Benoît Philippens, 37, who was a director of BNP Paribas Fortis in the Liège area, was fatally shot in the head and stomach. His nephew, a 9-year old boy named Esteban, was also killed. The banker's wife, Carol Haid, 37, who's the boy's aunt/godmother, died from three gunshot wounds in her back.
The incident happened around 11 p.m.
Authorities believe that the shooter was waiting in a car for the family to return to their home, the report said.
According to newspaper La Meuse, authorities identified the murder weapon as a 9-mm pistol.
So far, no arrests have been made.
Newspaper L'avenir reported that the couple had lived in the home for five or six years and had been married for one year. The paper said they're a family "without history." Philippens is also a youth soccer coach in his community.
The family was apparently returning home from dinner. The little boy was going to spend the night for the first time at his aunt and uncle's home, La Meuse reported.