Circular NBB_2026_03 on EBA Guidelines of 5 November 2025 on environmental scenario analysis

NBB_2026_03 – 17 March 2026 Circular – Page 1/2 NBB - Public Boulevard de Berlaimont 14 – 1000 Brussels +32 2 221 38 12 Company number: 0203.201.340 Brussels RLE www.nbb.be Circular Brussels, 17 March 2026 Reference: NBB_2026_03 Your correspondent:
Brenda Van Tendeloo
+32 2 221 51 74 brenda.vantendeloo@nbb.be
EBA Guidelines of 5 November 2025 on environmental scenario analysis (EBA/GL/2025/04) Scope of application  Credit institutions, financial services groups and mixed financial holding companies incorporated under Belgian law  Large stockbroking firms incorporated under Belgian law as referred to in Article 1(2) and (5) of Regulation (EU) 2019/2033  Investment holding companies and mixed financial holding companies incorporated under Belgian law that are included in the Bank’s supervision, on a consolidated basis, of a group of investment firms, where that group includes a large stockbroking firm hereinafter referred to as “institutions”. This circular clarifies the NBB’s approach to less significant institutions (LSIs). Significant institutions (SIs) under direct supervision of the ECB are advised to follow this circular insofar as the ECB does not publish guidelines on this subject. Summary/Objectives This circular transposes the Guidelines of the European Banking Authority (EBA) of 5 November 2025 on environmental scenario analysis (EBA/GL/2025/04) (hereinafter referred to as the “EBA guidelines”), which can be consulted on the website of the National Bank of Belgium. rnBanqueNationaleBank DE BELGIQUE VAN BELGIE Eurosystem

NBB_2026_03 – 17 March 2026 Circular – Page 2/2 NBB - Public Dear Sir or Madam, The EBA guidelines in attachment specify the criteria for setting the scenarios that institutions should use to test their resilience to the short- and long-term negative impacts of environmental factors, in particular climate-related factors, in accordance with the Capital Requirements Directive (CRD6). The guidelines also specify how climate-related risk factors should be integrated into a stress test exercise and describe how institutions using the internal ratings-based approach (IRB approach) to calculate the capital requirements for their credit risk exposures should define and use stress test scenarios that include environmental risk drivers, in particular climate-related risk drivers, as part of their stress testing programmes on credit risk in order to fulfil the requirements set out in Article 177(2a) of the Capital Requirements Regulation (CRR3). The EBA guidelines focus on environmental risks, with priority given to climate-related risks. Future revision of the guidelines may incorporate social and governance factors. They complement the EBA Guidelines on the management of environmental, social and governance risks (EBA/GL/2025/01), which were transposed into Belgian law by Circular NBB_2025_11, and the Guidelines on institutions’ stress testing (EBA/GL/2018/4), transposed by Circular NBB_2019_07. The EBA guidelines take into account proportionality, both in terms of the materiality of risks and the size and complexity of institutions. In this respect, and where justified having regard to the materiality of the risks:
 small and non-complex institutions (SNCIs) may rely on a predominantly qualitative approach for both short- and longer-term scenario analyses;  institutions other than large institutions and SNCIs may use sensitivity analyses to test their short-term financial resilience to adverse environmental factors. For long-term resilience analysis, they may rely on a predominantly qualitative approach;  for large institutions, a simplified approach may be envisaged in the context of medium- to long￾term resilience analysis and non-climate-related environmental risks, with sensitivity analyses possibly serving as an initial step. As their understanding and capabilities in managing environmental risks advance, they are expected to progressively integrate more sophisticated quantitative approaches. The guidelines apply as from 1 January 2027. A copy of this circular is being sent to the accredited statutory auditor(s) of your institution. Yours faithfully, Pierre Wunsch Governor Enclosure: 1 – EBA Guidelines of 5 November 2025 on environmental scenario analysis (EBA/GL/2025/04).