The Central Bank of Russia has updated the rules for calculating the capital adequacy ratio for professional securities market participants, aiming to reduce financial stability risks through changes to credit and market risk calculations. The revised ordinance changes how a broker calculates credit risk to a client whose risk coverage in margin transactions is below the required ratio, including a restriction that securities issued by the debtor or assets of companies affiliated with the debtor may not be accepted as collateral. It also allows the use of ratings to reduce credit risk rates for the debt of companies related to a broker, subject to an assessment of the debtor’s standalone creditworthiness confirming financial resilience. The update introduces a method for calculating risks associated with digital rights acquired and issued by a professional market participant, permits an alternative calculation of market risk for option contracts similar to the approach used for credit institutions, adds measures intended to discourage large open foreign currency positions, and simplifies the rules for setting credit risk rates for counterparties and clients. The ordinance takes effect on 1 October 2025.
Central Bank of Russia 2025-02-05
Central Bank of Russia revises capital adequacy ratio calculation for securities market participants with tighter margin collateral and FX risk measures
The Central Bank of Russia revised capital adequacy ratio rules for securities market participants to mitigate financial stability risks. Changes include adjustments to credit and market risk calculations, restrictions on collateral acceptance, and new methods for assessing digital rights and option contracts. The ordinance discourages large open foreign currency positions and simplifies credit risk rate rules for counterparties and clients.