2017年-IMF国际货币组织全球_Georgia_Technical_Assistance_Report_22页_596kb

Summary of the Technical Assistance Report on Georgia's Liquidity Management Operations

Core Content

This report, prepared by the International Monetary Fund (IMF) in December 2016, provides an assessment of the National Bank of Georgia (NBG)'s liquidity management framework, interbank market activity, and the broader financial system in Georgia. It outlines recommendations aimed at enhancing the NBG's operational resilience, improving liquidity risk monitoring, and supporting the development of financial markets in line with the country's de-dollarization goals.

Main Objectives

• Strengthen the NBG's monetary policy implementation to ensure credibility and predictability in its operations.
• Enhance liquidity risk monitoring by improving the NBG's ability to forecast and manage liquidity.
• Develop a more robust lender-of-last-resort (LOLR) framework to support systemic liquidity needs while maintaining financial stability.
• Promote financial deepening through the development of primary and secondary government bond markets and a transparent collateral framework.

Key Findings

• The NBG is focused on maintaining price stability as its main monetary policy objective and uses short-term interbank rates as an operational target.
• The NBG has introduced a liquidity coverage ratio (LCR) and is considering expanding its collateral framework, though it currently does not see a compelling need for such expansion.
• The Georgian banking system is highly concentrated, with the two largest banks holding 58% of assets, but there is no segmentation in the money market.
• The lari money market is the main source of liquidity, with activity primarily in the unsecured segment and some in FX swaps and the developing secured market.
• The high level of dollarization (over 60% of credit and deposits) remains a key vulnerability, and the NBG is working with the government to pursue a de-dollarization policy.

Main Recommendations

1. Monetary Operations & Collateral

• Collateral adequacy: The NBG should regularly forecast liquidity changes and map them against its collateral expectations.
• Collateral strains: If a shortfall is identified, the NBG should pre-identify acceptable collateral, including the possibility of temporarily accepting FX collateral with haircuts.
• Credit claim verification: The NBG should continue moving credit claims verification to its operational area, as is common in other central banks.
• Collateral valuation: Market values should be applied to government securities accepted as collateral, with daily revaluation being ideal.
• Credit claim risk controls: Consider introducing limits or pricing add-ons for credit claims to promote correct incentives.
• Global Master Repurchase Agreement (GMRA): The NBG’s move to an internationally recognized GMRA is a positive step for foreign bank participation.
• Removing ownership restrictions: The NBG should ensure that no entities are restricted from owning its CDs.

2. Liquidity Coverage Ratio (LCR)

• Run-off ratios: The NBG should assess the appropriateness of current FX run-off ratios in the LCR framework, given its limited ability to meet FX liquidity needs.
• Systemic response: The NBG should document triggers for different types of systemic responses and be prepared to accept additional collateral types (such as FX or lower-quality credit claims) with appropriate risk controls.
• Haircut add-ons: Consider using haircuts that include an add-on to better protect the NBG and discourage dollarization.
• HQLA definitions: The NBG should evaluate the definitions of High Quality Liquid Assets (HQLA) in the LCR framework, particularly in stress scenarios.

3. Lender-of-Last-Resort (LOLR)

• Remove unsecured lending: The NBG should consider removing the ability to provide unsecured lending under its law.
• Public guidelines: Develop public guidelines explaining the NBG's LOLR framework, including full collateralization, solvency, and supervisory conditionality.
• Government guarantees: The NBG should have the ability to request a government guarantee when necessary to support LOLR operations.
• Internal framework: Clearly define the NBG's internal LOLR framework, including roles, responsibilities, and operational processes.

4. Market Deepening

• Primary government bond market: An active primary government bond market is essential for developing secondary market activity and liquidity.
• Collateral framework: The NBG's collateral framework can promote term funding markets and support financial deepening.
• Transparency and engagement: The NBG should engage regularly with market participants and publish a monetary operations manual explaining its normal and emergency frameworks.

5. Financial Forecasting and Coordination

• Formalizing treasury forecasts: The NBG should initiate formal engagement with the Georgian Treasury to improve the quality of liquidity forecasts.
• MoU with the Treasury: Establish a Memorandum of Understanding (MoU) to regulate the exchange of information related to liquidity forecasting.
• Independent forecasts: Forecasts should be independent of the budget execution process and be based on information from major spenders and the Revenue Authority.
• Cash flow projections: Start with weekly cash flow forecasts looking two to three months ahead, and regularly update them.

Timing of Recommendations

• Short-term (less than one year): Collateral adequacy, credit claim verification, collateral valuation, risk controls for credit claims, GMRA adoption, removal of CD ownership restrictions, formalizing treasury forecasts, publishing autonomous factors and forecasts, and preparing for FX and credit collateral acceptance.
• Medium-term (less than three years): Market deepening, development of term funding markets, and the internal definition of the LOLR framework.

Conclusion

The NBG has made significant strides in strengthening its liquidity management framework, but there are still areas for improvement, particularly in terms of transparency, market engagement, and de-dollarization. The recommendations aim to enhance the NBG's ability to manage liquidity effectively, support financial stability, and align its operations with broader economic goals.