DashboardRisk & Stress Testing
Stress Framework
Severe scenario:
DSCR breaks 1.0x.
R65bn portfolio sensitivity · interest rate & FX modelling · 3-scenario stress framework with correlated risk matrix.
Severe stress (+300bp / R22) breaches gearing & DSCR thresholds — immediate action required
Portfolio under test
R65bn
Total balance sheet exposure
Net interest margin
6.8%
Base case
DSCR
1.60x
Min threshold 1.0x
Base interest exp.
R5,954m
Annual
+100bp impact
+R460m
7.7% increase
Current gearing
49.3%
Debt / Equity
Scenario matrix
Stress comparison
Key metrics across all scenarios
| Scenario | Description | Interest Exp | NIM | DSCR | Gearing | Status |
|---|---|---|---|---|---|---|
| Base | Current rates | R5,954m | 6.8% | 1.6x | 52% | Within appetite |
| Mild | +100bp · R19/$ | R6,414m | 6.5% | 1.48x | 56.5% | Within appetite |
| Moderate | +200bp · R20/$ | R7,020m | 6.1% | 1.28x | 64% | Breaching |
| Severe | +300bp · R22/$ | R8,760m | 5.2% | 0.92x | 78% | Critical |
Breakeven: Rates can rise +240bp before DSCR hits 1.0x
NIM negative if funding costs exceed asset yields by >285bp
Rate impact
Interest expense
Across stress scenarios
SARB
Repo rate history
20Y context for stress calibration
Current 7.0% — cutting cycle ongoing.
Correlation
Risk factor matrix
Pairwise coefficients · 0–1 scale
| Repo | ZAR/USD | Spread | NPL | Commod. | Equity | |
|---|---|---|---|---|---|---|
| Repo Rate | 1.00 | 0.45 | 0.72 | 0.38 | 0.15 | 0.22 |
| ZAR/USD | 0.45 | 1.00 | 0.28 | 0.31 | 0.62 | 0.58 |
| Spread | 0.72 | 0.28 | 1.00 | 0.55 | 0.18 | 0.35 |
| NPL | 0.38 | 0.31 | 0.55 | 1.00 | 0.42 | 0.48 |
| Commodity | 0.15 | 0.62 | 0.18 | 0.42 | 1.00 | 0.71 |
| Equity | 0.22 | 0.58 | 0.35 | 0.48 | 0.71 | 1.00 |
Rate ↔ Spread (0.72): rate hikes widen IDC funding spreads
ZAR ↔ Commodity (0.62): rand weakens as commodity prices fall
Commodity ↔ Equity (0.71): equity book tied to commodity cycle
Mitigation
Strategic recommendations
HIGH PRIORITY
Accelerate fixed-rate refinancing
Lock in current rates on floating book before further cuts reduce fixed-rate attractiveness.
HIGH PRIORITY
Increase FX hedging to 60%
Cover 2026-2027 USD maturities (R2.1bn) with forwards or cross-currency swaps.
MEDIUM
Diversify equity portfolio
Reduce resources concentration below 70% through selective divestment.
MEDIUM
Build rate shock buffer
Target DSCR >1.5x in base case to absorb +200bp shock without breaching 1.0x.