May 25, 2018

CBIRC issued measures for the management of liquidity risk of commercial banks, with the effective date of implementation being July 01, 2018. The measures introduce three quantitative indicators: net stable funding ratio (NSFR), high-quality liquid asset adequacy ratio, and the liquidity matching ratio.

NSFR measures the long-term funding stability of a bank and it applies to commercial banks with assets of CNY 200 billion or more. The high-quality liquid asset adequacy ratio measures whether banks possess sufficient high-quality liquid assets to cover their short-term liquidity needs under stressful conditions and is applicable to commercial banks with asset sizes of less than CNY 200 billion. The liquid asset adequacy ratio is subject to phased compliance. For commercial banks, this ratio should reach 80% by the end of 2018 and 100% by the end of June 2019.

The liquidity matching ratio is intended to further improve liquidity risk monitoring system. It measures the maturity allocation structure of major assets and liabilities of banks and is applicable to all commercial banks. The liquidity matching ratio will be implemented starting from January 01, 2020 and will be temporarily monitored before 2020. Liquidity risk supervision indicators in China include liquidity coverage ratio, net stable funding ratio, liquidity ratio, liquidity matching ratio, and high liquidity asset adequacy ratio.

 

Related Links (in Chinese)

Effective Date: July 01, 2018

Keywords: Asia Pacific, China, Banking, Liquidity Risk, NSFR, Liquidity Matching Ratio, Proportionality, CBIRC

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