BANK OF RUSSIA ORDINANCE 3090-U OF OCTOBER 25, 2013

Transcription

1 BANK OF RUSSIA ORDINANCE 3090-U OF OCTOBER 25, 2013 ON THE CALCULATION OF THE EQUITY (CAPITAL), REQUIRED RATIOS, AND SIZES (LIMITS) OF OPEN CURRENCY POSITIONS OF BANKING GROUPS This Ordinance is based on Federal Law 86-FZ, dated 10 July 2002, On the Central Bank of the Russian Federation (Bank of Russia) (Collection of Laws of the Russian Federation, 2002, 28, Art. 2790; 2003, 2, Art. 157; 52, Art. 5032; 2004, 27, Art. 2711; 31,Art. 3233; 2005, 25, Art. 2426; 30, Art. 3101; 2006, 19, Art. 2061; 25,Art. 2648; 2007, 1, Art. 9, Art. 10; 10, Art. 1151; 18, Art. 2117; 2008, 42, Art. 4696, Art. 4699; 44, Art. 4982; 52, Art. 6229, Art. 6231; 2009, 1, Art. 25; 29, Art. 3629; 48, Art. 5731; 2010, 45, Art. 5756; 2011, 7, Art. 907; 27, Art. 3873; 43, Art. 5973; 48, Art. 6728; 2012, 50, Art. 6954; 53, Art. 7591, Art. 7607; 2013, 11, Art. 1076; 14, Art. 1649; Art. 2329; 27, Art. 3438, Art. 3476, Art. 3477; 30, Art. 4084) and the Federal Law On Banks and Banking Activities (in the version of Federal Law 17-FZ, dated 3 February 1996) (Bulletin of the Congress of People's Deputies of the RSFSR and the Supreme Soviet of the RSFSR, 1990, 27, Art. 357; Collected Laws of the Russian Federation, 1996, 6, Art. 492; 1998, 31, Art. 3829; 1999, 28, Art. 3459, Art. 3469; 2001, 26, Art. 2586; 33, Art. 3424; 2002, 12, Art. 1093; 2003, 27, Art. 2700; 50, Art. 4855; 52, Art. Art. 5037; 2004, 27, Art. 2711; 31, Art. 3233; 2005, 1, Art. 18, Art. 45; 30, Art. 3117; 2006, 6, Art. 636; 19, Art. 2061; 31, Art. 3439; 52, Art. 5497; 2007, 1, Art. 9; 22, Art. 2563; 31, Art. 4011; 41, Art. 4845; 45, Art. 5425; 50, Art. 6238; 2008, 10, Art. 895; 15, Art. 1447; 2009; 1, Art. 23; 9, Art. 1043; 18, Art. 2153; 23, Art. 2776; 30, Art.

2 2 48, Art. 5731; 52, Art. 6428; 2010, 8, Art. 775; 19, Art. 2291; 27, Art. 3432; 30, Art. 4012; 31, Art. 4193; 47, Art. 6028; 2011, 7, Art. 905; 27, Art. 3873, Art. 3880; 29, Art. 4291; 48, Art. 6728, Art. 6730; 49, Art. 7069; 50, Art. 7351; 2012, 27, Art. 3588; 31, Art. 4333; 50, Art. 6954; 53, Art. 7605, Art. 7607; 2013, 11, Art. 1076; 19, Art. 2317, Art. 2329; 26, Art. 3207; 27, Art. 3438, Art. 3477; 30, Art. 4084; 40, Art. 5036) and in conformity with the decision of the Bank of Russia Board of Directors (minutes of a meeting of the Bank of Russia Board of Directors 23 of 25 October 2013), stipulates the way in which banking groups are required to calculate their total capital, compulsory ratios, and amounts (limits) of their open currency positions, and numeric values for compulsory ratios and amounts (limits) of open currency positions in order to secure the credit institutions financial sustainability. Chapter 1. General provisions 1.1. The total capital, compulsory ratios and amounts (limits) of open currency positions of the banking group are calculated by the parent credit institutions of the banking group Such calculation of the banking group s total capital, its compulsory ratios and amounts (limits) of open currency positions uses such data as are reported by the parent credit institution and by the members of the banking group engaged in financial intermediation, activities supportive of financial intermediation, real estate transactions, activities involving the use of computing and information technology (where such activities are undertaken to support the activities of the parent credit institution of the banking group and (or) members of the banking group), other services (where these are provided to support the activities of the parent credit institution of the banking group and (or) members of the banking group), and such data as are reported by members of the banking group that are structured entities set up to implement separate financial

3 3 transactions (e.g., securitisation of assets held by the parent credit institution of the banking group and (or) members of the banking group), and (or) non-financial transactions (e.g., those involving real estate). The concept of structured entities is used in the meaning defined by International Financial Reporting Standard (hereinafter, IFRS) 12 Disclosure of Interests in Other Entities, which was enacted in the Russian Federation by Order of the Ministry of Finance of the Russian Federation 106n of 18 July 2012, On Enacting and Terminating International Financial Reporting Standards in the Russian Federation, registered by the Ministry of Justice of the Russian Federation on 3 August (Rossiyskaya Gazeta of 15 August 2012) (hereinafter, Order 106n of the Ministry of Finance of the Russian Federation) and amended by Orders of the Ministry of Finance of the Russian Federation 143n of 31 October 2012, On Enacting International Financial Reporting Standards in the Russian Federation, registered by the Ministry of Justice of the Russian Federation on 12 December 2012, (Rossiyskaya Gazeta of 21 December 2012) (hereinafter, Order 143n of the Ministry of Finance of the Russian Federation), 50n of 7 May 2013, On Enacting International Financial Reporting Standards in the Russian Federation, registered by the Ministry of Justice of the Russian Federation on 14 June 2013, (Rossiyskaya Gazeta of 12 July 2013) (hereinafter, Order 50n of the Ministry of Finance of the Russian Federation) The data reported by members of the banking group that are referred to in item 1.2 hereof are not included in the calculation of the banking group s total capital, compulsory ratios, and amounts (limits) of open currency positions provided that: they are registered as legal entities in a foreign country which imposes legal restrictions on the provision of such information to the parent credit institution of the banking group as is needed to calculate the total capital, compulsory ratios, and amounts (limits) of open foreign currency positions, or

4 4 the parent credit institution of the banking group recognises the data reported by a member of the banking group for the purpose of calculating the banking group s total capital as immaterial based on the materiality criteria defined in an internal document of the banking group that it has developed. In determining such materiality criteria, the parent credit institution of the banking group, guided by the IFRS, assesses the impact of not including the data reported by one or more members of the banking group, individually and (or) in aggregate, on individual elements of the total capital or on the numeric values of the compulsory ratios and amounts (limits) of open currency positions of the banking group, or on the calculation elements thereof. Members of the banking group whose reporting data are not included in the calculation of the banking group s total capital, compulsory ratios and amounts (limits) of open currency positions are hereinafter referred to as unconsolidated members of the banking group The calculation of the banking group's total capital, compulsory ratios and amounts (limits) of open currency positions includes the reporting data of the parent credit institution of the banking group and the reporting data of members of the banking group included in individual reports that are compiled: by credit institutions in accordance with the Bank of Russia Ordinance 2332-U of 12 November 2009, On the Reporting Forms and the Procedure for Presenting them by Credit Institutions to the Central Bank of the Russian Federation, registered by the Ministry of Justice of the Russian Federation on 16 December , 18 June , 22 December , 20 June , 16 December , 10 July , 20 September , 20 December , 29 March , 14 June (Bank of Russia Bulletin of 25 December , of 25 June , of 28 December , of 28 June , of 23 December , of 19 July , of 26 September , of 27 December , of 30 March , of 25 June ) (hereinafter Bank of Russia Ordinance 2332-U);

5 5 by non-credit institutions in accordance with Order of the Ministry of Finance of the Russian Federation 66n of 2 July 2010 On the Accounting Forms of Organisations, registered by the Ministry of Justice of the Russian Federation on 2 August , 13 December , 4 October , 29 December (Bulletin of Regulations of the Federal Executive Bodies, 2010, 35; Rossiyskaya Gazeta of 26 December 2011, 17 October 2012, and 18 January 2013); by non-residents in accordance with the rules or internal documents of the banking group adopted in the country of their registration (business operation). Where they are required to compile documents containing their reporting data in the official language of the country of their registration (business operation) or in a language used in business practices in the country of their registration (business operation), non-resident members of the banking group must be legalised as envisaged in the legislation of the Russian Federation, unless international treaties provide otherwise, with the aforesaid documents translated into the Russian language and certified using the appropriate procedure. The calculation of the banking group s total capital, compulsory ratios and amounts (limits) of open currency positions includes the reporting data of the parent credit institution of the banking group and members of the banking group on the same reporting date and for the same reporting period. If a member of the banking group is unable, for whatever reason, to prepare reporting data on the date of calculating the banking group s total capital, compulsory ratios and amounts (limits) of open currency positions, the parent credit institution of the banking group, for the purpose of calculating its total capital, compulsory ratios and amounts (limits) of open currency positions, may use the reporting data of the said member of the banking group on a date other than the date on which the total capital, compulsory ratios and amounts (limits) open foreign exchange positions of the banking group are calculated. The period between the date of calculating the total capital, compulsory ratios and amounts (limits) of open currency positions of the banking group and

6 6 the date on which the aforesaid member of the banking group reports data may not be longer than three months. The parent credit institution of the banking group provides information about such cases to the regional branch of the Bank of Russia that supervises its operations simultaneously with reporting form Statement on compulsory ratios of the banking (consolidated) group as set out in Bank of Russia Ordinance 2332-U (hereinafter, form ) Data reported by subsidiary credit institutions of the parent credit institution of the banking group that are registered as legal entities in member countries of the Organisation for Economic Cooperation and Development and (or) of the European Union that have adopted the single currency of the European Union and report high levels of income according to the World Bank classification, and in countries with country ratings 1, are included in the calculation of the total capital, compulsory ratios and amounts (limits) of open currency positions of the banking group as defined in the prudential regulations set by the supervisory authorities of those countries. The parent credit institutions of banking groups shall evaluate the approaches applied by the supervisors of foreign countries whose functions include banking supervision and by the Bank of Russia to define the total capital requirements for the same counterparty of subsidiary credit institutions of the parent credit institution of the banking group that are registered in different countries and, when calculating the compulsory ratios and amounts (limits) of open currency positions of the banking group, use the most conservative approach among those applied in those countries and the Russian Federation, i.e. the approach that places the highest requirements on the amount of total capital, compulsory ratios and amount (limits) of open currency positions in relation to such counterparties. Where the Bank of Russia happens to apply the most conservative approach, which is then spread to cover the aforesaid counterparties in other countries, the high risk ratios (High Ratio indicator) that are envisaged in Bank of Russia Instruction 139-I of 3 December 2012, On Banks Required Ratios, registered by the Ministry of Justice of the Russian Federation on 13

7 7 December and on 29 November (Bank of Russia Bulletin 74 of 21 December 2012 and 69 of 30 November 2013) (hereinafter, Bank of Russia Instruction 139-I) shall not be used to calculate the required ratios of the banking group. The aforesaid evaluation procedure shall be set out in an internal document of the banking group developed by the parent credit institution of the banking group. Data reported by subsidiary credit institutions that are registered as legal entities in countries with country ratings from 2 to 7 and by unregulated subsidiary organisations (whose operations are not regulated by competent authorities of the countries in which they are registered as legal entities) are included in the calculation of the total capital, compulsory ratios and amount of open currency positions of the banking group as defined in Bank of Russia Regulation 395-P of 28 December 2012 On the Methodology for Calculating the Amount of Credit Institutions Equity (Capital) (Basel III), registered by the Ministry of Justice on 22 February and on 29 November (Bank of Russia Bulletin 11 of 27 February 2013, and 69 of 30 November 2013) (hereinafter, Bank of Russia Regulation 395-P), in Bank of Russia Instruction 139-I, and herein When calculating the total capital, compulsory ratios and amounts (limits) of open currency positions of the banking group, the assets, liabilities and sources of capital of members of the banking group as reported in their individual statements shall be assessed in accordance with internal documents of the banking group developed by the parent credit institution of the banking group. The parent credit institution of the banking group determines the composition of assets, liabilities and sources of capital, the valuation methods (approaches) applied thereto and the procedure used by members of the banking group to compile and report the information, including as defined in item 1.5 hereof, the information needed to calculate the total capital, compulsory ratios and amounts (limits) of open currency positions, in internal documents of the

8 8 banking group that the parent credit institution develops taking into consideration this Ordinance. The procedure of developing, approving and amending the aforesaid internal documents of the banking group is laid down by the parent credit institution of the banking group The total capital, compulsory ratios and amounts (limits) of open currency positions of the banking group are calculated using the data reported by members of the banking group: in full relative to the subsidiary organisations of the parent credit institution of the banking group, and to structured entities; and on a pro rata basis to the interest of the banking group in the capital of a member of the banking group relative to the dependent organisations of the parent credit institution of the banking group and to jointly controlled entities. The concept of a jointly controlled entity is used in the scope of the meaning of IFRS 11 Joint Arrangements, which was enacted in the Russian Federation by Order of the Ministry of Finance of the Russian Federation 106n, with amendments that were put into effect in the Russian Federation by Order of the Ministry of Finance 143n Where a member of the banking group that is a dependent organisation or a jointly controlled entity exposes the parent credit institution of the banking group to the risk of loss in excess of the interest that the parent credit institution holds in the authorised capital of such member as a result, for example, of a corresponding agreement, the data reported by the said member of the banking groups shall be included in the calculation of compulsory ratios and amount (limits) of open currency positions of the banking group pro rata to the risks of loss taken by the parent credit institution of the banking group Where, under a corresponding agreement, the risks of loss of a member of the banking group are allocated between the parent credit institution of the banking group and other shareholders (members) of such member who are not affiliated with the banking group with the result that the parent credit institution of

9 9 the banking group is exposed to a lower amount of such risks than arise from the interests it holds in the authorised capital of such member of the banking group (hereinafter, the risk-sharing agreement), the data reported by the said member of the banking group may by a written permission of the Systematically Important Banks Supervision Department of the Bank of Russia or the regional branch of the Bank Russia that supervises the banking group (hereinafter, the Bank of Russia structural unit supervising the banking group) be included in the calculation of the compulsory ratios and amount (limits) of open currency positions of the banking group in a smaller measure which is decided by the parent credit institution of the banking group. In order to obtain such permission, the parent credit institution of the banking group files a request with the Bank of Russia structural unit supervising the banking group seeking to include less of the data reported by members of the banking group in the calculation of the compulsory ratios and amount (limits) of open currency positions of the banking group, and attaches a certified copy of the risk-sharing agreement. The Bank of Russia structural unit supervising the banking group reviews the request and the certified copy of the risk-sharing agreement received from the parent credit institution of the banking group within one month from the date of receipt. The Bank of Russia structural unit supervising the banking group refuses to include less of the data reported by a member of the banking group in the calculation of compulsory ratios and amount (limits) of open currency positions in the absence of an agreement that allocated the risks of loss to which such member is exposed among the parent credit institution of the banking group and other shareholders (members) of the said member of the banking group that are not affiliated with the banking group, the result being that the parent credit institution is exposed to less such risk than stems from the interests it holds in the authorised capital of the member of the banking group. The refusal by the Bank of Russia

10 10 structural unit supervising the banking group shall be motivated and made in writing. The parent credit institution of the banking group includes the data reported by the member of the banking group in the calculation of the compulsory ratios and amount (limits) of its open currency positions on the next reporting date following the date of receipt of the permission from the Bank of Russia structural unit supervising the banking group Operations and deals implemented between the parent credit institution of the banking group and members of the banking group (except for unconsolidated members of the banking group) or between members of the banking group (except for unconsolidated members of the banking group) and the income and expenses on such operations and deals are excluded from the calculation of the total capital, compulsory ratios and amount (limits) of open currency positions of the banking group. Chapter 2. Calculation of the total capital of the banking group 2.1. The banking group's total capital is determined in accordance with the requirements stipulated for credit institutions in Bank of Russia Regulation 395-P, taking into account the specifics set forth herein The total capital of the banking group is calculated as the sum of the total capital of the parent credit institution of the banking group and of the members of the banking group. The total capital of the parent credit institution of the banking group and of the members of the banking group are summed up clause by clause with regard to item 1.7 hereof. When the data reported by a member of the banking group are included in the calculation of the banking group's equity (capital) as provided in the third paragraph of item 1.7 hereof, the share of small shareholders (members) of such member in its total capital is not included in the calculation of the total capital of the banking group.

11 The sources of СET1 of the banking group (hereinafter,cet1) comprise: the authorised capital of the banking group member that is a noncredit institution following the date of the state registration of the banking group member (the date when the registration authority makes an appropriate entry in the corresponding state register) provided that the parent credit institution of the banking group and (or) other members of the banking group have made full payment for their shares (interest); elements of the CET1 pertaining to the share of small shareholders (members) of the banking group member that is a credit institution whose reporting data are included in the calculation of total capital of the banking group as envisaged in the second paragraph of item 1.7 hereof. The amount of CET1 elements pertaining to the share of small shareholders (members) of the banking group member is determined in accordance with item 2 of the Methodology for Calculating the Total Capital of the Banking Group Member Pertaining to the Share of its Small Shareholders (Members) (Annex to this Ordinance). The CET1 elements pertaining to the share of small shareholders (members) of the banking group member are included in the calculation of CET1 of the banking group less the dividends charged by the banking group member in favour of the small shareholders (members) till the time of actual payment thereof, subject to item 8.1 of Bank of Russia Regulation 395-P The indicators reducing the sources of the banking group's CET1 include: intangible assets, including the cost of creating (manufacturing) or acquiring an intangible asset (provided it increases the price of the asset in accordance with the banking group's accounting policies) at their book value at the date of calculation of the total capital of the banking group less the accrued depreciation and accumulated loss from asset impairment;

12 goodwill arising from the acquisition of shares (interest) (including dependent organisations) less goodwill impairment. The concept of goodwill is used in the meaning of, and defined in accordance with, IFRS 3 Business Combinations, which was enacted in the Russian Federation by Order of the Ministry of Finance of the Russian Federation 160n of 25 November 2011, On Enacting International Financial Reporting Standards and Clarifying International Financial Reporting Standards in the Russian Federation, registered by the Ministry of Justice of the Russian Federation on 5 December (Rossiyskaya Gazeta of 9 December 2011) (hereinafter, Order of the Ministry of Finance 160n), with amendments enacted in the Russian Federation by Order of the Ministry of Finance of the Russian Federation 106n, Order of the Ministry of Finance of the Russian Federation 36n of 2 April 2013, On Enacting and Terminating International Financial Reporting Standards in the Russian Federation, registered by the Ministry of Justice of the Russian Federation on 27 May (Rossiyskaya Gazeta of 5 June 2013), and Order of the Ministry of Finance of the Russian Federation 50n; income from a bargain purchase arising from the acquisitions of shares (interest) of members of the banking group (including dependent organisations) in the current year and prior years, including income from a bargain purchase arising from the acquisitions of shares (interest) and (or) other properties of unconsolidated members of the banking group. The concept of income from a bargain purchase is used in the meaning of, and defined in accordance with, IFRS 3 Business Combinations; investments by banking group members in ordinary shares (interest) of the parent credit institution of the banking group and (or) other members of the banking group at their book value provided such investments have not diminished the total capital of the members of the banking group calculated based on their individual reporting;

13 investments by the parent credit institution of the banking group and (or) members of the banking group in shares (interest) and other CET1 instruments of the unconsolidated members of the banking group that are noncredit financial organisations (excluding insurance companies) at their book value provided the total investments in the capital instruments of such members are more than 10% of CET1 of the banking group. The aforesaid investments are included in the calculation of the total capital of the banking group in accordance herewith, provided the total of such investments has not reduced the total capital of the parent credit institution of the banking group or members of the banking group calculated based on their individual reporting; deferred tax liabilities that reduce the deferred tax assets that were included in the calculation of the banking group's CET1 and adjusted by the amount of any tax liabilities recognised in the consolidated financial statements of the banking group when goodwill was reported and when intangible assets and determined retirement benefit plan assets were recognised by the banking group; determined retirement benefit plan assets of the banking group less the deferred tax liabilities of the banking group recognised in the consolidated financial statements when the corresponding assets were recognised. For the purpose of calculating the total capital of the banking group, an offset between the determined retirement benefit plan assets and the relevant deferred tax liabilities is allowed provided that these liabilities are canceled as the asset is written off or as it ceases to be recognised in the consolidated financial statements of the banking group. The concept of determined retirement benefit plan assets is used within the meaning of IAS 26 Accounting and Reporting by Retirement Benefit Plans, which was enacted in the Russian Federation by Ministry of Finance Order 160n; An unrealised gain or loss arising from changes in the current (fair) value of the banking group s liabilities that result from changes in the banking group's own credit risk.

14 14 The current (fair) value of liabilities is defined in accordance with IFRS 13 Fair Value Measurement, which was enacted in the Russian Federation by Ministry of Finance Order 106n The sources of AT1 of the banking group s Tier I capital (hereinafter,at1) comprise: AT1 pertaining to the share of small shareholders (members) of the banking group member whose reporting data are factored in the calculation of the total capital of the banking group as envisaged in the second sentence of item 1.7 hereof. The size of the AT1 pertaining to the share of small shareholders (members) of the banking group member is determined in accordance with item 3.4 of the Methodology for Calculating Total Capital of the Banking Group Member Pertaining to the Share of its Small Shareholders (Members) (Annex to this Ordinance). The AT1 pertaining to the share of small shareholders (members) of the banking group member is to be included in the calculation of the AT1 of the banking group less the dividends charged by the banking group member in favour of its small shareholders (members) till the point of actual payment thereof, subject to item 8.1 of Bank of Russia Regulation 395-P such elements of total capital of the banking group member that is a structured entity as are issued directly or through subsidiaries of the parent credit institution of the banking group that are not structured entities and are owned by third parties (that are not members to the banking group) provided that they meet the requirements for Tier I capital elements that are set forth in Bank of Russia Regulation 395-P and herein and their potential uses to cover the risks of the banking group, and also provided that investments in the banking group constitute the only asset of the structured entity. Elements of the total capital of a banking group member that is a structured entity are included in the banking group s AT1 similarly to the procedure defined in item 3 of the Methodology for Calculating the Total Capital of the Banking

15 15 Group Member Pertaining to the Share of its Small Shareholders (Members) (Annex to this Ordinance) Indicators that reduce AT1 sources of the banking group include such investments by the parent credit institution of the banking group and (or) members of the banking group in the CET1 and AT1 instruments that are not shares of the authorised capital as are made in the activities of other members of the banking group (excluding investments referred to in items to hereof) at their book value provided that such investments meet the requirements applied to Tier I capital elements as set out in Bank of Russia Regulation 395-P and herein The sources of Tier 2 of the banking group comprise: an unrealised gain or loss resulting from a conversion of assets, liabilities, income and expenses of a nonresident banking group member into the currency of the consolidated financial statements; elements of Tier 2 pertaining to the share of small shareholders (members) of the banking group member whose reporting data are included in the calculation of the total capital of the banking group as envisaged in the second sentence of item 1.7 hereof. The amount of Tier 2 elements pertaining to the share of small shareholders (members) of the banking group member is determined in accordance with item 4 of the Methodology for Calculating the Total Capital of the Banking Group Member Pertaining to the Share of its Small Shareholders (Members) (Annex to this Ordinance). Elements of Tier 2 pertaining to the share of small shareholders (members) of the banking group member are included in Tier 2 of the banking group less the dividends charged by the banking group member in favour of its small shareholders (members) till the point of actual payment thereof, subject to item 8.1 of Bank of Russia Regulation 395-P such elements of the total capital of the banking group member that is a structured entity as are issued directly or through subsidiaries of the parent credit institution of the banking group that are not structured entities and are

16 16 owned by third parties (that are not members to the banking group) provided that they meet the requirements for Tier I or Tier 2 elements that are set forth in Bank of Russia Regulation 395-P and herein and their potential uses to cover the risks of the banking group and provided that investments in the banking group constitute the only asset of the structured entity. Elements of the total capital of a banking group member that is a structured entity are included in the banking group s Tier 2 similarly to the procedure defined in item 4 of the Methodology for Calculating the Total Capital of the Banking Group Member Pertaining to the Share of its Small Shareholders (Members) (Annex to this Ordinance) The sum of the Tier I and Tier2 of the banking group is reduced by: deficit of the total capital (net assets) of an unconsolidated member of the banking group equalling the interest that the banking group holds in the capital of each unconsolidated member of the banking group provided that the parent credit institution of the banking group and (or) member of the banking group is liable jointly with other shareholders (members) of the banking group member for the liabilities of such unconsolidated member of the banking group. The deficit of total capital of the unconsolidated banking group member that is a credit or non-credit financial organisation is calculated as the difference between the actual value of its total capital and the value of total capital needed for such unconsolidated member of the banking group to cover the risks that the parent credit institution of the banking group and (or) member of the banking group is exposed to jointly with other shareholders (members) of the banking group member. Such amount of total capital of an unconsolidated banking group member that is a credit or non-credit financial institution as is needed to cover the aforesaid risks assumed by such unconsolidated banking group member is determined in accordance with regulations of the Russian Federation setting out the procedure used to define total capital adequacy. The deficit of net assets of the unconsolidated banking group member that is a non-financial organisation is calculated as the difference between the actual

17 17 value of its net assets and the net assets needed for such unconsolidated member of the banking group to cover the assumed risks that the parent credit institution of the banking group and (or) member of the banking group is liable jointly with other shareholders (members) of the banking group member. The amount of total capital of an unconsolidated banking group member that is a non-financial organisation needed for such unconsolidated member of the banking group to cover the assumed risks as stated above is estimated according to item 4.2 of the Methodology for Calculating the Total Capital of the Banking Group Member Pertaining to the Share of its Small Shareholders (Members) (Annex to this Ordinance) receivables of banking group members that are non-credit institutions that are past due for more than 30 calendar days less the loss provisions created therefor; the excess of the current (fair) value of investments by the parent (credit) institution of the banking group (including those made through other members of the banking group) in the operations of banking group members over the initial value of such investments The parent credit institution of the banking group uses the value of the CET1 of the banking group, the value of Tier I capital of the banking group and the value the total capital of the banking group as determined in accordance herewith to calculate the compulsory ratios and total capital of the banking group, determined in accordance herewith to calculate the amounts (limits) of open currency positions of the banking group. Chapter 3. Compulsory ratios of the banking group 3.1. The parent credit institution of the banking group observes compulsory ratios applied to the banking group as follows:

18 18 capital adequacy ratio of the banking group: CET1 adequacy ratio of the banking group (N20.1), Tier I capital adequacy ratio of the banking group (N20.2), total capital adequacy ratio of the banking group (N20.0); maximum exposure per one borrower or a group of related borrowers of the banking group (N21); maximum amount of large exposures of the banking group (N22); ratio for the use of the total capital of the banking group for the parent credit institution of the banking group and members of the banking group to acquire shares (interest) in other legal entities (N23) The method to monitor compliance with compulsory ratios by the banking group is determined by the parent credit institution of the banking group on its own taking into account the provisions of Bank of Russia Regulation 242-P of 16 December 2003, On the Organisation of Internal Controls in Credit Institutions and Banking Groups, registered by the Ministry of Justice of the Russian Federation on 27 January , 22 December , and on 20 March (Bank of Russia Bulletin of 4 February , of 31 December , and of 1 April ) The compulsory ratios of the banking group are calculated by the parent credit institution of the banking group using the procedure defined for credit institutions in Bank of Russia Instruction 139-I taking into account specifics spelled out herein In order to calculate compulsory ratios for the banking group, the parent credit institution of the banking group sums up the relevant data reported by the parent credit institution of the banking group and members of the banking group, subject to item 1.7 hereof, except for the data reported on transactions between the parent credit institution of the banking group and members of the banking group and between members of the banking group The capital adequacy ratios of the banking group are calculated as a correlation between CET1 of the banking group, Tier I capital of the banking group or the total capital of the banking group and the risk-weighted total assets of

19 19 the banking group using the formula defined in item 2.1 of Bank of Russia Instruction 139-I. The assets of the banking group classified as risk group I to V are estimated as envisaged in items 2.3 and 2.6 of Bank of Russia Instruction 139-I. The calculation of risk-weighted assets excludes credit claims in the form of subordinated loans (deposits, loans and bond issues), equity (interest) investments, and other assets of members of the banking group that reduce the size of the banking group's total capital in accordance with Bank of Russia Regulation 395-P and this Ordinance. High-risk transactions by members of the banking group as defined in Bank of Russia Instruction 139-I are included in the calculation of capital adequacy ratios of the banking group less the potential loss provisions created in accordance with the internal documents of the banking group developed by the parent credit institution of the banking group taking into account item 1.5 hereof. The High Ratio indicator is not applied to the assets of non-resident members of the banking group for the codes used in the calculation of N20.0 (8809, 8814 relative to items eight to ten of code 8813, 8822, 8832, 8836, 8859, 8860, 8861, 8862, 8864, and 8865). The banking group s assets included in code 8828 are not recalculated by using the High Ratio indicator defined in Bank of Russia Instruction 139-I provided that they are used for the activities of the banking group and (or) member of the banking group. The minimum allowed numeric value of N20.1 is set at 5%. The minimum allowed numeric value of N20.2 is set at 5.5% and at 6% starting 1 January The minimum allowed numeric value of N20.0 is set at 10% The maximum risk requirement per one borrower or a group of related borrowers of the banking group (N21) (hereinafter, N21) regulates (limits) the credit risk of the parent credit institution of the banking group and members of the banking group with regard to one borrower or a group of related borrowers of the parent credit institution of the banking group and members of the banking group, and defines the maximum ratio of the total of such credit claims of the parent

20 20 credit institution of the banking group and members of the banking group (except for unconsolidated members of the banking group) as are made to one borrower or a group of related borrowers, to the banking group s total capital. N21 is calculated using the formula defined in item 4.1 of Bank of Russia Instruction 139-I for the purpose of calculating maximum risk per one borrower or a group of related borrowers (N6) The maximum allowed numeric value of N21 is set at 25% When calculating N21, the data reported by members of the banking group are included in the calculation in accordance with items 4.2 to 4.8 and 4.10 of Bank of Russia Instruction 139-I, taking into account an internal document of the banking group that has been developed by the parent credit institution of the banking group N21 is calculated for borrowers that are not members of the banking group, and for borrowers (including credit institutions) that are unconsolidated members of the banking group N21 is not calculated in relation to such claims of the parent credit institution of the banking group and (or) members of the banking group as are made to the Russian Federation, federal executive authorities or the Bank of Russia, nor in relation to similar claims made by nonresident members of the banking group to the central bank, the bank supervising authority or other competent authorities of the foreign country in which they are located N21 is calculated for a group of related borrowers as defined in item 4.6 of Bank of Russia Instruction 139-I The maximum size of large exposures of the banking group (N22) (hereinafter, N22) regulates (limits) the total amount of large exposures of the parent credit institution of the banking group and members of the banking group, and defines the maximum ratio of the total amount of large exposures of the parent credit institution of the banking group and members of the banking group (except for unconsolidated members of the banking group) to the banking group s total capital.

21 21 N22 is calculated using the formula defined in item 5.1 of Bank of Russia Instruction 139-I for the purpose of calculating the maximum size of large exposures (N7). The concept of large exposure is used in the meaning defined in Article 65 of Federal Law 86-FZ, dated 10 July 2002, On the Central Bank of the Russian Federation (Bank of Russia). The maximum allowed numeric value of N22 is set at 800% The ratio for the use of total capital of the banking group by the parent credit institution of the banking group and members of the banking group to acquire equity stock (shares) of other legal entities (N23) (hereinafter, N23) regulates (limits) the aggregate risk of investments in the equity stock (shares) of legal entities that are not members of the banking group, and defines the maximum correlation between investments by the parent credit institution of the banking group and members of the banking group (except for unconsolidated members of the banking group) to acquire equity stock (shares) in other entities, to the banking group's total capital. N23 is calculated using the formula defined in item 8.1 of Bank of Russia Instruction 139-I for the purpose of calculating the use of a bank s total capital to purchase equity stock (shares) of other legal entities (N12). The calculation of N23 includes investments by the parent credit institution of the banking group and members of the banking group in such equity stock (shares) of legal entities as are acquired to generate investment income, including those in trust, excluding investments that reduce the total capital of the banking group, and excluding investments that are less than 5% of the authorised capital of the legal entity whose shareholders (members) include the parent credit institution of the banking group and (or) members of the banking group. The maximum allowed numeric value of N23 is set at 25% The parent credit institution of the banking group provides information on the calculation of required ratios and their values on form to the structural unit of the Bank of Russia supervising the banking group, quarterly as

22 22 per the first day of the first month of the quarter. If it modifies its calculation of a compulsory ratio (compulsory ratios) of the banking group, the parent credit institution of the banking group provides an explanatory note outlining the approach used to calculate such compulsory ratios together with the reporting form stated herein. Chapter 4. Amounts (limits) of open currency positions of the banking group 4.1. The parent credit institution of the banking group observes the amounts (limits) of open currency positions of the banking group. The parent credit institution of the banking group ensures compliance with the amounts (limits) of open currency positions of the banking group in accordance with item 3.2 hereof The parent credit institution of the banking group calculates the amounts (limits) of open currency positions of the banking group as envisaged in Bank of Russia Instruction 124-I of 15 July 2005, On Setting Limits on Open Currency Position, the Methodology of Calculating them, and the Specifics of Supervising their Observance by Credit Institutions, registered by the Ministry of Justice on 5 August , on 26 June , on 6 December , and on 18 May (Bank of Russia Bulletin of 19 August , of 4 July , of 17 December , and of 25 May ), taking into account the specifics contained herein The amounts (limits) of open currency positions of the banking group are calculated taking into account item 3.4 hereof as a correlation between the open currency exposures of the parent credit institution of the banking group and members of the banking group in individual foreign currencies and individual precious metals, the balancing position in rubles, the sum of the open currency positions in individual foreign currencies and individual precious metals, and the amount of the total capital of the banking group.

23 In order to limit the currency risk assumed by the parent credit institution of the banking group, the following amounts (limits) of open currency positions are set: the sum of all long (short) open currency positions of the parent credit institution of the banking group and members of the banking group in individual foreign currencies and individual precious metals shall not exceed 20% of the banking group s total capital; any long (short) open currency position of the parent credit institution of the banking group and members of the banking group in individual foreign currencies and individual precious metals, and the balancing position in rubles, must not exceed 10% of the banking group s total capital. Chapter 5. Final provisions 5.1. This Ordinance shall be officially published in the Bank of Russia Bulletin and shall enter into force on 1 January In the event the banking group breaches the numeric values of required ratios and amounts (limits) of open currency positions as defined by the Bank of Russia, the regional branch of the Bank of Russia that supervises the parent credit institution of the banking group shall not apply the measures envisaged in Article 74 of Federal Law 86-FZ, dated 10 July 2002, On the Central Bank of the Russian Federation (Bank of Russia), until 1 October 2014, provided the banking group prevents the impairment of the numeric values of required ratios and amounts (limits) of open currency positions compared with the numeric values calculated as of 1 April Governor of the Central Bank of the Russian Federation E.S. Nabiullina

24 Annex to Ordinance 3090-U, dated 25 October 2013, On the Calculation of the Equity (Capital), Required Ratios, and Amounts (Limits) of Open Currency Positions of Banking Groups Method of calculating the total capital of a member of the banking group pertaining to its small shareholders (members) 1. The calculation of the total capital of the banking group includes in the total capital of the banking group member as the share owned by its small shareholders (members) and used by the parent credit institution of the banking group to cover the risks assumed by members of the banking group. 2. The share of the CET1 of the banking group attributable to the share of small shareholders (members) that is to be included in the calculation of the banking group s CET1 is calculated in the following order: 2.1. elements of the CET1 of the banking group member are determined in the total capital of the banking group member in accordance with Bank of Russia Regulation 395-P and this Ordinance; 2.2. the amount of CET1 of the banking group member owned by small shareholders (members) is determined as the product of CET1 of the banking group member, calculated as provided in item 2.1 hereof, and the share owned by small shareholders (members) in the total volume of the capital instruments issued by the banking group member; 2.3. the minimum allowed value of CET1 of the banking group member is calculated by multiplying the risk-weighted assets, defined in accordance with Bank of Russia Instruction 139-I and this Ordinance, by the minimum allowed numeric value of N20.1 as stipulated in the third paragraph of item 3.5 hereof; 2.4. the surplus CET1 of the banking group member is calculated as the difference between CET1 calculated in accordance with item 2.1 and the minimum allowed value of CET1 of the banking group member calculated in accordance with item 2.3;

25 the surplus CET1 of the banking group members owned by small shareholders (members) that is not included in CET1 of the banking group is calculated as follows: SCE x CEm SCEn = , CE where SCEn is the surplus CET1 of the banking group member owned by small shareholders (members) that is not included in CET1 of the banking group; SCE is the surplus CET1 of the banking group member calculated in accordance with item 2.4; CEm is CET1 of the banking group member owned by small shareholders (members) that is calculated in accordance with item 2.2; CE is CET1 of the banking group member calculated in accordance with item CET1 of the banking group member owned by its small shareholders (members) and included in CET1 of the banking group is calculated as the difference between CET1 of the banking group member owned by small shareholders (members), calculated in accordance with item 2.2, and the surplus CET1 of the banking group member owned by small shareholders (members) that is not included in CET1 of the banking group, calculated in accordance with item The amount of Tier I capital of the banking group member attributable to the share of small shareholders (members), that is factored in the calculation of Tier I capital of the banking group, is calculated in the following order: 3.1. in the total capital of the banking group member Tier I capital of the banking group member is calculated similarly to the procedure defined in item 2.1 hereof together with the share owned by small shareholders (members) in the total volume of Tier I instruments issued by the banking group member; 25