Euro Area: Publication of Financial Sector Assessment Program Documentation-Technical Note on Systemic Risk Analysis-NBFI
IMF Staff Country Reports, July 25, 2025
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Bibliographic details
- Published: July 25, 2025
- Series: IMF Staff Country Reports
- DOI: https://doi.org/10.5089/9798229019859.002
Overview
- This note discusses the assessment of systemic risks within Non-Bank Financial Institutions (NBFIs) as part of the Financial Sector Assessment Program (FSAP) for the euro area (EA).
- It outlines the assessment of counterparty credit risk related to Central Counterparties (CCPs) and the potential system-wide spillovers from NBFI liquidity distress with a focus on the investment funds sector.
- Spillovers to and from the insurance sector to the fund sector were quantified based on detailed EA insurers’ assets holdings and derivative positions.
- Publication date: July 25, 2025.
- Series: IMF Staff Country Reports; Country Report No. 2025/211.
- Pages: 55.
Key Analytical Components
- Assessment of counterparty credit risk related to Central Counterparties (CCPs).
- Quantification of system-wide spillovers from NBFI liquidity distress, focusing on the investment funds sector.
- Quantification of spillovers to and from the insurance sector to the fund sector using detailed EA insurers’ asset holdings and derivative positions.
- Subject tags present in the document: Asset and liability management, Collateral, Financial institutions, Financial sector policy and analysis, Liquidity, Liquidity stress testing, Mutual funds, Stress testing.
Primary Findings and Focus Areas
- Counterparty credit risk linked to CCPs is a central area of analysis for NBFI systemic risk in the euro area.
- Investment funds are a primary channel analyzed for potential system-wide spillovers arising from NBFI liquidity distress.
- Interactions between insurers and funds were quantified using insurers’ asset holdings and derivative positions to capture bidirectional spillovers between the insurance sector and the fund sector.
Keywords and Analytical Tools Referenced
- Keywords included: alternative investment, Collateral, Global, Liquidity, liquidity management tool, Liquidity stress testing, management directive, market scenario, markets authority, Mutual funds, securities financing transactions regulation, Stress testing, system-wide spillover.
International Monetary Fund. Monetary and Capital Markets Department "Euro Area: Publication of Financial Sector Assessment Program Documentation-Technical Note on Systemic Risk Analysis-NBFI", IMF Staff Country Reports 2025, 211 (2025), July 25, 2025.
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- 1eurea2025008