Page 29 - CCFA Journal - 8th Issue

加中金融 风险控制 Risk Management

An Introduction to Liquidity Risk Management and Regulatory Requirements

流动风险管理及监管需求简介

Yi Liu

Disclaimer
The opinions expressed in this article are those of the author. They do not purport to reflect the opinions or views of
the author’s employer.

免责声明

本文纯属作者本人观点，而无意反映作者雇主的意见或观点。

Introduction 简介
Based on the Basel Committee on Banking Supervision, 巴塞尔银行监管委员会将流动性定义为“银行为增加的
liquidity is defined as “the ability of a bank to fund increases 资产提供资金并在到期时履行义务的能力，而不会造成
in assets and meet obligations as they come due, without 不可接受的损失”[1]。当银行的流动资产不足以满足现
incurring unacceptable losses” [1]. Liquidity risk arises when 金流需求时，就会出现流动性风险。正如 2007-2008 年金
banks have inadequate liquid assets to meet cash flow needs. 融危机所表明的，流动性风险不仅会影响个别银行，还
Liquidity risk will not only impact to individual banks, but to 会影响世界经济。
the world economy as well, as indicated in the 2007-2008
financial crises.

Due to significance and systematic nature of the liquidity risk, 由于流动性风险的重要性和系统性，监管机构制定了相
regulators have set out guidelines to require banks and other 关规则，要求银行和其他金融机构保持充足和适当的流
financial institutions to main adequate and appropriate 动性资产。基于巴塞尔协议 III 框架，加拿大金融机构监
forms of liquidity. Based on Basel III framework, the Office of 管局 (OSFI) 发布了流动性充足要求 (LAR) 作为银行和其他
Superintendent of Financial Institutions (OSFI) in Canada 金融机构管理流动性风险的指南。根据该指南，银行需
published Liquidity Adequacy Requirements (LAR) as a 要计算某些流动性风险指标并向 OSFI 报告。本文将简要
guideline for banks and other financial institutions to 介绍流动性风险控制中的两个重要概念：流动性覆盖率
manage liquidity risk. Based on the guideline, banks need to （LCR）[2]和净累积现金流量（NCCF）[3]。
calculate certain liquidity risk metrics and report to OSFI.
This paper will briefly introduce the Liquidity Coverage Ratio
(LCR) [2] and the Net Cumulative Cash Flow (NCCF) [3].

1. Liquidity Coverage Ratio （LCR） 流动性覆盖率

LAR is designed to require banks to hold adequate stock of unencumbered High Quality Liquidity Assets (HQLA) to cover the
liquidity needs or cash outflows within 30 calendar days. LCR is calculated as follows:

+ ℎ

ℎ ℎ 30
OSFI requires that LCR be no lower than 100% and reported at least monthly.

The numerator is mainly composed of Stock of HQLA, and the second portion is the non-operational demand and overnight
deposits placed by an indirect clearer with an OSFI or provincially regulated direct clearer. OSFI provided LCR Excel reporting
template on its website, and LCR is a currently minimum reporting requirement.

LAR 旨在要求银行在 30 天内持有足够的未支配的优质流动性资产 (HQLA) 库存，以满足流动性需求或现金流出。 LCR 计算
如下：

库存 + 合格的非经营性活期存款和隔夜存款

30 天内总净现金流出
OSFI 要求 LCR 不低于 100%，并且至少每月报告一次。

上式中分子主要由 HQLA 的存量构成，第二部分是间接清算机构向 OSFI 或省级监管的直接清算机构存放的非经营性活期存
款和隔夜存款。 OSFI 在其网站上提供了 LCR Excel 报告模板. LCR 报告属于 OSFI 最基本的需求。

CCFA JOURNAL OF FINANCE August 2022 Page 29 第29页