Belgium : Financial Sector Assessment Program-Technical Note on Systemic Risk Analysis and Stress Testing

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. The FSAP team also conducted a sensitivity analysis where non-term deposits are converted to term deposits owing to the steep surge in interest rates. The results from the liquidity stress tests show that liquidity levels are comfortable for the system but need to be reinforced for some banks. 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. The 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