銀行流動性管理健全實務

--銀行流動性管理評估準則

Sound Practices for Managing Liquidity in Banking Organisations

- Principles for the Assessment of Liquidity Management in Banking Organisations

 

巴塞爾銀行監理委員會

Basel Committee on Banking Supervision

 

巴塞爾

Basel

 

20002

February 2000

 

建立流動性管理架構

Developing a Structure for Managing Liquidity

 

準則1:各銀行應議定一套日常流動性管理策略,並傳達予所有內部相關人員。

Principle 1: Each bank should have an agreed strategy for the day-to-day management of liquidity. This strategy should be communicated throughout the organisation.

 

準則2:銀行流動性管理策略,以及相關的重要政策,應報其董事會核定。此外,董事會應確使高級管理階層採取必要措施,以監視和控管流動性風險。銀行應定期向董事會報告其流動性情況,若銀行現在或未來流動性部位發生重大變化時,並應立即通報董事會。

Principle 2: A bank’s board of directors should approve the strategy and significant policies related to the management of liquidity. The board should also ensure that senior management takes the steps necessary to monitor and control liquidity risk. The board should be informed regularly of the liquidity situation of the bank and immediately if there are any material changes in the bank’s current or prospective liquidity position.

 

準則3:各銀行應建立能有效執行流動性策略之管理架構。該架構應有高級管理階層人員的持續參與。高級管理階層人員應確使流動性受到有效管理,並訂定合適之政策及程序,以控管及限定流動性風險。此外,各銀行應設定各特定時間帶的流動性部位限額,並定期檢討。

Principle 3: Each bank should have a management structure in place to execute effectively the liquidity strategy. This structure should include the ongoing involvement of members of senior management. Senior management must ensure that liquidity is effectively managed, and that appropriate policies and procedures are established to control and limit liquidity risk. Banks should set and regularly review limits on the size of their liquidity positions over particular time horizons.

 

準則4:銀行應有妥適的管理資訊系統,以衡量、監視、控管及通報流動性風險。流動性風險報告應及時提供予董事會、高級管理階層及其他相關人員。

Principle 4: A bank must have adequate information systems for measuring, monitoring, controlling and reporting liquidity risk. Reports should be provided on a timely basis to the bank’s board of directors, senior management and other appropriate personnel.

 

衡量及監視淨資金需求

Measuring and Monitoring Net Funding Requirements

 

準則5:各銀行應制定一套程序,以持續性地衡量及監視淨資金需求。

Principle 5: Each bank should establish a process for the ongoing measurement and monitoring of net funding requirements.

 

準則6:銀行應就各種假設情境,分析其流動性。

Principle 6: A bank should analyse liquidity utilising a variety of “what if” scenarios.

 

準則7:銀行應經常檢討其流動性管理所採用假設條件之有效性。

Principle 7: A bank should review frequently the assumptions utilised in managing liquidity to determine that they continue to be valid.

 

管理市場通路

Managing Market Access

 

準則8:各銀行應定期檢討其與資金供應者建立及維持往來關係之工作進展,並維持資金來源的多元性,以及注意確保其出售資產的能力。

Principle 8: Each bank should periodically review its efforts to establish and maintain relationships with liability holders, to maintain the diversification of liabilities, and aim to ensure its capacity to sell assets.

 

緊急應變計畫

Contingency Planning

 

準則9:銀行應備有緊急應變計畫,闡明流動性危機處理策略,包括在各種緊急情況下,填補資金缺口之方法。

Principle 9: A bank should have contingency plans in place that address the strategy for handling liquidity crises and include procedures for making up cash flow shortfalls in emergency situations.

 

外幣流動性管理

Foreign Currency Liquidity Management

 

準則10:各銀行應有衡量、監視及控管各主要操作貨幣流動性部位之系統。此外,除應評估整體外幣流動性需求,以及合併本國貨幣債務後可容忍的期差部位外,銀行亦應就各個主要操作貨幣,分別進行策略分析。

Principle 10: Each bank should have a measurement, monitoring and control system for its liquidity positions in the major currencies in which it is active. In addition to assessing its aggregate foreign currency liquidity needs and the acceptable mismatch in combination with its domestic currency commitments, a bank should also undertake separate analysis of its strategy for each currency individually.

 

準則11:銀行依準則10進行分析後,必要時,應分別就各特定時間帶的整體外幣以及個別主要操作貨幣,訂定資金流量缺口限額,並定期檢討。

Principle 11: Subject to the analysis undertaken according to Principle 10, a bank should, where appropriate, set and regularly review limits on the size of its cash flow mismatches over particular time horizons for foreign currencies in aggregate and for each significant individual currency in which the bank operates.

 

流動性風險管理之內控機制

Internal Controls for Liquidity Risk Management

 

準則12:各銀行應就其流動性風險控管程序,建置妥適的內控系統,該系統應包含定期獨立檢討、評估內控機制之有效性,並確保於必要時,能對內控程序作適當的修正和提昇。此外,內控系統檢討結果應提供金融監理機構參考。

Principle 12: Each bank must have an adequate system of internal controls over its liquidity risk management process. A fundamental component of the internal control system involves regular independent reviews and evaluations of the effectiveness of the system and, where necessary, ensuring that appropriate revisions or enhancements to internal controls are made. The results of such reviews should be available to supervisory authorities.

 

流動性管理資訊之揭露

Role of Public Disclosure in Improving Liquidity

 

準則13:各銀行應設有資訊揭露機制,適度向社會大眾揭露相關訊息,以維護其組織形象,並使民眾瞭解其健全性。

Principle 13: Each bank should have in place a mechanism for ensuring that there is an adequate level of disclosure of information about the bank in order to manage public perception of the organisation and its soundness.

 

金融監理機構應扮演之角色

Role of Supervisors

 

準則14:金融監理機構應就銀行流動性管理之策略、政策、程序及作業實務等,作獨立之評估。此外,應要求銀行備有一套有效的系統,以衡量、監視並控管其流動性風險。金融監理機構應及時向各銀行取得充分資訊,以評估個別銀行的流動性風險,並應確保各銀行備有流動性緊急應變計畫。

Principle 14: Supervisors should conduct an independent evaluation of a bank’s strategies, policies, procedures and practices related to the management of liquidity. Supervisors should require that a bank has an effective system in place to measure, monitor and control liquidity risk. Supervisors should obtain from each bank sufficient and timely information with which to evaluate its level of liquidity risk and should ensure that the bank has adequate liquidity contingency plans.

 

 

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