图克斯群岛：技术援助报告-金融稳定报告审查、信用风险建模和压力测试

TECHNICALASSISTANCEREPORT TURKS AND CAICOSISLANDS Financial Stability ReportReview,CreditRiskModelling,and Stress Testing MARCH2025 PreparedByPetr Jakubik(Resident Financial Stability Advisor)andAdam 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 constitutetechnicaladviceprovided bythestaff of theInternational MonetaryFund totheTurks and Caicos IslandsFinancial Services Commission(the"CDrecipient") inresponse totheirrequest fortechnical assistance.Thisdocument(inwhole or inpart) or summariesthereof maybedisclosedbytheIMFto the IMFExecutive Director forTurks and Caicos Islands, to other IMF Executive Directorsandmembers of their staff, aswell asto other agenciesorinstrumentalitiesof theCD recipient, andupon theirrequest, to World Bank staff, andother technicalassistance providers and donorswith legitimateinterestincludingmembers 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 explicit consent oftheCD recipient andtheIMF’sMonetary and Capital Market department. MEMBERS PARTNERS Executive Summary The missionsfocused onthereview ofthe Turks and Caicos Islands Financial Services Commission(TCIFSC)Financial Stability Report (FSR),sectoralcredit risk modeling,andsolvency stress testing (ST).Thefirstmission(January29–February 2, 2024)provided anassessment of the latest release of the TCIFSCFinancial Stability Reportanddiscussed financial stability indicators,corresponding financial stability risks,andessential elements of climate risk. It alsocovered credit risk modelingasanecessarypreconditionfornewST.The second mission(March 11-15, 2024)focused on constructing a new multi-factor and multi-period banksolvencySTtool based on macroeconomic scenarios.The financial system in Turks and Caicosisrelativelylarge(275% of GDP)andis dominated by commercial banks (65% of the total financial system assets). The TCIFSC’sFSRhas been assessed as relatively good.The TCIFSC has been publishing the FSR since2015. The report provides a clear overview, motivation, macro-financial narrative, and discussion on the realsector. It covers the entire financial system supervised by the TCIFSC, including banks, investment businesses,domestic insurance companies, trust companies, and money service businesses. It provides the results of thebankingSTand key initiatives of the authority. Severalcreditriskmodelshavebeenestimatedtobeusedtoprojecttheimpactofalternativemacroeconomic scenarios on banks’ non-performing loans (NPLs).The mission introduced the BayesianModel Averaging (BMA) as a suitable approach to address uncertainty in modeling sectoralNPLs. It provided anR script with an initial estimate for four sectoral credit risk models–for loans to households, loans for theconstruction and land development sector, loans to the tourism sector, and other corporate loans. Finally, a newmulti-factor and multi-period solvencySTframeworkwas developed.The mission reviewedavailable data, the regulatory framework, and constructed a new tool for the TCIFSC to stress test banks operatingin Turks and Caicos Islands (TCI). It was tailor-made to fully respect the existing accounting, tax, and regulatoryrules for TCI banks. The new framework is based on common explicit macroeconomic scenarios and the newlybuilt credit risk satellite models for NPLsfrom the first mission. The calibrated macroeconomic scenarios–onebaseline and two adverse–enter the NPL satellite models to project NPLs and,ultimately,credit losses. The toolsprovide scenario-specific macroeconomically-consistent projections of institutions’ key balance sheet, profit &loss, and capital adequacy items over a period of up to three years. Illustrative stress tests usingDecember 2023data were run to demonstrate the use of the new tool.Theofficial TCI Ministry of Finance macroeconomic projection as of March 2024 was used as the baseline scenario,while the adverse scenarios were calibrated by expert judgment to capture the different severity of economicrecessions. The results suggest that banks are generally resilient to economic stress given their relatively highinitial capital adequacy and good pre-provision profit