Dutch smaller banks maintain 21.9 percent CET1 in stress test
Dutch less significant institutions retain an aggregate CET1 ratio of 21.9 percent under a severe three-year macroeconomic stress scenario, De Nederlandsche Bank reported. The supervisory stress test examined 12 banks representing 86 percent of the sector's total assets.
Buffers absorb 3.7 point capital drain
The 2026 supervisory stress test shows Dutch less significant institutions absorb an aggregate capital depletion of 3.7 percentage points under the adverse scenario.
The average Common Equity Tier 1 (CET1) ratio declines from 25.6 percent at end-2025 to 21.9 percent by end-2028, staying comfortably above the 16.2 percent Overall Capital Requirement.
Under baseline conditions, the CET1 ratio increases by 1.2 percentage points to 26.8 percent.
Projected credit risk losses and higher risk-weighted assets drive the adverse result, each contributing 2.3 percentage points to capital depletion, while operational risk adds 0.7 percentage points.
Positive net earnings cushion the impact by 1.6 percentage points.
Simulating deep property and output drops
The exercise covered 12 of the 21 Dutch smaller lenders, representing 86 percent of total sector assets, to inform Pillar 2 Guidance within the Supervisory Review and Evaluation Process.
The three-year adverse scenario models severe macro-financial deterioration from geopolitical tensions, tariffs, and supply shocks.
For the Netherlands, the model assumes a 6.3 percent contraction in real GDP, a 9.8 percent rise in consumer prices, a 6.9 percentage point increase in unemployment, and steep property price drops of 25.8 percent for residential and 28.5 percent for commercial real estate.
Reassuring aggregates mask outlier risks
High starting capital provides Dutch smaller lenders with a reassuring aggregate safety buffer.
Yet aggregate metrics mask significant differences across business models and heavy commercial property exposures.
Supervisors must target individual vulnerable outliers through Pillar 2 Guidance rather than rely on sector averages.
Source: Results of DNB’s LSI Supervisory Stress Test
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