FINANCIAL STABILITY REPORT - Bank of Jamaica

FINANCIAL STABILITY REPORT 2018

 2019 Bank of Jamaica Nethersole Place Kingston Jamaica

Telephone: (876) 922 0750-9 Fax: (876) 967 4265

Email: library@.jm Website:

Twitter: @CentralBankJA Facebook: @CentralBankJA YouTube: Bank of Jamaica

ISSN 0799 3617

Bank of Jamaica Financial Stability Report prepared pursuant to subsection 34R of the Bank of Jamaica Act.

This publication available on the BOJ website at: ().

Printed in Jamaica

CONTENTS

CONTENTS BANK OF JAMAICA | FINANCIAL STABILITY REPORT | 2018

ABBREVIATIONS AND ACRONYMS

i

FOREWORD

iii

1. FINANCIAL STABILITY OVERVIEW

1

2. MACRO-FINANCIAL RISKS

2.1. Overview

4

2.2. Global developments

4

2.3. Domestic environment

5

2.4. Measures of financial cycle

7

2.5. Measures of direct and indirect exposure concentration

9

2.6. Measures of interconnectedness & systemic Importance

10

Box 2.1 The Effect of Capital Flows on Key Financial Stability Measures in Jamaica

12

3. FINANCIAL SYSTEM DEVELOPMENTS

3.1. Overview

14

3.2. The financial system

14

3.3. Deposit-taking institutions

14

3.4. Non-deposit-taking financial institutions

19

Box 3.1 Problem Assets Management, Provisioning Requirements and Accounting for

Expected Credit Losses

29

4. FINANCIAL SYSTEM SECTORAL EXPOSURES

4.1. Overview

31

4.2. Household debt and deposit-taking institutions' exposure

31

4.3. Deposit-taking institutions' exposure to corporate sector debt

33

4.4. Public sector debt & deposit-taking institutions' exposure

34

4.5. Non-deposit-taking financial institutions' sector exposure

36

4.6. Exposure to other assets

37

4.7. Pension industry exposure to government's securities, equities & real estate

38

5. RISK ASSESSMENT OF THE FINANCIAL SECTOR

5.1. Overview

39

5.2. Risk exposure assessment for deposit taking institutions

39

5.3. Liquidity funding risk assessment for deposit taking institutions

40

5.4. Market risk assessment of deposit taking institutions

41

5.5. Interest rate risk assessment for deposit taking institutions

42

5.6. Foreign exchange risk assessment for deposit taking institutions

42

5.7. Credit risk assessment of deposit taking institutions

43

5.8. Risk exposure assessment for securities dealers

45

5.9. Liquidity funding risk assessment of securities dealers

45

5.10. Interest rate risk assessment of securities dealers

46

5.11. Foreign exchange risk assessment of securities dealers

47

5.12. Evolution of risk indicators ? life and general insurance companies

47

5.13. Foreign exchange risk assessment of insurance companies

48

5.14. Market and interest rate risk assessment of insurance companies

48

5.15. Liquidity funding risk assessment of insurance companies

49

Box 5.1 Predicting Bank Failures in Jamaica ? A Logistic Regression Approach

51

Box 5.2 Cyber Risk and its Impact on Financial Stability

54

CONTENTS BANK OF JAMAICA | FINANCIAL STABILITY REPORT | 2018

6. PAYMENT SYSTEM DEVELOPMENTS

6.1. Overview

56

6.2. Key developments in payment systems

57

6.3. Assessing financial sector exposure to financial market infrastructures

62

6.4. Evaluating interconnectedness & systemic importance

63

Box 6.1 Updated Guidelines on Electronic Retail Payment Services and Summary Activities

65

GLOSSARY

67

ABBREVIATIONS AND ACRONYMS BANK OF JAMAICA | FINANCIAL STABILITY REPORT | 2018

i

ABBREVIATIONS AND ACRONYMS

ABM ACH

Automated Banking Machine Automated Clearing House

AFSI BAMLGFSI BINS BIS BN BOJ BPS CAR CD CIS CISS CPI

Aggregate Financial Stability Index Bank of America Merrill Lynch Global Financial Stress Index Benchmark Investment Notes

Bank for International Settlement

Billion

Bank of Jamaica

Basis Points

Capital Adequacy Ratio

Certificate of Deposit

Collective Investment Schemes Composite Indicator of Systemic Stress Consumer Price Index

CRE

Credit Risk Exposure

CSD

Central Securities Depository

CY D-SIB DTI DVBP EMBI+ ERPS FSC FSI

Calendar Year Domestic Systemically Important Bank Deposit-taking Institution Dollar Value of a Basis Point Emerging Market Bond Index Electronic Retail Payment Services Financial Services Commission Financial Soundness Index

FSR FSSC FX

Fiscal Stability Ratio Financial System Stability Committee Foreign Exchange

FUM

Funds Under Management

GDP

Gross Domestic Product

GI

General Insurance

GOJ

Government of Jamaica

GOJGB Government of Jamaica Global Bonds

GWP

Gross Written Premium

HHI

Herfindahl-Hirschman Index

ICs

Insurance Companies

LI

Life Insurance

JDX

Jamaica Debt Exchange

JSE LSCRI MaFI MCCSR MCT

Jamaica Stock Exchange Large-Value System Concentration Risk Index Macro-Financial Index Minimum Continuing Capital and Surplus Requirements

Minimum Capital Test

MiPI

Micro-Prudential Index

NDTFI Non-Deposit-taking Financial Institution

NDX

National Debt Exchange

NIR

Net International Reserves

NOP

Net Open Position

NPL

Non-Performing Loan

POS REER ROA ROE RTGS RWA SD SIFI The Bank VIX WTI

Point-of-Sale

Real Effective Exchange Rate

Return on Asset

Return of Equity Real-Time Gross Settlement System Risk-Weighted Assets

Securities Dealer Systemically Important Financial Institution Bank of Jamaica

Volatility Index

West Texas Intermediate

ABBREVIATIONS AND ACRONYMS BANK OF JAMAICA | FINANCIAL STABILITY REPORT | 2018

ii

 ................
................

In order to avoid copyright disputes, this page is only a partial summary.

Google Online Preview   Download