Capital adequacy ratio for professional market participants: new calculation rules
The Bank of Russia has updated the procedure for calculating the capital adequacy ratio for professional securities market participants so as to mitigate their financial stability risks.
The new version of the relevant Ordinance changes the procedure for calculating a broker’s credit risk in relation to a client whose risk coverage in margin transactions is below the required ratio. Securities issued by the debtor or assets of companies affiliated with the debtor may not be accepted as collateral. Furthermore, to reduce the rates of credit risk for the debt of companies related to a broker, it is allowed to use their ratings, provided that the debtor’s assessment of its standalone creditworthiness proves its financial resilience.
The document also stipulates the procedure for calculating the risk associated with digital rights acquired and issued by a professional market participant. The updated version allows an alternative calculation of the market risk related to option contracts (similarly to the regulation of credit institutions). The Bank of Russia introduces measures aimed at discouraging professional market participants from holding large open foreign currency positions. In addition, the updated version simplifies the rules for setting credit risk rates in relation to counterparties and clients.
The Ordinance becomes effective on 1 October 2025.