2012年-IMF国际货币组织全球_Israel_Technical_Note_on_Stress_Test_of_the_Banking_Insurance_and_Pension_Sectors_58页_1mb

Summary of Israel: Technical Note on Stress Test of the Banking, Insurance and Pension Sectors

Core Content

This document outlines the findings of the Israel Financial Sector Assessment Program (FSAP) Update stress testing exercise, which evaluated the solvency and liquidity risks of key financial institutions in Israel. The analysis was conducted in collaboration with the Bank of Israel (BOI) and the IMF, using a set of three macroeconomic scenarios to simulate potential economic shocks. The results of the stress tests indicate that the banking sector is resilient under various stress conditions, although some vulnerabilities were identified, particularly in credit concentration and market risk.

Main Points

1. Overview of the Stress Testing Exercise

• The FSAP Update stress testing exercise includes solvency and liquidity stress tests for the banking, insurance, and pension sectors.
• The tests were conducted using a top-down balance sheet approach and contingent claims analysis (CCA).
• The three macroeconomic scenarios used are:
  • Base scenario: Reflects the expected economic growth path.
  • Adverse 1 scenario: Represents a domestic recession due to geopolitical concerns.
  • Adverse 2 scenario: Reflects a global recession and significant international and domestic shocks.
• The baseline is as of end-June 2011, and the stress test horizon extends to end-2014.

2. Banking Sector Stress Tests

A. Top-Down Balance Sheet Stress Tests

• Conducted by the Banking Supervision Department (BSD) of the BOI.
• These tests use supervisory data and satellite models to simulate the impact of macroeconomic shocks on the balance sheet.
• Satellite models cover:
  • Housing and corporate credit
  • Household non-housing credit
  • Profit components and retention behavior
  • Haircut models for government and foreign financial institution bonds
• Single factor tests were also conducted to assess vulnerabilities to:
  • Market risk (interest rate, exchange rate, and stock market shocks)
  • Idiosyncratic credit shocks from exposure to the largest borrower groups and three largest corporate borrowers

B. Key Assumptions

• The hurdle rate for the total capital adequacy ratio (CAR) was set at 9%, and for Core Tier 1 (CT1) capital at 5%, consistent with recent FSAPs.
• Profitability was also used as a performance metric.
• The dividend payout rule was modeled, considering ROE and core Tier 1 capital ratio:
  • Dividends are distributed only if ROE > 6% and core Tier 1 capital ratio > 8% after distribution.
  • Dividend rate is:
    • 35% for CT1 capital ratio between 8% and 8.5%
    • 50% for CT1 capital ratio above 8.5%
  • A 40% profit tax rate was applied.

C. Results of Balance Sheet Stress Tests

• Banks have sufficient buffers and adequate capital under all three scenarios.
• Under the Adverse 2 scenario, some banks experience losses, and earnings retention is necessary.
• One bank's CT1 capital ratio falls to 6.9% in 2012 under the Adverse 2 scenario.
• Positive results are attributed to:
  • Comfortable initial capitalization and profitability
  • Low housing default risk due to low loan-to-value (LTV) ratios and recourse in mortgages
  • Favorable starting point for corporate credit losses, reflecting recent strong corporate performance
  • Negligible exposure to European sovereign risk
  • Stable risk-weighted assets (RWA) due to the standardized approach used by banks

3. Contingent Claims Analysis (CCA) Stress Tests

• Conducted by BOI and IMF staff.
• CCA uses risk-adjusted balance sheets calibrated with market and accounting information.
• Econometric models link macro variables to default probabilities and asset price changes.
• The results of the CCA analysis are consistent with the balance sheet stress test results.
• Under the Base scenario, banks' credit spreads are projected at 75 to 210 bps from 2010 through 2014.
• Under the Adverse 2 scenario, credit spreads increase to over 300 bps, similar to the 2008/09 financial crisis.
• The estimated total potential losses to bank creditors GDP under the Adverse 2 scenario increase to about 1.3% of GDP, which is low relative to comparable countries.

4. Liquidity Stress Tests

• The tests involved various shocks to assets and liabilities.
• Metrics included BOI prudential ratios for overall and foreign currency liquidity.
• Results show that all major banks would be able to maintain liquidity ratios above unity under strong stress scenarios.
• However, some banks may struggle to maintain foreign currency short-term assets over liabilities.
• Deposit outflows are identified as the main liquidity risk due to limited reliance on market funding and few securities holdings.

5. Insurance and Pension Stress Tests

• Differentiated between insurance companies and policyholders in terms of liability types.
• Long-term savings (LTS) products showed manageable effects under stress scenarios.
• Insurance stress tests did not expose large vulnerabilities, although two companies face challenges in meeting new, higher capital requirements.
• Market risk remains dominant, but additional work is needed to prepare for Solvency 2.

6. Systemic Risk and Policy Implications

• The stress tests highlight the importance of monitoring systemic risk, particularly credit concentration and borrower group risks.
• Improved stress testing procedures are recommended, including:
  • Using corporate sector expected default frequencies (EDFs) in satellite models
  • Enhancing macro model linkages
  • Increasing collaboration between MOF and BOI for integrated stress testing
• The Israeli financial sector is concentrated, with large conglomerates dominating the corporate sector.
• Geopolitical risks and economic crises in developed economies could pose challenges, and authorities should remain vigilant.

Key Information

• Macro Scenarios:
  • Base: GDP growth from 3.6% in 2011 to 3.7% in 2014.
  • Adverse 1: GDP growth declines to 1.2% in 2012 and 2.5% in 2013.
  • Adverse 2: GDP growth declines by about 2.8% in 2012 and 1.2% in 2013, with a significant drop in 2012.
• Interest Rates:
  • Base: BOI interest rate decreases from 3.0% in 2011 to 2.3% in 2014.
  • Adverse 1: BOI interest rate increases to 3.6% in 2012.
  • Adverse 2: BOI interest rate drops to 1.0% in 2012.
• Unemployment:
  • Base: Unemployment increases from 5.6% in 2011 to 6.1% in 2014.
  • Adverse 1: Unemployment rises to 7.3% in 2013.
  • Adverse 2: Unemployment increases to 11.1% in 2013.
• Credit Spreads:
  • Base: Credit spreads range from 1.1% to 7.8%.
  • Adverse 1: Credit spreads increase to up to 16.5%.
  • Adverse 2: Credit spreads increase to up to 25.7%.
• Key Findings:
  • Banks are resilient under all three scenarios.
  • Credit concentration is a concern, especially for the largest borrower groups and three largest corporate borrowers.
  • Low housing default risk and favorable corporate credit conditions contribute to positive outcomes.
  • Systemic risk and macroprudential policy should be enhanced.

Conclusion

The stress tests indicate that the Israeli banking sector is generally resilient and adequately capitalized under various macroeconomic scenarios. However, there are vulnerabilities in credit concentration, market risk, and liquidity management that require further monitoring and policy attention. The results also highlight the need for improved stress testing models and enhanced collaboration between the BOI and MOF to better understand systemic risk and guide micro and macroprudential policies.