欧元区：发布金融部门评估计划文件《投资基金监管、监督和系统性风险监测技术说明》（英）

EURO AREA PUBLICATION OF FINANCIAL SECTOR ASSESSMENTPROGRAM DOCUMENTATION—TECHNICAL NOTE ONINVESTMENT FUNDS REGULATION, SUPERVISIONAND SYSTEMIC RISK MONITORING This paperonInvestment Funds Regulation, Supervision and Systemic Risk Monitoringwas prepared by a staff team of the International Monetary Fund. It is based on theinformation available at the time it was completedon 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 TECHNICAL NOTE INVESTMENT FUNDS REGULATION, SUPERVISION ANDSYSTEMIC RISK MONITORING This Technical Note was prepared by IMF staff in thecontext of the Financial Sector Assessment Programintheeuro area. It contains technical analysis anddetailed information underpinning the FSAP’sfindings and recommendations.Further informationon the FSAP can be found athttp://www.imf.org/external/np/fsap/fssa.aspx PreparedByMonetary and Capital MarketsDepartment CONTENTS Glossary__________________________________________________________________________________________4 EXECUTIVE SUMMARY__________________________________________________________________________5 A.Market Overview_______________________________________________________________________________9B. Institutional Framework_______________________________________________________________________10 REGULATORY FRAMEWORK—THE SINGLE RULEBOOK______________________________________12 A. Overview of the Regulatory Framework for Investment Funds________________________________13B. Liquidity Risk in the Single Rulebook__________________________________________________________14C. Leverage in the Single Rulebook______________________________________________________________17D. Reporting_____________________________________________________________________________________19E. Depositaries___________________________________________________________________________________20F. Delegation in the Single Rulebook____________________________________________________________20G. Money Market Funds_________________________________________________________________________21H. Findings and Recommendations______________________________________________________________24 SUPERVISION___________________________________________________________________________________27 A. Institutional Arrangements____________________________________________________________________27B. ESMA’s Role in Supervisory Convergence_____________________________________________________27C. Findings and Recommendations______________________________________________________________33 SYSTEMIC RISK MONITORING & MACROPRUDENTIAL APPROACH________________________35 A. Systemic Risk Monitoring Activities___________________________________________________________35B. Data Sharing Framework and Cooperation____________________________________________________36C. Stress Testing_________________________________________________________________________________40D. Leverage risk monitoring framework under Article 25 AIFMD________________________________41E. EC Consultation on a Macroprudential Framework for Non-Bank Financial Intermediation___43F. Findings and Recommendations______________________________________________________________44 BOXES 1.The reform of the ELTIF framework___________________________________________________________142.Loan Originating Funds_______________________________________________________________________183.Selected Supervisory Convergence Tools_____________________________________________________294. ESMA’s Data Strategy_________________________________________________________________________39 TABLE 1. Recommendations on Investment Funds Regulation, Supervision and SystemicRisk Monitoring__________________________________________________________________________________7 FIGURES 1.Statistics on the use of supervisory convergence tools by ESMA______________________________332.The Complexity of the Reporting Environment________________________________________________39 APPENDIX I.The Regulatory Framework for Investment Funds in theEU___________________________________48 Glossary AIFAlternative Investment FundAIFMDAlternative Investment Funds Management DirectiveAUMAssets UnderManagementBoSBoard of SupervisorsDQEFData Quality Engagement FrameworkEAEADEuro AreaEligible Assets DirectiveEBAEuropean Banking AuthorityECEuropean CommissionECBEuropean Central BankEIOPAEuropean Insurance andOccupational Pensions AuthorityELTIFESAEuropean Long Term InvestmentsFundEuropean Supervisory AuthorityESMAEuropean Securities and Markets AuthorityESRBEuropean Systemic Risk BoardEUEuropean UnionEuSEFEuVECAIOSCOEuropean SocialEntrepreneurship FundEuropean Venture Capital FundInternational Organization of Sec