IMF Staff Country Reports

Kingdom of the Netherlands-The Netherlands: Financial Sector Assessment Program- Technical Note on Systemic Risk Analysis

June 18, 2024

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International Monetary Fund. Monetary and Capital Markets Department "Kingdom of the Netherlands-The Netherlands: Financial Sector Assessment Program- Technical Note on Systemic Risk Analysis", IMF Staff Country Reports 2024, 174 (2024), accessed November 21, 2024, https://doi.org/10.5089/9798400280221.002

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Summary

This paper presents a technical note on systemic risk analysis in The Netherlands. The banking sector appears resilient to adverse macrofinancial shocks assuming no policy reactions, but some vulnerabilities exist. The insurance solvency stress test evidenced a broad resilience of the Dutch insurance sector, particularly for property & casualty and health insurers, while vulnerabilities exist for some life insurers. The Financial Sector Assessment Program (FSAP) team also carried out an analysis of household and corporate sector resilience, and of the commercial real estate market. Life insurers are broadly resilient to liquidity shocks despite large interest rate swap positions. Assuming a euro interest rate increase of 100 basis points, margin calls are sizable, but the sampled entities apply heterogenous strategies and draw on a variety of different sources for their liquidity, including cash and deposits, uncommitted repo facilities, and the sale of money-market funds. The FSAP recommendations aim to address observed gaps and further strengthen the Netherlands’ systemic risk analysis framework.

Subject: Expenditure, Financial institutions, Financial sector policy and analysis, Housing prices, International organization, Loans, Monetary policy, Mortgages, Pension spending, Prices, Stress testing

Keywords: Coverage ratio, Europe, Global, Housing prices, Insurance solvency stress test, Loans, Mortgages, Pension fund liquidity risk analysis, Pension fund solvency analysis, Pension spending, Si liquidity stress test, Solvency-liquidity analysis, Stress testing

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