巴巴多斯：技术援助报告-压力测试

TECHNICALASSISTANCEREPORT BARBADOS Stress Testing JUNE2024 PreparedByPetrJakubik(ResidentFinancialStability Advisor)and Adam Gersl(Short-term Expert) MEMBERS Anguilla, Antigua and Barbuda, Aruba, The Bahamas, Barbados, Belize, Bermuda, British Virgin Islands,Cayman Islands, Curaçao, Dominica, Grenada, Guyana, Haiti, Jamaica, Montserrat, St. Kitts and Nevis, St.Lucia,St. Maarten,St. Vincent and the Grenadines, Suriname, Trinidad and Tobago, Turks and Caicos Islands PARTNERS Canada, United Kingdom, European Union, Netherlands, Mexico,USAID,Caribbean Development Bank, EasternCaribbean Central Bank DISCLAIMER Thecontents of this document constitute technicaladviceprovided bythestaff of theInternational MonetaryFund totheCentral Bank of Barbados and Barbados Financial Services Commission(the"CDrecipient") inresponse totheirrequest fortechnical assistance.Thisdocument(inwhole or inpart) or summariesthereofmaybedisclosedbytheIMFto the IMFExecutive Director forBarbados, to other IMF Executive Directorsandmembers of their staff, aswell asto other agenciesorinstrumentalitiesof theCD recipient, andupon theirrequest, to World Bank staff, andother technicalassistance providers and donorswithlegitimateinterestincludingmembers of theSteering Committeeof CARTAC, unless the CDrecipientspecificallyobjectstosuchdisclosure (seeOperational Guidelines for the Dissemination of Technical Assistance Information). Publicationor Disclosure ofthis report(inwhole or inpart) to parties outsidetheIMFotherthan agencies orinstrumentalitiesofthe CDrecipient, WorldBank staff,othertechnicalassistance providers anddonorswithlegitimateinterestincludingmembers oftheSteering CommitteeofCARTACshall requirethe explicitconsent oftheCD recipient andtheIMF’sMonetary and Capital Market department. PARTNERS Executive Summary The missionaimed todevelop amulti-factor and multiperiod solvency stress testing(ST)frameworkforthe Central Bank of Barbados(CBB)andtheFinancial Services Commission (FSC).It reviewed the availabledata and the regulatory framework. It constructed two new tools–one for the CBB to stress test banks and financecompanies and one for the FSC to stress test credit unions operating in Barbados. Both tools are tailor-made tofully respect the existing accounting, tax, and regulatory rules for both types of credit institutions. Thenewframework is based on common explicit macroeconomic scenarios and two newly built credit risk satellite modelsfor non-performing loans (NPL) for banks/finance companies and credit unions. The calibrated macroeconomicscenarios–one baseline and twoadverse–enter the NPL satellite models to project NPLs and, ultimately, creditlosses. The tools provide scenario-specific macroeconomically consistent projections of institutions’ key balancesheets, profit & loss, and capital adequacy items over a period of up to three years. Illustrative stress tests using March 2023 data for both banks and credit unions wererun to demonstratethe use of the new tools.The official CBB macroeconomic projection as of July 2023 was used as the baselinescenario, while the adverse scenarios were calibrated by expert judgment to capture the different severity ofeconomic recessions, with the more severe one assuming a real GDP decline of 8% at the bottom of the cycle.The results suggest that banks and finance companies are generally resilient toeconomic stress, given theirrelatively high initial capital adequacy and good pre-provision profitability. Credit unions appear more vulnerableto worsening the economic situation mainly due to lower initial capital buffers. The mission provided several recommendations to the CBB and FSC.They covered technical aspects of ST,the use of the stress test results and their communication, related operational elements and processes, and datasources and their management. The CBB and FSC staff involved in ST and financial stability monitoring need tobecome familiar with the newly developed framework and be able to update the tool with new macro-financial andinstitution-specific data regularly, calibrate the scenarios, and adjust additional assumptions and parameters toreflect potential changes in the economy and regulation. Thenewframeworkshould be used for regular internal stress testsat least twice a year–once in thespring and once in the autumn.The CBB would be responsible for preparing the macroeconomic scenarios thatwould be used jointly in both stress tests of banks and credit unions. The (aggregate) results of the spring exerciseshould be published in the annual Financial Stability Report (FSR) produced jointly by both institutions andtypically published in July/August. The detailed description of the new framework, including all key assumptions,should be provided as a “research note” (the “special topic” article) in the FSR once the results are published forthe first time. Moreover, the results should be shared and discussed with the supervision departments in bothCBB and FSC and used in supe