All Scheduled Commercial
(excluding RRBs) &
Small Finance Banks (SFBs)
III Framework on Liquidity Standards - Liquidity Coverage
Ratio (LCR), Liquidity Risk Monitoring Tools and LCR Disclosure
Please refer to our circular DBR.BP.BC.No.2/21.04.098/2016-17 dated July 21,
2016 and other associated circulars on the captioned subject.
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 (a) Government securities
in excess of the minimum SLR requirement and, (b) within the mandatory SLR
requirement, (i) Government securities to the extent allowed by RBI under
Marginal Standing Facility (MSF) [presently 2 per cent of the bank's NDTL]
and (ii) under Facility to Avail Liquidity for Liquidity Coverage Ratio
(FALLCR) [presently 9 per cent of the bank's NDTL].
3. It has been decided to permit
banks, with effect from the date of this circular, to reckon Government
securities held by them up to another 2 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 carve-out from SLR, under FALLCR
will now be 11 per cent, taking the total carve out from SLR available to
banks to 13 per cent of their NDTL.
4. For the purpose of LCR, banks
shall continue to value such government securities reckoned as HQLA at an
amount not greater than their current market value (irrespective of the
category under which the security is held, i.e., HTM, AFS or HFT).
Chief General Manager-in-Charge