캄보디아 MFI - Prakas on Liquidity Coverage Ratio (유동성 커버리지 비율에 관한 규칙)

[달려달려]

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캄보디아에서도 금융 기관에 유동성 커버리지 비율 규제를 도입

2015년 12월 23일 중앙은행인 캄보디아 국립 은행 (NBC)은 유동성 커버리지 비율에 관한 정령을 시행했습니다. 유동성 커버리지 비율 규제는 국제적인 은행의 건전성을 유지하기위한 규제인 '바젤 3'에서 도입된 것으로, 자격 유동 자산 (현금, 국채 등의 고품질 유동 자산)의 30 일의 기간에 필요한 유동성에 대한 비율을 일정 이상으로 유지하는 것을 요구하는 규정입니다. 도입 배경은 리먼 쇼크에 의한 세계적인 금융 위기는 세계 각 대형 은행의 자기 자본 자체는 윤택하게 있었지만, 단기 유동성 부족으로 인해 다양한 문제가 발생한 것입니다. 이 재발을 방지하기 위해 금융 위기등으로 자금 유출이 30 일간 지속되어도 대응하여 대출등의 다른 업무를 원활하게 수행할수 있도록 현금이나 신용등급이 높은 국채, 중앙 은행에 예금등 확실하게 현금화 할 수있는 고품질의 유동성 자산을 일정 이상 보유하는 것을 의무화한 것입니다. 바젤3는 국제 은행에 대해 2015 년 1 월 1 일까지이 비율을 60 %로하고, 그 후 단계적으로 올려 2019 년 1 월 1 일까지 100 % 이상으로 할것을 요구하고 있습니다.

　NBC는 캄보디아도 이 규제를 도입하기로 결정 바젤 3가 지연되고 있지만, 2016 년 9 월 1 일까지 유동성 커버리지 비율을 60 %로 하고, 2017 년 9 월 1 일 70 %, 2018 년 9 월 1 일 80 %, 2019 년 6 월 1 일 90 %로 순차적으로 인상 2020 년 1 월 1 일까지 100 % 이상으로 규정하고 있습니다. 대상이되는 금융 기관은 예금을 받는 은행 및 기관 (소액 금융 기관 등)입니다.

　캄보디아에서 은행의 대출과 예금은 함께 급속하게 증가하고 있으며, 중앙 은행은 은행 감독을 강화 · 확충하고 있습니다. 유동성 커버리지 비율 규제는 금융 부문의 금융 위기 등으로 단기 대응 능력을 향상시키는 역할이 되고있어 그 착실한 이행이 기대됩니다.

Unofficial Translation

Annex 2

Instruction for fulfilling the LCR template

The lapses in the liquidity risk management had taken a substantial part in the large financial crisis that occurred in 2008. The Basel Committee on Banking Supervision has developed new liquidity standards, among which the Liquidity Coverage Ratio (LCR), that aims to strengthen the liquidity framework of banks and particularly to promote their resilience in periods of crisis. Building on these heightened standards, the purpose of LCR is to compare the liquid assets owned by each institution with the net outflows that are expected to arise within 30 days under potential stress conditions. At all time, the institutions should keep an amount of assets of high quality, remaining liquid even in a period of crisis, which could cover its expected net outflows. In this context: - Assets held at banks and financial institutions as defined in Chapter I below are not considered as liquid assets in period of stress as these institutions could be in financial difficulty, and not having any more capacity to pay back;

- Outflows arising from liabilities with other banks and financial institutions are considered as having a 100% probability to take place because of the potential financial difficulties of these institutions and their consecutive need of liquidities;

- All other outflows are calculated with weightings reflecting types of their counterparties;
- To a certain extent, inflows can mitigate outflows but (1) they must be reliable inflows and not only potential ones, and (2) they are capped at 75% of outflows.

Chapter I

Definitions

For the purpose of this Prakas, some key terms are defined as the following:

Bank and financial institution (BFI): refers to any provider of financial services that has been licensed by or registered with the National Bank of Cambodia (NBC), and any similar entity licensed or authorized abroad by any banking regulatory authority.
Other financial institution (OFI): refers to any provider of financial services other than BFIs; it includes insurers, pension funds, and securities firms. Unencumbered asset: refers to an asset free of any legal, regulatory, contractual or other restriction on the ability of the institution to liquidate, sell, transfer or assign the asset. Credit rating: refers to credit rating by external credit rating agencies recognized by the NBC.
Small and Medium Enterprises (SMEs): refer to enterprises as defined by the Ministry of Industry and Handicraft. Wholesale funding: refers to liabilities and general obligations that are raised from non-natural persons or legal entities, which are callable within 30 days.
Unsecured wholesale funding: refers to liabilities or general obligations that are not collateralized by legal rights to specifically designed assets.
Secured funding: refers to liabilities or general obligations that are collateralized by legal rights to specifically designed assets.
Committed credit and liquidity facilities: refer to contractual agreements and/or obligations to extend funds at a future date to retail or wholesale counterparties. For the purpose of the LCR calculation, these facilities include only contractually irrevocable (“committed”) or conditionally revocable agreements.
Liquidity facility: refers to any committed, undrawn back-up facility that would be used to refinance the debt obligations of a customer in situations where such customer is unable to rollover that debt in financial markets (i.e. pursuant to a commercial paper …). General working capital facilities for corporate entities are not classified as liquidity facilities but as credit facilities.
Contingent funding obligations: refer to obligations that may be either contractual or noncontractual. Non-contractual funding obligations include association with, or sponsorship of, products sold or services provided that may require the support or extension of funds in the future under stress conditions. Non-contractual obligations may be embedded in financial products and instruments sold, sponsored or originated by the institution that can give rise to unplanned balance sheet growth. Failure to satisfy customer expectations would likely cause material reputational damage (risk) to the institution.
Trade finance related obligation: refers to any trade related obligation directly underpinned by the movement of goods or the provision of services such as documentary trade letters of credit, documentary and clean collection, import bills, export bills and guarantees directly related to trade finance obligations.

Other contractual inflows, either secured or unsecured, within 30 days: when considering loan payments, the institution should only include inflows from fully performing loans. For revolving credit facilities, the institution should assume that part of the existing loans will be rolled over, meaning that the outstanding amounts of inflows will be weighted. Inflows from loans that do not have any specific maturity should not be included; only amounts contractually due within 30 days may be taken into account.

Chapter II

Specifications on the LCR Template

This template will be reported in million Riels (million KHR).

1- Eligible Assets

Neither deposits at nor lending to BFIs as defined in Chapter I shall be considered as eligible assets. This is to reduce the contagion risk of liquidity shortages at one institution causing shortages at other institutions and to reflect the risk that, in a period of stress, other institutions may not be in a position to honor their debt.

a- High quality liquid assets (HQLAs):

It 1.11: all notes and coins held by institution.
It 1.12: reserves held at the NBC in excess of the minimum reserve requirement.
It 1.13: report the full amount of minimum reserve requirement held at the NBC in KHR. Their weighting is 100%.
It 1.14: report the full amount of minimum reserve requirement held at the NBC in USD. Their weighting is 70% due to the fact that the NBC does not issue US dollars.
It 1.15: report the amounts deposited in current account and term deposit at the NBC regardless of their maturity. Amounts held in settlement and capital guarantee accounts shall not be reported in this item.
It 1.16: unencumbered negotiable certificates of deposits - NCDs and any other unencumbered securities issued by the NBC and loans to the NBC that are immediately available to meet obligations during time of stress.
It 1.17: market value of unencumbered marketable debt securities held by the institution representing claims on or claims guaranteed by sovereigns or central banks that are rated between AAA and AA- (or equivalent) including BIS, IMF, ECB, EU and/or MDBs when rated AAA.

b- Other liquid assets (OLAs)

It 1.21: market value of unencumbered marketable debt securities held by the institution representing claims on or claims guaranteed by sovereigns or central banks that are rated between A+ and A-.
It 1.22: market value of unencumbered marketable debt securities held by the institution representing claims on or claims guaranteed by Public Sector Entities (PSEs) and MDBs not included in It 1.17, which are rated at least A-.
It 1.23: market value of unencumbered marketable debt securities and covered bonds. These assets must satisfy the following conditions:

- in the case of corporate debt securities: they are not issued by BFIs or any of its associated entities, and are plain vanilla assets whose valuation is readily available based on standard methods and does not depend on private knowledge;
- in the case of covered bonds: they are not issued by BFIs or any of its associated entities;
- the assets that have a credit rating of at least AA-;
- they are traded in large, deep and active repo or cash markets characterized by a low level of concentration, and
- they have a proven record as reliable source of liquidity in the markets (repo or sale) even during stress market conditions.

It 1.24: metal gold and paper gold owned by institution for its own account. Gold for own account is included only with a 75% weighting due to its price volatility.

2- Cash Outflows

a- Retail cash outflows
Retail deposits are defined as deposits by any natural person. Retail deposits for the LCR calculation include savings, demand and term deposits maturing in or with a notice period up to 30 days. Unsecured wholesale funding provided by SMEs as defined in chapter I can be reported as retail deposits if the total aggregated funding raised from an SME is less than or equal to USD 100.000 (or equivalent). Other funding that does not fulfill the said conditions is classified as unsecured wholesale funding (It. 2.21 or 2.22).
Retail deposits are divided into “stable” and “less stable” deposits with different rates of run-off.
It 2.11: stable deposits are those which are fully insured by an effective deposit insurance scheme, including demand, savings and term deposits with the residual maturity within 30 days. Their weighting is 5%.
“Fully insured” means that the deposit amount, up to the deposit insurance limit, will be fully paid out by the deposit insurance scheme. Amounts in excess of those covered by the insurance scheme shall be considered as “less stable deposits”.
It 2.12: all retail deposits that do not meet the criteria set out to be captured in It 2.11 are considered as “less stable deposits” and are reported here. Such deposits include demand, savings and term deposits (regardless of maturity). Their weighting is 15%.

b- Unsecured wholesale funding
For the purpose of the LCR, “unsecured wholesale funding” is defined as those liabilities and general obligations that are raised from non-natural persons or legal entities, and are not collateralized. The wholesale funding included in the LCR is defined as all funding that may be withdrawn within 30 days. Wholesale funding that is callable by the fund provider subject to a contractually defined and binding period surpassing 30 days is not included; then, it implies that the fund provider has absolutely no possibility to withdraw the funds before the contractual term. Unsecured wholesale funding includes deposits as well as all other unsecured funding such as notes, bonds, and any unsecured debt securities. All dividends and contractual interest payments shall be reported in It 2.81.
It 2.21: certain institutions require their customers (financial and non-financial) to place deposits in order to facilitate their access and ability to use payment and settlement systems. Such unsecured wholesale funding qualified here, in It 2.21 if, and only if, they are demonstrated to be specifically needed for operational purposes, meaning that:

- they are generated by clearing, custody and/or cash management activities of the customer. Deposits arising out of correspondent banking and from the provision of securities firms do not qualify for It 2.21; such deposits must be reported in It 2.22 to 2.26;
- the customer is reliant on the institution to perform these services as an independent third party intermediary;
- these services must be provided under a legally binding agreement;
- the termination of such agreements are subject to a notice period of at least 30 days or significant switching costs;
- the deposits are held in specifically designated accounts;
- the deposits are only by-product of the underlying services provided by the institution. Any excess of deposit on such accounts should be re-qualified in It 2.22 to 2.26. The institution shall have clear methodology for identifying excess deposits to be excluded from It 2.21.

The NBC may not permit the institution to utilize the notion of “operational deposit” in It 2.21 if such deposit is seen as large amount collected from a small proportion of customers (concentration risks).
It 2.22: report the amount of unsecured wholesale deposits from non financial institutions that do not qualify as operational deposits.
It 2.23: report the amount of unsecured wholesale deposits from sovereigns, central banks and PSEs that do not qualify as operational deposits.
It 2.24: report the amount of unsecured wholesale deposits from BFIs as defined in Chapter I, that do not qualify as operational deposits.
It 2.25: report the amount of unsecured wholesale deposits from OFIs as defined in Chapter I, that do not qualify as operational deposits.
It 2.26: report the outflows that will occur from other unsecured wholesale funding such as notes, bonds and other debt securities issued by the institution regardless of the holder.

c- Secured funding
For the purpose of the LCR calculation, “secured funding” is defined as those liabilities and general obligations that are collateralized by legal rights to specifically designated assets owned by the borrowing institution. The institution shall calculate the amount of outflow based on the amount of funds raised through the repos, collateral swaps and forward repurchase transactions.
It 2.31: report the amount of all outstanding secured funding transactions with remaining maturities within 30 days, that are secured by HQLA (It 1.11 to 1.17).
It 2.32: report the amount of all outstanding secured funding transactions with remaining maturities within 30 days, that are secured by OLA (It 1.21 to 1.23).
It 2.33: report the amount of all outstanding secured funding transactions with remaining maturities within 30 days, that are secured by gold (It 1.24).
It 2.34: report the amount of all outstanding secured funding transactions with remaining maturities within 30 days, that are secured by assets other than the ones referred to in It 1.11 to 1.24 above.

d- Increased liquidity needs related to derivatives and other transactions
It 2.41: institution should calculate expected contractual derivative inflows and outflows based on mark-to-market values or common valuation methodologies. Derivative inflows and outflows in It 2.41 are those arising from any derivative transactions which usually are mainly premium and margin call or similar, possible monetary compensations, interest payments and flows of notional when exchanged. Cash flows may be calculated on a net basis by counterparty where a valid netting agreement exists. Options are assumed to be exercised when they are “in the money” to the option buyer. Institution may calculate its cash flows on a net basis for foreign exchange derivative contracts not covered by a master netting agreement, contract by contract, where it involves a full exchange of principal amounts within the same day.
Institution should exclude from calculation those liquidity requirements that would result from increased collateral needs due to market value movements or falls in value of collateral posted; these liquidity requirements are to be reported in It 2.42.
Where derivative payments are collateralized by HQLA or OLA, institution shall calculate cash outflow net of any corresponding cash for collateral inflow that would result from contractual obligations for cash or collateral to be provided by the counterparties if the institution is legally entitled to re-use the collateral received. Their weighting is 100%.
It 2.42: this item is for collateral outflows as market practices require collateralization, and its maintenance, of mark-to-market exposures on its derivative and other transactions. Institution may potentially face substantial liquidity risk exposures to these valuation changes when it has entered into collateralization arrangements in order to protect itself against mark-to-market exposures. Report any outflow arising from market valuation change related to collateral. The calculation is to be made according to a look back approach: the amount to be written down is the largest absolute net 30 days collateral flow realized during the preceding 24 months. The absolute net collateral flow is based on both realized outflow and inflow. Inflows and outflows of transactions execute under the same master netting agreement can be treated on a net basis.
It 2.43: report liquidity needs related to valuation changes on collateral embedded in derivative and other transactions; these liquidity needs result from clauses included in contracts. Potential loss of value on such collateral is considered to be 0% if it would qualify to be considered as HQLA, and 20% in other cases. Excess of collateral received that could be recalled by counterparty must be added in the calculation for its full amount 100%.

e- Committed facilities

Credit and liquidity facilities are defined as explicit contractual agreements or obligations to extend funds at a future date to retail or wholesale counterparties. For the purpose of the LCR calculation, these facilities only include contractually irrevocable (“committed”) or conditionally revocable agreements to extend funds. Unconditionally revocable agreements are excluded from this Item and must be reported in It 2.71. A liquidity facility is defined as a committed, undrawn back-up facility to face potential liquidity needs, as specified in Chapter 1.
It 2.51: report the undrawn committed credit facilities to retail customers and SMEs.
It 2.52: report the undrawn committed liquidity facilities to retail customers and SMEs.
It 2.53: report the undrawn committed credit facilities to non financial corporate, sovereigns and central banks, MDBs and PSEs.
It 2.54: report the undrawn committed liquidity facilities to non financial corporate, sovereigns and central banks, MDBs and PSEs.
It 2.55: report the undrawn committed credit facilities to BFIs as defined in Chapter I
It 2.56: report the undrawn committed liquidity facilities to BFIs as defined in Chapter I.
It 2.57: report the undrawn committed credit facilities to OFIs as defined in Chapter I.
It 2.58: report the undrawn committed liquidity facilities to OFIs as defined in Chapter I.
It 2.59: report the undrawn committed credit facilities to any other legal entity and report any other contractual obligation to extend funds within 30 days that would not be captured elsewhere.
It 2.60: report the undrawn committed liquidity facilities to any other legal entity and report any other contractual obligation to extend funds within 30 days that would not be captured elsewhere.

f- Other contingent funding obligations

Other contingent funding obligations may be contractual or non-contractual. When considering the amount of potential outflows, the institution should consider the material reputational impact of a failure to satisfy its customer needs.
It 2.71: report the amount of unconditionally revocable agreements where the institution has the right to unconditionally revoke the undrawn portion of these facilities. This item includes committed agreements and obligations to extend funds that are not captured in It 2.72 and 2.73.
It 2.72: for contingent funding obligations related to trade finance, report the average of monthly net outflows in the last 12 month period if positive, or report “zero” if the amount results in a net inflow. Trade finance instruments consist of trade-related obligations such as, but not limited to, trade discount and trade debt assignment, documentary and clean collection, import bills, export bills, and guarantees directly related to trade finance obligations such as shipping guarantees.
It 2.73: for contingent funding obligations resulting from guarantees and letters of credit other than above trade finance related obligations, report the average of monthly net outflows in the last 12 month period if positive, or report “zero” if the amount results in a net inflow.

g- Other contractual cash outflows
It 2.81: report any other contractual cash outflows within the next 30 days, such as outflows to cover unsecured collateral borrowings, any other debt borrowings, uncovered short positions, dividends and contractual interest payments. Outflows related to operating costs of the institution however are not to be included in this standard.

3- Cash Inflows

When considering its available cash inflows, the institution should only include contractual inflows (including interest payments) from outstanding exposures that are fully performing and for which the institution has no reason to expect a default within 30 days. Contingent inflows are not included in total net cash inflows. The weighting applied to inflows reflects roll-over assumptions or expectations about credit extensions that vary depending on the kind of counterparty to which they apply.

Cap on total inflows: the amount of inflows that can offset outflows is capped at 75% of total expected cash outflows in order to prevent institutions from relying solely on anticipated inflows to meet their liquidity requirements, and also to ensure a minimum level of eligible assets. This implies that an institution must maintain a minimum amount of eligible assets equal to 25% of the total cash outflows.
Additional cap: the amount of inflows arising from irrevocable and formalized committed fund facilities signed with the head office or parent bank of foreign branches and subsidiaries is capped at 40% of total expected cash outflows to avoid that the liquidity position is not overly dependent on the arrival of inflows from particular counterparty (see It 3.22 below). 
Credit and liquidity facilities with other institutions: Since the undrawn committed credit or liquidity facilities with BFIs are assumed not to be able to be drawn in the period of stress, these facilities are weighted 0%, except for the facilities made in favor of branches and subsidiaries of foreign banks that are allowed under the conditions set forth in Article 10 of this Prakas.

a- Outstanding reverse repos and securities borrowings

It 3.11: report the outstanding amount of reverse repos and securities borrowing agreements by the institution maturing within 30 days, where the collateral received is HQLA and has not been re-hypothecated. The institution should assume that such agreements will be rolled over, and then giving rise to no cash inflow (the associated weight is 0%).
It 3.12: report the outstanding amount of reverse repos and securities borrowing agreements by the institution maturing within 30 days, where the collateral received is OLA and has not been re-hypothecated. The institution is assumed not to roll over all these agreements depending on the quality of the underlying assets (the associated weight is 25%).
It 3.13: report the outstanding amount of reverse-repos and securities borrowing agreements by the institution maturing within 30 days, where the collateral received is other assets and has not been re-hypothecated. The institution is assumed not to roll over these agreements due to the lower quality of the underlying assets (the associated weight is 100%).
It 3.14: report the outstanding amount of reverse repos and securities borrowing agreements by the institution maturing within 30 days, where the collateral received is HQLA and has been rehypothecated. The institution should assume that such positions will be rolled over in order to cover the short position having arisen from the re-use (the associated weight is 0%).
It 3.15: report the outstanding amount of reverse repos and securities borrowing agreements by the institution maturing within 30 days, where the collateral received is OLA and has been rehypothecated. The institution should assume that such positions will be rolled over in order to cover the short position having arisen from the re-use (the associated weight is 0%).
It 3.16: report the outstanding amount of reverse repos and securities borrowing agreements by the institution maturing within 30 days, where the collateral received is other assets and has been re-hypothecated. The institution should assume that such positions will be rolled over in order to cover the short position having arisen from the re-use (the associated weight is 0%).

b- Undrawn committed facilities from BFIs

It 3.21: report undrawn contractual committed credit and liquidity facilities that the institution holds at BFIs for its own purpose. It is recalled that the template is intended to reflect a situation under stress conditions; then no such facilities are assumed to be able to be drawn, and then receive a 0% inflow rate. This is to (1) reduce the contagion risk of liquidity shortages at one institution causing shortages at other institutions and (2) reflect the risk that other institutions may not be in a position to honor credit or liquidity facilities, or may decide to incur a legal and reputational risk involved in not honoring their commitment, in order to preserve their own liquidity.
It 3.22: this item is only dedicated to branches and subsidiaries of foreign banks that have been licensed by the NBC. Report the full amount of irrevocable and formalized contractual committed fund facilities signed with the head office or parent bank under the conditions set forth in Article 10 of this Prakas. The amount that is accepted as an inflow is capped at 40% of the total expected cash outflows.

c- Other contractual inflows, either secured or unsecured

Inflow rates are determined by types of counterparties. A debtor is said to be “fully performing” when he repays his loans in accordance with the terms originally agreed with the institution, then has no arrears in principal or interest payments.
It 3.31 to 3.32: report the contractual amount of expected inflows from retail customers and SMEs that comply with the definition given in Chapter I. It is assumed that the institution receives all payments (including accrued interest payments) from retail customers and SMEs that are fully performing and contractually due within 30 days. However, the institution is assumed to continue to extend loans to the same customers at a rate of 50% of contractual inflows. This explains a 50% weighting of the contractual amount of inflows.
It 3.33 to 3.38: report the contractual amount of expected inflows from the corresponding entities. It is assumed that the institution receives all payments (including accrued interest payments) from wholesale and other legal entity customers that are fully performing and contractually due within 30 days. In addition, the institution is assumed not to continue to extend loans to BFIs, and central banks, but to continue to extend loans at a rate of 50% to all other
clients – non financial corporate, sovereigns, MDBs, PSEs and OFIs as referred to in Chapter I. This explains the respective weighting of 50% for It 3.33, 3.36, 3.37 and 3.38 and 100% for It 3.34 and 3.35.

It shall be noted that:

- It 3.35: report the inflows from domestic and foreign BFIs (as defined in Chapter I). This item includes inflows maturing within the next 30 days from secured funding in HQLA and OLA under the condition that these assets have not been reported as eligible assets (numerator). Expected inflows from secured funding in assets other than HQLA and OLA are not eligible inflows and therefore shall not be reported here.
- It 3.36: report the inflows from domestic and foreign OFIs (as defined in Chapter I).
- It 3.37 to 3.38: report the inflows from all other domestic and foreign legal entities including MDBs and PSEs and from sovereigns.
It 3.39: report the amounts of current account and term deposits held in BFIs (as defined in Chapter I). It has to be noted that:

     (1) deposits held in BFIs for operational purposes, such as for clearing, custody and cash management purpose, are assumed to stay in those institutions and cannot be reported as inflows. The definition of “operational deposits” here is the same as in It 2.21.
     (2) as for term deposits: (a) report only the amount of deposits maturing within the next 30 days and/or (b) report the amount of deposits maturing more than 30 days if the customer is contractually allowed to withdraw these deposits before maturity.

d- Derivative cash inflows

It 3.50: report all derivative net cash inflows, if any. The amount is to be calculated according to the methodology described in It 2.41, 2.42 and 2.43.

e- Contractual inflows from other securities and others

It 3.60: report the contractual amount of expected inflows from other securities that have not been captured elsewhere and maturing within 30 days, provided that they are fully performing (meaning that there has been no default or that there is no expected default on those instruments). These may include inflows from negotiable certificates of deposit, but inflows from HQLA and OLA reported in It 1.11 to 1.24 shall not be reported here according to the rule of no double-counting.
It 3.70: report the amount of any other contractual expected inflows maturing within the next 30 days that would not have been captured elsewhere.

[달려달려]

prekas : 관계부처 장관이나 국립은행장이 금융과 관련해 정한 규칙.
경우에 따라 개발 관련 이행보증금(예치금)도 포함

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