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Liquidity Coverage Ratio (LCR) Коэффициент краткосрочной ликвидности

Liquidity Coverage Ratio (LCR) Коэффициент краткосрочной ликвидности Net Stable Funding Ratio (NSFR) Показатель чистого стабильного финансирования. Liquidity Coverage Ratio (LCR) ≥ 100% . Stock of high-quality liquid assets A. Level 1 assets: 100% Cash

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Liquidity Coverage Ratio (LCR) Коэффициент краткосрочной ликвидности

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  1. Liquidity Coverage Ratio (LCR) Коэффициент краткосрочной ликвидности Net Stable Funding Ratio (NSFR) Показатель чистого стабильного финансирования

  2. Liquidity Coverage Ratio (LCR) ≥ 100%

  3. Stock of high-quality liquid assets • A. Level 1 assets: 100% Cash Qualifying marketable securities from sovereigns, central banks, public sector entities, and multilateral development banks Qualifying central bank reserves Domestic sovereign or central bank debt in domestic currency Domestic sovereign debt for non-0% risk weighted sovereigns, issued in foreign currency B. Level 2 assets: 85% Sovereign, central bank, and PSE assets qualifying for 20% risk weighting Qualifying corporate bonds rated AA- or higher Qualifying covered bonds rated AA- or higher

  4. Норматив текущей ликвидности банка Лат Н3 = -------------------- x 100% >= 50% Овт- 0,5 x Овт* Лат – ликвидные активы Овт– обязательства со сроком исполнения в пределах ближайших 30 календарных дней

  5. 1 марта 2012 г.: из 871 кредитных организаций у 497 Н3 < 100%. Недостаток Лат: 948,1 млрд руб. Стоимость: 5% (около 50 млрд руб./год)

  6. Net Stable Funding Ratio (NSFR) ≥ 100%

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