Page 109 - RusRPTApr24

8.1.5 Liquidity, NIMs & CARs
LIQUIDITY: Ruble-denominated liquid assets within the sector saw marginal change, decreasing by 40 billion rubles (-0.2%), with the overall figure stabilizing at approximately £18.0 trillion rubles.
While the coverage of client funds experienced a slight decrease, it remains close to a comfortable 20% level (19.6% compared to 20.1% in January). The coverage of individual funds remains robust at 43%.
The proportion of banks (by assets) with coverage of client funds below 20% saw a slight increase, reaching 72% (compared to ~69% in January). The volume of liquid assets required to increase coverage to 20% also rose to £4.7 trillion from £4.5 trillion, although these banks can potentially secure the majority of the shortfall by pledging non-market assets.
As of March 1, 2024, the relaxation of the Net Stable Funding Ratio (NSFR) requirements was rescinded. Banks are now mandated to maintain it at no less than 40% and gradually increase it to 80% by January 1, 2026, using their own liquidity sources. It is anticipated that banks will bolster their high-liquidity asset volumes, attracting longer-term and stable funds, thus gradually improving funding structure and liquidity position.
USD LIQUIDITY: The reserve of currency liquidity, measured in US dollar equivalent, experienced a decrease of $3.2 billion, falling from $45 billion to $41.8 billion, against the backdrop of growing foreign currency lending.
Coverage of client funds also saw a reduction, reaching approximately 44%, while coverage of foreign currency obligations decreased from 26% to 24%. However, these levels still maintain a comfortable margin considering the existing regulatory measures in place.
This shift in currency liquidity reserves reflects the evolving landscape of financial operations, with institutions adapting to changing market dynamics while ensuring compliance with regulatory requirements.
BONDS: The volume of investments in debt securities increased by 0.1 trillion rubles (+0.4%), primarily attributed to investments in Federal Loan Bonds (OFZs), amounting to around 80 billion rubles, including redemptions and sales on the secondary market.
Additionally, investments in mortgage-backed securities (MBS) saw a rise of approximately 30 billion rubles, considering sales and redemptions, driven by a new issuance of around 45 billion rubles. MBS issuances backed by DOM.RF typically see buybacks by originating banks and serve to attract liquidity, including from the Bank of Russia or the Ministry of Finance.
The issuance activity of the Russian Ministry of Finance slightly increased in February, with approximately 258 billion rubles worth of OFZs placed (compared to 221 billion rubles in December). Nearly the entire volume of issuances (approximately 97%) consisted of OFZs with fixed coupon income, with around 3% allocated to inflation-linked OFZs (OFZ-IN). Banks were the
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