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On countercyclical buffer to capital adequacy ratio

The Bank of Russia decided to set from 1 January 2016 the countercyclical capital buffer (CCB) rate for Russian credit institutions at zero per cent of risk weighted assets.

The Bank of Russia takes decisions on setting the CCB rate based on the analysis of a wide range of indicators characterising the credit cycle. The level of the banking sector systemic risks related to the credit cycle is determined through the monitoring of credit activity (including by individual segments), as well as the financial standing of banks and their borrowers. The said indicators are analysed together with the expected change in macroeconomic conditions and other financial indicators.

In 2015, the banking sector was subject to credit risks caused by a slump in the economy and the increased debt burden as a result of the exchange rate shock in late 2014 — early 2015, which was reflected in revaluation of FX liabilities. The negative value of most of the credit gap indicators assessed by the Bank of Russia (the credit-to-GDP gap is defined as the difference between the actual ratio of loans adjusted to FX revaluation to GDP and its long-term trend) makes it possible to characterise the current situation as a declining phase of the credit cycle.

In January-November 2015, loans to non-financial organisations and households grew by 5.3%, which was largely caused by the ruble depreciation. The economy’s credit portfolio increased by 0.8% without the FX revaluation factor*: loans to non-financial organisations were observed to rise (by 3.3%), which was set-off by shrinking lending to households (by 5.7%). Given the situation, the Bank of Russia deems it expedient to set the countercyclical capital buffer at zero per cent.

The Bank of Russia will consider changes to the CCB rate on a quarterly basis. Should the Bank of Russia Board of Directors decide to set the CCB rate at above zero per cent of risk weighted assets, the appropriate requirements will become effective no sooner than six months and no later than 12 month from the decision announcement, which will allow the banking sector to timely plan capital management, including the policy of dividends and compensations.

The countercyclical capital buffer is applied in compliance with Basel III approaches stipulated by Article 67 of the Federal Law ‘On the Central Bank of the Russian Federation’ and Bank of Russia Ordinance No. 3855-U, dated 30 November 2015, ‘Amending Bank of Russia Instruction No. 139-I, Dated 3 December 2012, ‘On Banks’ Required Ratios’ from 1 January 2016.

The Bank of Russia Board of Directors will hold its next CCB rate review meeting on 24 February 2016.

31 декабря 2015 года

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