Circular NBB_2024_11 - Liquidity Risk Reporting

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National Bank
OF
BELGIUM

Circular
Brussels, 16 July 2024

Reference:
Your contact:
Antoine Nyssen tel. +32 2 221 26 80 antoine.nyssen@nbb.be NBB_2024_11 Liquidity Risk Reporting

1. Legal Basis
   This circular on reporting regarding liquidity risk is drawn up in accordance with the legal provisions of Article 312 of the Law on the status and supervision of insurance and reinsurance undertakings promulgated on 13 March 2016.

2. Scope
   This circular addresses all Belgian insurance and reinsurance undertakings subject to the Law of 13 March 2016 on the status and supervision of insurance and reinsurance undertakings, with the exception of insurance undertakings referred to in Articles 275, 276, or 294 of said Law.

However:
An exemption is granted for Tables 1 and 2, relating to flows and stocks, subject to compliance with all of the following criteria:
The total amount of Solvency II assets is less than 3 billion EUR; The undertaking has not used any derivative products for at least 1 year; The undertaking has not used Repos and securities lending for at least 1 year.

Table 3, specific to life insurance, does not apply to non-life undertakings.

3. Summary/Objective
   This circular regulates the collection of data used to monitor the liquidity risk incurred by (re)insurance undertakings within the framework of Article 312.

NBB_2024_11 - 16 July 2024 Communication - Biz. 1/2

4. Introduction
   As a prudential supervisor, the Bank wishes to receive additional information in order to obtain a comprehensive and integrated view of the liquidity risk of insurance undertakings. In the past, this information was requested via Circular NBB_2018_17. The latter is now replaced by this version. The supplementary prudential reporting now includes the following elements:

• Outgoing cash flows, notably the distinction between surrenders (partial) and maturities, deaths, etc., of insurance portfolios. These flows must be provided for the amounts observed over the last 3 months as well as for the next 3 months.
• The liquidity sensitivity of life technical provisions (excluding health insurance and branch 23).

5. Reporting Procedures
   The reporting tables can be found in the annex to this circular.
   The data will be transferred electronically using the Bank's "OneGate" application. Undertakings may either enter the data manually or automate reporting using files generated in CSV or XML format. An exchange protocol has been made available on the Bank's website. Reporting will begin based on figures as of 31 December 2024. Reporting is quarterly, and data must be transmitted no later than 5 weeks after the end of the previous quarter.

6. Invalidation of Circular 2018/17
   By replacing Circular 2018/17, the latter becomes obsolete.

A copy of this communication is sent to the approved auditor(s) of your undertaking.

Please accept, Madam, Sir, our distinguished salutations.

Pierre Wunsch
Governor

Annex: 1
Communication - Biz. 2/2 NBB_2024_11 - 16 July 2024