Bank of Russia adjusts calculation procedure for Basel III liquidity ratios
The Bank of Russia has prepared a package of amendments to the regulations governing the liquidity risk of credit institutions as per Basel III and submitted it to the Ministry of Justice for official registration.
This measure will expand banks’ capabilities to comply with Basel III liquidity ratios and thereby have a positive effect on the Russian banking sector. In particular, the amendments provide for the following:
— ruble-denominated bonds of State Development Corporation VEB.RF and mortgage-backed securities that are secured by JSC DOM.RF’s surety can be categorised as highly liquid assets to calculate the liquidity coverage ratio and net stable funding ratio;
— assets and liabilities in precious metals that are settled in cash will be included in Basel III liquidity ratios calculations as assets and liabilities denominated in cash.
Further on, the conditions for including ruble-denominated bonds of State Development Corporation VEB.RF and mortgage-backed securities that are secured by JSC DOM.RF’s surety in the calculation of highly liquid assets will be supplemented by requirements for the above organisations to actually comply with the financial stability ratios and to successfully pass the annual stress testing of capital adequacy and, once in six months, the stress testing of liquid assets.
All the three regulations take effect ten days after their official publication and become enforceable on 1 April 2022. Banks that are within the scope of these regulations may apply their provisions before the enforcement date.