RBI/2016-17/25
DBR.BP.BC.No.2/21.04.098/2016-17
July
21, 2016
All Scheduled Commercial Banks
(excluding RRBs)
Dear Sir,
Basel III
Framework on Liquidity Standards – Liquidity Coverage Ratio (LCR),
Liquidity Risk Monitoring Tools and LCR Disclosure Standards
Please refer to our circulars DBOD.BP.BC.No.120/21.04.098/2013-14 dated June
9, 2014, DBR.BP.BC.No.52/21.04.098/2014-15 dated November 28, 2014 andDBR.BP.BC.No.77/21.04.098/2015-16 dated February 11,
2016 on ‘Basel III Framework on Liquidity Standards – Liquidity
Coverage Ratio (LCR), Liquidity Risk Monitoring Tools and LCR Disclosure
Standards’.
2. Presently, the assets allowed
as the Level 1 High Quality Liquid Assets (HQLAs) for the purpose of
computing the LCR of banks, inter alia, include Government securities in
excess of the minimum SLR requirement and, within the mandatory SLR
requirement, Government securities to the extent allowed by RBI under
Marginal Standing Facility (MSF) [presently 2 per cent of the bank’s NDTL]
and under Facility to Avail Liquidity for Liquidity Coverage Ratio (FALLCR)
[presently 8 per cent of the bank’s NDTL].
3. It has been decided that, in
addition to the above-mentioned assets, banks will be permitted to reckon
government securities held by them up to another 1 per cent of their NDTL
under FALLCR within the mandatory SLR requirement as level 1 HQLA for the
purpose of computing their LCR. Hence, the total carve-out from SLR
available to banks would be 11 per cent of their NDTL. For this purpose,
banks should continue to value such reckoned government securities within
the mandatory SLR requirement at an amount no greater than their current
market value (irrespective of the category of holding the security, i.e.,
HTM, AFS or HFT).
Yours faithfully,
(Ajay Kumar Choudhary)
Chief General Manager
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