INSTRUCTION OF CENTRAL BANK OF THE RUSSIAN FEDERATION

of December 6, 2017 No. 4635-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 of the Federal Law 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. 27, Art. 3950; 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; №31, of 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 November 27, 2017 No. 30) 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, on November 30, 2017 No. 49055, the following changes.

1.1. Item 1.1 in paragraph one after the word of "banks" to add with the words "with the universal license", to replace the words "obligatory standard rates" with the word "banks".

1.2. "Obligatory standard rates for" to add Item 1.2 after words with words "banks with the basic license,".

1.3. The paragraph one of Item 1.3 after the words "Obligatory Standard Rates" to add with words "banks (further - obligatory standard rates)".

1.4. In paragraph one of Item 1.5 of the word "and appendices 7" shall be replaced with words ", appendices 7, 10".

1.5. In the name of Chapter 2 of the word "and standard rate of sufficiency of own means (capital) of bank" shall be replaced with words ", the standard rate of sufficiency of own means (capital) of bank and the standard rate of sufficiency of own means (capital) of bank taking into account weighing of assets on risk level of 100 percent".

1.6. In Item 2.1:

the paragraph one after the words "Capital Adequacy Ratios of Bank" to add with words ", except for the standard rate of sufficiency of own means (capital) of bank taking into account weighing of assets on risk level of 100 percent (further - the standard rate of financial leverage (H1.4),";

in subitem 2.1.1:

paragraph two after words" + code 8772" to add with words "+ code 8784";

the twelfth after figures "8767," to add the paragraph with figures "8783,";

the fifteenth after figures "40165" to add the paragraph with words "(further - the Provision of the Bank of Russia No. 372-P)";

add with subitem 2.1.2 of the following content:

"2.1.2. The standard rate of financial leverage (H1.4) is calculated as the relation of the size of fixed capital of bank determined by the technique provided by the Provision of the Bank of Russia No. 395-P to the amount:

the balance sheet assets weighed on the level of credit risk of 100 percent;

credit risk on contingent obligations of credit nature;

credit risk on transactions from PFI calculated according to appendix 10 to this Instruction;

credit risk according to transactions of purchase and sale of securities without derecognition with the obligation of the return sale (purchase) of securities and on transactions of loan of securities (further - crediting by securities).

The standard rate of financial leverage (H1.4) is calculated by formula:

where:

K2 - the size of fixed capital of bank determined according to the technique provided by the Provision of the Bank of Russia No. 395-P;

Arfr - the size of the balance sheet assets of bank reflected in balance sheet accounts of financial accounting (less the indicators accepted in reduction of size of sources of fixed capital (for the purpose of calculation of the standard rate of financial leverage (H1.4), and also the created reserves on possible losses and (or) reserves on possible losses according to loans, the loan and equated to it debt), 100 percent weighed on risk level (code 8773 less codes 8774, 8775);

КРВфр - the size of credit risk on contingent obligations of credit nature for the purpose of calculation of the standard rate of financial leverage (H1.4) taking into account application of coefficients of credit equivalent (code 8780);

КРСфр - the size of credit risk on PFI for the purpose of calculation of the standard rate of financial leverage (H1.4) calculated according to appendix 10 to this Instruction (code 8776);

РКЦБфр - the size of credit risk according to transactions of crediting by securities (the amount of codes 8777, 8779 less code 8778).".

1.7. Add Item 2.2 with the paragraph of the following content:

"Minimum admissible numerical value of the standard rate of financial leverage (H1.4) is established in the amount of 3 percent.".

1.8. In Item 2.3:

the paragraph one after words of "capital adequacy ratios" to add with words ", except for the standard rate of financial leverage (H1.4),";

paragraph the fourth subitem 2.3.4. 1, paragraph the fourth subitem 2.3.4. The paragraph the fourth subitem 2.3.4.3 after figures "8771," to add 2, with figures "8783,";

in the paragraph the second the subitem 2.3.8 figures "61702, 61703, 60302, 60310, 60336" to replace with figures "60302, 60310, 60336, 60414, 60903, 61702, 61703, 61909, 61910";

third subitem 2.3.23 to state the paragraph in the following edition:

"When calculating ratio of size of principal debt for the loan to fair value of subject of pledge of mortgage loans on which the initial contribution of the borrower for the acquired real estate acting as pledge according to the loan is performed by the borrower at the expense of own means and constitutes more than 20 percent from fair value of subject of pledge, the size of principal debt according to the loan decreases by the size of insurance sum according to the insurance contract of responsibility of the borrower who is the pledger under the agreement on mortgage, or according to the insurance contract of financial risk of creditor bank signed according to items 4 and the 5th article 31 of the Federal law "About Mortgage (Pledge of the Real Estate)" based on the standard rules of insurance approved by the standard of the self-regulatory organization combining insurance companies in case of the conclusion of the specified insurance contracts with insurance company having credit rating ruAA +" on national rating scale for the Russian Federation is not lower "than JSC Expert RA or "AA+(RU)" on national rating scale for the Russian Federation of the ACRE (autonomous area), or on part of insurance sum if the insurance contract is signed with the insurance company having credit rating "ruAA" on national rating scale for the Russian Federation is not lower than JSC Expert RA or "AA(RU)" on national rating scale for the Russian Federation of the ACRE (autonomous area), corresponding to the size of the insurance indemnity of the insurance (reinsurance) organization having credit rating transferred to risk reinsurance of payment ruAA +" on national rating scale for the Russian Federation is not lower "than JSC Expert RA or "AA+(RU)" on national rating scale for the Russian Federation of the ACRE (autonomous area), on condition of transfer of such insurance (reinsurance) organization at least 70 percent of risk.".

1.9. Add Item 3.1 with words ", except for the standard rate of financial leverage (H1.4)";

1.10. State Item 11.5 in the following edition:

"11.5. Banks perfrom calculation of the obligatory standard rates and allowances established by this Instruction, as a percentage with one and three signs after comma respectively (rounding to one (three) sign (signs) after comma is performed by mathematical rules).".

1.11. In appendix 1:

to add the column of 1 line of code 8736 with the paragraph of the following content:

"Calculation of this code does not join the credit requirements and requirements for receipt of the added (cumulative) percent on the loans allowed physical persons on acquisition of premises meeting requirements of code 8783";

in the column of 1 line of code 8740:

the first and tenth after words "to subjects small" to add paragraphs with the words "and average";

in paragraph four of the word "does not exceed 60 million rubles and constitutes no more 0,5 of percent from the size of own means (capital) of bank" shall be replaced with words "does not exceed at the same time: 60 million rubles and the extreme most admissible value percentage of the size of own means (capital) of credit institution established by Chapter 5 of the Provision of the Bank of Russia No. 590-P for the purpose of forming of reserve on portfolio of homogeneous loans";

after line of code 8772 to add with lines of the following content:

 

The size of balance sheet assets of bank according to the line "Total on Asset (Balance)" of the Section A of form of the reporting 0409101 "The turnover sheet on accounts of financial accounting of the credit institution" established by the Instruction of the Bank of Russia No. 4212-U less: the created reserves on possible losses and (or) reserves on possible losses according to loans, the loan and equated to it debt; remaining balance (their parts) on balance sheet accounts 10601, 10605, 10610, 10620, 10623, 10625, 10901, 11101, 30202, 30204, 30208, 30210, 30211, 30228, 30235, 30238, 30302, 30304, 30306, 40109, 40111, 50905, 52601, 60414, 60805, 61401, 61403, 61909, 61910, 70606-70611, 70614, 70616, 70706-70711, 70714, 70716, 70802; the sum of means calculated for codes 8732, 8893.2, 8936, 8947; the amounts of the requirements included in calculation of code 8777, at book value, without deduction of the created reserves. Securities on which revaluation according to the procedure is performed provided by the Provision of the Bank of Russia No. 579-P, join in calculation of this code taking into account the amount of negative and positive differences on revaluation	8773	H1.4 (Arfr)
The size of the balance sheet assets received by bank for the purpose of transfer to the third party (third parties) - to the final receiver (final receivers) and transferred to this third party (third parties) according to the transactions specified in subitem 2.3.28 of Item 2.3 of this Instruction if these assets meet criteria of derecognition of financial assets, the established International accounting standard (IAS) 39 "Financial instruments: recognition and assessment", the order of the Ministry of Finance of the Russian Federation enacted in the territory of the Russian Federation of December 28, 2015 No. 217n "About introduction of International accounting standards and Explanations of International accounting standards in action in the territory of the Russian Federation and about recognition No. which voided some orders (separate provisions of orders) of the Ministry of Finance of the Russian Federation", the registered Ministry of Justice of the Russian Federation on February 2, 2016 40940, on August 1, 2016 No. 43044, with the amendments enacted in the territory of the Russian Federation by the order of the Ministry of Finance of the Russian Federation of June 27, 2016 No. 98n "About introduction of documents of International accounting standards in action in the territory of the Russian Federation and about recognition voided some orders of the Ministry of Finance of the Russian Federation", the registered Ministry of Justice of the Russian Federation on July 15, 2016 No. 42869, at book value (without deduction of the created reserves)	8774	H1.4 (Arfr)
The indicators reducing the amount of sources of fixed capital of parts, corresponding to subitems 2.2.1-2.2. 6, 2.2.9, 2.2.10, 2.4.1-2.4.5 of Item 2 of the Provision of the Bank of Russia No. 395-P, to subitems 2.1-2.6 of Item 2 appendices to the Provision of the Bank of Russia No. 395-P, and also reserve (reserves), actually nedosozdanny (nedosozdanny) bank in the size determined according to subitem 2.1.7 of Item 2 of the Provision of the Bank of Russia No. 395-P	8775	H1.4 (Arfr)
The size of credit risk on PFI for the purpose of calculation of the standard rate of financial leverage (H1.4) calculated according to appendix 10 to this Instruction	8776	КРСфр
The size of requirements for transactions of crediting by securities (less the created reserves on possible losses or reserves on possible losses according to loans, the loan and equated to it debt), including: requirements to the partner on return of money (the account (their part) 322(A), 323(A), 324(A), 32902, 45410, 45510, 45709, 458(A), 460 (A) - 473(A); requirements for return of securities (the account (their part) 322(A), 323 (A), 324 (A), 460 (A) - 473(A), 458 (A), 50118, (50121 - 50120), 50218, (50221 - 50220), 50318, 50618, (50621 - 50620), 50718, (50721 - 50720), 91419). This code does not join the cost of the securities received from the partner. Transactions on warranty loan operations securities under the agreements signed according to the right of foreign state, regulations of the international treaty or business customs when the bank, without being the party of the transaction, guarantees to one of the parties of the transaction its execution by other party only regarding excess of obligations of the second party over requirements of the first party join in this code in accordance with the terms of code 8779	8777	H1.4 (РКЦБфр)
The amount of the sizes which are subject to netting calculated under each agreement included in the agreement on netting, meeting requirements of subitem 2.6.1 of Item 2.6 of this Instruction. The size which is subject to netting when calculating this code is understood as the total amount of obligations on return of money for which the total amount of requirements for return of money besides to the partner is subject to reduction when implementing payment under transactions of crediting by securities within the agreement on netting on loan operations securities, without the created reserves and the costs of the securities acquired and (or) transferred according to these transactions. If on reporting date according to the free standing agreement about netting on loan operations securities the total amount of obligations on return of money exceeds the total amount of requirements for return of money, calculation of code joins the total amount of requirements	8778	H1.4 (РКЦБфр)
The size of credit risk on the partner according to transactions of crediting by securities (Е * + Ei *) determined without the size of the created reserves in the following procedure: according to the transactions made within the agreement on netting on loan operations by securities - by each agreement on formula: where:  - the amount of requirements to the partner on return of money and cost of the securities (requirements for return of securities) transferred to the partner;  - the amount of obligations on return of money to the partner and cost of the securities received from the partner; according to the transactions made out of the agreement on netting on loan operations by securities - by each i-y of the transaction on formula: where: Ei - the requirement to the partner on return of money or the cost of the securities (the requirement for return of securities) transferred to the partner; Ci - the obligation on return of money to the partner or the cost of the securities received from the partner. The credit risk on the partner according to transactions of crediting by securities on which revaluation according to the procedure is performed provided by the Provision of the Bank of Russia No. 579-P, is determined taking into account the amount of negative and positive differences by revaluation	8779	H1.4 (РКЦБфр)
The size of credit risk on contingent obligations of credit nature for the purpose of calculation of the standard rate of financial leverage (H1.4) calculated according to Items 1-9 of appendix 2 to this Instruction	8780	H1.4 (КРВфр)
Credit requirements and requirements for receipt of the added (cumulative) percent on the mortgage loans allowed physical persons in rubles after January 1, 2018 on acquisition of premises according to which obligation fulfillment of the borrower is provided with pledge of premises (accounts (their part) No. No. 455, of 457, of 458, of 459, of 47427, of 47801), join in calculation of this code under condition if the ratio of size of principal debt according to the loan to fair value of subject of pledge for date of issue of the loan constitutes more than 90 percent. Calculation of ratio of size of principal debt for the loan to fair value of subject of pledge is perfromed without requirements of subitem 2.3.23 of Item 2.3 of this Instruction	8783	H1.1 (A), H1.2 (A), H1.0(A)
The amount of credit requirements and requirements for receipt of the added (cumulative) percent on the loans allowed physical persons in rubles after January 1, 2018 on acquisition of premises on which obligation fulfillment of the borrower is provided with pledge of premises, in case of observance of the condition specified in line of code 8783, increased by coefficient 3	8784	H1.1 (A), H1.2 (A), H1.0(A)

in the column of 1 line of codes 8813.1, 8813. 2, 8813.0:

the fourth after the words "on acquisition" to add the paragraph with words "share, shares and others";

add with the paragraph of the following content:

"on the credits and loans granted legal entities within realization of the mechanism of project financing based on Vnesheconombank";

column of 1 line of codes 8833.1, 8833. 8833.0 to state 2, in the following edition:

"Credit requirements and requirements for receipt of the added (cumulative) percent to physical persons in rubles (accounts (their part) No. No. 455A, 457A, 45815, 45817, 45915, 45917, 47427, 478A):

a) according to loans size on date of issue and (or) settlement date of standard rates 50 million rubles and more without providing specified in Item 6.2 of the Provision of the Bank of Russia No. 590-P;

b) on mortgage loans size on date of issue and (or) settlement date of standard rates 50 million rubles and more, issued till January 1, 2018, and on the mortgage loans (regardless of the amount) issued later January 1, 2018 in case of simultaneous observance of the following conditions:

the initial contribution of the borrower for the acquired real estate acting as pledge according to the loan is performed by the borrower at the expense of own means and constitutes less than 20 percent from fair value of subject of pledge;

the ratio of size of principal debt according to the loan to fair value of subject of pledge constitutes more than 80 percent for settlement date of standard rates. Calculation of ratio of size of principal debt for the loan to fair value of subject of pledge is perfromed without requirements of subitem 2.3.23 of Item 2.3 of this Instruction;

c) according to the loans issued after January 1, 2018 for financing under the agreement of equity in construction on which the initial contribution of the borrower at the expense of own means constitutes less than 20 percent.

Calculation of these codes does not join credit requirements which meet requirements of codes 8736, 8783";

in paragraph one of the column of 1 line of code 8848 the word of "means" to replace with the word of "assets", after words of "clearing providing" to add with words ", expected to obtaining in the form allowing to carry them to highly liquid and (or) liquid" after figures "8911" to add with words ", and also considered by codes 8895 and 8972";

the fourth columns of 1 line of code 8858, the paragraph the fourth columns of 1 line of code 8858.x after the word of "codes" to add the paragraph with figures "8762";

in lines of codes 8863, 8863.x:

to add paragraph two of column 1 with words ", and also code 8767 and on which PSK constitutes more than 20 annual interest rates and does not exceed 25 annual interest rates";

state column 3 in the following edition: "H1.1 (A), H1.2 (A), H1.0 (A)";

3 lines of code 8863.2 to state the column in the following edition: "H1.1 (A), H1.2 (A), H1.0 (A)";

paragraph the fourth columns of 1 line of codes 8956.1, 8956. 2, 8956.0 after figures "8753.0," to add with figures "8764, 8765, 8766, 8767,".

1.12. In appendix 2:

in Item 1:

the paragraph one after the words "and also" to add with words "for the purpose of calculation of standard rates of H1.1, H1.2 and H1.0 -";

the paragraph the fifth after words "this obligation, and" to add with words "for the purpose of calculation of standard rates of H1.1, H1.2 and H1.0 -";

the fifth Item 2 to add the paragraph with words ", for the purpose of calculation of the standard rate of financial leverage (H1.4) - 0,1";

to add Item 9 paragraph two after words of "capital adequacy ratios of bank" with words ", except for calculation of the standard rate of financial leverage (H1.4)".

1.13. Add with appendix 10 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 December 6, 2017 No. 4635-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 10

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 PFI for the purpose of calculation of the standard rate of financial leverage

1. According to this appendix assessment of credit risk is performed for the purpose of calculation of the standard rate of financial leverage of H1.4 for the agreements signed in the exchange and off-exchange markets which are PFI according to subitem 2.1.1 of Item 2.1 of this Instruction including the agreements signed for a period of up to three working days and agreements which conditions do not provide delivery of basic asset.

The size of credit risk on PFI does not join the amount of settlings of participating bank of clearing with the central partner, to the corresponding conditions of code 8846, regarding execution of transactions of clients, namely the amount of the requirements of bank to the central partner which arose within implementation of broker activities for the conclusion of the agreements which are PFI according to the Federal Law "About the Security Market" if according to the signed contracts with clients the bank has before them no obligations on compensation of damage in case of bankruptcy of such central partner.

2. The credit risk on PFI (indicator КРСфр) is calculated by formula:

                                               КРСфр = VTKR+VPKR+ VKRB,

where:

VTKR - the current credit risk (replacement cost of the financial instrument) reflecting on reporting date the size of losses in case of non-execution by the partner of the obligations;

VPKR - potential credit risk (risk of non-execution by the partner of the obligations during term from reporting date before value date in connection with adverse change in value of basic asset);

VKRB - credit risk concerning basic asset on the issued credit PFI.

3. The size of the current credit risk is determined by PFI (VTKR indicator) taking into account the following.

The current credit risk on PFI which meet requirements of Items 1 and 3 of article 4.1 of the Federal law "About Insolvency (Bankruptcy)" (the agreement on netting on PFI) is equal to excess of the amount of fair values of all PFI representing asset over the amount of fair values of all PFI representing the obligation (difference between remaining balance on balance sheet accounts No. 52601 and No. 52602).

The current credit risk on PFI which are not included in the agreement on netting on PFI is equal to the size of fair value of PFI representing asset (the balance sheet account No. 52601). On the sold options not included in the agreement on netting, the current credit risk is not calculated.

When calculating the current credit risk for PFI the providing amounts on PFI specified in Item 6.1 of the Provision of the Bank of Russia No. 372-P, and also the amount of other irretrievable payments and the paid variation margin are not considered.

The received variation margin is accepted in reduction of the current credit risk on PFI included in the agreement on netting on PFI if the following conditions are at the same time satisfied:

there are no restrictions for use of the received variation margin according to the transactions which are not subject to clearing by person, performing functions of the central partner, to the corresponding conditions of code 8846, and also person recognized as the skilled central partner according to the rules established in foreign jurisdiction;

according to the agreement (contract) between the parties the variation margin is calculated and paid daily in full;

the variation margin is paid in one of the currencies established in the agreement (contract) between the parties as settlement currencies.

4. The size of potential credit risk is determined by PFI (VPKR indicator) taking into account the following.

The potential credit risk on PFI which are not included in the agreement on netting on PFI is calculated by multiplication of nominal contractual value of PFI by the coefficients differentiated depending on type of the basic asset and term which remained from reporting date before value date.

Coefficients are determined according to the following table.

Number of payment order	Term before value date	Percentage transactions	Gold and exchange transactions	Transactions with equity securities	Transactions with precious metals (except gold)	Other commodity transactions
1	2	3	4	5	6	7
1	Less than 1 year	% 0,0	% 1,0	% 6,0	% 7,0	% 10,0
2	From 1 year to 5 years	% 0,5	% 5,0	% 8,0	% 7,0	% 12,0
3	Over 5 years	% 1,5	% 7,5	% 10,0	% 8,0	% 15,0

To cross-currencies interest rate swaps coefficients are applied to gold and exchange transactions.

For the transactions providing several exchanges of basic assets, the amount of potential losses increases multiply to the number of the remained exchanges of basic assets.

The size of potential risk is not calculated to pay for the sold options, and also interest rate swaps (except for cross-currencies interest rate swaps) providing obligation of each of the parties to other party the cash amounts in common currency calculated proceeding from two different floating interest rates charged on the amount of basic asset.

According to transactions which conditions are reviewed for in advance determined dates the period which remained before the following date of review is accepted to term before value date.

To credit PFI which are understood as the PFI according to the Federal Law "About the Security Market" or PFI recognized by those according to the right of foreign state, regulations of the international treaty or business customs, providing obligation of the Parties or agreement parties periodically or to one-timely pay sums of money depending on approach of the circumstance testimonial of non-execution or improper execution by one or several legal entities, the states or municipalities of the obligations (except for the guarantee agreement and the insurance contract), the coefficient of 5 percent is applied if the basic asset satisfies to one of the following criteria (further - qualification criterions):

is the debt security issued by international bank of development or executive body of any level;

is the debt security having one of the following ratings:

the current ratings of long-term creditworthness according to obligations in foreign currency or rubles appropriated by at least two of foreign credit rating agencies at the level not below "VVV" on the international rating scale "to Es - энд - Pi Global Reytinggs" (S&P Global Ratings) or "Reytinggs's Fitch" (Fitch Ratings) or "Vaa" on the international rating scale "Mudis Investors Service" (Moody "s Investors Service);

the current score of long-term creditworthness assigned by one foreign credit rating agency at the level established by this Item and score of appropriate level assigned by the Russian credit rating agency.

The coefficient of 10 percent is applied to credit PFI which basic asset does not meet qualification criterions.

The coefficient of 5 percent only is applied to credit PFI with several basic assets in case all basic assets meet qualification criterions. The coefficient of 10 percent is otherwise applied.

To transactions with the basic assets which are not stated above coefficients are applied to other commodity transactions.

The nominal contractual value of PFI is understood as the cost of PFI at which they are reflected in the corresponding off-balance accounts for settlement date of the standard rate. At the same time that currency on which at bank requirements are created is accepted to the nominal contractual value of dual currency transactions.

The nominal contractual value of settlement currency forwards and settlement PFI in which the amounts of requirements and obligations of the parties of the transaction are equivalent to the amount of cash flows, is understood as the net amount of cash flows in each currency which is subject to obtaining in each value date.

The nominal contractual value of other settlement PFI is determined by analogy with the agreement (transaction) providing (providing) delivery of basic asset.

The size of potential risk on PFI included in the agreement on netting on PFI (VPRK indicator) is determined by formula:

                          VPRK = 0,4 x VPRV + 0,6 x to x VPRV,

where:

VPRV - the size of potential risk on the same tools calculated without the agreement on netting on PFI;

k - the coefficient determined as the replacement cost relation by PFI included in the agreement on netting on PFI (TsZv) to replacement cost on PFI included in the agreement on netting on PFI without this agreement (TsZ):

The received variation margin is not accepted in reduction of potential risk and does not join in calculation of sizes TsZv and TsZ.

If size TsZv is less than zero, the coefficient of "k" is recognized equal to zero.

5. The credit risk concerning basic asset on the issued credit PFI (VKRB indicator) is calculated as the cumulative amount of monetary commitments of the bank which issued credit PFI, concerning basic assets of these credit PFI (further - the sold credit protection), less negative fair value of these credit PFI which is taken into consideration of fixed capital according to subitems 2.1. 7, 2.1.8, 2.2.7, 2.2.8 of Item 2 of the Provision of the Bank of Russia No. 395-P (based on remaining balance on these credit PFI on the balance sheet account No. 52602 as of reporting date if the loss of the current year calculated according to subitem 2.2.8 of Item 2.2 of the Provision of the Bank of Russia No. 395-P is more than zero as of reporting date, or as of date of the previous audit if the loss of the current year as of reporting date is equal to zero).

On credit PFI for which the amount of the size determined in compliance by paragraphs third - the fifth this Item, and the size of the deduction determined in paragraph one of this Item is less than the size of potential credit risk on these credit PFI the amount of the sold credit protection can be in addition reduced by difference of these sizes.

The amount of the sold credit protection decreases by the amount of the credit protection purchased by bank concerning debt obligations of the same person, as basic assets of the issued credit PFI, in case of simultaneous accomplishment of the following conditions:

the priority of the obligation fulfillment which is basic asset of the credit PFI purchased by bank, below or is equal to priority of the obligation fulfillment which is basic asset of the credit PFI sold by bank;

remaining period before repayment of the purchased credit protection is equal to remaining period before repayment of the sold credit protection or it is more than it.".

 

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