Page 95 - RusRPTApr21

8.1.5 Liquidity, NIMs & CARs
The total volume of ruble-denominated liquid assets of the banking sector (cash, claims on the Bank of Russia15 and unsecured market collateral) increased in February by RUB0.8 trillion, to RUB15.5 trillion, due to an increase in the volume of deposits placed by credit institutions with the Bank of Russia.
The volume of liquidity is at a fairly comfortable level and by one third covers the total funds of clients in rubles. In addition banks can attract funds to liquid assets from the Bank of Russia secured by non-market assets (loans that meet the requirements of the Bank of Russia). As of 28.02.2021 the volume of such assets included in the “soft collateral” amounted to RUB5.0 trillion.
The volume of liquid assets of credit institutions in foreign currency is practically remained unchanged and amounted to $52.3bn, which is higher than the average level in 2020. At the same time, the total volume of foreign exchange liquidity is sufficient to cover about 35% of foreign exchange funds of corporate clients, or 16% of all foreign exchange liabilities, which is a comfortable level.
In February, banks slightly increased their investments in debt securities by RUB52bn (0.3%). In accordance with the plan of the Ministry of Finance of Russia for the first quarter of 2021, the placement of OFZs in the amount of about 1 trillion rubles was announced, however, as of 03/15/2021, only RUB359bn were actually placed (of, which in February: RUB151bn rubles).
Low activity investors, probably due to the fact that in the first quarter of 2021, OFZs were mainly offered with constant coupon yield (OFZ-PD), which are characterized by high exposure interest rate risk.
The sector's balance sheet capital remained almost unchanged in February and remained at the level of RUB10.7 trillion. Earned monthly profit was offset by negative revaluation of valuable equity securities (RUB67bn, mainly OFZ revaluation), as well as profit of previous years, taking into account events after the reporting date, for certain large banks (about RUB90bn).
In January, the aggregate capital adequacy ratio18 (N1.0) increased slightly - up to 12.48% (+0.01 p.p.) - due to the growth of aggregate capital (+ 0.1%), while the value of risk-weighted assets (RWA) remained virtually unchanged. Capital growth in January was mainly driven by earned profits.
The banking sector has a significant capital reserve: RUB5.8 trillion (about 10% the volume of the loan portfolio), which maintains compliance with the standards, but not the premiums. It should be borne in mind that the capital stock is unevenly distributed among banks.
8.1.7 Banks specific issues
The average Russian borrower is spending more of their income repaying debt than ever before. The share of income Russian borrowers have to spend on repaying debts hit a record high at the start of 2021, according to Central Bank data. The average debt burden — the proportion of
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