银监会拟出台银行流动性新规:落实国际标准,控制期限错配

作者: 发布时间:2017-12-07 17:18:51  来源: [手机访问]
导读: 银监会进一步完善了对商业性银行的流动性风险监管要求。12月6日,银监会网站发布《商业银行流动性风险管理办法(修订征求意见稿)》(以下简称“《意见稿》”)。

银监会进一步完善了对商业性银行的流动性风险监管要求。

12月6日,银监会网站发布《商业银行流动性风险管理办法(修订征求意见稿)》(以下简称“《意见稿》”)。此次修订的内容包括三个方面:一是新引入净稳定资金比例、优质流动性资产充足率、流动性匹配率三个量化指标;二是进一步完善流动性风险监测体系,对部分监测指标的计算方法进行了合理优化,强调其在风险管理和监管方面的运用;三是细化了流动性风险管理相关要求,如日间流动性风险管理、融资管理等。

现行的《商业银行流动性风险管理办法(试行)》(以下简称“《办法》”)只包括流动性比例和流动性覆盖率两项监管指标。其中,流动性覆盖率仅适用于资产规模在2000亿元(含)以上的银行,资产规模在2000亿元以下的中小银行缺乏有效的监管指标。

中国社科院金融所银行研究室主任曾刚向澎湃新闻指出,过去一段时间,金融同业发展过快,确实导致部分银行的流动性风险显得比较突出,在这一背景下,结合国际标准,进一步完善流动性风险的监管要求还是很迫切的。

落实国际标准,控制期限错配

新修订的《意见稿》新引入了净稳定资金比例、优质流动性资产充足率、流动性匹配率三个量化指标。

银监会拟出台银行流动性新规:落实国际标准,控制期限错配

商业银行流动性风险监管指标

净稳定资金比例旨在确保商业银行具有充足的稳定资金来源,以满足各类资产和表外风险敞口对稳定资金的需求。流动性匹配率衡量商业银行主要资产与负债的期限配置结构,旨在引导商业银行合理配置长期稳定负债、高流动性或短期资产,避免过度依赖短期资金支持长期业务发展,提高流动性风险抵御能力。而优质流动性资产充足率则旨在确保银行保持充足的、无变现障碍的优质流动性资产,在压力情况下银行可通过出售或抵(质)押的方式变现这些资产以满足未来30天内的流动性需求。

在曾刚看来,《意见稿》主要做了两个方面的完善。一是将国际标准在中国落地;二是对小银行简化监管要求和大银行的监管要求相统一。

具体来看,《意见稿》新引入的三个量化指标中,净稳定资金比例和流动性匹配率是国际标准在中国的落地。净稳定资金比例国际标准是巴塞尔Ⅲ监管标准的重要组成部分。巴塞尔委员会于2014年推出了新版的净稳定资金比例(NSFR)国际标准。而现行的《办法》是在2013年通过,2014年3月1日期施行的,仅仅引入了流动性覆盖率指标。

“巴塞尔协议的这两个指标(净稳定资金比例和流动性覆盖率)都适用于2000亿以上的银行,但这两个指标相对比较复杂,实施成本比较高,对业务比较简单的小银行来说,实施这两个指标意义不大,而且成本太高。”曾刚表示。所以在此次新引入了第三个指标,即优质流动性资产充足率指标,相当于是流动性覆盖率的简化版本,适用于资产规模小于2000亿元的商业银行。

曾刚向澎湃新闻分析称,流动性匹配率指标实际上是为了避免借短放长,导致期限错配的风险。与此同时,这也是对现有的流动性框架的一种补充,主要是对期限错配的程度进行约束,相当于把所有资产期限结构进行加权之后进行对比,让银行总体资产的久期不能过分偏离负债端的平均期限,从而避免流动性风险。

《意见稿》明确,流动性匹配率要求适用于全部商业银行。曾刚认为,把小银行也纳入在内,可以避免小银行和大银行监管标准不统一,从而导致的监管套利的问题。

设置过渡期是银行实际管理上改进的需要

银监会有关部门负责人在答记者问时指出,为避免对银行经营及金融市场产生较大影响,根据新监管指标的不同特点,合理设置过渡期。比如,将优质流动性充足率和流动性匹配率的达标期限设置为2018年底和2019年底。

曾刚对此表示,对银行而言,引入多项新的标准会有一个适应的过程,要改造系统、统计的规则和平常的管理理念,因而需要过渡期适应。不见得是不适应指标而造成的,而是实际管理上改进的需要。具体会造成什么样的影响现在还看不出来,要进行测算才知道。但就微观层面而言,银行应该都在达标范围内。

2017年上半年以来,银监会部署开展“三三四”大检查(三违反,即违反金融法律、违反监管规则、违反内部规章;三套利,即监管套利、空转套利、关联套利;四不当”,即不当创新、不当交易、不当激励、不当收费),重点检查银行同业和理财业务。今年8月,银监会审慎规制局局长肖远企在银监会重点工作通报会上表示,银行业“脱实向虚”的势头得到初步遏制,银行业同业业务自2010年以来首次出现收缩。

“原来造成流动性风险的主要根源就是同业业务的过度发展、期限错配等,现在这块业务在过去一段时间大规模收缩,风险已经释放的差不多了。目前银行业整体的期限错配风险、流动性风险从微观上讲,已经极大地好转了。现在流动性紧张主要是货币政策操作层面的,和微观审慎层面的流动性监管不是不是一码事情,从新规而言,估计绝大多数银行都会达标,应该不会产生什么追加的影响。”曾刚说。

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}, shareInfo: { shareUrl: 'https://m.toutiao.com/group/6496419879342572046/', abstract: '银监会进一步完善了对商业性银行的流动性风险监管要求。12月6日,银监会网站发布《商业银行流动性风险管理办法(修订征求意见稿)》(以下简称“《意见稿》”)。
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