IMF-扑灭NBFIRE：英国负债驱动投资（LDI）危机的教训（英）-2023.10_市场营销策划_.docx

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1、WoRK-NGPAINTERNATIONA1MONETARYFUNDPuttingOuttheNBFire:1essonsfromtheUK,s1iabi1ity-DrivenInvestment(1DI)CrisisRuoChenandEstiKempWP/23/210IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepub1ishedtoe1icitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s

2、)anddonotnecessari1yrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.2023SEPWP/23/2102023Internationa1MonetaryFundIMFWorkingPaperEuropeanDepartmentPuttingOuttheNBFire:1essonsfromtheUK,s1iabi1ity-DrivenInvestment(1DI)CrisisPreparedbyRuoChenandEstiKemp*AuthorizedfordistributionbySA1iAbbasSe

3、ptember2023IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepub1ishedtoe1icitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessari1yrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.ABSTRACT:1iabi1ityDrivenInvestment(1DI)fundsw

4、ereatthecenteroftheseverestressthatemergedintheUKgi1tmarketintheaftermathoftheSeptember2023UKmini-budget.Theepisode,whichcameonthehee1softhe“DashforCash,andArchegos”stressepisodesintheprevioustwoyears,high1ightsunder1yingvu1nerabi1itiesinthe1argeanddiversenon-bankfinancia1institution(NBFI)sector.Thi

5、spaperseeksadeeperunderstandingofthefactorsthatamp1ifiedthegi1tmarketturmoi1whichu1timate1y1edtheBankofEng1and(BoE)toundertaketemporarygi1tpurchasesonfinancia1stabi1itygroundsin1ateSeptember/ear1yOctober2023torestoreorder1ymarketconditionsandenab1e1DIfundstobui1dtheircapita1positions.Withthegi1tmark

6、etstressandtheBoE,spurchasesnowfu11yunwound,thispaperidentifiesthekeyreasonsforthesuccessoftheBoE,sintervention.Then,drawinga1soonfindingsofthe2023UKFinancia1SectorAssessmentProgram(FSAP),thepaperdiscusseskeygapsandpo1icyissuesre1atedtothemonitoringoffinancia1stabi1ityrisksinthebroaderNBFIsectorforb

7、othindividua1jurisdictionsandinternationa1standard-settingbodies.RECOMMENDEDCITATION:RuoChenandEstiKemp,TuttingOuttheNBFire:1essonsfromtheUKs1iabi1ity-DrivenInvestment(1DI)Crisis/IMFWorkingPapers2023/210(Washington:Internationa1MonetaryFund).JE1C1assificationNumbers:E43,E44,G18,G23Keywords:Definedbe

8、nefitpensionfunds;1iabi1itydriveninvestment;NBFIs;BankofEng1andfinancia1stabi1ityintervention;1iquiditymanagement;centra1bank1iquiditybackstops;NBFIsurvei11ance;financia1stabi1ityAuthorsE-Mai1Address:rchenimf.orQ,ekempimf.orQTheauthorswou1d1iketothankA1iAbbasand1auraPappifortheirsuggestionsandsuppor

9、tforthispaper.Theyaregratefu1forusefu1commentsfromtheBankofEng1and,theFinancia1ConductAuthority,HMTreasury,thePensionRegu1ator,andmajormarketp1ayers.WORKINGPAPERSPuttingOuttheNBFire:1essonsfromtheUK5s1iabi1ity-DrivenInvestment(1DI)CrisisPreparedbyRuoChenandEstiKempContentsG1OSSARY31 .INTRODUCTION42

10、.THE1EAD-UPTOTHE1DICRISIS83 .THE1DICRISISANDTHEBANKOFENG1ANDSFINANCIA1STABI1ITYINTERVENTION103 .ATheUnfo1dingofthe1DICrisis104 .BTheBankofEng1andsFinancia1Stabi1ityIntervention114 .KEYTAKEAWAYS155 .ARegu1atoryandInformationGaps156 .BNBFIs,1iquidityManagementandOversightof1everage167 .CCentra1Bank1iq

11、uidityBackstopsfotSystemicNBFIs188 .DOvera11Survei11anceoftheNBFISector195.CONC1UDINGPOINTS19REFERENCES21G1ossaryAIFMDA1ternativeInvestmentFundManagerDirectiveBCBSBase1CommitteeonBankingSupervisionBoECCPBankofEng1andCentra1counterpartiesCRECommercia1rea1estateDBDefinedbenefitsDCDefinedcontributionET

12、FExchange-tradedfundESRBFCAEuropeanSystemicRiskBoardFinancia1ConductAuthorityFSAPFSBFinancia1sectorassessmentprogramFinancia1Stabi1ityBoard1DI1iabi1itydriveninvestment1ME1ondonMeta1Exchange1MT1iquiditymanagementtoo1MMFMoneymarketfundMPCMonetarypo1icycommitteeNBFINon-bankfinancia1institutionOBROTCOff

13、iceforBudgetResponsibi1ityOverthecounterPRAPrudentia1Regu1ationAuthoritySMESma11andmedium-sizedenterpriseSWESTECRFTPRsystem-wideexp1oratoryscenarioTemporaryexpandedco11atera1repofaci1ityThePensionRegu1ator1.IntroductionMarketstresscenteredon1iabi1ity-DrivenInvestment(1DI)fundsfo11owingtheUKmini-budg

14、etannouncementinSeptember2023againcastaspot1ightonvu1nerabi1itiesinthenon-bankfinancia1institution(NBFI)sector.Thesuddenandsharpincreaseingi1tyie1dsafterthe,imini-budgeforceddefinedbenefit(DB)pensionfundswith1everaged1DIstrategiestoquick1yraisea1argeamountofcashtomeetmarginandco11atera1ca11s,contrib

15、utingtofire-sa1esof1onger-datedgi1ts.Theeffectwascompoundedbyrising1ong-terminterestratesinthepreceding10months,towhichsomepensionschemesand1DIfundshadfai1edtoadjusttheiravai1ab1e1iquidityresources.Imminentfinancia1stabi1ityrisksforcedtheBankofEng1and(BoE)tointerveneinthegi1tmarketinatemporaryandtargetedwaytorestoreorder1ymarketconditionswhi1ea11owingthe1DIfundstimetorecapita1ize.Atthecoreoftheturmoi1werethe1everage,1iquiditymismatchesbetweenassetsand1iabi1ities,andconcentratedpositionsofthe1DIstrategies.Overthepastsevera1yearsthereweresevera1instanceswheresimi1arriskfactor