RegAlert2025-04-15 | NBB_2025_06Added
Circular NBB_2025_06 / Circular on the Valuation of Mortgage Loans under Solvency II
The National Bank of Belgium requires Belgian insurance and reinsurance companies, as well as their Belgian branches and group supervisors, to apply specific methodologies for valuing mortgage loan portfolios under Solvency II by June 30, 2025. The circular mandates the use of either top-down or bottom-up discount rate approaches, requiring sample re-evaluations by external auditors for portfolios exceeding 5% of total investments or 650 million euros. It further stipulates that day-1 valuations must align with nominal values, prepayment models must be calibrated to portfolio sensitivity, non-performing loans require separate prudent valuation, and market data must be prioritized over internal company data.
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NBB_2025_06 – April 15, 2025 Communication – p. 1/7 14 Boulevard de Berlaimont – BE-1000 Brussels tel. +32 2 221 27 31 enterprise number: 0203.201.340 RPM Brussels www.nbb.be
Circular
Public
Brussels, April 15, 2025
Reference: NBB_2025_06
Your contact:
Antoine Nyssen tel. +32 2 221 26 80 antoine.nyssen@nbb.be
Circular on the Valuation of Mortgage Loans under Solvency II
Scope
Belgian insurance or reinsurance undertakings (excluding small Belgian insurance undertakings referred to in Articles 275 and 276 or local undertakings referred to in Article 294 of the Solvency II Law).
Branches established in Belgium of insurance or reinsurance undertakings subject to the law of states that are not members of the European Economic Area.
Entities responsible for a Belgian insurance or reinsurance group within the meaning of Articles 339, 2°, and 343, paragraph 2, 1° and 2° of the Solvency II Law, for which the Bank has been designated as the group supervisor within the meaning of Articles 407 and 408 of the aforementioned Law.
Entities responsible for a Belgian financial conglomerate within the meaning of Article 340, 1° of the Solvency II Law, for which the Bank has been designated as the group supervisor within the meaning of Articles 471 and 472 of the aforementioned Law.
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Lineage: In force
Source: National Bank of Belgium — original document · Summary generated with machine assistance and reviewed before publication; the authoritative text is the regulator's original document. How RegAlert works
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