加拿大：金融部门评估计划关于系统流动性评估的技术说明

FINANCIAL SECTOR ASSESSMENT PROGRAM TECHNICAL NOTE ON SYSTEMIC LIQUIDITYASSESSMENT ThisTechnical NoteonSystemic Liquidity Assessmentwas prepared by a staff team ofthe International Monetary Fund. It is based on the information available at the time itwas completed onJuly 22, 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. CANADA FINANCIAL SECTOR ASSESSMENT PROGRAM TECHNICAL NOTE SYSTEMIC LIQUIDITY ASSESSMENT This Technical Note was prepared by IMF staff in thecontext of the 2025 Financial Sector AssessmentProgram in Canada. 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. Prepared By Monetary and Capital MarketsDepartment CONTENTS Glossary __________________________________________________________________________________________4 EXECUTIVE SUMMARY __________________________________________________________________________6 INTRODUCTION ________________________________________________________________________________12 A.Background_________ __________________________________________________________________________12 ASSESSING MARKET STRUCTURE AND LIQUIDITY RISKS ____________________________________13 A. Reliance on Foreign Funding__________________________________________________________________13B. Canadian Secured Funding Markets___________________________________________________________19C. Canadian Unsecured Private Funding Markets ________________________________________________24D. Government of Canada Securities and Provincial Securities___________________________________26E. Assessment of Funding Markets’ Functioning and Risks Ahead _______________________________30 BANK OF CANADA’S LIQUIDITY MANAGEMENT FRAMEWORK _____________________________44 A.Overview_______________________________________________________________________________________44B.Bank of Canada’s Instruments to Address Systemic Liquidity Risk_____________________________50C.Addressing Idiosyncratic Liquidity Risks Through Emergency Lending Assistance_____________53 BANK OF CANADA’S RISK MITIGATION STRATEGIES ________________________________________57 A.Collateral Framework _________________________________________________________________________57B.Operational and Stress Tests __________________________________________________________________60 References______________________________________________________________________________________67 BOXES 1. Liquidity Oversight for Non-Bank Financial Institutions _______________________________________422. Non-Banking Financial Institutions and Liquidity Backstops: A General Assessment__________48 FIGURES 1 Systemic Liquidity Assessment Framework ____________________________________________________132. Reliance on Foreign Funding__________________________________________________________________183. Canadian Secured Funding Markets___________________________________________________________234. Evolution of Key Canadian Unsecured Short-Term Funding Instruments ______________________25 5a. Government of Canada Bonds Outstanding by Investor Type________________________________275b. Government of Canada Securities and Provincial Securities - Market Metrics________________295c. Provincial Bonds Outstanding by Investor Type ______________________________________________296. Assessment of Funding Markets’ Functioning and Risks Ahead _______________________________367. Liquidity Coverage Ratio and Net Stable Funding Ratio—Big 6 Canadian Banks ______________398. Liquidity Coverage Ratio ______________________________________________________________________409. Credit Unions and Caisses Populaires (Excluding Desjardins)—Total Assets___________________4110. Bank of Canada’s Transition to Floor System_________________________________________________4411. Bank of Canada’s Liquidity Management Framework Overview ______________________________4512. Bank of Canada’s Liquidity Standing Facilities _______________________________________________4613. Bank of Canada’s Standing Facilities Withdrawals____________________________________________4714. Programs and Facilities to Address the COVID-19 Crisis: Total Purchased ___________________5215. Emergency Lending Assistance Eligibility and Requirements_________________________________5516. Liquidity Standing Facilities: Key Features ___________________________________________________59 TABLE 1. Recommendations on Systemic Liquidity Management _______________________________________10 APPENDICES I. Insights on Market Structure___________________________________________________________________62II. Liquidity Adequacy Requirements______________________________