欧洲央行-当保证金不足时：非银行金融机构的流动性准备（英）

ECB-PUBLIC Working Paper Series When margins call: liquidity preparedness of non-bank financial institutions V. Macchiati, L. Cappiello,M. Giuzio, A. Ianiro,F. LilloDisclaimer: This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. No 3074 AbstractWe propose a novel framework to assess systemic risk stemming from the inadequateliquidity preparedness of non-bank financial institutions (NBFIs) to derivative margin calls.Unlike banks, NBFIs may struggle to source liquidity and meet margin calls during periodsof significant asset price fluctuations, potentially triggering asset fire sales and amplifyingmarket volatility. We develop a set of indicators and statistical methods to assess liquiditypreparedness and examine risk transmission through common asset holdings and counterpartyexposures. Applying our framework to euro area NBFIs during the Covid-19 turmoil andthe 2022–2023 monetary tightening, we observe an increase in distressed entities, which, inturn, seem to exhibit more liquidity-driven selling behaviours than their non-distressed peers.Network analysis suggests that certain counterparties of distressed entities appear particularlyvulnerable to margin call-induced liquidity shocks.Our framework offers policymakersvaluable tools to enhance the monitoring and resilience of the NBFI sector.JEL codes: C02, E52, G01, G11, G23Keywords: Non-bank Financial Institutions, Derivative margin calls, Liquidity risk, Financialstability, Network analysisECB Working Paper Series No 30741Non-technical summaryRecent financial market disruptions, such as the turmoil in March 2020, the collapse of Archegosin 2021, and the volatility in commodities and UK pension funds in 2022, have highlighted acritical challenge for financial stability: the ability of non-bank financial institutions (NBFIs) tomeet liquidity demands during periods of market stress. This paper proposes a novel frameworkto monitor the risks associated with margin calls in the derivatives market, focusing on NBFIs,and to assess their broader implications for financial stability.Margin calls require financial institutions to provide cash or eligible assets to cover potentiallosses on derivative positions. These requirements were strengthened after the global financialcrisis to reduce counterparty credit risk. At the same time, they have also introduced a potentialpro-cyclical source of vulnerability, particularly for NBFIs, which often do not have the sameliquidity buffers as banks during market distress. When market volatility increases sharply,margin calls rise, creating sudden and significant liquidity needs. If NBFIs struggle to meet thesecalls, they may be forced to sell assets quickly, potentially worsening market instability. Also, ifthey fail to meet their margin obligations, this stress can spillover to banks and other financialentities that act as clearing