Page 94 - RusRPTFeb24

CAPITAL: The sector's balance capital increased by 170bn rubles, reaching 14.3 trillion rubles. The growth in capital was primarily influenced by the reduction in the negative revaluation of securities, the value of which is determined through other comprehensive income (by 102bn rubles). Additionally, the profit earned by banks (64bn rubles, excluding dividends, which inflated net profit in December, as they do not affect the sector's balance capital).
According to preliminary data, in December, the Tier 1 capital adequacy ratio (N1.0) increased by 0.02 percentage points to 12.17%, due to the leading growth in capital (+2.0%) relative to risk-weighted assets (+1.8%).
The growth in regulatory capital in December was driven by monthly profits.
Risk-weighted assets (RWAs) primarily increased due to the rise in operational risk, associated with the planned recalculation of the indicator at the end of the year, as well as the continued increase in macro-prudential adjustments (+13%) due to the tightening of macro-prudential regulation. The share of macro-prudential adjustments in RWAs exceeded 4%.
The capital buffer (above the minimum regulatory requirements) in December increased to 7.3 trillion rubles.
BONDS: In December, the volume of investments in debt securities increased significantly (+0.8 trillion rubles, +4.0%). This increase was primarily driven by investments in mortgage-backed securities (0.3 trillion rubles) and bonds issued as part of securitization of consumer loans.
Mortgage-backed securities are often held on the balance sheets of originating banks (or structures affiliated with them). As for mortgage-backed securities guaranteed by AO "DOM.RF," they can be used to raise liquidity, including from the Bank of Russia or the Ministry of Finance of Russia. Regulation allows these securities to be included as liquid instruments in liquidity norms (N3 and NCL). In NCL, these securities are included if they are actively traded in the market (the originating bank can include them only if they hold less than 35% of the issue).
In December, the issuance activity of the Ministry of Finance of Russia was low: around 82bn rubles of OFZ were placed (compared to approximately 275bn rubles in November). Approximately 90% of the placements consisted of OFZs with fixed coupon income, with the rest being inflation-protected OFZs. The main demand for OFZs came from mutual funds under trust management, which acquired around 60% of the total issue, while banks accounted for only about 40% (around 30bn rubles). In total, in 2023, the Ministry of Finance of Russia placed OFZs worth approximately 2.5 trillion rubles, of which banks repurchased around 1.5 trillion rubles.
Overall, in 2023, the volume of bank investments in debt securities increased by 1.8 trillion rubles, including around 1.5 trillion rubles in OFZs and approximately 0.3 trillion rubles in mortgage-backed securities.
94 RUSSIA Country Report February 2024 www.intellinews.com