The Central Bank tested Russian banks on the model of the American crisis
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The Central Bank conducted an analysis of the sensitivity of Russian credit institutions to a 5 p.p. increase in bond yields. against the background of the bankruptcy of several American banks. Based on the results of the analysis, the regulator reported on the stability of the Russian banking sector to such circumstances.
In the Financial Markets Risk Review (.pdf) The Central Bank says that in the event of an increase in the yields of ruble bonds in the portfolios of the banking sector by an average of 5 percentage points, a negative revaluation will amount to 0.91 trillion rubles. The regulator claims that this will not affect the banking sector and individual banks. In addition, such a situation will not lead to a decrease in capital adequacy ratios below the normative value for any of the banks.
A scenario was also calculated when banks had to sell bonds that were reflected in accounts until maturity. In this case, a negative revaluation of securities portfolios by 1.58 trillion rubles is predicted. Then 8 banks (accounting for 0.62% of the assets of the entire banking sector) will have one of the capital adequacy ratios lower than the normative value.
The Bank of Russia notes that under such a scenario, it will provide the necessary liquidity to credit institutions, which were already used during the crisis periods of 2020 and 2022. The regulator’s report said that “contagion effects” due to problems with Western banks are unlikely, as the Russian financial market is “largely” isolated due to sanctions and retaliatory measures of foreign exchange regulation.
Meanwhile, risks for the banking sector are the reduction in world prices and demand for Russian exports in the event of a global recession, the Central Bank added. The probability of such a scenario is low, the regulator believes, but has recently grown.
On March 10, SVB, the 16th largest US bank, filed for bankruptcy. Following him, the New York Signature Bank declared bankruptcy. It became the third largest bank failure in US history. In the week following the collapse of SVB and Signature Bank, other US banks borrowed a record $165 billion from the US Federal Reserve amid banking market concerns.
How economists analyze the banking crisis – in the material “Kommersant” “At least three volumes per month”.
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