The NBU will start stress testing 21 banks according to the updated methodology
8 May 08:05
The National Bank of Ukraine has approved a methodology for stress testing banks in 2025. The test will begin in June and will cover 21 banks, which account for more than 90% of the banking system’s assets. This is stated on the regulator’s website, "Komersant Ukrainian" reports
This year’s stress testing will be based on an updated methodology that involves the use of an unfavorable macroeconomic scenario. This will allow for a deeper assessment of the risks that banks may face in a prolonged crisis.
In 2023, the resilience assessment was conducted exclusively under the baseline scenario based on the NBU’s forecasts.
The negative scenario assumes, in particular, a 3.1% decline in GDP in the first year of the forecast period. The NBU took into account the experience of similar tests in EU countries. The stress test horizon will remain the traditional three years. Bank balance sheets will be static, meaning that the structure and volume of assets will not change, except when they are affected by risks or exchange rate revaluations.
Traditionally, the stress test will also include credit and market (interest rate and currency) risks.
Credit risk arises from deterioration in loan quality. The parameters of deterioration are determined individually for loans to large corporate borrowers and for other loans on a portfolio basis.
Interest rate risk in an unfavorable scenario is realized through the unchanged rates on assets and the growth of the value of liabilities.
Currency risk is realized through the revaluation of the open currency position as a result of devaluation, changes in the currency risk component of market risk, and indirectly through credit and interest rate risks.
Additionally, the NBU has also considered the impact of operational risk realization on banks’ capital in an unfavorable scenario.
The assessment will determine whether the banks’ capital meets the established standards in a crisis. In case of deviations from the standards, banks will have to develop and implement a capitalization or restructuring program.
The final results of the stress test will be made public by the end of the year, broken down by bank.
