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TABLE 1.DYNAMICS OF THE FOREIGN STOCK INDEXES as of September 26, 2001 Value change for last change for last week (%) month (%) RTS (Russia) 176.79 -13.93% 34.93% Dow Jones Industrial Average (USA) 8567.39 -13.89% -19.53% Nasdaq Composite (USA) 1464.04 -18.91% -36.12% S&P 500 (USA) 1007.04 -11.16% -21.53% FTSE 100 (UK) 4696.1 -12.14% -23.95% DAX-30 (Germany) 4095.32 -21.06% -34.89% CAC-40 (France) 3975.53 -15.22% -31.44% Swiss Market (Switzerland) 5725.4 -13.02% -29.48% Nikkei-225 (Japan) 9641.7 -10.00% -29.58% Bovespa (Brazil) 10006 -22.08% -35.13% IPC (Mexico) 5324.84 -15.62% -4.17% IPSA (Chile) 100.75 -11.84% 1.38% Straits Times (Singapore) 1277.71 -21.09% -33.48% Seoul Composite(Korea) 472.85 -13.26% -9.23% ISE National-100 (Turkey) 7477.42 -24.31% -21.02% Morgan Stanley Emerging Markets Index 194.409 -15.78% -24.88% Interbank credit market balances on correspondent accounts of commercial banks with the Bank of Russia for the respective In August and September 2001 the market for period experienced strong variations between 70 to rouble interbank credits was rather calm (see Fig.

98 billion roubles. However, even a temporary 7). The overnight rate fluctuated between 4% to liquidity shrinkage (e.g., on the eve of GKO 10% annualised. It is an evident fact that in August auction in the beginning of the third decade the we did not see even the traditional end-of-month balances decreased to 70 bullion roubles) did not effect, when the credit rates went up in the end of evoke a rise in interest rates.

the month because of an increase in demand for roubles to settle payments and tax payments. The FIGURE 7.

'Overnight' Ruble Interbank Interest Rates between July to September, MIBID MIBOR MIACR Foreign exchange market testified to Russians confidence in rouble as a more liquid and reliable (at least in the short run) During early autumn, the foreign exchange market asset in case of economic shocks in the USA. As experienced some disturbances due to external well, there was no withdrawal of dollarshocks (after acts of terrorism in the USA to ensure denominated deposits, i.e. the transaction costs regularity of trades the MICEX changed its associated with deposit withdrawal and dollar clearing bank in US dollars the new one became rouble conversion were estimated as higher than Chase Manhattan Bank). However the Bank of possible gains on shifting to roubles even under Russia maintained its control over the situation.

unfavourable for the USD scenario. However the Thus, the main effect of the temporary rise of market for cash dollar stabilised the next day, and uncertainty was a decline in the CBRs foreign the buy/sell spread became narrow.

reserves, while the dollar exchange rate actually did not varied (the exchange rate increase did not In September 2001, the official dollar exchange exceeded 10 kopeck, or about 0.3%). Just within rate grew from 29.37 roubles/$ to 29.39 roubles/$, two or three days the dollar exchange rate arrived i.e. by 0.07% (0.82% annualised, see Fig. 8). The to the level of 29.4 roubles/USD. Notably, in the today dollar exchange rate in the SELT increased first hours after the information on events in the from 29.4057 roubles/$ to 29.419 roubles/$ (as of USA arrived, the sale of foreign exchange in the September 27), i.e. by 0.05%. The tomorrow streets increased, and the street exchange points dollar exchange rate grew from 29.416 roubles/$ to quoted cash USD for to 2022 roubles /$. However 29.4218 roubles/$ (as of September 26), i.e. by at the same time there was no serious increase in 0.02%. According to preliminary estimates, in the demand for other foreign currencies (e.g., September the trading volumes by dollar in the German marks or British pounds). This fact SELT amounted to 82 billion roubles at the most.

% annualized 02.07.05.07.10.07.13.07.18.07.23.07.26.07.31.07.03.08.08.08.13.08.16.08.21.08.24.08.29.08.03.09.06.09.11.09.14.09.19.09.24.09.27.09.FIGURE 8.

Dynamics of the Dollar Exchange Rates in 29,29,29,29,29,29,28,28,28,28,28,28,The official dollar exchange rate 28,The average-weighted 'today' dollar exchange rate 28,The average-weighted 'tomorrow' dollar exchange rate 28,In September 2001 the euro/dollar exchange inverted head and shoulders pattern. In reached its maximum since early-March 2001 (see particular, the head (0.840.86 $/euro) fell on the Fig. 9). After the initial fall from 0.9068 to 0.8994 period of the maximum slump in the euro $/euro on September 11, the euro/dollar exchange exchange rate (June) and shoulders were at the rate got the level of 0.9220.923 $/euro by the end level of 0.910.93 $/euro (February and of month. An interesting fact is that the euro/USD September). Thus, as early as in October one could exchange rate dynamics in 2001 looks like well expect a further growth in the euro exchange rate known in technical analysis of financial markets up to 0.950.96 $/euro.

FIGURE 9.

Dynamics of the Euro/Dollar Exchange Rate on the International Markets 0,0,0,0,0,0,0,0,\ 0,0,0,0,0,0, rubles/US dollar 04.01.18.01.31.01.13.02.24.02.12.03.23.03.05.04.19.04.04.05.18.05.31.05.13.06.26.06.10.07.21.07.03.08.16.08.29.08.11.09.22.09.euro/dollar 01.01.08.01.15.01.22.01.29.01.05.02.12.02.19.02.26.02.05.03.12.03.19.03.26.03.02.04.09.04.16.04.23.04.30.04.07.05.14.05.21.05.28.05.04.06.11.06.18.06.25.06.02.07.09.07.16.07.23.07.30.07.06.08.13.08.20.08.27.08.03.09.10.09.17.09.24.09.In September 2001 the euro/rouble exchange rate over the month (see Fig. 10). According to reached its historical maximum. The rouble/euro preliminary estimates, in September 2001, the total official exchange rate decreased from 26.67 trading volume on euro in the SELT made up roubles/euro to 26.86 roubles/euro, i.e. by 0.71%, about 3 billion roubles.

FIGURE 10.

Dynamics of EURO Official Excnange Rate in 27,27,26,26,25,25,24,24,TABLE 2. INDICATORS OF FINANCIAL MARKETS.

May June July August September* inflation rate (monthly) 1.8% 1.6% 0.5% 0.0% 0.2% annualised inflation rate by the months tendency 23.87% 20.98% 6.17% 0.0% 2.43% the RCB refinancing rate 25% 25% 25% 25% 25% annualized yield to maturity on OFZ issues 17.11% 17.03% 17.19% 16.13% 15.5% volume of trading in the secondary GKO-OFZ market a 7.98 7.92 11.67 7.44 8.month (billion rubles) yield to maturity on Minfin bonds by the end of the month (% a year):

4th tranche 17.37% 13.91% 15.90% 13.05% 13.6% 5th tranche 16.34% 14.59% 16.29% 15.53% 16.1% 6th tranche 15.88% 14.01% 15.54% 14.78% 15.7% 7th tranche 13.09% 13.26% 14.79% 14.70% 15.4% 8th tranche 15.71% 13.93% 14.76% 14.21% 15.1% INSTAR MIACR rate (annual %) on interbank loans by the end of the month:

overnight 13.87% 29.95% 25.3% 9.33% 10% 1 week 8.52% 29.49% 14.0% 10.28% 13% official exchange rate of ruble per US dollar by the end of the month 29.09 29.07 29.27 29.37 29.official exchange rate of ruble per Euro by the end of the month 24.87 24.57 25.60 26.67 26.average annualized exchange rate of ruble per US dollar growth 0.90% -0.07% 0.69% 0.34% 0.07% average annualized exchange rate of ruble per euro growth -3.12% -1.21% 4.19% 4.18% 0.71% volume of trading at the stock market in the RTS for the 405.7 490.4 436.8 232.0 249.month (millions of USD) the value of the RTS Index by the end of the month 208.80 216.11 196.12 205.41 180.growth in the RTS Index (% a month) 15.56% 3.50% -9.25% 13.96% -12.25% * Estimates S. Drobyshevsky, D. Skripkin rubles/euro 04.01.17.01.29.01.08.02.20.02.02.03.15.03.27.03.06.04.18.04.28.04.15.05.25.05.06.06.19.06.29.06.11.07.21.07.02.08.14.08.24.08.05.09.15.09.27.09.The Russian banks on the market for government bonds denominated in foreign exchange (OVVZ) The first half this year was characterized with a prices for the latter and for OVVZ with similar price rise for OVVZ. Of the five currently maturity dates, the Eurobonds appear significantly circulating tranches with the maturity between more expensive. The difference is nearly two-fold, 2003 throu8gh 2011, it was the quotations of the as far as the tranches with the most remote fourth, the shortest tranche that experienced the maturity dates are concerned. Thus, as of late July, highest price rise. Given that in late December the quotations of the tranches of both Eurobonds 2000 the average price for them was 57.6%, it and OVVZ with the dates of maturity set for climbed up to 82.75% by late July. were 102 and 81%, respectively, while considering the longer-term tranches (with the maturity dates By mid 2001 the OVVZ quotations found between 2010-11) the gap widens substantially themselves ranging between 40 to 80% of their (74% vs. 40%), given that the trend to shrinkage of face-value, depending on the tranche (Fig.1).

the price spread is noted only for the tranches with FIG.1 THE AVERAGE PRICES FOR OVVZ IN 2000-the shortest term to maturity (see Fig. 2 and 3) % 4th tranche 5th tranche FIG. 2 THE AVERAGE PRICES FOR THE TRANCHES 6th tranche 7th tranche OF EUROBONDS AND OVVZ WITH THE MATURITY 8th tranche DATES IN Eurobonds OVVZ % As of late month 3 6 9 12 3 6 As of late month Calculated on the basis of the data of IA Finmarket At the same time in the first half 2001 the 1 4 7 10 1 4 2000 proportion of OVVZ slid from 9.7 to 8.7%. This can be attributed to the fact that the average assets of Russian banks in absolute equivalent were FIG. 3 THE AVERAGE PRICES FOR THE TRANCHES growing faster than the Government federal debt OF EUROBONDS AND OVVZ WITH THE MATURITY obligations of the Russian Federation denominated DATES IN 2010-in foreign exchange (FDO RF) in the banks portfolios and their prices. Thus, the assets of the % Eurobonds OVVZ average Russian bank showed a 17.7% rise over the past half-year, while the amount of the noted FDO RF in Rb. terms grew just by 5%. That is, the banks would find more attractive investment instruments than the OVVZ, which is also proved by the fact that the prices for OVVZ and Russian Eurobonds were rising faster than the volume of As of late month the FDO RF in the Russian banks portfolios.

Thus, during the period in question the price rise 7 10 1 4 rate for OVVZ accounted for 4.4. 28.6%, 2000 depending on the tranche, while for Eurobonds- between 1 to 11%, depending on the tranche, while As of late month the portfolio of the FDO RF of the average Russian Calculated upon the data of IA Finmarket bank grew by 2.2% in USD equivalent. The lower prices for OVVZ secured higher yields compared with Eurobonds, despite the latter The investment characteristics of OVVZ tranches showed a higher coupon yield. Whilst investing in in 2001 continued to differ greatly from RF OVVZ with an intention to hold them right until Governments Eurobonds. Whilst comparing the the maturity date, despite a seemingly great price Let us focus on operations of Moscow banks in the difference, the banks may have counted on 17to market for OVVZ. According to the data of 30% interest at the beginning, and 15-16% in the information agencies Finmarket, MFDmiddle of the year (between 40 to 80%, depending Infocenter, RosbusinessConculting, OVVZ are on the tranche). quoted by the Moscow banks presented in Table 1.

Interestingly, all of them, except Metalinvest also Yet another characteristic feature of the market for are operators in the market for Russian Eurobonds, OVVZ is a higher margin rate between the however, the group of the banks quoting purchase and sales prices (between 0.6 to 2.3% Eurobonds also includes Akfa-bank, Impexbank, depending on the tranche vs. 0.2- 1.6% the one for and Russky Generalny Bank.

Eurobonds noted in mid 2001).

TABLE 1. THE BANKS PROVIDING THEIR QUOTATIONS OF OVVZ TO INFORMATION AGENCIES - Sberbank RF Sberbank RF Sberbank RF Guta-Bank Bank of Moscow Bank of Moscow Eurofinance Guta-Bank Vneshtorgbank Zenit Metalinvestbank Sovfintrade MDM-Bank MDM-Bank Alba Alliance Novikombank Alba-Alliance Eurofinance Rosbank Zenit Roseximbank Guta-Bank Vozrozhdenie MDM-Bank Sobinbank Expobank Novikombank Sobinbank Rosbank Roseximbank ING Bank It should be noted that the above list is not a comprised of 15 banks. As for the group of complete list of financial institutions that quote Moscow banks, additionally, the banks run by OVVZ, nor it covers all the banks that conduct ARCO were excluded, too.

operations with or hold in their portfolio federal The proportions of FDO RF denominated in debt obligations of the Russian Federation foreign exchange in th the assets of the banks that denominated in foreign exchange (FDO RF).

provide their quotations of OVVZ showed an Overall, as of mid-2001 the banks whose balances upward trend. Thus, as of late 2000 the respective showed the presence of FDO RF denominated in index accounted for 6%, by the end of the 1st foreign exchange outnumbered 140, however, it is quarter 2001- 6.5%, and by the beginning of the 3rd the banks that provide their quotations to quarter- 7.2%. Interestingly, as concerns the group information agencies that can be regarded as the of Moscow banks, their respective index slid from most active operators on this market. 4.1 to 3.8% over the period in question.

To compare them with the average Moscow bank, The growth in FDO RF denominated in foreign the two biggest banks- Sberbank RF and exchange in absolute terms over the half-year in Vneshtorgbank- were excluded from the both USD equivalent for the banks providing their samples. As well, Montazhspetsbank was excluded OVVZ quotations accounted for 36%, while there from the sample of banks-operators on the market was a practical absence of that for all the Russian for OVVZ, because as of the dates in question banks, while as for the Moscow banks, the (January 1, 2001 and July 1, 2001), it did not have respective rate made up just 14%.

its own portfolio of OVVZ. Thus, the sample of As of mid-2001, the overall assets of the Moscow the most active operators in the OVVZ market was banks- operators in the OVVZ market accounted Commercial banks of the Russian Federation for Rb. 220.8 bln., or 17% of the assets of the demonstrates that the banks that are active in the operating Moscow banks (without regard to market for FDO RF denominated in foreign Sberbank and Vneshtorgbank). At the same time exchange, are more reluctant to place their capital by mid 2001, the banks- operators in the OVVZ in the banking sector compared with the average market appeared on average 7-fold bigger than a Moscow bank, while at the same time they hold a Moscow bank. more pro-active stand in regard to extending credits outside the banking sector.

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