The NBU has published the methodology for assessing banks' resilience in 2018.
The assessment will be carried out as of 1 January and will consist of three stages:
- Audit firms will verify banks’ asset quality and eligibility of collateral pledged for loans.
- The NBU will extrapolate the first stage findings and assess banks’ capital adequacy.
- The NBU will assess banks’ capital adequacy based on the stress testing results under the baseline and adverse macroeconomic scenarios. In 2018, 25 banks are subject to stress testing.
The baseline macroeconomic scenario uses the NBU public forecasts, except for the exchange rate forecast. The exchange rate forecast incorporated into the baseline scenario is grounded on consensus forecast data.
The adverse scenario is based on hypothetical assumptions of macroeconomic indicators that lead to realization of sizable credit and market risks. Therefore, the macroeconomic indicators used for this scenario do not represent the NBU forecast. In line with the international practice, these assumptions are to form a harsh but realistic scenario.
Detailed information about macroeconomic scenarios to be used for stress testing in 2018 is available by the link.
The stress testing will cover 25 banks. These are the largest banks by average values of two indicators: risk-weighted assets and retail deposits. They account for a total of 93% of the banking sector assets.
According to the above criteria, in 2018, the list of these banks is as follows:
- PrivatBank
- Oschadbank
- Ukreximbank
- Raiffeisen Bank Aval
- Alfa-Bank
- Ukrgasbank
- FUIB
- UkrSibbank
- Sberbank
- Ukrsotsbank
- OTP Bank
- Bank Pivdennyi
- Credit Agricole Bank
- Prominvestbank
- Tascombank
- ProCredit Bank
- KredoBank
- VТB Bаnk
- Bank Credit Dnipro
- Megabank
- Bank Vostok
- A-Bank
- Idea Bank
- Universal Bank
- Bank for Investments and Savings
Banks with unmet capital needs according to assessment findings will be obliged to develop and implement a capitalization program and/or an action plan to maintain or restore the level of capital. The deadline will be the end of the year. Finding of the resilience assessment will be published by the year-end.
The stress testing methodology is approved by the NBU Board.
The annual assessment of banks' resilience was introduced by NBU Board Resolution No. 141 dated 22 December 2017.