The core capital adequacy requirements of financial institutions put forward in the Basel AgreementⅢmake the evaluation and supervision of systemically important institutions the core content of macro-prudential supervision. In the securities market，the relationship between securities companies and various market entities determines that securities companies’ own risks have strong externalities and spillover effects. Therefore，the evaluation of the systemic importance of securities companies is very important for macro-prudential supervision. This research combines the evaluation research of systemically important financial institutions at home and abroad and the practice of macro-prudential supervision，and establishes the systemic importance evaluation system and calculation method of securities companies in terms of the size，relevance，substitutability，complexity and asset realization of securities institutions.，To rank and analyze the systematic importance of securities companies. Studies have shown that although the systemic importance of my country’s securities companies does not meet the macro-prudential supervision evaluation standards，there are many problems that cause systemic financial risks due to serious overall differentiation. It is proposed that “too relevant to fail” and “too much to fail” should be raised to the same important position as “too large to fail”，and be incorporated into my country’s macro-prudential supervision system as the specific content of the macro-prudential supervision framework of the securities market. We suggest that financial regulatory authorities should also guard against related financial risks and group financial risks that may occur in small and medium securities institutions.