Banks will be checked for stability – Kommersant

The Bank of Russia will conduct a full-scale supervisory stress testing of credit institutions in autumn, including about 30 banks, or 80% of the sector’s assets. The tests assess the soundness of banks. Despite the satisfactory results of the reduced audits in 2022 and the absence of systemic risks, individual lenders still need support. But experts doubt that the Central Bank will take any really tough measures based on the results of the tests.

The Central Bank told Kommersant that in the autumn the regulator intends to return to full-scale stress testing using the bottom-up method. These are stress tests in which the largest banks independently carry out calculations according to a single scenario, and the regulator checks, adjusts and summarizes the results. The format will be distinguished by a large number of participants (about 30 banks, target coverage of more than 80% of the sector’s assets), as well as a detailed template for filling out.

At the end of 2022, the regulator conducted stress tests in an abridged version: only 13 systemically important banks and simplified templates. As the Central Bank explained to Kommersant, this was done “in order to reduce the burden on banks.” The regulator interviewed market participants about likely credit losses until the end of 2023 and conducted tests itself (top-down approach).

In the 2023 tests, there will be a number of adjustments to take into account the situation provoked by military operations in Ukraine. Thus, the Central Bank added a risk assessment for blocked assets. Accounting for losses on them began already in 2022, drowned in the Bank of Russia. But, the regulator emphasized, “the approaches to stress tests have not changed radically.”

“Supervisory stress testing is carried out dynamically comparing quarterly, semi-annual changes in the stress scenario relative to the budget one, which allows banks to reflect stress response measures and the strategic evolution of the balance sheet,” explains Elizaveta Rozanova, head of the integrated risk management center at Rosbank.

The results of stress tests for 2022 (the main goal was to identify additional capitalization needs) showed that the accumulated capital buffer allows most of the analyzed banks to absorb losses to a large extent, but some additional support may be required. The total amount of additional capitalization was estimated at 700 billion rubles. until the end of 2023.

In 2022, 29 banks have already been capitalized, but a number of players carried out planned issues that were not associated with the risks that had arisen. In 2022, the capital was replenished with large amounts, for example, by Gazprombank (for 50 billion rubles), Rosselkhozbank (25 billion rubles), PSB (13.7 billion rubles, another 28.4 billion rubles entered the capital in January 2022 based on the results of an additional issue at the end of 2021), MTS-Bank (11 billion rubles), UBRD (11 billion rubles) and others. Additional capitalization of VTB in 2023 may exceed 500 billion rubles. In mid-March, the head of the Central Bank, Elvira Nabiullina, noted that other banks also needed capital, “work is underway with their owners.”

VTB told Kommersant that they are now waiting for “feedback” from the regulator based on the results of stress testing in 2022, especially taking into account the new requirements: “For blocked assets, we proceeded from the presence of a scenario for settling the bank’s claims for such assets, in the absence of a realistic scenario – formed increased reserves. Next year, blocked assets will no longer affect stress testing, since reserves for them will be formed in a significant part, VTB believes.

In recent years, a flexible system of interaction between supervision and banks has been formed in Russia, says ACRA CEO Mikhail Sukhov. “In Russian practice, a phased period for restoring the capital buffer has been established for five years (until 2028.— “b”), it is hardly worth expecting additional capital requirements from the Central Bank based on the results of stress tests,” Mr. Sukhov believes. capital.” In particular, according to him, we can talk about tough recommendations, for example, regarding non-payment of dividends or credit policy.

Olga Sherunkova