流动性风险管理--intradayliquidityrisk

11©2010QuantitativeRiskManagement,Inc.日间流动性风险管理Monitoringindicatorsforintradayliquiditymanagement杜先立2012.722©2010QuantitativeRiskManagement,Inc.ContentsSectionI:backgroundSectionII:Indicators--normaltimesSectionIII:Indicators--stressscenariosSectionIV:Keyapplicationissues33©2010QuantitativeRiskManagement,Inc.巴塞尔银行委员会：日间流动性管理监控指标44©2010QuantitativeRiskManagement,Inc.PrinciplesforSoundLiquidityRiskManagementandSupervision，2008Principle8oftheSoundPrinciplesfocusesspecificallyonintradayliquidityriskandstatesthat:“Abankshouldactivelymanageitsintradayliquiditypositionsandriskstomeetpaymentandsettlementobligationsonatimelybasisunderbothnormalandstressedconditionsandthuscontributetothesmoothfunctioningofpaymentandsettlementsystems.”55©2010QuantitativeRiskManagement,Inc.Principle8identifiessixoperationalelements--abank’sstrategyformanagingintradayliquidityrisk(1)havethecapacitytomeasureexpecteddailygrossliquidityinflowsandoutflows,anticipatetheintradaytimingoftheseflowswherepossible,andforecasttherangeofpotentialnetfundingshortfallsthatmightariseatdifferentpointsduringtheday;havethecapacitytomonitorintradayliquiditypositionsagainstexpectedactivities,andavailableresources(balances,remainingintradaycreditcapacity,availablecollateral);66©2010QuantitativeRiskManagement,Inc.arrangetoacquiresufficientintradayfundingtomeetitsintradayobjectives;havetheabilitytomanageandmobilisecollateralasnecessarytoobtainintradayfunds;havearobustcapabilitytomanagethetimingofitsliquidityoutflowsinlinewithitsintradayobjectives;andbepreparedtodealwithunexpecteddisruptionstoitsintradayliquidityflows.Principle8identifiessixoperationalelements--abank’sstrategyformanagingintradayliquidityrisk(2)77©2010QuantitativeRiskManagement,Inc.BaselIII:Internationalframeworkforliquidityriskmeasurements,standardsandmonitoringTheframeworkiscentredupontwonewminimumliquiditystandards:theLiquidityCoverageRatio(LCR)andtheNetStableFundingRatio.AlthoughtheLCRisdesignedtopromotetheshorttermresilienceofabank’sliquidityprofile,itdoesnotcurrentlyincludeintradayliquiditywithinitscalibration.88©2010QuantitativeRiskManagement,Inc.TheBaselIIIliquidityrulesstate:“BanksandregulatorsshouldbeawarethattheLCRstressdoesnotcoverexpectedorunexpectedintradayliquidityneedsthatoccurduringthedayanddisappearbytheendoftheday...TheCommitteeiscurrentlyreviewingifandhowintradayliquidityriskshouldbeaddressed.”99©2010QuantitativeRiskManagement,Inc.Theliquidityrulesalsostate:“Oneareainparticularwheremoreworkonmonitoringtoolswillbeconductedrelatestointradayliquidityrisk.”1010©2010QuantitativeRiskManagement,Inc.TheBCBSinconsultationwiththeCPSS:Theaimoftheproposedindicatorsistoenablebankingsupervisorstomonitorabank’sintradayliquidityriskmanagementanditsabilitytomeetpaymentandsettlementobligationsonatimelybasis,bothinnormaltimesandinstressedscenarios.Overtime,theindicatorswillalsoenablesupervisorstogainabetterunderstandingofpaymentandsettlementbehaviorandthemanagementofintradayliquidityriskbybanks.1111©2010QuantitativeRiskManagement,Inc.TheConsultativedocumentsetsout:Thedefinitionofintradayliquidityandtheelementsthatconstituteabank’sintradayliquiditysourcesandneeds;Thedetaileddesignoftheproposedmonitoringindicatorsofabank’sintradayliquidityriskinnormaltimes;Proposedstressscenarios;Keyapplicationissues;andTheproposedreportingregime.1212©2010QuantitativeRiskManagement,Inc.DefinitionofIntradayliquidity“Fundswhichcanbeaccessedduringthebusinessday,usuallytoenablefinancialinstitutionstomakepaymentsinrealtime”.Forthepurposeofthisconsultingdocument,‘businessday’isdefinedastheopeninghoursofthepaymentandsettlementsystem(orgroupofsystems)duringwhichitispossibleforabanktoreceiveandmakepayments.1313©2010QuantitativeRiskManagement,Inc.ContentsSectionI:backgroundSectionII:Indicators--normaltimesSectionIII:Indicators--stressscenariosSectionIV:Keyapplicationissues1414©2010QuantitativeRiskManagement,Inc.constituentelementsofIntradayliquidityIntradayLiquiditySourcesOwnsourcesReservebalancesatthecentralbank;Eligiblecollateralpledgedwiththecentralbank;Unencumberedliquidassetsonabank’sbalancesheetthatcanbefreelytransferredtothecentralbankandconvertedintocentralbankmoney;Securedorunsecured,committedoruncommittedcreditlinesavailableintraday;Balanceswithotherbanksthatcanbeusedforsettlementonthesameday.OthersourcesPaymentsreceivedfromotherpaymentsystemparticipants,includingoperationscarriedoutinintraday,and/orovernightmoneymarkets;Paymentsreceivedfromancillarysystems.1515©2010QuantitativeRiskManagement,Inc.constituentelementsofIntradayliquidityIntradayLiquidityNeedsThesearisefrom:Paymentsthatneedtobemade,directlyorindirectly,toothersystemparticipants,includingoperationscarriedoutinintraday,and/orovernightmoneymarkets;Paymentstobemadetoancillarysystems;Contingentpayments(egasanemergencyliquidityprovider)relatingtoapaymentsystem’sfailuretosettleprocedures;Contingentintradayliquidityliabilitiestocustomers.Paymentsarisingfromprovidingcorrespondentbankingservices1616©2010QuantitativeRiskManagement,