Bank of Russia improves liquidity risk regulation

The document is aimed at optimising individual elements of the calculation, including the use of national ratings, and it also shows the amendments which have been made to Russian laws. However, the approaches to calculating the liquidity coverage ratio lead to no deviations from Basel III.

The key changes are:

— including corporate bonds in high-quality liquid assets (HQLAs) based on the national rating;

— recognising JSC DOM.RF’s own bonds as HQLAs (on equal terms with the bonds of the State Development Corporation VEB.RF);

— including HQLAs put up as collateral under clearing participation certificates in the calculation of the liquidity coverage ratio, provided that they will be immediately claimed if needs be;

— including digital rubles in HQLAs;

— clarifying the procedure for calculating certain categories of outflows and inflows.

The updated calculation procedure will be mandatory from 1 October 2024. Before this date, banks may independently decide on its application (with notifying the Bank of Russia’s authorised structural unit about it).

It is important to note that the updated calculation of the liquidity coverage ratio is a transitional stage in the development of liquidity risk regulation. Currently, the Bank of Russia is actively working on a new national liquidity coverage ratio that will take into consideration national specifics more effectively. Specifically, the question is about expanding the list of HQLAs, readjusting inflow and outflow coefficients of various categories of claims and obligations based on a retrospective analysis of the Russian market. The Bank of Russia plans to discuss the structure of the new ratio with the banking community before the end of 2023.

The above changes are being implemented in accordance with Clause 17 of the Promising Areas of Banking Regulation and Supervision Development.