Banking groups will be able to use a new standardised approach to measuring credit risk for the calculation of capital adequacy ratios. This will allow credit institutions that are parts of such groups to free capital, expanding their capabilities to lend to the real sector of the economy.
Banking groups will also include reporting data of their non-resident participants in the calculation of capital and required ratios in line with the rules of their country of registration, provided it has long-term credit ratings in the range of AAA to АА- according to Standard & Poor’s or Fitch Ratings classification or Aaa to Аa3 according to Moody’s Investors Service classification. This will help harmonise approaches at the level of an individual bank and a banking group as a whole.
Head credit institutions of banking groups will be obliged to apply macroprudential risk-based buffers to the assets of their resident participants. These buffers will be applied to the assets of non-resident participants only if it is required by regulators in their countries of residence. Macroprudential buffers will allow accounting for risks of individual lending segments at all levels of the banking group more accurately.
The document is a new version of Bank of Russia Regulation No. 509-P ‘On Calculating the Capital, Required Ratios and Open Currency Position Limits of Banking Groups’. It is to enter into force on 1 April 2021. Banking groups may start implementing the new approach earlier with a notice to the Bank of Russia.