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IMF Country Report No. 22/186
SOUTH AFRICA
FINANCIAL SECTOR ASSESSMENT PROGRAM
TECHNICAL NOTE ON SYSTEMIC RISK OVERSIGHT AND MACROPRUDENTIAL POLICY
June 2022
This technical note on Systemic Risk Oversight and Macroprudential Policy was prepared by a staff team of the International Monetary Fund in the context of a joint IMF-World Bank Financial Sector Assessment Program (FSAP). It is based on the information available at the time it was completed in June 2021.
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Title page
SOUTH AFRICA
FINANCIAL SECTOR ASSESSMENT PROGRAM
June 2, 2022
TECHNICAL NOTE
SYSTEMIC RISK OVERSIGHT AND MACROPRUDENTIAL POLICY
Prepared By
Monetary and Capital Markets Department
This Technical Note was prepared in the context of the Financial Sector Assessment Program in South Africa during June 2021 mission led by Jennifer Elliott, IMF and Eva Gutierrez, World Bank and overseen by the Monetary and Capital Markets Department, International Monetary Fund, and the Finance, Competitiveness and Innovation Global Practice, World Bank. It contains technical analysis and detailed information underpinning the FSAP’s findings and recommendations. Further information on the FSAP can be found at http://www.imf.org/external/np/fsap/fssa.aspx
Contents
Glossary
EXECUTIVE SUMMARY
INTRODUCTION
INSTITUTIONAL FRAMEWORK
A. Willingness to Act
B. Ability to Act
C. Coordination and Cooperation
D. Recommendations
SYSTEMIC RISK MONITORING
A Systemic Risk Monitoring Framework
B. Recommendations
THE MACROPRUDENTIAL TOOLKIT
A Measures to Address the Sovereign-Financial Nexus
B. Borrower-Based Tools
C. Recommendations
FIGURES
1. Institutional Arrangements for Macroprudential Policy
2. Systemic Risk Monitoring
3. Macroprudential Policy Actions, Credit Developments, and Tools
4. The Sovereign-Financial Nexus
TABLE
1. Key Recommendations on Systemic Risk Oversight and Macroprudential Policy
ANNEX
I. Macroprudential Policy Measures in Place
Glossary
| BCBS | Basel Committee on Banking Supervision |
| BIS | Bank for International Settlements |
| CCB | Capital Conservation Buffer |
| CCyB | Counter Cyclical Capital Buffer |
| CEO | Chief Executive Officer |
| CET1 | Common Equity Tier 1 Capital Ratio |
| CFM | Capital Flow Management Measures |
| CRD IV | Capital Requirement Directive IV |
| DSIB | Domestic Systematically Important Bank |
| DTI | Debt-to-Income Ratio |
| DSTI | Debt Service to Income Ratio |
| EME | Emerging Market Economies |
| FIC | Financial Integrity Centre |
| FSAP | Financial Sector Assessment Program |
| FSCA | Financial Sector Conduct Authority |
| FSCF | Financial Sector Contingency Forum |
| FSB | Financial Stability Board |
| FSC | Financial Stability Committee |
| FSOC | Financial Stability Oversight Committee |
| FSR | Financial Sector Regulation |
| GDP | Gross Domestic Product |
| HQLA | High-Quality Liquid Assets |
| iMaPP | Integrated Macroprudential Policy |
| IMF | International Monetary Fund |
| IRB | Internal Ratings-Based |
| LCR | Liquidity Coverage Ratio |
| LTI | Loan to Income |
| LTV | Loan-to-Value Ratio |
| MPC | Monetary Policy Committee |
| MPM | Macroprudential Policy Measure |
| MoU | Memorandum of Understanding |
| NBFI | Non-Bank Financial Institutions |
| NCR | National Credit Regulator |
| NPL | Non-Performing Loan |
| NSFR | Net Stable Funding Ratio |
| NT | National Treasury |
| PA | Prudential Authority |
| RW | Risk Weights |
| SGN | Staff Guidance Note |
| SIFI | Systematically Important Institution |
| SME | Small-to-Medium Enterprises |
| SRB | Systemic Risk Buffer |