Page 103 - RusRPTSept23

The aggregate volume of ruble Liquidity Adequacy (LA) A reached approximately 16.2 trillion rubles. This level is deemed adequate, providing coverage for 21% of client funds denominated in rubles B or 45% of individual funds. Moreover, banks have the potential to secure up to 9.7 trillion rubles (12% of client funds) as collateral from the Bank of Russia, utilizing non-market assets C. Consequently, the accessible sources of ruble liquidity cater to around 33% of client funds in rubles (34% in June).
The distribution of ruble liquidity reserves across the sector is not uniform, yet the money market (standing at 7.8 trillion rubles D as of August 1, 2023) serves to mitigate some of these disparities.
The reserve of foreign currency liquidity (49bn USD E) is also maintained at an adequate level. It accounts for approximately 50% of client funds and covers 27% of foreign currency obligations F. These figures are aligned with June's levels of 54% and 29%, respectively.
CAPITAL: The balance sheet capital increased by 360bn rubles, reaching 13.2 trillion rubles, driven by sector profits (327bn rubles) and certain banks' recapitalization (~90bn rubles). This growth was partially offset by dividend payments (26bn rubles) and negative revaluation of securities evaluated through other comprehensive income (20bn rubles).
According to preliminary data for July 2023, the Capital Adequacy Ratio (CAR) decreased by 0.2 percentage points to 12.1%, due to the faster growth of Risk-Weighted Assets (RWA) (+2.8%) compared to capital growth (+1.5%).
The increase in regulatory capital in July was primarily attributed to monthly profits. Notably, the profit considered in the capital was less than the balance sheet profit, partly due to the cancellation of regulatory relaxations. The growth of RWA during the same period was mainly driven by the expansion of the credit portfolio and the revaluation of its foreign currency component due to the ruble's 4% depreciation against the US dollar.
The capital buffer remained largely unchanged in July, despite the rollback of some temporary support measures. As a result, the capital buffer reached approximately 6.7 trillion rubles M by the end of the month.
BONDS: The portfolio of debt securities experienced a growth of 528bn rubles, marking a 2.7% increase. This expansion was in part due to banks purchasing new issuances of OFZ (federal loan bonds) amounting to approximately 300bn rubles. The demand was notably strong for securities with variable coupon income, specifically OFZ-PK (variable coupon federal loan bonds), which constituted around 75% of the total volume of placed OFZ.
Furthermore, investments in mortgage-backed securities increased by 0.2 trillion rubles, influenced by a securitization transaction. In July, the issuance activity of the Russian Ministry of Finance saw a slight uptick compared to June, with placed OFZ totaling around 340bn rubles. Apart from banks, non-financial organizations (NFOs) also demonstrated demand for OFZ, acquiring approximately 10% of the overall issuance for their clients under discretionary management.
RUSSIA Country Report September 2023 www.intellinews.com