Circulaire NBB_2018_16 / Interest Rate Risk Reporting

NBB_2018_16 – 11 April 2018 Circular – p. 1/3
Boulevard de Berlaimont 14 – BE-1000 Brussels tel. +32 2 221 38 12 – fax + 32 2 221 31 04 company number: 0203.201.340 RPM Brussels www.nbb.be Circular Brussels, 11 April 2018 Reference: NBB_2018_16 Your contacts:
Stany Zabinski / Geoffroy Herberigs tel. +32 2 221 34 67 / 56 61 stany.zabinski@nbb.be / geoffroy.herberigs@nbb.be Interest rate risk reporting Scope Belgian insurance and reinsurance companies subject to the Law of 13 March 2016 on the status and supervision of insurance or reinsurance companies. This circular does not apply to insurance companies referred to in Articles 275, 276 or 294 of the aforementioned Law of 13 March 2016. Summary/Objective This circular governs the collection of data used to monitor the interest rate risk of insurance and reinsurance companies. Madam, Sir,

1. Content of reporting
   As the prudential supervisor, the Bank requires additional information to be able to obtain a complete and integrated view of the interest rate risk of insurance companies. In the past, the Bank has requested this information through its circular NBB_2017_02. The aforementioned circular is therefore replaced by this new version. The supplementary prudential reporting now includes the following elements:

Circular – p. 2/3 NBB_2018_16 – 11 April 2018
1.1 Statement of interest rate guarantees
The first reporting area applies only to companies conducting life insurance activities and includes a statement of current interest rate guarantees of the life insurance portfolio (excluding health insurance and branch 23) according to the following dimensions:
Remaining weighted duration of guarantees (by bucket) Weighted average interest rate guarantee (by bucket) Guarantees on future premiums: yes or no Type of life insurance: individual or group The cells must each contain the relevant accounting values of technical provisions.
1.2 Durations of assets and liabilities
The second pillar of the reporting aims to establish the statement of modified durations of the current asset-liability portfolio. For the mathematical definition of modified duration, please refer to the annex. The calculation of these durations takes into account the data provided under Articles 9 and 11 of the Implementing Regulation (EU) 2015/2450 as well as the cash flows of assets projected under point 1.3 of this circular. The modified durations must be provided for the total portfolio and this applies to both technical provisions and assets held for the purpose of covering technical provisions, including a distinction between fixed income assets and "other assets".
1.3 Projections of cash flows
The final part of the reporting includes projections of cash flows from assets held for the purpose of covering the total of technical provisions. Important characteristics of cash flow projections:
Projections must be provided by time unit up to 40 years, followed by a 10-year bucket (41-50) and a bucket for everything else (51 to the end) A distinction is made between fixed income assets and "other assets" These are undiscounted cash flows Reinvestments cannot be taken into account
2. Reporting procedures
The entire set must be provided by 30 April based on the figures as of 31 December of the previous year, starting with the reporting of data as of 31 December 2018. Data as of 31 December 2017 must be reported by 30 June 2018. The reporting tables can be found in the annex to this circular. The data will be transferred electronically using the Bank's "OneGate" application. From the communication of data as of 31 December 2017, data must be transferred via files generated in XBRL. From this point on, only insurance and reinsurance companies showing an amount of technical provisions less than 50 million euros may still submit their data via CSV format files or by manual entry of the data as indicated in circular NBB_2012_07. An exchange protocol has been made available on the Bank's website 1. A copy of this is sent to the auditor(s), approved auditor(s) of your establishment. Please accept, Madam, Sir, our distinguished salutations. Jan Smets Governor
Annex: 1
1 http://www.nbb.be/onegate.