Regulatory Alerts2025-04-10 | NBB_2025_06Added · Updated
Circular NBB_2025_06 on the Valuation of Mortgage Loans under Solvency II
The National Bank of Belgium establishes valuation methodologies and specific requirements for mortgage loan portfolios held by Belgian insurance and reinsurance companies under Solvency II. The circular mandates the use of either top-down or bottom-up discounting approaches, requiring auditors to perform sample revaluations using the alternative method for insurers with exposures exceeding 5% of their investment portfolio or €650 million. It further stipulates that non-performing loans must be valued separately with prudent assumptions, day-1 valuations must align with nominal values unless justified by market rates, and prepayment models must be calibrated to portfolio sensitivity. These rules apply to Belgian insurance entities, excluding small and local insurers, and take effect by June 30, 2025.