ICICI Bank : Liquidity Coverage Ratio disclosure at December 31, 2020

Consolidated Liquidity Coverage Ratio

December 31, 2020

CONSOLIDATED LIQUIDITY COVERAGE RATIO DISCLOSURE AT DECEMBER 31,

2020

The Basel Committee on Banking Supervision (BCBS) had introduced the Liquidity Coverage Ratio (LCR) in order to ensure that a bank has an adequate stock of unencumbered High Quality Liquid Assets (HQLA) to survive a significant liquidity stress lasting for a period of 30 days. LCR is defined as a ratio of HQLA to the total net cash outflows estimated for the next 30 calendar days.

The Bank is required to maintain the LCR on a standalone Bank and on a Group Level. The minimum LCR requirement set out in the RBI guideline for the standalone Bank and for Group effective January 1, 2019 is 100%. In order to accommodate the burden on banks' cash flows on account of the Covid-19 pandemic, RBI permitted banks to maintain LCR at 80.0% with effect from April 17, 2020, 90.0% from October 1, 2020 and 100% from April 1, 2021.

The key entities covered in the Group LCR are ICICI Bank Limited, ICICI Bank UK PLC, ICICI Bank Canada, ICICI Home Finance Company Limited, ICICI Prudential Asset Management Company Limited, ICICI Securities Limited, ICICI Securities Primary Dealership Limited and ICICI Venture Fund Management Company Limited.

As per the RBI guidelines, for the LCR on a consolidated basis, a cross-border banking group should apply the liquidity parameters adopted in the home jurisdiction to all legal entities being consolidated except for the treatment of retail and small business deposits which would be based on the relevant parameters adopted in the host jurisdictions in which the entities operate. ICICI Bank Canada and ICICI Bank UK PLC have followed the treatment for retail and small business deposits as specified by their respective regulators. For all other parameters, the RBI-prescribed LCR factors are applicable for the purposes of the Group LCR computation. The excess HQLA maintained at the group entities over their respective regulatory requirement has not been considered in the Group LCR computation.

The following table sets out the average of unweighted and weighted value of the LCR components of the ICICI Group. The simple average has been computed based on daily values for the three months ended December 31, 2020.

			₹ in million
Particulars	Total unweighted	Total weighted
		value (average)	value (average)
High quality liquid assets
1	Total high quality liquid assets	N.A.	2,785,342.3
Cash	outflows
2	Retail deposits and deposits from small	5,304,645.7	450,196.8
	business customers, of which:
(i)	Stable deposits	1,806,633.9	90,043.3
(ii)	Less stable deposits	3,498,011.8	360,153.5
3	Unsecured wholesale funding, of	2,666,017.7	1,432,027.3
	which:
(i)	Operational deposits (all	0.0	0.0
	counterparties)
(ii)	Non-operational deposits (all	2,598,713.7	1,364,723.3

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Consolidated Liquidity Coverage Ratio

December 31, 2020

Particulars	Total unweighted	Total weighted
		value (average)	value (average)
	counterparties)
(iii)	Unsecured debt	67,304.0	67,304.0
4	Secured wholesale funding	N.A.	0.0
5	Additional requirements, of which:	385,921.1	153,192.2
(i)	Outflows related to derivative	114,549.9	114,549.9
	exposures and other collateral
	requirements
(ii)	Outflows related to loss of funding on	144.3	144.3
	debt products
(iii)	Credit and liquidity facilities	271,226.9	38,498.0
6	Other contractual funding obligations	226,712.1	226,712.1
7	Other contingent funding obligations	3,037,559.3	128,140.7
8	Total Cash Outflows	N.A.	2,390,269.1
9	Secured lending (e.g. reverse repos)	517,196.8	7.2
10	Inflows from fully performing exposures	484,450.4	375,483.2
11	Other cash inflows	78,941.7	48,593.3
12	Total Cash Inflows	1,080,588.9	424,083.7
13	Total HQLA	N.A.	2,785,342.3
14	Total Net Cash Outflows	N.A.	1,966,185.4
15	Liquidity coverage ratio (%)	N.A.	141.66%

The Group, during the three months ended December 31, 2020, had maintained average HQLA (after haircut) of 2,785,342.3 million as against the average HQLA requirement of 1,769,566.9 million. HQLA primarily included government securities in excess of minimum Statutory Liquidity Ratio (SLR), the extent allowed under the Marginal Standing Facility (MSF) and the Facility to Avail Liquidity for LCR (FALLCR). Additionally, cash, balances in excess of cash reserve requirement with RBI & the overseas central banks and marketable securities issued by foreign sovereigns form part of level 1 HQLA. Level 2 HQLA primarily consisted of AA- and above rated corporate bonds and commercial papers.

The average LCR of the ICICI Group for the three months ended December 31, 2020 was 141.66%.

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