{
  "title": "Belgium: Financial Sector Assessment Program-Technical Note on Systemic Risk Analysis and Stress Testing",
  "publication": "IMF Staff Country Reports, December 8, 2023",
  "sourceUrl": "https://www.imf.org/en/publications/cr/issues/2023/12/07/belgium-financial-sector-assessment-program-technical-note-on-systemic-risk-analysis-and-542174",
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  "summary": "This technical note provides an update on the systemic risk analysis and stress testing in Belgium. The Financial Sector Assessment Program (FSAP) banks solvency stress tests show that the Belgian significant institutions are resilient under the adverse scenario while some heterogeneity exists.",
  "sections": [
    {
      "heading": "Overview and scope",
      "content": "- Publication date: December 8, 2023\n- Pages: 116\n- Volume: 2023\n- Issue: 393\n- Series: Country Report No. 2023/393\n- DOI: https://doi.org/10.5089/9798400262456.002\n- Stock No: 1BELEA2023011\n- ISBN: 9798400262456\n- ISSN: 1934-7685\n- Subject tags: Financial institutions; Financial sector policy and analysis; Insurance companies; International organization; Monetary policy; Mutual funds; Solvency; Solvency stress testing; Stress testing\n- Keywords included: Global; H. sensitivity analysis; Insurance companies; market interconnectedness flowchart; market interconnectedness Results; Mutual funds; net interest income; regressions output; risk projection; sensitivity analysis result; Solvency; solvency capital requirement; Solvency stress testing; Stress testing"
    },
    {
      "heading": "Main findings — solvency and stress testing",
      "content": "- FSAP banks solvency stress tests show that the Belgian significant institutions are resilient under the adverse scenario while some heterogeneity exists.\n- A sensitivity analysis was conducted converting non-term deposits to term deposits owing to the steep surge in interest rates.\n- An additional study examining the interplay between solvency and liquidity risks under stress shows that banks are resilient to shocks that will result in forced liquidation of assets."
    },
    {
      "heading": "Main findings — liquidity and interconnectedness",
      "content": "- Liquidity stress tests results show that liquidity levels are comfortable for the system but need to be reinforced for some banks.\n- Interconnectedness analyses show that Belgian domestic and cross-border interconnections are relatively modest.\n- The domestic interbank market reflects low levels of contagion risks for Belgian banks; however, there are a few banks that exhibit a high degree of systemic importance within the interbank system.\n- Cross-border analysis reveals Belgian banks’ strong exposures to non-financial sectors."
    },
    {
      "heading": "Implications and areas for attention",
      "content": "- Continue monitoring heterogeneity in solvency vulnerabilities across significant institutions despite overall resilience under the adverse scenario.\n- Assess and reinforce liquidity positions for individual banks identified as needing reinforcement.\n- Monitor deposit structure shifts (conversion of non-term deposits to term deposits) driven by interest rate changes and their implications for both liquidity and net interest income.\n- Track banks with high systemic importance in the domestic interbank market to mitigate potential concentrated contagion channels.\n- Consider the risks from strong cross-border exposures to non-financial sectors in cross-border stress-testing and macroprudential surveillance.\n\nInternational Monetary Fund. Monetary and Capital Markets Department \"Belgium: Financial Sector Assessment Program-Technical Note on Systemic Risk Analysis and Stress Testing\", IMF Staff Country Reports 2023, 393 (2023).\n\n---\n\n Content in this bundle\n\n- 1belea2023011\n  - 1belea2023011 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - 1belea2023011 (PDF){rel=\"external\" type=\"application/pdf\"}"
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    "Published: December 8, 2023",
    "Series: IMF Staff Country Reports",
    "DOI: https://doi.org/10.5089/9798400262456.002",
    "Publication date: December 8, 2023",
    "Pages: 116",
    "Volume: 2023",
    "Issue: 393",
    "Series: Country Report No. 2023/393",
    "DOI: https://doi.org/10.5089/9798400262456.002",
    "Stock No: 1BELEA2023011",
    "ISBN: 9798400262456",
    "ISSN: 1934-7685",
    "Subject tags: Financial institutions; Financial sector policy and analysis; Insurance companies; International organization; Monetary policy; Mutual funds; Solvency; Solvency stress testing; Stress testing",
    "Keywords included: Global; H. sensitivity analysis; Insurance companies; market interconnectedness flowchart; market interconnectedness Results; Mutual funds; net interest income; regressions output; risk projection; sensitivity analysis result; Solvency; solvency capital requirement; Solvency stress testing; Stress testing",
    "FSAP banks solvency stress tests show that the Belgian significant institutions are resilient under the adverse scenario while some heterogeneity exists.",
    "A sensitivity analysis was conducted converting non-term deposits to term deposits owing to the steep surge in interest rates.",
    "An additional study examining the interplay between solvency and liquidity risks under stress shows that banks are resilient to shocks that will result in forced liquidation of assets.",
    "Liquidity stress tests results show that liquidity levels are comfortable for the system but need to be reinforced for some banks.",
    "Interconnectedness analyses show that Belgian domestic and cross-border interconnections are relatively modest.",
    "The domestic interbank market reflects low levels of contagion risks for Belgian banks; however, there are a few banks that exhibit a high degree of systemic importance within the interbank system.",
    "Cross-border analysis reveals Belgian banks’ strong exposures to non-financial sectors.",
    "Continue monitoring heterogeneity in solvency vulnerabilities across significant institutions despite overall resilience under the adverse scenario.",
    "Assess and reinforce liquidity positions for individual banks identified as needing reinforcement.",
    "Monitor deposit structure shifts (conversion of non-term deposits to term deposits) driven by interest rate changes and their implications for both liquidity and net interest income.",
    "Track banks with high systemic importance in the domestic interbank market to mitigate potential concentrated contagion channels.",
    "Consider the risks from strong cross-border exposures to non-financial sectors in cross-border stress-testing and macroprudential surveillance.",
    "**1belea2023011**"
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