文档介绍：Liquidity Risk – Regulatory Framework Vincent Baritsch Wholesale and Prudential Policy Division UK Financial Services Authority Overview ? Current FSA regimes – Qualitative – Quantitative ? Problems ? FSA ideas for change and DP24 ? International developments ? Challenges Liquidity Risk – Regulatory Issues Stress testing and contingency funding plans – SYSC 11 applying to all CRD firms ? New requirements in force since end-2004, amended for CRD ? Apply to deposit-takers, insurers, all BIPRU investment firms ? A firm must carry out stress tests and scenario analyses for liquidity risk …?… and must estimate the resources it would need in each of the scenarios considered ? Depends on “ nature, scale, plexity ” of a firm ’ s business ? Considerations for branches and subsidiaries Liquidity Risk – Regulatory Issues GENPRU – Adequacy of financial resources ? Applies to all BIPRU firms ? Maintain adequate liquidity resources to cover all liabilities, including contingent and prospective liabilities ? Realistic valuation methodologies ? Stress testing and CPF ’s ? Manage major sources or risks, including liquidity risk ? Document risk assessments Liquidity Risk – Regulatory Issues Deposit-takers ? Deposit-takers must maintain a policy statement on liquidity management – Should cover both normal and crisis management – Should include details of the bank ’ s contingency funding plan Liquidity Risk – Regulatory Issues Existing FSA quantitative banking regimes ⑴‘ Sterling stock ’ regime for major retail banks (2) Maturity mismatch approach for other banks Liquidity Risk – Regulatory Issues Existing regimes: sterling stock ? Five working day survival period ? Assumes no renewal of wholesale funding, outflow of 5% of retail deposits ? Covers sterling cash flows only ? Net outflows must be covered 100% by a stock of high- quality liquid assets – defined as those eligible in Bank of England Open Market Operations ? Some allowance for holdings of othe