IMF博茨瓦纳金融部门评估方案-关于系统性流动性管理的技术说明

IMFCountryReportNo.24/60

BOTSWANA

March2024

FINANCIALSECTORASSESSMENTPROGRAM

TECHNICALNOTEONSYSTEMICLIQUIDITY

MANAGEMENT

ThispaperonBotswanawaspreparedbyastaffteamoftheInternationalMonetaryFundasbackgrounddocumentationfortheperiodicconsultationwiththemembercountry.ItisbasedontheinformationavailableatthetimeitwascompletedonJanuary18,2024.

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Washington,D.C.

©2024InternationalMonetaryFund

PreparedBy

MonetaryandCapitalMarketsDepartment

January18,2024

BOTSWANA

FINANCIALSECTORASSESSMENTPROGRAM

TECHNICALNOTE

SYSTEMICLIQUIDITYMANAGEMENT

ThisTechnicalNotewaspreparedbyIMFstaffinthecontextoftheFinancialSectorAssessmentPrograminBotswana.Itcontainstechnicalanalysisand

detailedinformationunderpinningtheFSAP’s

findingsandrecommendations.Furtherinformation

ontheFSAPcanbefoundat

/external/np/fsap/fssa.aspx

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CONTENTS

Glossary

4

EXECUTIVESUMMARY

5

INTRODUCTION

8

ASSESSINGLIQUIDITYRISKS

8

A.SystemicLiquidityVulnerabilityinaHighlyInterconnectedFinancialSystem

8

B.LiquidityManagementFramework

10

C.MarketandFundingLiquidityRisk

15

BoB’SLIQUIDITYREGULATIONSASRISKABSORBERS

19

A.PrimaryReservesRequirement

19

B.StatutoryLiquidAssetsRatio

22

C.ImplementingLCRandNSFR

23

CENTRALBANKBACKSTOPSANDRISKMITIGATION

25

A.CollateralFramework

25

B.EmergencyLiquidity:FundingShocksandRiskControlMeasures

27

C.MarketDevelopment

30

BOXES

1.MonetaryPolicyResponsetotheCOVIDPandemic

11

2.BankofBotswanaRefinancingFacilities

14

3.BoBCollateralFramework:EligibleAssets,Haircuts,andValuation

26

FIGURES

1.FinancialSectorInterconnectedness

9

2.StructuralExcessLiquidity

10

3.BoBInterestRatesandInterbankRates

12

4.MarketLiquidityRisk:LARandLCRMeasures

15

5.FundingSourcesintheBankingSystem

16

6.BankDepositsbyMaturityandHolder

18

7.RequiredReservesFulfillmentPatterninBotswana

20

8.CoverageofBoB'sStatutoryLiquidAssets

21

9.CommercialBanks’HoldingofRequiredReservesandGovernmentBonds

23

10.DiagramofLiquidityShocksinBotswana’sBankingSystem

28

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TABLE

1.KeyRecommendations7

APPENDIX

I.Statusof2017TARecommendationsonELA32

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Glossary

BISSBotswanaInterbankSettlementSystem

BoBBankofBotswana

BoBCsBankofBotswanaCertificates

BoBAABankofBotswanaAmendmentAct,2022

BWPBotswanaPula

CFCreditFacility

CiCCurrencyinCirculation

ELAEmergencyLiquidityAssistance

FXForeignCurrency

HQLAHigh-QualityLiquidAssets

LARLiquidAssetsRatio

LCRLiquidityCoverageRatio

MoFMinistryofFinance

MoPRMonetaryPolicyRate

NBFINon-BankFinancialInstitutions

NBFIRANon-BankFinancialInstitutionsRegulatoryAuthority

NOPNetOpenPosition

NSFRNetStableFundingRatio

PDPrimaryDealer

PRRPrimaryReservesRequirement

RMPReserveMaintenancePeriod

SCFStandingCreditFacility

SDFStandingDepositFacility

TATechnicalAssistance

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EXECUTIVESUMMARY

1

ThechallengesofBotswana’shighlyinterconnectedfinancialsystemrequiresaneffective

systemicliquiditymanagementframework.Commercialbanks’

2

fundingsourcesfromcorporatesandnon-bankfinancialinstitutions(NBFIs)andcreditexposurestohouseholdscreateavenuesfor

risktransmission.CorporationsandNBFIs(pensionfundsandinsurancecompanies)constitutethemaindepositorsofthebankingsector.Stronglinkagealsoexistsbetweenbanksandthehouseholdsector,ashouseholdscontribute21percentofbanks’totaldepositsandreceive67percentof

banks’totallendingintheformofunsecuredloans.

TheliquiditymanagementframeworkoftheBankofBotswana(BoB)hasbeenstrengthened

sincetheApril2022monetarypolicyreforms;however,structuralexcessliquidityandits

volatilitypersist.Monetarypolicyimplementationistransitioningtowardsaninterestrate

operatingtargettosupportthecrawlingpegexchangerateregime.Themorestreamlineduseofmarket-basedmonetaryinstrumentsshouldbettersupportbanks’liquiditymanagementand

promoteeffectiveinterestratetransmission.Changesinthenetgovernmentpositioncontinuetobetheprimarydriverofthevolatileexcessreserves,implyingroomfortheBoBtostrengthenliquidityforecasting.

TheBoB’sliquidityregulationscouldmoreeffectivelyfacilitatebanks’abilitytomanage

liquidityinternally.Banksholdhighprecautionarybalancesduetothehighpenaltyrateofprimaryreserverequirement(PRR)shortfalls,limitedalternativefundingoptionsinthefragmentedinterbankmarket,andearlycut-offtimeforthestandingcreditfacility(SCF).Toencouragebankstoflexibly

useaveragingofthePRReffectivelyasaninternalriskabsorber,theBoBshouldalignthePRRpenaltyratewiththecreditfacility(CF)rateandpermitaccesstotheSCFaftertheclosureofinterbankmarkettrading.

Althoughbanksmaintainliquidassetsabovetheregulatoryminimum,thesemaybe

insufficienttowithstandahighfundingliquidityrisk.Mostbanksmaintainadditionalinternal

buffersabovetheliquidassetsratio(LAR)requirementandbanks’aggregatedLARhavebeenstableforyears.However,thisstockmeasuremaynotfullycapturethevulnerabilitytothesuddenshiftsinfundingliquidityfromlumpyandconcentrateddeposits.TheLiquidityCoverageRatio(LCR)-proxy

test

3

revealedthatunderanadversescenariowithlargedepositrun-offrates,fivebankswouldfaceapotentialliquidityshortfall.Thisoutcomeisreflectiveofthestructuralmaturitymismatchand

fundingconcentrationriskforthesebanks.

1PreparedbyYuanGaoRollinson.TheFSAPmissionwishestoexpressappreciationtothevariousdepartmentswithintheBankofBotswanaandtheNon-BankFinancialInstitutionsAuthorityfortheirproductivecooperation,responsivenesswithdata,andtheirfullsupporttowardsthecompletionofthisassessment.

2CommercialbanksincludetheeightbankslicensedinBotswanaasofAugust2022.TheBBSBankLimited,waslicensedasacommercialbankonOctober6,2022,isexcludedfromtheanalysis.

3SeetheFSAPtechnicalnoteofSystemicRiskAssessmentforBanks.

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TheFSAPsupportstheBoB’splantoimplementtheBaselIIIliquiditystandardfor

strengtheningliquiditymonitoring.TheLCRisamoreinformativeindicatorofliquidityrisks,whichcomplementedwiththeassessmentoftheNSFRwillallowtheBoBtoevaluateindividualbank’sresilienceagainstthefundingliquidityrisk.TheBoBisintheprocessofdevelopingthereportingframeworkfortheLCRandtheNSFRimplementationandwillupdatetheliquidity

monitoringregulationsaccordingly.TheBoBshouldperformanassessmentofthereadinessofthebankingsectortoimplementtheLCRandNSFR,especiallyallowingthesupervisorstogainsufficient

experiencewithcalibratingtheparametersoftheLCRandNSFRbeforeimposingaminimumrequirement.

Furthersupportforaneffectiveframeworkforbanks’liquiditymanagementcanemanate

fromstreamliningtheBoB’scollateralframeworkforrefinancingfacilities.First,theBoB

shouldunifythefragmentedcollateralpoolforthecreditfacilityandstandingcreditfacility.Second,theBOBshouldrefineitscollateralvaluationmethodologyandpublishanupdatedhaircutschedulereflectingitsrisktoleranceandtheriskassociatedwithdifferentcollateralclasses.Although

maintainingafairlyconservativepoolofeligiblecollateralcomprisingmainlygovernmentsecurities,thesmallhaircutsmaynotreflectmarketriskforlongermaturityinstrumentsintheilliquidmarket.Moreover,withtheinclusionofawiderclassofeligibleassetsforBoBrefinancingfacilitiessincethepandemic,therisksassociatedwiththeseadditionalassetsmustbeappropriatelymanagedthroughastrengthenedcollateralframework.

Theabsenceofaframeworkforemergencyliquidityassistance(ELA)leavesagapfor

managingsystemicliquidityshocksandshouldbeaddressedasapriority.Subjecttolegal

allowancesviatheimplementationoftheBoBAmendmentAct(BoBAA),theBOBshouldarticulatearegulationandpublishcomprehensiveoperationalguidelinesforELA.TheguidingprinciplesforELAshouldbefullyapplied:(i)availabletosolventbuttemporarilyilliquidbanks,(ii)ELAshouldbe

extendedagainstadequatecollateral,(iii)abroaderrangeofassetswithrequisitelegalsecurityandwithintheBoB’srisktolerancemaybeconsidered,(iv)theremunerationofELAmustbeadequateasameansofmitigatingmoralhazard,and(v)ELAshouldbedoneatthediscretionoftheBoB.

Promotingthedevelopmentofinterbankrepomarketandgovernmentsecuritiesmarkethelptoincreasefinancialsectorresilience.Theexistinginterbankmarketisafragmentedunsecured

marketcomprisedofone-waylendingfromlargebankstosmallbanks,whichisanimportantbutinsufficientshockabsorberforliquidityrisk.TheBoBandtheMinistryofFinance(MoF)should

coordinateeffortstopromoteparalleldevelopmentofbothkeymarketsby:(i)ensuringthatthelegalframeworksupportsenforceabilityandtitletransfertosecurities;(ii)facilitatinginformationdisseminationanddevelopmentofareferencerateformoneymarkets;and(iii)providinggreaterprice-transparencyingovernmentprimarybondsauctions.

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Table1.Botswana:KeyRecommendations

Recommendations

Authority

Priority1/

SystemicLiquidityManagementandMonitoring

ImproveBOB’sliquidityforecastingandalignforecasthorizonwiththereservemaintenanceperiod[¶8]

BoB,MoF

ST

Improvebanks’accesstorefinancingfacilitiesbypermittingaccesstothestandingcreditfacility(SCF)aftertheclosureofinterbanktrading[¶12–13,¶22]

BoB

ST

StreamlinerefinancingfacilitiesbyadjustingthePRRpenaltyrate,retainingthecreditfacility(CF)fordaylightcreditonlyandallowingovernightcreditattheSCFrate[¶13,¶22]

BoB

ST

IntroducetheBaselIIIliquiditystandardstoenhanceliquiditymonitoring2/[¶26]

BoB

MT-LT

CollateralFramework

UnifyBoB’sfragmentedcollateralpoolfortheCFandSCFthroughamorestreamlinedframeworkforrefinancingfacilities[¶12]

BoB

ST

Reviewandpublishhaircutschedulestoincludealleligibleassetsforstandardrefinancingoperations[¶29–30]

BoB

ST

EmergencyLiquidityAssistance

DevelopandpublishcomprehensiveoperationalframeworkforELAonceBoBAAentersintoforce[¶33]

BoB

ST-MT

DeterminethecollateraluniverseforELA,identifytherequirementstofacilitatelegalentitlementtocollateral,anddevelopanappropriateriskmitigationframework[¶34–35]

BoB

ST-MT

MarketDevelopment:InterbankandGovernmentSecurities

Developtheinterbankrepomarketbyensuringthelegalframeworksupportsenforceabilityandtitletransferofsecurities[¶38]

BoB

MT

Facilitatedevelopmentofareferencerateformoneymarketandinterbankrepomarket[¶39]

BoB,MoF

MT

Providegreaterpricetransparencyingovernmentbondauctions[¶41]

BoB,MoF

MT

1/ST:shortterm=lessthan1year;MT:mediumterm=1to5years;LT:longterm=over5years.

2/PleaserefertoFSAPTechnicalNoteonSystemicRiskAssessmentforBanksforKeyRecommendationsforManagingLiquidityRisks.

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INTRODUCTION

1.ThistechnicalnoteexaminestheBankofBotswana’s(BoB)operationalframeworkanditsabilitytoaddresssystemicandidiosyncraticliquidityshocks.TheassessmentbeginswiththeprofileandvulnerabilitiestomarketandfundingliquidityriskinBotswana’shighlyinterconnected

financialsystem..Theanalysisthatfollowsfocusesonmeasuresthatallowbankstomanagerisks

internallyattheonsetofaliquidityshock,followedbytheirabilitytomitigatesomerisksusingthemarkets.Thesecapacitiescanimprovemarketresiliencetoliquidityriskwithoutcentralbank

intervention.

2.TheanalysisextendstoincludesystemicliquiditymanagementbytheBoBand

enumeratesinstrumentsthatmayalsobeusefulformanagingresidualliquidityrisks..Therearesomerisksthatcannotbeinternalized,astheymaybeeconomicallytoocostly.Thus,the

availablerisk-distributionoptionsfromthecentralbankwouldbeparticularlyimportanttopreservefinancialstability.Theseoptionsinclude:(i)thosepromulgatedthroughliquidityregulations,e.g.,

theprimaryreserverequirement(PRR),(ii)accessibilitytorefinancingfacilities,includingawell-definedandeffectivecollateralframework,and(iii)theBoB’slegalauthoritytoimplementan

effectiveframeworkforELA.

4

3.Thenoteconcludeswithrecommendationsonpromotingthedevelopmentof

markets.Thesemarketsareneededforon-goingriskmonitoringandriskmanagementutilizingdifferentinstruments,includingsecuredtransactions.MarketsinBotswanaarecurrentlysmalland

underdeveloped.Therefore,initiativestofacilitatethedevelopmentoftheinterbankrepomarket

andgovernmentsecuritiesmarketshouldbeconsideredtosupportresiliencetoliquidityshocksandtosupportfinancialstabilityinthelongterm.

ASSESSINGLIQUIDITYRISKS

A.SystemicLiquidityVulnerabilityinaHighlyInterconnectedFinancial

System

4.Strongmacro-financiallinkageofthefinancialsystemcreatesapotentialchannelofcontagionrisksacrosssectors

(Figure1)

.Botswana’sbankingsectorishighlyinterconnectedwithothersectorsthroughitsdepositsholdingsandlending.AsofMarch2022,non-financial

corporationsaccountforcloseto50percentoftotaldepositsofcommercialbanks,while

corporations’borrowingrepresents28percentofcommercialbanks’credit;NBFIs

5

hold20percent

4OncetheBoBAmendmentAct(BoBAA),2022entersintoforce,theBoBwillhaveanexplicitsecondarymandateforfinancialstability,whichestablishesameasureoflegalaccountabilityfortheBoB.Also,theBoBAAprovidesthelegalauthorityfortheBoBtoprovideELA.

5InBotswana,NBFIsareregulatedbytheNon-bankFinancialInstitutionsRegulatoryAuthority(NBFIRA).

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ofbanks’totaldeposits;householdshold21percentofbanks’totaldeposits,whilebanksextend67percentoftotallendingtothehouseholds(mostlytogovernmentemployeesintheformofunsecuredloans).

Figure1.Botswana:FinancialSectorInterconnectedness

(AsofMarch2022)

Sources:BankofBotswana,NBFIRA,andIMFstaffcalculations.

Notes:(1)Nodesizeproportionallyrepresentstransactionwithinasector,edgewidthproportionallyreflectsfinanciallinkagesbetweeneachsectors;edgeshavethesamecolorasthenodeforwhichtheedgerepresentsanexposure.

Intersectoralexposuresarenotincluded.(2)Pensionfundsaccountforover90percentofNBFIstotalassets.

5.Banks’fundingexposuresfromothersectorsreflectpotentialrisks.

Fundingprofilesareconcentrated—

comprisingmainlyshort-termdepositsofnon-financialcorporatesfromafew

largedepositors.Thelargestbankshavethedominantshareofsavingsandcall

deposits,whilesmallerbankslargelyrelyonprice-sensitivefixeddeposits(Text

Chart).Monitoringisdonefordepositconcentrationamongthetop-20

depositorsforeachinstitution,with

somebanksestablishinginternalpoliciesandproceduresformanagingthese

concentrations.

DepositComposition

(asofJune2022;inpercentofnon-equityliabilities)

100

90

80

70

60

50

40

30

20

10

-

TotalPeer1Peer2Peer3

CurrentdepositsCalldeposits

SavingsdepositsFixeddeposits

Depositsfrombanks

Peergroupsaredeterminedbythebanks’shareoftotalassetstobankingsystemassets,andPeer1/2/3represent64/22/14percent,respectively,asofend-June2022.

Sources:BankofBotswana,andIMFstaff.

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6.Thebankingsystemhasmaintainedadequateliquiditypositions.Thebankingsystem

operateswithstructuralexcessliquidityforyears.Attheindividuallevel,commercialbanks’liquid

assetsholdingsareadequateandwellabovethestatutoryliquidassetsratio(LAR)requirement.Ontheliabilityside,thebankingsystem’ssourcesoffundingshavestayedrelativelystableoverrecentyears.However,banksarelargelyreliantontheshort-termdepositfundings(88percentoftotal

depositsarewithmaturitylessthan6months),whichtendtobevolatileasthewholesaledepositorsswitchonbanksoften.Duringstressedperiod,thewholesaledepositsmaybecomemorevolatile

andleadtoidiosyncraticfundingshortfallforsomebankswhichcancreateinstabilityforthewholesystem.

B.LiquidityManagementFramework

7.Structuralexcessliquidityanditsvolatilitypersistedinthebankingsystemin2022.

Dailyexcessreserveshavebeenvolatileovertime

(Figure2)

.Althoughthemagnitudeofexcess

liquiditydecreasedsignificantlyduringtheCOVIDPandemic,structuralexcessliquiditypersistedin2022.Dailyexcessreservesin2022averagedBWP1.5billion,comparedwiththeaverageofBWP1.3billionfor2021.ThepeakexcessreservessinceJanuary2022wasBWP3.7billioninJuly2022and

hassincedeclinedtoBWP2.5billionasofmid-January2023.Accordingly,theCOVIDmeasures

aimedatensuringthatbankshadadequateaccesstoliquiditywerenotusedbyanybanks

(Box1)

,allowingtheBoBtoannouncethewithdrawaloftheseexceptionalmeasuresinDecember2022.

Figure2.Botswana:StructuralExcessLiquidity

Excessliquidityanditsvolatilitypersistinthebankingsystem

ExcessliquidityismainlyheldinSDFbalances.

Sources:BankofBotswanaandIMFstaffcalculation.

Note:Structuralexcessliquidityismeasuredasthesumofbanks’currentaccountbalancesattheBoB,netrepoposition,aswellastheaccesstothestandingdepositfacilitySDF(positive)andcreditfacilities(negative).

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Box1.Botswana:MonetaryPolicyResponsetotheCOVIDPandemic

TheBankofBotswanaannouncedmeasuresonApril1,2020

(link)

,aspartofitsresponsestomitigatetheadverseimpactofCOVID-19onbanks’liquidityandfundingrisks.

TypeofMeasure

IntendedPurpose

Outcome

MonetaryPolicy

.Reductioninmonetarypolicyrate

.Providedspecialrepofacilitieswithmaturityupto92days(extendedfromthestandard

overnighttenor)

.CostforliquidityfromBoBavailableatstandardinterestrateof4.75percent,withoutthe

punitiveinterestratespreadof6.0percentagepointsabovethebankrate.

Toalleviateanypossiblepressureonthebanks’liquidityandthecostforaccessingliquidity.

Loweringthecostoffundingalsoalleviatedpressureintheeventoflossoflargewholesaledeposits.

Therewereno

banksaccessing

theannounced

COVID-19lendingfacilities.

.Extendedcollateralpoolforborrowingby

licensedcommercialbanksfromtheBoBto

includeallcorporatebondslistedandtradedontheBotswanaStockExchange.

Toextendpotentialadditional

sourcesforaccessingliquidity.

Sources:BankofBotswanaandIMFstaff.

Note:MonetarypolicyrateduringCOVIDreferredtotheBankRate,whichwasdiscontinuedasofApril28,2022.

8.Changesinthenetgovernmentpositioncontinuetobetheprimarydriverofthevolatileexcessreservesinthebankingsystem.LiquidityforecastisconductedbytheBoB

FinancialMarketsDepartmentonaweeklybasis,includingone-weekaheadforecastofnet

governmentposition,netFXposition(NFA),CurrencyinCirculation(CiC),andrequiredreserves.

Duringthe2022reform,theBoBhasimproveditsCiC

forecastandFXactivitymonitoring.However,forecastof

thenetgovernmentpositioniscurrentlyweak.Moreover,

changesinthenetgovernmentpositionremainthemain

driverofliquidityforecasterrors,therebycontributingto

thevolatileexcessreserves.TheBoBshouldcontinue

workingwiththeMoFtoimprovetheforecastof

governmentflows.Additionally,theBoBshouldseekto

aligntheforecasthorizonwiththereservemaintenance

period(RMP)fortheprimaryreserverequirements(PRR)

tobettercalibratetheneededmonetaryresponsestothe

changingliquidityconditionsandestimatebanks’

demandforreserves.Thiswouldmeanextendingtheforecasthorizonfrom7daysto30days,forthesimilarconfigurationoftheRMP.

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9.ThemonetarypolicyreformimplementedinApril2022canhelpwithmoreeffectiveliquiditypricingandpromotetransmissiontothemoneymarket.

6

Monetarypolicyhasmovedfromanotionalframework(usingtheBankRate)toanannouncedinterestrateoperatingtarget

attachedtotheBoBcertificatesofdeposit(BoBCs).

7

Priortothereform,aspreadof262–338bps

wasmaintainedbetweentheBankRate(theintendedsignalforthemonetarystance)andthe7-dayBoBCsrate,whileovernightinterbankrateshoveredaroundthe7-dayBoBCrateswithlargespikes(mostlyasaresultoflongermaturitiesbeforeDecember2020)(Figure3).Thishasundermined

transmissiontootherfundingmarkets.Accordingly,thenewmonetarypolicyrate(MoPR)thatis

anchoredatthe7-dayBoBCsrateshouldhelptoreducevolatility.Inaddition,thegreatereffortstostreamlineitsliquiditymanagementframeworkusingOMOs

8

toeffectivelymanageexcessreservesinthebankingsystemshouldalleviatesomeliquidityrisksforbanks.

Figure3.Botswana:BoBInterestRatesandInterbankRates

Sources:BankofBotswanaandIMFstaffcalculations.

Note:ThebankratewasdiscontinuedasofApril28,2022.

10.BoBneedstoeffectivelymanagethestructuralliquiditytofacilitatethe

implementationofmonetarypolicyandtobettersupportfinancialstability.Fornow,theexcessliquiditywilldrivedowntheshort-terminterestratesandpossiblyfacilitatecommercial

banks’risk-taking,includingunsecuredloansorhigh-riskcredittocompensatefortheincomeloss.Infact,commercialbanks’totalloansandadvanceshavesteadilyincreasedoverthepastfiveyears

6BoBMonetaryPolicyReportDecember2022

(link)

7SeeIMF2021TAofBotswanaMonetaryPolicyImplementationandOperations.

8Thecurrentsuiteofopenmarketoperationsinstrumentsforsterilizingexcessreservesinclude:(i)7-dayBoBCs:themaininstrumenttooffsetweeklychangesinautonomousfactorsand(ii)30-dayBoBCs:tofillthegapbetweenthe7-dayBoBCsandthe3-monthT-Bill.RepoandReverserepoareusedasfine-tuningOMOsconductedonanadhoc

basis,atthediscretionoftheBoB.

BOTS