Preface(90KB pdf file) |
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Executive Summary(90KB pdf file) |
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Chapter I. Assessing Risks to Global Financial
Stability |
Full Text (1,700KB pdf file)
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Global Financial
Stability Map |
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Credit
Deterioration -- How Deep and Widespread? |
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Systemic Risks Have
Risen Sharply |
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Will Emerging Markets
Remain Resilient? |
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Credit Squeeze or
Credit Crunch? |
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Immediate Policy
Challenges |
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Annex 1.1. Global
Financial Stability Map: Construction and
Methodology |
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Annex 1.2. Methodology
for Calculating Global Losses and Bank Exposures |
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References |
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Chapter II. Structured Finance: Issues of Valuation
and Disclosure |
Full Text (715KB pdf file) | Summary |
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Valuation and
Disclosure of Complex Structured Finance Products |
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The Role of
Off-Balance-Sheet Entities |
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Conclusions and Outlook |
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Annex 2.1. The World
According to GAAP |
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References |
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Chapter III. Market and Funding Illiquidity: When
Private Risk Becomes Public |
Full Text (1,100KB pdf file) | Summary |
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The Nature of Market
Liquidity Risks |
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Funding Liquidity Risks |
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Market and Funding
Liquidity Dynamics |
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Liquidity Dynamics
Since July 2007: An Empirical Investigation |
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The Role of Central
Banks During Periods of Market and Funding
Illiquidity |
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Central Banks' Response
to Liquidity Strains Since July 2007: An Empirical
Investigation |
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Recommendations to
Enhance Liquidity Risk Management |
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Conclusion |
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Annex 3.1. Liquidity
Dynamics Since Summer 2007 |
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References |
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Glossary (270KB pdf file) |
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Annex: Summing Up by the Acting Chair
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Statistical Appendix (1,331KB pdf file) |
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Boxes |
1.1 |
Outlook for U.S.
High-Yield Corporate Debt Markets and Default Rates |
1.2 |
Do Sovereign Wealth
Funds Have a Volatility-Absorbing Market Impact? |
1.3 |
The Rise in Balance
Sheet Leverage of Global Banks |
1.4 |
Quantitative Financial
Stability Modeling |
1.5 |
Banking Stability Index |
2.1 |
Structured Finance:
What Is It and How Did It Get So Large? |
2.2 |
When Is a AAA not a
AAA? (Part 1: The ABCs of MBSs and CDOs) |
2.3 |
When Is a AAA not a
AAA? (Part 2: Actual versus Market-Implied
Mortgage-Backed Security Ratings) |
2.4 |
When Is a AAA not a
AAA? (Part 3: Collateralized Debt Obligation Rating
Dynamics) |
2.5 |
Conduits, SIVs and
SIV-Lites |
2.6 |
Consolidation of
Structured Investment Vehicles: An Illustrative
Example of Issues That Arise |
3.1 |
The Determinants of
Market Liquidity |
3.2 |
Liquidity-Adjusted
Value-at-Risk: At the Forefront of Market Liquidity
Risk Management? |
3.3 |
Standard Ways to
Measure and Control Bank Liquidity Risks |
3.4 |
Institute of
International Finance Principles of Liquidity Risk
Management |
3.5 |
Central Bank
Counterparties |
3.6 |
Liquidity Regulation
and the Basel Process |
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Tables |
1.1 |
Estimates of Financial
Sector Potential Losses as of March 2008 |
1.2 |
Typical "Haircut" or
Initial Margin |
1.3 |
Macro and Financial
Indicators in Selected Emerging Market Countries |
1.4 |
Changes in Risks and
Conditions Since the October 2007 Global Financial
Stability Report |
1.5 |
Losses by Asset Class
as of March 2008 |
1.6 |
Global Bank Losses as
of March 2008 |
2.1 |
Accounting for
Securities Held as Financial Assets |
2.2 |
U.S. Subprime Exposures
and Losses |
2.3 |
Market Participants in
Credit Derivatives, 2004 and 2006 |
3.1 |
Impact of Central Bank
Interventions on LIBOR-OIS Spreads |
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Figures |
1.1 |
Global Financial
Stability Map |
1.2 |
Mortgage Delinquencies
by Vintage Year |
1.3 |
U.S. Mortgage-Related
Securities Prices |
1.4 |
U.S. and European House
Price Changes |
1.5 |
U.S. and UK
Nonconforming Delinquencies by Mortgage Vintage Year |
1.6 |
Commercial Mortgage
Borrowing and Real Estate Prices |
1.7 |
CMBX Spreads |
1.8 |
Charge-Off Rates for
U.S. Consumer Loans |
1.9 |
Credit Card Charge-Off
Rates versus Credit Card Asset-Backed Spreads on
Securities |
1.10 |
LCDX Prices and Spreads |
1.11 |
U.S. Leveraged Buyout
Loans: Credit Quality Indicators
|
1.12 |
Comparison of Financial
Crises |
1.13 |
Expected Bank Losses as
of March 2008 |
1.14 |
Financial Guarantors |
1.15 |
Systemic Bank Default
Risk |
1.16 |
Securitization Volume
in the European Union (EU-15) |
1.17 |
Bank Equity Price
Changes and Balance Sheet Leverage |
1.18 |
U.S. Funding Market
Liquidity |
1.19 |
Euro Area Funding
Market Liquidity |
1.20 |
Decomposing Interbank
Spreads |
1.21 |
External Position of
Emerging Markets by Region vis-à-vis BIS Reporting
Banks |
1.22 |
Selected European
Banks: Dependence on Wholesale Funding as of March
2008 |
1.23 |
Central and Eastern
Europe: Growth in Private Credit and House Prices,
2002-06 |
1.24 |
Baltic States,
Bulgaria, and Romania: Credit to Households by Type |
1.25 |
Baltic States' 5-Year
Credit Default Swap Spreads and Romanian Leu |
1.26 |
Emerging Markets:
Private Sector External Bond Issuance |
1.27 |
Carry-Trade Index and
Currency Volatility |
1.28 |
Heat Map: Developments
in Systemic Asset Classes |
1.29 |
Spreads Across Credit:
Historical Highs, Lows, and Current Levels |
1.30 |
U.S. Private Sector Net
Debt Issuance by Sector |
1.31 |
G-3 Bank Lending
Conditions |
1.32 |
U.S. Private Sector
Borrowing |
1.33 |
Impulse Response of
U.S. GDP to Credit Shocks |
1.34 |
Global Financial
Stability Map: Monetary and Financial Conditions |
1.35 |
Global Financial
Stability Map: Risk Appetite Conditions |
1.36 |
Global Financial
Stability Map: Macroeconomic Risks |
1.37 |
Global Financial
Stability Map: Emerging Market Risks |
1.38 |
Global Financial
Stability Map: Credit Risks |
1.39 |
Global Financial
Stability Map: Market and Liquidity Risks |
2.1 |
Selected U.S.-Based
Financial Institutions: Change in Level 3 and 2
Assets |
2.2 |
Writedowns of Selected
Financial Institutions: October 15, 2007-February
14, 2008 |
2.3 |
Timelines for
Implementation of Basel II Framework |
2.4 |
Market Participants in
Credit Derivatives, 2006 |
2.5 |
Structured Credit
Products by Market Participants |
2.6 |
Financial Guaranty
Industry Insured Portfolio Distribution, 2006 |
3.1 |
Commercial Banks:
Deposit-to-Asset Ratios |
3.2 |
Aggregate Bank Credit
Default Swap Rate and Selected Spreads |
3.3 |
United States: Selected
Money Market Spreads |
3.4 |
United States: S&P 500
Stock Market Returns and Aggregate Credit Default
Swap Rate |
3.5 |
On-the-Run/Off-the-Run
Five-Year U.S. Treasury Note Spread |
3.6 |
U.S. Model: Selected
Implied Correlations from Dynamic Conditional
Correlation GARCH Specification |
3.7 |
Advanced Economies
Model: Selected Implied Correlations from Dynamic
Conditional Correlation GARCH Specification |
3.8 |
Three-Month LIBOR to
Overnight Index Swap Spreads |
3.9 |
Central Bank Key Policy
and Overnight Money Market Rates |
3.10 |
European Central Bank's
Liquidity Provision and Reserve Holdings |
3.11 |
Euro Area: Selected
European Central Bank Policy Actions and Term
Funding Stress |
3.12 |
United States: Selected
Federal Reserve Policy Actions and Term Funding
Stress |
3.13 |
U.S. Model: Implied
Correlations from Dynamic Conditional Correlation
GARCH Specification |
3.14 |
Advanced Economies
Model: Implied Correlations from Dynamic Conditional
Correlation GARCH Specification |
3.15 |
Emerging Markets Model:
Implied Correlations from Dynamic Conditional
Correlation GARCH Specification |