IMF-欧元区：发布金融部门评估计划文件——关于非银行金融机构系统风险分析的技术说明（英）

© 2025 International Monetary Fund IMF Country Report No. 25/211 EURO AREA POLICIES PUBLICATION OF FINANCIAL SECTOR ASSESSMENT PROGRAM DOCUMENTATION—TECHNICAL NOTE ON SYSTEMIC RISK ANALYSIS—NBFI This paper on Systemic Risk Analysis – NBFI was prepared by a staff team of the International Monetary Fund. It is based on the information available at the time it was completed on July 2, 2025. Copies of this report are available to the public from International Monetary Fund • Publication Services PO Box 92780 • Washington, D.C. 20090 Telephone: (202) 623-7430 • Fax: (202) 623-7201 E-mail: publications@imf.org Web: http://www.imf.org International Monetary Fund Washington, D.C. July 2025 EURO AREA FINANCIAL SECTOR ASSESSMENT PROGRAM TECHNICAL NOTE SYSTEMIC RISK ANALYSIS - NBFI Prepared By Monetary and Capital Markets Department This Technical Note was prepared in the context of the Financial Sector Assessment Program (FSAP) in the euro area. It contains the technical analysis and detailed information underpinning the FSAP findings and recommendations. Further information on the FSAP program can be found at http://www.imf.org/external/np/fsap/fssa.aspx July 2, 2025 EURO AREA INTERNATIONAL MONETARY FUND 2 CONTENTS Glossary __________________________________________________________________________________________ 4 EXECUTIVE SUMMARY __________________________________________________________________________ 5 INTRODUCTION _________________________________________________________________________________ 8 CCP COUNTERPARTY CREDIT RISK ON REVERSE REPO ________________________________________ 9 SYSTEM-WIDE SPILLOVERS FROM NBFI LIQUIDITY DISTRESS ______________________________ 12 A. Scope and Methodology ______________________________________________________________________ 13 B. Results ________________________________________________________________________________________ 28 C. Conclusions ___________________________________________________________________________________ 34 BOX 1. Ensuring Data and Tools are Fit-For-Purpose __________________________________________________ 35 FIGURES 1. CCPs Counterparty Credit Risk on Reverse Repo ______________________________________________ 12 2. Stress Test Approach and Timeline ____________________________________________________________ 14 3. Investment Funds’ Portfolio Allocation ________________________________________________________ 16 4. Repo Activities by Funds in Scope, Over Time and by Regulatory Type ________________________ 17 5. Market Scenarios ______________________________________________________________________________ 18 6. Market Scenarios Impact on Funds’ Assets ____________________________________________________ 19 7. Funds’ Liquidity Outflows, by Strategy_________________________________________________________ 25 8. Sovereign Bond Encumbrance by Fund Type __________________________________________________ 27 9. Two-Day Scenario ________________________