August 02, 2017
All Scheduled Commercial Banks
Basel III Framework on Liquidity Standards – Liquidity Coverage Ratio (LCR), Liquidity Risk Monitoring Tools and LCR Disclosure Standard
Please refer to our circular DBOD.BP.BC.No.120/21.04.098/2013-14 dated June 9, 2014 “Basel III Framework on Liquidity Standards – Liquidity Coverage Ratio (LCR), Liquidity Risk Monitoring Tools and LCR Disclosure Standards” read along with amendments introduced by following circulars:
2. In view of feedback received from the stakeholders and experience gained, it has been decided to amend certain provisions of these guidelines. The amendment to specific instructions of the above-mentioned circulars are given in the Annex.
(S. S. Barik)
Encls: as above
Amendment to DBOD.BP.BC.No.120/21.04.098/2013-14 dated June 9, 2014 “Basel III Framework on Liquidity Standards – Liquidity Coverage Ratio (LCR), Liquidity Risk Monitoring Tools and LCR Disclosure Standards.
1 Central bank’s reserves would include banks overnight deposits with central banks, and term deposits with the central banks that: (i) are explicitly and contractually repayable on notice from the depositing bank; or (ii) that constitute a loan against which the bank can borrow on a term or on an overnight basis but automatically renewable basis (only where the bank has existing deposit with the relevant central bank). Other term deposits with central banks are not eligible for the stock of HQLA. However, if the term expires within 30 days, the term deposits could be considered as an inflow.
3 These securities will include only marketable securities which attract a 0% risk-weight in terms of paragraph 5.3.1 of RBI’s Master Circular on ‘Basel III Capital Regulations’ dated July 1, 2013. In cases where a foreign sovereign has been assigned a non-0% risk weight as per rating by an international rating agency, but a 0% risk-weight has been assigned at national discretion under Basel II Framework, marketable securities issued or guaranteed by that foreign sovereign within its domestic jurisdiction will be allowed to the extent those securities cover a bank’s stressed net cash outflows in that specific foreign currency stemming from the bank’s operations in the jurisdiction where the bank’s liquidity risk is being taken.
Source: RBI Notification