RegAlert2025-04-10 | 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.
NBB published 1 document in the last 30 days — get each new one by email the day it lands.
NBB_2025_06 – April 15, 2025 Communication – Page 1/7 14 Berlaimont Boulevard – BE-1000 Brussels Tel. +32 2 221 27 31 Company number: 0203.201.340 Brussels RPM 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 regarding 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 ones 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.
Read the rest free, and get an email when NBB publishes again
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