Commercial Banks Should Implement Risk Stress Test Quarterly.

The China Banking Regulatory Commission (CBRC), on the 12 th, consulted publicly on the "liquidity risk management measures for commercial banks (Trial Implementation)" (hereinafter referred to as the "measures").

The measures require commercial banks to establish a liquidity risk stress testing system, at least once a quarterly stress test, to analyze the ability of banks to withstand stressful events.

The frequency of stress test should be increased when there are severe fluctuations in the market.

At the same time, the measures introduced the liquidity coverage and net stability in the metrological standards of the Basel Commission.

The measures require commercial banks to submit annual liquidity risk management reports to the CBRC by the end of April each year.

It includes the level of liquidity risk, liquidity risk management strategy, major policies and processes, internal monitoring indicators and quotas, contingency plans and drills.

The regulations stipulate that

The ratio of net stable capital is the ratio between stable funds and stable funds needed.

Available stable funds refer to equity and debt funds that can be used as stable sources of funds within 1 years under continuous pressure scenarios.

The required stable funds equals the sum of the sum of all kinds of assets or off balance sheet exposure items of the commercial banks and the corresponding stable fund demand coefficient. The stable fund demand coefficient refers to the proportion of the value of all kinds of assets or off balance sheet exposure items that need to be supported by stable funds.

The measures will be implemented in January 1, 2012.

Commercial banks should reach the regulatory standards of liquidity coverage by the end of 2013 and reach the regulatory standard of net stable fund ratio by the end of 2016.

The measures are applicable to all Chinese and foreign commercial banks established in China.

Other banking financial institutions such as policy banks, rural cooperative banks, village banks, foreign bank branches, urban credit cooperatives and rural credit cooperatives shall be implemented in accordance with the "measures".

CBRC relevant responsible person said that in recent years, with the rapid development of financial innovation and financial market, the liquidity risk management of commercial banks is facing greater challenges, and the difficulty of supervising the liquidity risk of commercial banks is also increasing.

In this international financial crisis, although many banks have sufficient capital level, they are still in a predicament because of their loss of liquidity. The main reason is that their liquidity risk management system has obvious defects and fails to effectively implement the prudent liquidity risk management principles.

The financial crisis also reflects the possibility of a rapid reversal of market liquidity and a prolonged liquidity contraction.

Therefore, strengthening commercial banks