Determination of the Optimal Ways of Commercial Banks' Liquidity Management in the Conditions of Digital Ruble Implementation

The emergence of distributed ledger technology allowed the application of blockchain technology, smart contracts and the use of cryptocurrencies, which led to the emergence of the digital asset market. One of the vectors of development of the digital asset market is the development of a central bank digital currency. In Russia, the Concept of Digital Ruble was published in 2021. Currently, the procedure of testing the digital ruble has been launched within the framework of a pilot group, which includes 13 banks. The pilot project is currently in the testing phase. The relevance of the study is conditioned by the fact that when introducing the digital ruble, commercial banks may face a lack of real actual liquidity (necessary, first of all, for lending activities) caused by the overflow of customer funds into the digital ruble. This, in turn, will negatively affect the optimal (from the point of view of the final financial result) trajectories of liquidity management, forcing banks to look for more expensive sources of funding to replace outflows. The purpose of this paper is twofold: first, to consider the impact of the implementation of the digital ruble on the balance sheet structure and liquidity ratios of commercial banks, and second, to develop an approach and practical recommendations (both for commercial banks and for the regulator) for optimal liquidity management to achieve maximum financial results under the conditions of the digital ruble implementation with the need to comply with the regulator's requirements for the target level of regulatory liquidity. This paper analyzes the balance sheet structure of commercial banks and identifies the balance sheet items from which the flow of customer funds into digital rubles is potentially possible, as well as qualitatively characterizes the channels of influence of the digital ruble on the balance sheet liquidity of commercial banks and formulates the necessary assumptions for modeling. On the basis of the obtained assumptions, an optimization micro-problem of a bank under the constraint of compliance with the norm H26 and a number of several budgetary constraints is formulated and analytically solved. The effect of substitution of outflows into digital rubles by borrowings from the interbank market is analytically shown (the substitution effect using other funding sources can also be obtained by changing the normative outflow ratio). Then, the same problem is formulated as an optimal control problem in continuous time, and its quality is tested on real data of the aggregated balance sheet of the banking sector of the Russian Federation. After that, the optimal trajectories of liquidity management of the "aggregated bank" in two states are modeled: in the normal course of business and after the outflow from customer accounts into digital rubles. Based on the obtained trajectories, the effect of outflow on the final financial "aggregated bank" is quantitatively assessed.