Non-bank financial institutions: assessment of their impact on the stability of the financial system



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 Stakeholder consultations
 
 
 
 
 
 
 
244 
 
 
 
 
 
 
Section E.
Additional comments 
5.
 
If, in addition to the previously addressed points, there are any additional issues you feel should be 
considered during this study, please provide comment below. 
OPEN RESPONSE 


K
C-AI-12-472-EN-N

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
        • Assets
      • 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
      • 4.1.1 UCITS I-V
        • UCITS V
    • 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
        • Methodologies
        • Results
      • 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

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