of 29/29
National Bank of the Republic of Macedonia 23 rd Annual BSCEE Conference, Ohrid, Macedonia 15-17 June, 2010

National Bank of the Republic of Macedonia 23 rd Annual BSCEE Conference, Ohrid, Macedonia

  • View
    32

  • Download
    2

Embed Size (px)

DESCRIPTION

National Bank of the Republic of Macedonia 23 rd Annual BSCEE Conference, Ohrid, Macedonia 15-17 June, 2010. Liquidity risk standards and measurement-Macedonian measures during and after the crisis. Natasha Andreeva - PowerPoint PPT Presentation

Text of National Bank of the Republic of Macedonia 23 rd Annual BSCEE Conference, Ohrid, Macedonia

Slide 1

National Bank of the Republic of Macedonia

23rd Annual BSCEE Conference, Ohrid, Macedonia15-17 June, 2010123rd Annual Conference of the Group of Banking Supervisors from Central and Eastern Europe, 15-17 June, 2010, Macedonia Liquidity risk standards and measurement-Macedonian measures during and after the crisis

Natasha AndreevaFinancial Stability, Banking Regulations and Methodology Department, Deputy Director

223rd Annual Conference of the Group of Banking Supervisors from Central and Eastern Europe, 15-17 June, 2010, Macedonia Decision on managing banks' liquidity risk adopted in December 2008 (previous regulation since 2003)I.System of liquidity risk managementII.Maintaining an adequate liquidity levelIII.Reporting to the National Bank of the Republic of Macedonia

3323rd Annual Conference of the Group of Banking Supervisors from Central and Eastern Europe, 15-17 June, 2010, Macedonia Liquidity risk-Definition the risk of failing to provide sufficient funds to settle liabilities as they fall due, or to provide funds needed at much higher costs4423rd Annual Conference of the Group of Banking Supervisors from Central and Eastern Europe, 15-17 June, 2010, Macedonia System of liquidity risk management

Liquidity risk management-Definition Management of assets and liabilities in a manner that shall ensure timely and regular settlement of the liabilities, in normal or in extraordinary course of bank's operations

Should be compatible with the nature, the scope and the complexity of the financial activities the bank performs 5523rd Annual Conference of the Group of Banking Supervisors from Central and Eastern Europe, 15-17 June, 2010, Macedonia I. System of liquidity risk management

Components:1. Appropriate organizational structure2. Internal control and audit3. Information system4. Stress-testing5. Plan for liquidity risk management in extraordinary conditions

Written policy and procedures for implementation

6623rd Annual Conference of the Group of Banking Supervisors from Central and Eastern Europe, 15-17 June, 2010, Macedonia II. Maintaining an adequate liquidity levelPlan and monitor the inflows and outflows of fundsMaintain adequate maturity structure of its assets and liabilitiesMonitor the sources of funds and their concentrationMaintain prescribed liquidity ratios andDetermine and monitor the internal liquidity ratios

7723rd Annual Conference of the Group of Banking Supervisors from Central and Eastern Europe, 15-17 June, 2010, Macedonia Planning should include all types of current and future, expected inflows and outflows (deposits, loans, securities, borrowings, off-balance sheet items, and all other inflows/outflows with high level of certainty)

8823rd Annual Conference of the Group of Banking Supervisors from Central and Eastern Europe, 15-17 June, 2010, Macedonia II.2.Establishing and maintaining adequate maturity structure

Matching the assets and liabilities maturities according to:a. their contractual residual maturityb. their expected residual maturity

9923rd Annual Conference of the Group of Banking Supervisors from Central and Eastern Europe, 15-17 June, 2010, Macedonia II. Maintaining an adequate liquidity levelII.3. Monitoring the sources of funds and their concentration

Includes:Regular contacts with largest depositorsDetermining the level of stability of depositsMonitoring the diversification of the sources of fundsMonitoring trends in the total sources of funds

101023rd Annual Conference of the Group of Banking Supervisors from Central and Eastern Europe, 15-17 June, 2010, Macedonia II. Maintaining an adequate liquidity levelII.4. Liquidity ratios

Calculated separately for positions in Denars and in foreign currency, for 30 days and for 180 days maturity Minimal liquidity ratios

Assets with residual maturity up to days 1Liabilities with residual maturity up to days11If a bank fails to maintain the liquidity ratios=> submits to the National Bank a written explanation of the reasons that led to that and measures for compliance with the minimum level

The National Bank may impose measures121223rd Annual Conference of the Group of Banking Supervisors from Central and Eastern Europe, 15-17 June, 2010, Macedonia Assets:balances with the National Bankdebt instruments issued by the National Bankother cash and cash equivalentssecurities or assets treated as eligible collateral by the National Bankclaims on other domestic and foreign banks with maturity of up to 30 (180) days

131323rd Annual Conference of the Group of Banking Supervisors from Central and Eastern Europe, 15-17 June, 2010, Macedonia loans, interests, fees, and other claims, classified in A and B maturing in the folowing 30 (180) days. Exposures that are prolonged twice or more are excludeddebt instruments held to maturity or available for sale in the forthcoming 30 (180) dayssecurities held for tradingguarantees, letters of credit, and forward transactions that are potential inflow in the forthcoming 30 (180) days141423rd Annual Conference of the Group of Banking Supervisors from Central and Eastern Europe, 15-17 June, 2010, Macedonia Excluded assets that are not freely at bank's disposal

(e.g. items used as pledge for other parties obligations, items used as collateral for banks obligations if the pledge and the obligation are with different maturities, items for which court dispute is underway, etc.)

151523rd Annual Conference of the Group of Banking Supervisors from Central and Eastern Europe, 15-17 June, 2010, Macedonia Liabilities:

time deposits that mature within the forthcoming 30 (180) daysother liabilities that mature within the forthcoming 30 (180) days15% (20%) of the approved overdrafts on transaction accounts and credit cards (off balance sheet)

161623rd Annual Conference of the Group of Banking Supervisors from Central and Eastern Europe, 15-17 June, 2010, Macedonia forward transactions, uncovered letters of credit, irrevocable lines of credit, guarantees and other off-balance sheet items classified in risk categories C, D, and E, which mature in forthcoming 30 (180) daystransaction accounts and sight deposits in the amount that depend on the concentration level17Concentration level (20 largest depositors) of the transaction accounts and sight deposits:

The NBRM may prescribe different weights

18Concentration level% of inclusion in the liquidity ratio (denominator)up to 30 daysup to 180 days< 30%30%40%30% > 50%35%45%>50%40%50%1823rd Annual Conference of the Group of Banking Supervisors from Central and Eastern Europe, 15-17 June, 2010, Macedonia

II.5 Determining and monitoring the internal liquidity indicatorsA bank should define:internal liquidity indicator(s) for monitoring the liquidity level and the exposure to liquidity risk, to set appropriate ranges of these indicatorsto define the method of measuring and monitoring the internal liquidity indicators and to determine time periods in which those indicators will be complied with (on a daily, weekly, or monthly basis).

191923rd Annual Conference of the Group of Banking Supervisors from Central and Eastern Europe, 15-17 June, 2010, Macedonia

Reporting liquidity ratios28.02.2009: First monthly report on liquidity ratios

Dynamic to reach liquidity ratio of 11/24 of the difference determined as of Feb.28, 2009 between the minimum level of 1 and the initial amount of the liquidity ratio up to 30 days1/60 of the difference determined as of Feb.28, 2009 between the minimum level of 1 and the initial amount of the liquidity ratio up to 180 days

202023rd Annual Conference of the Group of Banking Supervisors from Central and Eastern Europe, 15-17 June, 2010, Macedonia Amendments on the Decision (in May 2009)

Placements in the National Bank instruments (except compulsory reserve in foreign currency) can be included in the calculation of the liquidity ratio up to 30 (180) days either in domestic currency or in foreign currency21Effects of the measure = upward movements in liquidity

Liquid assets increasedLiquidity indicators improvedStress testing results improvedMinimal liquidity ratios Maturity structure improved (in domestic currency)222223rd Annual Conference of the Group of Banking Supervisors from Central and Eastern Europe, 15-17 June, 2010, Macedonia

23

Liquidity indicators

24

Stress testing results

252523rd Annual Conference of the Group of Banking Supervisors from Central and Eastern Europe, 15-17 June, 2010, Macedonia

Maturity structure26

2623rd Annual Conference of the Group of Banking Supervisors from Central and Eastern Europe, 15-17 June, 2010, Macedonia

Maturity up to 30 days

Liquidity ratiosNumber of banksDenars Foreign currencyFeb.2009Dec.2009Feb.2009Dec.2009 >114171217< 1416127

Maturity up to 180 days

Liquidity ratiosNumber of banksDenars Foreign currencyFeb.2009Dec.2009Feb.2009Dec.2009 >1916810< 19210828Thank you!!

[email protected] Annual Conference of the Group of Banking Supervisors from Central and Eastern Europe, 15-17 June, 2010, Macedonia