The volatility of the exchange rate in April-June decreased with a reduction in fluctuations of oil prices. In addition, in the second quarter on the background of the approaching period dividends exporters stepped up sales of foreign exchange earnings, which helped reduce exchange rate volatility in periods of sharp fluctuations in oil prices and decreasing global risk appetite. “In the third quarter. [volatility] can be maintained at the current level”, — stated in the financial Outlook of the Central Bank “terms of conduct of monetary policy.”
The dependence of the ruble on the price of oil in April-June as a whole has changed slightly. In the justification of market expectations regarding the volatility of oil prices in July-September, the volatility may be about 19 percentage points, says the regulator.
Societe Generale, in its review, published on Monday, predicts the dollar against the ruble at the level of 65 rubles/$ in the fourth quarter and 63 rubles/$ in the first quarter of 2017, taking into account the increased oil prices and improved macroeconomic indicators.
The Bank of Russia continues to expect that the transition of the banking sector structural liquidity deficit to surplus liquidity will be held in early 2017. Thus, according to the regulator, on the liquidity of the sector will affect only one source of financing the budget deficit of the Russian Federation — sovereign wealth funds. The use of funds from the placement of OFZ or privatization of state-owned companies on the horizon about a year will have a neutral impact on this indicator, the Bank of Russia.
OFZ yields will continue to decline
According to estimates by the regulator, the yield of Federal loan bonds (OFZ) may be reduced by 40-80 basis points (b.n.) in the third quarter compared with the second quarter, subject to inflation slowdown and reduction in CDS premiums for Russia. As stated in the review, a reduction in the yield of OFZ can be maintained in 2017.
The Bank of Russia also notes that banks in the second quarter restructured its bond portfolios with the purpose of increase of the share of highly liquid assets: they substituted government bonds corporate securities, which has recently become less attractive due to their low profitability and the impact on the liquidity coverage ratio.