INSTRUCTION OF CENTRAL BANK OF THE RUSSIAN FEDERATION

of September 8, 2017 No. 4521-U

About modification of the Instruction of the Bank of Russia of June 28, 2017 No. 180-I "About obligatory standard rates of banks"

1. Based on Articles 62, 64 - 67, 70 - 72 Federal Laws of July 10, 2002 No. 86-FZ "About the Central bank the Russian Federation (Bank of Russia)" (The Russian Federation Code, 2002, No. 28, Art. 2790; 2003, No. 2, Art. 157; No. 52, Art. 5032; 2004, No. 27, Art. 2711; No. 31, Art. 3233; 2005, No. 25, Art. 2426; No. 30, Art. 3101; 2006, No. 19, Art. 2061; No. 25, Art. 2648; 2007, No. 1, Art. 9, Art. 10; No. 10, Art. 1151; No. 18, Art. 2117; 2008, No. 42, Art. 4696, Art. 4699; No. 44, Art. 4982; No. 52, Art. 6229, Art. 6231; 2009, No. 1, Art. 25; No. 29, Art. 3629; No. 48, Art. 5731; 2010, No. 45, Art. 5756; 2011, No. 7, Art. 907; No. 27, Art. 3873; No. 43, Art. 5973; No. 48, Art. 6728; 2012, No. 50, Art. 6954; No. 53, Art. 7591, Art. 7607; 2013, No. 11, Art. 1076; No. 14, Art. 1649; No. 19, Art. 2329; No. 27, Art. 3438, Art. 3476, Art. 3477; No. 30, Art. 4084; No. 49, Art. 6336; No. 51, Art. 6695, Art. 6699; No. 52, Art. 6975; 2014, No. 19, Art. 2311, Art. 2317; No. 27, Art. 3634; No. 30, Art. 4219; No. 40, Art. 5318; No. 45, Art. 6154; No. 52, Art. 7543; 2015, No. 1, Art. 4, Art. 37; No. 27, Art. 3958, Art. 4001; No. 29, Art. 4348, Art. 4357; No. 41, Art. 5639; No. 48, Art. 6699; 2016, No. 1, Art. 23, Art. 46, Art. 50; No. 26, Art. 3891; No. 27, Art. 4225, Art. 4273, Art. 4295; 2017, No. 1, Art. 46; No. 14, Art. 1997; No. 18, Art. 2661, Art. 2669; No. 30, the Art. 4456), article 24 of the Federal law "About Banks and Banking Activity" (in edition of the Federal Law of February 3, 1996 No. 17-FZ) (Sheets of the Congress of People's Deputies of RSFSR and the Supreme Council of RSFSR, 1990, No. 27, Art. 357; Russian Federation Code, 1996, No. 6, Art. 492; 1998, No. 31, Art. 3829; 1999, No. 28, Art. 3459, Art. 3469; 2001, No. 26, Art. 2586; No. 33, Art. 3424; 2002, No. 12, Art. 1093; 2003, No. 27, Art. 2700; No. 50, Art. 4855; No. 52, Art. 5033, Art. 5037; 2004, No. 27, Art. 2711; No. 31, Art. 3233; 2005, No. 1, Art. 18, Art. 45; No. 30, Art. 3117; 2006, No. 6, Art. 636; No. 19, Art. 2061; No. 31, Art. 3439; No. 52, Art. 5497; 2007, No. 1, Art. 9; No. 22, Art. 2563; No. 31, Art. 4011; No. 41, Art. 4845; No. 45, Art. 5425; No. 50, Art. 6238; 2008, No. 10, Art. 895; 2009, No. 1, Art. 23; No. 9, Art. 1043; No. 18, Art. 2153; No. 23, Art. 2776; No. 30, Art. 3739; No. 48, Art. 5731; No. 52, Art. 6428; 2010, No. 8, Art. 775; No. 27, Art. 3432; No. 30, Art. 4012; No. 31, Art. 4193; No. 47, Art. 6028; 2011, No. 7, Art. 905; No. 27, Art. 3873, Art. 3880; No. 29, Art. 4291; No. 48, Art. 6730; No. 49, Art. 7069; No. 50, Art. 7351; 2012, No. 27, Art. 3588; No. 31, Art. 4333; No. 50, Art. 6954; No. 53, Art. 7605, Art. 7607; 2013, No. 11, Art. 1076; No. 19, Art. 2317, Art. 2329; No. 26, Art. 3207; No. 27, Art. 3438, Art. 3477; No. 30, Art. 4084; No. 40, Art. 5036; No. 49, Art. 6336; No. 51, Art. 6683, Art. 6699; 2014, No. 6, Art. 563; No. 19, Art. 2311; No. 26, Art. 3379, Art. 3395; No. 30, Art. 4219; No. 40, Art. 5317, Art. 5320; No. 45, Art. 6144, Art. 6154; No. 49, Art. 6912; No. 52, Art. 7543; 2015, No. 1, Art. 37; No. 17, Art. 2473; No. 27, Art. 3947, Art. 3950; No. 29, Art. 4355, Art. 4357, Art. 4385; No. 51, Art. 7243; 2016, No. 1, Art. 23; No. 15, Art. 2050; No. 26, Art. 3860; No. 27, Art. 4294, Art. 4295; 2017, No. 14, Art. 2000; No. 18, Art. 2661, Art. 2669; No. 25, Art. 3596; No. 30, Art. 4456; No. 31, the Art. 4754) and according to the solution of the Board of directors of the Bank of Russia (the minutes of the Board of directors of the Bank of Russia of September 1, 2017 No. 22) to bring in the Instruction of the Bank of Russia of June 28, 2017 No. 180-I "About obligatory standard rates of banks", registered by the Ministry of Justice of the Russian Federation on July 12, 2017 No. 47383, the following changes.

1.1. In subitem 2.1.1 of Item 2.1:

paragraph two after the word" + RSK" to add with the word" + KRFI";

add with paragraphs of the following content:

"KRFI - the size of credit risk on the investments of bank in shares and (or) shares of joint-stock investment funds, mutual investment funds, non-state pension funds, and also the funds located outside the territory of the Russian Federation (further - investments in fund) including delivered in trust management calculated according to appendix 9 to this Instruction. Measure values of KRFI are calculated separately for each capital adequacy ratio of bank: KRF1 - for the standard rate of H1.1 (code 8761.1), KRF2 - for the standard rate of H1.2 (code 8761.2), KRF0 - for the standard rate of H1.0 (code 8761.0).

The balance sheet assets participating in measure calculation of KRFI do not join in assets of the I-III and V groups of assets, and are considered in the IV group of assets with the subsequent exception.".

1.2. In Item 2.3:

the fourth subitem 2.3.4.1 after figures "8756.1," to add the paragraph with figures "8760.1,";

the fourth subitem 2.3.4.2 after figures "8756.2," to add the paragraph with figures "8760.2,";

the fourth subitem 2.3.4.3 after figures "8756.0," to add the paragraph with figures "8760.0,";

add subitem 2.3.27 with the paragraph of the following content:

"According to the transactions made on returnable basis with the securities of funds specified in the paragraph the twentieth subitem 2.1.1 of Item 2.1 of this Instruction, transferred without derecognition, unsecured part of the requirement for return of securities is weighed by borrowing bank on the risk coefficient calculated as the relation of the size of credit risk on investments in fund calculated according to appendix 9 to this Instruction, to book value of securities of this fund.".

1.3. In paragraph four of Item 8.1 of the word "and third" shall be replaced with words ", the second and sixth", "subitem 5.6.3 of Item 5.6 and" to exclude words.

1.4. In appendix 1:

to add the column of 1 line of code of designation 8749 with words ", including delivered in trust management and being assets of funds in which the bank performed investments";

after line of code of designation 8759 to add with lines of the following content:

Investments in funds (except for investments in funds regarding the assets listed in Item 3 of appendix 9 to this Instruction) (accounts (their part): N N 47901, 50606, 50608, 50618, (50621 - 50620), 50706, 50708, 50709, 50718, (50721 - 50720), 60102, 60104, 60106, 60118, 60204).	8760. 1, 8760.2, 8760.0	H1.1 (A), H1.2 (A), H1.0 (AND)
The size of credit risk on investments in funds calculated according to appendix 9 to this Instruction.	8761. 1, 8761.2, 8761.0	H1.1 (KRF 1, H1.2 (KRF 2), H1.0 (KRF0)

 

column of 1 line of codes of designation 8823.1, 8823. 8823.0 to state 2, in the following edition:

"Investments in the assets of the IV group delivered in trust management (except for considered by codes 8749, 8760.i, 8878. And, 8880, and also own means (capital) reducing size according to appendix to the Provision of the Bank of Russia No. 395-P and the sources of the basic capital, the added capital, the supplementary capital reducing the amount and amount of the fixed and supplementary capital according to the Provision of the Bank of Russia No. 395-P) (accounts (part of the account): No. 47901)";

column of 1 line of code of designation 8878. And to add with the paragraph of the following content:

"Calculation of this code does not join investments in funds on which risk is estimated according to subitem 4.3 of item 4 of appendix 9 to this Instruction".

1.5. Add with appendix 9 in edition of appendix to this Instruction.

2. This Instruction becomes effective after 10 days after day of its official publication.

Appendix

to the Instruction of the Bank of Russia of September 8, 2017 No. 4521-U "About modification of the Instruction of the Bank of Russia of June 28, 2017 No. 180-I "About obligatory standard rates of banks"

"Appendix 9

to the Instruction of the Bank of Russia of June 28, 2017 No. 180-I "About obligatory standard rates of banks"

Method of calculation of credit risk on investments of bank in funds

1. According to this appendix assessment of credit risk is performed concerning investments in the funds including delivered in trust management for the purpose of calculation of capital adequacy ratios of bank.

2. For the purpose of calculation of credit risk for investments in funds three approaches to risk assessment are applied: end-to-end approach, mandatory approach and reserve approach.

The risk on investments is estimated at funds in proportion to the investments performed by bank proceeding from assessment of assets of fund.

3. This appendix does not extend to the following assets of fund:

the assets taken into measure calculation, the sources of the basic capital, and (or) the added capital, and (or) the supplementary capital reducing the amount and (or) the amount of the fixed and supplementary capital according to requirements of subitems 2.2. 1, 2.2.4, 2.2.6, 2.2.9, 2.4.1, 2.4.3 and 2.4.4 of Item 2, subitems 3.2. 1, 3.2.3 and 3.2.4 Items 3 of the Provision of the Bank of Russia No. 395-P;

the assets meeting requirements of codes 8749, 8878. And, 8880th appendices 1 to this Instruction.

Within the approaches specified in Item 2 presents of appendix with zero coefficient of risk the following assets of fund are estimated:

the balances in cash in rubles on settlement (current) accounts, deposits, deposits placed in the bank;

debt securities of the bank.

4. The size of credit risk on investments in funds is calculated by formula:

KRFI = Krfspi + Krfmpi + Krfrpi, where:

Krfspi - the size received as a result of application of end-to-end approach;

Krfmpi - the size received as a result of application of mandatory approach;

Krfrpi - the size received as a result of application of reserve approach.

4.1. In case of risk assessment on investments in funds for end-to-end approach each asset of fund is weighed on risk coefficient according to subitem 2.1.1 of Item 2.1 and Item 2.3 of this Instruction and appendices 1 and 3 to this Instruction.

4.1.1. End-to-end approach is applied to investments in funds (except for non-state pension funds (further - NPF) if the certificate of net assets value, including asset cost (property), joint-stock investment fund (mutual investment fund) and appendix to it, constituted according to the Instruction of the Bank of Russia of March 24, 2017 No. 4323-U "About forms, procedure and terms of creation and submission to the Bank of Russia of reports by joint-stock investment funds, managing companies of investment funds, mutual investment funds and non-state pension funds", the registered Ministry of Justice of the Russian Federation on July 6, 2017 No. 47322 (further - the Instruction of Bank No. 4323-U), it are provided to bank by fund (managing company) or reveal to the unrestricted group of people at least on monthly basis, and the fund located outside the territory of the Russian Federation according to requirements of supervisory authority of the country of the location (registration),

but at least, than it is established for credit institutions of this country.

End-to-end approach is applied to investments in NPF if the reporting under form 0420256 "Report on structure of portfolio of own means (the property intended for implementation of authorized activities)" constituted according to the Instruction of the Bank of Russia of February 7, 2017 No. 4282-U "About forms, terms and procedure for creation and submission to the Bank of Russia of the activity reporting, including requirements to the reporting under mandatory pension insurance, non-state pension funds, procedure and terms of disclosure of accounting (financial) records, the auditor and actuarial conclusions by non-state pension funds" on April 10, 2017 No. 46320, is provided by the registered Ministry of Justice of the Russian Federation to NPF to bank at least on monthly basis, and to the NPF located outside the territory of the Russian Federation according to requirements of supervisory authority of the country of the location (registration), but at least, than it is established for credit institutions of this country.

4.1.2. The size of credit risk on investments in fund in case of application of end-to-end approach is calculated by formula:

where:

Kpi - the coefficient of risk of i-go of asset determined according to subitem 4.1 of this Item;

AFI - i-y asset of fund for data of the reporting provided by fund (managing company) according to subitem 4.1.1 of this Item;

Pi - the size of the reserves on possible losses created according to subitems 2.6 and 2.7 of Item 2 of the Provision of the Bank of Russia No. 283-P concerning i-go of asset of fund;

КРСФсп - the size of credit risk on transactions of fund with PFI calculated by the technique established in appendix 3 to this Instruction. For the purpose of determination КРСФсп according to transactions with PFI the size subject to risk is multiplied by coefficient of 1,5 and weighed on risk coefficient depending on the partner according to Item 2.3 of this Instruction. At the same time the risk coefficients established concerning the balance sheet assets placed with the corresponding partner are applied. The coefficient of 1,5 is not applied if the bargain is concluded with the credit institution performing functions of the central partner and corresponding to conditions of code 8846 of appendix 1 to this Instruction;

FR - the financial leverage calculated:

for funds (except for NPF) - as the attitude of total cost of the assets of fund towards net assets value of fund determined according to the Instruction of the Bank of Russia No. 4323-U;

for NPF - as the relation of asset cost and own means calculated according to the Instruction of the Bank of Russia of May 30, 2016 No. 4028-U "About procedure of payments of own means of non-state pension funds", the registered Ministry of Justice of the Russian Federation on June 24, 2016 No. 42635;

Afsp - total assets of fund for data of reports according to subitem 4.1.1 of this Item, including transactions with PFI;

SVL - the amount of investments of fund, including delivered in trust management, at book value.

If the measure value ((SUM Kpi (AFI - Pi) i + КРСФсп) / Afsp) x FR constitutes the size exceeding 1250 percent when calculating size of risk of investments in this fund the maximum value of coefficient of risk in the amount of 1250 percent is applied.

4.2. In cases when the conditions given in subitem 4.1.1 of this Item are not satisfied mandatory approach is applied.

4.2.1. According to mandatory approach the bank calculates credit risk on investments in funds which constitute the investment declaration of fund:

investment funds - according to requirements of article 35 of the Federal Law of November 29, 2001 No. 156-FZ "About investment funds" (The Russian Federation Code, 2001, No. 49, Art. 4562; 2004, No. 27, Art. 2711; 2006, No. 17, Art. 1780; 2007, No. 50, Art. 6247; 2008, No. 30, Art. 3616; 2009, No. 48, Art. 5731; 2010, No. 17, Art. 1988; No. 31, Art. 4193; 2011, No. 48, Art. 6728; No. 49, Art. 7040, Art. 7061; 2012, No. 31, Art. 4334; 2013, No. 26, Art. 3207; No. 27, Art. 3477; No. 30, Art. 4084; No. 51, Art. 6695, Art. 6699; 2014, No. 11, Art. 1098; 2015, No. 27, Art. 4001; No. 29, Art. 4357; 2016, No. 1, Art. 47; No. 23, Art. 3301; No. 27, Art. 4225, Art. 4294; 2017, No. 18, Art. 2661);

the funds located outside the territory of the Russian Federation - according to the legislation regulating activities of data of funds.

The risk on investments in funds according to mandatory approach is calculated as the amount of the following two indicators:

1) asset costs of fund, weighed on risk level which is determined proceeding from the greatest possible size of investments, the admissible investment declaration of fund, in assets with the greatest coefficient of risk. If to asset it can be applied more than one coefficient of risk, is used the maximum coefficient provided by subitem 2.1.1 of Item 2.1 and Item 2.3 of this Instruction and appendices 1 and 3 to this Instruction;

2) costs of the agreements which are PFI on which risk is calculated according to appendix 3 to this Instruction with observance of the following conditions:

if the basic asset is unknown, for calculation nominal value of PFI is used;

if nominal value of PFI is unknown, it is estimated with use of the maximum nominal value of PFI, admissible according to the investment declaration;

in cases when the replacement cost is unknown, nominal value of PFI is used;

in cases when for the purpose of calculation of potential risk there is no possibility of determination of coefficient according to the table provided in Item 5 of appendix 3 to this Instruction the coefficient of 15 percent is applied.

4.2.2. The size of credit risk on investments in fund in case of application of mandatory approach is calculated by formula:

where:

Kpi - the coefficient of risk of i-go of asset determined according to subitem 4.2 of this Item;

AFI - i-y the asset of fund determined according to subitem 4.2 of this Item taking into account requirements to structure of assets of fund, proceeding from the greatest possible size of the investments established by the investment declaration according to the Instruction of the Bank of Russia of September 5, 2016 No. 4129-U "About structure and structure of assets of joint-stock investment funds and assets of mutual investment funds", the registered Ministry of Justice of the Russian Federation on November 15, 2016 No. 44339, on May 11, 2017 No. 46679, for the fund located outside the territory of the Russian Federation - according to the legislation regulating activities of data of funds;

Р - the size of the reserves on possible losses created according to subitems 2.6 and 2.7 of Item 2 of the Provision of the Bank of Russia No. 283-P concerning investments in fund. The bank has the right to accept (to review not more often than once a year) the decision on use when calculating risk for investments in funds for mandatory approach of size of risk or minus the total amount of the created reserve on possible losses concerning investments in fund (on the formula given in this subitem), or to make calculation for the formula given in subitem 4.1.2 of this Item minus the created reserve is pro rata to each asset of fund with use of measure values of AFI and Kpi determined in this subitem;

КРСФмп - the size of credit risk according to transactions of fund with PFI calculated by the technique established in appendix 3 to this Instruction. For the purpose of determination КРСФмп according to transactions with PFI the size subject to risk is multiplied by coefficient of 1,5 and weighed on risk coefficient depending on the partner according to Item 2.3 of this Instruction. At the same time the risk coefficients established concerning the balance sheet assets placed with the corresponding partner are applied. The coefficient of 1,5 is not applied if the bargain is concluded with the credit institution performing functions of the central partner and corresponding to conditions of code 8846 of appendix 1 to this Instruction;

FR - the financial leverage calculated according to subitem 4.1.2 of this Item;

Afmp - the cumulative size of assets of fund, including transactions with PFI, according to the reports specified in paragraph five of this subitem.

If measure value ((SUM Kpi (AFI) + КРСФмп) - P) / Afmp after multiplication by FR constitutes the size exceeding 1250 percent when calculating size of risk of investments in this fund the maximum value of coefficient of risk in the amount of 1250 percent is applied.

4.3. Reserve approach is applied in cases when the conditions given in subitems 4.1.1 and 4.2.1 of this Item are not satisfied.

Investments in funds in case of which risk assessment reserve approach is applied are weighed on coefficient of risk of 1250 percent.

Calculation of size of credit risk joins investments in funds minus the reserve on possible losses created according to subitem 2.6 of Item 2 of the Provision of the Bank of Russia No. 283-P.

4.4. In case of risk assessment of investments in one fund the bank can use combination of three approaches regarding investments concerning which the conditions given in subitems 4.1 are satisfied. 1, 4.2.1 and 4.3 presents of Item.

5. If the bank performs investments in fund (further - the fund 1) which invested means in other fund, in fund 1 can be applied to risk assessment of investments one of three approaches given in subitems 4. 1, 4.2 and 4.3 items 4 of this appendix. On the investments made by fund 1 in other funds it is necessary to apply reserve approach to assessment of credit risk.

Disclaimer! This text was translated by AI translator and is not a valid juridical document. No warranty. No claim. More info