Circular CONAU 1-1654: Monthly Accounting Information Regime. Minimum Capital Requirement and Integration (R.I.-C.M.). Adjustments.

"AÑO DE LA DEFENSA DE LA VIDA, LA LIBERTAD Y LA PROPIEDAD" COMUNICACIÓN “A” 8156 13/12/2024 TO FINANCIAL ENTITIES:
Ref.: Circular
CONAU 1-1654:
Monthly Accounting Information Regime. Minimum Capital Requirement and Integration (R.I.-C.M.).
Adjustments.
___________________________________________________________________________ We address you to inform you of the modifications introduced in the information regime referenced, as a consequence of the issuance of Communication “A” 8067. In this regard, Section 3. Credit Risk Requirement is adjusted, with effect from January 2025. Finally, the sheets corresponding to replace in the ordered text of the present information regime are attached. We salute you attentively. CENTRAL BANK OF THE ARGENTINE REPUBLIC Mariana A. Díaz Rodrigo J. Danessa Signature 2 Manager of Information Regime Principal Manager of Information Regime and Information Central Offices Functional Position
ANNEX

3.1. Procedural rules.
3.1.1. The data referred to in the credit risk requirement information shall be computed based on their balances at the end of the reported period.
3.1.2. Calculation of the requirement.
It shall be determined according to the following expression:
CRC = (k x 0.08 x APRc) + INC where:
CRC = capital requirement for credit risk. k = factor linked to the rating assigned to the entity taking into account the scale provided in point 2.1. of the rules on “Minimum capital of financial entities”. APRc = credit risk-weighted assets calculated in accordance with the following formula:
APRc = A x p + PFB x CCF x p + no DVP + (DVP + RCD + INC (Signif. Inv. in ents.)) x 12.5 where:
A: computable assets/exposures -debt balances-.
In determining the amounts to be computed, the provisions contained in Sections 2. to 5. and point 11.5. of the rules on “Minimum capital of financial entities” shall be taken into account, including, where applicable, adjustments for the application of IFRS. Only for items 12100000 and 1222000/CCF, the assignment of a specific risk weighter resulting from the calculations provided in points 3.1 and 3.2. of the rules on “Minimum capital of financial entities” will be permitted. If, as a result of the due diligence process carried out by group 1 financial entities, higher weighters than those established normatively arise, they must apply the greater of both, after communicating to the SEFyC. Likewise, said entities must assign to unsecured retail exposures with mortgage guarantee on residential real estate, denominated in a currency different from that of their counterparties' income, a risk weighter of 150% or the one resulting from multiplying by 1.5 the weighter applicable to them, whichever is greater. When it is not feasible to assign adjustments to certain open exposures, they may be included in item 12700000 (“IFRS Adjustment not assigned to specific exposures”). This item will admit a negative sign. B.C.R.A. MONTHLY ACCOUNTING INFORMATION REGIME
4. MINIMUM CAPITAL REQUIREMENT AND INTEGRATION (R.I.-C.M.)
Section 3. Credit Risk Requirement
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PFB: off-balance sheet items.
Regarding the aforementioned concepts A and PFB, counterparty risk weighters (p) per operation, detailed in the table provided in point 3.1.4., will be applied; in case an operation is affected by more than one weighter, the greater of them will be applied. As a prior step to the application of these weighters, the concepts registered in PFB must be converted into credit equivalents, for which their amounts must be multiplied by the credit conversion factor (CCF) applicable, provided in point 2.13. of the rules on “Minimum capital of financial entities” - and identified through the item codes provided in this regime - information model of point 3.1.4.-, applying the following coding:
CCF = 1 = 0%
2 = 20%
3 = 40%
4 = 50%
6 = 100%
7 = 5%
8 = 10% no DvP: operations without delivery against payment, once the applicable risk weighters have been applied according to point 4.1.2. of the rules on “Minimum capital of financial entities”. DvP: failed delivery against payment operations calculated in accordance with point 4.1.1. of the aforementioned rules. Current positive exposure multiplied by the requirement established in point 3.1.5. RCD: capital requirement for credit risk of counterparty in operations with derivatives -OTC or traded in regulated markets- and with deferred settlement, as established in point 3.1.6. INC (Significant Investments in companies): increase for excesses to the following limits:

• Participation in the capital of each company: 15%;
• Total participation in the capital of companies: 60%.
  The established maximum limits will apply to the computable net worth of the financial entity on the last day prior to the one corresponding to INC: Increases in credit risk requirement.
  3.1.3. Coverage with guarantees.
  i) Simple approach or weighter substitution approach (point 5.3.1. of the rules on “Minimum capital of financial entities”): the exposure will be assigned the weighter corresponding to the asset received as collateral. The uncovered part of the exposure will be assigned the weighter corresponding to the latter, according to the information model of point 3.1.4. B.C.R.A. MONTHLY ACCOUNTING INFORMATION REGIME

4. MINIMUM CAPITAL REQUIREMENT AND INTEGRATION (R.I.-C.M.)
   Section 3. Credit Risk Requirement
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3.1.4. Information model
B.C.R.A.
MONTHLY ACCOUNTING INFORMATION REGIME
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Section 3. Credit Risk Requirement
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Code Concept
Weighting Factor
(in %)
0
2
4
10
20
45
50
65
75
85
100
130
150
200
250
1250
11000000 Liquidity
11100000 Exposures to governments and central banks 11200000 Exposures to multilateral development banks (MDB) 11300000 Exposure to financial entities of the country and abroad 11400000 Exposures to companies of the country and abroad 11500000 Regulatory retail exposures 11550000 Non-regulatory retail exposures 11600000 Exposures guaranteed by SGR/Guarantee Funds 11700000 Exposures with regulatory mortgage guarantee (residential and commercial) 11800000 Exposures with non-regulatory mortgage guarantee 11900000 Exposures in default situation 12000000 Other assets 12100000 Exposures to securitizations and funds 1221000/CCF Off-balance sheet items included in point 2.13. of the rules on “Minimum capital of financial entities” 1222000/CCF Off-balance sheet items linked to securitizations and funds 12300000 Operations without delivery against payment (no DvP) 12500000 Exposure to central counterparty entities (CCP) 12600000 Exposures to instruments 12700000 IFRS Adjustment not assigned to specific exposures 12800000 Exposures subject to multiplier (weighter greater than or equal to 150%)

3.1.5. Failed DvP operations.
Operations with delivery against payment will have a direct capital charge when payments are not made within five business days from the settlement date, as established in point 4.1.1. of the rules on “Minimum capital of financial entities”. To determine this charge, the following table will be applied:
Code Business days after the agreed settlement date Capital charge -in %- 1310000 0 Between 5 and 15 8 1320000 0 Between 16 and 30 50 1330000 0 Between 31 and 45 75 1340000 0 46 or more 100 They will be reported by the amount corresponding to the capital charge.
3.1.6. Credit risk requirement for counterparty in operations with derivatives (OTC) or traded in regulated markets- and with deferred settlement.
The final requirement (RCD) will result from the sum of the counterparty credit risk exposures determined for each netting set (point 4.2. of the rules on “Minimum capital of financial entities”), and will be reported in code 14000000. To determine it, the following methodology will be followed:
i) Counterparty credit risk exposure
EAD = α (CR + EPF) where:
α = 1.40
CR = Replacement cost calculated in accordance with point 4.2.1.1. of the rules on “Minimum capital of financial entities”. EPF = Potential future exposure calculated in accordance with point
4.2.1.2. of said regulation.
In case of margin agreements and multiple netting sets, the provisions of point 4.2.1.3. of the aforementioned provisions will be applied. ii) Credit valuation adjustment (CVA) To determine the risk of losses derived from valuing at market prices the expected counterparty risk, the formula of point 4.2.2. of the rules on “Minimum capital of financial entities” will be applied. B.C.R.A. MONTHLY ACCOUNTING INFORMATION REGIME
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iii) Risk weighter (p)
The weighter corresponding to the counterparty will be applied, in accordance with what is established in point 2.12. of the rules on “Minimum capital of financial entities”. iv) Final requirement (RCD) It will result from the sum of the EAD requirements reported for each counterparty, according to the following expression:
RCD = 8% x p x EAD + K(CVA)
3.1.7. Capital requirement for credit risk of counterparty in operations with central counterparty entities
The exposures of financial entities with central counterparty entities within the scope established in point 4.3. of the rules on “Minimum capital of financial entities” -determined in accordance with said rules-, will be recorded in item 12500000 for each weighter applicable, following the information model inserted in point 3.1.4..
3.1.8. Additional capital requirement for credit risk for financing to customers with agricultural activity that are not SMEs and have a collection ratio higher than 5% of their annual harvest - Code 15000000.
For the computation of the additional requirement established in point 11.5. of the rules on “Minimum capital of financial entities”, the following methodology must be applied:
a) The balance of financing and other exposures will be registered in the corresponding codes, provided in this section, assigning the relevant weighters and CCF, in such a way as to determine the general requirement; b) In code 15000000, the additional capital charge resulting from the difference between what is registered according to point a) and what results from applying the factor 4 to said amount will be recorded. B.C.R.A. MONTHLY ACCOUNTING INFORMATION REGIME
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