resilience to shocks confirmed by BAM


According to BAM, the decline in activity combined with the rise in inflation and the sluggishness of credit, according to an extreme scenario, would penalize the profitability of the eight main banks in the market following the reduction in GNP and its main components.

The banking and insurance sectors remain duly immunized against the risks of macroeconomic shocks. For the banks, the stress tests carried out by BAM, according to a severe macroeconomic shock scenario, show that the ratios of prudential capital on a social basis would remain above regulatory requirements in 2022-2023. For the insurers, the results of these stress tests indicate that the prudential requirements in terms of solvency remain respected. The Central Bank also emphasizes that counterparty risk in the insurance sector remains under control.

The banking and insurance sectors once again demonstrated their ability to cope with macroeconomic shocks. The macro-stress tests conducted by Bank Al-Maghrib (BAM) in 2021 to assess the resilience of banks to macroeconomic shocks are based on a severe but plausible scenario. According to the latter, the economic growth of Morocco’s foreign partners would be affected by geopolitical tensions and a significant increase in the cost of raw materials (in particular in connection with tensions relating to the production and exchange of oil, foodstuffs and fertilizers). , hence the contraction of GDP in the euro zone and the slowdown in its growth in sub-Saharan Africa in 2022. inflation than expected.

In 2023, although tensions would ease, growth would remain sluggish overall, and commodity prices would remain at fairly high levels. The results of the scenario reveal that the average rate of non-performing loans of the eight banks subject to the test should be around 10.2% for households and 11.4% for non-financial enterprises (NFEs), on average in 2022. -2023, with contrasting developments between the banks. In addition, the banks should record a quasi-stabilization of the net result, in connection in particular with a slight improvement, even stagnation of the interest margin and the margin on commissions. Under these conditions, the average overall capital ratio would stand at 15.2% in 2022 and 15% in 2023, while the Tier 1 capital ratio would stabilize around 10.7%.

However, the deterioration of economic conditions under this extreme scenario would result in an increase in credit risk, with an increase in the average rate of non-performing household loans to 11.7% in 2022 and then to 12.9%. the following year, and that of ENFs at 12.2% this year then at 13.7% next year, mainly reflecting the effects of the decline in activity and purchasing power on the financial situation of households and non-financial companies. In addition, the decline in activity combined with the rise in inflation and the sluggishness of credit would penalize the profitability of the eight main banks in the market following the reduction in NBI and its main components (interest margin, on commission and results of market operations). As a result, the average prudential capital ratio is expected to contract by 180 basis points (bps) and that of Tier 1 capital by 130 bps, over the forecast horizon. Despite these developments, the ratios of prudential capital on a corporate basis should remain above regulatory requirements in 2022-2023.

Insurance: the sector immune to the “equity” and “real estate” shocks

Insurance companies remain resilient in the face of “equity” and “real estate” shocks. By simulating a stress test with drops of 10 and 25% on the “equities” portion, the lowest solvency margin rate would be 113 and 104% respectively. The average rate of this margin should stand at 335 and 291% respectively. Similarly, the exercise carried out on the “real estate” pocket showed that the lowest solvency margin rate would be 125 and 124% respectively. The average rate of this margin should stand at 367 and 363% respectively. Overall, the results of these stress tests show that the prudential requirements in terms of solvency remain respected.

The Central Bank also stresses that counterparty risk in the insurance sector remains under control. Thus, with regard to the exposure of the activity vis-à-vis reinsurers, BAM indicates that at the end of 2021, the share of assignees in technical provisions reached 10 billion dirhams, up by 1.8 % over one year. A portion of the ceded commitment is covered by deposits with the cedants. It is estimated at 3.4 billion dirhams and represents 35.1% of total disposals. The remainder of the ceded commitment is split between national and international reinsurers. Indeed, the national reinsurers hold a share of the commitment amounting to 5.9 billion dirhams, including 2.9 billion dirhams under the legal cession benefiting from the guarantee of the State. The retrocession programs of national reinsurers are mainly ceded to reinsurers with a rating of BBB and above. Foreign reinsurers have a share of the commitment which weighs 655.5 million dirhams. Note in passing that almost all of these reinsurers have a rating of BBB and above.

With regard to the exposure of the sector vis-à-vis insurance intermediaries and policyholders, the issuing institution indicates that the counterparty risk vis-à-vis insurance intermediaries and that vis-à-vis vis-à-vis policyholders improved in 2021. The ratio measuring counterparty risk vis-à-vis insurance intermediaries stood at 3.2% compared to 5.5% in 2020. This improvement is the result of a decrease in claims on insurance intermediaries combined with a simultaneous increase in the level of provisioning by 26.5% and in the equity of insurance companies by 2.9%. For the same reasons mentioned above, counterparty risk vis-à-vis policyholders has also decreased. The ratio measuring this risk thus fell from 4.5 to 3.7% in 2021.

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