2016年-ECB欧洲央行_Towards_a_Framework_for_Calibrating_Macroprudential_Leverage_Limits_for_Alternative_Investment_Funds_11页_353kb

Summary of the Special Feature: A Towards a Framework for Calibrating Macroprudential Leverage Limits for Alternative Investment Funds

Core Content

This special feature, jointly authored by the European Central Bank (ECB) and De Nederlandsche Bank (DNB), explores the need for a macroprudential framework to calibrate leverage limits for Alternative Investment Funds (AIFs) in Europe. AIFs currently operate without regulatory leverage limits, despite the legal powers of EU competent authorities to impose such restrictions. The document outlines a macroprudential rationale for limiting leverage in AIFs and proposes a framework for its design and calibration, using supervisory data from Dutch AIFs as an example.

Main Views

• Rapid Growth and Risk Increase: Since the global financial crisis, the investment fund sector in Europe has grown significantly, with AIFs in particular increasing in size. This growth has been accompanied by increased risk-taking, including shifting towards lower-rated debt, holding fewer liquid assets, and expanding into emerging markets.

• Systemic Risks from Leverage: Excessive leverage in the financial system can lead to systemic risks through mechanisms such as fire sales, interconnectedness with the financial system, and credit intermediation. These risks are amplified during financial crises and can lead to costly economic outcomes.

• Lack of Implementation: Although the AIFMD allows for the imposition of leverage limits, no EU authority has yet implemented them. A harmonised EU framework for macroprudential leverage limits is therefore a key priority.

• Leverage Measurement: The AIFMD provides a framework for measuring leverage, which includes both financial and synthetic leverage. Synthetic leverage, derived from derivatives, is harder to observe and may not be reflected in balance sheets, making it a critical area for monitoring.

• Fire Sale Risk: The framework identifies three key aspects of fire sale risk: redemption profiles, liquidity profiles, and counterparty concentration. Funds with high leverage may be more vulnerable to sudden redemptions, have liquidity transformation risks, and face higher exposure to counterparty defaults.

• Design Options for Leverage Limits: The document outlines three potential approaches for designing macroprudential leverage limits:

  • Uniform Standard: Applying the same leverage limit across the entire AIF sector, which is simple but less risk-sensitive.
  • Fund Type-Based Limits: Differentiating leverage limits based on fund types, using data from Table A.1 to identify relative risks.
  • Comprehensive Scoring Model: Aggregating risk indicators into a score to determine leverage limits, which allows for more nuanced and risk-sensitive regulation.

Key Information

• AIFMD Overview: The Alternative Investment Fund Managers Directive (AIFMD) regulates AIFs in Europe, requiring them to report leverage but not imposing limits.
• Leverage Types:
  • Financial Leverage: Direct borrowings and securities financing transactions.
  • Synthetic Leverage: Leverage through derivatives, which is not directly visible on balance sheets.
• Supervisory Data: Dutch AIFs are used as a case study, showing that over 50% use leverage, with hedge funds being the most leveraged.
• Risk Indicators:
  • Redemption Frequency: Daily redemptions increase fire sale risk.
  • Investor Concentration: Funds with a high share of equity owned by a few investors are more vulnerable.
  • Liquidity Profile: Funds with high leverage may overestimate their portfolio liquidity.
  • Cash Buffer: High leverage funds tend to hold larger cash buffers to cover margin calls.
  • Counterparty Concentration: Some funds have concentrated exposures to counterparties, increasing fire sale risk.
• Calibration Considerations: The framework should be flexible, transparent, and capable of capturing cross-sectional risk factors. Time-varying aspects are also important but left for future work.
• EU-Level Framework: The special feature recommends the development of an EU-level framework to support harmonised implementation of macroprudential leverage limits, aligning with the ESRB’s agenda.

Conclusion

To address systemic risks from leverage in AIFs, a macroprudential framework is necessary. This special feature provides an initial step towards such a framework, using Dutch supervisory data to illustrate the key indicators and design options. It highlights the importance of a coordinated EU approach to ensure consistency and effectiveness in regulating AIF leverage. The next steps include aggregating national data, refining risk indicators, and addressing data reporting issues to support the development of a comprehensive and harmonised regulatory tool.