Kingdom of the Netherlands—The Netherlands: Financial Sector Assessment Program—Technical Note on Systemic Risk Analysis
IMF Staff Country Reports, June 18, 2024
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Bibliographic details
- Published: June 18, 2024
- Series: IMF Staff Country Reports
- DOI: https://doi.org/10.5089/9798400280221.002
Key findings
- 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 FSAP team 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.
Insurance sector—solvency and liquidity insights
- Solvency stress test results:
- Broad resilience for property & casualty insurers.
- Broad resilience for health insurers.
- Vulnerabilities identified for some life insurers.
- Liquidity stress observations for life insurers:
- Assuming a euro interest rate increase of 100 basis points, margin calls are sizable.
- Sampled entities apply heterogeneous strategies to meet margin calls and draw on a variety of liquidity sources, including:
- cash and deposits,
- uncommitted repo facilities,
- sale of money-market funds.
Banking sector analysis
- Overall assessment: resilient to adverse macrofinancial shocks under the assumption of no policy reactions.
- Note: vulnerabilities exist despite overall resilience (the note does not specify which banking institutions or exposures in this summary).
Household, corporate, and commercial real estate (CRE) analysis
- The FSAP team performed resilience analysis for the household sector.
- The FSAP team performed resilience analysis for the corporate sector.
- The FSAP team assessed vulnerabilities in the commercial real estate market.
FSAP recommendations (objective)
- Aim to address observed gaps in systemic risk analysis.
- Aim to further strengthen the Netherlands’ systemic risk analysis framework.
IMF Staff Country Report: Kingdom of the Netherlands—The Netherlands: Financial Sector Assessment Program—Technical Note on Systemic Risk Analysis, June 18, 2024.
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