III. Liquidity Risk

19. Commercial banks shall integrate the self-regulation account as specified by relevant rules in their overall liquidity risk management system based on the nature and complexity of their business practices in the PFTZ, and make relatively independent institutional arrangements for liquidity risk management to offer full identification, accurate measurement, continuous monitoring and proper control of: the liquidity risks within this account, the liquidity risks of the products and business lines under this account, as well as the interaction and conversion between the liquidity risks within this account and the banks’ overall liquidity risks.

20. Commercial banks shall explicate their policies regarding liquidity risk management of the aforementioned account, including but not limited to:

(1) Overall liquidity risk management system;

(2) Identification, measurement and monitoring of liquidity risks, including the calculation and analysis of cash flows;

(3) Liquidity risk limits management;

(4) Liquidity risk reporting system;

(5) Financing management;

(6) Intraday liquidity risk management;

(7) High quality liquid assets management;

(8) Methods of managing liquidity risks of major currencies and cross-border liquidity risks;

(9) Stress tests;

(10) Emergency response plans;

(11) Continuous monitoring and analysis of the potential factors that influence liquidity risks and the impacts on liquidity risks by other risks.

21. Commercial banks shall, according to the characteristics of their business practices in the PFTZ and the relevant regulatory requirements, have in place an indicator system of liquidity risk limits for the aforementioned account and set monitoring frequencies appropriate to different limits.

22. Commercial banks shall conduct regular stress tests on liquidity risks within the aforementioned account based on the principle of prudential regulation while taking into full account the inherent correlation between liquidity risks and other risks.

23. Commercial banks shall develop their liquidity risk emergency response plans based on the stress testing results of liquidity risks, which needs to cover the triggering conditions and operational procedures for the headquarters to give liquidity support to the aforementioned account and fully assess the impacts of potential policy constraints on such liquidity support.