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1、INTERNATIONA1MONETARYFUNDPuttingOuttheNBFire:1essonsfromtheUK,s1iabi1ity-DrivenInvestment(1DI)CrisisRuoChenandEstiKempWP/23/210IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepub1ishedtoe1icitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonot
2、necessari1yrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.WoRK-NGPAPER2023SEPWP/23/2102023Internationa1MonetaryFundIMFWorkingPaperEuropeanDepartmentPuttingOuttheNBFirei1essonsfromtheUK,s1iabi1ity-DrivenInvestment(1DI)CrisisPreparedbyRuoChenandEstiKemp*AuthorizedfordistributionbySA1iAbba
3、sSeptember2023IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepub1ishedtoe1icitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessari1yrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.ABSTRACT:1iabi1ityDrivenInvestment(1DI)fun
4、dswereatthecenteroftheseverestressthatemergedintheUKgi1tmarketintheaftermathoftheSeptember2023UKmini-budget.Theepisode,whichcameonthehee1softheDashforCashand1tArchegosstressepisodesintheprevioustwoyears,high1ightsunder1yingvu1nerabi1itiesinthe1argeanddiversenon-bankfinancia1institution(NBFI)sector.T
5、hispaperseeksadeeperunderstandingofthefactorsthatamp1ifiedthegi1tmarketturmoi1whichu1timate1y1edtheBankofEng1and(BoE)toundertaketemporarygi1tpurchasesonfinancia1stabi1itygroundsin1ateSeptemberZearIyOctober2023torestoreorder1ymarketconditionsandenab1e1DIfundstobui1dtheircapita1positions.Withthegi1tma
6、rketstressandtheBoE,spurchasesnowfu11yunwound,thispaperidentifiesthekeyreasonsforthesuccessoftheBoE,sintervention.Then,drawinga1soonfindingsofthe2023UKFinancia1SectorAssessmentProgram(FSAP)1thepaperdiscusseskeygapsandpo1icyissuesre1atedtothemonitoringoffinancia1stabi1ityrisksinthebroaderNBFIsectorfo
7、rbothindividua1jurisdictionsandinternationa1standard-settingbodies.RECOMMENDEDCITATION:RuoChenandEstiKemp,PuttingOuttheNBFire:1essonsfromtheUKs1iabi1ity-DrivenInvestment(1DI)Crisis,IMFWorkingPapers2023/210(Washington:Internationa1MonetaryFund).JE1C1assificationNumbers:E43,E44,G18,G23Keywords:Defined
8、benefitpensionfunds;1iabi1itydriveninvestment;NBFIs;BankofEng1andfinancia1stabi1ityintervention;1iquiditymanagement;centra1bank1iquiditybackstops;NBFIsurvei11ance;financia1stabi1ityAuthorsE-Mai1Address:rchenimf.ora,ekemDimf.orgTheauthorswou1d1iketothankA1iAbbasand1auraPappifortheirsuggestionsandsupp
9、ortforthispaper.Theyaregratefu1forusefu1commentsfromtheBankofEng1and,theFinancia1ConductAuthority,HMTreasury,thePensionRegu1ator,andmajormarketp1ayers.WORKINGPAPERSPuttingOuttheNBFire:1essonsfromtheUK,s1iabi1ity-DrivenInvestment(1DI)CrisisPreparedbyRuoChenandEstiKempContentsG1OSSARY31. INTRODUCN42.
10、THE1EAD-UPTOTHE1DICRISIS83. THE1DICRISISANDTHEBANKOFENG1ANDSFINANCIA1STABI1ITYINTERVENTION103 .ATheUnfo1dingofthe1DICrisis104 .BTheBankofEngIanCrSFinancia1Stabi1ityIntervention114. KEYTAKEAWAYS155. ARegu1atoryandInformationGaps156. BNBFIs,1iquidityManagementandOversightof1everage167. CCentra1Bank1iq
11、uidityBackstopsfotSystemicNBFIs188. DOvera11Survei11anceoftheNBFISector199. CONC1UDINGPOINTS19REFERENCES21G1ossaryAIFMDBCBSBoECCPCREDBDCETFESRBFCAFSAPFSB1DI1ME1MTA1ternativeInvestmentFundManagerDirectiveBase1CommitteeonBankingSupervisionBankofEng1andCentra1counterpartiesCommercia1rea1estateDefinedbe
12、nefitsDefinedcontributionExchange-tradedfundEuropeanSystemicRiskBoardFinancia1ConductAuthorityFinancia1sectorassessmentprogramFinancia1Stabi1ityBoard1iabi1itydriveninvestment1ondonMeta1Exchange1iquiditymanagementtoo1MMFMPCNBFIOBROTCPRASMESWESTECRFTPRMoneymarketfundMonetarypo1icycommitteeNon-bankfina
13、ncia1institutionOfficeforBudgetResponsibi1ityOverthecounterPrudentia1Regu1ationAuthoritySma11andmedium-sizedenterprisesystem-wideexp1oratoryscenarioTemporaryexpandedco11atera1repofaci1ityThePensionRegu1ator1. IntroductionMarketstresscenteredon1iabi1ity-DrivenInvestment(1DI)fundsfo11owingtheUKmini-bu
14、dget,announcementinSeptember2023againcastaspot1ightonvu1nerabi1itiesinthenon-bankfinancia1institution(NBFI)sector.Thesuddenandsharpincreaseingi1tyie1dsafterthe,mini-budgetforceddefinedbenefit(DB)pensionfundswith1everaged1DIstrategiestoquick1yraisea1argeamountofcashtomeetmarginandco11atera1ca11s,cont
15、ributingtofire-sa1esof1onger-datedgi1ts.Theeffectwascompoundedbyrising1ong-terminterestratesinthepreceding10months,towhichsomepensionschemesand1DIfundshadfai1edtoadjusttheiravai1ab1e1iquidityresources.Imminentfinancia1stabi1ityrisksforcedtheBankofEng1and(BoE)tointerveneinthegi1tmarketinatemporaryandtargetedwaytorestoreorder1ymarketconditionswhi1ea11owingthe1DIfundstimetorecapita1ize.Atthecoreoftheturmoi1werethe1everage,1iquiditymismatchesbetweenassetsand1iabi1ities,andconcentratedpositionsofthe1DIstrategies.Overthepastsevera1yearsthereweresevera1instanceswheresimi1arriskfactorstriggeredm
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