IMF博茨瓦納金融部門評(píng)估方案-關(guān)于評(píng)估銀行系統(tǒng)性風(fēng)險(xiǎn)和脆弱性的技術(shù)說明

IMFCountryReportNo.24/63

BOTSWANA

March2024

FINANCIALSECTORASSESSMENTPROGRAM

TECHNICALNOTEONSYSTEMICRISKSANDVULNERABILITIESFORBANKS

ThispaperonBotswanawaspreparedbyastaffteamoftheInternationalMonetaryFundasbackgrounddocumentationfortheperiodicconsultationwiththemembercountry.ItisbasedontheinformationavailableatthetimeitwascompletedonJanuary18,2024.

Copiesofthisreportareavailabletothepublicfrom

InternationalMonetaryFund?PublicationServicesPOBox92780?Washington,D.C.20090

Telephone:(202)623-7430?Fax:(202)623-7201

E-mail:

publications@

Web:

InternationalMonetaryFund

Washington,D.C.

?2024InternationalMonetaryFund

PreparedBy

MonetaryandCapitalMarketsDepartment

January18,2024

BOTSWANA

FINANCIALSECTORASSESSMENTPROGRAM

TECHNICALNOTE

ASSESSMENTOFSYSTEMICRISKSANDVULNERABILITIES

FORBANKS

ThisTechnicalNotewaspreparedbyIMFstaffinthecontextoftheFinancialSectorAssessmentPrograminBotswana.Itcontainstechnicalanalysisand

detailedinformationunderpinningtheFSAP’s

findingsandrecommendations.Furtherinformation

ontheFSAPcanbefoundat

/external/np/fsap/fssa.aspx

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CONTENTS

Glossary

4

EXECUTIVESUMMARY

5

BACKGROUND

9

A.FinancialSectorLandscape

9

B.BankingSectorRiskandVulnerabilities

12

C.ScopeofStressTestsandRiskAnalysis

18

TOP-DOWNBANKSOLVENCYSTRESSTEST

19

A.Overview

19

B.Scenarios

19

C.ModelsandMethodologiestoBalanceSheetandIncomeProjections

21

D.StressTestResults

23

E.SingleFactorSensitivityAnalysis

25

F.PolicyRecommendations

28

TOP-DOWNBANKLIQUIDITYSTRESSTEST

29

A.Overview

29

B.Methodology

29

C.StressTestResult

32

D.LCRSensitivityAnalysis

33

E.PolicyRecommendations

34

INTERCONNECTEDNESSANDCONTAGIONANALYSIS

35

A.Interconnectedness

35

B.ContagionRisks

36

C.PolicyRecommendations

38

BOXES

1.TrendsinHouseholdIndebtedness

14

2.HurdleRates

23

3.MacroprudentialPolicyTools

27

4.StatusofLCRandNSFRforCommercialBanks

35

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FIGURES

1.FinancialSectorStructure

10

2.MacrofinancialContext

11

3.BroadCreditConditions

12

4.BankingSystemAssetDecompositionandCreditRiskProfile

13

5.NPLsintheBankingSystem

16

6.MaturityStructureofAssetsandLiabilitiesintheBankingBook

17

7.BankDepositsbyMaturityandHolder

18

8.MacroScenarios

20

9.SolvencyStressTestResults

24

10.SensitivityAnalysis

25

11.HQLADecomposition

30

12.LCR-ProxyStressTestResult

32

13.LCRSensitivityAnalysis

33

14.ContagionAnalysis

37

TABLES

1.KeyRecommendationsforBankSystemicRiskAnalysis

8

2.SensitivityAnalysisResultsforConcentrationofCreditRisk

26

3.LCRFactorsandScenarios

31

APPENDICES

I.NPLRatiosSatelliteModelandProxyPD

39

II.SatelliteModels—InterestIncomeandInterestExpense

42

III.DetailedResultsfromSolvencyStressTest

45

IV.RiskAssessmentMatrix

47

V.StressTestMatrix

49

VI.FinancialStabilityandMacroprudentialPolicyFramework

54

VII.LCRDataMapping(BaselIItoBaselIII)

59

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Glossary

AfSAvailableforSale

BoBBankofBotswana

CARCapitalAdequacyRatio

CET1CommonEquityTier1

D-SIBDomesticSystemicallyImportantBank

EADExposureatDefault

FSAPFinancialSectorAssessmentProgram

FSGMFlexibleSystemofGlobalModels

FSIFinancialSoundnessIndicators

FX

ForeignCurrency

GDP

GrossDomesticProduct

HfT

HeldforTrading

HQLA

High-QualityLiquidAssets

IMF

InternationalMonetaryFund

IRRBB

InterestRateRiskintheBankingBook

LAR

LiquidAssetsRatio

LCR

LiquidityCoverageRatio

LGD

LossGivenDefault

MCM

MonetaryandCapitalMarkets

MoPR

MonetaryPolicyRate

NBFI

Non-BankFinancialInstitutions

NBFIRA

Non-BankFinancialInstitutionsRegulatoryAuthority

NII

NetInterestIncome

NPL

NonperformingLoans

NSFR

NetStableFundingRatio

OLS

OrdinaryLeastSquares

PD

ProbabilityofDefault

PRR

PrimaryReservesRequirement

RAM

RiskAssessmentMatrix

RWA

Risk-WeightedAssets

SREP

SupervisoryReviewandEvaluationProcess

TA

TechnicalAssistance

US

UnitedStates

USD

U.S.Dollar

WBWorldBank

WEOWorldEconomicOutlook

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EXECUTIVESUMMARY

1

Botswanaisasmall,openeconomywithahighlyconcentratedfinancialsectorcomprising

banksandsizeablenon-bankfinancialinstitutions(NBFIs).Financialinstitutionsholdadequatecapitalandliquidityandshowmoderateprofitability.TheinterconnectednessbetweenbanksandNBFIs,andbanks’largeexposurestounsecuredhouseholddebtcouldincreasefinancialsector

vulnerability.

ThesystemicriskanalysiswasconductedintheaftermathoftheCOVID-19pandemic.The

financialsectorwithstoodthepandemicwell,giventhesectors’strongfinancialpositionandowing,inpart,topolicymeasures.Bankcapitalappearsadequate,andalthoughliquidityisample,banks’balancesheetsreflectahighconcentrationoflumpyshort-termdepositsfromthenon-banksector,includingNBFIsandcorporates.

Thefinancialsectorisvulnerabletothreemainrisks:geo-politicaldevelopmentsmayslow

globalgrowthandreducediamonddemandthatadverselyimpactseconomicperformancein

Botswana;sustainedfoodandenergycostpressurescouldfurtherpushinflation;andthetighteningofglobalfinancialconditionsasmajoreconomiescontinuetoincreasepolicyratescouldleadto

tighterdomesticfinancialconditions.Thecombinationofshockscoulddelayeconomicrecoveryand

prolongtheperiodofhighinflationleadingtotighterdomesticmonetarypolicy—potentiallyimpactingfinancialinstitutions.Financialstabilitycouldalsobeimpactedbyrecentregulatorychangesforretirementfunds.

ThisTechnicalNote(TN)assessessystemicrisksinthebankingsector.Theassessmentisbasedonstresstests,whichsimulatethehealthofthebanksunderasevereyetplausible(counterfactual)adversescenario.Thescenarioincludesglobalanddomesticinflationarypressures,monetarypolicytightness,andamajorslowdownofeconomicactivity.Theexercisescoveredeightcommercial

banksasofJune2022.

2

Threetypesofstresstestexerciseswereperformed:atop-downsolvencystresstest,aliquiditystresstest,andacontagionandinterconnectednessstresstest.Thelatter

focusedonthedomesticbankinginterconnectedness.

Thefinancialsystemappearsresilienttoawiderangeofshocks.Solvencystresstestsidentify

smallcapitalshortfallsintwobanksundertheadversescenario.Theelevatedlevelofbankingsectorliquidityallowsallbankstocomplywiththeprescribedliquidityratioswithsufficientbuffersina

baselinescenario.Underanadversescenario,fivebankswouldfacealiquidityshortfallduetotheirsusceptibilitytoshort-termwholesalefundingsources—however,expandingtheclassofeligible

liquidassetstobeconsistentwiththeBaselIIIHQLAdefinitionwouldreducethenumberofbanksfacingliquidityshortfalltotwo.ThesefundingsourcesreflectlargedepositsfromNBFIscomprisinginsurancecompaniesandretirementfundsthatarewellintegratedwiththebankingsector.

1PreparedbyDanCheng,YuanGaoRollinson,andIanStuart.TheFSAPteamwouldliketoexpressitsdeepestgratitudetotheauthoritiesfortheirclosecooperationandsupportinfacilitatingthiscomprehensiveexercise.

2CommercialbanksrefertoeightcommercialbanksinBotswanaasofJune2022.TheBBSBankLimited,whichwaslicensedasacommercialbankonOctober6,2022,isexcludedfromtheanalysis.

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Althoughthisvulnerabilityishighlighted,astresstestofthelargestNBFIstomarketrisksunderanadversescenarioindicatesthattheimpactonNBFIs’capitalislimited.

3

TheFSAPrecommendsthattheBankofBotswana(BoB)andNon-BankFinancialInstitutions

RegulatoryAuthority(NBFIRA)improvethegranularityandqualityofcertaindatasetstoenhancevulnerabilityassessments.(1)Forcreditriskmodelling,theBOBshouldcollect

nonperformingloan(NPL)inflowsandoutflowsdata.Thedatawouldreflectthetransitionofperformingloanstononperformingstatus,ortheexitfromnonperformingstatustoother

categories,e.g.,forwrite-offsandrecoveries;andprobabilityofdefaultandlossgivendefaultdatafromcommercialbanksbyeconomicsectors.(2)Formarketriskmodelling,despitelimitedexposureinBotswana’sbankingsystem,theBOBshouldcollectthespecificdurationofsecuritiesforrisk

monitoringandmanagementpurposes.(3)Forinterconnectednessanalysis,NBFIRAshouldaddreportingrequirementsforbilateralexposuresbetweenbanksandallNBFIsonaregularbasis.

TheFSAPrecommendsthattheBoBintroducesmacroandmicrolevelstresstestbasedona

multi-periodscenarioanalysisanddevelopsitsframeworktoassessinterestrateriskinthe

bankingbook(IRRBB).Onthestresstestingframework,BOBcurrentlyconductssinglefactor,

singleperiodstresstests,andshouldintegrateoutputsfromongoingIMFtechnicalassistancewithinitsmacroprudentialstresstestingframework.TheseenhancementswillallowtheBoBtochallenge

theresultsofbanks’microprudentialstresstestsandvalidatetheirassessmentofIRRBB.

Developingthesupervisorymethodologiesforassessmentofbanks’exposuretoIRRBBandthepotentialimpactonbanks’capitalcanbetterinformsupervisionandstrengthenthesupervisoryreviewandevaluationprocess(SREP).

TheFSAPrecommendsprioritizingtheplannedtransitiontotheBaselIIIliquiditymonitoringandassessmentframework.Whilethecurrentstatutoryliquidassetsratio(LAR)regulationplays

anex-anteriskcontroltomitigateliquidityrisks,ithaslimitationsforidentifyingvulnerabilitiesto

liquidityandfundingrisks.ThetransitiontoaBaselIIILiquidityCoverageRatio(LCR)complementedbyaNetStableFundingRatio(NSFR)willallowtheBoBtoevaluateindividualbank’sresilience

againsttheserisks.Tosupportthistransition,theBoBshouldexpanditsqualifyingliquidassetsbyincludingtherequiredreservesintheneartermandlong-termgovernmentbondswithappropriatehaircutsinthemediumterm.

Toimprovebanks’resiliencetoadverseeconomicshocks,theFSAPrecommendsthattheBoBimplementsadditionalcapitalbuffers.Consideringthespillovereffectsfromthevulnerabilities

identifiedthroughinterbankmarketconnectionsalongsidethecapitalshortfallsfromthesolvencyassessment,somebanksappearvulnerable.Inobservingthatsomeofthesebankshavehistoricallypaidhighdividends,theBoBshouldhelpbuildthesectors’resiliencebyimplementingadditional

capitalbuffersasaprudentialrequirementandasaprecautionarymeasure.Thiswillultimately

reducethepotentialforsystemicriskstothebroaderfinancialsystem.Additionally,suchameasure

3SeetheTechnicalNoteofAssessmentofSystemicRisksandVulnerabilitiesforNon-BankFinancialInstitutions,BotswanaFSAP2023.

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mayhelptoalleviateanyconcernsaboutthepotentialfora“dominoeffect”ofbankfailuresincaseofaneconomicdownturn.

Inaddition,theFSAPrecommendsthattheBoBbuildsonthestrongfinancialstability

institutionalframework,toenhanceitsuseofmacroprudentialtoolstolimitriskbuild-upandenhancefinancialsectorresilience.Stresstestsrevealnoimminentsolvencyrisksandlimited

liquidityrisk(whenadoptingtheBaselIIIHQLAdefinition);however,thetrendriseinhouseholddebtthatcouldbecomemorelinkedtotheeconomiccyclecouldgeneratefuturefinancial

instability.Accordingly,theBoBshouldextenditscapacitywithmacro-levelstresstestswithmulti-

periodscenariosandsensitivityassessments;andcontinueeffortstofilldatagapstosupporttheappropriatecalibrationofmacroprudentialtoolssuchas,debt-servicetoincomeratiosfor

householdsandcorporatedebt;possiblysethighercapitalasaprudentialrequirement,oracountercyclicalbuffertooffsetcreditrisks.

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Table1.Botswana:KeyRecommendationsforBankSystemicRiskAnalysis

Recommendations

Authority

Priority1

1.Standardizethereportingframeworkforbanksandimprovethedata

managementsystemstosupportstresstestingandinterconnectednessanalysis[?29,?51].

BOB,NBFIRA

ST

2.Conductstresstestatboththemacro-andmicro-prudentiallevelsbasedonmulti-periodscenarioanalysisandsensitivityassessmentstoenhancesupervisoryoversight[?30].

BOB

ST–MT

3.Developsupervisorymethodologiesforassessmentofbanks’exposuretoIRRBBandthepotentialimpactoncapitaltobetterinformsupervision

andstrengthenSREP[?31].

BOB

MT–LT

4.Expandtheuseofmacroprudentialtoolssuchas,debt-servicetoincomeratiolimitsforhouseholds,orcountercyclicalcapitalbuffers,toaddressunderlyingcreditrisksfromloanconcentrations[?32.

BoB

MT

5.Extendthecoverageofstatutoryliquidassetsto:

.Includerequiredreservesintheshort-term[?43]

.Includedomesticlong-termgovernmentsecurities(maturitylongerthanoneyear)inthemedium-term[?44-46]

BoB

ST

6.Revisethestatutoryreportingframeworktoimprovebanks’reportingwiththelevelofgranularityandqualitytocalibrateBaselIIIliquidityindicators[?46].

BoB

ST

7.CalibrateregulatoryweightsontheassetsandfundingstructureandliquiditycharacteristicofBotswana’sbankingsystem[?46].

BoB

MT

8.EstablishminimumrequirementsforBaselIIIliquiditystandardsonce

validationofparametersisconductedandmaterialexperiencewithBaselIIIsupervisorymonitoringisobtained[46].

BoB

MT–LT

9.ImposetailoredPillarIIcapitalbufferrequirementsforbankswithlowcapitalandhighdividendspayoutratios[?52].

BOB

MT

1ST:shortterm=lessthan1year;MT:mediumterm=1to5years;LT:longterm=over5years.

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BACKGROUND

A.FinancialSectorLandscape

1.Botswana’sfinancialsectoraccountsforcloseto130percentofGDPandcomprises

commercialbanksandnon-bankfinancialinstitutionsthatarewellintegrated(Figure1).Thebankingmodeliscenteredonintermediationofdomesticdepositsforcreditprovisionandthenon-bankfinancialsectorincludesretirementfundsandinsurancecompanies.Thebankingsector

comprisesninecommercialbanks,

4

withthethreelargestbanksaccountingfor64percentofbankingsectorassets,ofwhich,twoareD-SIBs

5

thataccountfor46percentofbankingsectorassets.Banksarelargelyforeign-ownedsubsidiariesofpan-Africanbanksthatoperateas

conglomeratesandholdsubsidiariesinnon-bankfinancialinstitutions(NBFIs).Domesticownershipofbanksismainlythroughthelargestpensionfundthatholds22percentofbankshares.

6

ThebulkoftheNBFIsectorconsistsofretirementfunds(43percentoffinancialsystemassets).Theremainderofthefinancialsystemaccountsfor15percentoffinancialsectorassets,comprisinginsurance

companies,microlenders,andbrokers.

2.Themacroeconomicenvironment

OutputRecoveryandCreditPerformance,2021

remainsconducivetocontinuedexpansion

inprivatesectorcredit.Creditincreasedby

5.4percent(y-o-y,Q22022)andcompares

favorablywithregionalpeersandother

emergingmarketsfor2021(textchart).

Botswana’sstrongeconomicrecoveryis

expectedtobesupportedbyrobustgrowthin

diamondexportswhichisasignificant

economicsectorforemploymentand

supportingsmallbusinesses.The

comprehensivepolicypackagethatwas

implementedattheonsetoftheCOVID-19

pandemichasbuttressedeconomicrecovery.

4TheBotswanaBuildingSociety(BBS)waslicensedasacommercialbankinOctober2022.

5TheBoBhasdevelopedaframeworkforidentifyingD-SIBsbasedontheBaselCommitteeforBankingSupervisionmethodology.Basedontheweightedcombinationoffactors—size,interconnectedness,substitutability,complexity,anddomesticsentiment—twobankswereassessedasbeingabovethesetthreshold.

6Basedonmissioncalculationsfromcommercialbanks’financialstatements.

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Figure1.Botswana:FinancialSectorStructure

Banksandretirementfundsdominatethefinancialsector…

…withstronginterlinkagesacrosstheeconomy.

Assetandliabilitydistributionforbanksremainbroadlystable…

Banks’AssetsandLiabilitiesComposition

(AsofJune2022)

…whileassetsfornon-bankfinancialinstitutions(NBFIs)grewstrongly.

Sources:BankofBotswana,Non-BankFinancialInstitutionsRegulatoryAuthority;IMFcalculations.

Note:AuM=Assetsundermanagement;BWP=Botswanapula;FIs=FinancialInstitutions;NBFIs=non-bank

financialinstitutions;NFCs=non-financialcorporations.

Interbankloansincludeplacementswithforeignaffiliatedbanks.

Intra-sectoralexposuresarenotincludedinInterconnectednessassessment.Edgethicknessproportionallyreflects

financiallinkagesbetweensectors.Edgeshavethesamecolorasthenodetocapturetheexposurefromthatsectortotheconnectingsector.Retirementfundsaccountforover90percentofNBFIs’totalassetsasofJune2022.

3.Witheconomicrecoveryunderway,inflationrisksaretiltedtotheupside.Global

conditionshavecontributedtorisingdomesticinflation,resultingintheBoBincreasingitsmonetarypolicyrate(MoPR)byacombined151basispointssinceApril2022(Figure2).TheBoBpaused

interestrateincreasesinAugust2022,butsecond-roundeffectscoulddominatefutureinflation

developmentsandcouldkeepitabovethemedium-terminflationobjectiveof3–6percentoverthe

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next12months.Despitetheincreaseininterestrates,conditionsremainconducivetocreditgrowth.Inflationrisksoverthemediumtermwillbelargelydependentonglobaldevelopments.

Figure2.Botswana:MacrofinancialContext

Strong,broad-basedeconomicrecoverycontinuedin2022…

Creditgrowthrecoveredsincethepandemic…

…althoughinflationremainsabovethe3–6percentobjectiverange

ConsumerPriceIndex

(Percentchange,yoy)

16

14

12

10

8

6

4

2

0

Feb-20Aug-20Feb-21Aug-21Feb-22Aug-22Feb-23

HeadlineCPICoreCPI(16%TrimmedMean)Sources:HaverAnalytics,andIMFstaffcalculation.

…andloanrateshaverisenwiththemonetarypolicyrate.

4.Theaccommodativemonetarystancecontinuestobeconducivetocreditgrowth

(Figure3).Thebankingbusinessmodeliscenteredonintermediationofdomesticdepositsto

provideprivatesectorcredit.AssetsarelargelydenominatedinPulawiththelargestexposurestounsecuredhouseholdloansandtosmall-andmedium-sizecorporatesinservicesandothernon-miningsectors.Bankloanstohouseholdsaccountfor27percentofGDPandcorporateloans

accountfor10percentofGDP.Asthelargestassetonmostbankbalancesheets,householddebthasgrownovertimeasashareofoutputandinpercapitaterms,withthesectorremaining

conservativelyatanaverage85percentloan-to-depositratio(Figure3).Atend-June2022,

householdloansaccountedforaround41percentoftotalcommercialbankassets,andinrecentmonthstheshareofcredittocorporateshasgrownmorerapidlythantohouseholds.

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Figure3.Botswana:BroadCreditConditions

TotalRealPerCapitaCommercialBankDebt

(Real2018pula,thousands)

Sources:BankofBotswana;HaverAnalytics,andIMFstaffcalculations.

B.BankingSectorRiskandVulnerabilities

5.CreditriskformsthelargestriskinBotswana’sbankingsystem.Risk-weightedassets(RWAs)ofcreditriskaccountfor89percentoftotalRWAsasofJune2022.Thelargestpartoftotalassetscomprisesloans(83percent).

7

Bysector,loansaremostlyconcentratedinhouseholds,

followedbyrealsectorandpublicnon-financialsector(Figure4).Thehouseholdloanstaketheformofpersonalloans(70percent)followedbymortgages(23percent)andothers(Figure4).Bankloanstohouseholdsaremainlyintheformofunsecuredconsumercredit,whichalargeshareoflenders

collectrepaymentthroughdirectsalarydeduction(Box1).

7“l(fā)oans”hereincludegrossloansandadvances,aswellasbalanceduefromdomesticbanks(bothondemandorlessthan184daysandmorethan184days)andforeignbanks.

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Figure4.Botswana:BankingSystemAssetDecompositionandCreditRiskProfile

Sources:BankofBotswana,andIMFstaffcalculations

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Box1.Botswana:TrendsinHouseholdIndebtedness

HouseholddebtplaysakeyroleintheBotswana’sfinancialsystem.In2021,commercialbanks,whichaccountfor40

percentofthetotalfinancialsectorassets,lentprimarilytohouseholds(accountingfor66percentofbanklending).The

loanstaketheformofpersonalloans(70