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    Bank-Standard SASRA & CBK Macroeconomic Risk Modeling

    Monte Carlo SACCO NPL Stress Test Engine
    1,000 Iterations

    Simulate 1,000 stochastic macroeconomic scenarios to stress-test your SACCO loan portfolio against Central Bank of Kenya (CBK) interest rate shocks (+200 bps CBR hikes) and SASRA statutory capital floors (8.0% core capital).

    SACCO Loan Portfolio Inputs

    Simulates CBR rate increases up to +500 bps (+5.00%). Higher CBR elevates debt service burden and NPL defaults.

    SASRA Capital Adequacy Status: CRITICAL_BREACH

    Under a +200 bps CBK rate shock across 1,000 Monte Carlo runs, there is a 100% risk of breaching the SASRA 8.0% core capital floor.

    Median Stressed NPL Ratio (P50)
    P50 Base

    11.45%

    Baseline NPL: 5%

    Stress Case NPL Ratio (P95)
    P95 Stress

    13.92%

    95th Percentile Severe Default Shock

    Stressed Core Capital Ratio (P50)
    SASRA 8% Floor

    5.73%

    Initial Ratio: 10%

    Value at Risk / VaR (P95 Loss)
    P95 VaR

    KES 36,878,955

    Maximum expected loss at 95% confidence level

    Strategic Boardroom Recommendations

    • SASRA 8% Core Capital Breach Risk: Immediate capital injection or dividend retention required to build statutory capital buffers.
    • Restructure Watch Category loans into KMRC-backed 9.5% fixed-rate long-term mortgages to lower member monthly debt-service ratios.