保证金和抵押品赎回的流动性准备-执行摘要

Liquidity preparedness for margin and collateral calls – Executive Recent episodes of market turmoil, eg the Archegos Capital collapse in 2021 or the United Kingdom’sliability-driven fund stress in September 2022, showed that rapid increases in margin and collateralrequirements, while essential for managing counterparty risk, can amplify liquidity needs across the Drawing on an analysis of these experiences, the Financial Stability Board (FSB) identifiedweaknesses in liquidity risk management, stress testing and collateral practices among the non-bankfinancialintermediation(NBFI)sector.Key vulnerabilities arise from leverage,concentration risk, Against this background, in December 2024, the FSB publishedLiquidity Preparedness for Marginand Collateral Calls. This report provides policy guidance to improve NBFI entities’ ability to manageliquidity demands from margin and collateral calls in centrally and non-centrally cleared derivatives andsecurities markets, including securities financing (eg repo) activities. It covers a range of non-bank marketparticipants (ie insurance companies, pension funds, hedge funds, investment funds, family offices and The FSB’s policy recommendations complement existing international standards. Given theircross-sectoral nature, they are high-level and may not apply in the same way to all types of NBFI entities.Proportionality is therefore needed when applying them to the underlying risk of each type of NBFI activity.Standard-setting bodies and national authorities are called to promote the recommendations for their Policy recommendations Liquidity risk management practices and governance 1.Integration in risk management and governance frameworks:Market participants shouldincorporateliquidity risk from margin and collateral calls in their risk management and Risk tolerancesand contingency planning:Market participants should define their risktolerance for liquidity risk arising from margin and collateral calls and establish contingency 3.Regular review and adaptation:Liquidity frameworks should be updated regularly. Marketparticipants should actively seek to incorporate all available information to overcome data gaps Liquidity stress testing and scenario design 4.Stress testing:Regular stress tests should be conducted to identify sources of potential liquiditystrains caused by margin and collateral calls. Both historical (backward-looking) and hypothetical(forward-looking) scenarios should be included, with attention given to concentrated and 5.Scenario design:Stress tests should consider idiosyncratic (institution-specific), market-wide andcombined shocks, based on extreme but plausible scenarios caused by changes in margin andcollateral calls. Stress tests should also incorporate supervisory guidance and model the market Collateral management practices 6.Operational resilience:Market participants should have resilient and effective operationalprocesses and collateral management practices. They should ensure the timely availability, 7.Sufficient and diversified collateral:Market participants should maintain adequate levels ofcashand readily available and diverse liquid assets.They should assess the benefit ofdiversification in their collateral management (eg in terms of individual issuer, issuer type and 8.Active counterparty engagement:Market participants should interact regularly and activelywithcounterparties and third-party service providers to ensure mutual preparedness. Conclusions and policy considerations Strategicintegration:Market participants should ensure that liquidity riskmanagement for margin and collateral calls is a priority at the board and senior Regulatory alignment:Authorities should assess existing liquidity regulations andsupervisory guidance against the FSB’s recommendations and fill any identified gaps, Operational readiness:Investments by market participants in risk systems, automationand staff training are crucial to build operational resilience for managing collateral and Stakeholder coordination:Firms should engage proactively with supervisors, clientsandcounterparties to promote transparency,data-sharing and harmonisation of