О КЛЮЧЕВОЙ СТАВКЕ · 01.14 09.14 05.15 01.16 09.16 05.17 01.18 09.18 d el urals oil...

О КЛЮЧЕВОЙ СТАВКЕ

Bank of Russia

March 2017

RUSSIAN ECONOMIC OUTLOOK AND CHALLENGES TO MONETARY POLICY

BANK OF RUSSIA

Oil Market Rebalancing and Extraction Growth in the US lead to a New Oil Price Path in the Baseline Forecast

2

-1,6

-1,2

-0,8

-0,4

0,0

0,4

0,8

1,2

1,6

2,0

2,4

2,8

80

82

84

86

88

90

92

94

96

98

100

102

I II III IV I II III IV I II III IV I II III IV I II III IV I II III IV I II III IV

2012 2013 2014 2015 2016 2017 2018

Stock Change and Balance World Production

World Consumption

Source: US Energy Information Administration

World liquid fuels production and consumption

balance, million barrels per day (MMb/d)

30

35

40

45

50

55

60

65

70

75

80

20

30

40

50

60

70

80

90

100

110

120

01.14 09.14 05.15 01.16 09.16 05.17 01.18 09.18

RU

B/U

SD

US

D p

er

barr

el

Urals oil price, fact

Urals oil price, December baseline forecast

Urals oil price, March baseline forecast

USDRUB (right axis)

Sources: Bank of Russia, Reuters, Bloomberg

Oil price (fact VS forecast) and ruble exchange rate

BANK OF RUSSIA

Given the Gradual Monetary Policy Normalization in the US, Emerging Markets Continue to Attract Foreign Investment

3

Source: Institute of International Finance

-0,25

0,00

0,25

0,50

0,75

1,00

1,25

1,50

-0,25

0,00

0,25

0,50

0,75

1,00

1,25

1,50

01.13 08.13 03.14 10.14 05.15 12.15 07.16 02.17 09.17

Key central banks rates, %

US FED Federal Funds Rate - Upper Bound

FED rate Bloomberg forecast

ECB Main Refinancing Rate

ECB rate Bloomberg forecast Source: Bloomberg

BANK OF RUSSIA

Current Account Surplus is Sufficient to Cover Payments on External Debt. Banks Will Be Able to Repay Their Current Debt on Bank of Russia’s Foreign Currency Refinancing Operations by the end of 2017

4

-150

-125

-100

-75

-50

-25

0

25

50

75

1Q

2007

3Q

2007

1Q

2008

3Q

2008

1Q

2009

3Q

2009

1Q

2010

3Q

2010

1Q

2011

3Q

2011

1Q

2012

3Q

2012

1Q

2013

3Q

2013

1Q

2014

3Q

2014

1Q

2015

3Q

2015

1Q

2016

3Q

2016

Balance of payments structure, bln USD

Current account Capital account

Financial account Net errors and omissions

Net private capital outflow Change in FX reserves

Source: Bank of Russia

0

5

10

15

20

25

30

35

40

01.15 03.15 06.15 09.15 12.15 03.16 06.16 09.16 12.16 03.17

Bank of Russia Refinancing Operations, bln USD

1Y FX Repo 1M FX Repo 1W FX Repo

1M FX Loans 1Y FX Loans

Total of 4,8 bln USD

as of March 27th 2017


BANK OF RUSSIA 5

Monetary Conditions Continue to Ease in Nominal Terms but in Real Terms Remain Moderately Tight

-60

-40

-20

0

20

40

60

80

-60

-40

-20

0

20

40

60

80

I II III IV I II III IV I II III IV I II III IV I II III IV I II

2012 2013 2014 2015 2016 2017

Loans to large enterprises

Loans to small and medium companies

Consumer loans

Mortgage loans

Tightening

Easing

Source: Bank of Russia.

Expectations

Indices of Сhanges in Bank Lending Conditions, p.p.

-10

-5

0

5

10

15

20

-10

-5

0

5

10

15

20

Jan.14 July.14 Jan.15 July.15 Jan.16 July.16 Jan.17

Interest Rates Dynamics, % p.a.

Nominal long-term corporate loan rate

Nominal long-term household deposit rate

Real long-term corporate loan rate

Real long-term household deposit rate

O/n interbank rate (MIACR)


BANK OF RUSSIA 6

Cautious Behaviour of Banks and Borrowers and Moderately Tight Monetary Conditions Constrain Lending Growth

Dollarisation of Loan Portfolio (%)

1.01.14 1.01.15 1.01.16 1.01.17 1.02.17 1.03.17

Loans to non-

financial

organizations

24,0 33,2 39,8 32,2 31,9 30,2

Loans to households 2,4 2,7 2,7 1,5 1,4 1,3

Total 17,3 24,8 30,8 24,1 23,9 22,5

-15

-10

-5

0

5

10

15

20

25

30

-15

-10

-5

0

5

10

15

20

25

30

2014 2015 2016 2017Revaluation of foreign currency loansLoans to householdsForeign currency loans to non-financial organisationsRuble loans to non-financial organisationsTotal loan portfolio, %Growth rate of loans to non-financial ogranisations, % *Growth rate of loans to households, % *

Source: Bank of Russia. * excluding foreign currency

Contributions of Various Components to the Annual Growth Rates of Bank Loans to Households and Non-Financial Organizations, p.p

Dollarisation of Deposits (%)

1.01.14 1.01.15 1.01.16 1.01.17 1.02.17 1.03.17

Household deposits 17,4 26,1 29,4 23,7 23,7 22,8

Corporate deposits

and current accounts 31,3 42,6 47,3 39,5 40,1 38,3

Total 24,5 35,5 39,2 31,7 32,3 30,9

0

2

4

6

8

10

12

14

16

18

2014 2015 2016 2017

Overdue Loans (as % of Loan Portfolio)

Loans to non-financial organisationsLoans to non-financial organisations (30 largest banks)Loans to non-financial organisations (other banks)Loans to householdsLoans to households (30 largest banks)Loans to households (other banks)


BANK OF RUSSIA 7

Economic Recovery Goes On Faster than Previously Projected

-3,5

-3

-2,5

-2

-1,5

-1

-0,5

0

0,5

1

1,5

-3,5

-3

-2,5

-2

-1,5

-1

-0,5

0

0,5

1

1,5

2014 2015 2016

Divergence between produced and used GDP Net export

Inventory change Gross capital formation

Government consumption Household consumption

GDP old (2016 - the Bank of Russia estimate), %, RHS GDP new, %, RHS

Change in GDP decomposition, p.p.

Sources: Rosstat, Bank of Russia calculations

BANK OF RUSSIA 8

Industrial Production Growth Persists But Still Lacks Consistency Across Sectors

-3,0

-2,0

-1,0

0,0

1,0

2,0

3,0

4,0

-3,0

-2,0

-1,0

0,0

1,0

2,0

3,0

4,0

01.14 05.14 09.14 01.15 05.15 09.15 01.16 05.16 09.16 01.17

Mining

Manufacturing

Utilities (before 2015)

Utilities: electricity, gaz and steam (from 2015)

Utilities: water, pollution control activities (from 2015)

Omissions

Industrial production, (%, RHS)

Industrial Production Dynamics and its Decomposition with exclusion of calendar factor, %


-15

-10

-5

0

5

10

15

20

-15

-10

-5

0

5

10

15

20

01.14 06.14 11.14 04.15 09.15 02.16 07.16 12.16

Output in Manufacturing, % (YoY)

Food industry

Other manufacturing

Chemical industry


BANK OF RUSSIA

Investment Activity Shows Signs of Recovery

9

-15

-10

-5

0

5

10

15

I.2

011

II.2

01

1

III.

201

1

IV.2

011

I.2

012

II.2

01

2

III.

201

2

IV.2

012

I.2

013

II.2

01

3

III.

201

3

IV.2

013

I.2

014

II.2

01

4

III.

201

4

IV.2

014

I.2

015

II.2

01

5

III.

201

5

IV.2

015

I.2

016

II.2

01

6

III.

201

6

IV.2

016

Private sectorInfrastructure companiesGovernment sectorFixed capital investment, (%, RHS)

Government and Private Fixed Capital Investment (YoY), %


-60

-40

-20

0

20

40

60

-20

-15

-10

-5

0

5

10

01.15 04.15 07.15 10.15 01.16 04.16 07.16 10.16 01.17

Fixed capital investment (quarterly)

Construction

Production of investment goods

Machinery and equipment import, (RHS)

Fixed Capital Investment and Construction (YoY), %


BANK OF RUSSIA 10

Households Still Maintain Their Propensity to Save While Consumer Demand Shows Signs of Recovery

-0,05

0,00

0,05

0,10

0,15

0,20

-0,05

0,00

0,05

0,10

0,15

0,20

01.15 04.15 07.15 10.15 01.16 04.16 07.16 10.16

Equity

Borrowing

Currency assets (currency, deposits)

Ruble financial assets (deposits, stocks, cash)

Savings rate

Components of Savings Rate (Seasonally Adjusted), Share of Income

Source: Rosstat, Bank of Russia calculations

85%

90%

95%

100%

105%

110%

85%

90%

95%

100%

105%

110%

2013 2014 2015 2016 2017

Real wage

Real disposable income

Retail trade turnover

Real Wages, Household Income Dynamics and Retail Trade Turnover (Seasonally Adjusted), 2013 = 100%

Source: Rosstat, Bank of Russia calculations

BANK OF RUSSIA 11

Inflation Slowdown Overshoots the Baseline Forecast Amid Ruble Appreciation, Bumper Harvests and Weak Consumer Demand

0

4

8

12

16

20

24

0

4

8

12

16

20

24

01.15 04.15 07.15 10.15 01.16 04.16 07.16 10.16 01.17

Inflation, % (YoY)

CPI Core inflation Non-food goods

Food goods Services

Source: Rosstat

0

5

10

15

20

0

5

10

15

20

I II III IV I II III IV I II III IV

2015 2016 2017

Actual inflation Baseline inflation forecast

Actual and Projected Inflation (End of Quarter, YoY), %

Source: Rosstat, Bank of Russia calculation

BANK OF RUSSIA

Inflation Expectations Decline, But in an Unstable Manner

12

Sources: FOM, REB, Rosstat, Bank of Russia, Bloomberg, Interfax, Reuters

Expectations horizon I.2014 II.2014 III.2014 IV.2014 I.2015 II.2015 III.2015 IV.2015 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Graph

next 12 months 11,8 11,7 12,5 15,5 15,7 15,0 16,0 16,4 16,7 15,7 14,7 14,6 13,6 14,2 14,3 12,6 14,2 12,3 13,7 12,4 11,5 12,9 11,2

next 12 months 8,1 9,0 9,6 14,4 13,8 12,2 14,5 12,8 10,8 7,8 7,4 7,2 6,5 6,7 6,9 6,4 5,9 5,8 5,6 5,1 4,6 4,4 4,1

2017 6,0 4,7 5,4 5,4 5,2 5,0 4,5 4,5 4,4 4,3

2017 6 5,6 5,7 5,7 5,7 5,5 5,5 5,1 4,9 4,8 4,8 4,7 4,7 4,4

2017 4,8 5,1 5,1 4,8 4,5 4,6 4,1 4,3

next 7 years 6,4 5,8 6,2 6,1 5,4 5,2 5,0 4,6 4,6 4,4 4,5 4,5 4,8 4,6 4,6 4,5 4,6

OFZ IN (option not substracted) next 7 years 8,1 7,3 7,7 7,6 6,9 6,7 6,5 6,0 5,8 5,5 5,3 5,5 5,8 5,4 5,0 4,9 5,0

Bond market next quarter 6,9 7,0 7,7 8,3 10,6 15,0 14,1 14,2 #Н/Д #Н/Д 12,3 #Н/Д #Н/Д 7,1 #Н/Д #Н/Д 7,5 #Н/Д #Н/Д 6,8

next quarter 6,7 7,5 8,2 10,2 14,8 17,1 15,0 13,6 #Н/Д #Н/Д 10,0 #Н/Д #Н/Д 6,2 #Н/Д #Н/Д 6,2 #Н/Д #Н/Д 6,0

next 12 months 84 85 84 83 76 72 80 83 85 82 84 83 81 78 82 77 82 78 79 80 80 83 79

next month 79 82 76 77 68 60 71 78 80 76 72 74 70 68 72 69 70 70 74 76 72 72 68

next 3 months 26 26 32 70 32 20 28 48 46 22 14 16 30 38 28 26 36 34 32 46

next 3 months 14,3 12,4 13,9 30,3 14,8 12,7 12,1 17,3 15,6 13,6 12,4 11,5 11,5 12,1 10,1 9,9 10,4 10,1 11,5

next quarter 42 41 41 43 31 28 30 29 #Н/Д #Н/Д 32 #Н/Д #Н/Д 29 #Н/Д #Н/Д 28 #Н/Д #Н/Д 27

next quarter 6 5 2 5 7 6 2 2 #Н/Д #Н/Д 5 #Н/Д #Н/Д 5 #Н/Д #Н/Д 0 #Н/Д #Н/Д 0

Change against 3MMA:

- inflation expectations become better (more than 1 standard deviation)

- inflation expectations become better (less than 1 standard deviation)

- inflation expectations unchanged (±0,2 standard deviation)

- inflation expectations become worse (less than 1 standard deviation)

- inflation expectations become worse (more than 1 standard deviation)

*Balanced index is the difference between the shares of those who expect prices to rise and to fall

Tariffs (Rosstat)

FOM

Businesses

REB

Bank of Russia

Retail prices (Rosstat)

OFZ IN

Interbank market

Inflation expectations (balanced index*)

Households

FOM

Professional analysts

Bloomberg

Interfax

Reuters

Financial markets

Survey

Inflation expectations (absolute value), %

Households

FOM

FOM (Bank of Russia calculations)

BANK OF RUSSIA

Fiscal Policy: The Ministry of Finance Adheres to Fiscal Consolidation and Plans to Develop Fiscal Rules

13

Conservative Fiscal Policy in 2016-2019: Budget Deficit Reduction from 3% in 2017 to 2% in 2018 and 1% in 2019.

New Fiscal Rules in 2017-2019: Sterilization of Extra Oil and Gas Revenues (due to Urals Price Being above $40 per barrel) and their Accumulation in the Reserve Fund

via the purchases of foreign currency in the domestic FX market. The volume of foreign currency purchases will be ₽183,6 bln in

February-March while the Reserve Fund is not used for budget deficit financing.

Borrowing as a Source of Financing Public Expenditures instead of the Reserve Fund: Gross placement of eurobonds in 2017 – $7 bln. Net Placement of OFZ in 2016 – 2019 will amount to ₽1,05 trln annually.

Further Fulfilment of Privatization Plans: “ALROSA”, “Bashneft”, “Rosneft” in 2016 and “VTB”, “NCSP”, “Sovkomflot” in 2017.

Ahead of Schedule Budget Execution at the beginning of the Year:

One-off payment to pensioners of ₽5000 and indexation of pensions by 5,4% in February and by 0,4% in April lead to considerably higher

social expenditures at the beginning of 2017 and to a budget deficit during the first two months of the current year.

Main Indicators of the Federal Budget

Federal budget Jan-Feb 2017 (moving average over

last 12 months)

2017

(Bank of Russia estimates in

baseline scenario – Urals

48$/brl)

Revenues, % of GDP 16,5 15,4

Expenditures, % of GDP 20,1 18,2

Deficit, % of GDP -3,6 -2,8

Net using (spending – accumulation) of the Reserve Fund

resources, ₽ trln

-0,11 0,75

BANK OF RUSSIA

Uncertainty About the Future of Oil Price Dynamics Persists. The Bank of Russia Considers 3 scenarios Sticking to Conservative Assumptions

14

20

30

40

50

60

70

80

90

100

110

2013 2014 2015 2016 2017 2018 2019

Bank of Russia, Urals, Optimistic scenario

Bank of Russia, Urals, Baseline scenario

Bank of Russia, Urals, Risk scenario

Oil price forecast*

Note: grey area reflects the range of oil price forecasts made by international organizations and independent analysts and oil prices actually observed in

previous years. The forecasts are made for oil grades: Brent, Dubai, WTI.

* As presented in Monetary Policy Report №1 (March 2017).

Sources: Bank of Russia, US Energy Information Administration, World Bank, IMF, The Economist, Consensus Economics, Reuters.

USD per barrel

BANK OF RUSSIA

Baseline Scenario: Gradual Economic Recovery, Inflation Slowdown to 4% by the end of 2017 and Its Retention Close to the Target in the Future

15

*As presented in Monetary Policy Report №1 (March 2017)

BANK OF RUSSIA

Baseline Scenario: The Key Changes in the Updated Forecast Mainly Touch Upon 2017. The Medium-Term Outlook on the Russian Economy Has Not Changed

16

Source: Bank of Russia. *As presented in Monetary Policy Report №1 (March 2017)

as % of previous year (unless indicated otherwise) 2016 (actual) 2017 2018 2019

Baseline*

Urals crude price (annual average), US dollars per

barrel 42 50 40 40

Inflation, % in December year-on-year 5,4 4,0 4,0 4,0

Gross domestic product -0,2 1,0-1,5 1,0-1,5 1,5-2,0

Final Consumption Expenditure -3,8 1,5-2,0 1,7-2,2 1,8-2,3

- households -5,0 2,0-2,5 2,3-2,8 2,3-2,8

Gross formation 3,3 5,0-6,0 1,5-2,5 2,3-3,3

- gross fixed capital formation -1,4 2,3-2,8 1,7-2,2 2,3-2,8

Net exports 21 -(28,6-23,6) -(10,3-6,2) -(8,3-3,8)

- exports 2,3 2,0-2,5 0,5-1,0 1,0-1,5

- imports -5 8,2-8,7 3,0-3,5 2,8-3,3

Loans to non-financial organizations and households in

rubles and foreign currency -1,8 5-7 7-9 8-10

BANK OF RUSSIA

Baseline Scenario: Balance of Payments Forecast

17

*As presented in Monetary Policy Report №1 (March 2017). Signs according to BPM5 Source: Bank of Russia

Actual Baseline*

2016 2017 2018 2019

Current account 22 30 9 8

Balance of trade 88 101 79 80

Exports 279 316 298 307

Imports -191 -214 -220 -227

Balance of services -24 -29 -28 -29

Exports 50 53 56 57

Imports -74 -81 -83 -86

Balance of primary and secondary

income -41 -43 -43 -44

Capital account -1 0 0 0

Balance of current and capital

accounts 21 30 9 8

Financial account (except reserve

assets) -12 -7 -8 -7

General government and central bank 4 6 5 6

Private sector (including net errors and

omissions) -16 -12 -13 -13

Change in FX reserves ('+' -

decrease, '-' - increase) -8 -23 0 0

(Billions USD)

BANK OF RUSSIA

Monetary Policy in March 2017

18

Reducing the key rate from

10.00 to 9.75% p.a.*

“While assessing evolving inflation dynamics

and economic developments against the

forecast, the Bank of Russia admits the

possibility of cutting the key rate gradually

in coming Q2-Q3”

Decision

Monetary policy signal

Inflation slowdown overshooting the forecast creates a

safety factor for reaching the 4% inflation target

Inflation expectations continue to decline

Inflation risks:

• Inertia of inflation expectations

• Household’s shrinking propensity to save

• Volatility in the global commodity and financial markets

Steadier economic recovery does not create inflationary

pressure

Risks that inflation will miss the 4% target by the end of

2017 have slightly abated. Nevertheless, there are still

risks that inflation may fail to anchor at the target level in

the medium run

* - Bank of Russia Press-Release as of March 24th, 2017

BANK OF RUSSIA

Appendix

BANK OF RUSSIA

Performance Under Structural Excess Liquidity Since January 2017. The Bank of Russia Mostly Conducts Deposit Auctions

20

-1

1

3

5

7

9

11

13

-1200

-200

800

1800

2800

06.16 07.16 08.16 09.16 10.16 11.16 12.16 01.17 02.17 03.17

%

₽ b

ln

REPO auctions Deposit auctions

Standing deposit facilities Standing REPO facilities

Amount outstanding on other refinancing operations Interbank market O/N rate (MIACR)

BoR key rate (right-hand scale)

Bank of Russia Operations and the Dynamics of MIACR


BANK OF RUSSIA

Overnight Rates Moved to the Upper Half of the Interest Rates Corridor. Net Position of Non-residents in the Ruble is Close to Zero

21

Sources: MICEX SE, Bank of Russia calculations

8,0

8,5

9,0

9,5

10,0

10,5

11,0

11,5

12,0

12,5

13,0

0

1000

2000

3000

4000

06.16 07.16 08.16 09.16 10.16 11.16 12.16 02.17 03.17

FX Swaps turnover Repo turnover

Interbank loans turnover O/N interbank loan rate

O/N repo rate O/N swap rate

Interest rate corridor bounds Interest rate

Interest rate corridor bounds

% ₽ Bln Interest Rates and Turnover on O/N Ruble

Segment of the Money Market

50

55

60

65

70

75

80

85

-300

-200

-100

0

100

200

300

12.15 01.16 03.16 05.16 07.16 08.16 10.16 11.16 01.17 03.17

₽/$ ₽ Bln Non-residents Net Borrowings on FX Swaps

O/N Swap Swap 2-90D

Swap > 90D USDRUB Spot

BANK OF RUSSIA

Bank Loans are the Main Source of Funding

22


12,0% 19,6%

34,4%

31,1%

22,7%

16,5%

28,0%

3,9%

47,0%

13,6% 24,4% 43,0%

38,5% 22,8%

0,0%

12,5%

25,0%

37,5%

50,0%

62,5%

75,0%

87,5%

100,0%

-

5

10

15

20

25

30

35

40

Bank loans Shares Bonds Eurobonds Syndicated loans

₽ T

rilli

on

Sectoral structure of the Russian financial market Utilities

Telecommunications

Other

Oil & Gas

Industrials

Financials

ConsumerGoods&ServicesBasic Materials

Government bonds

21 18 16 13 11 9 8 6 6 7 8 7 7 8 9 10 15

5 5 8 10 9 11 13 14 14 14 13 12 13 16 20 23 21 17 28 34 44 40

63

94 98

27

60 65 43 38 36 30 36

44

0 1

1 2 3

5

7 9

10

10 8

7 8 11 13 14

13

11 14

16 18 20

20

23 28

30

32 27

24 26 28 29 37

41

0

20

40

60

80

100

120

140

160

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 01.01.2017

The Russian Financial Market (End of Period, % of GDP)

Government bonds Corporate debt securities Stock market capitalization Household loans Bank loans to non-financial organizations

BANK OF RUSSIA

Non-resident Purchases of OFZ Hit a New Record in March

23

Sources: MICEX SE, Bank of Russia calculations

0,0

2,0

4,0

6,0

8,0

10,0

12,0

14,0

16,0

18,0

-100

-50

0

50

100

150

200

250

300

JA

N15

FE

B15

MA

R15

AP

R15

MA

Y1

5

JU

N15

JU

L15

AU

G1

5

SE

P15

OC

T1

5

NO

V1

5

DE

C15

JA

N16

FE

B16

MA

R16

AP

R16

MA

Y1

6

JU

N16

JU

L16

AU

G1

6

SE

P16

OC

T1

6

NO

V1

6

DE

C16

JA

N17

FE

B17

MA

R17

Government Bonds

Banks Subsidiaries of foreign banks Mutual funds Non-bank organizations Non-residents Systemically important banks Households Bond yield

Date Government

bonds

Regional

bonds Corporate bonds

Stock market

capitalization

2010 2,054 0,462 2,965 -

2011 2,803 0,424 3,437 -

2012 3,197 0,440 4,166 25,2

2013 3,635 0,499 5,189 25,3

2014 4,593 0,532 6,623 23,2

2015 4,991 0,576 8,068 28,8

2016 5,611 0,634 9,438 37,8

Feb.16 5,827 0,634 9,559 37,6

0

200

400

600

800

1000

1200

MA

Y1

4JU

N14

JU

L14

AU

G1

4S

EP

14

OC

T1

4N

OV

14

DE

C14

JA

N15

FE

B15

MA

R15

AP

R15

MA

Y1

5JU

N15

JU

L15

AU

G1

5S

EP

15

OC

T1

5N

OV

15

DE

C15

JA

N16

FE

B16

MA

R16

AP

R16

MA

Y1

6JU

N16

JU

L16

AU

G1

6S

EP

16

OC

T1

6N

OV

16

DE

C16

JA

N17

FE

B17

The Placement of Bonds on the Domestic Market (₽ bln)

Government bonds Corporate bonds Regional bonds

0,00

2,00

4,00

6,00

8,00

10,00

12,00

14,00

16,00

18,00

-100

0

100

200

300

400

500

600

JA

N15

FE

B15

MA

R15

AP

R15

MA

Y1

5

JU

N15

JU

L15

AU

G1

5

SE

P15

OC

T1

5

NO

V1

5

DE

C15

JA

N16

FE

B16

MA

R16

AP

R16

MA

Y1

6

JU

N16

JU

L16

AU

G1

6

SE

P16

OC

T1

6

NO

V1

6

DE

C16

JA

N17

FE

B17

MA

R17

Corporate Bonds

Change in 2016 +3,8% - +1,3% -0,5%

BANK OF RUSSIA

Issuing Activity in the External Market Remains High Due to Low FX Volatility and Decreased Expectations of Fed Tightening

24

-6,0-4,0-2,00,02,04,06,08,010,012,014,016,0

-6-4-202468

10121416

Jan 1

5

Feb

15

Ma

r 15

Apr

15

Ma

y 1

5

Jun 1

5

Jul 15

Aug 1

5

Sep 1

5

Oct 15

No

v 1

5

De

c 1

5

Jan 1

6

Feb

16

Ma

r 16

Apr

16

Ma

y 1

6

Jun 1

6

Jul 16

Aug 1

6

Sep 1

6

Oct 16

No

v 1

6

De

c 1

6

Jan 1

7

Fe

b 1

7

Ma

r 17

Apr

17

Ma

y 1

7

Jun 1

7

Jul 17

Aug 1

7

Sep 1

7

Oct 17

No

v 1

7

De

c 1

7

External Debt Placements and Redemptions ($ bln)

Eurobond placement Yeild range

Planned repayments

(right axis)

Sovereign Eurobonds Regional Eurobonds Corporate Eurobonds

2009 28,0 1,4 94,8

2010 32,2 1,3 106,6

2011 29,2 0,7 113,9

2012 34,9 0,5 148,9

2013 40,7 0,6 181,8

2014 39,3 0,5 165,9

2015 35,9 0,4 139,1

Dec.16 37,6 0,5 136,4

External Bond Market Portfolio ($ bln)

Change in 2016 +4,7% +25% -1,9%

0

117

233

350

466

583

700

0

2

4

6

8

10

12

Jan-12 Jan-13 Jan-14 Jan-15 Jan-16 Jan-17

Eurobond Yields and CDS-spread

Corporate eurobonds Sovereign eurobonds

CDS-spread


BANK OF RUSSIA

Non-residents’ Demand Increased in March Due to Good Carry Trade Conditions

25

Source: EPFR, Bank of Russia calculations

Credit rating Country/term

to maturity 2Y 5Y 10Y 15Y

3 investment grades

China -75 -60 -85 -30

South Africa -80 -41 20 18

India 14 -31 -35 -10

2 investment grades, 1 speculative

grade

Indonesia -76 -31 -15 -8

Turkey -22 -15 7 -

Bulgaria -163 -285 -323 -

1 investment grade, 2 speculative

grades Russia -5 38 100 177

3 speculative grades Hungary 66 99 132 152

9

0

5

10

15

20

25

USA

Can

ada

Jap

an

U.K

.

Fran

ce

Ital

y

Ger

man

y

Ru

ssia

Bra

zil

Sou

th A

fric

a

Ch

ina

Ind

ia

G7 BRICS

Average P/E

0

0,1

0,2

0,3

0,4

0,5

0,6

0,7

0,8

0,9

01.15 04.15 07.15 09.15 12.15 03.16 05.16 08.16 11.16 01.17

NDF Implied Rate / Implied Volatility

0,000

0,200

0,400

0,600

-1200-1000

-800-600-400-200

0200400600800

Jan 14 Jun 14 Nov 14 Apr 15 Sep 15 Feb 16 Jul 16 Dec 16

Carry-to-risk ratio and capital flows

Capital flows on bond market (EPFR Global)

Carry-to-risk ratio

О КЛЮЧЕВОЙ СТАВКЕ · 01.14 09.14 05.15 01.16 09.16 05.17 01.18 09.18 d el urals oil...

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