Commercial banks ' liquidity risk management procedures (trial implementation)

    (January 17, 2014 Chinese Banking Regulatory Commission published since March 1, 2014, 2014 2nd) Chapter I General provisions

    First to strengthen liquidity risk management, maintaining the safety and soundness of the banking system run under the People's Republic of China Banking Regulatory Act, the People's Republic of China on commercial banks and the People's Republic of China foreign bank regulations and other laws and regulations, these measures are formulated.

    Second article this regulation is applicable in the People's Republic of China China to set up commercial banks, including commercial banks, foreign-funded banks and Sino-foreign joint venture Bank.

    Article III liquidity risk in these measures refers to commercial banks sufficient funds cannot be obtained at a reasonable cost, to pay its debts, meet other payment obligations and meet other financial needs of the normal business risks.

    Article fourth commercial banks improve liquidity risk management system should be established in accordance with this approach, for corporate and group levels, all subsidiary bodies and all branches, departments, lines of effective liquidity risk identification, measurement, monitoring and control, ensure its liquidity needs at a reasonable cost is met in a timely manner.

    Fifth, China Banking Regulatory Commission (hereinafter referred to as the CBRC) shall exercise supervision over commercial banks ' liquidity risk and its management system management.

    Chapter II liquidity risk management

Sixth commercial bank should corporate and group levels and the size of its business, appropriate to the nature and complexity of liquidity risk management system.

Liquidity risk management system should include the following basic elements:

(A) effective liquidity risk management governance structure.

(B) improve liquidity risk management strategies, policies and procedures.

(C) effective liquidity risk identification, measurement, monitoring and control.

    (D) sound management information system.

    Liquidity risk management in section governance structure

    Seventh commercial banks should set up effective liquidity risk management governance structure, clear the Board and Special Committee, the Board of supervisors (supervisor), senior management and relevant departments in the liquidity risk management responsibilities and reporting lines, establish appropriate evaluation and accountability mechanisms.

Article eighth commercial banks should bear the ultimate responsibility for liquidity risk management the Board of Directors, shall perform the following duties: (A) approved the preference, liquidity risk liquidity risk management strategy, important policies and procedures.

Liquidity risk should be considered at least once a year.

(B) supervision on implementing effective liquidity risk management for senior management and control.

(C) the continued attention to the situation of liquidity risk, liquidity risk reports on a regular basis, timely understanding of levels of liquidity risk, management and major changes.

(D) liquidity risk disclosure content approval, ensuring the authenticity and accuracy of the disclosure.

(E) other related duties.

    Under the Board of Directors may authorize the Special Committee to fulfil its responsibilities.

Nineth commercial bank senior management shall perform the following duties:

(A) the development, regular evaluation and monitoring of liquidity risk, liquidity, risk management strategies, policies and procedures.

(B) determining liquidity risk management organization, a clear division of responsibilities of the Department, ensuring that banks have sufficient resources, independent and effective liquidity risk management work.

(C) ensure that preference, liquidity risk liquidity risk management strategies, policies and procedures and communicate effectively in the internal communication.

(D) establishing a comprehensive management information system supporting liquidity risk identification, measurement, monitoring and control.

(E) the full understanding of the situation and assessing the level of liquidity risk and its management on a regular basis, to keep abreast of significant changes in liquidity risk, and report to the Board regularly.

    (F) other relevant duties.

Tenth commercial banks should assign special departments responsible for liquidity risk management, liquidity risk management functions and business functions remain relatively independent and competent to perform the needed liquidity risk management functions of the human and material resources.

Commercial banks responsible for liquidity risk management Department shall have the following functions:

(A) the development of liquidity risk management strategies, policies and procedures, and submitted to senior management and the Board of Directors for approval. (B) identifying, measuring and monitoring liquidity risk.

Continuous monitoring of high quality liquid assets situation monitoring compliance with liquidity risk limits, limitation of the report in a timely manner; organization of liquidity risk stress testing organization contingency plan testing and assessment of liquidity risk.

(C) identifying and evaluating new products, new services and the new institutions include liquidity risk, audit operations, and risk management procedures.

(D) the independent liquidity risk reports submitted on a regular basis, to the senior management and reported levels of liquidity risk, management and the Board of Directors major changes.

(E) development of liquidity risk disclosures, submitted to senior management and the Board of Directors for approval.

    (F) other relevant duties.

    11th commercial banks should internal pricing and related systems such as assessment and incentive to fully take into account liquidity risk factors, assessment branch or main business line risk-adjusted returns should be incorporated into the cost of liquidity risk, business expansion and prevent excessive pursuit of short-term profit and relax liquidity risk management.

    12th commercial bank supervisors (supervisor) should be on the Board of Directors and senior management of liquidity risk management duties of supervision and evaluation, at least once a year to the shareholders (shareholder) reported.

    13th commercial banks should, according to the China Banking Regulatory Commission on solely on the internal control of requirements, establish a sound liquidity risk management and internal control system, as an integral part of the overall internal control system of Bank.

14th commercial banks liquidity risk management should be included in the internal audit area, periodically review and evaluate the adequacy and effectiveness of liquidity risk management.

Internal audit should cover all aspects of liquidity risk management, including, but not limited to:

(A) liquidity risk management governance structures, strategies, policies, and procedures to ensure effective identification, measurement, monitoring and controlling liquidity risk.

(B) liquidity risk management the effective implementation of policies and procedures.

(C) cash flow analysis and stress testing of the assumptions are reasonable.

(D) liquidity risk limit management is valid.

(E) the adequacy of liquidity risk management information system.

    (F) liquidity risk reporting is accurate, timely and comprehensive. 15th liquidity risk management the internal audit report should be submitted to the Board of Directors and Board of supervisors. Internal audit found that of the Board of Directors shall issue, and urged the senior management to take timely corrective actions.

Internal Audit Department shall monitor the implementation of corrective measures, and to submit a report to the Board in a timely manner.

    Commercial Bank's overseas branches or subsidiary bodies independent of the local liquidity risk management model, their liquidity risk management should be audited separately.

    Section II liquidity risk management strategies, policies and procedures

16th commercial banks should, according to its business strategy, operational characteristics, financial strength, ability to finance, the overall risk appetite and market influence and other factors determining liquidity risk preferences.

    Commercial banks ' liquidity risk appetite should be clear in the normal and under stress scenarios are willing and able to withstand the level of liquidity risk. 17th should be written according to their liquidity risk preference of commercial bank's liquidity risk management strategies, policies and procedures.

    Liquidity risk management strategies, policies and procedures should cover the tables both inside and outside the business both inside and outside, and all may have a significant impact on its liquidity risk business units, branches and subsidiaries, including liquidity risk management under normal and stress scenarios.

18th commercial banks ' liquidity risk management liquidity risk management strategy must be clear about its goals, management models and key policies and procedures.

Liquidity risk management policies and procedures, including but not limited to:

(A) identifying, measuring and monitoring liquidity risk, including cash flow calculation and analysis.

(B) liquidity risk limit management.

(C) financing management.

(D) liquidity risk management during the day.

(E) stress test.

(F) the emergency response plan.

(G) management of high quality liquid assets.

(H) the cross-agency, cross-border, as well as important currency liquidity risk management.

    (I) the potential effects on liquidity risk factors as well as other categories of risk continued to monitor and analyse the impact of liquidity risk.

    19th commercial banks before the introduction of new products and new services, and the establishment of new institutions should be fully in the feasibility study to assess its possible impact on liquidity risk, improve relevant risk management policies and procedures, and agreed with the responsible for liquidity risk management.

    20th commercial banks should consider business development, technical updates and changes in the market and other factors, at least once a year to preference, liquidity risk liquidity risk management strategies, policies and procedures for an assessment and, if necessary, revised.

    Section III liquidity risk identification, measurement, monitoring and control

21st a commercial bank should be based on business size, nature, complexity, and risk of using appropriate methods and models, its normal and stress scenarios for different time periods in the future assets and liabilities maturity mismatches, financing sources of diversity and stability, high quality liquid assets, an important currency, liquidity risk and market liquidity analysis and monitoring.

    Commercial banks in the use of the above methods and models should be used when reasonable assumptions, to assess the assumptions on a regular basis and, if necessary, amend and keep written records.

22nd commercial banks should set up cash flow calculation and analysis framework that effectively measure, monitor and control the normal under stress scenarios and future cash flow gap for different time periods.

Cash flow calculation and analysis of assets and liabilities should be covered by future cash flow the potential contingent liabilities and contingent assets and cash flow, and fully consider the payment agent and managed business impact on cash flow.
Commercial Bank important currency cash flow should be measured and analyzed separately.

    23rd commercial bank should be based on business size, nature, complexity and risk profile, and monitor specific stories or events that could trigger a liquidity risk, use of appropriate early warning indicators, forward-looking analysis of its impact on liquidity risk.

May refer to stories or events include, but are not limited to:

(A) rapid asset growth, volatility of debt has increased significantly.

(B) the increased concentration of assets or liabilities.

(C) the average maturity of its liabilities fall.

(D) the wholesale or retail deposit loss.

(E) wholesale or retail financing costs.

(F) to continue to receive long-term or short-term financing.

(VII) the term or extent of currency mismatch.

(H) several times close to the internal limit or regulatory standards.

(IX) off-balance sheet operations, increase in the demand for mobility and for complex products.

(J) the Bank asset quality, profitability and overall financial situation deteriorated.

(11) the counterparty requests additional inward (MS) delay or refuse to carry out new deals.

(12) the agent to reduce or cancel the credit limit.

(13) a credit rating downgrade.

(14) the fall in stock prices.

    (15) a significant reputational risk events. 24th commercial banks should impose limits on liquidity risk management, according to its scale, nature and complexity, liquidity, risk appetite and market developments, liquidity risk limits set.

Liquidity risk limits, including, but not limited to the cash flow gap limit, liability concentration limits, group internal transactions and financial limits.

Commercial banks limit liquidity risk management policies and procedures should be established, authorized to make the liquidity risk limit setting, adjustment system, approval process and limit approval procedure, carry out an assessment at least once a year the liquidity risk limits, adjusted, if necessary. Bank shall monitor the compliance with liquidity risk limits, limitation shall timely report. Unauthorised limits should be in accordance with the limit management policy and procedures for processing.

    Processing shall keep a written record of the limitation.

25th commercial banks should establish and improve the financing strategy, improve diversification of financing sources and stability.

Commercial bank financial management should meet the following requirements:

(A) normal and stress scenarios for different time periods in the future financing needs and sources.

(B) strengthen liability, time limit, counterparty, currency, financial credits (MS) charge and finance markets, such as the concentration of management, appropriate setting concentration limits.

(C) the strengthening of financing channels, and actively maintains relationships with major financing counterparties, maintaining the appropriate level of activity in the market, and periodically assess market financing and asset liquidity.

    (D) closely monitor transactions in the major financial markets, and price changes, assessing the impact of liquidity of commercial banks financing capacity.

26th commercial banks should strengthen financing arrived (MS) charge management, ensure that it can meet under normal and stress scenarios the day arrived and different term financing transactions (mass) bet demand, and the ability to comply in a timely manner to the relevant counterparties of resold arrived (mass) the obligation to charge.

Commercial banks should distinguish has variable now obstacles assets and no variable now obstacles assets, on can as arrived (quality) bet products of no variable now obstacles assets of type, and number, and currency species, and by at geographical and institutions, and managed account, and Central Bank or financial markets on its accept degree for monitoring analysis, regularly assessment its assets value and the financing capacity, and full consider its in financing in the of operation sex requirements and time requirements.

    Commercial banks should consider arriving (MS) delay financing ability, price sensitivity, pressure situations of discount rate on the basis of factors such as increased inward (MS) delay product diversification.

    27th commercial banks should strengthen the management of liquidity risks during the day, ensuring adequate liquidity position during the day and related financing arrangements to meet pay demands during the day under normal and stress scenarios.

28th commercial banks should establish a liquidity risk stress testing system and its ability to withstand short-term and medium pressure scenarios.

Liquidity risk stress tests shall comply with the following requirements:

(A) reasonable care setting and periodic reviews of stress scenarios, fully consider the effects of commercial bank's specific impact, affecting the entire market of systemic shocks and a combination of stories, as well as mild, moderate, severe, such as different stress levels.

(B) reasonable care set at pressures commercial banks meet the liquidity needs and continue to operate under the minimum age, systemic shock scenarios affecting the entire market of that period shall be not less than 30 days.

(C) fully consider the various types of risk associated with the inherent liquidity risk of impact on liquidity risk and market liquidity.

(D) regularly conduct stress tests at the corporate and group levels; when liquidity transfer restrictions and other conditions are present, you should separate the branch or subsidiary bodies conduct stress tests.

(E) stress testing frequency should be linked to commercial scale, risk level and adapt to market conventional pressure test shall be at least once every quarter, market volatility when pressure testing frequency should be increased.

(Vi) where possible, or should refer to the previous occurrence of the affected market liquidity shocks, post hoc tests imposed on stress test results; results of the stress tests and subsequent testing should be documented.

(G) in determining the preference, liquidity risk liquidity risk management strategies, policies and procedures, and develop business and financial plan, and should take fully into account the stress test results and, if necessary, should be adjusted according to the results of the stress tests on the above.

    Board of Directors and senior management should stress test scenario, procedures and results of the audit, and constantly improve the liquidity risk stress tests. 29th commercial banks should, according to its scale, nature, complexity, level of risk, its organization and market presence, fully consider the results of the stress tests, development of effective liquidity risk contingency plan to ensure that it can respond to emergency liquidity needs.

Commercial banks should at least once a year a test and evaluation of the contingency plans, if necessary, revised.

Liquidity risk contingency plans shall meet the following requirements:

(A) the set trigger contingency plan scenarios.

(B) set out the emergency funding, a reasonable estimate of the possible financing size and time required, full account of cross-border, cross-agency transfer of liquidity constraints, ensuring the reliability and adequacy of contingency funding.

(C) emergency procedures and measures established, including at least the assets side emergency measures, the liabilities of the emergency measures, enhance internal and external communication and reduce information asymmetry and other measures to bring adverse effects to the commercial banks.

(D) clear the Board, senior management and departments to implement the rights and responsibilities of emergency procedures and measures. (V) distinguish between corporate and group levels contingency plans and, where necessary, against important currencies outside and main business area develop specific contingency plans.

    For liquidity transfers limited branch or subsidiary bodies, should develop specific contingency plans. 30th quality and commercial banks should hold enough liquid assets to ensure their time under stress scenarios to meet liquidity needs.

High quality liquid assets should be liquidated obstacle-free asset, can be included in a pressure situation, through sale or inward (MS) delay access to liquidity assets.

    Liquidity risk of the commercial banks shall, in accordance with their preferences, considering the severity of the stress scenarios and duration, gap, high quality liquid assets cash flow liquidity and other factors, in accordance with the precautionary principle to determine the size and composition of high quality liquid assets.

31st commercial banks should implement and management of liquidity risk, we must consider both banks liquidity risk on a group level, but also consider the subsidiary body of the liquidity risk and its impact on the banking group.

Transactions and financial limits of commercial banks within the Group should be set up to analyze bank liabilities were concentrated within the Group of potential impact on liquidity risk, prevent excessive reliance on internal financing of branches or subsidiaries, lower risk transfer within the group.

    Commercial banks should be fully informed of the overseas branches, subsidiaries and its business country or region associated with the liquidity risk management of the laws, regulations and regulatory requirements fully into account liquidity transfer restrictions and financial market development and other factors impact on liquidity risk and management.

    32nd commercial banks should, in accordance with the foreign currency totals and important currency liquidity separately for risk identification, measurement, monitoring and control.

    33rd commercial banks should carefully assess credit risk, market risk, operational risk and other categories such as reputational risk risk impact on liquidity risk.

    Fourth quarter management information system

34th management information system of the commercial banks should establish a complete, accurate, timely and comprehensive measurement, monitoring and reporting of liquidity risk.

Management information system should be of at least the following:

(A) daily cash inflow and outflow of the set period of time and the gap.

(B) indicators for calculating liquidity risk regulation and monitoring in a timely manner, and to increase monitoring frequency where necessary.

(Iii) to support the monitoring and control of liquidity risk limits.

(D) supporting real-time monitoring of large capital flows.

(E) support for high quality liquid assets and other non-cash impairment of assets type, quantity, currency, and the geographical and institutional monitoring, managed accounts and other information.

(F) to support the financing arrived (mass) bet types, quantity, currency, their geographical and institutional monitoring, managed accounts and other information.

    (VII) support in implementing stress tests under different scenarios.

    35th the liquidity risk of the commercial banks should establish a standard reporting system, a clear liquidity risk reporting content, format, frequency and scope of submissions, and ensure that the Board of Directors, senior management and other management personnel to understand the levels of liquidity risk and its management.

    Chapter III supervision of liquidity risk

    Liquidity risk regulation the first section index

Article 36th liquidity risk supervision indicators including liquidity coverage ratio, LDR and liquidity ratios.
Commercial banks should consistently meet this way liquidity risk supervision indicators of minimum regulatory standards.

    37th liquidity coverage ratio to ensure that sufficient qualified commercial banks have liquid assets, the CBRC States the liquidity stress scenario, through realisation of these assets to meet liquidity needs at least 30 days in the future.

Liquidity coverage ratio is calculated as:

Qualified quality liquid assets/liquidity coverage ratio = 30 days net cash outflows in the future *100%

Qualified liquid assets is defined as meeting present measures annex 2 conditions of cash assets, and in the absence of losses or very small losses in the financial markets quickly liquidate the assets.

Next 30 days net cash outflows is defined in annex 2 to this approach-related stress scenario, the expected cash outflow in the next 30 days total with the balance of the total expected cash flows. Commercial banks ' liquidity coverage ratio shall not be less than 100%.

    In addition to provisions 55th article of the measures in the case, commercial banks ' liquidity coverage ratio shall not be less than the minimum regulatory standards.

Article 38th loan is calculated as:

Inventory ratio = loan/deposit balances *100%

    Commercial Bank's loan should be less than 75%.

39th liquidity ratio is calculated as:

Liquidity ratio = liquid assets/current liabilities balances *100%

    Commercial banks ' liquidity ratio shall not be less than 25%.

40th commercial banks should corporate and group levels, respectively, calculations and tables and tables of liquidity risk supervision indicators, and ranges in accordance with the relevant provisions of the CBRC commercial bank capital regulation enforcement.

    When calculating the liquidity coverage ratio and tables, within a cross-border or cross-institution liquidity transfer limit, relevant subsidiary bodies to meet their own liquidity coverage ratio minimum regulatory standards for qualifying high quality liquid assets, the qualified mobility assets cannot be accounted for in the group.

    Section II liquidity risk monitoring

41st CBRC should be from the maturity mismatch of assets and liabilities of commercial banks, financing sources of diversity and stability, no obstacles to assets, an important currency, liquidity risk and market liquidity, commercial banks on a regular basis and analyze and monitor the liquidity risk in the banking system.

    The CBRC single supervision of liquidity risk should be fully taken into account indicators or monitoring tools in terms of reflecting the liquidity risk limits, using a variety of methods and tools for analysis and monitoring of liquidity risk. 42nd article CBRC should regularly monitor commercial banks all tables inside and outside the project contract maturity mismatches in different time periods, and its impact on liquidity risk. Maturity mismatch analysis and monitoring of the condition of the contract can cover overnight, 7 days, 14 days, 1 month, 2 month, 3 month, 6 month, 9 month, 1 year, 2 years, 3 years, 5 years, and 5 years, and many time periods.

    Reference indicators include, but are not limited to liquidity gap and liquidity gap ratio of each time period. Article 43rd should regularly monitor the CBRC commercial bank financing sources of diversity and stability, and its impact on liquidity risk. The CBRC shall, in accordance with the principle of materiality, analysis of commercial bank's internal and external debt financing table tools, counterparties and concentration on currency, and so on. Liabilities were concentrated, the analysis should cover more than one time period.

    Reference indicators include, but are not limited to core debt ratios, market debt ratio, maximum 10-deposit ratio and maximum ten peers into proportion. 44th article CBRC should regularly monitor commercial banks not to liquidate obstacles to asset type, amount and location.

    Reference indicators include, but are not limited to, excess reserve rate, provided for under this article 30th high quality liquid assets and financing can be used when arriving from the Central Bank or the market (MS) delay of other assets. Article 45th the CBRC shall, according to the foreign exchange business of commercial banks size, currency mismatches and market factors, such as whether to separate its important currency liquidity risk monitoring.

    Relevant indicators include, but are not limited to key currency liquidity coverage ratio. Article 46th CBRC should closely track the macroeconomic situation changes affect the liquidity of the banking system and financial markets, analyze, monitor overall liquidity conditions in the financial markets.

Banking Regulatory Commission found that tight liquidity in the market and financing costs, high quality liquid assets liquidity decreased or loss of, mobility transfer limited situation, should analyze their impact on commercial bank financing.

    The CBRC for analysis, monitoring of market liquidity-related reference indexes include but are not limited to the interbank market rate and volume, Treasury deposit bid rates, Bill turned to the discount rate and the stock market index.

    47th listed this way liquidity risk supervision indicators and monitor reference index, the CBRC also can according to business size, nature, complexity, management model and characteristics of liquidity risk, reference its internal liquidity risk management liquidity risk indicators or other monitoring tools, application of liquidity risk analysis and monitoring.

    Section III liquidity risk management methods and tools

    48th regulator should be through off-site, on-site inspections and the bank directors, senior managers and regulatory way, such as talking, using the supervision of liquidity risk indicators and monitoring tools in corporate and group levels and liquidity risk management of commercial banks to exercise supervision, and measures to address potential liquidity risks as early as possible. 49th commercial bank should be in accordance with the provisions of the CBRC report liquidity risk relating to financial accounting, statistical and other reports. Commissioned intermediary bodies on their liquidity risk and liquidity risk management system audits, shall also submit the related external audit reports.

Supervision of liquidity risk indicators should be submitted monthly.

    According to the CBRC commercial bank business, nature, complexity, management model and characteristics of liquidity risk, determine the liquidity risk of the commercial banks to submit the content and frequency of statements and reports.

50th commercial banks should, before the end of April in each year to the China Banking Regulatory Commission will submit reports on their liquidity risk management of the previous year, preferences, including liquidity risk liquidity risk management strategies, policies and procedures, internal risk management indicators and limits of main content, contingency planning and testing, and so on.

    Commercial banks for liquidity risk management liquidity risk preferences, strategies, policies and procedures for major adjustments should be reported in writing within 1 month of the CBRC adjustments. 51st commercial banks should, in accordance with the provisions of the CBRC regularly submit reports on their liquidity risk stress tests, including pressure testing, methods, procedures and results.

    Commercial Bank according to the results of the stress tests on liquidity risk, liquidity risk management strategies, policies and procedures for major adjustments, shall promptly report to the CBRC.

52nd commercial bank should promptly report to the CBRC following possible liquidity risk level or adversely affect the management of major issues and measures to be taken:

(A) the Agency credit ratings slashed.

(B) this body mass a supplementary liquidity by selling assets.

(C) the important financing channels will be restricted or failure of this body.

(D) the run of this body.

(E) other institutions operating within the parent company or group status, significant adverse changes in liquidity and credit ratings.

(Vi) material adverse changes in liquidity conditions in the market.

(G) the cross-border or cross-institution's liquidity policies detrimental to liquidity risk management of major adjustments.

(H) the parent, where the business activities of the Group national or regional political, material adverse changes in the economic situation.

(IX) other possible liquidity risk level or adversely affect the management of major events.

    Foreign-funded banks and Sino-foreign joint venture Bank within the territory of the foreign currency assets than foreign currency liabilities, within the Group of cross-border outflows of more than 25%, as well as branches of foreign banks more than 50% cross-border outflows, should report to the CBRC within 2 business days.

    53rd CBRC should be level and the liquidity risk management of commercial banks according to the assessment results, determining liquidity risk the content, scope and frequency of on-site inspections.

54th commercial bank shall, in accordance with provision for regular disclosure of information about levels of liquidity risk and its management, including, but not limited to:

(A) liquidity risk management governance structure, including but not limited to, the Board of Directors and special committees, senior management and Department-related duties and functions.

(B) liquidity risk management strategies and policies.

(C) identify, measure, monitor and control liquidity risk strategy.

(D) the main indicators of liquidity risk management and analysis.

(E) the main factors affecting the liquidity risk.

    (F) the pressure test. 55th for non-compliance with supervision of liquidity risk indicators of minimum regulatory standards for commercial banks, the CBRC shall request its rectification, and depending on the situation, in accordance with the People's Republic of China Banking Regulatory Act, 37th, 46th, provide for regulatory measures or the imposition of administrative penalty.

Except in the cases prescribed in the third paragraph of this article.

If the liquidity coverage ratio of commercial banks have been or will be reduced to the minimum regulatory standards, it shall immediately report to the CBRC.

    When the pressure of commercial banks liquidity coverage ratio below the regulatory minimum standards, banking regulators should take into account the current and future domestic and international economic and financial situation, analyzes the factors that affect a single Bank and overall liquidity in the financial markets, according to the liquidity coverage ratio of commercial banks dropped to below the minimum regulatory standards cause, severity, duration, and frequency of corresponding measures. 56th for defects of liquidity risk management of commercial banks, the CBRC shall require its rectification.

Overdue rectification or serious defects in the liquidity risk management of commercial banks, the CBRC has the right to take the following measures:

(A) and the commercial banks ' boards of Directors, senior management and regulatory talk.

(B) require more stringent commercial bank stress test, deliver more effective contingency plans.

(C) asked the commercial banks to increase the frequency and content of liquidity risk management report.

(D) increased liquidity risk the content, scope and frequency of on-site inspections.

(E) limiting commercial banks ' acquisitions or other large-scale business expansion activities.
(Vi) requiring commercial banks to reduce liquidity risk level.

(VII) increased liquidity risk supervision indicators of minimum regulatory standards.

(H) improve commercial banks ' capital adequacy requirements.

(IX) People's Republic of China Banking Regulatory Act and other laws, administrative regulations and Department rules and regulations of the relevant measures.

For a parent company or other institution within the Group liquidity of commercial banks, the CBRC on its parent companies or other bodies within the group movement of funds between restrictive requirements.

    Foreign-funded banks and Sino-foreign joint venture Bank, branch of a foreign bank's liquidity risk profile, and the CBRC on its domestic asset-liability ratio or cross-border outflows restrictive requirements.

    57th to liquidity risks are not in accordance with the provisions of article or report, usage not in accordance with the provisions of the information disclosure or providing false statements and reports of commercial banks, the CBRC as the case in accordance with the People's Republic of China Banking Regulatory Act, 46th, 47th, stipulates administrative punishments.

Article 58th CBRC should work with related departments to strengthen coordination and cooperation within and outside, establishing information communication mechanism and liquidity risk response mechanism and to develop emergency response plan for supervision of liquidity risk.

    When the effects of single institutions or major market liquidity events occur, both inside and outside the CBRC should work with relevant departments to strengthen coordination and cooperation, initiate emergency response plan for supervision of liquidity risk and reduce their negative impact on the financial system and macroeconomic.

    The fourth chapter by-laws

59th rural cooperative banks, rural banks and branches of foreign banks, rural credit cooperatives in accordance with the measures implemented.

    Rural cooperative banks, rural banks, rural credit cooperatives, foreign bank branches and assets of less than 200 billion yuan in bank liquidity coverage ratio is not applicable regulatory requirements.

    60th liquidity transfer restrictions mentioned in these measures refers to legal, regulatory, tax, exchange control and currency is not freely convertible and other reasons, arrived in capital or finance (MS) delay in cross-border or cross-body movement are limited.

    61st referred to herein refers to barrier-free asset is not used in any transaction arriving (MS) charge, credit enhancement or were earmarked to pay operating expenses, in liquidation, sell, transfer, assign, there is no legal, regulatory, contractual, or operational disorder assets.

    62nd important currency mentioned in these measures refers to the currency-denominated liabilities to total liabilities of commercial banks more than 5% of currency.

    63rd article this way in the "upper" containing the number itself. 64th liquidity coverage ratio of commercial banks shall, before the end of 2018 is 100%. During the transition period, should be at the end of the end of 2014, 2015 and 2016 end and until the end of 2017, 80%, 60%, and 90% respectively.

    During the transition period, will encourage qualified commercial banks advance compliance; for bank liquidity coverage ratio has reached 100%, encouraged its liquidity coverage ratio remain above 100%.

    65th explain these measures by the CBRC. 66th these measures come into force on March 1, 2014. The commercial banks ' liquidity risk management guidelines (the banking regulator (2009), 87th) repealed simultaneously.

    Implementation of these measures before the release of the relevant regulations and regulatory documents such as inconsistent with these measures, in accordance with these rules.

    Appendix 1: notes on liquidity risk management approach

A, cashflow analysis and limit setting

(A) shall cover the tables both inside and outside the business of commercial banks based on total, in accordance with the foreign currency and significant currency, distinguish between normal and stress scenarios, taking into account future growth of assets and liabilities, respectively, future cash flows into and out of different time periods, and the cash flow report. (B) future cash flows can be divided into defined maturity cash flows and uncertain maturity cash flow. Determine the maturity cash flow is the formation of a clear maturity of tables inside and outside the business cash flow. Uncertainty refers to no specific due date due date cash flow tables inside and outside the business (such as demand deposit) form of cash flow.

Commercial banks should be in accordance with the precautionary principle does not determine the maturity cash flow is measured.

(Three) commercial banks should reasonable assessment not extraction of loan commitment, and credit, and insurance letter, and bank acceptance, and derivative products trading, and for other performance matters may occurred of advances, and for prevention reputation risk and beyond contract obligations for paid, by brings of potential liquidity needs, will its into cash flow measuring and analysis, and concern related customer credit status, and claims debt capacity and financial status changes on potential liquidity needs of effect. (D) commercial banks in the estimation of future cash flow, customer behavior adjustment can be carried out in accordance with the precautionary principle transactions.

Behavior adjustment of assumptions used by the commercial banks should be based on historical data, full justification and appropriate procedures for approval, and post hoc tests, to ensure its legitimacy. (E) commercial banks cash flow gap for each time period the period cash inflows and cash outflows of the difference.

According to the principle of materiality, commercial banks can select part of the cash flow less low frequency business is not included in the calculation of the cash flow gap, it should be approved by the internal audit of due process. (Vi) shall be set by the Department responsible for liquidity risk management of commercial banks cash flow gaps limit liquidity risk appetite and ensure continuity in the cash flow gap limit of adaptation, and appropriate procedures for examination and approval.

Commercial banks should at least once a year to cash flow gaps limit assessment and, if necessary, be amended.

(G) commercial banks should be set according to the following principles in the future cash flow gaps for a specific time period restriction:

1. commercial banks should predict the future financing capacity for a specific period, in particular wholesale funding from bank or non-bank institutions, and according to the reduced coefficient of pressure situations to adjust the above forecast.

2. the commercial banks shall be computed in accordance with the reasonable and prudent approach of high quality liquid assets cash cash inflows.

    3. the cash flow gap limits commercial banks should be fully taken into account when payment settlement, agency and managed business impact on cash flow.

Second, liquidity risk stress testing reference pressure

(A) liquid assets liquidity fell sharply.

(B) wholesale and retail deposit loss.

(C) the decline in availability of wholesale and retail financing.

(D) the financing period and financing costs increased.

(E) off-balance sheet business, complex product and trade of liquidity loss.

(F) the counterparty requests for additional inward (MS) delay or reduce the amount of financing.

(G) the principal counterparty default or bankruptcy.

(H) credit rating or reputation risks.

(I) the parent or other bodies within the group there is a liquidity crisis.

(J) material adverse changes in the liquidity conditions in the market.

(11) cross-border or cross-institution liquidity transfers is limited.

(12) major changes in the financing by the Central Bank.

    (13) the bank payment system suddenly break.

Third, the liquidity risk contingency plan references

(A) the scene triggered a contingency plan, including, but not limited to:

1. temporary interruptions of liquidity, such as electronic payment systems made a sudden operational failure or other emergency.

2. credit rating slashed or significant reputational risk.

3. the counterparties to significantly reduce the amount of financing or principal counterparty default or bankruptcy.

4. specific internal liquidity risk monitoring indicators have reached the trigger value.

5. the run of this body.

6. parent companies or other bodies within the group there is a liquidity crisis and could lead to liquidity risk infection.

7. market turmoil and liquidity dries up.

(B) the contingency measures

1. asset side emergency measures including, but not limited to: cash money-market assets, sale was scheduled for held to maturity securities, sale of long-term assets, fixed assets or business lines (body), and so on.

2. liabilities of emergency measures including, but not limited to: financing from the money market, seeking Central Bank financing facilities, and so on.

3. consideration of the legal, regulatory, operational and time constraints and other factors within the assessment group is under the influence of cross-agency and cross-border liquidity transfer possibilities.

(C) during the crisis, internal and external communication and reporting

1. crisis management team the composition, responsibilities and contact information.

2. the relevant institutions and systems support, ensure that the report of the Board of Directors, senior management receives timely and relevant, understand the extent of the liquidity risk of the Bank.

3. Bank, responsible for liquidity risk management for senior management of the Department, other departments, and communication between employees.

    4. crisis management teams and the outside world, including Governments, regulators, analysts, investors, intermediaries, media, communication between clients and other stakeholders.

    Appendix 2: description of the liquidity coverage ratio

First, stress scenarios

Liquidity stress scenarios including the banks themselves set for coverage of specific shocks as well as systemic shock affecting the entire market, such as:

1. the loss of a certain proportion of retail deposits;

2. arrival (MS) charge on wholesale funding decrease;

3. specific arrival (MS) charge or with a particular counterparty short-term arrives (MS) delay financing capacity;

4. Bank credit ratings in 1-3 grade, leading to additional contractual cash outflow or required additional inward (MS) charge;

5. against market fluctuations (mass) put product quality, the potential long-term risks of derivatives exposure increased, resulting in arriving (MS) delay deductions increased, additional credits (MS) charge and other liquidity needs;

6. the Bank's commitment to customers of credit and liquidity facilities in the scheme was extracted;

    7. to protect against reputational risk, banks may need to buy back non-contractual obligations or debts.

Second, qualified high quality liquid assets Qualified liquid assets is in the liquidity coverage ratio set under pressure situations, can sell or offset (MS) charge, in the absence of losses or very small losses in the financial markets quickly liquidate the assets.

Qualified assets should have the following basic characteristics, and meet operational requirements:

(A) basic characteristics

1. barrier-free asset;

2. low risk and low correlation with risky assets;

3. easy to price and value;

4. widely recognized, active with breadth, depth, and size of transactions in mature markets, low volatility, historical data show that the pressure of prices and volumes remained relatively stable during the period;

5. market infrastructure is relatively sound, there is a wide range of sellers, market concentration is low;

6. from the historical point of view, in the event of a systemic crisis, market participants tend to hold such assets.
(B) operational requirements

Commercial banks should have a qualified liquid assets policy, procedures and systems to liquidity coverage ratio set under stress scenarios, qualified at any time within 30 days of liquid assets to make up for the cash flow gap, and ensure that the now normal settlement period. 1. a qualified liquid assets should be controlled by the departments responsible for liquidity risk management of commercial banks.

Department responsible for liquidity risk management continued to have legal rights, qualified liquid assets can be managed separately as an emergency source of funds, or in the liquidity coverage ratio set under stress scenarios, qualified at any time within 30 days of liquid assets and using cash and does not conflict with the Bank's existing business and risk management strategies.

2. commercial banks must have policies and procedures to obtain qualified liquidity geography and institutions, managed accounts and currency information, and to determine the conformity of high quality liquid assets constituted a day.

3. conformity of high quality liquid assets banks can hedge the market risk, but should be considered as caused by the early termination of hedging cash flows.

4. commercial banks should pass the test of high quality liquid assets liquidity on a regular basis, to make sure they have enough liquidity and avoid selling assets under the stress scenarios and possible negative effects and, if necessary, should increase the test frequency.

5. qualified liquid assets liquidated commercial banks, should not lead to the violation of relevant laws and regulations and regulatory requirements.

6. If the qualified assets appear in the liquid assets do not meet the conditions prescribed in these rules, commercial banks within a period of no more than 30 days continue to be included in the qualified assets.

(C) composition and calculation Qualified liquid assets constituted by the tier I and Tier II.

Commercial banks should develop policies and limits to ensure that qualified high quality liquid assets (cash, deposited in the Central Bank's reserves and Central Bank bonds, sovereign entity except) diversification, avoiding asset category, issuer, or currency, and so on is too concentrated, qualified liquid assets should be maintained and Bank currency structure similar to business needs.

1. level of assets

Level according to the current market value of the assets included in the qualified assets, including:

(1) cash;

(2) deposited in the Central Bank and reserves can be extracted in pressure situations;

(3) the sovereign entity and the Central Bank, the Bank for international settlements, the International Monetary Fund, the European Commission issued or guaranteed or the multilateral development banks, securities traded in the market and meet the following conditions:

First, in accordance with the regulator's capital regulations, the risk weighting of 0%;

Second, in large scale, market depth, trading activity and low concentration of transactions in the market;

Third, the history shows that market still under stress scenarios as a reliable source of liquidity;

The forth and final payment obligations are not borne by the financial institution or its affiliates.

(4) when the Bank's home country or countries where the banks ' liquidity risk (region) of sovereign risk when the weight is not 0% from above the country's local currency bonds issued by sovereign entity or central banks;

(5) when the Bank's home country or countries where the banks ' liquidity risk (region) when sovereign risk weighting is not 0% from above the country's foreign currency bonds issued by sovereign entities, or the Central Bank, but only if the liquidity coverage ratio set under stress scenarios, liquidity risk of banks in their home countries or to take the country (region) of the net outflow of foreign currency.

2. the second-level assets Grade 2A and 2B of assets assets assets.

Qualified shall not exceed the proportion of liquid assets in the secondary assets 40%,2B assets must not exceed 15% per cent.

2 85%, in the current market value of the assets on the basis of a discount factor to take into account eligible high quality liquid assets, including:

(1) the sovereign entity, central banks, public sector entities, or issued or guaranteed by multilateral development banks, securities traded in the market and meet the following conditions:

First, in accordance with the regulator's capital regulations, the risk weighting of 20%;

Second, in large scale, market depth, trading activity and low concentration of transactions in the market;

Third, the history shows that market still under stress scenarios as a reliable source of liquidity in times of severe liquidity pressures, the falling stock price in the 30 days no more than 10% or repo transaction discount rate does not exceed 10%.

The forth and final payment obligations are not borne by the financial institution or its affiliates.

(2) corporate bonds and covered bonds that meet the following criteria:

First, not by corporate bonds issued by financial institution or its subsidiary bodies;

The second, not guaranteed bonds issued by the Bank or its subsidiary bodies;

Third, upon approval of the CBRC's eligible external credit assessment institutions ' long-term credit rating of at least AA-; or when the lack of a long-term credit rating, has the same short term credit rating, or when the lack of external credit ratings, based on banks ' internal credit rating default probability and external credit rating corresponding to AA-and above have the same probability of default;

Finally, in large scale, market depth, trading activity and low concentration of transactions in the market;

Finally, history shows that market still under stress scenarios as a reliable source of liquidity in times of severe liquidity pressures, the bond price in the 30 days no more than 10% or repo transaction discount rate does not exceed 10%.

2 b in the current market value of the assets on the basis 50% discount factor to take into account eligible high quality liquid assets, including bonds that meet the following criteria:

First, it is not issued by a financial institution or its subsidiary bodies;

Second, upon approval of the CBRC's eligible external credit assessment institutions ' long-term credit rating from BBB-to A+; or when the lack of a long-term credit rating, has the same short term credit rating, or when the lack of external credit ratings, based on banks ' internal credit rating default probabilities and default probabilities corresponding to external credit rating from BBB-to A+ the same;

Third, in large scale, market depth, trading activity and low concentration of transactions in the market;

Finally, history shows that market still under stress scenarios as a reliable source of liquidity in times of severe liquidity pressures, the bond price in the 30 days no more than 20% or repo transaction discount rate does not exceed 20%.

Commercial banks should have a monitoring and control 2B asset risk policies, procedures and systems.

Commercial Bank receives the eligibility conditions of high quality liquid assets worth (MS) delay, if according to the law and contracts can be used for inward (MS) delay financing, you can incorporate our qualified assets liquidity, counterparty is entitled to take back the arriving within 30 days under the contract (MS) charge otherwise.

3. maximum calculation rules Commercial banks should will 30 days within due of involved qualified quality liquidity assets of arrived (quality) bet financing, and arrived (quality) bet borrowing and arrived (quality) bet products swap trading restore, corresponding adjustment various qualified quality liquidity assets of number, including: will to qualified quality liquidity assets exchange a level assets of above trading restore, get adjustment Hou a level assets number; will to qualified quality liquidity assets Exchange 2A assets of above trading restore, get adjustment Hou 2 a, assets number ; Will be qualified exchange 2B liquid assets the assets of the deal restores, got 2 b adjusted assets.

When calculating the number 2A and 2B assets, shall adopt corresponding discount factor.

Adjustments should be according to the following formula to calculate the 2B of assets of commercial banks and secondary assets.

2 b assets =Max{ -15/85x 2 b adjusted assets (adjusted level after adjusting for asset + 2 a), -15/60x 2 b adjusted assets assets adjusted level, 0},

After adjustment for second-tier assets =Max{2 a + 2 b adjusted assets -2B assets -2/3x assets at the adjusted level, 0},

4. qualified calculation of liquid assets

(1) qualified level of liquid assets = asset +2A asset +2B asset -2B asset adjustments-second-tier assets, or

    (2) qualified level of liquid assets = asset +2A asset +2B asset-Max{(adjusted 2 a + 2 b adjusted assets) -2/3x adjusted tier one, -15/85x 2 b adjusted assets (adjusted level after adjusting for asset + 2 a), 0}

Third, the net cash outflow

(A) the definition and calculation Net cash outflow is the liquidity coverage ratio set under stress scenarios and expected cash outflow in the next 30 days total with the balance of the total expected cash flows. Is the total expected cash outflows in the liquidity coverage ratio set under stress scenarios and related liabilities and off-balance sheet items balance and its churn rate, or yield the sum. Expected cash inflow is the total amount in liquidity coverage ratio set under stress scenarios, inside and outside tables related to contractual receivables balance with the sum of the product of the anticipated inflow rate. Can be factored into the total amount of expected cash flow must not exceed expected cash outflow of 75%.

This approach is expected to turnover, the extraction rate, flow rate is referred to as conversion rate.

(B) cash flows: projects and conversion rate

1. retail deposits Retail deposits are kept in the Bank's deposits of natural persons, divided into stable and unstable deposits. Stabilize deposit means the effective deposit insurance scheme fully covered or equal protection guaranteed by the public, and deposited in the trading account (such as automatically deposit your paycheck account) or depositor extraction possibilities because there are other relationships between commercial banks and a small deposit. Unstable deposits have not been effective deposit insurance scheme covers deposits, prone to rapid withdrawal of deposits (such as online deposit).

If it is difficult to determine a deposit to stabilize deposit, it shall be considered to be less stable deposits.

(Pictures and text) Effective deposit insurance scheme refers to the ability to prompt pay, insurance coverage is clear and broad public awareness of a deposit insurance scheme.

Effective deposit insurance the insurer shall perform their duties with formal legal authorization and operation independence, transparency and accountability mechanisms.

Additional criteria for effective deposit insurance plan include:

(1) the insurer of commercial banks from accepting insurance fees in advance on a regular basis;

(2) the insurer has adequate means to ensure that when there is a demand for large-value payments, the ability to get additional funds, such as access to clear and legally binding Government guarantees or standing authority to borrow from the Government;

(3) deposit insurance scheme after it has been triggered, the depositor may, within 7 working days get insurance reimbursement.

Retail time deposits remaining period or withdrawal notice period exceeds 30 days, but commercial banks to allow depositors in the case of corresponding fines are not paid in advance extract part can be extracted in advance should be treated in accordance with demand deposits.
2. arrival (MS) charge on wholesale funding

No inward (mass) Mamoru wholesale funding is provided by the non-natural person clients, and we have not used, can be used in insolvency, bankruptcy and liquidation or disposal of assets during the exercise of their rights as against (MS) charge of financing. Customers are entitled to 30 days back, the earliest contracts maturity date within 30 days and without a due date no inward (mass) bet on wholesale funding projects should be included in the liquidity coverage ratio calculation. Customer is entitled to withdraw before maturity of the contract, but the contract clearly provides binding withdrawal notice period and more than 30 days of wholesale financing project, not included in the liquidity coverage ratio calculation.

Commercial banks have the right to early repayment in the next 30 days non-arrival of (mass) bet on wholesale funding, if the commercial banks not to exercise the right to early repayment may cause liquidity pressure that it faces in the market, to protect against reputational risk in commercial banks will be forced to exercise the right of early repayment, expected cash flows should include liquidity coverage ratio calculation.

(Pictures and text) Small business customers refers to the total amount of deposits in commercial banks (and table size) not more than 8 million Yuan and be treated as retail deposits of non-financial institutions management customers, such as commercial bank credit risk exposure to the customer, the customer shall also meet CBRC capital regulatory requirements in the micro-and small enterprises conditions.

Remaining maturity or withdrawal notice period of more than 30 days of small business customers regular retail term deposits. Deposit refers to the commercial banks for non-natural person clients for the business relation (to meet the small business customer except as provided herein) provide clearing, custody and cash management services arising from the deposit.

Commercial Bank business relation identification of deposits should approved by CBRC. Clearing services means customers indirectly through directly involved in the payment and settlement system in commercial bank money (or stock) to the end recipient, is limited to the transfer of customer payment orders, reconciliation or confirmation of daylight overdraft, after overnight financing and settlement of account maintenance, as well as during the day and ultimately the determination of settlement positions. Managed service is refers to in customer trading or holds financial assets of process in the, commercial banks representative customer on assets for custody, and report, and processing or on related operating and management activities provides convenience, only limited to securities trading settlement, and contract sex paid of transfer, and collateral processing and managed related of cash management service, and dividend and other income of charged, and customer purchase redemption, and assets and company trust service, and funds management, and third party custody, and funds transfer, and stock transfer, and Payment settlement proxy service (excluding agency business) and depositary receipts.

Cash management services refers to the commercial banks to provide the cash flow management, asset and liability management as well as customer financial services necessary for day-to-day operations, limited funds remittance, collection, collection, payroll management and capital spending.

Clearing, custody and cash management services and related business relationship deposits shall meet the following conditions:

(1) customers of commercial banks in the next 30 days of clearing, custody and cash management services are materially dependent on, such as customers with adequate back up arrangements, the condition is not met.

(2) entered into between the Bank and the customer have the force of law clearing, custody and cash management services contract.

(3) customers advance notice of the termination of these service contracts is at least 30 days, or the cost of customer transfer deposits (such as transaction costs, information costs, early termination costs or legal costs) is higher. (4) business savings deposited in the special account, the accounts provided to customer's income is not sufficient to attract clients exceeded its liquidation of surplus funds, custody and cash management needs.

Provide customers with the main objective of the deposit for the use of these services provided by banks, while non-interest income. Commercial banks should adopt suitable means (such as account balance and payment and settlement size ratios, account balances and managed assets ratio and other indicators) identifying excess funds in the deposit account for the business relation, and in terms of non-business processing.

Recognition method of commercial banks do not have the extra funds, should be in accordance with the non-business processing.

If you think the CBRC commercial bank business relation account customer concentration is too high, you can ask for this part in accordance with the non-processing of business relations.

3. the arrival (MS) charge financing Arrival (MS) delay financing refers to the bank owned, insolvency, bankruptcy and liquidation or disposal of assets during the exercise of statutory rights as against (MS) charge of financing. All will be due within 30 days of arrival (MS) delay financing projects should be included in liquidity coverage ratio calculation.

Banks lend to customers arriving to meet the customer short position (MS) charge, shall be in accordance with the inward (MS) delay financing process.

    (Pictures and text)

4. other items

(Pictures and text) Credit and liquidity facilities refers to the funds of commercial banks in the future to provide lease financing to facilitate. Liquidity refers to the commercial bank to issue debt financing instruments contractual alternate financing facilities provided by the customer, when the customer cannot scrolling when issuing the debt financing instruments in the financial markets, you can extract the liquidity facilities.

For corporate clients to provide daily liquidity financing facilities (such as revolving credit facilities) for credit. Not unconditional revocation of credit and liquidity facilities mean that commercial banks is irrevocable or only conditional withdrawal of the financing facilities.

Debt financing instruments will expire within the next 30 days, corresponding to the part can not be unconditional withdrawal of liquidity facilities should be included in liquidity coverage ratio calculation, debt financing will expire after 30 days parts corresponding to the unconditional withdrawal of liquidity facilities didn't include liquidity coverage ratio calculation, the rest is not unconditional withdrawal of liquidity facilitates the processing in accordance with the credit.

Customer is not unconditional revocation of credit and liquidity facilities provided (or according to the contract, required to extract credit and liquidity facilities provided) the eligibility conditions of high quality liquid assets worth (MS) delay, if the arrival (MS) charge the following conditions are met, you can never extract is not unconditional revocation of credit and liquidity facilities reduced its value:

(1) qualified high quality liquid assets not included in commercial banks;

(2) market value and credit and liquidity facilities to extract correlation is not high;

(3) after customers use credit and liquidity facilities, commercial banks then it arrives (MS) delay financing there are no legal and operational obstacles.

Not included in the scope of the commercial banks, and table to be investments for financial institutions, if in times of stress, for preventing reputation risks of commercial banks and other reasons become major providers of liquidity, commercial banks may need to provide liquidity should be considered other contingent funding obligations, in accordance with the precautionary approach approved by the China Banking Regulatory Commission to calculate the corresponding cash outflows.

(C) cash flows: projects and conversion rate

1. the arrival (MS) charge loans, including reverse repurchase and borrowing securities

(Pictures and text) Commercial banks should only be calculated from normal performance and is expected within the next 30 days will not breach the contractual cash flows. Cash flows should be allowed under the contract at the latest count. Commercial bank loan payments based on the revolving credit facilities should be dealt with in accordance with extensions, not counting the cash inflow. Determine the maturity date of the loan does not count-free cash flows, but if within 30 days of the principal, the minimum payment requirements fees or interest, it shall be according to the counterparty, corresponding cash flow conversion rate to be applied.

Other contractual cash flows due within 30 days (excluding non-cash inflow from financial businesses) discount rate determined by the banking regulator depending on the specific circumstances. Commercial banks liquidity coverage ratio is calculated to avoid double counting. If an asset has been included in the qualified liquid assets, they are no longer associated with the cash flows.

Of projects can be included in more than one cash flow business, should be classified as expected cash outflows in most projects.

The CBRC according to table projects both inside and outside the Bank's liquidity risk adjusted discount rate, increase cash outflows and reduce cash flows of the project item.

In the Group's consolidated liquidity coverage ratio is calculated, in addition to overseas branches and subsidiaries of retail and small business customers deposit conversion rates prescribed by the regulatory authority of the host country, other items shall follow the provisions of these measures.

When the following conditions exist, overseas branches and subsidiaries of the Bank Group's retail and small business customers ' deposits the conversion rate as provided herein shall be adopted:

(1) the host country regulators on retail and small business customers deposit does not require conversion rate;

(2) host the without liquidity coverage ratio of regulatory standards;

    (3) the conversion rate was more cautious than the host country as provided herein.

Four, concerning commercial banks ' liquidity coverage ratio below the regulatory minimum standard instructions

When the liquidity coverage ratio of commercial banks dropped to below minimum regulatory standards, analysis of the liquidity risk of the banking regulators should be required to submit reports, including liquidity coverage ratio to below minimum regulatory standards of causes, and the measures to be taken, on the duration of the forecast, and according to the duration to determine whether increased reporting requirements.

The CBRC should analyse the following factors, determine the measures need to be taken:

1. commercial banks liquidity coverage ratio to a minimum regulatory standards the following specific reasons, including reasons for the overall liquidity of the banks and financial markets and influence.

2. the overall soundness and risks of commercial banks.

3. a qualified liquid assets of commercial banks reduced the amplitude, duration, and frequency.

4. to maintain the liquidity coverage ratio not less than the minimum regulatory measures may be taken to the financial system and the effects of market liquidity.

5. the availability of other emergency funding.

6. other relevant factors.

CBRC should be based on the above analysis, determines whether to require commercial banks to reduce liquidity risk exposures, strengthen and improve liquidity risk management liquidity contingency plans, among other measures. When experiencing serious systemic risks, the regulator should be given to the measures taken by the potential impact on the entire financial system and CIS cycle effects.

Requiring commercial banks to take measures to restore liquidity levels, can be given reasonable time to prevent the negative impact on commercial banks and the entire financial system.

    CBRC adopted the above-mentioned measures should be consistent with their prudential framework as a whole.

    Annex 3 Note on liquidity risk monitoring index

First, liquidity gap

(A) based on the liquidity gap refers to the contractual maturity date according to a special method of calculating future tables both inside and outside of each time period expires the assets and liabilities, and assets with due difference obtained by subtracting liabilities.
(B) the calculation formula

Future liquidity gaps of each time period = the future expiration of each time period assets inside and outside tables-tables inside and outside liabilities due within each time period in the future

(C) the calculated diameter

Tables both inside and outside of each time period expires in the future = future assets balance sheet assets due within each time period + expiration table each time period in the future income

Tables inside and outside liabilities due within each time period in the future = future table liabilities due within each time period + expiration table each time period in the future expenses

    In the table in the calculation of the due debt, stable part of demand deposits as required prudent estimation method.

Second, liquidity gap ratio

(A) the liquidity gap ratio refers to the various time periods in the future liquidity gap and the proportion of the corresponding assets inside and outside tables for time period expires.

(B) the calculation formula

Liquidity gap ratio = future liquidity gaps of each time period/tables both inside and outside of the corresponding time period expires property x100%

(C) the calculated diameter

    Assets inside and outside tables of the corresponding time periods expire = time period expiration of balance sheet assets + the corresponding time period expire table income

Third, core balance sheet

(A) the core more stable debt ratio refers to the medium and long term liabilities total liabilities ratio.

(B) the calculation formula

Core core debt ratio = debt/total liabilities x100%

(C) the calculated diameter

Core debt include maturity of more than three months (inclusive) time deposits and bonds, as well as the stable part of demand deposits.

Total liabilities total liabilities in the balance sheet balances.

    Stable part of demand deposits as required prudent estimation method.

Four, the interbank market debt ratio

(A) market debt proportion refers to the commercial banks from inter-bank funds institutional counterparties total liabilities ratio.

(B) the calculation formula

    The interbank market debt ratio = (interbank + storage + sold buy-back amounts)/total liabilities x100%

Five, maximum ten deposit percentage

(A) the maximum scale refers to the top ten deposits total deposits customer deposits as a proportion of deposits.

(B) the calculation formula

    Maximum 10 deposit ratio = total 10 largest deposit customer deposits/deposits x100%

Six, the proportion of 10 largest industry integrated into

(A) the 10 largest industry integrated into scale refers to commercial banks via interbank lending and the interbank deposit and sell repo payments and other business from the 10 largest interbank funds institutional counterparties total liabilities ratio.

(B) the calculation formula

    10 largest industry integrated into proportion = (top 10 institutional counterparties interbank + storage + sold buy-back amounts)/total liabilities x100%

Seven gold, excess reserve rate

(A) the excess reserve rate refers to commercial banks ' excess reserves of gold and the proportion of deposits.

(B) the calculation formula

Excess reserve = excess reserve deposits of commercial banks at the Central Bank + cash

    Excess reserve rate = excess reserve/deposits x100%

Eight important currency liquidity coverage ratio

(A) important currency liquidity coverage ratio refers to some important currency liquidity coverage ratio calculation alone.

(B) the calculation formula

    With the liquidity coverage ratio.

    Annex 4: notes on indexes of foreign banks ' liquidity risk

, Foreign-funded banks, Sino-foreign joint venture Bank Group cross-border outflows in proportion

Proportion of intra-group cross-border outflows to foreign-funded banks and Sino-foreign joint venture banks and assets within the Group of institutions outside of net-net capital ratio.

    And the net assets within the Group of institutions outside = hold the amount + LIBOR overseas within the Group of institutions overseas within the Group of institutions + balance of other assets within the Group of institutions formed outside-outside group within the Group of institutions outside the store-body split-other liabilities arising from transactions with foreign agencies balance.

Second, the proportion of foreign bank branch net outflow of funds across borders

Cross-border outflows to foreign bank branches dealing with the offshore sector assets net to net working capital ratio.

Foreign bank branch and outside institutions trading of assets party net amount = store outside joint line, and subsidiary institutions and the peer + split put outside joint line, and subsidiary institutions and the peer + and outside joint line, and subsidiary institutions and the peer trading formed of other assets balance-outside joint line, and subsidiary institutions and the peer store-outside joint line, and subsidiary institutions and the peer split put-and outside joint line, and subsidiary institutions and the peer trading formed of other liabilities balance. Net working capital = + working capital balance of undistributed profit-provisions for loan losses has not yet been fully part.