Abstract

The 2019 Financial Soundness Indicators Compilation Guide (2019 Guide) includes new indicators to expand the coverage of the financial sector, including other financial intermediaries, money market funds, insurance corporations, pension funds, nonfinancial corporations, and households. In all, the 2019 Guide recommends the compilation of 50 FSIs—13 of them new. Additions such as new capital, liquidity and asset quality metrics, and concentration and distribution measures will serve to enhance the forward-looking aspect of FSIs and contribute to increase policy focus on stability of the financial system.

GUIDE

FINANCIAL SOUNDNESS INDICATORS COMPILATION GUIDE

INTERNATIONAL MONETARY FUND

GUIDE

FINANCIAL SOUNDNESS INDICATORS COMPILATION GUIDE

2019

INTERNATIONAL MONETARY FUND

© 2019 International Monetary Fund

Cataloging-in-Publication Data IMF Library

Names: International Monetary Fund, publisher.

Title: Financial soundness indicators compilation guide.

Description: [Washington, DC] : International Monetary Fund, 2019. | Revision of the 2006 FSI Guide. | Includes bibliographical references.

Identifiers: ISBN 978148436209 (paper)

Subjects: LCSH: Financial institutions—Auditing. | Economic indicators.

Classification: LCC HF5686.F46 F352 2019

ISBN: 978-1-48439-620-9 (paper)

ISBN: 978-1-51351-095-8 (PDF)

ISBN: 978-1-51351-094-1 (ePub)

Please send orders to:

International Monetary Fund, Publication Services

P.O. Box 92780, Washington, D.C. 20090, U.S.A.

Tel.: (202) 623–7430 Fax: (202) 623–7201

E-mail: publications@imf.org

Internet: www.elibrary.imf.org

www.bookstore.imf.org

Contents

  • Preface

  • Acknowledgments

  • Acronyms

  • 1. Introduction

  • Overview

  • Background

  • The Structure of the Guide

  • Foundational Blocks

  • Description of Financial Soundness Indicators

  • Compilation and Dissemination Issues

  • The Intersection of FSIs and Macroprudential Analysis

  • 2. Institutional Sectors and the Financial System

  • Introduction

  • Institutional Units

  • Residence

  • Institutional Sectors

  • Financial Sector

  • Financial Markets

  • 3. Basel Capital and Liquidity Standards for Deposit Takers

  • Introduction

  • Evolution of the Basel Capital Accord

  • Concepts and Terminology

  • Aggregation of Capital Components under Different Basel Accords

  • 4. Accounting Principles for Financial Soundness Indicators

  • Introduction

  • Flows and Positions

  • Time of Recognition of Flows and Positions

  • Valuation

  • Recording of Gains and Losses

  • Domestic and Foreign Currencies, Unit of Account, and Exchange Rate Conversion

  • Maturity

  • 5. Sectoral Financial Statements for Financial Soundness Indicators

  • Introduction

  • Financial Statements

  • Sectoral Financial Statements

  • 6. Aggregation and Consolidation of Data

  • Introduction

  • Aggregation and Consolidation

  • Ownership and Control of Corporations

  • Consolidation Basis

  • 7. Specification of Core Financial Soundness Indicators for Deposit Takers

  • Introduction

  • Core FSIs for DTs

  • 8. Specification of Additional Financial Soundness Indicators for Deposit Takers

  • Introduction

  • Additional FSIs for DTs

  • 9. Specification of Financial Soundness Indicators for Other Financial Corporations

  • Introduction

  • Consolidation Basis

  • Calculation of Financial Soundness Indicators for OFCs

  • 10. Specification of Financial Soundness Indicators for Nonfinancial Sectors

  • Introduction

  • Consolidation Basis

  • Calculation of Financial Soundness Indicators for NFCs

  • Calculation of Financial Soundness Indicators for Households

  • Real Estate Markets

  • 11. Compilation and Dissemination of Financial Soundness Indicators

  • Introduction

  • Strategic Issues

  • Managerial Issues

  • Compilation of FSIs: Practical Issues

  • Dissemination of FSIs and Related Data

  • 12. Concentration and Distribution Measures

  • Introduction

  • Background

  • Compilation of CDMs

  • Use of CDMs

  • Addressing Confdentiality Issues

  • 13. Financial Soundness Indicators and Macroprudential Analysis

  • Introduction

  • Macroprudential Policies

  • Macroprudential Analysis

  • Related Analytic Approaches

  • Challenges to Enhance FSIs for Macroprudential Analysis

  • Annexes

  • 3.1 The Basel Regulatory Frameworks

  • 3.2 Illustration of Increasing Granularity in Standardized Approaches to Credit Risk

  • 6.1 Intra-Group Consolidation

  • 6.2 Numerical Example on Intra-Group Consolidation

  • 7.1 Summary of Core Financial Soundness Indicators for Deposit Takers

  • 7.2 Numerical Example of Liquidity Coverage Ratio

  • 7.3 Numerical Example of Net Stable Funding Ratio

  • 7.4 Islamic Deposit Takers and Financial Soundness Indicators

  • 8.1 Summary of Additional FSIs for DTs

  • 8.2 Geographical Distribution of Countries

  • 8.3 Weighted Average Interest Rate for a Loan Portfolio

  • 9.1 Summary of FSIs for OFCs

  • 10.1 Summary of FSIs for Nonfinancial Sectors

  • 12.1 CDM Template

  • 13.1 FSIs in the Financial Stability Reports of Members of the Basel Committee

  • Bibliography

  • Glossary

  • Boxes

  • 5.1 Measurement Framework

  • 7.1 Interpreting Regulatory Capital Trends

  • 7.2 Calculation of Loan Concentration by Economic Activity

  • 7.3 Source of Funds

  • 7.4 Uses of Funds

  • 8.1 Regional Grouping of Countries

  • 8.2 Co-circulation of Foreign Currency

  • 9.1 The Relative Size of the OFC Sector

  • 10.1 European Central Balance Sheet Data Offices

  • 10.2 Nonfinancial Corporations Debt to Equity in the United States

  • 10.3 Nonfinancial Corporations Debt to GDP by Instrument

  • 10.4 Earning to Interest Expenses

  • 10.5 Household Debt to GDP

  • 10.6 The Housing Bubble in the United States

  • 12.1 Step-By-Step Instructions to Compute Weighted Quartiles

  • 13.1 FSIs in the Macroprudential Literature

  • Tables

  • 1.1 Financial Soundness Indicators: The Core and Additional

  • 1.2 Financial Soundness Indicators: Mapping from the 2006 Guide

  • 3.1 Basel III Capital Ratios

  • 3.2 Basel I Risk Weights for On-Balance-Sheet Assets

  • 3.3 Credit Conversion Factors for Off-Balance-Sheet Items

  • 3.4 Recommended Aggregation of Capital Components

  • 5.1 Deposit Takers

  • 5.2 Other Financial Corporations: Money Market Funds

  • 5.3 Other Financial Corporations: Insurance Corporations

  • 5.4 Other Financial Corporations: Pension Funds

  • 5.5 Nonfinancial Corporations

  • 5.6 Households

  • 7.1 Example of Measuring the Net Open Position in Foreign Exchange

  • 12.1 CDM Indicators

  • 12.2 Subset of FSIs Covered by CDMs

  • 12.3 Example of Computing the Herfindahl Index

  • 12.4 Unweighted and Weighted Medians of Tier 1 Ratios for a Hypothetical Sample of 15 Deposit Takers

  • 12.5 Calculation Steps of the Unweighted and Weighted Medians of Tier 1 Ratios

  • 12.6 Reporting Tresholds for CDMs

  • 13.1 Comparison Between Macroprudential and Microprudential Policies

  • 13.2 Macroprudential Indicators, Policy Tools and Financial Soundness Indicators

  • Annex Tables

  • 6.1 Consolidation of Income and Expense Statements

  • 6.2 Consolidation of Balance Sheets

  • 6.3 Consolidation of Memorandum Series

  • 7.1 Islamic Deposit Taker

  • Figures

  • 3.1 Basel Capital Requirements

  • 6.1 Cross-Border, Cross-Sector, Domestically Incorporated Consolidation Basis

  • 6.2 Cross-Border, Cross-Sector, Domestically Controlled Consolidation Basis

  • 6.3 Domestic Location Consolidation Basis

  • 7.1 Interpreting Regulatory Capital Trends

  • 12.1 Example of Right Skewed Distribution

  • 12.2 Leptokurtic Distribution versus Normal Distribution

  • 12.3 Weighted Quartiles for Selected French Banks’ Capital Adequacy Ratios

  • 12.4 DM Analysis for the Return on Assets

  • 13.1 Analytic Framework for Financial Stability

Preface

In the late 1990s, the International Monetary Fund (IMF) launched an ambitious data collection effort—the Financial Soundness Indicators (FSIs)—to monitor the soundness of the system-wide financial sector, from a macroprudential vantage point. The FSIs included indicators of capital adequacy, asset quality, profitability, liquidity, and market risk sensitivity. The 2006 Financial Soundness Indicators Compilation Guide (2006 Guide) provided guidance about the source supervisory statistics, consolidation options, and compilation and dissemination advice, while simultaneously aiming at cross-country comparability. The initiative succeeded in persuading policymakers about the value of FSIs for tracking financial soundness trends that could inform financial stability analysis and policies—with a corresponding growth in the number of economies compiling and reporting these indicators.

However, the global financial crisis that started in 2007–2008 revealed to the international community the need to enhance this and other financial sector data collections and bridge necessary data gaps, including supplementing them with tail and macroeconomic measures, to strengthen macrofinancial surveillance. The response included IMF revisions to the original list of FSIs and the IMF/Financial Stability Board G-20 Data Gaps Initiative (DGI)—endorsed by the G-20 finance ministers and Central Bank governors and the IMF’s International Monetary and Financial Committee. Inter alia, these initiatives have yielded a revised list of FSIs including new international standards, operationalizing the measurement of concentration and tail risk in the financial system, and enhancing the coverage of FSIs. These efforts have been carried out in consultation and close collaboration with a broad-based group of national and international experts, international standard setting bodies, IMF’s relevant departments and all FSI-reporting countries, and concerned international organizations.

This 2019 Financial Soundness Indicators Compilation Guide (Guide) includes new indicators to expand the coverage of the financial sector, including other financial intermediaries, money market funds, insurance corporations, pension funds, nonfinancial corporations, and households. In all, the Guide recommends the compilation of 50 FSIs—13 of them new. Additions such as new capital, liquidity and asset quality metrics, and concentration and distribution measures will serve to enhance the forward-looking aspect of FSIs and contribute to increase policy focus on stability of the financial system.

Acknowledgments

This Guide was prepared by staff of the Financial Institutions Division of the Statistics Department (STA) under the general direction of Gabriel Quirós Romero (STA Deputy Director) and Marco A. Espinosa-Vega (Division Chief). René Piché (Deputy Division Chief) and José Cartas (Senior Economist) managed the project.

The primary contributors to this Guide include Evrim Bese Goksu, José Cartas, Tomas Elkjaer, Artak Harutyunyan, Phousnith Khay, André Mialou, José Carlos Moreno-Ramírez, Naoto Osawa, Renato Pérez, René Piché, Josep Puigvert, Samah Torchani, and Giovanni Ugazio.

The Guide has benefited from the review and comments of STA staf—including Francien Berry, Brian Kwok Chung Yee, Bidisha Das, Agus Firmansyah, Antonio Galicia-Escotto, Elizabeth Holmquist, Laurent Kemoe, Diane Kostroch, Mahmut Kutlukaya, Justin Matz, and Clement Ncuti—and the following Monetary and Capital Markets Department staff: Sergei Antoshin, Rachid Awad, Liliana Beatriz Schumacher, Luis Brandao-Marques, John Charles Caparusso, Fabio Cortes, Salim Darbar, Jennifer Elliott, Ellen Gaston, Javier Hamman, Abdullah Haron, David Hofman, Tumer Kapan, Dimitrios Laliotis, Mindaugas Leika, Hiroko Oura, Antonio Pancorbo, Irman Pardede, Maral Shamloo, Galen Sher, Laura Valderrama, Felix Vardy, Peter Windsor, and TengTeng Xu.

Comments by members of the FSI Reference Group, Michael Andrews and Russell Krueger, are gratefully acknowledged.

Finally, this manual benefited from the comments from numerous officials in member countries and international organizations, which are gratefully acknowledged. Also, we wish to thank participants at the April 2017 Users’ Workshop on Financial Soundness Indicators and Meeting of the FSI Reference Group in Washington, D.C., convened to assist in the revision of the 2006 Guide.

The revision also benefited from the outstanding administrative assistance by Brian Bowling and Tonia Takyi.

Louis Marc Ducharme

Chief Statistician and Data Officer, and Director

Statistics Department

International Monetary Fund

Acronyms

2006 Guide

2006 Financial Soundness Indicators Compilation Guide

AMC

Asset Management Company

ASF

Available Stable Funding

AT1

Additional Tier 1 Capital

BCBS

Basel Committee on Banking Supervision

BIS

Bank for International Settlements

BPM6

Balance of Payments and International Investment Position Manual, sixth edition

CAMELS

Capital Adequacy, Asset Quality, Management Soundness, Earnings and Profitability, Liquidity, and Sensitivity to Market Risk

CAR

Capital Adequacy Ratio

CBCSDC

Cross-Border, Cross-Sector, Domestically Controlled Consolidation Basis

CBCSDI

Cross-Border, Cross-Sector, Domestically Incorporated Consolidation Basis

CBDC

Cross-Border, Domestically Controlled Consolidation Basis

CBDI

Cross-Border, Domestically Incorporated Consolidation Basis

CCP

Central Clearing Counterparties

CDM

Concentration and Distribution Measures

CET1

Common Equity Tier 1

CPPI

Commercial Property Price Index

DCR

Displaced Commercial Risk

DGI

Data Gaps Initiative

DL

Domestic Location Consolidation Basis

DM

Distribution Measure

DQAF

Data Quality Assessment Framework

DT

Deposit Taker

EBIT

Earnings Before Interest and Tax

ECL

Expected Credit Loss

ED

Exposure at Default

ES

Expected Shortfall

FBB

Foreign Bank Branches

FC

Financial Corporation

FISIM

Financial Intermediation Services Indirectly Measured

FSAP

Financial Sector Assessment Program

FSI

Financial Soundness Indicator

FVOCI

Fair Value Trough Other Comprehensive Income

FVTPL

Fair Value Trough Profit or Loss

GDP

Gross Domestic Product

GFC

Global Financial Crisis

GFSM 2014

Government Finance Statistics Manual 2014

GNF

Global Note Facility

G-SIFI

Global Systemically Important Financial Institutions

Guide

2019 Financial Soundness Indicators Compilation Guide

HH

Household

HQLA

High Quality Liquid Assets

IAG

Inter-Agency Group on Economic and Financial Statistics

IAH

Investment Account Holders

IAS

International Accounting Standards

IASB

International Accounting Standards Board

IBS

International Banking Statistics

IC

Insurance Corporation

ICAAP

Internal Capital Adequacy Assessment Process

IDT

Islamic Deposit Takers

IFRS

International Financial Reporting Standards

IFSB

Islamic Financial Services Board

IIP

International Investment Position

IMF

International Monetary Fund

IRB

Internal Ratings-Based Approach

IRR

Investment Equalization Reserves

ISIC

International Standard Industrial Classification of All Economic Activities

LCR

Liquidity Coverage Ratio

LGD

Loss Given Default

LOC

Letter of Credit

MFSMCG

Monetary and Financial Statistics Manual and Compilation Guide 2016

MMF

Money Market Fund

NAV

Net Asset Value

NFC

Nonfinancial Corporation

NIF

Note Issuance Facilities

NPI

Nonprofit Institution

NPISH

Nonprofit Institutions Serving Households

NPLs

Nonperforming Loans

NSFR

Net Stable Funding Ratio

NSO

National Statistics Office

OCI

Other Comprehensive Income

OFC

Other Financial Corporation

OTC

Over-the-Counter

PD

Probability of Default

PER

Profit Equalization Reserves

PF

Pension Fund

PLS

Profit and Loss Sharing

PSIA

Profit Sharing Investment Accounts

PSIFI

Prudential and Structural Islamic Financial Indicators

Repo

Repurchase Agreement

ROA

Return on Assets

ROE

Return on Equity

RPPI

Residential Property Price Index

RSF

Required Stable Funding

RUF

Revolving Underwriting Facility

RWA

Risk-Weighted Assets

SCR

Solvency Capital Requirement

SLDR

Spread Between Reference Lending and Deposit Rates

SNA

System of National Accounts

SRF

Standardized Report Form

VaR

Value-at-Risk

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