Circular NBB_2018_27 / Residential mortgage loans reporting insurance

NBB_2018_27 – October 17, 2018 Circular – P. 1/2 14 Berlaimont Boulevard – BE-1000 Brussels tel. +32 2 221 24 33 – fax +32 2 221 31 04 company number: 0203.201.340 RPM Brussels www.bnb.be

Circular
Brussels, October 17, 2018
Reference: NBB_2018_27 your contact:
Nicolas Colpaert tel. +32 2 221 35 02 nicolas.colpaert@nbb.be

Reporting of residential mortgage loans by insurance companies

Scope
Belgian insurance or reinsurance undertakings.

Summary
This circular governs the collection of data used to monitor the underlying risks in the portfolio of residential mortgage loans of Belgian insurance and reinsurance undertakings.

Madam,
Sir,

As part of the assessment of the Belgian financial system (Financial Sector Assessment Program) 1 carried out by the International Monetary Fund (IMF), a series of recommendations were addressed to the Belgian financial sector, including the insurance sector.

One of the IMF's recommendations regarding the prudential supervision of the insurance sector concerns the exposure of Belgian insurers to mortgage loans. More specifically, the National Bank of Belgium (hereinafter "the Bank") is invited to more closely monitor the underlying risks present in mortgage loan portfolios, from both a microprudential and a macroprudential perspective.

Given the limited amount of information on mortgage loans available in Solvency II reporting, the Bank is required to develop additional reporting to respond to this recommendation. The mortgage loan reporting covers a microprudential aspect and a macroprudential aspect, each with a different perspective and scope.

Microprudential reporting
The scope of the microprudential reporting concerns the exposures of Belgian insurance undertakings to residential mortgage loans both in Belgium and abroad. This reporting must only be completed by insurers whose exposure to residential mortgage loans exceeds 5% of their entire investment portfolio, excluding investments held as part of branch 23 products 2, or whose exposure to residential mortgage loans exceeds EUR 650 million.

Macroprudential reporting (PHL)
The scope of the macroprudential reporting concerns the exposures of Belgian insurance undertakings to residential mortgage loans where the mortgage is constituted in Belgium. This reporting must only be completed by insurers whose exposure to Belgian mortgage loans exceeds EUR 1 billion.

Reporting modalities and guidelines
The reporting tables are attached to this circular. Both microprudential and macroprudential reporting must be submitted annually. The reference date is the end of the year. The submission deadline for the reporting is April 30 of the following year. The reference date for the first reporting is December 31, 2018. The document entitled "Guidelines residential mortgage loans reporting insurance" is also attached to this circular. This document provides explanations, definitions, and examples on what should be filled in the various reporting tables.

The data will be transferred electronically using the Bank's OneGate application. Companies may either enter the data manually or automate the reporting using files generated in CSV or XML formats. An exchange protocol has been made available on the Bank's website 3.

A copy of this circular is sent to the auditor(s), approved auditor(s) of your establishment.

Please accept, Madam, Sir, the expression of my distinguished salutations.

Jan Smets
Governor

Annexes:

• Annex I – Residential mortgage loans reporting insurance
• Annex II – Guidelines residential mortgage loans reporting insurance

1 Cf. https://www.imf.org/external/np/fsap/fsap.aspx.

2 Amount to be calculated by taking the sum of the Solvency II values of all investments reported in QRT S.06.02, excluding investments held as part of branch 23 products.

3 Cf. http://www.nbb.be/onegate.

Circular – P. 2/2 NBB_2018_27 – October 17, 2018