SAMA Prudential Returns on Basel III Liquidity Risk Monitoring and Minimum Regulatory Ratios

Banking Supervision Dept.
From
To
Saudi Arabian Monetary Agency
All Banks g February 2012
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Attention : Managing Directors, Chief Executive Officers and General Managers Subject SAMA's Prudential Returns Concerning the Monitoring of Basel Ill Liquidity Risk through the Minimum Regulatory Liquidity Standard Ratios A major initiative announced by the Basie Committee in its Basel Ill reform package issued in December 2010 relates to Minimum Liquidity Ratios Standards to strengthen global liquidity regulations with the goal of promoting a more resilient banking sector. The objective of these reforms is to improve the banking sector's ability to absorb shocks arising from financial and economic stress. Consequently, the Basie Committee has introduced two minimum standards for liquidity. In this regard, the Committee has developed the Liquidity Coverage Ratio (LCR) that will ensure short-term resilience of a bank over 30 days and the Net Stable Funding Ratio (NSFR) that will ensure a time horizon of one year. Furthermore, the BCBS requires the monitoring of these ratios to commence from January 1, 2012, however the LCR and NSFR will be fine tuned into final Regulatory Standards in 2015 and 2018 respectively. The Agency is now circulating its Guidance Notes and Prudential Returns on the LCR and NSFR in the attached package of SAMA's Prudential Returns. The Basie agreed monitoring period for the LCR and NSFR commences on 1 st January 2012. Consequently, all Banks (except foreign bank's branches) will be expected to provide these returns to SAMA on a quarterly basis from quarter ending 31 March 2012 within 30 days of the end of each quarter. SAMA will continue to amend these Guidance Notes and Prudential Returns as further refinements are received from the BCBS during the monitoring period until the time when the LCR and NSFR are finalized as regulatory ratio in 2015 and 2018 respectively. . c\ \ ' Abdulrahman A. Al-Kalaf Deputy Governor for Technical Affairs P.O. Box 2992 - Riyadh 11169, Saudi Arabia - Tel.: 01-463 3000 - Telex 404390 SJ - Fax 01-466 2119