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Document Outline About London Economics Acknowledgements Glossary Member State abbreviations Executive summary 1 Introduction 1.1 Background 1.2 Definitions 1.3 Study objectives 1.4 Report structure 2 The size and evolution of the non-bank financial sector 2.1 Comparisons of the bank and non-bank financial sectors 2.1.1 Evolution of the size of the bank and non-bank financial sectors in the EU27 from 2000 to 2011 2.1.2 Leverage of the bank and non-bank financial sectors in the EU27 2.1.3 Connectedness of NBFIs with the banking sector 2.1.4 Variation in size of the OFI sector across the EU27 2.2 Developments in assets and liabilities of NBFIs 2.2.1 Total assets 2.2.2 Different asset classes 2.2.3 Analysis of derivatives 2.2.4 Analysis of loans 2.3 Key message 3 Sub-sectors of the non-bank financial system 3.1 Money market funds 3.2 Private equity firms 3.3 Hedge funds 3.4 Pension funds 3.5 Insurance undertakings 3.6 Central counterparties 4 Regulatory overview 4.1 Money market funds 4.2 Private equity funds What is an Alternative Investment Fund Manager (‘AIFM’)? Why do we need the AIFMD? What is the link with the financial crisis? What are the objectives of the AIFMD? When will the passport be made available to non-EU managers and funds? 4.3 Pension funds 4.3.1 Solvency II 4.3.2 IORP Directive of 2003 4.3.3 IORP Review 4.3.4 April 2011: Call for Advice by the Commission from EIOPA 4.4 Insurance undertakings 4.4.1 Introduction 4.4.2 Solvency I 4.4.3 Solvency II 4.4.4 Omnibus II 4.4.5 Other regulatory developments that may influence the asset choices of insurers Third country equivalence Financial Conglomerates G-SIFIs EMIR AIFMD/UCITS IFRS Liabilities - dealing with customers Insurance Mediation directive (IMD II) Packaged retail Investment Products (PRIPS) IORPS Guarantee schemes 4.5 Central counterparties 4.6 Relevant extracts from EBA discussion paper2F of March 2012 on possible capital requirements for CCPs 5 Cross-cutting issues 5.1 Securitisation 5.1.1 Background 5.1.2 Risks 5.1.3 Trends in securitisation – AFME data 5.1.4 Trends in securitisation – ECB data 5.1.5 Conclusions 5.2 Repos 5.2.1 Background 5.2.2 Risks 5.2.3 Trends in European repos 5.3 Securities lending 5.3.1 Background 5.3.2 Risks 5.3.3 Recent trends 5.4 Fire sales 5.5 Redemption risk 5.6 Counterparty risk 5.7 Liquidity risk 5.8 6 Assessment of risks to financial stability of sub-sectors of the non-bank financial system 6.1 Analytical framework 6.1.1 Summary statement for analytical framework 7 Money market sector risks 7.1 Overview 7.2 Risk analytics 7.3 European money market developments around the financial crisis 7.3.1 Money market fund assets 7.3.2 Money market spreads 7.3.3 Significant events 7.3.4 Suspended redemptions 7.3.5 Sponsor support of MMFs 7.3.6 Reallocation to short-dated assets 7.3.7 Policy interventions 7.4 Conclusion 8 Private equity risks 8.1 Overview 8.2 Risk analytics 8.2.1 Private equity in general Redemption risk Fire sales Liquidity risk 8.2.2 Private equity and the leveraged loan market Warehouse risk Liquidity risk and valuation Refinancing risk 8.3 European private equity developments around the financial crisis 8.4 Conclusion 8.5 9 Hedge fund sector risks 9.1 Overview 9.2 Risk analytics6F 9.2.1 Prime brokerage 9.2.2 Trading counterparties 9.2.3 Owners and managers of hedge funds 9.2.4 Absolute size 9.2.5 Excessive leverage 9.2.6 Liquidity risk 9.2.7 Inadequate counterparty risk management practices 9.3 European hedge fund developments around the financial crisis 9.3.1 Size 9.3.2 Returns 9.3.3 Strategies 9.4 Conclusion 10 Insurance and pension fund sector risks 10.1 Overview 10.2 Risk analytics 10.2.1 Liquidity risk 10.2.2 Counterparty risk 10.2.3 Securities lending 10.2.4 Fire sale externalities 10.3 European insurance and pensions sectors developments around the financial crisis 10.3.1 Aggregate balance sheet developments 10.3.2 Decomposition analysis, by asset class 10.3.3 Asset allocation and portfolio rebalancing 10.3.4 Asset allocations of the insurance sector and the sovereign debt crisis 10.4 Conclusion 11 Central counterparties and risks to financial stability 11.1 Recent Developments and influences on CCPs 11.2 Risks to financial stability 11.2.1 Concentration of risks 11.2.2 Single versus multiple CCPs 11.2.3 Direct CCP access 11.2.4 Domestic versus global CCPs 11.2.5 Links between CCPs 11.3 Conclusion 12 Focus on UCITS and ETFs 12.1 Evolution of UCITS 12.2 Exchange-traded funds (ETFs) 12.3 Risks to stability 12.3.1 Tracking error risk 12.3.2 Counterparty risk 12.3.3 Liquidity risk 12.3.4 Product complexity and opacity 12.4 Conclusion 13 Measures of OFIs' impact on financial stability 13.1 Introduction 13.2 Indicators of financial distress based on balance sheet variables 13.3 Early warning signals 13.3.1 Background 13.3.2 Indicators based on asset and credit markets Macroeconomic variables Credit variables Monetary variables Current account variables Interest rate variables 13.3.3 The CISS model 13.3.4 Assessment of early warning signals' performance 13.3.5 The relationship between NBFIs and credit conditions 13.4 Macroeconomic stress tests 13.5 Calculating the systemic importance of individual institutions 13.6 Conclusion 14 Knowledge gaps and how to monitor OFIs 14.1 Database development 14.2 Going forward – how best to monitor OFI 15 Conclusions References A1.1 Assets A1.2 Liabilities A2.1 Assets, other financial intermediaries A2.2 Liabilities, other financial intermediaries A2.3 Assets, insurance corporations and pension funds A2.4 Liabilities, insurance corporations and pension funds A3.1 Assets, other monetary financial institutions A3.2 Liabilities, other monetary financial institutions A4.1 Pension funds A4.2 Insurance corporations A4.3 Financial vehicle corporations A4.4 Investment funds A4.5 Money market funds A5.1 Banks A5.2 Insurance undertakings A5.3 Pension funds A5.4 Other institutional investors A5.5 Asset managers A5.6 Hedge funds A7.1 Aggregate financial stability assessment frameworks of the IMF and the ECB A7.1.1 IMF Financial Soundness Indicators A7.1.2 ECB macro-prudential indicators A7.2 Risk measures proposed in the economic literature A7.2.1 CoVar A7.2.2 Systemic expected shortfall A7.2.3 Distress insurance premium A7.2.4 Systemic Risk Indicator A7.2.5 Shapley value approach A7.2.6 Neural and network analysis A7.2.7 BCBS methodology for identification of systemically important institutions A8.1 EFAMA A8.2 AFME A8.3 EVCA A8.4 ECMI A8.5 HFI A8.6 Lipper Hedge Fund Database A8.7 TowerGroup A8.8 IPE A8.9 ECB A8.10 Eurostat A8.11 iMoneyNet A8.12 Data Explorers A9.1 Consultation guides A9.1.1 Insurance undertakings A9.1.2 Pension funds A9.1.3 Money market funds A9.1.4 Asset managers A9.1.5 Private equity and venture funds Do'stlaringiz bilan baham:
