Question
dated 11.09.2023
With the introduction of the possibility for individuals to conduct operations on weekends and holidays using the Internet Bank and mobile application, all days are considered operational days (only for the reasons mentioned above) and the bank calculates mandatory ratios for each calendar day.
In this regard, please clarify the correctness of the approaches to calculating the instant liquidity ratio (N2):
1. The Bank places an overnight deposit with the Bank of Russia on Friday, according to the terms and conditions of standing deposit operations, repayment and payment of interest on the deposit is made on Monday. This deposit, as of Monday, is recorded on balance sheet account # 31903 “Deposits with the Bank of Russia for terms from 2 to 7 days”.
When calculating mandatory ratios for Saturday-Monday, does the bank have the right to include the balance of this deposit (b/s 31903) in the calculation of the H2 ratio, reflecting it in code 8921?
2. The bank placed an overnight deposit with the Bank of Russia on December 31 31, the date of repayment and payment of interest on the deposit on the first working day after the weekend. Since from December 31st through January 9th are holidays and weekends, this deposit as of January 1st is recorded on balance sheet account No. 31904 “Deposits with the Bank of Russia for the period from 8 to 30 days”.
Does the bank have the right to include balances on this deposit (b/s 31904) in calculation of mandatory ratios for January 1 to January 10 to calculate the H2 ratio, reflecting it in code 8720?
3. Is it possible to include in calculation of code 8885 when calculating mandatory ratios for Saturday-Monday / from January 1 – January 10 January the bank’s liabilities on deposits and other attracted funds with maturity within one operational day (balance sheet accounts no;42002 “Deposits of non-governmental financial organizations for up to 30 days”, # 42102 “Deposits of non-governmental commercial organizations for up to 30 days”), placed on Friday / 31 December with maturity on Monday / the first working day after the New Year holidays?
4. on December 31 the Bank entered into a repo transaction with a central counterparty with clearing certificates of participation (CCPs), trading mode 1 day. When calculating mandatory ratios for the period from January 1 to January 10, may the bank include funds under the reverse repo transaction recorded on account 32204 into the H2 ratio by means of code 8722?
Answer
from 12.09.2023
no. 199-I-2023/3
In the situation considered in the question, loans (deposits) and other placed funds with the term of placement other than 1 day, if the day of performance of the said operations precedes a weekend, which is understood to mean weekends and non-working holidays, provided that these days are non-working days for the bank, and are repaid on the operating day following the weekend, for the purposes of calculation of the instant liquidity ratio (N2) are considered to be funds placed for 1 1 day.
Thereby, if on weekends/holidays the bank does not perform any operations other than transactions with funds of individual customers via Internet bank or mobile application without opening a balance, the bank is entitled to use the proposed approaches to calculation of the N2 ratio for questions 1 -4 1 -4 4.
Note that in part of Example 4 securities constituting the CSU property pool are not included in the calculation of the H2 ratio.