Regulatory Alerts2020-02-07
Agreement No. 1 (2020) Modifying the Technical Annex of Agreement No. 003-2018 Establishing Capital Requirements for Financial Instruments in the Trading Book
The Banking Superintendence of Panama issued Agreement No. 001-2020 to modify the Technical Annex of Agreement No. 003-2018, establishing updated capital requirements for financial instruments held in the trading book. The regulation details precise methodologies for calculating capital buffers against interest rate risk, credit spread risk, equity risk, and exchange rate risk, incorporating specific sensitivity calculations, risk weightings, and correlation scenarios across multiple asset categories including bonds, securitizations, and equities. Institutions must apply these standardized delta sensitivities, vertex allocations, and correlation multipliers to determine their maximum required capital under three defined stress scenarios, ensuring robust risk management and regulatory compliance.