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GlobalFinancialStabilityReportNavigatingtheFinancialChallengesAheadWorldEconomicandFinancialSurveysINTERNATIONALMONETARYFUND09OCTWorldEconomicandFinancialSurveysGlobalFinancialStabilityReportNavigatingtheFinancialChallengesAheadOctober2009InternationalMonetaryFundWashingtonDC©2009InternationalMonetaryFundProduction:IMFMultimediaServicesDivisionCover:CreativeServicesFigures:TheodoreF.Peters,Jr.Typesetting:MichelleMartinCataloging-in-PublicationDataGlobalfinancialstabilityreport–Washington,DC:InternationalMonetaryFund,2002–v.;cm.—(Worldeconomicandfinancialsurveys,0258-7440)SemiannualSomeissuesalsohavethematictitles.ISSN1729-701X1.Capitalmarket—Developingcountries–—Periodicals.2.Internationalfinance—Periodicals.3.Economicstabilization—Periodicals.I.InternationalMonetaryFund.II.Title.III.Worldeconomicandfinancialsurveys.HG4523.G563ISBN:978-1-58906-810-0Pleasesendordersto:InternationalMonetaryFund,PublicationServices70019thStreet,N.W.,Washington,D.C.20431,U.S.A.Tel.:[phone]Fax:[phone]E-mail:[e-mail]::ConstructionandMethodology47Annex1.2.LoanLossandBankWritedownEstimationMethodology53Annex1.3.EstimatingCoreBankEarnings64Annex1.4.CreditDemandandCapacityEstimatesintheUnitedStates,EuroArea,andUnitedKingdom65Annex1.5.TheImpactoftheFinancialCrisisontheSavingsComplex—InsuranceandPensionFunds68References74Chapter2.RestartingSecuritizationMarkets:PolicyProposalsandPitfalls77TheRise,Decline,andFallofSecuritization80PolicyInitiativesAimedatRestartingSustainableSecuritization93ConclusionsandPolicyRecommendations109Annex2.1.OptimalRetentionPolicyandCapitalRequirements110References113Chapter3.MarketInterventionsduringtheFinancialCrisis:HowEffectiveandHowtoDisengage?117InterventionsduringtheCrisis—MarketReactiontoAnnouncements118Follow-UptoInitialMarketReaction—Longer-TermEffectsofIntervention128Japan’sExperienceduringtheLatterPartofIts“LostDecade”132Disengagement:AConventionalPrimerforUnwindingUnconventionalPolicies134ConclusionsandPolicyTakeaways144Annex3.1.FinancialandEconomicStressIndices149Annex3.2.EventStudyMethodologyandData149References151Glossary153CONTENTSConTEnTSivAnnex:SummingUpbytheActingChair162StatisticalAppendix165Boxes1.1.UncertaintySurroundingLoanLossEstimations81.2.RepairingSecuritizationIsCriticaltoSupportingtheSupplyofCredit321.3.RisingPublicDeficits,Debts,andBondYields361.4.RestoringtheLevelandQualityofBankCapital442.1.TheCaseforRestartingSecuritization782.2.CreditRatingAgencyRegulatoryDevelopments822.3.Re-RemicsandtheRevivalofResecuritization862.4.CoveredBondPrimer902.5.AccountingforSecuritizationExposures942.6.BaselIISecuritization-andResecuritization-RelatedEnhancements982.7.OptimalRetentionPoliciesforLoanSecuritization1023.1.UsageofUnconventionalCentralBankFacilities1363.2.InterventionsduringJapan’s1990sFinancialCrisis1403.3.ExcessReservesasanIndicatorofFundingLiquidityConcerns1433.4.ImplicationsoftheChangesonCentralBankBalanceSheets145Tables1.1CreditMarketSpreads51.2EstimatesofGlobalBankWritedownsbyDomicile,2007–10101.3BankCapital,Earnings,andWritedowns151.4HeatMapofMacroandFinancialIndicatorsinSelectedEmergingMarketCountries231.5GrowthofCreditDemandfromNonfinancialPrivateSector291.6TotalNetBorrowingNeedsofNonfinancialSectors341.7ProjectionsofCreditCapacityforandDemandfromtheNonfinancialSector351.8SelectedSpreads:CurrentandPre-LehmanBrothers381.9SensitivitytoCommonRiskFactorforEuroAreaCountries391.10.ChangesinRisksandConditionssincetheApril2009GlobalFinancialStabilityReport481.11.OECDDatabase:CoverageandDegreeofConsolidation541.12.StatisticalOutputfortheEuroAreaProvisionRateModel561.13.ForecastsofEuroAreaProvisionRatesbyLoanType561.14.StatisticalOutputfortheU.K.ProvisionRateModel591.15.CumulativeLossRates,2007–10601.16.ListofSecurityIndexes611.17.EuroAreaResidentialSecuritiesMarket621.18.U.S.ResidentialSecuritiesMarket631.19.RegressionResults:DemandforNonfinancialPrivateandPublicSectorCredit671.20.UnderfundingIsMoreSeriousinMatureU.S.Industries711.21.MandatoryDefined-ContributionPensionAssets,SelectedCountries721.22.EquityShareinTotalPortfolios,SelectedCountries731.23.RealPerformanceofMandatoryDefined-ContributionSystems,SelectedCountries741.24.PerformanceofDefaultInvestmentOptions,SelectedCountries74ConTEnTSv2.1.SecuritizationPolicyProgressReport962.2.UnitedStates:IssuanceofAsset-BackedandMortgage-BackedSecurities—AverageDegreeofTrancheRetention1072.3.CreditRatingsversusIdealizedExpectedLossesandBaselIIRiskWeights1112.4.CalculationofTrancheSizes(Steps1and2)withAssumed20PercentEffortLevel1122.5.Calcu