## South Africa: Financial Sector Assessment Program-Stress Testing the Financial System-Technical Note

_IMF Staff Country Reports, March 3, 2015_

## Source details

**Canonical URL:** [South Africa: Financial Sector Assessment Program-Stress Testing the Financial System-Technical Note](https://www.imf.org/en/publications/cr/issues/2016/12/31/south-africa-financial-sector-assessment-program-stress-testing-the-financial-system-42756)

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## Bibliographic details
- Published: March 3, 2015
- Series: IMF Staff Country Reports
- DOI: https://doi.org/10.5089/9781498367608.002

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### Summary
- This Technical Note discusses stress testing (ST) results for the financial system of South Africa.
- The bank STs suggest that banks have adequate capital to withstand severe shocks, but need larger liquidity capacity to meet regulatory requirements.
- Even in the severe scenario in which GDP falls for three consecutive years, banks’ capital buffers seem sufficient, although the impact of a large default could be significant.
- Banks also appear resilient to market risks in both the trading and banking books.
- Some banks, however, would have difficulty meeting the Liquidity Coverage Ratio without the Committed Liquidity Facility of the South African Reserve Bank.

### Key Findings
- Capital adequacy:
  - Banks have adequate capital to withstand severe shocks.
  - In a severe scenario with GDP falling for three consecutive years, banks’ capital buffers seem sufficient.
  - A large default could have a significant impact despite generally adequate buffers.
- Liquidity:
  - Banks need larger liquidity capacity to meet regulatory requirements.
  - Some banks would have difficulty meeting the Liquidity Coverage Ratio without access to the Committed Liquidity Facility of the South African Reserve Bank.
- Market risk:
  - Banks appear resilient to market risks in both the trading book and the banking book.

### Subjects and Keywords (as listed)
- Subjects: Banking; Capital adequacy requirements; Credit; Credit risk; Financial institutions; Financial regulation and supervision; Financial sector policy and analysis; Insurance companies; Liquidity requirements; Money; Stress testing
- Keywords: Africa; bank STs; banking sector; coverage ratio; CR; Credit; Credit risk; Global; Insurance companies; insurance ST; interest rate shock; ISCR; Liquidity requirements; market risk shock; mortgage portfolio; net income; Stress testing

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_Source: https://www.imf.org/en/publications/cr/issues/2016/12/31/south-africa-financial-sector-assessment-program-stress-testing-the-financial-system-42756_