【行业研报】国际清算银行-为杠杆率高的非银行金融机构建立综合监管框架——金管局的经验教训（英）-20.docx

OBISBISPapersNo137Bui1dinganintegratedsurvei11anceframeworkforhigh1y1everagedNBFIs-1essonsfromtheHKMAbyKevinCheng,Zijun1iu1Si1viaPezziniand1iangYuMonetaryandEconomicDepartmentAugust2023JE1c1assification:GO1,G23,G28.Keywords:datagap,non-bankFinancia1Institutions,systemicrisk.Theviewsexpressedarethoseoftheauthorsandnotnecessari1ytheviewsoftheBIS.Thispub1icationisavai1ab1eontheBISwebsite(©BankforInternationa1Sett1ements2023.AUrightsreserved.Briefexcerptsmaybereproducedortrans1atedprovidedthesourceisstated.ISSN1682-7651(on1ine)Bui1dinganintegratedsurvei11anceframeworkforhigh1y1everagedNBFIs-1essonsfromtheHKMAKevinCheng,Zijun1iu,Si1viaPezziniand1iangYu+AbstractThispaperproposesanewapproachtomonitoringsystemicrisksarisingfromhigh1y1everagednon-bankfinancia1institutions(NBFIs)suchashedgefundsandfami1yoffices.Thesetypesofentitiesusua11yemp1oyahighdegreeof1everage,withthepotentia1tocreateandamp1ifymarketstressthroughtheirconcentratedportfo1iosandinterconnectedness.Atthesametime,theyarediverseinnature,nimb1eandsubjectto1itt1edisc1osure.Assuch,much-neededeffortstoaddressNBFIrisksfromasystem-wideperspectiveareoftenimpededbydatagaps.In1ightoftheongoingpo1icydiscussionsontheNBFIsector,andrecentprogressinco11ectingmoregranu1arsupervisorydata,thepaperhigh1ightsthatmu1tip1edatasourcescanbeintegratedinnewwaystoextractva1uab1einformationandsigna1sfortime1yNBFImonitoring.Inparticu1ar,granu1ardatafromtraderepositoriesandfromregu1atedentitiessuchasbankscanbeusedtonarrowdatagaps.BasedontheHKMA,sexperience,thepaperexp1ainstheana1ytica1underpinningsofbui1dingasurvei11anceframeworktomonitorhigh1y1everagedNBFIsandsuggestspractica1strategiesthatmightbeadoptedbyregu1atorsandsupervisors.JE1c1assification:G01,G23,G28.Keywords:datagap,non-bankFinancia1Institutions,systemicrisk.ThispaperhasbeenpreparedbyKevinCheng(former1yHKMA,current1yASEAN+3MacroeconomicResearchOffice),Zijun1iu(HKMA),Si1viaPezzini(HKMA),and1iangYu(BIS).Acknow1edgements:Wearegratefu1toTaoZhang,SiddharthTiwari,JensU1rich,FrankPackerandDerry1D'Si1vaforprovidingva1uab1eadvice.AttheHKMA1wewishtothankEddieYue1ArthurYuen,Howard1ee,Darry1Chan,Edmond1auandC1araChanforguidanceandinsightsontheproject.Thepapera1sobenefittedfromusefu1commentsfromIhakiA1dasoro,Sa11yChen,StijnC1aessens.RodrigoCoe1ho,JuanCar1osCrisanto,JohannesEhrentraud,WenqianHuang,NithyaNavaratnam1AndreasSchrimpf,I1hyockShim,V1adys1avSushko1Jean-Phi1ippeSvoronos1Phi1ipWoo1dridge,RaihanZami1andothers,inc1udingparticipantsoftheBISandHKMAseminars.Thepaperwaspresentedatthe2023Risk1ab/BankofFin1and/EuropeanSystemicRiskBoardConferenceonSystemicRiskAna1ytics,andwewou1d1iketothankStephenCecchetti,TuomasPe1tonen1SanneZwartandotherconferenceparticipantsforfeedbackandcomments.HenryChan,MuyangWuandPhoebeFanfromtheHKMAprovidedexce11entresearchassistance.Thispaperrepresentstheviewsoftheauthorsandnotnecessari1ythoseoftheBankforInternationa1Sett1ementsortheHongKongMonetaryAuthority.1. IntroductionSincetheGreatFinancia1Crisis(GFC),non-bankfinancia1institutions(NBFIs)haveconsiderab1yexpandedtheirfootprintintheg1oba1financia1system.Whi1eNBFIsprovidediversificationbenefitstothefinancia1system,theyhavea1sobecomeamorsourceoffinancia1instabi1ityandhaveattractedincreasingpo1icyattention(Carstens(2023);Aramonteeta1(2023).Ofparticu1arconcerntopo1icymakersarewhigh1y1everagedNBFIsrzwhich,throughtheir1everage,concentrationofexposures,1iquiditymismatchesandinterconnectedness,canmagnifyandpropagateshocksthroughthefinancia1system,asseenduringtheco11apseof1TCM(BIS(1999);Edwards(1999)andArchegos(ESMA(2023a);FSB(2023a).Thispaperfocusesonhigh1y1everagedNBFIssuchashedgefundsandfami1yoffices.Thesefirmsareoftennotsubjecttoprudentia1regu1ationandhave1itt1eentity-1eve1disc1osure.Theyarediverseinnature,engagingincomp1exoropaquederivativestransactions,andtheirtradingstrategiescanchangerapid1ytoexp1oremarketopportunities.Directandindirectmarket1inkagesaswe11astheirhigh1everagecanamp1ify1iquiditystresses.Theirfai1uremay1eadtocredit1osses,marketdis1ocation,orevensparkfearsofcontagioninthefinancia1systemwithpotentia1systemicconsequences.Inaddition,thesectorhasbeengrowingfastandtheincreasing1yactivero1eofthesehigh1y1everagedNBFIsinmarketsmagnifiestheirimportancefromafinancia1stabi1ityperspective.Whi1eenhancedmarketSUrVe川ancebyregu1atoryauthoritiesismuchneededtoidentifyrisingrisksandvu1nerabi1itiesposedbyhigh1y1everagedNBFIszthequestionishowtodoitgiventheexistenceofimportantdatagaps.AkeythemeemergingfromworkcarriedoutbytheFSB(2023b)istheexistenceofimportantdatagapsinauthorities,NBFIriskmonitoring.Inthispaper,wedrawontherecentexperienceoftheHongKongMonetaryAuthority(HKMA).TheHKMAadopteditsNBFIsurvei11anceframeworkinQ32023aspartofitsregu1arfinancia1stabi1itysurvei11ancetoo1kit.Atthetimeofwriting,theframeworkhadservedovertimetof1aganumberofhedgefundsandfami1yoffices,whichwere1aterreportedinnegativenewsorbecameinvo1vedin1ega1proceedings,suggestingtheframeworkcou1dunmaskcertainhiddenvu1nerabi1itiesandrisksbeforetheym