Alpha Bank successfully concluded the 2018 Stress Test conducted on the four systemic Greek Banks. Under the baseline scenario, 2020 CET1 ratio came to 20.4%, following an aggregate impact of +212bps post IFRS 9, mainly driven by a strong pre provision income generation.
The Stress Test was conducted based on a static balance sheet approach under a baseline and an adverse macro scenario with a 3 year forecasting horizon (2018-2020). The starting point was December 31st, 2017, re-stated to account for IFRS 9 impact.
Impact was assessed in terms of CET1 ratio. No hurdle rate or capital thresholds were applied for this exercise.
Under the baseline scenario, 2020 CET1 ratio reached 20.4%, following an aggregate impact of +212bps post IFRS 9, mainly driven by a strong pre provision ιncome generation.
Under the adverse scenario, 2020 CET1 ratio stood at 9.7%, down by 856bps, post IFRS 9, largely driven by the negative impact of Credit Risk resulting from the stressed macro environment and methodological constraints.
Based on feedback received by the Single Supervisory Mechanism, the Stress Test outcome, along with other factors, have been assessed by its Supervisory Board, pointing to no capital shortfall. Therefore, no capital plan was required, as a result of the exercise.
