欧元区：发布金融部门评估计划文件——关于非银行金融机构系统风险分析的技术说明（英）

PUBLICATION OF FINANCIAL SECTOR ASSESSMENTPROGRAM DOCUMENTATION—TECHNICAL NOTE ONSYSTEMIC RISK ANALYSIS—NBFI This paperonSystemic Risk Analysis–NBFIwas prepared by a staff team of theInternational Monetary Fund. It is based on the information available at the time it wascompletedon July 2,2025. Copies of this report are available to the public from International Monetary Fund•Publication ServicesPO Box 92780•Washington, D.C. 20090Telephone: (202) 623-7430•Fax: (202) 623-7201E-mail:publications@imf.org Web:http://www.imf.org International Monetary FundWashington, D.C. EURO AREA FINANCIAL SECTORASSESSMENTPROGRAM TECHNICALNOTE SYSTEMIC RISK ANALYSIS-NBFI Prepared ByMonetary and Capital MarketsDepartment This Technical Note was prepared in the context of theFinancial Sector Assessment Program (FSAP) in theeuroarea.Itcontainsthetechnical analysis anddetailed information underpinning the FSAP findingsand recommendations. Further information on theFSAP program can be found athttp://www.imf.org/external/np/fsap/fssa.aspx CONTENTS Glossary__________________________________________________________________________________________4 EXECUTIVE SUMMARY__________________________________________________________________________5 CCP COUNTERPARTY CREDIT RISK ON REVERSE REPO________________________________________9 SYSTEM-WIDE SPILLOVERS FROM NBFI LIQUIDITY DISTRESS______________________________12 A. Scope and Methodology______________________________________________________________________13B. Results________________________________________________________________________________________28C. Conclusions___________________________________________________________________________________34 BOX 1. Ensuring Data and Tools are Fit-For-Purpose__________________________________________________35 FIGURES 1. CCPs Counterparty Credit Risk on Reverse Repo______________________________________________122. Stress Test Approach and Timeline____________________________________________________________143. Investment Funds’ Portfolio Allocation________________________________________________________164. Repo Activities by Funds in Scope, Over Time and by Regulatory Type________________________175. Market Scenarios______________________________________________________________________________186. Market Scenarios Impact on Funds’ Assets____________________________________________________197. Funds’ Liquidity Outflows, by Strategy_________________________________________________________258. Sovereign Bond Encumbrance by Fund Type__________________________________________________279. Two-Day Scenario_____________________________________________________________________________2910. Two-Week Scenario__________________________________________________________________________3011. Spillovers to Core Markets___________________________________________________________________3112. Spillovers to Other Financial Institutions in the Two-Week Scenario_________________________33 TABLES 1. Main Recommendations_______________________________________________________________________72. Flow-Performance Sensitivities, by Fund Strategy_____________________________________________203. 2018 Estimates of Total Liquidity Shortfall_____________________________________________________234. Assumptions for the Two-Day Scenario_______________________________________________________275. Assumptions for the Two-Week Scenario_____________________________________________________28 APPENDICES I. Stress Testing Matrix (STeM)___________________________________________________________________37II. AIF Data_______________________________________________________________________________________40 III. Modelling the Impact of Shocks on Derivatives_______________________________________________45IV. Asset Segmentation__________________________________________________________________________48V. Repo Data Preparation________________________________________________________________________50 References_______________________________________________________________________________________51 Glossary AIFAlternative Investment FundAIFMDAlternative Investment Funds Management DirectiveAUMCICAssets Under ManagementComplementary Identification CodeCPCorporate PaperCSACredit Support AnnexCUSIPCommittee on UniformSecurities Identification ProceduresEAEuro AreaECEuropean CommissionECBEuropean Central BankEIOPAEuropean Insurance and Occupational Pensions AuthorityESMAEuropean Securities and Markets AuthorityESAEuropean SupervisoryAuthoritiesESRBEuropean Systemic Risk BoardETFExchange-Traded FundsEUEuropean UnionFSAPFinancial Sector Assessment ProgramHYHigh YieldIGInvestment GradeIMInitial MarginISINInternational Security Identification NumberLCRLiquidity Coverage RatioLEILegal Entity IdentifierLDILiability-driven Investment FundsLMTsMIFIDMMFLiquidity Management ToolsMarkets in Financial Instruments DirectiveMoney Market FundsMtMMark to MarketNAVNet Asset ValueNBFINon-Bank