Download An enhanced methodology of compiling financial

An enhanced methodology of
compiling
financial intermediation services
indirectly measured (FISIM)
Reimund Mink
Paris, 14 October 2008
Outline
•
Background
•
FISIM in international statistical standards
•
An enhanced methodology for FISIM
•
Estimates based on an enhanced methodology for
FISIM
•
Way forward
Background
• Discussions of an appropriate method to compile FISIM
in the context of the SNA update and of the ESA revision
• Concerns have arisen from the financial market turmoil,
but the shortcomings of the current framework are
more general
• ECB research project launched in 2007
• Discussion of an ECB issue paper at the Committee of
Monetary, Financial and Balance of Payments Statistics
(CMFB) meeting in July 2008
FISIM in international statistical standards
Within the framework of international statistical standards:
–
FISIM should be compiled on the basis of the difference between
market interest rates on loans and deposits and a reference rate as
a rate between bank interest rates on deposits and loans.
–
The reference rate should contain no service element and reflect
the risk and maturity structure of deposits and loans
–
The rate prevailing for inter-bank borrowing and lending may be a
suitable choice
–
Different reference rates may be needed for each currency in which
loans and deposits are denominated
–
This approach is reflected in the 2008 SNA (particularly paragraphs
6.123 to 6.169) and in the new draft ESA chapter on FISIM.
An enhanced methodology (1/3)
The conceptual framework: the case of deposits
In view of deposit insurance (no default risk !), the alternative to hold
money in a deposit is buying a risk-free debt security
The value of the services received is:
YD = (rM – rD) * SD = (rF + rT – rD) * SD = mD * SD
where YD, SD, rD and mD represent the output, the stocks, the
interest rate and the margin on deposits D, and
rM is the yield of a debt security with similar characteristics
( = short-term risk-free rate rF + term premium rT)
An enhanced methodology (2/3)
The conceptual framework: the case of loans
The alternative to apply for a loan is issuing a debt security.
The value of the services received is
YL = (rL – rM)* SL = (rL – (rF + rT + rP)) * SL = mL * SL
where YL, SL, rL and mL represent the output, the stocks, the interest
rate and the margin on loan L, and
rM is the yield of a debt security with similar (risk) characteristics
(= short-term risk-free rate rF + term premium rT + credit default risk
premium rP)
An enhanced methodology (3/3)
Two different approaches are distinguished:
• Term premium adjustment only (I)
Output Y = YD + YL
(excluding term premium rT)
• Credit default risk and term premium adjustment (II)
Output Y = YD + YL
(excluding credit default risk premium rP and term premium rT)
• The results are compared to estimates based on the currently
proposed methodology
(for the time being, only for deposit-taking institutions)
New FISIM estimates
Both approaches show lower FISIM than the currently
proposed methodology
• The adjustments account on the average
– for 24% (approach 1)
(excluding term premium rT);
and
– for 43% (approach II)
(excluding credit default risk premium rP and term premium rT)
of the estimates based on the currently proposed methodology
• The variability of the estimated margins is much lower than under
the current methodology
Way forward
The CMFB agreed that the current method as reflected in
the international statistical standards offers room for
improvement
• A Task Force on FISIM will be launched in the EU in July 2009 and
will report to the CMFB in early 2012
• This means that a proposed solution can be implemented with the
new ESA in 2014
• The Task Force will address conceptual and practical aspects related
to FISIM
• Furthermore, a workshop is planned for end-March 2009 allowing to
already share national practices in preparation for the Task Force