Calculating FISIM in Luxembourg 1.1 Introductory remarks FISIM are calculated in accordance with: Council Regulation (EC) No 448/98 of 16 February 1998 completing and amending Regulation (EC) No 2223/96 with respect to the allocation of financial intermediation services indirectly measured (FISIM) within the European system of national and regional accounts (ESA) Commission Regulation (EC) No 1889/2002 of 23 October 2002 on the implementation of Council Regulation (EC) No 448/98 completing and amending Regulation (EC) No 2223/96 with respect to the allocation of financial intermediation services indirectly measured (FISIM) within the European system of national and regional Accounts (ESA) 1.2 Statistical sources quarterly report of Luxembourg credit institutions' interest rates, supplied by the BCL International Financial Statistics quarterly tables on international currency interest rates by IMF quarterly statistical analysis broken down by country, currency and economic sector for financial intermediaries, other than Caisses rurales Raiffeisen, supplied by the BCL and the Caisses rurales Raiffeisen annual balance sheet profit-and-loss accounts of financial intermediaries other than the Caisses rurales Raiffeisen supplied by the BCL, and the Caisses rurales Raiffeisen annual profit-and-loss accounts the mutual funds' balance sheets and profit-and-loss accounts supplied by the CSSF BIS data concerning residents' bank assets and liabilities vis-à-vis foreign financial intermediaries, as notified by the BCL balance-of-payments data concerning flows of interest on bank assets and liabilities between resident sectors and foreign financial intermediaries, as notified by the BCL 1.3 Calculation of FISIM FISIM are calculated in several stages: Stage 1: Calculation of theoretical interest flows for each financial corporation through application of the representative interest rates to outstanding loans and deposits (average of four quarterly averages) broken down by sector, subsector and the rest of the world, and by currency (main currencies). Alignment of theoretical credit and debit interest (broken down by sector, subsector and the rest of the world) with the actual interest on each credit institution's profit-and-loss account. It should be noted that the financial sector's accounting plan generally provides for the recording of accrued interest and not interest due or paid. IV.1.Currencies. Paper by STATEC_Luxembourg 1/7 27.09.2010 - RM
Stage 2: Incorporation of the interests and the average outstanding loans and deposits at the Caisses rurales Raiffeisen and other financial intermediaries, excluding mutual funds and financial-holding corporations (S.1231). Adjustment of credit and debit interest flows within the resident monetary and non-monetary financial institute sector (S.122+S123part). In order to balance resident interbank flows, the amounts calculated are replaced by the average value of credit and debit interest. The difference between that value and the initial figures is allocated to non-resident financial institutions, so that the total interest flows between financial institutions (both resident and non-resident) as shown in the profit-and-loss account remain unchanged. The loan and deposit data and their respective interest flows are brought into line with the financial data of the insurance sector and general government sector. The result is a table showing loans, deposits and related interest by economic sector: Table 1 Outstanding credits and deposits and interest flows in 2002 (EURO '000 000s) account Sector Sector Average stock interest credit AF2 & AF4 S11 non-financial corporations 7348.4 325.6 other monetary financial institutions and non-bank financial S122 + S1231 establishments 77300.6 2409.0 S123reste mutual funds, financial holdings and other financial-holding (S1232 + S1233) corporations 5098.6 199.3 S124 financial auxiliaries 542.2 26.9 S125 insurance corporations and pension funds 129.4 4.5 S1251 life assurance 92.3 3.2 S1252 non-life insurance 5.7 0.3 S1253 reinsurance 31.3 1.0 S13 general government 789.7 37.0 S1311 central government 362.0 20.5 S1313 local government 427.3 16.6 S1314 social-security funds 0.4 0.0 S14 households 8 516.6 358.5 sole proprietorships 1 092.4 51.2 as consumers 669.8 34.0 as owners of dwellings 6 754.4 273.2 S15 Npish 138.4 6.0 S200 non-bank rest of the world 109 892.6 4 637.4 S201 rest of the world monetary financial institutions 272 696.5 8 706.0 Total loans 482 453.1 16 710.3 debit AF2 S11 non-financial corporations 9099.4 260.9 other monetary financial institutions and non-bank financial S122 + S1231 establishments 77300.6 2409.0 S123part mutual funds, financial holdings and other financial-holding (S1232 + S1233) corporations 45546.2 1222.4 S124 financial auxiliaries 1 469.8 38.2 S125 insurance corporations and pension funds 3 399.0 100.8 S1251 life assurance 1 511.5 44.8 S1252 non-life insurance 325.1 9.7 S1253 reinsurance 1 562.4 46.3 S13 general government 5 868.7 181.7 S1311 central government 1 604.9 48.2 S1313 local government 608.8 16.4 S1314 social security funds 3 654.9 117.1
S14 households 12645.3 287.0 S141 sole proprietorships 1443.5 37.9 S142 as consumers 11201.9 249.0 S15 npish 880.4 26.1 S200 non-bank rest of the world 134452.6 4156.9 S201 rest of the world monetary financial institutions 236828.2 7950.4 Total debit 527490.0 16633.4 Stage 3: Calculation of FISIM proper begins with the calculation of the internal reference rate obtained by dividing the interest on loans/deposits in sectors S.122 and S.1231 by the average outstanding loans/deposits in those sectors. But since interbank loans and deposits are largely issued in currencies other than the euro (in particular the US dollar 26% in 2002), this original reference rate can be applied only with difficulty to the calculation of FISIM in the case of non-financial corporations (S.11), general government (S.13), households (S.14) and non-profit institutions serving households (S.15), sectors which have loans and deposits issued almost exclusively in euro (EUR). For this reason a euro reference rate is calculated for the above sectors on the basis of the euro and US dollar money-market rates. Those money-market rates are multiplied by the euro's and other currencies' relative share, and by the US dollar's relative share, of total interbank loans and deposits. The mixed internal reference rate thus obtained does not correspond exactly to the implicit internal reference rate, hence it must be adjusted by means of a correction factor. The correction factor is applied to the euro money-market rate for the purpose of calculating the euro internal reference rate applicable to the calculation of FISIM in sectors S.11, S.13, S.14 and S.15. For mutual funds and financial holdings (S.123part), financial auxiliaries (S.124) and insurance corporations and pension funds (S.125), use is made of the implicit reference rate which is a mixed reference rate, since bank loans and deposits in the above sectors are to a large extent issued in US dollars, similar to interbank loans and deposits. The external reference rate is calculated by dividing the average value of interest received and interest paid by the average of outstanding loans and deposits between, on the one hand, resident sectors S.122 and S.1231 and, on the other, non-resident financial intermediaries. Table 2.Calculation of reference rates (2002, EURO '000 000s) Transactions between financial intermediaries (S122+S1231) 77300.6 Transactions between resident and non-resident financial intermediaries (S122+S1231) 272696.5 Debit Transactions between financial intermediaries (S122+S1231) 77300.6 Transactions between resident and non-resident financial intermediaries 236828.2 Interest received Transactions between financial intermediaries (S122+S1231) 2409.0 Transactions between resident and non-resident financial intermediaries 8706.0 Interest paid Transactions between financial intermediaries (S122+S1231) 2409.0 Transactions between resident and non-resident financial intermediaries 7950.4 Reference rate euro internal reference rate 3.57% Mixed internal reference rate 3.12% External reference rate 3.27% Calculation of the internal reference rate IV.1.Currencies. Paper by STATEC_Luxembourg 3/7 27.09.2010 - RM
Internal reference rate according to FISIM regulation 3.12% euro money-market interest rate 3.32% US dollar money-market interest rate 1.67% Weight of foreign currencies in interbank loans and deposits in Luxembourg - EUR 58% - USD 26% - other 16% Mixed internal reference rate prior to correction 2.90% Correction factor for the internal reference rate 1.08 Internal reference rate euro and other currencies 3.57% USD internal reference rate 1.80% Mixed internal reference rate 3.12% Stage 4: FISIM by institutional sector are calculated in accordance with the following formulae: FISIM on loans granted to the institutional sector = interest received by resident FIs (financial intermediaries) on loans (outstanding loans x mixed or euro internal reference rate) FISIM on the institutional sector's deposits = (outstanding deposits x internal reference rate) interest paid by resident FIs on deposits For the purpose of calculating FISIM the insurance corporations and pension funds sector (S.125) is subdivided into life assurance, non-life insurance and re-insurance, the general government sector is subdivided into central government, local government and social security funds and the household sector is subdivided into employer households, consumer households and owner households on the loan side and into employer households and consumer households on the deposit side. Table 3 Internal FISIM (2002,EURO '000 000s) Stocks Interest FISIM S11 non-financial corporations 7348.4 325.6 63.0 S123 UCIs, financial holdings and other financial-holding corporations 5098.6 199.3 40.4 S124 financial auxiliaries 542.2 26.9 10.0 S125 insurance corporations and pension funds 129.4 4.5 0.5 life assurance 92.3 3.2 0.4 non-life insurance 5.7 0.3 0.1 Reinsurance 31.3 1.0 0.0 S13 general government 789.7 37.0 8.8 central government 362.0 20.5 7.5 local government 427.3 16.6 1.3 social security funds 0.4 0.0 0.0 S14 Households 8516.6 358.5 54.2 as consumers 669.8 34.0 10.1 as owners of dwellings 6754.4 273.2 31.9 as sole proprietorships 1092.4 51.2 12.2 S15 npish 138.4 6.0 1.1 TOTAL 22 563.4 957.9 178.0
Debit S11 non-financial corporations 9099.4 260.9 64.2 S123 UCis, financial holdings and other financial-holding corporations 45546.2 1222.4 197.0 S124 financial auxiliaries 1469.8 38.2 7.6 S125 insurance corporations and pension funds 3399.0 100.8 5.1 life assurance 1511.5 44.8 2.3 non-life insurance 325.1 9.7 0.4 reinsurance 1562.4 46.3 2.4 S13 general government 5868.7 181.7 28.0 central government 1604.9 48.2 9.1 local government 608.8 16.4 5.4 social security funds 3654.9 117.1 13.5 S14 households 12645.3 287.0 164.9 as consumers 11201.9 249.0 151.3 as owners of dwellings 0.0 0.0 0.0 as sole proprietorships 1443.5 37.9 13.6 S15 npish 880.4 26.1 5.4 TOTAL 78 908.6 2 117.0 472.2 Export of FISIM is calculated in accordance with the following formulae: FISIM on loans granted to the non-resident sector = interest received by resident FIs on loans (outstanding loans x external reference rate) FISIM on the non-resident sector's deposits = (outstanding deposits x external reference rate) interest paid by resident FIs on deposits For the purpose of calculating export of FISIM, a distinction is made between the non-financial nonresident sector and the non-resident financial intermediaries sector. Export of FISIM between the resident and non-resident financial sectors may have a positive or a negative sign. In the event of negative results, such exports are interpreted as imports of FISIM by the resident financial sector. In Luxembourg, this is the case for all the years for which FISIM have been calculated (since 1995). Table 4. FISIM: export and import by the resident financial sector (2002,EURO '000 000s) Stocks Interest FISIM non-fi non-residents 109892.6 4637.4 1045.0 FI non-residents 272696.5 8706.0-208.5 TOTAL 382 589.1 13 343.4 Debit non-fi non-residents 134452.6 4156.9 238.4 FI non-residents 236828.2 7950.4-208.5 TOTAL 371 280.8 12 107.4 IV.1.Currencies. Paper by STATEC_Luxembourg 5/7 27.09.2010 - RM
TOTAL FISIM EXPORT 1 283.4 FISIM IMPORT 416.9 Total FISIM output is equal to the sum of FISIM on deposits and loans and export of FISIM. Table 5. FISIM: Total output of FISIM by the resident financial sector (2002,EURO '000 000s) Internal FISIMs 650.2 FISIM on loans 178.0 FISIM on deposits 472.2 Export of FISIMs 1283.4 Total output of FISIM 1933.6 Import of FISIM by resident institutional sectors (except FIs) is calculated in accordance with the following formulae: Imported FISIM on loans granted to the resident sector = interest received by non-resident FIs on loans (outstanding loans x external reference rate) Imported FISIM on the institutional sector's deposits = (outstanding deposits x external reference rate) interest paid by non-resident FIs on deposits Table 6. FISIM: Import by sectors other than FISIM producing sectors (S.122 and S.1231) (2002,EURO '000 000s) Borrowings (F4) from the non-resident financial sector Stocks Interest FISIM S11 non-financial corporations 1 231.0 94.9 54.7 S1232-3 UCIs, financial holdings and other financial-holding corporations 0.0 0.0 0.0 S124 financial auxiliaries 0.4 0.0 0.0 S125 insurance corporations and pension funds 193.5 7.6 1.3 life assurance 138.1 5.4 0.9 non-life insurance 8.6 0.4 0.2 reinsurance 46.8 1.7 0.2 S13 general government 0.0 0.0 0.0 central government 0.0 0.0 0.0 local government 0.0 0.0 0.0 social security funds 0.0 0.0 0.0 S14 households 33.4 2.6 1.5 as consumers 33.4 2.6 1.5 as owners of dwellings 0.0 0.0 0.0 as sole proprietorships 0.0 0.0 0.0 S15 npish 0.0 0.0 0.0 TOTAL 1 458.3 112.7 57.4 Debit assets (F2) held by the non-resident financial sector S11 non-financial corporations 2509.2 74.0 8.1 mutual funds, financial holdings and other financial-holding S123 corporations 21848.4 479.4 234.8 S124 financial auxiliaries 24.4 0.6 0.2
S125 insurance corporations and pension funds 454.8 2.4 12.5 life assurance 210.3 1.1 5.8 non-life insurance 27.2 0.1 0.7 reinsurance 217.3 1.1 6.0 S13 general government 0.0 0.0 0.0 central government 0.0 0.0 0.0 local government 0.0 0.0 0.0 social security afunds 0.0 0.0 0.0 S14 households 0.0 0.0 0.0 as consumers 0.0 0.0 0.0 as owners of dwellings 0.0 0.0 0.0 as sole proprietorships 0.0 0.0 0.0 S15 npish 0.0 0.0 0.0 TOTAL 24 836.8 556.3 255.6 FISIM IMPORT (negative export) 416.9 TOTAL FISIM IMPORT 730.0 IV.1.Currencies. Paper by STATEC_Luxembourg 7/7 27.09.2010 - RM