Fundamental principle for the management and supervision of liquidity risk

流動性風險管理和監理基本準則

Principle 1: A bank is responsible for the sound management of liquidity risk. A bank should establish a robust liquidity risk management framework that ensures it maintains sufficient liquidity, including a cushion of unencumbered, high quality liquid assets, to withstand a range of stress events, including those involving the loss or impairment of both unsecured and secured funding sources. Supervisors should assess the adequacy of both a bank's liquidity risk management framework and its liquidity position and should take prompt action if a bank is deficient in either area in order to protect depositors and to limit potential damage to the financial system.

準則1：各銀行對流動性風險的健全管理負有責任。各銀行應建立健全的流動性風險管理架構，確保維持充份的流動性（包括一組未設定負擔、高品質的流動資產），俾能承受各種壓力事件，包括那些擔保和無擔保融通來源兩者均喪失或受到損傷的事件。監理機構應評估各銀行的流動性風險管理架構及其流動性部位兩者，若銀行在任一方面有缺失，並應採取立即行動，以保護存款人和限定其對金融體系的潛在傷害。

Governance of liquidity risk management

對流動性風險管理的治理

Principle 2: A bank should clearly articulate a liquidity risk tolerance that is appropriate for its business strategy and its role in the financial system.

準則2：各銀行應清楚地闡明其流動性風險容忍度，該容忍度應適合其營業策略及其在金融體系的角色。

Principle 3: Senior management should develop a strategy, policies and practices to manage liquidity risk in accordance with the risk tolerance and to ensure that the bank maintains sufficient liquidity. Senior management should continuously review information on the bank’s liquidity developments and report to the board of directors on a regular basis. A bank’s board of directors should review and approve the strategy, policies and practices related to the management of liquidity at least annually and ensure that senior management manages liquidity risk effectively.

準則3：高級主管應研訂策略、政策、和作業實務，俾依其風險容忍度管理流動性風險，並確保銀行維持充份的流動性。高級主管應持續檢討銀行本身的流動性變化，並定期向董事會報告。各銀行董事會至少每年應檢討並核定有關流動性管理的策略、政策、和作業實務一次，並確保高級主管有效果地管理流動性風險。

Principle 4: A bank should incorporate liquidity costs, benefits and risks in the internal pricing, performance measurement and new product approval process for all significant business activities (both on- and off-balance sheet), thereby aligning the risk-taking incentives of individual business lines with the liquidity risk exposures their activities create for the bank as a whole.

準則4：各銀行應在所有重要營業活動（包括資產負債表內和表外兩者）的內部訂價、績效衡量、和新產品審核過程中，納入流動性的費用、利益、和風險，藉此調合個別業務的風險承擔誘因，俾與該業務活動為銀行整體所創造的流動性曝險互相配合。

Measurement and management of liquidity risk

流動性風險的衡量和管理

Principle 5: A bank should have a sound process for identifying, measuring, monitoring and controlling liquidity risk. This process should include a robust framework for comprehensively projecting cash flows arising from assets, liabilities and off-balance sheet items over an appropriate set of time horizons.

準則5：各銀行應有識別、衡量、監視、和控制流動性風險的健全程序。這個程序應包含健全的架構，多方面地預估在各個預設時段內，從資產、負債、和資產負債表外項目產生的現金流量。

Principle 6: A bank should actively monitor and control liquidity risk exposures and funding needs within and across legal entities, business lines and currencies, taking into account legal, regulatory and operational limitations to the transferability of liquidity.

準則6：各銀行應積極地監視和控制各個法律個體、營業項目、和幣別的內部和整體的流動性風險部位和資金需求，並考慮到法律、規則、和操作層面對流動性的可移轉性的限制。

Principle 7: A bank should establish a funding strategy that provides effective diversification in the sources and tenor of funding. It should maintain an ongoing presence in its chosen funding markets and strong relationships with funds providers to promote effective diversification of funding sources. A bank should regularly gauge its capacity to raise funds quickly from each source. It should identify the main factors that affect its ability to raise funds and monitor those factors closely to ensure that estimates of fund raising capacity remain valid.

準則7：各銀行應建立籌資策略，據以有效地分散資金來源和到期日。它應在其所選擇籌資市場持續現身，並與各資金供應者維持穩固的關係，俾促進資金來源的有效分散。各銀行應定期衡量其從每個來源快速籌資的能力。它應辨識影響其籌資能力的各項主要因素，並密切監視那些因素，以確保對籌資能力的各項估計值保持有效。

Principle 8: A bank should actively manage its intraday liquidity positions and risks to meet payment and settlement obligations on a timely basis under both normal and stressed conditions and thus contribute to the smooth functioning of payment and settlement systems.

準則8：各銀行應積極管理其日間流動性部位和風險，俾在正常或有壓力市況下，均能準時支應其支付和清算義務，因此而有助於支付和清算系統的順暢運作。

Principle 9: A bank should actively manage its collateral positions, differentiating between encumbered and unencumbered assets. A bank should monitor the legal entity and physical location where collateral is held and how it may be mobilised in a timely manner.

準則9：各銀行應積極管理其擔保品部位，區分已經設定負擔和未設定負擔資產。各銀行應檢視持有擔保品的法律個體和實際存放地點，以及如何及時地動員擔保品。

Principle 10: A bank should conduct stress tests on a regular basis for a variety of short-term and protracted institution-specific and market-wide stress scenarios (individually and in combination) to identify sources of potential liquidity strain and to ensure that current exposures remain in accordance with a bank’s established liquidity risk tolerance. A bank should use stress test outcomes to adjust its liquidity risk management strategies, policies, and positions and to develop effective contingency plans.

準則10：各銀行應就機構本身特有的，和涉及市場整體的各種短期和可能拖延較久的壓力情境（個別狀況和併發狀況）定期進行壓力測試，以識別潛在的流動性緊繃來源，確保現在的風險部位符合銀行既定的流動性風險容忍度。各銀行應利用壓力測試結果，調整它的流動性風險管理策略、政策、和部位，和研訂有效果的緊急事件應變計畫。

Principle 11: A bank should have a formal contingency funding plan (CFP) that clearly sets out the strategies for addressing liquidity shortfalls in emergency situations. A CFP should outline policies to manage a range of stress environments, establish clear lines of responsibility, include clear invocation and escalation procedures and be regularly tested and updated to ensure that it is operationally robust.

準則11：各銀行應有正式的緊急籌資計畫，清楚列舉在緊急狀況下處理流動性短缺的策略。緊急籌融資計畫應概略說明其政策，以管理各種壓力環境、建立清楚的權責劃分（包括清楚的啟動和昇高等級程序），並定期測試和更新，以確保其能健全運作。

Principle 12: A bank should maintain a cushion of unencumbered, high quality liquid assets to be held as insurance against a range of liquidity stress scenarios, including those that involve the loss or impairment of unsecured and typically available secured funding sources. There should be no legal, regulatory or operational impediment to using these assets to obtain funding.

準則12：各銀行應持有未設定負擔、高品質的流動資產作為緩衝，用以應付各種流動性壓力情境，包括那些涉及喪失或減損無擔保和通常可以動用的擔保融資來源的情況。運用這些資產籌資時，不應有法律、規則、或操作方面的障礙。

Public disclosure

公開揭露

Principle 13: A bank should publicly disclose information on a regular basis that enables market participants to make an informed judgement about the soundness of its liquidity risk management framework and liquidity position.

準則13：各銀行應定期公開揭露資訊，以便使市場參加者能夠有充份資訊判斷其流動性風險管理架構和流動性部位的健全性。

The role of supervisors

監理機構的角色

Principle 14: Supervisors should regularly perform a comprehensive assessment of a bank’s overall liquidity risk management framework and liquidity position to determine whether they deliver an adequate level of resilience to liquidity stress given the bank’s role in the financial system.

準則14：各監理機構應對各銀行的整體流動性風險管理架構和流動性部位，定期進行多方面的評估，以決定就該銀行在金融體系的角色而言，是否對流動性壓力情況展現適足的抗壓能力水準。

Principle 15: Supervisors should supplement their regular assessments of a bank’s liquidity risk management framework and liquidity position by monitoring a combination of internal reports, prudential reports and market information.

準則15：各監理機構應藉由交叉檢視銀行內部報告、金融監理報告、和市場資訊，以補充它們對各銀行的整體流動性風險管理架構和流動性部位的定期評估。

Principle 16: Supervisors should intervene to require effective and timely remedial action by a bank to address deficiencies in its liquidity risk management processes or liquidity position.

準則16：各監理機構應介入要求銀行採取有效果且及時的改正措施，以處理其在整體流動性風險管理程序或流動性部位方面的缺失。

Principle 17: Supervisors should communicate with other supervisors and public authorities, such as central banks, both within and across national borders, to facilitate effective cooperation regarding the supervision and oversight of liquidity risk management. Communication should occur regularly during normal times, with the nature and frequency of the information sharing increasing as appropriate during times of stress.

準則17：各監理機構應與其他的監理機構和主管機構（例如：中央銀行）溝通，包括境內和跨國兩者，俾就流動性風險管理的監理和監管，促進有效果的合作。溝通在正常時期應定期舉行，在出現壓力時期而有必要時，得擴增資訊分享的性質和頻次。