Abstract

Provides a comprehensive survey of recent developments in international financial markets, including developments in emerging capital markets, bond markets, major currency markets, and derivative markets. The report focuses on efforts by the major industrial countries to strengthen the management of financial risk and prundential oversight over the international banking system. It also critically evaluates existing mechanisms for international cooperation of financial supervision and regulation and proposes the development of international banking standards.

© 1996 International Monetary Fund

ISBN 9781557756091

ISSN 0258-7440

Reprinted December 1997

Price: US$20.00

(US$12.00 to full-time faculty members and students at universities and colleges)

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Contents

  • Preface

  • List of Abbreviations

  • I. Introduction and Summary

  • II. Global Financial Markets: Moving Up the Learning Curve

  • III. Survey of International Capital Markets

    • Emerging Capital Markets

    • Global Bond Markets

    • Major Currency Markets

    • Global Equity Markets

    • Global Derivative Markets

    • Developments in Selected Industrial Country Banking Systems

  • IV. Surveillance over Global Financial Markets: Broadening Current Arrangements

  • V. Controlling Settlement Risk in the Global Foreign Exchange Market

    • Risks in the Global Foreign Exchange Market

    • Official Initiatives

    • Private Initiatives

  • VI. Policy Implications and Conclusions

    • Assessment of Recent Developments

    • Broadening the Surveillance of International Financial Markets

    • Risks in the Global Foreign Exchange Market

  • Annexes

  • 1. Major Capital Markets: Trends and Recent Developments

    • Foreign Exchange Markets

    • Bond Markets

    • Equity Markets

    • Regulatory and Structural Developments in Securities Markets

    • Derivatives Markets

    • Banking Systems and Loan Markets

  • II. Recent Developments in Developing Country Capital Markets

    • Capital Flows in the Balance of International Payments

    • Transactions in International Capital Markets

    • Key Segments of the Investor Base: Japan and the United States

    • Developments in Selected Emerging Market Banking Systems

  • III. Foreign Exchange Markets: Structure and Systemic Risks

    • Global Market Developments

    • Management of Systemic Risk

  • IV. International Coordination of Supervision and Regulation of Financial Institutions

    • Bank Supervision

    • Securities Firms

    • Intersectoral Cooperation: Banks, Securities Firms, and Financial Conglomerates

  • References

  • Boxes Annex

    • I. 1. Causes of Recent Swings in Bond Yields

    • 2. International Bond Issuance and the Swaps Market

    • 3. Moody’s Bank Financial Strength Ratings

    • 4. Consolidation in the Financial Services Industry

    • II. 5. Mexican Brady Bond Exchange

    • 6. Impact of the Mexican Crisis on Chile’s Financial Markets

    • 7. Spillovers of the Mexican Crisis on Argentina’s Financial Markets

    • 8. Government Assistance to the Mexican Banking System

    • III. 9. Microstructure of the Foreign Exchange Market

    • 10. Settlement Procedures

    • 11. Payments Gridlock

    • 12. Settlement Finality

    • 13. Bilateral and Multilateral Netting Systems

    • IV. 14. The Basle Concordat System

    • 15. Building Blocks of the European Union’s Single Passport

    • 16. Memoranda of Understanding and Similar Agreements, 1982-94

  • Tables Section

    • II. 1. Capital Flows to Developing Countries and Countries in Transition

    • III. 2. Major Industrial Countries: Changes in Ten-Year Government Bond Yields

    • 3. Major Industrial Countries: Bond and Equity Index Returns

    • IV. 4. Net External Assets of BIS-Reporting Banks vis-à-vis Banks in Selected Countries and Regions

    • 5. Foreign Exchange Market Turnover

  • Annex

    • I. 6. Net Issues of International Debt Securities by Nationality

    • 7. Outstanding Amounts of International Debt Securities

    • 8. Outstanding Amounts and Net Issues of International Debt Securities by Currency of Issue

    • 9. Domestic Debt Securities by Type, Sector, and Country of Issuer

    • 10. International Equity Placements

    • 11. Major Industrial Countries: Domestic Equity Issues

    • 12. Markets for Selected Derivative Financial Instruments: Notional Principal Amounts Outstanding

    • 13. Annual Turnover in Derivative Financial Instruments Traded on Organized Exchanges Worldwide

    • 14. Notional Principal Value of Outstanding Interest Rate and Currency Swaps

    • 15. New Interest Rate and Currency Swaps

    • 16. Global Notional Amounts of Derivative Contracts Outstanding by Underlying Market Risk Factor, End-March 1995

    • 17. Currency Composition of Notional Principal Value of Outstanding Interest Rate and Currency Swaps

    • 18. Announced International Syndicated Credit Facilities by Nationality of Borrower

    • 19. Spreads on Eurocredits

    • 20. Profitability of Banks in Selected Industrial Countries

    • 21. Provisions of Banks in Selected Industrial Countries

    • 22. Major Industrial Countries: Bank Rating Changes, 1995-96

    • II. 23. Private Capital Flows to Developing Countries and Countries in Transition

    • 24. International Bond Issues by Selected Countries and Regions

    • 25. International Bond Issues by Currency of Denomination

    • 26. Samurai Bonds Issuance, 1985-95

    • 27. Bond Rating Comparisons of Selected Japanese Yen Issues, 1994-95

    • 28. Average Credit Quality of Japanese Yen-Denominated Bonds

    • 29. Secondary Market Transactions in Debt Instruments of Developing Countries and Countries in Transition

    • 30. International Equity Issues by Selected Countries and Regions

    • 31. International Emerging Market Equity Funds

    • 32. Stock Market Turnover Ratio in Selected Countries and Regions

    • 33. Value of New Equity Issues in Selected Countries and Regions

    • 34. Net Flows of Portfolio Investment to Thailand

    • 35. New Medium- and Long-Term Commitments to Selected Countries and Regions

    • 36. Changes in Net Assets of BIS-Reporting Banks vis-à-vis Banks in Selected Countries and Regions

    • 37. Equity Flows to Latin America

    • 38. Equity Flows to Asian Developing Countries

    • 39. Moody’s Bank Financial Strength Ratings for Selected Countries and Regions, May 1996

    • 40. Cost of Mexican Bank Support Programs

    • III. 41. Total Reported Foreign Exchange Market Turnover Adjusted for Local Double Counting by Country and Region

    • 42. Trading in Exotic Currencies, April 1995

    • 43. Methods of Doing Business: Share of Transactions Through Direct Dealing, Voice Brokers, and Electronic Brokers

  • Box

    • 1. A. World Economic Outlook Consumer Price Index Inflation Forecasts

    • B. Changes in 12-Month Spot and Forward U.S. Dollar Interest Rates, 1993-95

    • 3. Moody’s Bank Financial Strength Ratings for Selected Countries and Regions, May 1966

  • Charts Section.

    • III. 1. Private Market Financing for Developing Countries

    • 2. Share Price Indices for Selected Developing Countries

    • 3. Selected Major Industrial Countries: Yield Curves, December 31, 1994, June 30, 1995, December 31, 1995, and May 31, 1996

    • 4. Major Industrial Countries: Long-Term Interest Rates

    • 5. Selected European Long-Term Interest Rates Differentials with Germany

    • 6. Selected European Countries: Spot and Implied Forward Yield Curves, May 31, 1996, January 4, 1999, January 3, 2000, and January 2, 2001

    • 7. Japan and Germany: Exchange Rates

    • 8. RiskMetrics Daily Price Volatility for U.S. Dollar Spot Exchange Rates, January 19, 1995-May 31, 1996

    • 9. Major Industrial Countries: Equity Price Indices

    • 10. United States: Eaming-Price Ratio of Stocks and Yield on Long-Term Government Bonds

    • 11. United Stales: Net Income of Commercial Banks

    • IV. 12. Growing Influence of the Emerging Markets, Australia, and New Zealand

  • Annex

    • I. 13. Major Industrial Countries: Exchange Rates

    • 14. Major European Countries: Local Currency vis-à-vis Deutsche Mark, January 3, 1994-May 31, 1996

    • 15. Major Industrial Countries: Official Interest Rate, January 3. 1994-May 31, 1996

    • 16. Spot and Forward Rates for Currencies of Major Industrial Countries Against the U.S. Dollar. May 31, 1996

    • 17. Major Industrial Countries: Short-Term Interest Rates

    • 18. Major Industrial Countries: Differentials Between Long and Short-Term Interest Rates

    • 19. RiskMetrics Daily Price Volatility for Ten-Year Government Bonds, January 19, 1995-May 31, 1996

    • 20. Major Industrial Countries: Spot and Implied Forward Yield Curves, May 31, 1996, January 2, 1997, and January 2, 1998

    • 21. RiskMetrics Daily Volatility for Stock Price Indices, January 19, 1995-May 31, 1996

    • 22. Implied Volatility: S&P 500, Nikkei 225, and DAX Indices

    • 23. Indices of Property-Related Stocks in Europe and North America

    • 24. Tokyo Commercial Real Estate Occupancy and Rental Rates

    • 25. Major Industrial Countries: Intermediation Spreads

    • II. 26. Total Reserves Minus Gold of Selected Developing Countries and Countries in Transition

    • 27. Exchange Rates of Selected Developing Countries and Countries in Transition

    • 28. Secondary Market Yield Spreads on Selected Brady Bonds

    • 29. Net Sales of Global and International Mutual Funds and Change in IFC Emerging Market Investable Composite Index

    • 30. Foreign Investment and Returns on the Thai Stock Market

    • 31. Net Purchases of Foreign Stocks and Investment Trusts by Japanese Investors Through Securities Companies

    • 32. United States: Net Portfolio Flows to Defined Regions, 1994

    • 33. United States: Net Portfolio Flows to Defined Regions, 1995

    • 34. United States: Yield on 30-Year Treasury Bonds and Net Portfolio Outflows

  • Box

    • 1. U.S. Long-Term Bond Yield Volatility

    • 2. A. Deutsche Mark Swap and German Government Bond Yield Curves, September 1, 1995

    • B. Bond Issuance and Interest Rates

  • Figures Annex

    • III. 1. Intra-Day Tick Activity for U.S. Dollar/Deutsche Mark

    • IV. 2. Overlapping Memberships: The Basle Committee. IOSCO Technical Committee, and European Union

    • 3. IOSCO Structure

  • Box

    • 10. Current Settlement Process

The following symbols have been used throughout this paper:

… to indicate that data are not available;

— to indicate that the figure is zero or less than half the final digit shown, or that the item does not exist;

‒ between years or months (for example, 1995-96 or January-June) to indicate the years or months covered, including the beginning and ending years or months;

/ between years (for example, 1995/96) to indicate a fiscal or financial year.

“Billion” means a thousand million: “trillion” means a thousand billion.

“Basis points” refer to hundredths of 1 percentage point (for example, 25 basis points are equivalent to ¼ of 1 percentage point).

Minor discrepancies between constituent figures and totals are due to rounding.

As used in this paper the term “country” does not in all cases refer to a territorial entity that is a state as understood by international law and practice. As used here, the term also covers some territorial entities that are not states but for which statistical data are maintained on a separate and independent basis.

Preface

The International Capital Markets report is an integral element of the IMF’s surveillance of developments in international financial markets. The IMF has published the International Capital Markets report annually since 1980. The report draws, in part, on a series of informal discussions with commercial and investment banks, securities firms, stock and futures exchanges, regulatory and monetary authorities, and the staffs of the Bank for International Settlements, the Commission of the European Union, the International Swaps and Derivatives Association, the Japan Center for International Finance, and the Organization for Economic Cooperation and Development. The discussions leading up to the present report took place in Argentina, Belgium, Chile, the Czech Republic, France, Germany, Hong Kong, Hungary, India, Italy, Japan, Singapore, Switzerland, Thailand, the United Kingdom, and the United States, between January and March 1996. The report reflects information available up to the end of May 1996.

The International Capital Markets report is prepared in the Research Department under the general direction of Takatoshi Ito, Senior Advisor, and David Folkerts-Landau, Assistant Director. Coauthors of the report from the Capital Markets and Financial Studies Division of the Research Department are Garry Schinasi, Deputy Division Chief in Charge; Marcel Cassard, Laura Kodres, John Montgomery, and Todd Smith, all Economists; Beth Simmons, Resident Scholar; and Subramanian Sriram, Research Officer. Coauthors of the report from the Emerging Markets Studies Division of the Research Department are Michael Spencer, Economist, and Anne Jansen, Research Officer. Zhaohui Chen and Miguel Savastano from the Research Department and Gabrielle Lipworth from the Central Asia Department also coauthored the report. Mohsin Khan, Deputy Director of the Research Department, led the mission to Argentina and Chile. Melissa Little, Tammi Shear, and Adriana Vohden provided expert word processing assistance. Esha Ray of the External Affairs Department edited the manuscript and coordinated production of the publication.

This study has benefited from comments and suggestions from staff in other IMF departments, as well as from Executive Directors following their discussions of the International Capital Markets report on July 8, 1996. However, the analysis and policy considerations are those of the contributing staff and should not be attributed to Executive Directors, their national authorities, or the IMF.

List of Abbreviations

ABS

asset-backed securities

ACBS

Arab Committee on Banking Supervision

ADE

Programa de Apoyo Inmediato a Deudores de la Banca

ADR

American Depository Receipt

AIM

Alternative Investment Market

ASEAN

Association of South-East Asian Nations

BAC

Banking Advisory Committee

BCCI

Bank of Credit and Commerce International

BFSR

Bank Financial Strength Rating

BIBF

Bangkok International Banking Facility

BIF

Bank Insurance Fund

BIS

Bank for International Settlements

CAD

Capital Adequacy Directive

CBOE

Chicago Board Options Exchange

CBOT

Chicago Board of Trade

CFTC

Commodity Futures Trading Commission

CGACB

Council of Governors of Arab Central Banks and Monetary Agencies

CHAPS

Clearing House Association Payments System

CHIPS

Clearing House Interbank Payments System

CITIC

China International Trust and Investment Corporation

CME

Chicago Mercantile Exchange

CME-IMM

Chicago Mercantile Exchange-International Money Market

CNBV

Comisión Nacional Bancaria y de Valores

COB

Commission des Opérations de Bourse

CORSA

Council of Securities Regulators of the Americas

CPP

Costo Porcentual Promedio

CPSS

Committee on Payment and Settlement Systems

DIC

Deposit Insurance Corporation

DTB

Deutsche Terminbörse

EBS

Electronic Broking System

ECHO

Exchange Clearing House

ECU

European currency unit

EMEAP

Executive Meeting of East Asia and Pacific Central Banks

EMI

European Monetary Institute

EMTA

Emerging Markets Traders Association

EMTN

European medium-term notes

EMS

European Monetary System

EMU

Economic and Monetary Union

ERM

exchange rate mechanism

EU

European Union

FDIC

Federal Deposit Insurance Corporation

Fobaproa

Fondo Bancario de Protección al Ahorro

FRN

floating rate note

FRR

Financial Regulation Report

FSSC

Financial System Stabilization Committee

G-7

Group of Seven

G-10

Group of Ten

GAAP

Generally Accepted Accounting Principles

GCC

Gulf Cooperation Council

GDP

gross domestic product

GDR

Global Depository Receipt

GEMMS

Gilt Edged Market Makers

IAS

international accounting standards

IASC

International Accounting Standards Committee

IFC

International Finance Corporation

IMRO

Investment Management Regulatory Organization

IOSCO

International Organization of Securities Commissions

ISAs

Information Sharing Agreements

USD

Investment Services Directive

ISDA

International Swaps and Derivatives Association

ISRR

International Securities Regulation Report

JCR

Japan Credit Rating Institute

JBRI

Japan Bond Research Institute

JRC

Jusen Resolution Corporation

LIBOR

London interbank offered rate

LIFFE

London International Financial Futures Exchange

LSE

London Stock Exchange

MATIF

Marché à Terme International de France

MIDAM

Mid-America Commodity Exchange

MOUs

Memoranda of Understanding

NASD

National Association of Securities Dealers

NASDAQ

National Association of Securities Dealers Automated Quotation

NIES

newly industrialized economies

NIS

Nippon Investor Services

NYFE

New York Futures Exchange

NYSE

New York Stock Exchange

OECD

Organization for Economic Cooperation and Development

OTC

over the counter

PVP

payment versus payment

Procapte

programa de capitalización temporal

RTC

Resolution Trust Corporation

RTGS

real time gross settlement

SAIF

Savings Association Insurance Fund

SEACEN

Southeast Asian Central Banks

SEC

Securities and Exchange Commission

SET

Stock Exchange of Thailand

SFE

Sidney Futures Exchange

SIB

Securities and Investments Board

SIMEX

Singapore International Monetary Exchange

S&P

Standard and Poor’s

SROs

Self-Regulatory Organizations

SWIFT

Society for Worldwide Interbank Telecommunication

TARGET

Trans-European Automated Real-Time Gross Settlement Express Transfer System

TIBR

Thompson’s International Banking Regulator

TIFFE

Tokyo International Financial Futures Exchange

TIIE

Tasa de Interés Interbancaria de Equilibrio

TIIP

Tasa de Interés Interbancaria Promedia

TSE

Tokyo Stock Exchange

UCABE

Unidad Coordinadora para la Restsucturación del Adeudo Bancario Empresarial

UDI

Unidades de Inversión

VAR

value at risk

VRRs

Value Recovery Rights

YPF

Yacimientos Petrohíferos Fiscales

Developments, Prospects, and Key Policy Issues, 1996
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