IMF-馬爾代夫：金融部門評估方案關(guān)于銀行壓力測試和氣候風(fēng)險分析的技術(shù)說明（英）-2024.1

IMFCountryReportNo.24/19MALDIVESFINANCIALSECTORASSESSMENTPROGRAMJanuary2024TECHNICALNOTEON

BANKSTRESSTESTINGANDCLIMATERISKANALYSISThispaper

ontheMaldiveswas

preparedby

astaffteamof

theInternational

MonetaryFundas

backgrounddocumentationfortheperiodicconsultationwiththemembercountry.It

isbasedontheinformationavailableat

thetimeitwascompletedonDecember18,2023.Copies

of

thisreportareavailabletothe

publicfromInternationalMonetary

Fund

?

PublicationServicesPOBox92780?

Washington,

D.C.20090Telephone:

(202)623-7430?

Fax:(202)623-7201E-mail:publications@

Web:InternationalMonetaryFundWashington,D.C.?2024InternationalMonetaryFundMALDIVESFINANCIAL

SECTOR

ASSESSMENT

PROGRAMDecember18,2023TECHNICAL

NOTEBANK

STRESS

TESTING

AND

CLIMATE

RISK

ANALYSISPreparedByMonetary

and

Capital

MarketsDepartmentThisTechnical

Note

was

preparedbyIMFstaff

inthecontextof

theFinancial

SectorAssessmentProgramin

Maldives.ItcontainstechnicalanalysisanddetailedinformationunderpinningtheFSAP’sfindingsandrecommendations.

Furtherinformationon

the

FSAPcanbe

foundat/external/np/fsap/fssa.aspxMALDIVESCONTENTSGlossary

__________________________________________________________________________________________

4EXECUTIVE

SUMMARY__________________________________________________________________________

6INTRODUCTION_________________________________________________________________________________

9A.Macrofinancial

Developments

_________________________________________________________________

9B.Financial

SystemStructure

_____________________________________________________________________

9C.BankingSystemCharacteristics_______________________________________________________________

10SYSTEMIC

RISK

ANALYSIS

_____________________________________________________________________14A.ScopeandDataQuality_______________________________________________________________________

14B.Macrofinancial

StressTestScenarios

__________________________________________________________

15SOLVENCY

STRESS

TESTS______________________________________________________________________17A.Top-DownStressTestMethodology__________________________________________________________

17B.Top-DownStressTests

Results________________________________________________________________

20C.

Bottom-UpStressTestResults________________________________________________________________

27LIQUIDITY

STRESS

TESTS

______________________________________________________________________31A.Cashflow-basedLiquidityStressTests

________________________________________________________

31B.LiquidityCoverageRatio

______________________________________________________________________

33C.

Deposit

ConcentrationSensitivityAnalysis____________________________________________________

34OTHER

SENSITIVITY

ANALYSES

_______________________________________________________________35A.InterestRate

Risk

_____________________________________________________________________________

35B.ForeignCurrencyRiskin

Balance

Sheets

______________________________________________________

35CLIMATE

RISK

ANALYSIS

______________________________________________________________________36A.Physical

Climate

RiskContext

of

the

Maldives

________________________________________________

36B.Climate

Scenarios

_____________________________________________________________________________

37C.

Methodology

_________________________________________________________________________________

38D.Results________________________________________________________________________________________

48E.Recommendations

____________________________________________________________________________

49References_______________________________________________________________________________________

67FIGURES1.Structureof

the

BankingSystem

______________________________________________________________

102.AssetAllocation_______________________________________________________________________________

113.AssetQuality__________________________________________________________________________________

124.LiquidityandFunding_________________________________________________________________________

135.Capitalization

_________________________________________________________________________________

146.ProjectedPaths

of

MacroeconomicVariablesinStressTestScenarios

________________________

167.Satellite

ModelProjections:

Aggregate

NPLRatio_____________________________________________

218.Aggregate

CapitalizationinBaselineScenario

________________________________________________

222INTERNATIONALMONETARYFUNDMALDIVES9.AggregateCapitalizationinModerateScenario_______________________________________________

2310.AggregateCapitalizationin

SevereScenario_________________________________________________

2411.StandaloneSovereignSensitivityAnalysisResults

___________________________________________

2712.SummaryBottom-UpStressTestResults:BaselineScenario

_________________________________

2813.SummaryBottom-UpStressTestResults:

ModerateScenario

_______________________________

2914.SummaryBottom-UpStressTestResults:

Severe

Scenario___________________________________

3015.Share

ofBanksthatFailedLargestFiveDepositorsOutflowsTest____________________________

3416.Market

RiskSensitivityAnalysisResults

______________________________________________________

3617.SeaLevel

RiseUnderDifferentClimate

Scenarios____________________________________________

3818.PhysicalRiskAnalysisFramework

____________________________________________________________

3919.IslandsSubsetandClimateDataMatching

__________________________________________________

4020.Coastal

FloodEstimates______________________________________________________________________

4421.Geographical

Exposure

______________________________________________________________________

4522.DamageRates

Estimations___________________________________________________________________

4623.Results

of

ClimateRiskAnalysis______________________________________________________________

49TABLES1.Recommendations

on

StressTestingandClimate

RiskAnalysis________________________________82.CreditRiskSatelliteModelEstimates__________________________________________________________

183.Pre-ProvisionIncome

andRisk-WeightedAssets

GrowthPath________________________________

194.SovereignSensitivityAnalysisAssumptions

___________________________________________________

205.SummarySolvencyRiskResults

_______________________________________________________________

256.Cashflow-basedStress

TestAssumptions

_____________________________________________________

327.Cashflow-basedStress

TestResults

___________________________________________________________

338.SummaryLiquidityStressTestResults

________________________________________________________

349.SummaryMarketRiskSensitivityAnalysis

Results_____________________________________________

3510.TVaR99ImpacttoCapitalStock______________________________________________________________

47APPENDICESI.SelectedEconomicIndicators,2019–2028

_____________________________________________________

51II.FinancialSoundnessIndicators,2019–2022___________________________________________________

52III.RiskAssessmentMatrix_______________________________________________________________________

53IV.StressTestingMatrix

_________________________________________________________________________

55V.FSAPMacroVariables

fortheBaseline,

Moderateand

Severe

Scenarios______________________

59VI.Bottom-UpStressTest:Instructions

andAssumptions

_______________________________________

60VII.Climate

DataTreatmentProcess_____________________________________________________________

61VIII.Monte-CarloSimulationProcess____________________________________________________________

62IX.LossDistributions

____________________________________________________________________________

63X.ImpactofCoastalFloodsontheCapitalStock

________________________________________________

64XI.Impactof

PreviousEvents

____________________________________________________________________

65XII.Administrative

AtollsCodes

andNames

_____________________________________________________

66INTERNATIONALMONETARYFUND3MALDIVESGlossaryAFSAvailablefor

SaleAML/CFTAR6Anti-MoneyLaundering/CombatingtheFinancingofTerrorismSixthAssessmentReportBCPBaselCorePrinciples

forEffectiveBankingSupervisionCapital

AdequacyRatioCredit

DefaultSwapCARCDSDDEFSAPFSPNFCDomesticDebtExchangeFinancial

SectorAssessmentProgramFinancial

SectorPolicy

NoteForeignCurrencyFXForeignExchangeGCMGDPGEVGFCGeneral

CirculationModelGross

DomesticProductGeneralizedExtreme

ValueDistributionGlobalFinancialCrisisHDCHFTHousingDevelopmentCorporationHeld

forTradeHTMIPCCLCHeld

toMaturityIntergovernmentalPanel

on

Climate

ChangeLocalCurrencyLCRLiquidityCoverage

RatioLLPLLRLTVLoanLossProvisioning(flow)LoanLossReserves(stock)Loan-to-ValueMBSMLSAMMAMoEMoFMoTMRPSMSMENASANIMNOPNSFRNPLMaldivesBureauof

StatisticsMaldivesLandandSurveyAuthorityMaldives

MonetaryAuthorityMinistryof

Environment,

Climate

Change

andTechnologyMinistryof

FinanceMinistryof

TourismMaldives

RetirementPensionSchemeMicro,

SmallandMedium-SizedEnterprisesNationalAeronauticsandSpace

AdministrationNetInterestMarginNetOpenPositionNet

StableFundingRatioNonperformingLoanNPVPPINetPresentValuePre-ProvisionIncomeRAMRCPRiskAssessmentMatrixRepresentative

ConcentrationPathway4INTERNATIONALMONETARYFUNDMALDIVESrhsRighthandsideROAROERWReturnon

AssetsReturnon

EquityRiskWeightRWASOESSPSTeMTaVRUNRisk-WeightedAssetsState-OwnedEnterpriseSharedSocioeconomicPathwayStressTestingMatrixTailValueat

RiskUnitedNationsINTERNATIONALMONETARYFUND5MALDIVESEXECUTIVE

SUMMARY1A

systemic

vulnerability

analysis

and

stress

tests

were

conducted

as

part

of

the

MaldivesFSAP.

Thevulnerabilityanalysisandstresstestswerebasedon

quarterlyaggregatebalancesheetsupervisorydataforthe

eight

banksin

Maldivesas

of

December2022.Identifiedvulnerabilities

weresubjectedto

hypothetical

extreme

butplausible

scenariosthatwereinformedby

the

RiskAssessmentMatrix.Risks

analyzedwere

credit

risk,liquidityriskandmarket

risk.Creditrisksmaterializedasnon-performingloansandpressureon

pre-provisionincome,liquidityrisksasdepositoutflows,andmarket

risksas

changesininterestandexchangerates.Although

the

Maldives’

economy

has

rebounded

strongly

from

the

pandemic-inducedcontraction,

macro

and

financial

vulnerabilities

remain.

Fiscalandexternal

vulnerabilitieshavebeenelevated,

arisingfromhighpublicdebt,increasingfiscalexpenditureon

debtserviceand

pricesubsidies,

and

awidening

currentaccountdeficit.Inaddition,continuedfinancialsupporttostate-ownedenterprises(SOEs)andapersistentFXshortageintheofficialmarkets

havecontributedtoincreaseddomesticfiscalfinancingneedsandfurtherrationingonFX

supply

to

theprivatesector.Relatedtothesemacro

developments,systemicfinancialvulnerabilitieshavebecome

moreprominent,

whichincludeanintensifiedsovereign-banknexus,highdollarizationinteractingwith

FXshortages,shadow

bankingactivities,andweakliquiditymanagement.Against

the

backdrop

of

these

macro-financial

developments,

the

FSAP

identified

a

numberof

systemic

vulnerabilities.ThemainmacrofinancialvulnerabilitystemsfromhighcentralgovernmentandSOEdebtthatisincreasinglyfinancedbybanksthroughincreasingholdings

ofsovereignsecurities

andsharply

rising

lendingtoSOEs.Prudentialandregulatorypolicieshavefurtherincentivizedtheaccumulationofsovereigndebton

bankbalancesheets,notablythroughthe

zero-riskweight(RW)on

domesticsovereignpaper,includingFX-denominatedissues.Moreover,thecurrenttrajectoryof

publicdebtservice,includingin

foreigncurrency,

combinedwithapossibledropin

FXinflowspresentsachallenge

formanagingofficialreservesand

couldpromptanexchangerangerealignment,affectingSOEsandcorporateswithcurrencymismatches.Financingof

consumerdurablesby

leasingcompanies,someof

whichareunregulated,

usingwidespreadleaseand

hirepurchaseprogramsleave

recurringhouseholdpayment

obligationsunderreported.Banksare

alsoexposedtolargecorporateclients,as

evidencedby

individualbanks

beingcloseto

theirsingleexposurelimits.Lastly,managementof

systemicliquidity

needsimprovement,

reserverequirements

wouldneedfinetuning,

anddraftregulationaddressingissuescontributingtotheparallelFX

marketshouldbeadopted.The

stress

tests

applied

the

usual

FSAP

range

for

non-complex

banking

sectors.

The

qualityofsupervisorydataforstress

testing

seemedadequateoverallalthoughmixedintermsof

coverageand

granularity.Thesolvencystresstestassumedthree

macrofinancialscenarios,increasinginseverity.Thesescenarios

werealso

sharedwith

the

banksalongwithinstructionstoconducta1

This

TechnicalNotewas

preparedbyIvánGuerraandJavierUru?uela

López,withcontributionsfromYizhiXuandKiranSastry.6INTERNATIONALMONETARYFUNDMALDIVESbottom-upstress

test,inwhichbanks

weregiventheprojections

forall

macrovariablesandwereaskedto

applytheir

ownstresstestingmethods.?Forthetop-down

solvency

stress

tests,along-run

relationshipbetweennon-performingloansand

macroeconomicvariablesineachscenariowas

estimatedusingquarterlybank-by-bankpaneldataforthe

period2010-2022.Thus,thecreditriskmodelsprojectedNPLratiosfor

banks’loanportfoliosin

local

andforeigncurrency

for

eachstressscenario,

andadditionalprovisioningneeds

were

calculated.

Apartfromprovisions,thepre-provisionincome,

taxes,

and

dividends

ofbanks

werealso

projectedtoarriveat

after-taxincomeandtherefore

changes

inbankcapital.Theprojectedcapitaladequacyratioswere

thenobtainedapplyingaprojectionof

risk-weightedassets(RWA).?Theseverescenarioof

the

solvencystresstestwas

augmentedby

incorporatingasovereign

risksensitivity

analysis.Inaddition,

acredit

concentration

sensitivity

analysis

was

runto

accountfortheexposureto

large

corporate

clients.Furthermore,

inan

alternative

calculationof

capitaladequacy,thetestsalso

assumednon-zeroriskweights

onsovereignsecuritiesinforeigncurrency,

therebyincreasingRWAsubstantiallyandlowercapital

adequacyratios.??Theliquidity

stress

tests

appliedthecash

flows-basedmethodologyusinglong

termestimates

ofoutflows

by

deposittype.

In

addition,theBaselIIILiquidity

CoverageRatio(LCR)wasalsocalculated.Both

testswereperformedinlocalandforeigncurrency.Other

sensitivity

analysis

accountedforinterestrate

risk,foreigncurrencyrisk,

and

depositconcentrationrisk.

No

interconnectednessstress

testswere

run,astheinterbankmarketisvirtuallynon-existent.The

stress

test

results

broadly

corroborated

the

identified

vulnerabilities

and

quantified

them.Whilethebankingsystemseemstoberesilienttomacroeconomicshocks,itislessso

to

sovereignshocks

and/orconcentrationrisk.Banks’solvency

wasmostlyimpactedintheseverescenario,

whichalsoincludedasovereigndomesticdebtexchange,

and

by

thecreditconcentrationshocksimulatingthe

defaultof

thefivelargestexposures,

with

requiredrecapitalizationsamountingto

lessthan1percentofGDPineithercase.Inaddition,

aBasel

riskweightsadjustmentof

100percentondomesticsecuritiesinFX

also

hadaconsiderableimpacton

capital

butnot

enoughforany

requiredrecapitalization.Intheliquiditystresstests,acouple

of

banks

faceddifficulties

but

onlyforspecifictime

buckets.

Moreover,

calculationof

theLCR

indicatedthatthe

bankingsectorwouldbecompliantwithBaselIII.However,deposit

concentrationwasalsofoundtobe

arisk,

withthebankingsystemshowingvulnerabilitiestowithdrawalsfromeachbank’s

fivelargestdepositors.Marketriskconsistingofinterestraterepricingandforeigncurrencyriskwas

foundtobe

moderate.The

climate

risk

analysis

considered

a

micro

approach

that

shocks

banks’

immovable

asset-related

loans

under

three

climate

scenarios.

Coastalfloodshazardwas

considered

interms

ofsealevelriseandstormsurgewith

future

climate;thelattermodeledthroughwindspeed.

The

exposureincludedageographicaldisaggregationof

theeconomicactivity

withproxyvariables,

but

notdifferentiatedbybanks.Usingthedamagefunctionsand

elevation,themissionteam

transformedINTERNATIONALMONETARYFUND7MALDIVESthe

coastalflooddepthand

atollexposureinto

adamagerateby

atoll;thesedamagerates

wereusedtocomputetheinteractionbetweenatollsandcalculatetheaggregatelossesatthecountrylevel.While

mid-century

climate

effects

on

the

banking

system

were

found

to

be

mild,

theassessment

of

end-century

impacts

and

insurability

issues

would

require

more

granular

data.Consideringthe99thpercentile

of

the

countryloss

distributionforthe

mid-century,theeffects

ofclimate-relatedevents

onthe

bankingsystemwere

foundtobe

mild.

However,theycouldbesignificantlyexacerbatedforthe

endof

thecentury,

mainlydueto

sea

level

rise.Withrisingreinsurancepremiums,thecountrycouldbechallengedinthefuture

by

limitedor

noreinsuranceforclimate-relatedevents.

Improvingthegranularityand

coverageof

the

data,

aswell

asinitiatingwithclimate

riskanalysis

would

allowabetterunderstandingof

the

climateimplicationsintheeconomyand

financialsector.Whilethe

analysisleveragedglobal

andlocaldatasources,thereisaneed

forbetter

datagranularityforthecountryandfinancialsystem,

whichwould

improve

theassessmentof

the

climate

risk.Table

1.

Maldives:

Recommendations

on

Stress

Testing

and

Climate

Risk

AnalysisResponsibleRecommendationTime*AuthorityStress

TestingImproveintegrityandgranularityof

supervisorydata,includingdatacompiledbythe

CreditInformationBureau(CIB)MMASTDevelopmethodologiesforsolvency,liquidity,andmarketriskstresstests

andengage

banksin

adialogueaboutstresstestprocedures

andresults,includingbanks’

ownstresstests.MMAMMASTMTImplementscenario-basedsolvencystresstestsImplementcashflow-basedliquiditystresstestsMMAMTGranularityofdatashouldbeimprovedto

identifystablevs.less-stable

depositstowardcalculationof

the

Net

StableFundingRatioMMASTClimate

Risk

AnalysisImprovegranularityandcoverageof

climate

data,geographicalexposuresof

thecountryandfinancialsystemas

wellas

climate-relateddamages,

andfosterintra-agencycollaborationto

supportaccessto

existingdata.MoE,MBS,MMASTInitiate

climate

riskanalysisincollaborationwithotheragenciestoassesstheeffectofactual

andfuture

climateconditions

on

thefinancialsectorandtheeconomy.MMAMT*ST:shortterm

=1-2years;MT:medium

term

=3-5years8INTERNATIONALMONETARYFUNDMALDIVESINTRODUCTIONA.

Macrofinancial

Developments1.The

Maldives’

economy

has

rebounded

strongly

from

the

pandemic-inducedcontraction,

thanks

to

a

robust

resumption

in

tourism,

yetvulnerabilities

persist.Afterdouble-digitgrowthin

2022,real

grossdomesticproduct(GDP)growthisprojectedat7.2percentin2023basedonIMF’s

April2023World

Economic

Outlook.

However,fiscalandexternalvulnerabilitiesremainelevated,

arisingfromhighpublicdebt,increasingfiscal

expenditureondebtserviceandpricesubsidies,andawideningcurrentaccountdeficit.

Continuedfinancialsupportto

state-ownedenterprises(SOEs),

particularlyforinvestmentprojectsof

theHousingDevelopmentCorporation(HDC),hasaddedto

fiscal

vulnerabilities.Asaresult,

risingfiscal

financingneedsare

beingmetbydomesticdebtissuanceandmonetaryfinancing,increasingthesovereignriskexposureof

boththeMaldives

MonetaryAuthority(MMA)and

thedomesticbankingsystem.

Aworseningshortageonthe

officialForeignExchange(FX)

marketreflectsimport-intensiveinvestment,

pandemic-relatedincreasein

publicspending,andFX

rationingbybothMMAanddomesticbanks.The

FXshortagehasfurtherfueledalarge

and

well-establishedparallelmarketthatprovidesmostof

the

FX

needsofimporters,implyingcoststo

theprivatesectorandlowertax

revenue.2.Systemic

vulnerabilities

remain

outstanding,

which

include

an

intensified

sovereign-bank

nexus,

persistent

FX

shortages,

growing

shadow

banking,

and

weak

liquiditymanagement.Themainmacrofinancialvulnerabilitystemsfromhighcentral

governmentandSOEdebtthatisincreasinglyfinancedbybanksthroughgrowingholdingsof

sovereignsecuritiesandsharplyrisingSOE

lending.Meanwhile,banks’appetitefor

sovereigndebthasincreased,incentiveby

currentprudentialandregulatorypolicies,notablythroughthe

zero-riskweight

(RW)ondomesticsovereignpaper,

includingFX-denominatedissues.Moreover,

the

currenttrajectoryofpublicdebtservice,includinginforeigncurrency,

combinedwithapossibleincreaseinimportcostsand

dropinFX

inflowscoulddepleteofficial

reservesand

constraintheMMA’sabilitytomaintainitscurrentexchangerate,affectingSOEs

andcorporateswithcurrencymismatches.Financingofconsumerdurables

byleasingcompanies,someofwhichare

unregulated,usingwidespreadleaseand

hirepurchaseprograms,as

wellasthegovernment’srent-to-ownschemeleaverecurringhouseholdpaymentobligationsunderreported—adatagapthatshouldbeclosedswiftly.Lastly,managementof

systemicliquidityneedsimprovement,reserverequirementswouldneedfinetuning,and

draftregulationaddressingissuescontributingto

theparallelFX

marketsshouldbeadopted.B.

Financial

System

Structure3.The

Maldivian

financial

system

is

large

relative

to

the

economy

and

ratherconcentrated.

Banks

haveadominantpositionwithmorethanthree-fourthsofsystemassets,whilethenon-bankfinancialsector

isstillnascentandcomprisedoverwhelminglyof

thegovernmentretirementscheme(MRPS),

ainsuranceandleasingcompanies.Bankingsystemassetsare

about92.1percentofGDP,andthelargestinstitution,adomesticstate-ownedbank,

holds50.1percentof

bankingsystemassets.Twomorestate-ownedbanksare

foreign-owned,two

areINTERNATIONALMONETARYFUND9MALDIVESprivately-owneddomesticbanksandthe

remainingthreeinstitutions

arebranches

or

subsidiaries

offoreigncommercial

banks(Figure1).Figure

1.

Maldives:

Structure

of

the

Banking

SystemThe

local

state-owned

bank

accounts

for

half

of

thebanking

system

assetsTwo

more

state-owned

banks

are

foreign-owned,

two

areprivately

owned

domestic

banks,

three

are

branches/subs.Banking

SystemStructurePercent

ofBanking

SystemAssets,

2022Types

of

BanksPercentofBankingSystemAssets,

2022subsidiarySBI18%branch9%5%MIB7%BML50%privatedomestic11%MCB5%HSBC6%state-owned75%HBL4%CBM3%BOC7%Source:MMASource:MMAC.

Banking

System

CharacteristicsAsset

Allocation4.Banks’

asset

allocation

reflects

a

growing

sovereign-bank

nexus.

Loanplacementshavedecreasedto37

percentof

totalsystemassetsin2022(downfrom60.5percentin2010)whileinvestments(mostlyingovernmentsecurities)havegrowntoaclose30percentof

totalassets(upfrom16.1percentin2010)andto

over50percent

atsome

banks(Figure2).

Thiscreatessubstantialexposurestothesovereignbuthelpsexplainthehighprofitabilityof

thesystem.

Loangrowthhasleveledoffto

around5

percentin

2022,downfrom18percentin2016withtwo

institutionsinretreat.

Bycurrency,loangrowthis9.9percentinlocalcurrencyand1percentinforeigncurrency.Besidessecuritiesinvestments,

recent

areas

of

growthhavebeenpersonalloansandrealestateloans

tothedetrimentof

tourismandcommercialloans.

Banks

areincreasinglyat

riskof

hittingthehighexposurelimits

withbiginfrastructure

projects,

which

typicallydemandforeigncurrency,anotherreasonwhythecorporateloanbusinesshascooledoffandmost

institutions

nowincreasinglycaterto

lower-value,

high

quantitypersonalloans.Personalloans

are

nowgrowingat

a27percentperyear,seventimestheyearlygrowthof

tourismloans.10

INTERNATIONALMONETARYFUNDMALDIVESFigure

2.

Maldives:

Asset

AllocationLoans

are

37%,

while

investments

are

30%

of

total

assetsAt

some

banks,

investments

are

the

main

line

of

businessSecuritiesPortfolioby

BankInPercentofTotal

Assets,

asofDec.2022Asset

AllocationPercentof

Total

Assets,

Dec.2022NonfinancialAssetsCash1%2%TreasuryBillsTreasuryBondsOtherFinancialAssets605040