Abstract

4.1 This chapter elaborates on the data coverage, periodicity, and timeliness for the three additional Special Data Dissemination Standard Plus (SDDS Plus) data categories under the financial sector: other financial corporations survey (OFCS), financial soundness indicators (FSIs), and debt securities. Covering data on other financial corporations (OFCs) is becoming increasingly important, given their growing importance in the financial sector in many advanced economies. The FSIs prescribed for dissemination can help in monitoring the health and soundness of deposit takers in an economy, while the dissemination of debt securities data is intended to provide relevant, coherent, and internationally comparable data that can shed light on financial intermediation through securities markets, by sector, thus supporting financial stability and monetary policy analysis.

4.1 This chapter elaborates on the data coverage, periodicity, and timeliness for the three additional Special Data Dissemination Standard Plus (SDDS Plus) data categories under the financial sector: other financial corporations survey (OFCS), financial soundness indicators (FSIs), and debt securities. Covering data on other financial corporations (OFCs) is becoming increasingly important, given their growing importance in the financial sector in many advanced economies. The FSIs prescribed for dissemination can help in monitoring the health and soundness of deposit takers in an economy, while the dissemination of debt securities data is intended to provide relevant, coherent, and internationally comparable data that can shed light on financial intermediation through securities markets, by sector, thus supporting financial stability and monetary policy analysis.

Other Financial Corporations Survey: Coverage

4.2 The SDDS Plus prescribes dissemination of the data category called OFCS, as described in the Monetary and Financial Statistics Manual, 2000 (MFSM) or its successor. The OFCS covers the accounts of all the resident OFCs besides depository corporations. OFCs include insurance corporations and pension funds, other financial intermediaries (other than insurance corporations and pension funds), and financial auxiliaries.

4.3 In this context, SDDS Plus adherents are required to disseminate, at a minimum, the following OFCS components:

  • OFCs’ claims on nonresidents and liabilities to nonresidents, 1 presented on a gross basis or as components of net foreign assets (claims on nonresidents minus liabilities, except for equity liabilities, to nonresidents)2

  • Domestic claims disaggregated into (1) net claims on the central or general government; 3 (2) claims on resident depository corporations; and (3) claims on the other resident sectors

  • Liabilities to resident depository corporations, other domestic liabilities (except those included in other items net), shares and other equity, and other items (net).

4.4 In accordance with the MFSM, the other domestic liabilities component comprises OFCs’ liabilities4 to resident sectors other than depository corporations, OFCs, and central or general government. These economic sectors are (1) nonfinancial corporations; (2) other resident sectors (households and nonprofit institutions serving households, NPISHs); and (3) state and local government for those cases where the adherent chooses to present net claims on central government (see footnote 3). The prescribed components of the OFCS as required under the SDDS Plus are shown in Table 4.1.

Table 4.1

Other Financial Corporations Survey

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Source: IMF Statistics Department.

4.5 The MFSM provides guidelines for the compilation of the OFCS. The SDDS Plus recommends full institutional coverage, as prescribed in the MFSM, or its successor, as the best practice. An adhering country’s metadata for this data category should describe the institutional coverage of its OFCs relative to all OFCs operating in the country and other related information; narrower institutional coverage and other deviations from the MFSM methodology should be noted in the metadata. Consolidation of positions between all corporations that comprise the entire OFCs’ sector, rather than only the positions of corporations within each of the constituent subsectors, is recommended for OFCs’ compilation.5

Periodicity and Timeliness

4.6 Periodicity. The SDDS Plus prescribes the dissemination of quarterly data.

4.7 Timeliness. The SDDS Plus requires data to be disseminated within one quarter after the end of the reference quarter.

Financial Soundness Indicators: Coverage

4.8 Under this data category, SDDS Plus prescribes the compilation and dissemination of data for seven FSIs that characterize important aspects of the activities of deposit-taking institutions. In this context, SDDS Plus adherents are required to disseminate the following indicators:

  • Regulatory Tier 1 capital to risk-weighted assets (RWA)

  • Regulatory Tier 1 capital to assets

  • Nonperforming loans net of provisions to capital

  • Nonperforming loans to total gross loans

  • Return on assets

  • Liquid assets to short-term liabilities

  • Residential real estate prices.

4.9 Data for all seven indicators are disseminated via the NSDP according to an ARC. However, as the different indicators included under the FSIs may be compiled and disseminated by different institutions, it is possible to have different ARC dates for the dissemination of different indicators.

4.10 SDDS Plus adherents are encouraged to adopt and implement the most recent internationally accepted statistical methodologies in the compilation of the FSIs. For this purpose they are encouraged to use the IMF’s Financial Soundness Indicators Compilation Guide, March 2006 (FSI Guide) and its amendments6 (including any amendments that may be made in the future), available at www.imf.org/external/pubs/ft/fsi/guide/2006/index.htm, as a benchmark. The SDDS Plus requires that adherents describe in their metadata for each component the deviations from this methodology.

4.11 The seven FSIs are described in detail below. The methodological aspects for their compilation, such as underlying data definitions, accounting principles and framework, consolidation basis, and data aggregation, can be found in the FSI Guide (Part I) or its successor. Where alternative methods are enumerated, the methods used to compile the data should be specified in the SDDS Plus metadata. For example, with regard to the consolidation basis, the FSI Guide recommends that cross-border, cross-sector consolidation basis for all domestically incorporated entities (CBCSDI) or domestically controlled, cross-border, cross-sector consolidation basis (DCCBS) be used to compile these FSIs, with the exception of residential real estate prices. In case a consolidation basis other than CBCSDI or DCCBS is used, differences between that consolidation basis and CBCSDI (or DCCBS) should be documented in the metadata.

  • Regulatory Tier 1 capital to risk-weighted assets (RWA): This indicator measures the capital adequacy of deposit takers based on the core capital concept of the Basel Committee on Banking Supervision (BCBS). It is useful for monitoring capital quality as it measures the most freely and immediately available resources to meet claims against deposit takers.

  • Regulatory Tier 1 capital to assets: This indicator measures the extent to which assets are funded by deposit takers’ own funds and the proportion that is funded by other sources. It is therefore an indicator of the financial leverage of deposit takers and is sometimes called the leverage ratio. It complements the measure of the capital adequacy ratios compiled using RWA and is also useful for analyzing the level of return on assets and return on equity. The risk assessment used to calculate the risk-weighted assets often has a subjective element. Therefore, the regulatory Tier 1 capital-to-assets ratio, which takes non-risk-weighted total balance sheet assets as the denominator, provides a more homogenous indicator and complements the capital adequacy ratios compiled based on the BCBS methodology.

  • Nonperforming loans (NPLs) net of provisions to capital: This indicator measures the extent to which deposit takers’ capital can withstand NPL-related losses. Specifically, it measures the portion of potential losses from NPLs that would have to be covered directly by deposit takers’ capital. Also, it helps to detect situations where deposit takers may have delayed addressing asset quality issues—that is, the provisioning for NPLs may not have been adequate. The meaningfulness and operational value of this ratio also depend on well-designed loan classification and provisioning rules and their implementation.

  • Nonperforming loans to total gross loans: This indicator is often used as a proxy for asset quality. Nonperforming loans arise from deterioration in the financial health and profitability of borrowers. If the problems with asset quality are not addressed in a proper and timely manner, deposit takers will incur losses from uncollectible loans that would weaken their capital base over time and could pose risks to deposit takers’ solvency.

  • Return on assets: This indicator measures deposit takers’ efficiency in using their assets. It is a widely used indicator of bank profitability. Over time, it can also provide information on the sustainability of deposit takers’ capital position: high profitability over time will strengthen deposit takers’ capital base or their capacity to withstand losses.

  • Liquid assets to short-term liabilities: This indicator provides information on the liquidity available to meet short-term demand for cash. Also, it indicates the proportion of short-term liabilities that would have to be covered by asset sales if there was no access to other funding sources. This indicator can highlight excessive maturity mismatches and a need for a more careful liquidity management. The level of liquidity influences the ability of a banking system to withstand liquidity shocks and prevent them from leading to solvency problems.

  • Residential real estate prices: This indicator provides information on developments in the residential real estate markets. As has been evident in many instances, residential real estate prices can be an underlying cause of financial crises, and thus monitoring their behavior is relevant for financial stability analysis. Currently, there is limited international experience in constructing representative real estate price indices, as real estate markets are heterogeneous both within and across countries and are not very liquid. International guidance has been developed in the FSI Guide and more recently through the Inter-Secretariat Working Group on Price Statistics.7 This guidance should be drawn upon in compiling a residential real estate price index.

Periodicity and Timeliness

4.12 Periodicity. The SDDS Plus prescribes the dissemination of quarterly data.

4.13 Timeliness. The SDDS Plus requires data to be disseminated within one quarter after the end of the reference quarter.

Debt Securities: Coverage

4.14 The SDDS Plus prescribes the dissemination of debt securities data covering holdings (stocks only) of debt securities by issuer and holder on a from-whom-to-whom basis as shown in Table 4.2.8 In this context, the SDDS Plus prescribes dissemination of debt securities data for the following sectors:

Table 4.2

From-Whom-to-Whom Holdings of Debt Securities in a Time Series Format

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  • Nonfinancial corporations

  • Financial corporations

  • General government

  • Household and nonprofit institutions serving households (NPISHs)

  • Nonresidents.9

4.15 Part 1 on debt securities issues and Part 2 on debt securities holdings in the Handbook on Securities Statistics (Handbook) provide a conceptual framework for debt securities data that produces relevant, coherent, and internationally comparable securities statistics.10 The conceptual framework for the presentation of debt securities statistics is based on System of National Accounts, 2008 (2008 SNA) and the Balance of Payments and International Investment Position Manual, sixth edition (BPM6), but goes partly beyond these standards by elaborating on additional issues such as securitization.

4.16 Debt securities include negotiable financial instruments serving as evidence of debt (2008 SNA, 11.64), as well as debt securities derived from the securitization of assets.11 Issuers of debt securities are obliged to pay a specified amount of principal and/or interest to the holder.

4.17 Stock data of debt securities refer to the outstanding position at the reference period. The SDDS Plus requires adherents to disseminate data of debt securities on stocks only.

4.18 Debt securities data should be presented on an unconsolidated basis, which means that the data on positions between institutional units within the same sector or subsector should not be eliminated. For example, where debt securities issued by a deposit-taking corporation are held by another deposit-taking corporation or financial leasing corporation that is within the same sector (financial corporations), the data should be reported on a gross basis, that is, both the holdings and the issues.

4.19 Debt securities should be presented at market values, but the SDDS Plus also allows valuation at nominal values. Adherents are required to indicate the valuation method in their metadata. The value of a debt security denominated in foreign currency is converted into domestic currency at the exchange rate prevailing at end-period (BPM6, paragraph 3.104). Interest accrued on debt securities is included in the value of the position at the end of the period.

Periodicity and Timeliness

4.20 Periodicity. The SDDS Plus prescribes the dissemination of quarterly data.

4.21 Timeliness. The SDDS Plus requires data to be disseminated within one quarter after the end of the reference quarter.

1

Liabilities to nonresidents exclude equity holdings of nonresidents, which are shown under “Shares and other equity.”

2

The concept of residency distinguishes between foreign and domestic assets/liabilities. Where the residency of holders of securities issued by OFCs cannot be fully identified in the computation of liabilities to nonresidents, net foreign assets can be defined as “total claims on nonresidents minus total liabilities to nonresidents for which a residency allocation is possible.”

3

Adherents have the choice to present net claims on either the central or the general government.

4

In terms of financial instruments, other domestic liabilities should cover deposits, debt securities loans, financial derivatives, and insurance, pensions, and standardized guarantee schemes. Where the economic sector of holders of these instruments issued by OFCs cannot be fully identified, those instruments could be included as part of other items net.

5

Consolidation refers to the netting of the asset and liability positions (intrasectoral) between corporations that make up an economic sector or subsector.

6

The amendments to the Financial Soundness Indicators Compilation Guide (www.imf.org/external/np/sta/fsi/eng/2004/guide/index.htm and www.imf.org/external/pubs/ft/fsi/guide/2008/pdf/071408.pdf) defer to the BCBS (Basel I and Basel II) as the standards for compiling supervisory-based underlying data series used to compile FSIs.

8

Table 4.2 is based on the Handbook on Securities Statistics (the Handbook) Part 2, restated in terms of stocks.

9

The details of each institutional unit that constitutes these sectors are provided in Section 3 of the Handbook Part 1 and Section 2 of the Handbook Part 2. The residence of an institutional unit is the economic territory with which it has the strongest connection (i.e., its center of predominant economic interest).

11

See the Handbook Part 1, Section 4 for a detailed explanation of securitization.