National liquidity coverage ratio for SICIs: calculation procedure
The Bank of Russia has submitted a document establishing the procedure for calculating the national liquidity coverage ratio (NLCR) for systemically important credit institutions (SICIs) to the Russian Ministry of Justice for registration. The NLCR will replace the Basel LCR that has been in effect since 2016. The new ratio reflects the Russian regulation specifics: it has been calibrated on data from domestic banks; and the composition of high-quality liquid assets (HQLAs) has been determined based on assets traded in the domestic market.
The calculation methodology has a number of updates, including restrictions on investment in securities in order to reduce HQLA concentration risks: assets will be considered HQLA only if a bank holds no more than 30% of the issue. This requirement will be implemented gradually until the end of 2027. A new requirement has been added to prohibit banks from increasing their liquidity ratios using dormant nostro accounts. In addition, the outflow rates have been slightly reduced with regard to Federal Treasury funds (the rate will total 45% after the transition period is finished on 1 January 2027) and household funds.
The NLCR is scheduled to come into force on 1 October 2025. To ensure a smooth transition, the minimum value of the new ratio will be 80% in 2025 and will total 100% from 1 January 2026. The transition to the new ratio will not create any problems for banks: under the NLCR calculation methodology, banks will generally benefit from additional 25 pp or more compared to the currently applicable Basel LCR. Since 1 July 2025, banks have already been able to maintain sufficient liquidity to comply with the Basel LCR at a level of 60% without using irrevocable credit lines (ICLs). By 1 January 2026, they will have to increase their liquidity in order to comply with the Basel LCR at a level of 80% and higher without using ICLs.
The NLCR compliance will be flexible. SICIs will still be able to use ICLs, but in a modified form. Banks will have to comply with the liquidity requirements on their own; therefore, ICLs are intended to cover only small volatility of the ratio – not more than 20 pp. Once prepared, relevant Bank of Russia orders establishing the parameters of the updated ICLs will be presented to the market.
The regulator has also elaborated and discussed with banks a new NLCR reporting form, which is planned to become effective in January 2026 (relevant amendments are being introduced to Bank of Russia Ordinance No.