Thailand278.648.0300.01,400.02,242.61,165.0390.0200.0110.0465.0
    Vietnam750.0
    Europe18,521.810,981.315,342.024,173.137,169.354,692.357,596.616,774.210,110.28,664.122,048.2
    Azerbaijan
    Bulgaria223.41,247.862.110.0385.4221.4221.4
    Croatia858.0934.0847.5983.61,651.0383.5191.8191.7
    Cyprus480.5479.8648.21,174.01,133.11,601.41,201.4400.0
    Czech Republic50.7428.4337.72,538.61,324.5908.3274.9633.4
    Estonia171.465.5292.6323.3964.8427.3
    Gibraltar1,319.5
    Hungary540.81,247.870.52,447.55,751.07,340.37,537.33,490.51,002.41,012.52,031.9
    Kazakhstan370.0250.0509.0825.03,225.02,850.06,354.51,706.11,600.01,182.51,865.9
    Latvia180.8536.1125.4246.8246.8
    Lithuania376.2222.4355.6431.7815.7780.61,241.7485.4756.2
    Poland724.91,155.82,679.95,220.33,526.511,812.84,632.43,628.0181.7822.7
    Romania259.5908.61,062.2813.61,199.0
    Russia4,660.01,073.73,430.04,455.07,129.915,436.720,826.83,307.04,585.12,652.210,282.5
    Slovak Republic809.5219.9143.1861.31,198.81,217.11,217.1
    Slovenia384.7490.030.266.3156.7
    Turkey8,239.32,158.73,266.35,453.86,266.59,621.99,310.42,493.41,292.92,291.73,232.4
    Ukraine1,127.4499.01,310.02,315.02,098.43,115.1446.6658.52,010.0
    Middle East4,875.66,285.73,964.22,706.610,155.017,907.324,641.55,746.46,785.72,290.29,819.2
    Bahrain288.5582.61,326.6292.01,299.71,120.0720.0300.0100.0
    Egypt1,500.01,250.0
    Iran, I.R. of986.3
    Iraq2,700.02,700.0
    Israel1,254.71,485.7344.4750.02,520.0905.12,892.51,392.51,500.0
    Jordan80.9145.0
    Kuwait750.0200.0500.0500.0534.719.3515.3
    Lebanon1,932.43,300.0990.0160.04,383.01,780.02,613.12,613.1
    Oman250.025.025.0
    Qatar1,400.0665.02,250.03,040.0650.01,550.0840.0
    Saudi Arabia270.01,300.01,951.81,393.358.5500.0
    United Arab Emirates230.01,400.08,622.49,764.4914.51,614.0381.76,854.2
    Latin America34,410.133,988.118,824.132,224.433,400.460,282.330,914.310,263.83,318.17,374.89,957.6
    Argentina13,024.83,094.5100.01,115.419,092.61,745.5200.0250.0325.5970.0
    Brazil10,607.112,053.46,809.511,718.89,573.217,683.211,699.74,039.1875.03,524.23,261.3
    Chile679.71,936.01,728.92,900.02,350.0900.01,100.0200.0200.0200.0500.0
    Colombia1,547.24,343.11,000.01,765.01,543.82,432.13,176.6238.1170.02,300.1468.4
    Costa Rica250.0250.0250.0490.0310.0
    Dominican Republic500.0600.0196.6550.0300.0250.0
    Ecuador650.0
    El Salvador50.0353.51,391.5348.5286.5375.0625.0400.0225.0
    Grenada100.0
    Guatemala325.0300.0380.0200.0
    Jamaica421.0815.7300.0806.91,050.0880.0350.0180.0150.0200.0
    Mexico6,453.47,881.74,914.19,082.111,369.08,455.77,109.43,436.6760.0150.02,762.8
    Peru100.01,930.01,250.01,305.72,157.1445.0100.0345.0
    Trinidad and Tobago250.0100.0100.0883.1400.0483.1
    Uruguay637.61,106.1400.01,061.32,700.01,000.0500.01,200.0
    Venezuela489.41,229.13,670.04,260.05,928.7
    Source: Data provided by the Bond, Equity and Loan database of the International Monetary Fund sourced from Dealogic.
    Table 16.Emerging Market External Financing: Equity Issuance(In millions of U.S. dollars)
    2006
    2000200120022003200420052006Q1Q2Q3Q4
    Developing Countries46,192.112,098.716,571.927,825.145,343.278,490.1119,809.222,348.630,083.920,782.646,594.0
    Africa103.3150.9340.5919.61,855.7924.72,367.72,107.275.1133.352.1
    Côte d’Ivoire100.0
    Morocco56.46.8133.3133.3
    South Africa46.9144.1340.5919.61,724.7924.72,159.22,107.252.1
    Sudan31.0
    Zimbabwe75.175.1
    Asia35,177.810,339.112,554.624,252.535,273.658,531.077,598.611,879.125,267.46,691.833,760.3
    China7,554.21,570.02,475.06,415.714,406.626,003.941,985.62,140.814,029.22,396.423,419.2
    Hong Kong SAR17,601.11,638.02,880.62,962.25,247.84,675.38,527.375.33,738.71,367.33,346.0
    India1,791.0467.2264.81,299.73,937.66,708.47,772.32,030.91,878.2286.93,576.3
    Indonesia27.8347.2281.01,096.7535.21,283.5665.952.0204.3409.7
    Korea978.63,676.41,553.71,222.63,223.37,814.97,329.84,586.22,577.097.669.0
    Macao SAR29.50.30.3
    Malaysia15.4888.4618.1887.2735.2217.3197.519.7
    Pakistan922.2
    Papua New Guinea153.7922.2
    Philippines194.611.3114.9535.8756.0253.658.3444.2
    Singapore2,949.91,272.9929.61,168.72,472.72,635.93,687.61,757.8712.3678.6538.9
    Sri Lanka55.5
    Taiwan Province of China4,007.11,126.63,213.98,276.33,350.07,602.63,644.5720.3758.11,374.4791.8
    Thailand44.0225.356.31,038.71,098.4479.71,772.4109.41,351.288.5223.3
    Vietnam317.3204.8112.5
    Europe3,784.4259.41,681.71,809.05,287.310,276.124,592.42,487.91,479.612,401.98,223.0
    Croatia22.3220.0220.0
    Cyprus298.4320.71,181.7233.1107.7840.9
    Czech Republic824.6174.4295.1287.2287.3
    Estonia41.3266.2
    Gibraltar2,168.9437.5437.5
    Hungary19.113.2884.7
    Kazakhstan3,953.82,255.41,698.4
    Latvia22.7
    Lithuania150.551.2
    Poland403.2245.4602.6841.4944.0712.125.241.9108.0537.1
    Romania172.5172.5
    Russia476.2237.11,301.0368.72,480.16,210.017,596.32,229.71,000.29,905.54,460.9
    Turkey2,437.171.4906.56.06.0
    Ukraine19.925.325.3
    Middle East1,974.786.816.6868.52,963.33,365.62,154.4780.231.5399.5
    Bahrain81.2581.8581.8
    Egypt319.4141.0678.3257.8257.8
    Israel1,655.386.816.6624.01,157.5342.357.2125.2159.8
    Jordan
    Lebanon248.4248.4
    Oman23.6148.4
    Qatar1,133.21,133.2
    Saudi Arabia80.059.259.2
    United Arab Emirates898.0742.8398.573.131.5239.6
    Latin America5,151.91,262.51,995.0827.42,058.25,795.211,884.83,720.12,481.51,524.04,159.3
    Argentina393.134.4769.4769.4
    Brazil3,102.51,228.11,148.5287.41,651.03,433.18,713.02,059.42,366.71,524.02,763.0
    Chile266.4522.7603.3603.3
    Dominican Republic74.0
    Mexico1,582.3846.6540.0140.81,839.31,222.3891.4114.8216.1
    Peru576.9576.9
    Source: Data provided by the Bond, Equity and Loan database of the International Monetary Fund sourced from Dealogic.
    Table 17.Emerging Market External Financing: Loan Syndication(In millions of U.S. dollars)
    2006
    2000200120022003200420052006Q1Q2Q3Q4
    Total87,655.156,136.752,082.867,380.895,852.7134,256.5188,809.629,329.755,928.843,843.659,707.5
    Africa7,784.24,508.84,512.45,584.67,008.97,617.43,378.4473.41,329.2940.8635.0
    Algeria50.0150.040.0271.7412.7
    Angola455.0350.01,522.02,900.03,122.788.038.837.112.1
    Botswana22.5
    Burkina Faso11.0
    Cameroon53.8100.0
    Chad300.0
    Congo, Dem. Rep. of20.8
    Côte d’Ivoire15.0
    Djibouti40.0
    Ethiopia40.0
    Gabon22.034.314.420.0
    Ghana320.0291.0420.0650.0870.0662.5846.050.0796.0
    Guinea70.0
    Kenya7.580.2134.023.516.816.8
    Malawi4.8
    Mali150.4287.6288.9
    Mauritius180.0100.080.0
    Morocco129.39.814.23.48.12.7
    Mozambique160.035.5
    Namibia35.050.0100.050.050.0
    Niger27.0
    Nigeria95.0960.0488.0225.0618.8480.0480.0
    Senegal40.0
    Seychelles40.5150.080.0
    South Africa7,166.12,786.02,201.52,097.51,816.62,625.01,040.5250.0790.5
    Tanzania135.0
    Tunisia94.371.090.5128.2379.991.2473.5473.5
    Zambia30.0105.0105.0
    Asia25,769.717,603.315,237.724,610.228,968.934,599.160,866.010,521.38,960.313,771.627,612.8
    Bangladesh176.832.632.6
    Brunei Darussalam129.0
    China1,020.0343.01,441.24,388.13,555.34,956.36,705.4961.52,638.62,581.8523.5
    Hong Kong SAR8,591.64,718.11,788.02,570.64,077.23,436.35,343.2710.91,103.52,081.41,447.4
    India947.61,499.0942.22,025.94,491.27,873.417,412.12,726.1928.72,481.511,275.9
    Indonesia1,157.3487.662.03,492.51,737.4754.02,651.0102.0469.5161.51,918.0
    Korea5,621.05,225.15,284.24,141.33,163.47,743.89,737.43,246.21,412.01,776.43,302.7
    Lao P.D.R.210.0500.0
    Macao SAR357.01,480.0800.0680.0
    Malaysia2,997.22,046.71,973.63,789.43,999.22,509.74,236.71,287.2469.1717.51,762.9
    Marshall Islands34.724.0170.0170.0
    Mongolia30.0
    Pakistan182.585.0300.0591.8740.8100.0119.8521.0
    Philippines1,886.21,421.4611.11,277.71,483.41,245.83,501.244.23,457.0
    Singapore1,364.21,010.61,338.81,154.11,606.11,839.26,449.7608.6481.03,007.02,353.1
    Sri Lanka100.0105.0186.035.0311.5128.79.719.0100.0
    Taiwan Province of China627.0383.7338.7549.82,376.6720.8429.2267.155.654.552.0
    Thailand1,440.5180.5825.7983.71,286.21,798.61,390.7331.9400.098.7560.0
    Vietnam17.0383.551.0114.0264.0457.450.068.0339.4
    Europe18,712.610,486.712,916.320,477.230,261.137,244.857,109.07,796.618,912.514,109.716,290.2
    Armenia
    Azerbaijan16.01,005.0383.7911.2750.035.00.3126.0
    Belarus24.032.0298.045.347.7121.383.8
    Bulgaria8.97.013.0260.4808.1188.2286.150.5235.6
    Croatia598.6768.0536.6960.8545.9637.2664.7283.8380.9
    Cyprus86.3152.568.1877.885.0792.8
    Czech Republic127.1434.425.0356.5191.1549.9240.0105.010.9124.1
    Estonia61.0136.6133.9222.9449.4449.4
    Faroe Islands85.3206.2206.2
    Georgia6.0
    Gibraltar80.01,934.21,934.2
    Hungary693.099.4969.71,409.71,498.81,347.360.160.1
    Kazakhstan79.6323.5534.51,375.01,868.22,607.95,620.7177.0525.4300.04,618.3
    Kyrgyz Republic95.0
    Latvia23.031.351.970.7353.2265.81,154.5237.546.7656.5213.8
    Lithuania152.724.918.872.5390.2
    Macedonia17.4
    Malta85.0114.7392.7256.060.0196.0
    Moldova1.0
    Poland3,340.51,979.33,016.02,727.4541.42,192.81,416.4208.01,208.4
    Romania329.9438.6380.0925.2659.01,030.8391.886.1120.9127.457.5
    Russia3,176.31,520.43,803.57,415.112,922.115,415.322,518.03,506.27,223.87,996.63,791.3
    Serbia119.4
    Slovak Republic484.479.3117.0579.3
    Slovenia288.0337.2279.0394.81,364.51,724.81,672.5215.51,124.9332.1
    Tajikistan
    Turkey9,143.44,112.63,044.84,095.77,561.58,899.716,184.9576.98,900.23,091.53,616.3
    Ukraine15.015.090.0119.9913.61,961.377.8120.0472.51,291.0
    Uzbekistan40.05.046.037.84.94.9
    Middle East8,562.24,874.76,978.86,231.211,530.035,730.645,025.67,765.618,632.28,915.99,711.9
    Bahrain1,188.5202.0340.01,000.01,475.01,690.02,085.275.0237.2370.01,403.0
    Egypt590.11,000.0670.0155.0997.71,466.83,065.42,777.9200.087.5
    Iran, I.R. of757.7887.01,680.1700.01,942.71,928.8134.873.843.317.7
    Iraq107.8177.0177.0
    Israel240.0325.0370.01,923.81,096.8280.02.7339.1475.0
    Jordan60.054.460.060.0
    Kuwait250.0770.0165.0782.54,283.04,226.71,252.12,306.1468.5200.0
    Lebanon95.095.0
    Libya50.0
    Oman600.02,332.0818.31,055.04,598.73,220.4250.02,970.4
    Qatar580.0895.01,536.7880.81,377.78,168.57,252.21,632.01,633.2691.63,295.4
    Saudi Arabia2,200.9275.0280.0569.52,134.03,681.06,761.71,947.84,256.931.0526.0
    United Arab Emirates2,045.0520.7140.01,942.61,341.07,882.316,850.52,077.97,375.03,827.63,570.0
    Latin America26,826.518,663.212,437.610,477.718,083.919,064.622,430.62,772.88,094.66,105.65,457.6
    Argentina3,225.61,889.0824.230.0767.03,088.0300.0300.0
    Bolivia10.090.0116.0123.0
    Brazil7,744.65,984.03,161.4902.44,609.83,845.95,425.31,284.72,626.81,320.7193.1
    Chile5,067.82,399.31,230.71,731.03,823.54,533.33,576.0848.51,560.4917.1250.0
    Colombia1,481.0631.71,096.0146.283.0348.81,739.0195.01,544.0
    Costa Rica115.0117.21.71.7
    Cuba69.81.9
    Dominican Republic31.1258.050.4140.547.8171.94.940.0112.015.0
    Ecuador910.010.062.5
    El Salvador110.068.032.5180.579.5684.6496.6188.0
    Guadeloupe17.4
    Guatemala505.044.059.3165.0
    Haiti96.556.540.0
    Honduras169.04.6
    Jamaica5.845.049.696.3416.6388.4388.4
    Mexico6,263.74,466.34,280.07,342.27,323.06,019.37,983.7417.62,476.61,861.93,227.6
    Nicaragua22.0
    Paraguay70.0
    Peru465.4137.563.0125.0170.027.1456.9205.0101.9150.0
    St. Lucia20.0
    Trinidad and Tobago30.070.0303.046.0315.01,571.3329.01,242.3
    Uruguay159.541.3
    Venezuela1,773.91,834.21,015.02.5139.1184.035.312.120.03.2
    Source: Data provided by the Bond, Equity and Loan database of the International Monetary Fund sourced from Dealogic.

    Data prior to 2006 refer to Serbia and Montenegro.

    Table 18.Equity Valuation Measures: Dividend-Yield Ratios
    2006
    2000200120022003200420052006Q1Q2Q3Q4
    Argentina4.625.163.421.081.001.720.831.361.061.130.83
    Brazil3.184.935.513.464.433.893.133.533.233.373.13
    Chile2.332.312.761.763.012.961.912.882.692.531.91
    China0.951.952.412.192.262.661.452.262.331.971.45
    Colombia11.125.634.783.922.521.712.461.732.452.462.46
    Czech Republic0.952.282.366.854.291.323.301.242.323.653.30
    Egypt5.756.487.534.691.981.412.311.192.882.212.31
    Hong Kong SAR2.583.253.852.822.743.182.573.103.042.852.57
    Hungary1.461.301.400.941.952.162.451.972.792.802.45
    India1.592.031.811.471.531.251.011.111.271.101.01
    Indonesia3.053.654.173.833.233.252.342.802.862.722.34
    Israel2.262.241.471.101.431.952.041.952.322.092.04
    Jordan4.543.513.772.361.571.053.421.263.103.143.42
    Korea2.051.541.381.822.401.691.621.671.821.711.62
    Malaysia1.701.872.042.382.222.892.592.762.782.902.59
    Mexico1.631.982.301.831.871.621.231.481.491.411.23
    Morocco3.593.974.844.183.613.843.452.843.903.553.45
    Pakistan5.1216.0110.958.637.045.045.804.184.734.725.80
    Peru3.383.162.371.753.285.055.585.625.915.805.58
    Philippines1.441.431.971.431.652.242.252.262.502.452.25
    Poland0.681.871.841.281.282.694.162.694.054.744.16
    Russia0.921.111.872.383.121.591.031.241.381.171.03
    Singapore1.401.802.272.032.252.582.292.392.802.662.29
    South Africa2.753.473.833.222.632.492.382.322.402.672.38
    Sri Lanka5.594.793.352.512.631.721.411.451.931.801.41
    Taiwan Province of China1.711.421.601.862.953.923.533.863.753.913.53
    Thailand2.132.022.481.693.033.663.903.754.114.003.90
    Turkey1.911.151.350.891.932.002.892.083.073.032.89
    Venezuela5.053.892.383.685.757.292.295.036.736.292.29
    Emerging Markets2.092.302.432.252.612.552.152.382.472.392.15
    EM Asia1.711.731.811.962.482.582.132.442.512.402.13
    EM Latin America2.693.373.642.613.303.032.402.812.662.652.40
    EM Europe & Middle East1.841.691.711.812.151.881.811.722.101.981.81
    ACWI Free1.461.722.251.992.082.052.082.052.222.162.08
    Source: Data are from Morgan Stanley Capital International.Note: The countries above include the 27 constituents of the Emerging Markets index as well as Hong Kong SAR and Singapore. Regional breakdowns conform to Morgan Stanley Capital International conventions. All indices reflect investable opportunities for global investors by taking into account restrictions on foreign ownership. The indices attempt to achieve an 85 percent representation of freely floating stocks.
    Table 19.Equity Valuation Measures: Price-to-Book Ratios
    2006
    2000200120022003200420052006Q1Q2Q3Q4
    Argentina1.040.861.201.792.243.103.543.303.092.683.54
    Brazil1.181.111.241.811.842.372.462.382.382.122.46
    Chile1.491.391.151.551.781.902.272.011.911.952.27
    China2.751.881.302.161.982.053.242.462.352.393.24
    Colombia0.490.531.181.341.923.421.883.402.641.721.88
    Czech Republic1.000.810.841.061.642.472.662.612.382.392.66
    Egypt2.321.391.052.173.898.024.675.493.224.434.67
    Hong Kong SAR1.671.381.011.471.711.621.971.681.721.751.97
    Hungary2.332.031.911.972.622.972.983.052.822.512.98
    India2.712.132.153.793.634.395.184.814.134.705.18
    Indonesia1.032.722.232.263.013.094.403.473.213.814.40
    Israel3.042.221.742.462.623.052.262.792.392.222.26
    Jordan1.021.381.261.983.014.712.213.292.862.512.21
    Korea0.821.331.211.521.361.911.731.781.691.691.73
    Malaysia1.591.761.541.851.951.832.201.901.881.942.20
    Mexico1.911.991.772.202.583.263.613.203.063.143.61
    Morocco2.561.791.401.502.422.674.173.793.774.064.17
    Pakistan1.410.882.042.312.393.592.884.003.053.082.88
    Peru1.131.291.842.772.282.873.932.883.373.803.93
    Philippines1.271.110.851.401.612.012.772.121.972.292.77
    Poland2.101.331.371.722.112.622.572.552.332.252.57
    Russia0.901.271.221.331.112.442.682.612.642.472.68
    Singapore2.051.631.261.621.701.802.191.931.821.882.19
    South Africa2.681.811.721.952.433.233.253.653.493.233.25
    Sri Lanka0.600.831.221.521.431.952.592.202.011.942.59
    Taiwan Province of China1.871.981.532.101.882.032.181.961.821.982.18
    Thailand1.511.681.832.942.412.351.902.261.972.001.90
    Turkey2.723.801.762.021.922.192.072.291.89