National liquidity coverage ratio: consultation paper

The new ratio is planned to apply starting from 2026, first of all, to systemically important credit institutions (SICIs). It will replace the Basel Liquidity Coverage Ratio (LCR) and will take into account the national specifics of the Russian financial sector, which is important for effective management of banks’ liquidity risk.

According to the regulator’s calculations, the transition to new requirements will have a positive effect on the actual values of the ratio of most SICIs.

The key differences between the new ratio and the LCR are as follows:

•  An expanded range of highly liquid assets due to a wider list of assets used by Russian banks to raise liquidity;
•  Application of outflow ratios, reflecting Russian clients' behaviour in stress situations other than the extreme scenario of the global liquidity crisis under Basel III;
•  Introduction of an ‘orange zone’ into the ratio: a bank in this zone will have to make larger payments to, for example, the compulsory deposit insurance fund, but this will not be classified as a violation and, therefore, enforcement measures will not be applied.

Answers to the questions posed in the consultation paper as well as suggestions on the concept of the new ratio can be sent to the Bank of Russia through 29 February 2024.