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

International Monetary Fund

No 2024/174, IMF Staff Country Reports from International Monetary Fund

Abstract: 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.

Keywords: solvency-liquidity analysis; insurance solvency stress test; pension fund liquidity risk analysis; coverage ratio; Si liquidity stress test; pension fund solvency analysis; Mortgages; Stress testing; Loans; Housing prices; Pension spending; Global; Europe (search for similar items in EconPapers)
Pages: 105
Date: 2024-06-18
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