加拿大：金融部门评估计划系统风险分析技术说明（英）

FINANCIAL SECTOR ASSESSMENT PROGRAM TECHNICAL NOTE ON SYSTEMIC RISK ANALYSIS ThisTechnical NoteonSystemic Risk Analysiswas prepared by a staff team of theInternational Monetary Fund. It is based on the information available at the time it wascompleted onJuly 28, 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 RISK ANALYSIS This Technical Note was prepared by IMF staff in thecontext of the Financial Sector Assessment Programin Country. It contains technical analysis and detailedinformation underpinning the FSAP’s findings andrecommendations. Further information on the FSAPcan be found athttp://www.imf.org/external/np/fsap/fssa.aspx PreparedByMonetary and Capital MarketsDepartment CONTENTS Glossary __________________________________________________________________________________________5 EXECUTIVE SUMMARY __________________________________________________________________________7 A.Macroeconomic Landscape and Sectoral Vulnerabilities ______________________________________11B.Financial Sector Structure _____________________________________________________________________14 MACROECONOMIC SCENARIOS _______________________________________________________________24 CORPORATE ANALYSIS ________________________________________________________________________34 BANK SOLVENCY STRESS TEST ________________________________________________________________42 A.Credit Risk______________________________________________________________________________________43B.Interest Rate Risk______________________________________________________________________________45C.Modelling of Other Profit and Loss Components _____________________________________________46D.Market Risk Modelling Approach _____________________________________________________________48E.Results__________________________________________________________________________________________49F.Recommendations ____________________________________________________________________________53 A.Liquid Coverage Ratio–Based Test ____________________________________________________________55B.Cash Flow Analysis ____________________________________________________________________________57 INTERCONNECTEDNESS AND CONTAGION ANALYSIS ______________________________________61 A.Methodologies _______________________________________________________________________________61B.Results__________________________________________________________________________________________63 INSURANCE AND PENSION RISK ANALYSIS __________________________________________________66 A. Insurance Solvency Stress Test ________________________________________________________________66B. Pensions’ Funding Risk Analysis_______________________________________________________________77C. Insurance and Pensions Liquidity Risk Analysis________________________________________________83D. Recommendations____________________________________________________________________________90 BOX 1. Mortgage Insurance Risk Analysis_____________________________________________________________75 FIGURES 1. Recent Macroeconomic Developments _______________________________________________________122. Structure of the Financial System _____________________________________________________________163. Banking Sector Key Performance Indicators___________________________________________________184. Banking Sector Key Performance Indicators___________________________________________________195. Canada and Selected Countries: Key Financial Soundness Indicators__________________________206. Insurance Asset Allocation and Solvency ______________________________________________________217. Pension Plan Investments and Funding Ratios ________________________________________________238. Real Gross Domestic Product _________________________________________________________________259. Macrofinancial Scenarios______________________________________________________________________2610. Household Credit Market and Indebtedness_________________________________________________2911. Household Wealth, Income, Saving and Debt Servicing______________________________________3012. Household Mortgage Probability of Default Projection ______________________________________3313. Corporate Sector Credit Market and Indebtedness __________________________________________3514. Orbis Descriptive Statistics and Industry Dynamics __________________________________________3615. Firm-Level Performance______________________________________________________________________3816. Corporate Probability of Default Projection Results__________________________________________4117. Loan Composition for the 7 Systemically Debt-to-Income _________________________