The same mechanism seems to have been at work when U.S. MMFs reduced their exposure to CP issued by European banks during the European debt crisis beginning in 2011.10 To sum up, debt instruments issued by private financial intermediaries may be regarded as safe assets substitutable for government securities in tranquil times, but it should be borne in mind that, when the going gets rough, those instruments could lose their status as safe assets.
With this in mind, the Bank of Japan conducted stress tests on foreign currency liquidity risk at Japanese banks and published the results thereof in the Financial System Report (most recently in October 2016).