RBI/2018-19/164
DBR.BP.BC.No.34/21.04.098/2018-19
April 4, 2019
All Scheduled Commercial Banks
(Excluding RRBs) & Small Finance Banks
Dear Sir/Madam,
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.4/21.04.098/2018-19 dated
September 27, 2018, other associated circulars on the captioned subject and
para I (1) of the First Bi-Monthly Monetary Policy 2019-20 dated April
4, 2019.
2. Presently, the assets allowed as 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, Government securities to the extent
allowed by RBI under (i) Marginal Standing Facility (MSF) [presently 2 per
cent of the bank's NDTL] and (ii) Facility to Avail Liquidity for Liquidity
Coverage Ratio (FALLCR) [presently 13 per cent of the bank's NDTL].
3. It has been decided to permit banks to reckon an additional 2.0
percent Government securities held by them under FALLCR within the
mandatory SLR requirement as Level 1 HQLA for the purpose of computing LCR,
in a phased manner, as under:
Effective Date
|
FALLCR
(per cent of NDTL)
|
Total HQLA carve out from SLR
(per cent of NDTL)
|
April 4, 2019
|
13.50
|
15.50
|
August 1, 2019
|
14.00
|
16.00
|
December 1,
2019
|
14.50
|
16.50
|
April 1, 2020
|
15.00
|
17.00
|
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
|