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Ministry of Justice

Russian Federation

On December 28, 2015 No. 40319

PROVISION OF CENTRAL BANK OF THE RUSSIAN FEDERATION

of December 3, 2015 No. 510-P

About procedure of payments of the standard rate of short-term liquidity ("Basel III") system significant credit institutions

(as amended on 03-08-2020)

Based on the Federal Law of July 10, 2002 No. 86-FZ "About the Central bank the Russian Federation (Bank of Russia)" (The Russian Federation Code, 2002, No. 28, Art. 2790; 2003, No. 2, Art. 157; No. 52, Art. 5032; 2004, No. 27, Art. 2711; No. 31, Art. 3233; 2005, No. 25, Art. 2426; No. 30, Art. 3101; 2006, No. 19, Art. 2061; No. 25, Art. 2648; 2007, No. 1, Art. 9, Art. 10; No. 10, Art. 1151; No. 18, Art. 2117; 2008, No. 42, Art. 4696, Art. 4699; No. 44, Art. 4982; No. 52, Art. 6229, Art. 6231; 2009, No. 1, Art. 25; No. 29, Art. 3629; No. 48, Art. 5731; 2010, No. 45, Art. 5756; 2011, No. 7, Art. 907; No. 27, Art. 3873; No. 43, Art. 5973; No. 48, Art. 6728; 2012, No. 50, Art. 6954; No. 53, Art. 7591, Art. 7607; 2013, No. 11, Art. 1076; No. 14, Art. 1649; No. 19, Art. 2329; No. 27, Art. 3438, Art. 3476, Art. 3477; No. 30, Art. 4084; No. 49, Art. 6336; No. 51, Art. 6695, Art. 6699; No. 52, Art. 6975; 2014, No. 19, Art. 2311, Art. 2317; No. 27, Art. 3634; No. 30, Art. 4219; No. 40, Art. 5318; No. 45, Art. 6154; No. 52, Art. 7543; 2015, No. 1, Art. 4, Art. 37; No. 27, Art. 3958, Art. 4001; No. 29, Art. 4348; No. 41, the Art. 5639) (further - the Federal Law No. 86-FZ) and according to the solution of the Board of directors of the Bank of Russia (the minutes of the Board of directors of the Bank of Russia of November 27, 2015 No. 35) this Provision establish procedure of payments systemically significant credit institutions recognized by the Bank of Russia those according to the Instruction of the Bank of Russia of July 22, 2015 No. 3737-U "About technique of determination of systemically significant credit institutions", the registered Ministry of Justice of the Russian Federation on August 11, 2015 No. 38444 ("the Bulletin of the Bank of Russia" of August 28, 2015 No. 71) (further - the Instruction of the Bank of Russia No. 3737-U) including which are parent credit institutions of banking group the standard rate of short-term liquidity and its minimum admissible numerical value taking into account the international approaches to measure calculation of short-term liquidity and instruments of monitoring of liquidity risk ("Basel III").

Chapter 1. General provisions

1.1. The standard rate of short-term liquidity (further - NKL) regulates (limits) risk of loss of liquidity which is understood as capability of banking group (credit institution) to provide timely, full implementation of the cash and other obligations and opportunity to continue the activities in the conditions of the instability caused by factors, external and (or) internal in relation to banking group (credit institution), in the next 30 calendar few days from settlement date of NKL. Observance of NKL provides availability at banking group (credit institution) of minimum necessary amount of highly liquid assets which can be used for immediate obligation fulfillment in the conditions of instability. The size of the highly liquid assets taken into consideration by NKL shall be sufficient for covering of possible liquidity deficit on time frames within 30 days in connection with discrepancy of the expected inflows and cash outflows on terms on the basis of the analysis which is carried out according to Item 5 of appendix 1 to this Provision.

NKL is determined on the basis of structure of assets and liabilities (liabilities) of banking group (credit institution) taking into account terms, the amounts and asset types and obligations (liabilities), and also other factors characterizing liquidity of assets and the expected cash outflows in case of approach of conditions of instability both in activities of banking group (credit institution) and in the market in general.

1.2. Calculation of NKL is perfromed totally on transactions in rubles, foreign currency and precious metals according to the procedure of payments of indicator of short-term liquidity established by the Provision of the Bank of Russia of May 30, 2014 No. 421-P "About procedure of payments of indicator of short-term liquidity ("Basel III")", the registered Ministry of Justice of the Russian Federation on June 25, 2014 No. 32844, on December 11, 2014 No. 35134, on December 25, 2015 No. 40282, on September 2, 2019 No. 55800 (further - the Provision of the Bank of Russia No. 421-P), taking into account the features of calculation determined by this Provision.

1.3. Calculation of NKL is perfromed by parent credit institution of banking group on the consolidated basis (the standard rate of short-term liquidity of Ì26) banking group and the credit institution which is not parent credit institution of banking group on individual basis (the standard rate of short-term liquidity of credit institution of H27) (except for credit institutions, being members of banking group concerning which parent credit institution requirements for observance of the standard rate of H26 according to this Provision are established).

The standard rate of H26 (The N 27) is calculated as the relation of the amount of highly liquid assets, limit (limits) of irrevocable credit line (irrevocable credit lines) and the highly liquid assets nominated in separate foreign currencies, in the part exceeding the net expected cash outflow in the same foreign currency reduced by the size of adjustment of highly liquid assets to the size of the net expected cash outflow on the following formula:

 

Формула 1 к Положению ЦБ РФ от 03.12.2015 г. №510-П

where:

VLA - highly liquid assets of banking group (credit institution);

BKL - limit (limits) of the irrevocable credit line (irrevocable credit lines) opened (open) for parent credit institution (credit institution) and (or) members of banking group;

DAIV - the highly liquid assets of banking group (credit institution) nominated in separate foreign currencies, in the part exceeding the net expected cash outflow in the same foreign currency;

VK - the size of adjustment of highly liquid assets of banking group (credit institution);

ChOODS - the net expected cash outflow of banking group (credit institution).

ChOODS is calculated by formula:

 

Формула 2 к Положению ЦБ РФ от 03.12.2015 г. №510-П

where:

OODS - the expected cash outflow of banking group (credit institution);

OPDS - the expected cash inflow of banking group (credit institution).

1.4. Minimum admissible numerical value of standard rates of H26 and H27 is established in the amount of:

70 percent since January 1, 2016;

80 percent since January 1, 2017;

90 percent since January 1, 2018;

100 percent since January 1, 2019.

1.5. For the purpose of this provision instability conditions in the financial markets are understood as period of time from the moment of the announcement by the Bank of Russia of information on establishment of size of the countercyclical allowance in the amount of 0 percent until the announcement the Bank of Russia of information on establishment of size of the countercyclical allowance in the amount of more than 0th percent. In the conditions of instability in the financial markets use of highly liquid assets on the covering of cash outflows leading to decrease in the actual value of the standard rate of H26 is admissible (N 27) below minimum admissible numerical value.

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