The Impact of Basel III Requirements in Terms of the Liquidity Coverage Ratio on Liabilities of Systemically Important Banks

Student: Khlestunov Kirill

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2024

The Basel III requirements regarding liquidity risk have been in force in Russia since 2016, when the Liquidity Coverage Ratio (LCR) was introduced. During this time, a sufficient amount of information has been accumulated to assess the consequences of the introduction of these regulatory requirements, which is especially important during the development by the Bank of Russia of the "New National Liquidity Coverage Ratio". This paper analyzes the reaction of individual systemically important banks and other banks to the preparation for the introduction of LCR, its direct implementation, as well as to a gradual increase in the required minimum value. The reaction of credit institutions is assessed through a change in the structure of their liabilities using time series analysis.

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