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BAZEL III - MEĐUNARODNI

OKVIR ZA MERENJE

IZLOŽENOSTI RIZIKU

LIKVIDNOSTI (3)

dr Vesna Matić

Udruženje banaka Srbijevesna.matic@ubs-asb.com

stručni članak

Bankarski rizik 30 Rezime

Svetska finansijska kriza podsetila je da se politika veće profitabilnosti, kao izvora kapitalizacije i bolje kapitalne adekvatnosti banke, mora voditi na način da ne ugrozi likvidnost. Bazelski Komitet reagovao je na ovakav razvoj događaja i 2008. godine objavio Principe supervizije i dobrog upravljanja rizikom likvidnosti.

U nameri da kompletira ove principe i dodatno ojača okvir za upravljanje rizikom likvidnosti u banci, Komitet je definisao i Međunarodni okvir za merenje izloženosti riziku likvidnosti, standarde i monitoring ovog rizika.

Razvijena su dva minimalna standarda za merenje izloženosti riziku likvidnosti: Racio pokrića likvidnosti (Liquidity Coverage Ratio - LCR) i Racio stabilnog neto finansiranja (Net Stable Funding Ratio - NSFR).

Dokumentom su definisani i alati za uspešan monitoring likvidnosti, kao i preporuke za njihovu praktičnu primenu.

Ključne reči: likvidnost, monitoring, rizik, ročna neusaglašenost

JEL klasifikacija: G21, G28, G32

Rad primljen: 03.09.2012.

Odobren za štampu: 06.09.2012.

UDK 005.334:336.71 ; 336.711.6

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Vesna Matić PhD

Association of Serbian Banksvesna.matic@ubs-asb.com

BASEL III - INTERNATIONAL FRAMEWORK FOR LIQUIDITY RISK EXPOSURE MEASUREMENT (3)

expert article

Banking Risk 30Summary

The global financial crisis has reminded us that the policy of higher profitability, as the source of capitalization and better capital adequacy of a bank, has to be managed in such a way as not to jeopardize the liquidity. Basel Committee has reacted on such developments by publishing the Principles for Sound Liquidity Risk Management and Supervision in 2008.

With a view to completing these principles and further strengthening the liquidity management framework in banks, the Committee has defined the international framework for liquidity risk measurement, standards and monitoring.

Two minimum standards for liquidity risk measurement have been developed: Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR).

This document has also defined the tools for successful monitoring of liquidity, as well as the recommendations for their practical implementation.

Key words: liquidity, monitoring, risk, maturity mismatch

JEL Classification: G21, G28, G32

Paper received: 03.09.2012

Approved for publishing: 06.09.2012

UDC 005.334:336.71 ; 336.711.6

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Monitoring likvidnosti - alati

Međunarodni okvir za merenje izloženosti riziku likvidnosti, osim standarda, definiše i alate za monitoring ovog rizika. Alati za monitoring rizika likvidnosti su mere kojima se obuhvataju specifične informacije o tokovima likvidnosti u banci, strukturi bilansa stanja, raspoloživim kolateralima bez tereta i određenim tržišnim indikatorima. U ovom broju Bankarstva predstavljen je jedan od alata za monitoring likvidnosti - praćenje ročne neusaglašenosti priliva i odliva novčanih tokova. O ostalim alatima iz predloženog paketa biće reči u narednim brojevima Bankarstva.

Ročna neusaglašenost iz odredbi ugovoraOvaj alat ima za cilj da se identifikuju gepovi

između priliva po ugovornim odredbama i odliva likvidnih sredstava u definisanom vremenskom okviru, pomoću izrade profila ročne neusaglašenosti iz ugovornih odredbi i da indicira koliko likvidnih sredstava bi banka potencijalno trebalo da pribavi u svakom od vremenskih okvira ako bi se svi odlivi realizovali u najkraćem mogućem roku.

Ovaj alat se konstruiše tako što se gotovinski prilivi iz odredbi ugovora i odlivi po svim

bilansnim i vanbilansnim pozicijama, mapiraju prema definisanim vremenskim okvirima, baziranim na odgovarajućim ročnostima.

Supervizori su ovlašćeni da u svojim jurisdikcijama odrede specifične obrasce, uključujući i vremenske okvire (neusklađenosti novčanog toka mogu biti koncipirane kao prekonoćne, za 7 i 15 dana, ili za 1, 2, 3, 6 i 9 meseci i 1, 2, 3, 5 i duže od 5 godina), pomoću kojih će banke morati da izveštavaju o podacima.

Izveštavanje o instrumentima koji nemaju specifičnu ročnost (nedefinisanu ili otvorenu ročnost), trebalo bi da bude odvojeno, sa detaljima vezano za instrumente i bez pretpostavki kada će se dospeće dogoditi.

Podaci o ročnoj neusaglašenosti, prikupljeni iz odredbi ugovora, trebalo bi da minimun obezbede podatke za kategorije obuhvaćene u Raciju pokrića likvidnosti (RPL).

Banke će obezbediti neobrađene podatke za supervizore, bez pretpostavki uključenih u podatke, a supervizori će proceniti tržišni okvir i identifikovati ekstremne tržišne vrednosti u odnosu na likvidnost. Banke bi takođe trebalo da same urade analizu ročne neusaglašenosti baziranu na going-concern pretpostavkama kretanja priliva i odliva sredstava u obe situacije - normalnoj i pod stresom.

Literatura

1. Bazelski komitet za bankarsku superviziju, Bazel III: Međunarodni okvir za merenje rizika likvidnosti, standarde i monitoring, Banka za međunarodna poravnanja, Bazel, Švajcarska, Decembar 2010.

2. Bazelski komitet za bankarsku superviziju, Bazel III: Globalni regulatorni okvir za stabilnije banke i bankarske sisteme, Banka za međunarodna poravnanja, Bazel, Švajcarska, Decembar 2010.

3. Bazelski komitet za bankarsku superviziju, Principi dobrog upravljanja rizikom likvidnosti i supervizije, Banka za međunarodna poravnanja, Bazel, Švajcarska, Septembar 2008.

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Liquidity monitoring - tools

International framework for liquidity risk measurement, in addition to the standards, also defines the tools for monitoring of this risk. The risk liquidity monitoring tools are the measures that capture specific information related to a bank's cash flow, balance sheet structure, available unencumbered collateral and certain market indicators. One of the monitoring liquidity tools has been presented in this issue of Bankarstvo Magazine - i.e. the following of the maturity mismatch of cash flow. The other tools will be discussed in the following issues of Bankarstvo Magazine.

Contractual maturity mismatchThe aim of this tool is to identify the gaps

between contractual inflows and outflows of liquidity for the defined time bands, by creating the contractual maturity mismatch profile, and to indicate how much liquidity a bank would potentially need to raise in each of these time bands if all outflows occurred at the earliest possible date.

This tool is constructed by mapping contractual cash and security inflows and

outflows from all on and off balance sheet items regarding the defined time bands, based on their respective maturities.

Supervisors are authorized to determine the specific template, including the required time bands (the cash flow mismatch can be constructed as overnight, for 7 days, 14 days, 1, 2, 3, 6 and 9 months, 1, 2, 3, 5 and beyond 5 years) by which data must be reported.

Reporting about instruments that have no specific maturity (non-defined or open maturity) should be reported separately, with details on instruments, and with no assumptions applied as to when maturity occurs.

The data collected from the contractual maturity mismatch should at least provide the data on the categories outlined in the Liquidity Coverage Ratio (LCR).

Banks will provide raw data to the supervisors with no assumptions included in the data, and supervisors will estimate a market-wide view and identify market outliers vis-a-vis liquidity. Banks should also conduct the maturity mismatch analysis on their own, based on going-concern behavioural assumptions of the inflows and outflows of assets in both normal situations und under stress.

References

1. Basel Committee for Banking Supervision, Basel III: International framework for liquidity risk measurement, standards and monitoring, Bank for International Settlements, Basel, Switzerland, December 2010

2. Basel Committee for Banking Supervision, Basel III: A global regulatory framework for more resilient banks and banking systems, Bank for International Settlements, Basel, Switzerland, December 2010

3. Basel Committee on Banking Supervision, Principles of Sound Liquidity Risk Management and Supervision, Bank for International Settlements, Basel, Switzerland, September 2008