Stress testing of Russian banks, conducted by the Center for macroeconomic analysis and short-term forecasting (CMASF) in April, showed relatively low system need additional capitalization, which may be caused by the economic situation of the pandemic coronavirus. Banks may need 110 to 120 billion RUB of additional capital, but only in the case if the shock does not reveal major holes in the existing banking capital. Insights CMASF confirm the thesis of the Central Bank about the low probability of a banking crisis in 2020, analysts agree with the Bank of Russia to assess the impact on the ongoing package of regulatory relief measures.CMASF published a report of the center stress tests of the banking sector in terms of “possible macroeconomic shocks” 2020-2021 years. The goal of the study was the modelling of banks ‘ balance sheets in various scenarios, including under the influence of “coronavirus” shock and its consequences, says compared them with a model of “a hypothetical crisis-free scenario,” which can no longer be implemented: it implies a stable exchange rate at the level 62-63 RUB/$, the absence of external shocks and the trend (to 2019) the dynamics of the development of the banking system.Two stress variants under consideration says,— the scenario in which the financial crisis is still beginning to develop. We are talking about a new devaluation of the rouble (100 RUB/$) and implementing all types of financial risk: the growth of bad debts on Bank balance sheets by 5 percentage points, the outflow of deposits by 10% for the quarter followed a smaller outflow, the fall in the value of the securities on the balance sheets of 40%, the rpm drop of the interbank market in the quarter and the reduction of credit portfolio by 10% by the end of 2021. In this case, according to CMASF, additional the need for additional capitalization of the banking system (presumably, mostly the lender of last resort or government) will be only 110-120 billion rubles. the Second stress scenario is more complicated. In the same opening CMASF considers (in its own way) the probability of detection in the banking capital of hidden holes — negative difference between the actual value of their assets and liabilities. These calculations show a different picture: the need for recapitalization will have 228 banks, including a systemically significant, less than a quarter of banks (but including systemically significant) will be able to solve this problem at the expense of shareholders. The risks of a Domino effect CMASF considers low, this is possible only with the large regional banks.In a situation with hidden holes (the scale in the banking system at the moment is debatable, from a legal point of view, to their identification of the Central Bank they do not exist), the total amount of funds that will be needed in the recapitalization of banks is not from shareholders, and 1.7 trillion state-owned Banks and subsidiary banks non-residents will be able to solve this problem even without state participation. Says demonstrates that the losses from the realization of credit risks in the banking system will be comparable to losses from realization of risks of the securities in the balance sheet (for the 1.4–1.7 trillion rubles.), the risks of “Bank RAID” will cost about 0.3 trillion rubles, finally arrived from the revaluation of foreign exchange position would amount to about 1.75 trillion Regulatory relief, the data of the Central Bank, reduce the amount of loss of nearly 400 billion rubles Note, says he believes that the strategy of the Bank of Russia to support the banking system regulatory relief to a securities account — the most effective tool of stabilization of the situation which in the first and second embodiments, the stress scenario will significantly save money that will be needed for the recapitalization of banks.Dmitry Butrin
