從巴塞爾資本協定三之流動性管理架構探討我國流動性管理規範之修正建議

Abstract

在2007年全球金融海嘯開始前，全球整體金融體系的流動性尚屬充裕。然而在金融海嘯期間，許多銀行在維持穩定的流動性面臨極大的挑戰，有些甚至需要透過中央銀行或金融體系支援。即便如此，許多銀行在接受當地政府或中央銀行強大的協助下，仍面臨倒閉或需要紓困方能存活；此也讓金融市場明瞭，在面臨金融動盪時，銀行的可運用資金來源極有可能在很短的時間內耗損殆盡。\n\n自從金融危機開始，全球各國主管機關對流動性風險管理與監理日趨重視。巴塞爾銀行監理委員會 為了發展更穩定的金融體系，提出二項關於流動性管理之衡量工具，包括(1)流動性覆蓋比率-要求銀行持有充足的高品質穩定資產，以促進銀行體系的短期流動性風險結構之穩定；及(2)淨穩定資金比率-提供相當之誘因，鼓勵銀行業持續以更穩定的資金來源支持營運活動，以維持銀行體系更長期一年的穩定。\n台灣關於流動性管理雖然規範已久且與時俱進，但部分規範已不合時宜 或未能達原立法規範目的、有些規範與國際相比有更精進之處。因此，本文擬就台灣現行關於流動性管理之法規加以討論，並就巴塞爾資本協議下關於流動性管理之內容 與國際上其他國家之差異進行分析，並提出相關修正建議。

The financial service industry enjoyed ample liquidity before the beginning of the global financial crisis in 2007. However, during the financial crisis, a couple of banks struggled to maintain adequate liquidity and required significant liquidity support from central banks or the financial system.\n\nNonetheless, a number of banks failed or had to be bailed out even after such extensive support by local governments and central banks, and the global market upheaval showed how quickly liquidity risks could burn up banks’ available sources of funding.\n\nSince the crisis began, liquidity risk management and supervision have moved up the global regulatory agenda of international regulatory bodies. One of the Basel Committee’s key reforms is to develop a more resilient banking sector by introducing two separate but complementary measures (1)the Liquidity Coverage Ratio, to promote short term resilience of a bank’s liquidity risk\nprofile by ensuring that it has sufficient High Quality Liquid Asset(HQLA) to survive a significant stress scenario lasting for one month; and(2)Net Stable Funding Ratio (NSFR), to promote re silience over a longer time horizon (one year) by creating incentives for banks to fund their activities with more stable sources of funding on an ongoing basis.\n\nIn Taiwan, although regulations on liquidity management keep evolving, some are either out of date, can not meet the legislative purposes, or are no longer in line with global trends. Therefore, this paper intends to examine the existing liquidity management framework in Taiwan, analyze the discrepancy between local and global requirements under Basel III, and provide recommendations to minimize the gap.