NBB_2022_15 – 17 January 2022 Circular – Page 1/9 14 Berlaimont Boulevard – BE-1000 Brussels tel. +32 2 221 54 65 company number: 0203.201.340 RPM Brussels www.bnb.be

Circular
Brussels, 14 June 2022
Reference: NBB_2022_15 your contact:
Lisanne Vanderstappen tel. +32 2 221 41 97 lisanne.vanderstappen@nbb.be

Practical Application Modalities of the Law of 25 April 2014 on the Status and Supervision of Credit Institutions and Brokerage Companies, as Amended by the Law of 26 November 2021 to Ensure the Transposition of Directive 2019/2162 Concerning Covered Bonds and Public Supervision of Covered Bonds

Scope
This circular addresses credit institutions listed in Article 82, paragraph 1, of the Law of 25 April 2014 on the Status and Supervision of Credit Institutions and Brokerage Companies, and Belgian covered bonds issued and listed in Article 82, paragraph 2, of the same law.

Summary/Objectives
This circular clarifies the practical application modalities of the Law of 25 April 2014 on the Status and Supervision of Credit Institutions and Brokerage Companies, as amended by the Law of 26 November 2021 to ensure the transposition of Directive 2019/2162 concerning Covered Bonds and Public Supervision of Covered Bonds, and of the Royal Decree of 11 October 2012 on the issuance of Belgian covered bonds by Belgian credit institutions, as amended by the Royal Decree of 27 January 2022. This circular will enter into force on 8 July 2022.

Structure

General authorization of the credit institution
Specific authorization for each covered bond issuance
Clarifications on the limitation of covered bonds to be issued
List of credit institutions authorized to issue covered bonds – List of issued covered bonds
Clarifications on the definition and valuation of cover assets
Clarifications on the maintenance of a special asset register
Clarifications on the liquidity test
Clarifications on risk management
Reporting

National Bank of Belgium
Eurosystem

Circular – Page 2/9 NBB_2022_15 – 14 June 2022

Madam,
Sir,

General authorization of the credit institution
Pursuant to Article 79 of the Law of 25 April 2014 on the Status and Supervision of Credit Institutions and Brokerage Companies, as amended by the Law of 26 November 2021 to ensure the transposition of Directive 2019/2162¹ (hereinafter "the Banking Law"), a credit institution wishing to issue covered bonds must obtain prior authorization from the supervisory authority². This authorization is granted only if the supervisory authority is convinced that the credit institution, on the one hand, complies with the requirements set out in Article 80 of the Banking Law regarding the organizational capacity to issue and supervise Belgian secured obligations, and on the other hand, meets any specific conditions imposed by itself based on the requirements of Article 80 of the Banking Law for the issuance of covered bonds.

The supervisory authority assesses compliance with the requirements of the law and regulations based on a complete and detailed application file submitted by the credit institution, the conclusions of on-site inspections, and information collected from the credit institution and potentially third parties.

The minimum information required to obtain authorization to issue covered bonds is described in Annex 1.

The supervisory authority assesses compliance with these requirements taking into account the structure established within a group for the issuance of covered bonds.

A credit institution may outsource part of the activities or processes related to the initiation and management of credits serving as cover for issued covered bonds, taking into account the conditions defined by the supervisory authority. In this regard, the requirements defined in Article 66 of the Banking Law and the standards defined regarding outsourcing by the supervisory authority serve as reference.

Each application file for authorization, general or specific, must be preceded by a letter in which the institution formally requests authorization to issue covered bonds. In this letter, the senior management of the institution declares that all relevant information is communicated in the file and that this information correctly reflects the situation at the time of submitting the application. The senior management of the institution also confirms having conducted a self-assessment regarding compliance with the legal and regulatory requirements set for the issuance and management of covered bonds, resulting in a positive outcome. The letter is signed by at least one member of the management committee.

Furthermore, a copy of the letter and the general authorization application file is also sent to the approved auditor of the institution, who is responsible for establishing a report on the organizational quality of the institution with regard to the provisions on the issuance of covered bonds, as specified in Article 80, §2, paragraph 2, of the Banking Law.

The supervisory authority may always request additional information if it deems it necessary to rule on a general authorization application to issue covered bonds. The request for additional information does not in principle affect the time limit required for the supervisory authority to rule on the application, unless the quantity and content of the additional information requested are significant and/or the credit institution does not provide them to the supervisory authority in time (i.e., within the time limit specified in the request for additional information).

¹ Directive (EU) 2019/2162 of the European Parliament and of the Council of 27 November 2019 on covered bonds and public supervision of covered bonds and amending Directives 2009/65/EC and 2014/59/EU.
² The European Central Bank (ECB) is the supervisory authority for significant institutions (the list of institutions subject to direct ECB supervision can be consulted via the following link: https://www.bankingsupervision.europa.eu/banking/list/who/html/index.en.html) The NBB is responsible for the supervision of less significant institutions.

NBB_2022_15 – 14 June 2022 Circular – Page 3/9

Specific authorization for each covered bond issuance
Any credit institution generally authorized to issue covered bonds must, for each covered bond issuance (if it does not fall under an already authorized program) and for each covered bond issuance program, request a specific prior authorization from the Bank.

This specific prior authorization is granted only if the credit institution complies with the requirements set out in Article 81 and the provisions of Annex III of the Banking Law and meets any specific conditions imposed by the Bank for the issuance of covered bonds based on the requirements set out in Article 81 of the Banking Law.

Credit institutions that organize covered bond issuances through issuance programs need only request specific authorization at the beginning of each program. However, they regularly transmit to the Bank a statement of the issuances concerned and inform the Bank of any new issuance, so that the Bank can update the list defined in Article 82, §2.

The minimum information that must be contained in the file transmitted to the Bank is described in detail in Annex 2.

As mentioned in point 1 ("General authorization of the credit institution"), the application file for a specific authorization must be preceded by a letter in which the institution formally requests authorization to issue covered bonds.

The Bank may always request the additional information it deems necessary to rule on the authorization application for a specific issuance. Here again, the request for additional information will not in principle extend the period required by the Bank to rule on the application, unless the quantity and content of the necessary additional information are substantial and/or the credit institution does not transmit them in time (i.e., within the time limit specified in the request for additional information).

The covered bond issuer provides the portfolio supervisor with all required cooperation and transmits all information necessary for the proper conduct of its mission, up to the end of its mandate. The issuing institution transmits to the duly authorized portfolio supervisor all reports relating to this activity and in particular:

senior management assessment reports;
reports, findings or any other form of information emanating from the approved auditors of the institution;
internal audit reports.

The covered bond issuer immediately informs the Bank and the supervisor if it no longer complies with one or more of the requirements set out in the Banking Law and the Royal Decree of 11 October 2012 on the issuance of Belgian covered bonds by Belgian credit institutions, as amended by the Royal Decree of 27 January 2022³ (hereinafter "the RD" or "the Royal Decree"). Furthermore, the credit institution immediately informs the Bank and the supervisor of any adaptation of the contractual provisions of the issuances.

³ Royal Decree of 27 January 2022 amending the Royal Decree of 11 October 2012 on the issuance of Belgian covered bonds by Belgian credit institutions, the Royal Decree of 11 October 2012 on the portfolio manager in the context of the issuance of Belgian covered bonds by a Belgian credit institution, the Royal Decree of 12 November 2012 on collective investment undertakings that meet the conditions of Directive 2009/65/EC, and the Royal Decree of 25 February 2017 on certain public alternative investment funds and their management companies, and containing various provisions.

Circular – Page 4/9 NBB_2022_15 – 14 June 2022

Clarifications on the limitation of covered bonds to be issued
From 8 July 2022 to 1 January 2024, the transitional provision regarding the covered bond emission limit as defined in Article 26 of the Royal Decree of 27 January 2022 will apply. This transitional provision stipulates that a credit institution can no longer issue new covered bonds if the amount of cover assets exceeds 8% of its total assets, unless the Bank has previously authorized it.

The Bank can only grant its prior authorization:

on a temporary basis, when justified by exceptional circumstances affecting the credit institution in question and requiring increased recourse to this source of financing. The Bank sets a deadline by which the 8% emission limit must be respected again; or
to a credit institution whose subordinated commitments offer sufficient protection to reach the threshold of 8% of its total liabilities, including own funds, as referred to in Article 255, §6, 3° of the Banking Law or in Article 27, paragraph 7, a) of Regulation (EU) No 806/2014. As long as a credit institution satisfies this requirement and the Bank does not deem it necessary to impose a limit on an individual basis to protect creditors other than holders of Belgian covered bonds, no emission limit will apply.

As of 1 January 2024, the general 8% emission limit will be removed.

Both during the transitional period and from 1 January 2024, the Bank may impose, on an individual basis, a limitation concerning the volume of issuance of Belgian covered bonds to an issuing credit institution, in order to protect the creditors of the credit institution other than holders of Belgian covered bonds. The limitation that the Bank may impose only applies to new issuances.

The Bank will assess the need to set such an emission limit, notably by analyzing criteria demonstrating that the creditors of the credit institution other than holders of Belgian covered bonds must be protected. At a minimum, the following criteria will be taken into account:

the subordinated commitments of the issuing credit institution must offer sufficient protection to reach the threshold of 8% of its total liabilities, including own funds, as referred to in Article 255, §6, 3° of the Banking Law and Article 27, paragraph 7, a) of Regulation (EU) No 806/2014;
compliance with existing indicators for encumbered assets. If the issuing credit institution individually exceeds a flashing threshold for encumbered assets in the narrow or broad sense as referred to in Circular NBB_2016_34, this credit institution must come into compliance within a certain period. Failing that, the Bank may impose an emission limit for covered bonds. If the issuing credit institution individually exceeds a recovery plan threshold for encumbered assets in the narrow or broad sense, the Bank will impose an emission limit for covered bonds.

For the purpose of calculating the emission limit provided for in Article 10, §1 of the Royal Decree of 11 October 2012, the numerator, namely the amount of cover assets, is equal to the sum of the amounts included in the consolidated financial statements of the issuing institution, for each of the assets allocated to the special asset of covered bonds. The calculation covers all issued covered bonds.

The denominator, namely the total assets of the issuing institution, corresponds to the total balance sheet on a consolidated basis of the institution.

NBB_2022_15 – 14 June 2022 Circular – Page 5/9

List of credit institutions authorized to issue covered bonds – List of issued covered bonds
Pursuant to Article 82, §1 of the Banking Law, the Bank maintains a list of credit institutions that it or the ECB has authorized to issue covered bonds. It publishes this list on its website. The list mentions the effective date of each authorization.

If a credit institution is no longer listed, it is no longer authorized to issue new covered bonds or to proceed with new issuances under a previously approved program.

Pursuant to Article 82, §2 of the Banking Law, the Bank publishes a separate list of covered bond issuances carried out by credit institutions. This separate list notably mentions the ISIN code, the outstanding amount and the maturity date (as well as, where applicable, the ultimate maturity date) of the issued covered bonds. If the authorization covers an issuance program, the list mentions the total authorized issuance amount under the program as well as the amount already issued. The published list distinguishes between covered bonds that meet the requirements defined in Article 6 of the Banking Law for a Belgian cover letter, a European covered bond, a European covered bond (super senior), and covered bonds that do not meet them.

Covered bonds are removed from the list when they have matured and been repaid.

The Bank ensures that the information provided on its website is regularly updated.

Clarifications on the definition and valuation of cover assets
Article 3 of the Royal Decree defines the eligibility criteria for cover assets. Cover assets can belong to four categories, namely:

Category 1: mortgage claims secured by a residential property located in a Member State of the European Economic Area,
Category 2: mortgage claims secured by a commercial property located in a Member State of the European Economic Area,
Category 3: claims on or secured by:
(i) central public authorities or central banks that are part of the EU (or the ESCB) and central public authorities or central banks that are not part of the EU (or the ESCB) but are members of the OECD and fall under a credit quality step of category 1 or 2, (ii) regional or local authorities or public sector entities of EU Member States and regional or local authorities or public sector entities of OECD Member States that are not part of the EU and have the same risk weight as exposures to institutions or central public authorities and central banks pursuant, respectively, to Article 115, paragraph 1 or 2 or Article 16, paragraph 1, 2 or 4 of Regulation No 575/2013 and fall under the first or second credit quality step. (iii) multilateral development banks or international organizations that have a risk weight of 0% pursuant to Articles 117 and 118 of Regulation No 575/2013,
Category 4: claims on credit institutions that fall under credit quality steps of category 1 and category 2, when these exposures take the form of:
(i) short-term claims with a maturity equal to or less than three months or short-term deposits with an initial maturity not exceeding 100 days if they are used to meet the liquidity requirement of the special asset as defined in Article 13, of Annex 3 of the Banking Law,

Circular – Page 6/9 NBB_2022_15 – 14 June 2022 (ii) derivative contracts that meet the requirements of Article 1/3 of Annex 3 of the Banking Law and Article 4 of the Royal Decree.

The first two categories of assets encompass mortgage claims that are subject to "flexible" LTV limits (as required in Article 129 of Regulation No 575/2013 (CRR), as amended by Regulation (EU) 2019/2160). These limits determine up to what amount these claims can contribute to the coverage requirements of covered bonds.

A mortgage claim secured by a residential property can contribute up to the lower of the values between the principal of the corresponding mortgages and 80% of the value of the residential property that is the subject of the mortgage or mortgages. A mortgage claim secured by a commercial property can contribute up to the lower of the values between the principal of the corresponding mortgages combined with all prior mortgages (i.e., the portion of the claim that is covered by one or more mortgages) and 60% of the value of the commercial property that is the subject of the mortgage or mortgages. The value of the aforementioned corresponding mortgages for claims secured by a residential property is determined in accordance with the provisions of Article 6, paragraph 2, paragraphs 2 to 6 and without prejudice to the provisions provided for in Article 6, paragraph 4 which apply if the mortgage covers multiple claims and not all claims are included in the special asset. For a claim secured by a commercial property, the corresponding mortgages will be determined based on Article 6, paragraph 3, paragraphs 2 to 4 of the Royal Decree.

For the calculation of the coverage requirements defined in Article 5, paragraphs 1 and 2 of the Royal Decree, nominal values will be determined in accordance with the valuation rules as defined in Article 6 of the Royal Decree. The "flexible" LTV limits are applied for mortgage claims secured by a residential property via Article 6, paragraph 2 of the Royal Decree and for mortgage claims secured by a commercial property via Article 6, paragraph 3 of the Royal Decree.

For the calculation of the amortization test defined in Article 5, paragraph 3 of the Royal Decree, the principal of the mortgage claim will be restricted to the limit applicable to this cover asset as calculated at the time the coverage tests are performed.

A residential or commercial property must be assessed by an expert who has the qualifications, competence, and expertise necessary to conduct a valuation and who plays no role in the credit approval process (cf. Article 208, paragraph 3, point b of Regulation No 575/2013). The valuation must be carried out at market value or below it within the meaning of Article 4, paragraph 1, point 76 of Regulation No 575/2013 and must be established clearly and transparently in a document drafted by the independent expert (cf. Article 229, paragraph 1 of Regulation No 575/2013).

The valuation of real estate must be carried out in accordance with the requirements of Circular NBB_2021_18 – EBA Guidelines on granting and monitoring loans (EBA/GL/2020/06). More specifically, Section 7 of the EBA Guidelines (EBA/GL/2020/06) will apply to the valuation, monitoring, and revaluation of real and personal security, excluding financial security, which has been removed since 1 January 2022.

To be eligible as security for cover assets, real estate must meet the requirements of Article 208 of Regulation No 575/2013. The values of all real estate must be checked regularly, and at least once a year in accordance with Article 208, paragraph 3, point a.

The issuing institution must have procedures in place to ensure that the property in question is duly insured against the risk of damage (cf. Article 208, paragraph 5 of Regulation No 575/2013 and EBA Q&A 2015_2470).

NBB_2022_15 – 14 June 2022 Circular – Page 7/9

For the application of coverage tests (Article 5 of the Royal Decree), the contribution (principal and interest or nominal value) of a cover asset for which a default is discussed under Article 178 of Regulation No 575/2013 shall be equal to zero. A cover asset for which a payment delay of more than 30 days has been observed will only be taken into account for 50% of its cover contribution (principal and interest or nominal value).

Clarifications on the maintenance of a special asset register
A register of cover assets and the relevant Belgian covered bonds is maintained for any issuance or any issuance program. Cover assets, including derivative contracts as well as security interests securing the cover assets that form part of the special asset of the covered bond, must be recorded in a register according to the following principles:

at all times, the cover assets recorded in the register must be identifiable in the bank's accounts and systems;
any transaction performed on cover assets must be reflected in the register without delay, and at the latest during the daily closing;
the traceability of any entry and/or modification to the register must be ensured;
the issuing institution must at all times be able to reproduce the content of the register;
the content of the register must be reproduced at the end of each month and retained for a period of five years after the maturity date of the covered bond. The register and its copy (back-up) are retained in electronic form. The copy must be retained in another secure location than the original register. The standard back-up and data retention procedures of the institution may be used for this purpose, provided that the medium used is suitable for the statutory auditor of the institution, the portfolio supervisor, the portfolio manager, and the Bank.

The content of the register to be reproduced must cover at minimum the information required under Article 9, paragraph 2 of the Royal Decree.

Clarifications on the liquidity test
The issuing credit institution must at all times be able to meet its payment obligations related to issued covered bonds. To satisfy this, the credit institution must have sufficient incoming liquidity flows generated by the cover assets and a liquidity cushion to cover outgoing payment flows due over a period of six months. If the issuance conditions of the covered bonds provide for a deferrable maturity structure, the calculation of the principal (for outgoing payment flows) may be based on the maximum maturity that has been set in the issuance conditions.

For the application of the liquidity test as specified in Article 13 of Annex 3 of the Banking Law and in Article 7 of the Royal Decree, the contribution of a cover asset for which a default is discussed under Article 178 of Regulation No 575/2013 shall be equal to zero. Similarly, the contribution (principal and interest) of a cover asset for which a payment delay of more than 30 days has been observed, will only be taken into consideration up to 50% of the incoming liquidity flows generated.

The liquidity cushion, which must be large enough to cover the net outgoing liquidity flow, can only be composed of: (a) cover assets that meet the requirements for Level 1 assets in accordance with Delegated Regulation (EU) 2015/61 regarding the coverage requirement for liquidity needs of credit institutions or (b) short-term exposures to credit institutions eligible for a credit quality category 1 or 2 or short-term deposits with such institutions.

Circular – Page 8/9 NBB_2022_15 – 14 June 2022

Clarifications on risk management
For the application of Article 8 of the Royal Decree, the institution must define a risk management policy and ensure that in the event of:
a) sudden and unexpected movements in interest rates and exchange rates, b) marked deterioration in the credit quality of cover assets, a) different levels of prepayment percentages of cover assets, these remain sufficient to meet the requirements concerning the coverage tests provided for in Article 2/1 of Annex 3 of the Banking Law and in Article 5 of the Royal Decree, as well as concerning the liquidity test provided for in Article 13 of Annex 3 of the Banking Law and in Article 7 of the Royal Decree.

These stress tests are defined in a risk management policy and must be performed at least every three months.
The Bank does not prescribe the use of a single methodology to estimate the impact of stress tests.

Regarding the definition of a sudden movement, it corresponds to a simultaneous increase or decrease of 2% in interest rates and 8% in exchange rates. An institution using internal models for the calculation of its market risk capital requirements may use other assumptions for interest rate and exchange rate movements provided that they are sufficiently prudent. In this regard, a confidence interval of at least 99% and a time horizon of one year must be applied.

If the cover assets are no longer sufficient, taking into account the scenarios of the aforementioned stress tests, the institution must take necessary measures and/or at least ensure that it has sufficient other assets to pledge in the event that these scenarios materialize.

Reporting obligations
Any issuing institution of covered bonds is required to comply with its reporting obligations towards the Bank (cf. Article 15, paragraph 1, 4°, and paragraph 2, of Annex III of the Banking Law). This requires the issuing institution to periodically demonstrate that the covered bonds it has issued always meet the conditions imposed on it under the Banking Law and the Royal Decree. To this end, the institution must provide the Bank, within the month following the end of the calendar quarter, precise data on the compliance with eligibility criteria for coverage requirements, on the different categories of cover assets, and on the composition of the special asset. The institution must also account for the valuation of cover assets, on the compliance with coverage and liquidity requirements, notably by communicating the results of stress tests, on the compliance with requirements regarding deferrable maturity structures, on the requirements regarding the segregation of assets, and on the management of credit, exchange, liquidity, and interest rate risks. Finally, the institution is also required to provide within two months following the end of the calendar quarter information on the criteria commented on in point 3 "Clarifications on the limitation of covered bonds to be issued" of this circular.

When transmitting the reporting on 31 December of each financial year, the senior management of the credit institution declares that the aforementioned reporting is in conformity with the accounting and the special asset register. The senior management confirms having done what is necessary for the reporting to be established in accordance with the legal and regulatory provisions on covered bonds.

The format and content of the reporting are described in Annexes 3 and 4.

NBB_2022_15 – 14 June 2022 Circular – Page 9/9 A copy of this circular is sent to the statutory auditor(s) of your institution.
Please accept, Madam, Sir, our distinguished salutations.

Pierre Wunsch
Governor

Annexes: 4

Information required to obtain the general authorization to issue covered bonds
Information required to obtain the authorization regarding the issuance of a covered bond or a covered bond issuance program
Reporting – Description
Reporting – Tables

NBB_2022_15 – 14 June 2022 Annex 1 – page 1/2
Annex 1 of Circular NBB_2022_15
Information required to obtain the general authorization to issue covered bonds Scope This annex addresses credit institutions that are or will be included on the list mentioned in Article 82, paragraph 1 of the Law of 25 April 2014 on the status and control of credit institutions and stockbroking companies.

Overview of the minimum information to be provided in the file submitted to the supervisory authority to obtain a general authorization to issue covered bonds Contact details of the contact person for this file. Description of the financial prospects of the credit institution, demonstrating that its financial health and solvency are sufficient to guarantee that the interests of other creditors are not compromised by the issuance of covered bonds. Description of the long-term strategy of the credit institution, particularly regarding the liquidity position, and the place of covered bonds in this strategy. Specify the secured funding policy conducted by the credit institution and the limits applied in terms of asset pledging. More precisely, the liquidity policy contains information on the internal limits applied by credit institutions to ensure:

the maintenance of an adequate level of diversification of funding sources taking into account the secured or unsecured nature of funding;
the maintenance of a buffer of unpledged assets to cope with a crisis situation in the unsecured funding market;
the maintenance of a buffer of eligible assets in terms of coverage of issued covered bonds unpledged to cope with the replacement obligations of assets coming to maturity or in default and, if applicable, contractual obligations to increase the coverage level.
Description of the activity program for the issuance of covered bonds.
Description of the tasks and responsibilities related to the management and issuance of covered bonds, as well as an overview of the departments and persons responsible for performing these tasks, the hierarchical organization, and decision channels. The description also includes information that adequately demonstrates the qualifications and knowledge of the manager and staff responsible for managing the covered bond issuance program or issuing covered bonds (for example, by attaching a description of the relevant professional experience of the persons concerned that is useful for the work they perform in the context of the issuance and/or management of covered bonds). Description of the administrative and accounting organization put in place to ensure the segregation of cover assets constituting a special asset. Description of the risk management policy related to covered bonds (particularly operational risks, interest rate risks, exchange risks, credit risks, counterparty risks, and liquidity risks) and how the department responsible for risk management is involved in the management of these specific risks. Description of the involvement of internal audit in the issuance and management process of covered bonds (specifying notably the frequency and nature of controls). Description of the information systems available to support the issuance of covered bonds (notably the establishment and maintenance of the register and controls on its completeness). Description of the measures taken to ensure the continuity of covered bond management in the event of the credit institution's insolvency. Description of subcontracting contracts related to the issuance and management of covered bonds. The credit institution may at any time provide additional information and attach supporting documents to this file.

NBB_2022_15 – 14 June 2022 Annex 2 – page 1/3
Annex 2 of Circular NBB_2022_15
Information required to obtain the authorization regarding the issuance of a covered bond or a covered bond issuance program Scope This annex addresses credit institutions that are included on the list mentioned in Article 82, paragraph 1 of the Law of 25 April 2014 on the status and control of credit institutions and stockbroking companies.

Minimum information required to obtain the specific authorization regarding the issuance of a covered bond or a covered bond issuance program a. The covered bond issuer Name and address of the credit institution. Date of the general authorization to issue covered bonds granted to the credit institution. Confirmation that the information provided in the general file of the credit institution is still up to date. In case of significant modification, the most recent information must be made available. b. Identification of the covered bond or the covered bond issuance program Name of the covered bond or the covered bond issuance program. ISIN Code. Volume of the covered bond or the covered bond issuance program (in euros), as well as the currency unit in which they are issued. Date of the start of the issuance. Maturity of the issuance (date of repayment of the covered bond). In case of the possibility to modify the repayment date: a description of the final maturity date, the circumstances and conditions under which the duration may be extended, the repayment terms, the effect of extensions of the duration, and the consequences of the liquidation procedure opened against the issuing credit institution or its resolution on the extension of a maturity.

NBB_2022_15 – 14 June 2022 Annex 2 – page 2/3
Structure of the covered bond or the issuance program (including possibly a schematic presentation). Description of the stakeholders in the management and administration of cover assets, and of subcontracting contracts.
c. Information on cover assets
Description of cover assets, including secondary assets (information on the type, nature of mortgage or other guarantees as well as their geographical distribution, the number of claims, the average balance, the maturity of the assets, on the nature of the debtors and the geographical distribution of their domiciles or headquarters, etc.). Description of the origin of the assets (specifying in particular the origin of the cover assets, their geographical diversification, and the mode of transfer to the issuing credit institution). If claims have been acquired to be used as cover assets in the context of an issuance or a covered bond issuance program, the credit institution must demonstrate that it meets the obligations applicable to it under Article 4 of Annex III of the Banking Law. Description of the excess: the legal excess of cover assets, the excess of cover assets required by the issuance conditions, and the level of the excess retained on a voluntary basis. Description of the policies, processes, and methods for monitoring the performance of cover assets, particularly to establish a default situation under Article 178 of Regulation No 575/2013, count the number of days of arrears, monitor LTV values, and meet coverage requirements (as defined in Article 2/1 of Annex III of the Banking Law and in Article 5 of the Royal Decree). The description will also demonstrate that the credit institution has put in place adequate policies, processes, and methods to ensure investor protection regarding the authorization, modification, renewal, and refinancing of loans included in the special asset. Detailed description of the asset valuation method and how the credit institution meets the requirement of Article 208, paragraph 5, of Regulation No 575/2013 to have procedures allowing it to ensure that the real estate in question is duly insured against damage. Detailed description of the standards, and the decision-making and operational processes, leading to the inclusion of assets in the special asset or their exclusion. The credit institution must attach documentation demonstrating that the credit policy regarding the assets in question guarantees compliance with the eligibility criteria for cover assets. Among the information on derivative contracts are among others: (i) whether they were concluded to cover an interest rate risk or an exchange risk, (ii) how they will be managed to meet the requirements of Article 1/3, § 1 of Annex III of the Banking Law, (iii) who is the counterparty, (iv) what are the consequences of the opening of a liquidation or resolution procedure, (v) how they are covered, (vi) what are the durations, structure, and amounts, (vii) what documentation is available (see also Article 4 of the Royal Decree). Description of the cash flow structure related to cover assets and covered bonds and how these flows are linked (taking into account the values of secondary assets and derivative contracts). Description (i) of the measures the
credit institution takes or intends to take to manage liquidity risks and meet liquidity requirements as defined in Article 13 of Annex III of the Banking Law and in Article 7 of the Royal Decree and (ii) of the composition of the liquidity cushion. Description of the procedure for registering assets in the register and the measures taken to ensure the accuracy, completeness, access rights, and operational resilience of the register.

NBB_2022_15 – 14 June 2022 Annex 2 – page 3/3 d. Information on the supervisor Name and address of the supervisor proposed by the credit institution.
The supervisor has already intervened/is already involved in the issuance of covered bonds:
yes / no
Request for a conforming opinion from the Bank as referred to in Article 16, § 1 of Annex III of the Banking Law. e. Other information Information on the impact of the issuance or program on the liquidity position of the institution. The quantitative data used in the general authorization file to describe the internal limits applied by the credit institution in its liquidity management policy must be updated in the specific authorization file. The credit institution is invited to provide any other relevant information. Supporting documentation (e.g., prospectus, report from the statutory auditor of the credit institution regarding the assessment of compliance with requirements) may be provided as an annex to this file.

NBB_2022_15 – 14 June 2022 Annex 3 – page 1/12
Annex 3 of Circular NBB_2022_15
Reporting – Description
Scope
This annex addresses credit institutions that are included on the list mentioned in Article 82, §1 of the Law of 25 April 2014 on the status and control of credit institutions and stockbroking companies.

General Instructions
These provisions regarding the reporting obligation apply to any issuance or any issuance program of covered bonds. A report per issuance program is sufficient.
The reporting statements establish the situation after processing all transactions concluded on the reporting date. The reporting must be established and communicated on a quarterly basis. The reporting date is always the last day of the quarter. The reporting must be transmitted as soon as possible and at the latest within the month following the reporting date, with the exception of the information requested in CB11: the information "monitoring of the criteria imposing an issuance limit" must be provided at the latest within two months following the reporting date. The amounts appearing in the reporting statements are expressed in euros, unless explicit contrary indication. The euro countervalues are calculated based on spot exchange rates on the reporting date, namely the date to which the reporting statement relates. If a negative sign (-) precedes a title or item, the information relating to it should also be accompanied by a negative sign. The reporting will comprise three parts:
i) A report whose content is determined based on Article 15, §1, 4° of Annex III of the Banking Law and is explained in section 1 of this annex; ii) Excel tables, the content of which is defined below and in Annex 4; iii) The information provided to investors based on Article 15/1 of Annex III of the Banking Law and Article 12 of the Royal Decree concerning an issuance of covered bonds or an issuance program in relation to the reporting date.

VAN BELGIE
“‘ BanquealgaleBank
Eurosystem

Annex 3 – page 2/12 NBB_2022_15 – 14 June 2022

Content and format of the report

Format: This report will be delivered in PDF or Word format.

Content

Coverage assets
Description of the following eligibility criteria: i) method for valuing real estate (see article 3, §5, second and third paragraphs of the Royal Decree); ii) method by which the credit institution complies with Article 208(5) of Regulation (EU) No 575/2013.
Risk management
Detailed description of stress tests that must take into account at least the following scenarios: (i) interest rate risk, (ii) exchange rate risk, (iii) prepayment risk, and (iv) deterioration of the credit quality of the coverage assets. These stress tests are performed by the credit institution to comply with Article 8 of the Royal Decree. The description also includes, for each stress test, detailed information on the assumptions made and the reasons underlying these assumptions. The information must be linked, per stress test, to the data reported in “CB 8: Risk management” of Annex 4 of Circular 15, as explained in section 2 of this annex. If the results of the stress tests indicate that the coverage or liquidity tests fail, it is necessary to describe other assets available to the credit institution that could, where applicable, be quickly used as coverage assets and/or the measures that could be taken. If a particular scenario is not relevant to the risk management of covered bonds, this must be explained briefly.
Asset segregation and register
Description of the procedure for registering assets in the register and measures taken to ensure the accuracy and completeness of the register.
Extendable maturity structures
Description of the triggers for the extension of maturity and the consequences of such an extension (see Article 13/1 of Annex III of the Banking Law).
Portfolio supervisor
Overview of tasks performed by the portfolio supervisor during the past quarter.

NBB_2022_15 – 14 June 2022 Annex 3 – page 3/12

Comments regarding the tables

Format: The tables must be provided in PDF and Excel formats.

CB 1: Identification of the covered bond
This table identifies the covered bond for reporting purposes. Separate reporting must be established for each issuance of covered bonds. For an issuance program, a single report suffices. However, in the table below, a separate row must be filled out for each element of the issuance program.

Columns:
005: Name or identification of the issuance or element of the issuance program 010: ISIN code of the issuance (if available) 015: Date of issuance 020: Currency of issuance of the covered bond 025: Initial nominal issuance value in original currency 030: Initial nominal issuance value in euros 035: Final legal maturity of the covered bond or element of the issuance program (last extendable maturity) 040: Expected maturity of the covered bond or element of the program 045: Interest rate type of the issuance or element of the program 050: Interest rate 055: Coupon payment frequency 060: Denomination 070: Capital payment frequency

CB 2: Information on coverage assets
This table provides information on the coverage assets of the covered bond. Both the number and the counter-value of the coverage asset in accordance with the Royal Decree, as well as the nominal value of the coverage assets, are classified according to geographic distribution. The coverage assets are furthermore broken down by category of coverage assets.

The value of the coverage assets indicated in columns 30 to 50 is the value of the coverage assets in accordance with Article 6 of the Royal Decree. The total nominal value of the coverage assets used to cover payment obligations other than the principal of the covered bonds in application of Article 5, §3 of the Royal Decree is declared separately in the new row 095.

Annex 3 – page 4/12 NBB_2022_15 – 14 June 2022

Columns:
005: Number of coverage assets for which the counterparty or underlying first-ranking guarantee is located in Belgium 010: Number of coverage assets for which the counterparty or underlying first-ranking guarantee is located in the Eurozone – excluding Belgium 015: Number of coverage assets for which the counterparty or underlying first-ranking guarantee is located in the EEA – excluding the Eurozone 020: Number of coverage assets for which the counterparty or underlying first-ranking guarantee is located in the OECD – excluding the EEA 025: Total number of coverage assets 030: Value of coverage assets for which the counterparty or underlying first-ranking guarantee is located in Belgium 035: Value of coverage assets for which the counterparty or underlying first-ranking guarantee is located in the Eurozone – excluding Belgium 040: Value of coverage assets for which the counterparty or underlying first-ranking guarantee is located in the EEA – excluding the Eurozone 045: Value of coverage assets for which the counterparty or underlying first-ranking guarantee is located in the OECD – excluding the EEA 050: Total value of coverage assets 055: Nominal value of coverage assets for which the counterparty or underlying first-ranking guarantee is located in Belgium 060: Nominal value of coverage assets for which the counterparty or underlying first-ranking guarantee is located in the Eurozone – excluding Belgium 065: Nominal value of coverage assets for which the counterparty or underlying first-ranking guarantee is located in the EEA – excluding the Eurozone 070: Nominal value of coverage assets for which the counterparty or underlying first-ranking guarantee is located in the OECD – excluding the EEA 075: Total nominal value of coverage assets 080: Nominal value of defaulted coverage assets (as defined in Article 178 of Regulation [EU] No 575/2013) 085: Number of defaulted coverage assets (as defined in Article 178 of Regulation [EU] No 575/2013) 090: Nominal value of coverage assets for which no payment default has been observed, but whose number of days in arrears is greater than 30 days 095: Number of coverage assets for which no payment default has been observed, but whose number of days in arrears is greater than 30 days

NBB_2022_15 – 14 June 2022 Annex 3 – page 5/12

Rows:
005: Claims covered by residential real estate (R.D., article 3, §1, 1°) 010: Claims covered by residential real estate under construction or in project (R.D., article 3, §1, 1°) 015: Cash payments of interest or as repayment or recovery falling under category 1 (R.D., article 3, §1, 1°) 020: Total coverage assets falling under category 1 as referred to in R.D., article 3, §1, 1° 025: Claims covered by commercial real estate (R.D., article 3, §1, 2°) 030: Cash payments of interest or as repayment or recovery falling under category 2 (R.D., article 3, §1, 2°) 035: Total coverage assets falling under category 2 as referred to in R.D., article 3, §1, 2° 040: Exposure to, or guaranteed by, central government authorities and central banks (R.D., article 3, §1, 3°, i)) 045: Exposure to, or guaranteed by, regional and local authorities and public law entities (R.D., article 3, §1, 3°, ii)) 050: Exposure to, or guaranteed by, international organizations and multilateral development banks (R.D., article 3, §1, iii)) 055: Total coverage assets falling under category 3 as referred to in R.D., article 3, §1, 3°) 060: of which cash payments of interest or as repayment or recovery falling under category 3 (R.D., article 3, §1, 3°) 065: of which deposits with central banks 070: Short-term claims on credit institutions 075: Short-term deposits with credit institutions (R.D., article 3, §1, 4°, a)) 080: Derivative contracts (R.D., article 3, §1, 4°, b)) 085: Total coverage assets falling under category 4 as referred to in R.D., article 3, §1, 4°) 090: Other exposures included as coverage assets 095: Coverage assets used to cover payment obligations other than the principal of covered bonds in application of Article 5, §3 of the Royal Decree: the total value (in accordance with Article 6 of the Royal Decree) of coverage assets that are used to cover payment obligations other than the principal of covered bonds during the execution of the amortization test (Article 5, §3 of the Royal Decree) and which therefore cannot be taken into account again to cover the nominal value of the covered bonds as required by the nominal coverage test (Article 5, §2 of the Royal Decree). 100: Total of the above items, decreased (where applicable) by the value reported in row 095.

Annex 3 – page 6/12 NBB_2022_15 – 14 June 2022

CB 3: Coverage test
This table presents a comparison, over the entire duration, between, on the one hand, the revenues, including interest and capital, generated by the coverage assets, and on the other hand, the expenses (interest, capital, and other costs) related to the covered bonds. The calculation of this test is performed in accordance with Article 5, §3 of the Royal Decree.

Columns:
005: Revenues generated by the coverage assets, broken down by origin 010: Expenses related to the covered bonds, broken down by origin 015: Total

Rows:
005: Interest revenues generated by the coverage assets and expenses related to the covered bonds 010: Capital repayment related to the coverage assets and the covered bonds 015: Costs related to the covered bonds 020: Income and expenses related to derivatives concluded in the context of the covered bonds 025: Other income and expenses related to the coverage assets and the covered bonds 030: Total

CB 4: Liquidity test
This table contains, for the next 6 months, the revenues and liquidity generated by the coverage assets and the liquidity reserve, compared to the unconditional payments related to the covered bonds.

Columns:
005: Available and expected liquidity for the next 6 months, broken down by origin 010: Expected expenses for the next 6 months due to the issuance of covered bonds, broken down by origin 015: Total

Rows:
005: Interest revenues generated by the coverage assets, and expenses related to the covered bonds, for the next 6 months 010: Capital repayment related to the coverage assets and the covered bonds, for the next 6 months 015: Costs related to the covered bonds for the next 6 months 020: Liquidity used as coverage assets

NBB_2022_15 – 14 June 2022 Annex 3 – page 7/12

025: Other liquid assets constituting the liquidity cushion 030: Total

CB 5: Information on residual maturities

Columns:
005: Outstanding amount of the covered bond reported according to the repayment date 010: Value of the coverage assets, in accordance with Article 6 of the Royal Decree, reported based on the residual maturity of the coverage assets 015: Nominal value of the coverage assets, reported based on the residual maturity of the coverage assets

Rows:
005: Coverage assets with a residual maturity of less than or equal to 6 months, including liquidity 010: Coverage assets with a residual maturity of greater than 6 months and less than or equal to 1 year 015: Coverage assets with a residual maturity of greater than 1 year and less than or equal to 1.5 years 020: Coverage assets with a residual maturity of greater than 1.5 years and less than or equal to 2 years 025: Coverage assets with a residual maturity of greater than 2 years and less than or equal to 3 years 030: Coverage assets with a residual maturity of greater than 3 years and less than or equal to 4 years 035: Coverage assets with a residual maturity of greater than 4 years and less than or equal to 5 years 040: Coverage assets with a residual maturity of greater than 5 years and less than or equal to 7.5 years 045: Coverage assets with a residual maturity of greater than 7.5 years and less than or equal to 10 years 050: Coverage assets with a residual maturity of greater than 10 years 055: Total

CB 6: Information on exchange rate risk

Columns:
005: Outstanding amount of the covered bond in euros according to the original currency 010: Value of the coverage assets, in accordance with Article 6 of the Royal Decree, reported in euros according to the original currency 015: Nominal value of the coverage assets in euros according to the original currency 020: Exchange rate on the reporting date between the original currency and the euro

Annex 3 – page 8/12 NBB_2022_15 – 14 June 2022

Rows:
005: EUR
010: USD
015: GBP
020: CHF
025: YEN
…
100: Total

CB 7: Information on interest rate risk
The data reported are calculated by applying internally defined methods, but based on parallel interest rate movements of 200 basis points.

Columns:
005: Economic value (net present value) of the covered bond based on parallel interest rate movement scenarios with immediate effect 010: Economic value (net present value) of the coverage assets (including derivatives) based on parallel interest rate movement scenarios with immediate effect

Rows:
005: Calculation of economic value based on a parallel upward movement of 200 bps 010: Calculation of economic value based on an unchanged interest rate scenario 015: Calculation of economic value based on a parallel downward movement of 200 bps

CB 8: Risk management
These tables present the results of the coverage test and the liquidity test after applying stress test scenarios that take into account (i) sudden and unexpected changes in interest rates, (ii) sudden and unexpected changes in exchange rates, (iii) different percentages of prepayment of coverage assets, and (iv) a significant deterioration in the credit quality of the coverage assets.

The credit institution may determine itself the number of stress tests to report, but it must at least:
i) take into account the different scenarios defined in Article 8 of the Royal Decree to the extent that they are relevant to the risk management of covered bonds and where an interest rate risk scenario and a prepayment risk scenario can be combined in a single stress test;

NBB_2022_15 – 14 June 2022 Annex 3 – page 9/12

ii) apply two scenarios for a) the different levels of prepayment risk and b) credit risk (as required by Article 8 of the Royal Decree).

Columns:
Coverage Tests:
000: Scenario: in this column, the credit institution must specify the scenario that is applied and can choose from the following options: decrease in rate by 200 bps / increase in rate by 200 bps / appreciation of exchange rate / depreciation of exchange rate / prepayment of X% (or via a vector) / deterioration of credit quality / decrease in rate by 200 bps including the modeled impact on prepayments / increase in rate by 200 bps including the modeled impact on prepayments 005: Total revenues generated by the coverage assets (including derivatives or the liquidity cushion) after application of the stress test 010: Total expenses related to the covered bonds after application of the stress test 015: Total revenues of coverage assets – expenses related to covered bonds after application of the stress test 020: Value of the coverage assets, calculated in accordance with the valuation rules of Article 6 of the Royal Decree, after application of the stress test 025: Value of the primary coverage assets, calculated in accordance with the valuation rules of Article 6 of the Royal Decree, after application of the stress test 030: Nominal value of the covered bonds

Liquidity Test:
035: Scenario: in this column, the credit institution must specify the scenario that is applied and can choose from the following options: decrease in rate by 200 bps / increase in rate by 200 bps / appreciation of exchange rate / depreciation of exchange rate / prepayment of X% (or via a vector) / deterioration of credit quality / decrease in rate by 200 bps including the modeled impact on prepayments / increase in rate by 200 bps including the modeled impact on prepayments 040: Available and expected liquidity for the next 6 months after application of the stress test 045: Expected unconditional expenses for the next 6 months related to the covered bonds after application of the stress test 050: Total available and expected liquidity decreased by expected unconditional expenses related to the covered bonds after application of the stress test

Rows:
005: Results (totals of the data requested in the column) after application of stress test 1 010: Results (totals of the data requested in the column) after application of stress test 2 015: Results (totals of the data requested in the column) after application of stress test 3 020: Results (totals of the data requested in the column) after application of stress test 4

Annex 3 – page 10/12 NBB_2022_15 – 14 June 2022

025: Results (totals of the data requested in the column) after application of stress test 5 030: Results (totals of the data requested in the column) after application of stress test 6 035: Results (totals of the data requested in the column) after application of stress test 7 040: … 100: Results (totals of the data requested in the column) after application of stress test X

CB 9: Information on derivatives
A separate row must be filled out for each derivative concluded in the context of the issuance of covered bonds.

Columns:
005: Notional value of the derivatives
010: Market value of the derivatives

Rows:
005: This row and subsequent rows: IR derivatives 010: This row and subsequent rows: FX derivatives

CB 10: Information on arrears
This table presents the arrears of the coverage assets, broken down by the extent of the arrears.

Columns:
005: Number of claims, broken down by the extent of the arrears 010: Number of claims, broken down by the extent of the arrears, as a % of the total number of claims 015: Total nominal amount of claims, broken down by the extent of the arrears 020: Amount in arrears, broken down by the extent of the arrears, as a % of the total amount of claims 025: Value of the coverage assets as determined on the basis of Article 6 of the Royal Decree, broken down by the extent of the arrears

Rows:
005: No arrears
010: Arrears greater than 0 months and less than or equal to 1 month 015: Arrears greater than 1 month and less than or equal to 2 months 020: Arrears greater than 2 months and less than or equal to 3 months

NBB_2022_15 – 14 June 2022 Annex 3 – page 11/12

025: Arrears greater than 3 months
030: Total

CB 11: Monitoring of the criteria for imposing an emission limit Based on Article 10 of the Royal Decree, the Bank may, on an individual basis, impose a limit on the volume of issuance of Belgian covered bonds on a credit institution issuer in order to protect the creditors of the credit institution other than the holders of Belgian covered bonds. Circular NBB_2022_X defines the criteria that the Bank will monitor to determine if such a limitation should be imposed on an individual basis.

Furthermore, a credit institution wishing to deviate from the general emission limit of 8% during the transitional period must maintain subordinated liabilities offering sufficient protection to reach the threshold of 8% of total liabilities, including own funds, as referred to in Article 255, §6, 3° of the Banking Law or in Article 27, paragraph 7, sub a) of Regulation (EU) No 806/2014 (see Article 26 of the Royal Decree of 27 January 2022 amending the Royal Decree of 11 October 2012 relating to the issuance of covered bonds by Belgian law credit institutions).

Criterion 1: Subordinated liabilities:

Columns:
05: The data relate to the issuing credit institution at the individual level.

Rows:
05: Senior non-preferred commitments: the amount as defined in “r03650 – Senior non-preferred liabilities” on page 32 of the document 2022 Final LDR Guidance (europa.eu) is reported here.
010: Subordinated liabilities: the amount as defined in “r0370 – Subordinated liabilities” on page 32 of the document 2022 Final LDR Guidance (europa.eu) is reported here.
015: Own funds: the amount as defined in “r0500 – Own funds” on page 33 of the document 2022 Final LDR Guidance (europa.eu) is reported here.
020: Total subordinated liabilities, this amount being the sum of the values reported in rows 05, 010, and 015 025: Total liabilities, including own funds (“total liabilities and own funds” or “TLOF”): the amount as defined in “r0125 – Total liabilities and own funds (TLOF)” on page 8 of the document Guidance on the Additional Liability Report (ALR) (europa.eu) at the individual level of the issuing credit institution is reported here. 030: Amount reported in row 20 divided by the amount reported in row 025

Criterion 2: Encumbered asset indicators:

Columns:
05: Assets available strictly speaking relative to eligible deposits as referred to in Article 389 of the Banking Law (see also Circular NBB_2016_34)

Annex 3 – page 12/12 NBB_2022_15 – 14 June 2022

010: Assets available broadly speaking relative to eligible deposits as referred to in Article 389 of the Banking Law (see also Circular NBB_2016_34)

Rows:
035: Flashing threshold value applicable to the credit institution based on its category according to Circular NBB_2016_34 040: Recovery plan threshold value applicable to the credit institution based on its category according to Circular NBB_2016_34 045: Current value as calculated on the reporting date

Provision of information to investors

The report prepared for investors based on Article 15/1 of Annex III of the Banking Law and Article 12 of the Royal Decree relating to an issuance or issuance program of covered bonds concerning the reporting date (last day of the quarter) must be attached to the report to the Bank.

NBB_2022_15 – 14 June 2022 Annex 4 – page 1/12

Annex 4 of Circular NBB_2022_15
Reporting – Tables

‘‘‘ BanqueNationaleBank DE BEGIQUE VAN BELGIE Eurosystem

CB 1: IDENTIFICATION OF THE COVERED BOND

Issuance of covered bonds	ISIN	Issuance date	Currency	Initial nominal value	Initial nominal value (EUR)	Final legal maturity	Expected maturity	Interest rate type	Interest rate	Interest payment frequency	Coupon	Capital repayment frequency

Maturity Buckets (Years)	5	10	15	20	25	30	35	45	50	55	60	65	70
Total

NBB_2022_15 – 14 June 2022 Annex 4 – page 2/12

CB 2: INFORMATION ON COVER ASSETS

Nominal value of defaulted cover assets	Number of defaulted cover assets	Nominal value of cover assets (not in default) with payment delay > 30 days	Number of cover assets (not in default) with payment delay > 30 days
Belgium	UEM	EEE	OECD	Total	Belgium	UEM	EEE	OECD	Total	Belgium	UEM	EEE	OECD	Total
5	10	15	20	25	30	35	40	45	50	55	60	65	70	75	80	85	90	95

Cover Assets Category	Value
Claims secured by residential real estate	5
Claims secured by residential real estate under construction or in project	10
Cash payments of interest or acting as repayment or recovery under category 1	15
Total cover assets category 1 (A.R., art. 3, § 1st, 1°)	20
Claims secured by commercial real estate	25
Cash payments of interest or acting as repayment or recovery under category 2	30
Total cover assets category 2 (A.R., art. 3, § 1st, 2°)	35
Exposure to central public authorities and central banks	40
Exposure to regional and local authorities and legal entities	45
Exposure to international organizations and multilateral development banks	50
Total cover assets category 3 (A.R., art. 3, § 1st, 3°)	55
of which cash payments of interest or acting as repayment or recovery	60
of which deposits with central banks	65
Short-term claims on credit institutions	70
Short-term deposits with credit institutions	75
Contracts on derivative products	80
Total cover assets category 4 (A.R., art. 3, § 1st, 4°)	85
Other exposures included as cover assets	90
Cover assets used to cover payment obligations other than the principal of covered bonds under article 5, § 3 of the Royal Decree	95
Total	100

Number of cover assets	Value of cover assets according to article 6 of the R.D.	Nominal value of cover assets

NBB_2022_15 – 14 June 2022 Annex 4 – page 3/12

CB 3: COVERAGE TEST

Products	Charges	Total
5	10	15
Interests	5
Capital	10
Costs	15
Derivatives	20
Others	25
Total	30

NBB_2022_15 – 14 June 2022 Annex 4 – page 4/12

CB 4: LIQUIDITY TEST

Inflows	Outflows	Total
5	10	15
Interests	5
Capital repayment	10
Costs	15
Liquidity	20
Other (cushion)	30
Total	35

NBB_2022_15 – 14 June 2022 Annex 4 – page 5/12

CB 5: RESIDUAL DURATIONS

Number of years	Covered bond amount	Nominal value of cover assets
5	10	15
< 0.5	5
0.5 - 1	10
1 - 1.5	15
1.5 - 2	20
2 - 3	25
3 - 4	30
4 - 5	35
5 - 7.5	40
7.5 - 10	45
> 10	50
Total	55

NBB_2022_15 – 14 June 2022 Annex 4 – page 6/12

CB 6: INFORMATION ON EXCHANGE RATE RISK

Currencies	Exchange rate vs EUR	Covered bond amount	Value of cover assets (art. 6 of the R.D.)
5	10	15	20
EUR	5
USD	10
GBP	15
CHF	20
YEN	25
...
Total	100

NBB_2022_15 – 14 June 2022 Annex 4 – page 7/12

CB 7: INFORMATION ON INTEREST RATE RISK

Movement	NPV covered bonds	NPV of cover assets
005	010
Upward movement of 200 bp	005
Rates unchanged	010
Downward movement of 200 bp	015

NBB_2022_15 – 14 June 2022 Annex 4 – page 8/12

CB 8: RISK MANAGEMENT

Coverage Test	Products	Charges	Total	Value of cover assets (art. 6 of the R.D.)	Value of main cover assets (art. 6 of the R.D.)	Nominal value of covered bonds

Liquidity Test	Scenario	Inflows	Outflows	Total
0	5	10	15	20	25	30	35	40	45	50
Coverage Test 5	Stress Test 5
Coverage Test 10	Stress Test 10
Stress Test 15	Stress Test 15
Stress Test 20	Stress Test 20
Stress Test 25	Stress Test 25
Stress Test 30	Stress Test 30
Stress Test 35	Stress Test 35
…	40	…	40
Stress Test 100	Stress Test 100

NBB_2022_15 – 14 June 2022 Annex 4 – page 9/12

CB 9: INFORMATION ON DERIVATIVE PRODUCTS

Derivatives	Nominal Value	Market Value
5	10
IR Derivatives	5
FX Derivatives	10

NBB_2022_15 – 14 June 2022 Annex 4 – page 10/12

CB 10: INFORMATION ON ARREARS

Months	Number of claims	% of number of claims with arrears	Amount of claims	% of amount in arrears relative to amount of claims
5	10	15	20	25
0	5
0 - 1	10
1 - 2	15
2 - 3	20
> 3	25
Total	30

NBB_2022_15 – 14 June 2022 Annex 4 – page 11/12

CB11: MONITORING OF CRITERIA FOR IMPOSING AN EMISSION LIMIT

Criterion 1: Issuing Credit Institution	Value
5
Unsecured senior commitments	5
Subordinated liabilities	10
Own funds	15
Total subordinated liabilities	20
Total liabilities, including own funds (TLOF)	25
Total subordinated liabilities / total liabilities, including own funds	30

Criterion 2: Available Assets	Value
Strictly available assets relative to eligible deposits
Broadly available assets relative to eligible deposits
5	10
Flash threshold value	35
Recovery plan threshold value	40
Current value	45