NBB Circular NBB_2026_07 on proportionate retail diversification methods under Article 123(1) of Regulation (EU) No 575/2013

Public NBB_2026_07 – 19 May 2026 Circular – Page 1/3 Boulevard de Berlaimont 14 – 1000 Brussels +32 2 221 38 12 Company number: 0203.201.340 Brussels RLE www.nbb.be Circular Public Brussels, 19 May 2026 Reference: NBB_2026_07 Your correspondant:
Saïf Chaïbi
+32 2 221 56 88 saif.chaibi@nbb.be
EBA Guidelines of 13 February 2026 on proportionate retail diversification methods under
Article 123(1) of Regulation (EU) No 575/2013 (EBA/GL/2026/02)
Scope of application
This circular applies to credit institutions as well as financial holding companies and mixed financial holding companies authorised or designated under Belgian law (hereinafter “institutions”), on both a consolidated and stand-alone basis. It sets out the National Bank of Belgium (NBB)’s approach with regard to less significant institutions. Significant institutions subject to direct supervision by the European Central Bank (ECB) are recommended to abide by this circular insofar as the ECB does not publish guidelines on the subject. Summary/objectives This circular implements the European Banking Authority (EBA) Guidelines (EBA/GL/2026/02) of 13 February 2026 on proportionate diversification methods for retail exposures under Article 123(1) of Regulation (EU) No 575/2013 (hereinafter the “EBA Guidelines”). BanqueNationale Jank DE BELGIQUE VAN BELGIË Eurosystem

Public NBB_2026_07 – 19 May 2026 Circular – Page 2/3 Dear Sir or Madam,
Article 123 of Regulation (EU) No 575/2013 (CRR) sets out the treatment of retail exposures under the
standardised approach to credit risk. Exposures that meet the criteria set out in that article are assigned a preferential risk weight of 75%.
Article 123(1) of the CRR sets out the cumulative criteria used to classify exposures as retail exposures.
The supervisory authority endorses in full the EBA Guidelines of 13 February 2026, appended to this circular, which specify the method to determine whether a portfolio of retail exposures is sufficiently diversified within the meaning of Article 123(1)(c) of the CRR. This circular shall enter into force on 19 May 2026. Diversification is assessed solely on the basis of eligible retail exposures, as defined in Article 123(1) of the CRR, with the exception of those explicitly excluded by the regulation. An eligible retail exposure is considered a large eligible retail exposure when the ratio of the exposure value to the sum of the exposure values of all the institution’s eligible retail exposures exceeds the threshold of 0.2%. To identify large eligible retail exposures, the institution should treat all eligible retail exposures to a client or to a group of connected clients as a single exposure, summing their exposure values A portfolio is considered sufficiently diversified when the ratio of the sum of the exposure values of the large eligible retail exposures to the sum of the exposure values of all the institution’s eligible retail exposures does not exceed 10%. Where the portfolio comprised of all the institution’s eligible retail exposures does not meet this diversification condition, the institution may exclude one or more large eligible retail exposures from it. The portfolio resulting from the exclusion of these exposures will be considered sufficiently diversified if it meets the aforementioned condition. Exposures thus excluded are not considered part of a sufficiently diversified portfolio within the meaning of Article 123(1)(c) of the CRR. Where a portfolio includes securitised exposures, assessment of compliance with the diversification condition should be carried out with regard to the retail exposures underlying the securitisation as if those exposures were not securitised, in accordance with Article 255(6) of the CRR. To this end, the diversification assessment must be performed separately for each of the following three sub-portfolios:

• for the sub-portfolio consisting of non-securitised exposures, the numerator and denominator
  should include only non-securitised exposures;
• for the sub-portfolio consisting of securitised exposures for which the institution acts as
  originator, the numerator and denominator should include both the underlying securitised exposures and all non-securitised exposures;
• for the sub-portfolio consisting of securitised exposures for which the institution acts as an
  investor, the numerator and denominator should include only the underlying securitised exposures. Where the institution acts as an investor, the diversification condition will be deemed automatically met when, in accordance with the due diligence and transparency requirements set out in Articles 5 and 7 of Regulation (EU) 2017/2402, information on the obligor and on the risk-weighted exposure value of the underlying exposures is not requested in the templates referred to in Article 7 of that regulation.

Public NBB_2026_07 – 19 May 2026 Circular – Page 3/3 A copy of this circular is being sent to the accredited statutory auditor(s) of your institution. Yours faithfully, Pierre Wunsch Governor
Annex: EBA Guidelines of 13 February 2026 on proportionate retail diversification methods under
Article 123(1) of Regulation (EU) No 575/2013 (EBA/GL/2026/02)