RBI/2018-19/51
DBR.BP.BC.No.4/21.04.098/2018-19
September
27, 2018
All Scheduled Commercial
Banks
(Excluding RRBs) & Small Finance
Banks (SFBs)
Dear Sir,
Basel
III Framework
on Liquidity Standards - Liquidity Coverage Ratio (LCR),
Liquidity Risk Monitoring Tools and LCR Disclosure Standards
Please refer to our circular DBR.BP.BC.No.114/21.04.098/2017-18 dated June
15, 2018 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 11 per cent of the bank's NDTL].
3. It has been decided to permit
banks with effect from October 1, 2018, 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 13 per
cent, taking the total carve out from SLR available to banks to 15 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).
Yours faithfully,
(Saurav Sinha)
Chief General Manager-in-Charge
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