Bank of Russia updates approaches to assess financial sustainability of professional market participants
The Bank of Russia has allowed professional market participants to include the bonds of Russian companies involved in projects supporting technological sovereignty and the structural adaptation of the economy in the calculation of equity capital with effect from 1 January 2024. The value of such bonds may reach 10% of total assets if a professional participant facilitates trading in such bonds as a market maker and (or) an underwriter.
With respect to these securities, professional participants will be allowed to use risk reduction factors when calculating the capital adequacy ratio. This will encourage investment in such bonds.
Moreover, when calculating these ratios, professional participants will not take into account blocked assets, the disposal of which is restricted by measures taken by unfriendly countries and which cannot be used to cover credit and market risks.
The amount of equity capital is calculated monthly as of the last calendar date and should exceed the minimum amount of equity capital established by the Bank of Russia for different categories of professional market participants.
The capital adequacy ratio is calculated on a monthly basis as the capital to risk-weighted assets ratio, subject to the adjustment factor, and should be maintained on a permanent basis. In case of the materialisation of risks, professional market participants should compensate for losses incurred by clients at their own expense. Since 1 October 2022, the minimum value of this ratio has been 8%.