2019 – YEAR OF EXPORT

COMMUNICATION “A” 6690 03/05/2019

TO FINANCIAL ENTITIES:

Reference: Circular

• LISOL 1‑829
• OPRAC 1‑973
• OPASI 2‑565
• REMON 1‑968
• CREFI 2‑120

Spot and forward operations, swaps, collaterals, other derivatives and mutual funds. Breaches of minimum capital and technical relations. Applicable criteria. Minimum capital of financial entities. Net global foreign‑currency position. Impact on assets pledged as collateral. Authorities of financial entities. Update.

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We address you to forward, attached, the sheets that, in replacement of those previously provided, must be incorporated into the regulations on “Spot and forward operations, swaps, collaterals, other derivatives and mutual funds”, “Breaches of minimum capital and technical relations. Applicable criteria”, “Minimum capital of financial entities” and “Net global foreign‑currency position” in accordance with the resolution disseminated by Communication “A” 6663.

We also inform you that formal adjustments are being made to points 2.1 and 2.6.1.3, to sub‑paragraph ii) of point 5.2.2.1, to point 6.1.3 of the regulations on “Minimum capital of financial entities”, to sub‑paragraph i) and to item b) of sub‑paragraph iii) of point 3.6.4.2, to the title of Section 6 of the regulations on “Spot and forward operations, swaps, collaterals, other derivatives and mutual funds”, to point 2.2.1.1 and to item a) of sub‑paragraph iii) of point 2.2.1.2 of the regulations “Impact on assets pledged as collateral”, and to point 5.2.3 of the regulations on “Authorities of financial entities”.

Finally, we remind you that on the Institution’s website www.bcra.gob.ar, under “Financial System – LEGAL FRAMEWORK AND REGULATIONS – Orders and Summaries – Texts ordered of general regulations”, you will find the modifications with texts highlighted in special characters (strikethrough and bold).

We greet you attentively.

CENTRAL BANK OF THE ARGENTINE REPUBLIC

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Matías A. Gutiérrez Girault – Manager of Regulation Issuance

Darío C. Stefanelli – Senior Manager of Regulation Issuance and Applications

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ANNEX

Index

Section 1. General provisions.
1.1. Limitation.
1.2. Special limit for operations with commodities.
1.3. Observance of other regulations.
1.4. Breaches.

Section 2. Spot operations to be settled.
2.1. Authorized entities.
2.2. Tradable assets.
2.3. Settlement.

Section 3. Forward operations not linked to swaps.
3.1. Authorized entities.
3.2. Forward premium.
3.3. Coverage margin.
3.4. Purchase and sale of securities and monetary‑regulation instruments of the BCRA.
3.5. Purchase and sale of foreign currency.
3.6. Purchase and sale of commodities.
3.7. Treatment of forward operations assimilable to swaps.

Section 4. Swaps.
4.1. Authorized entities.
4.2. Forward premium.
4.3. Coverage margin.
4.4. Passive swap.
4.5. Active swap.
4.6. Swaps with the Central Bank of the Argentine Republic.

Section 5. Collaterals.
5.1. Authorized entities.
5.2. Passive (taking) collateral.
5.3. Active (providing) collateral.

Section 6. Options.
6.1. Purchase of options.
6.2. Sale of options.
6.3. Options whose underlying asset is a commodity.

Section 7. Operations with mutual funds.
7.1. Denomination.
7.2. Restrictions.
7.3. Transparency.
7.4. Identification and tax status.

Section 8. Daily net position in LELIQ and active swaps in pesos against the BCRA.
8.1. Daily net position.
8.2. Breaches.
8.3. Framing schedule.

Correlation table.

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TEXT ORDERED OF THE REGULATIONS ON “SPOT AND FORWARD OPERATIONS, SWAPS, COLLATERALS, OTHER DERIVATIVES AND MUTUAL FUNDS”

Version: 2a. COMMUNICATION “A” 6690

Effective date: 01/04/2019

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Section 6. Options.

6.1. Purchase of options.
6.2. Sale of options.
6.3. Options whose underlying asset is a commodity.

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Section 1. General provisions.

1.1. Limitation. Financial entities may not carry out operations in markets authorized by the National Securities Commission (CNV) of the country or institutionalized abroad unless the operation directly or indirectly involves a fund‑raising activity within 30 days, except for those expressly admitted in these provisions.

1.2. Special limit for operations with commodities. The total of the operations listed in points 3.6 and 6.1.3 (options) may never exceed 5 % of the entity’s RPC (Regulatory Capital) of the previous month. For this purpose, gross positions will be taken, computed in accordance with points 6.5.2 and 6.6 of the regulations on “Minimum capital of financial entities.”

1.3. Observance of other regulations. Where applicable, the regulations on “Impact on assets pledged as collateral” and “External and exchange” shall apply.

1.4. Breaches. The provisions of the regulations on “Disciplinary regime under the Central Bank of the Argentine Republic, Laws 21.526 and 25.065 and their amendments” shall apply.

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OPERATIONS ON SPOT AND FORWARD, SWAPS, COLLATERALS, OTHER DERIVATIVES AND MUTUAL FUNDS

Section 1. General provisions.

Version: 2a. COMMUNICATION “A” 6690

Effective date: 01/04/2019

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3.5.3. Term

The term shall be freely agreed.

3.5.4. Settlement

Settlement shall be by effective delivery of the traded asset and its counterpart, or by cash difference or compensation.

3.6. Purchase and sale of commodities.

3.6.1. Underlying assets

Commodities that have a normal and regular quotation in domestic or foreign markets, and price indexes based on them.

3.6.2. Term

The term shall be freely agreed.

3.6.3. Settlement

They shall be settled by compensation, without delivery of the underlying, both at expiry and in the event of an unplanned closure of the positions, which must be explicitly contemplated in the termination clauses. Contracts that in any circumstance allow delivery of the underlying shall not be admitted.

3.6.4. Conditions

The operation must be carried out:

• 3.6.4.1. In the country:

  • i) In securities markets authorized by the CNV.
  • ii) Outside markets: the contract must assess the constitution of initial margins and foresee daily integration of variation margins. When the entity conducts operations with counterparties that are not financial entities, it must be verified that the operation is intended to provide coverage to the counter‑party, in terms of terms and amounts, for price variations of products reasonably related to its activity.

• 3.6.4.2. Abroad:

  • i) In institutionalized markets of OECD member countries that comply with point 3.2 of the regulations on “Credit assessments”, requiring an international “investment‑grade” risk rating, and that are formally authorized for such purposes, according to the guarantee margins established therein. Additionally, it must be verified that the operations are settled through central counterparty entities (CCP).
  • ii) Outside institutionalized markets, under the following conditions:
    • a) The contract must assess the constitution of initial margins and foresee daily integration of variation margins (“mark‑to‑market”).
    • b) The counter‑party must be a foreign bank that complies with point 3.1 of the regulations on “Credit assessments”, requiring an international “investment‑grade” risk rating.

3.6.5. Policy and notification

Financial entities’ participation in this operation must conform to a specific policy adopted by their board of directors or equivalent authority. Financial entities must notify the Superintendence of Financial Entities and Currency Exchanges (SEFyC), via a note signed by the highest‑ranking official of the credit or commercial area responsible for credit decisions, when they begin operating under this modality. In the corresponding filing they shall provide information on the adopted policy, at a minimum including data on the underlying assets, counterparties or markets involved, types of derivatives to be traded, and responsibility levels for operation approval.

3.7. Treatment of forward operations assimilable to swaps

When forward operations are directly or indirectly linked to spot operations, with the same counterparties, and produce a similar economic‑financial effect to a swap, they shall receive the treatment applicable to swaps and the provisions of Section 4 shall apply to them.

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SECTION 3. FORWARD OPERATIONS NOT LINKED TO SWAPS

Version: 1a. COMMUNICATION “A” 6690

Effective date: 01/04/2019

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6.1. Purchase of options

Financial entities may purchase option contracts issued by foreign banks that comply with point 3.1 of the regulations on “Credit assessments”, requiring an international “investment‑grade” risk rating. They may also purchase option contracts issued by other counterparties, provided the operations are conducted in domestic markets or institutionalized foreign markets and comply with points 2.2.3 or 3.2 of the regulations on “Credit assessments,” respectively.

6.2. Sale of options

Financial entities may sell option contracts provided they comply with point 2.1.2 of the regulations on “Credit assessments.”

6.3. Options whose underlying asset is a commodity

Financial entities may trade option contracts on commodities provided they meet the preceding requirements and those set out in point 3.6.

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TEXT ORDERED OF THE ORIGINAL REGULATION

Sec.	Point	Paragraph	Comm.	Annex	Cap.	Sec.	Point	Paragraph	Observations
1.1	“A”	2275	2.	last	According to Comm. “A” 6472.	Includes interpretative clarification.
1.2	“A”	6663	1.
1.3	“A”	6472	Includes interpretative clarification.
1.4	“A”	2953	2.	3rd	According to Comm. “A” 6167 and 6472.
2.1	“A”	2275	4.
2.2	“A”	2275	4. According to Comm. “A” 6472.	Includes interpretative clarification.
2.3	“A”	2275	4.
2.3.1	“A”	2275	4.
2.3.2	“A”	2275	4. According to Comm. “B” 6115.
3.1	“A”	1465	“A”	1590
3.2	“A”	1465	I	4.2.	“A”	1590	I	3.2.
3.3	“A”	1465	“A”	1590
3.4	“A”	1465	I	4.	According to Comm. “A” 2109 and 2140.
3.4.1	“A”	1465	I	4. According to Comm. “A” 2061, 2275 and 6472.	Includes interpretative clarification.
3.4.2	“A”	1465	I	4.1. and 5.2. 1°	According to Comm. “A” 1603, 2061, 2064, 2275 and 6305.
3.4.3	“B”	3909	4. According to Comm. “A” 6472.	Includes interpretative clarification.
3.5	“A”	1590	I	3.
3.5.1	“A”	1590	I	3.3.
3.5.2	“A”	1590	I	3.5.
3.5.3	“A”	1590	I	3.1. and 4.2. 1°	According to Comm. “A” 1603, 2061, 2064, 2275 and 6305.
3.5.4	“A”	1590	I	3.6. According to Comm. “A” 6472 and “B” 7166.	Includes interpretative clarification.
3.6	“A”	6663	1.
3.6.1	“A”	6663	1.
3.6.2	“A”	6663	1.
3.6.3	“A”	6663	1.
3.6.4	“A”	6663	1. According to Comm. “A” 6690.
3.6.5	“A”	6663	1.
3.7	“A”	2275	2.2. According to Comm. “A” 6305 and 6472.
4.1	“A”	1465	I	1. “A”	1590	I	1. According to Comm. “A” 1594 and 2192.
4.2	“A”	1465	I	1.1.2. and 1.2.2.
4.3	“A”	1465	I	1.1.4. and 1.2.4.
4.4	“A”	1465	I	1.1.
4.4.1	“A”	1465	I	1.1.
4.4.2	“A”	1465	I	1.
4.4.2.1	i) “A”	2061	5.1. and 5.2.	According to Comm. “A” 2275, 2286, 2356, 2393, 2771 and 6472.	Includes interpretative clarification.
4.4.2.1	ii) “A”	1465	I	1.1.1., 1.1.3. and 5.2. 1°	According to Comm. “A” 6472.	Includes interpretative clarification.
4.4.2.2	iii) “A”	1465	I	1.1.1. and 1.1.3.	According to Comm. “A” 1603 and 6472.	Includes interpretative clarification.
4.4.2.2	“A”	1465	I	1.1.5.	According to Comm. “A” 2122 and 6472.	Includes interpretative clarification.
4.4.2.3	“A”	1465	penultimate	According to Comm. “A” 6472.	Includes interpretative clarification.
4.4.3	“A”	1590	I	1.
4.4.3.1	i) “A”	1590	I	1.1.1. and 2.1.
4.4.3.1	ii) “A”	1590	I	1.1.1. According to Comm. “A” 1603.
4.4.3.2	“A”	1590	I	1.1.3.
4.4.3.3	“A”	1590	I	1.1.5. According to Comm. “A” 2122 and 6472.	Includes interpretative clarification.
4.4.3.4	“A”	1590	I	1.1.6. According to Comm. “A” 6472.	Interpretative clarification.
4.5	“A”	1465	I	1.2.
4.5.1	“A”	1465	I	1.2.
4.5.2	“A”	1465	I	1.2. According to Comm. “A” 6472.	Interpretative clarification.
4.5.2.1	“A”	1465	I	1.2.1. and 5.2. 1°	According to Comm. “A” 2061, 2064, 2181 and 2275.
4.5.2.2	“A”	1465	I	1.2.4. According to Comm. “A” 6472.	Includes interpretative clarification.
4.5.2.3	“A”	1465	penultimate	According to Comm. “A” 6472.	Includes interpretative clarification.
4.5.3	“A”	1590	I	1.2.
4.5.3.1	“A”	1590	I	1.2.1. and 2.1.
4.5.3.2	“A”	1590	I	1.2.3.
4.5.3.3	“A”	1590	I	1.2.5. According to Comm. “A” 6472.	Includes interpretative clarification.
4.5.3.4	“A”	1590	I	1.2.6. According to Comm. “A” 6472.	Includes interpretative clarification.
4.6	“A”	6472	Includes interpretative clarification.
5.1	“A”	2061	5.1. a
5.2	“A”	2061	5.1. a
5.2.1	“A”	1020	1. According to Comm. “A” 1746, 1769, 2061 and 6472.	Includes interpretative clarification.
5.2.2	“A”	2061	5
5.2.2.1	“A”	2061	5.1. a
5.2.2.2	i) “A”	2061	5. According to Comm. “A” 2064.
5.2.2.2	ii) “A”	2061	5
5.3	“A”	2061	5. According to Comm. “A” 2064 and 2181.
6.1	“A”	2461	unique IV 2° and last	According to Comm. “A” 5740 and 6472.
6.2	“A”	2461	unique IV 1°	According to Comm. “A” 5740 and 6472.
6.3	“A”	6663	1.

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SECTION 1. DEFICIENCIES OF MINIMUM CAPITAL

Section 1.1. Breaches reported by entities.

Section 1.2. Breaches detected by the Superintendence of Financial Entities and Currency Exchanges (SEFyC).

Section 1.3. Daily capital deficiency.

Section 1.4. Application of article 41 of the Financial Entities Law.

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SECTION 2. EXCESSES TO TECHNICAL RELATIONS AND DERIVATIVE POSITIONS

Section 2.1. Concepts covered.
The following excesses shall be subject to the treatment established in this section:

i) The ratio of immobilised assets and other concepts;

ii) Large credit‑risk exposures arising from:

• granting new financing, including any type of agreement, assuming contingent commitments, granting renewals, extensions, express or tacit expectations, or any refinancing modality concerning prior operations; and/or
• reduction of computable capital after financing is granted due to voluntary acts (e.g., profit distribution) or known at the time of granting facilities (e.g., adjustments indicated by SEFyC);

iii) Financing to the non‑financial public sector;

iv) Derivative positions on commodities (as provided in point 1.2 of the regulations on “Spot and forward operations, swaps, collaterals, other derivatives and mutual funds”);

v) Credit grading.

Section 2.2. Breaches reported by entities.

• 2.2.1. Information entered on time.
  The increase of the minimum‑capital requirement for credit‑risk shall be equal to 100 % of the excess to the ratio, starting from the month in which the breach is recorded and while it persists. For credit relationships, the computation of the “apartamiento” (capital set‑aside) shall be based on the monthly average of daily excesses.

• 2.2.2. Information entered out of time.
  The increase shall be equal to 100 % of the excess to the ratio, starting from the month the information is entered, while the breach remains, and additionally, once regularised, for a number of months equal to the number of periods during which the unreported excess was verified.

Section 2.3. Repeated breaches.

• 2.3.1. Definition.
  Repeated breach means non‑observance of the relations –considered separately each – in successive periods or with an interval shorter than three months, derived from voluntary acts (e.g., granting financing to a client whose exposure already exceeds limits, profit distribution that reduces computable equity, excess exposures to different clients in different periods).

• 2.3.2. Consequences.
  The increase of the minimum‑capital requirement for credit‑risk shall be equal to 130 % of the excess recorded in the respective relation.

Section 2.4. Breaches detected by SEFyC.

• 2.4.1. Reply period.
  The entity shall have 30 calendar days from notification of the determination made by SEFyC to submit its reply, which must be issued within the subsequent 30 calendar days.

• 2.4.2. Final determination.

  • If the entity does not submit a reply within the period indicated in 2.4.1, the determination shall be considered final on the expiry date of the reply period.
  • If the reply is rejected – wholly or partially – by SEFyC, the breach shall be deemed final on the date of notification of the adopted decision.

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SECTION 2. EXCESSES TO TECHNICAL RELATIONS AND DERIVATIVE POSITIONS (VERSION 11a)

Effective date: 01/04/2019

The computation of the “apartamiento” shall consider the highest excess amount recorded in the periods covered by out‑of‑time information and in subsequent periods, as long as the breach persists, even if information for later periods is entered on time. For credit relations, the computation shall consider the highest daily excess amount attributable to the clients that originated it, recorded in those periods.

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SECTION 2. EXCESSES TO TECHNICAL RELATIONS AND DERIVATIVE POSITIONS (VERSION 7a)

Effective date: 01/04/2019

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2.3.3. Treatment of the Determined Breach

It will trigger an increase in the minimum capital requirement for credit risk by an amount equal to 150 % of the excess over the ratio starting from the month in which it becomes final, while the breach persists, and, additionally once regularised, for a number of months equal to the number of periods during which the breach detected by the SEFyC was observed.

The calculation of the offset will be performed considering the highest excess amount recorded in the mentioned periods and in the subsequent ones, as long as the breach remains and even if the information for the subsequent periods is entered in a timely and proper manner.

In the case of credit relationships, such calculation will be made considering the highest daily excess amount, with respect to the clients who originated it, recorded in those periods.

2.4. Other Consequences

2.4.1. Limitations on Deposit Growth

When the sum of the increases in the minimum capital requirement for credit risk resulting from breaches of the technical relationships covered in this section exceeds the equivalent of 5 % of that requirement – without considering the increases – and while this situation persists, the total amount of deposits – in national and foreign currency – may not exceed the level reached during the month in which that event is recorded.

That limit and its observance will be calculated based on the balances recorded on the last day of each of the months covered.

2.4.2. Registration of Breaches as an Impediment to the Transformation of Financial Entities

No additional text provided.

2.5. Accounting Exposure

Breaches must be disclosed in notes to the financial statements according to the criteria established by the SEFyC.

2.6. Application of Article 41 of the Financial Entities Law

Summary proceedings will be initiated in accordance with the guidelines defined by the SEFyC.

BREACHES OF MINIMUM CAPITALS AND TECHNICAL RELATIONSHIPS

B.C.R.A. APPLICABLE CRITERIA

Section 2. Excesses to Technical Relationships and Derivative Positions

Version: 9a. COMMUNICATION “A” 6690
Effective date: 01/04/2019

ORIGIN OF THE PROVISIONS CONTAINED IN THE REGULATIONS ON “BREACHES OF MINIMUM CAPITALS AND TECHNICAL RELATIONSHIPS. APPLICABLE CRITERIA”

ORDERED TEXT OF SOURCE REGULATION

Section	Point	Paragraph	Comm.	Cap.	Point	Paragraph	Observations
1° “A”	3161	1.1.
2° “A”	3161	1.1.	According to Comm. “A” 3171 (point 1.) and 6091.	1.1.
3° “A”	3171	1.
1.2.	“A”	3161	1.2.
1.2.1.	“A”	3161	1.2.1.
1.2.2.	“A”	3161	1.2.2.
1.2.2.1.	“A”	3161	1.2.2.1.
1.2.2.2.	“A”	3161	1.2.2.2.
1.3.	“A”	3161	1.3.
1.3.1.	“A”	3161	1.3.1.	According to Comm. “A” 5272 and 6091.
1.3.2.	“A”	3161	1.3.2.
1.3.2.1.	“A”	3161	1.3.2.1.
1.3.2.2.	“A”	3161	1.3.2.2.
1.4.	“A”	3161	1.4.
2.1.	“A”	3161	According to Comm. “A” 4546, 4742, 4838, 4861, 4926 (point 1.), 4937 (point 4.), 4961, 4996, 5180, 5520, 6635, 6663 and “B” 9745.
2.2.1.	“A”	3161	2.1.1.
2.2.2.	“A”	3161	2.1.2.	According to Comm. “A” 3171 (point 2.).
2.3.	“A”	3161	2.2.
2.3.1.	“A”	3161	2.2.1.
2.3.2.	“A”	3161	2.2.2.
2.3.2.1.	“A”	3161	2.2.2.1.	According to Comm. “B” 9745.
2.3.2.2.	“A”	3161	2.2.2.2.
2.3.3.	“A”	3161	2.2.3.	According to Comm. “A” 3171 (point 3.).
2.4.	“A”	3161	2.3.	According to Comm. “A” 3171 (point 4.) and 6635.
2.5.	“A”	3161	2.4.	According to Comm. “A” 6327.
2.6.	“A”	3161	2.5.
3.1.	“A”	3161	3.1.
3.	“A”	3161	3.
3.2.	“A”	3161	3.2.

• Index
  • 6.5. Capital requirement for risk of positions in basic products – “commodities”.
  • 6.6. Capital requirement for risk of positions in options.
  • 6.7. Computation.
  • 6.8. Policies and procedures for managing the trading book.
  • 6.9. Additional requirements to include positions in the trading book.
  • 6.10. Treatment for less‑liquid positions.
  • 6.11. Responsibilities.
  • 6.12. Internal audit.
  • Section 7. Minimum capital for operational risk.
    • 7.1. Requirement.
    • 7.2. Limit for entities belonging to Group “B”.
    • 7.3. New entities.
  • Section 8. Computable patrimonial liability.
    • 8.1. Determination.
    • 8.2. Computable concepts.
    • 8.3. Criteria related to computable concepts.
    • 8.4. Deductible concepts.
    • 8.5. Limits.
    • 8.6. Capital contributions.
    • 8.7. Procedure.
  • Section 9. Bases of observance of the rules.
    • 9.1. Individual basis.
    • 9.2. Consolidated basis.
  • Section 10. External rating agencies (ECAI).
  • Section 11. Transitional provisions.
  • Correlation table.

DvP, RCD, INC Definitions

• DvP: delivery‑versus‑payment failed operations (for the purposes of these rules, they include failed payment‑versus‑payment – PvP – operations). The amount is determined by summing the values obtained after multiplying the current positive exposure by the applicable capital requirement established in point 4.1.
• RCD: capital requirement for counter‑party credit risk in over‑the‑counter (OTC) derivative transactions, determined according to point 4.2.
• INC (significant investments in companies): increment for excesses over the following limits:
  • participation in the capital of each company: 15 %;
  • total participation in the capital of companies: 60 %.
    The maximum limits will be applied over the computable patrimonial liability (RPC) of the financial entity on the last day preceding the applicable date.
• INC (increment): increment for the following excesses:
  • in the ratio of fixed assets and other concepts (Section 4 of the respective regulation), excluding those computed for the determination of INC (significant investments in companies);
  • to the limits established in the rules on “Financing of the non‑financial public sector”, excluding those computed for the determination of INC;
  • to the limits established in the rules on “Large exposures to credit risk” – as provided in sub‑item ii), point 2.1 of the rules on “Breaches of minimum capitals and technical relationships. Applicable criteria.” – excluding those computed for the determination of INC;
  • to the credit‑grading limits (Section 3 of the respective regulation);
  • to the commodity‑derivative limit provided in point 1.2 of the rules on “Spot and forward transactions, repos, securities lending, other derivatives and mutual funds”.

In this matter, the provisions contained in Section 2 of the rules on “Breaches of minimum capitals and technical relationships. Applicable criteria” will apply, unless the provisions of Section 3 of those rules are applicable.

CAPITAL MINIMUMS OF FINANCIAL ENTITIES – SECTION 2. Minimum Capital for Credit‑Risk

Version: 3a. COMMUNICATION “A” 6690
Effective date: 01/04/2019

The credit exposure resulting from the use of expanded credit lines referred to in points 6.1.1.2 and 6.1.2.1.c of the rules on “Financing of the non‑financial public sector” (considering, where applicable, the provisions of Section 9 of those rules regarding financial assistance granted and/or holdings of debt instruments of financial trusts or fiduciary funds referred to in point 5.1 of the same rules and point 3.2.4 of the cited regulation) will also be computed in this expression, according to the following schedule, which will operate from the moment the works or equipment begin to generate income for the trust or fiduciary fund through fees, rates, tariffs or similar concepts.

Utilisation of expanded quota – % of utilization –	From	25%	50%	100%
First month	X
Seventh month	X
Thirteenth month	X

The non‑financial public sector cited in these rules is the one defined in Section 1 of the rules on “Financing of the non‑financial public sector”.

2.2. Exclusions

• 2.2.1. Guarantees granted in favour of the Central Bank of the Argentine Republic (BCRA) and by direct obligations.
• 2.2.2. Concepts that must be deducted for the purpose of calculating the RPC.
• 2.2.3. Financing and guarantees, sureties and other responsibilities granted by local branches and subsidiaries of foreign financial entities, on behalf of and by order of their head office or its branches in other countries or of the controlling entity, provided the following requirements are observed:
  • 2.2.3.1. The rules of the country where the head office or controlling entity is located (defined according to the provisions in force in that jurisdiction) must cover consolidated‑supervision of the local branches or subsidiaries.
  • 2.2.3.2. The entity must comply with point 3.1 of the rules on “Credit assessments”, requiring an international risk rating in the “investment‑grade” category.
  • 2.2.3.3. In the case of financings, they must be serviced by the local branches or subsidiaries only with funds originating from lines allocated to them by the aforementioned foreign intermediaries.
  • If assistance is provided in a currency different from that of the foreign resources, the local entity may not assume exchange‑rate risk.

SECTION 5. Credit‑Risk Coverage

Version: 10a. COMMUNICATION “A” 6690
Effective date: 4/5/2019

5.2.1. General Requirements

• 5.2.1.1. The guarantee instrument must ensure that the entity has the right to liquidate or take possession of the asset legally and at all times in case of breach, insolvency, or the opening of bankruptcy, preventive extrajudicial agreement or liquidation (or any other event stipulated in the operation documentation) of the counter‑party (and, when applicable, of the custodian of the asset received as collateral). Moreover, entities must comply with all necessary legal requirements to secure their right to liquidate or take possession of the asset.
• 5.2.1.2. There must not be a substantial positive correlation between the counter‑party’s credit quality and the value of the guarantee – for example, securities issued by the counter‑party or linked to it are not admissible.
• 5.2.1.3. Financial entities must have clear and robust procedures that ensure compliance with the legal requirements necessary to declare a counter‑party breach and liquidate the guarantee quickly.
• 5.2.1.4. When the asset received as collateral is held in custody, financial entities must adopt measures to ensure that the custodian segregates it from other assets, whether owned by the custodian or third parties.
• 5.2.1.5. A capital requirement will apply to financial entities located in any position of a guaranteed operation with an asset – such as repo operations – even when they act as the agent organising the operation and guarantee to a client that a third party will fulfil its obligations.

5.2.2. Simple or Substitution Method for Weights

With this method, when financial entities accept assets as collateral, the counter‑party’s risk weight is substituted – partially or fully – by the risk weight of the asset covering the exposure – partially or fully.

5.2.2.1. Assets Admitted as Collateral

1. Cash deposited with the financial entity, as well as certificates of deposit – or similar instruments – issued by the financial entity itself.
2. Gold minted or in “good‑delivery” bars, as defined in points 4.1.3 and 4.1.4 of the “External and Exchange” regulations.
3. Securities issued by the non‑financial public sector and monetary‑regulation instruments of the BCRA, which carry a risk weight of 0 %.

SECTION 2. Minimum Capital for Credit‑Risk (Version 4a)

Version: 4a. COMMUNICATION “A” 6690
Effective date: 4/5/2019

Consequently, the margins agreed for overdrafts in current accounts and the purchase limits of credit cards (both the used and the available amounts), as well as pre‑approved personal loans – to the extent they have not yet been formalised or disbursed to the client – will not be part of the numerator of the debt‑to‑income ratio because they do not have a periodic amortisation.

However, installments that the client has for purchases financed within the credit‑card system must be considered within the “installments” concept.

2.5.11. Risk‑Weight Determination for Specific Exposures

For the purpose of determining the risk‑weight to be applied to the exposures referred to in points 2.6.2.4, 2.6.2.5, 2.6.2.6, 2.6.3.2, 2.6.4.2 and 2.6.5, the rating granted by an external credit assessment institution (ECAI) admitted by the BCRA must be used, as established in Section 10.

The credit ratings contemplated in those points correspond to the methodology used by Standard & Poor’s and are provided solely as an example.

No exposure with un‑rated debtors may receive a risk‑weight lower than that applied to the country of incorporation, except for the exposures referred to in points 2.6.2.2 and 2.6.2.3. Nevertheless, exposures with financial entities not rated that are incorporated in jurisdictions where sovereigns have a rating between BB+ and B‑ will receive a risk‑weight of 100 %.

2.6. Table of Risk Weights

Concept	Weight (%)
2.6.1. Availability
2.6.1.1. Cash on hand, in transit (when the financial entity assumes responsibility and risk of transfer) and in ATMs	0
2.6.1.2. Current and special accounts at the BCRA and payment orders charged to the BCRA	0
2.6.1.3. Gold minted or in “good‑delivery” bars, as defined in points 4.1.3 and 4.1.4 of the “External and Exchange” regulations	0
2.6.1.4. Cash items pending collection (checks and drafts), cash in securities‑transport companies and cash in custody at financial entities	20
2.6.2. Exposure to governments and central banks
2.6.2.1. To the BCRA in pesos, when its source of funds is in that currency	0

SECTION 6. Minimum Capital for Market Risk

Version: 11a. COMMUNICATION “A” 6690
Effective date: 01/04/2019

6.1. Requirement

Market risk is defined as the possibility of suffering losses on positions recorded on‑ and off‑balance‑sheet due to adverse market‑price fluctuations.

The capital requirement for market risk (RM) will be the arithmetic sum of the capital requirements for interest‑rate risk (RT), equity risk (RA), exchange‑rate risk (RTC), commodity risk (RPB) and option risk (ROP):

```
RM = RT + RA + RTC + RPB + ROP
```

For its determination, entities must use the Standard Measurement Method provided in point 6.1.4.

6.1.1. General Considerations

• 6.1.1.1. The risks subject to this capital requirement are the risks of positions in:
  1. Instruments – securities and derivatives – attributed to the trading book (defined in point 6.1.2);
  2. Foreign currencies and “commodities”, regardless of the book to which they are attributed.
• 6.1.1.2. The capital requirement for exchange‑rate and “commodity” risk will be applied to the total position in each foreign currency and commodity.
• 6.1.1.3. The capital requirement for securities will be computed with respect to the instruments attributed to the trading book, which must be valued prudently (at market price – “marked to market” – or at model – “marked to model”), as provided in point 6.10.
• 6.1.1.4. Instruments whose return is determined based on the Reference Stabilisation Coefficient (CER) must be considered at a fixed rate.
• 6.1.1.5. Regardless of whether they are recorded in the trading book or the investment book, concepts that must be deducted for the purpose of calculating the RPC will be excluded from the market‑risk capital requirement.

6.1.2. Trading Book

• 6.1.2.1. The trading book consists of positions in financial instruments incorporated into the entity’s equity for the purpose of trading or providing coverage to other elements of that book. A financial instrument may be attributed to the trading book – for the purpose of the market‑risk capital requirement – if its trading is free of any restriction or if total coverage of the instrument is possible. Moreover, the book must be actively managed and positions valued daily with appropriate precision.

6.1.3. Treatment of Counter‑Party Credit Risk in the Trading Book

• 6.1.3.1. Entities must calculate the capital requirement for counter‑party credit risk of derivative transactions – whether over‑the‑counter (OTC) or traded on regulated markets – and of securities‑financing transactions (SFT) – such as repo agreements – recorded in the trading book separately and in addition to the capital requirements for general market risk and specific underlying risk. For this purpose, they must apply the methods and risk‑weights that apply when those operations are recorded in the investment book.
• 6.1.3.2. All assets included in the trading book that meet the conditions set out in point 2.3 of the rules on “Impact on pledged assets” will be admitted as collateral for repo operations recorded in that book. However, when the instrument does not satisfy the definition of assets admitted as collateral for operations recorded in the investment book (as detailed in point 5.2.3.1), a 25 % hair‑cut will be applied.
• 6.1.3.3. The capital requirement for counter‑party credit risk of derivative transactions – whether OTC or on regulated markets – will be computed according to point 4.2 for operations recorded in the investment book.
• 6.1.3.4. Regardless of the book in which they are recorded, repo operations will be subject to the capital requirement for counter‑party credit risk as provided in Section 5.

6.1.4. Measurement of Market Risks

• 6.1.4.1. The Standard Measurement Method is based on a sum of components that capture separately the specific risk and the general market risk of positions in securities.
• 6.1.4.2. To calculate the capital requirement for option‑price risk, entities may use the simplified approach (provided in point 6.6.2) or the delta‑plus method (established in point 6.6.3), as appropriate.
• 6.1.4.3. For the calculation of the market‑risk capital requirement, operations will be computed from the date of their execution, including forward purchases and sales. Entities must meet the requirements at the close of each business day. The SEFyC will verify that balances are not distorted at the close of each reporting period to declare lower‑risk positions and will assess the quality of systems for managing intraday exposure risk.

6.2. Capital Requirement for Interest‑Rate Risk

The capital requirement for interest‑rate risk must be calculated with respect to debt securities and other instruments attributed to the trading book, including non‑convertible preferred shares.

A security sold and repurchased forward in a passive repo or other financing operation with securities will be treated as if it remains the property of the transferring entity; i.e., it will receive the same treatment as a security held in the book.

Convertible preferred shares that can be converted into ordinary shares of the issuer at a predetermined price will be treated according to how they are traded, either as debt securities or as equity.

The requirement will be obtained as the sum of two separately calculated requirements: one for the specific risk of each instrument, whether the position is sold or bought, and another for the general market risk – linked to the effect of interest‑rate changes on the book – in which bought and sold positions in different instruments may be offset.

For derivative instruments, the provisions set out in point 6.2.3 will apply.

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6.2.2. Capital requirement for general market risk: residual‑maturity method

6.2.2.1. The capital requirement shall be obtained as the sum of the following four components:

1. The absolute value of the net weighted position, bought or sold, across the entire trading portfolio.
2. A percentage of the positions netted within each time band – the vertical offset – as provided in point 6.2.2.5.
3. Percentages of the positions netted across different time bands – the horizontal offset – as provided in point 6.2.2.6.
4. Where applicable, the net change in option positions as provided in point 6.6.

6.2.2.2. Capital requirements shall be calculated separately for positions in pesos and in each foreign currency. When the total operations in a foreign currency are not significant – residual foreign currencies – the entity may assign the net positions, bought or sold, to the bands of a single scale. In such case, it shall sum the individual net positions within each band, regardless of whether they are bought or sold, in order to determine the gross position amount in these residual foreign currencies.

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MINIMUM CAPITAL OF FINANCIAL ENTITIES – B.C.R.A.

Section 6. Minimum capital for market risk.

Version: 8a. COMMUNICATION “A” 6690

Effective: 01/04/2019

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6.2.2.3. Bought and sold positions in debt securities and derivative instruments shall be assigned to maturity scales divided into 15 or 13 time bands, depending on whether the instrument’s coupon is less than 3 % or not. Fixed‑rate instruments shall be assigned according to their residual maturity, and variable‑rate instruments according to the time remaining until the next interest adjustment. The risk weight for variable‑rate instruments shall depend on whether the current period’s yield coupon – or, if not yet available, the last coupon paid – represents a yield lower than 3 % per annum. Opposite positions of the same amount in the same class may be excluded, as well as closely related derivatives (“swaps”, “forwards”, futures and “forward rate agreements” – FRAs –) that meet the conditions set out in sub‑paragraph i) of point 6.2.3.5.

6.2.2.4. Positions assigned to each time band shall be weighted by a factor that reflects their sensitivity to interest‑rate changes, according to the following table:

Zone	Coupon < 3 %	Coupon ≥ 3 %	Risk weight	Assumed change in yield – to be used in the delta‑plus method (point 6.6.3.) –	Months *
0‑1	0‑1	0.00 %	1.00
1‑3	1‑3	0.20 %	1.00
3‑6	3‑6	0.40 %	1.00
6‑12	6‑12	0.70 %	1.00

Years *	Coupon < 3 %	Coupon ≥ 3 %	Risk weight	Assumed change in yield – to be used in the delta‑plus method (point 6.6.3.) –
1‑1.9	1‑2	1.25 %	0.90
2	1.9‑2.8	1.75 %	0.80
2.8‑3.6	3‑4	2.25 %	0.75
3.6‑4.3	4‑5	2.75 %	0.75
4.3‑5.7	5‑7	3.25 %	0.70
5.7‑7.3	7‑10	3.75 %	0.65
7.3‑9.3	10‑15	4.50 %	0.60
9.3‑10.6	15‑20	5.25 %	0.60
10.6‑12	>20	6.00 %	0.60
12‑20	–	8.00 %	0.60
>20	–	12.50 %	0.60

Version: 7a. COMMUNICATION “A” 6690 – Effective: 01/04/2019

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6.2.3. Treatment of interest‑rate derivatives

6.2.3.1. The measurement system shall cover all interest‑rate derivatives and off‑balance‑sheet instruments in the trading portfolio that are sensitive to rate changes – such as FRAs, bond futures, interest‑rate and cross‑currency “swaps” – and forward currency positions. Options shall be treated as provided in point 6.6.

6.2.3.2. Calculation of positions. Derivatives shall be converted into positions in the corresponding underlying and shall be subject to the specific‑risk and general‑market‑risk capital requirements described above. To determine the market value of the underlying notional, the provisions set out in point 6.10 shall be followed for a prudent valuation.

6.2.3.3. Futures and forward contracts, including FRAs. These instruments shall be considered as a combination of a bought and a sold position in a public security. The maturity of a future or a FRA shall be the period up to delivery or exercise of the contract plus – where applicable – the life of the underlying instrument. Where a range of instruments may be delivered to satisfy the contract, the entity may choose which security, among those that can be delivered, to insert into the maturity scale, taking into account the applicable conversion factors. In the case of a future on a corporate bond index, positions shall be included at the market value of the instruments comprising the underlying portfolio.

6.2.3.4. “Swaps”. Swaps shall be considered as two notional positions in public securities with the respective maturities.

An interest‑rate swap whereby the entity receives a variable rate and pays a fixed rate shall be considered as a bought position in a variable‑rate instrument maturing on the next interest‑rate reset date and a sold position in a fixed‑rate instrument with a maturity equal to the residual term of the swap. In the case of swaps that pay or receive a variable or fixed interest rate in exchange for another reference price – such as a stock index – the interest‑rate component shall be assigned to the band corresponding to the maturity or reset date, and the equity component shall give rise to the requirement for equity positions.

Each side of a currency swap shall be assigned to the maturity scale of the corresponding currency.

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MINIMUM CAPITAL OF FINANCIAL ENTITIES – B.C.R.A.

Section 6. Minimum capital for market risk.

Version: 8a. COMMUNICATION “A” 6690 – Effective: 01/04/2019

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The specific risk equals the gross position in equities – i.e., the sum of all bought positions and all sold positions – while the general market risk is the difference between the total bought positions and the total sold positions in each national market where the entity holds equities – i.e., the total net position in each national market.

The capital requirement for specific risk and for general market risk shall be 8 % of each risk, as defined in the preceding paragraph.

6.3.2. Treatment of equity derivatives

Except for options on equities and stock indices, which are dealt with in point 6.6, the remaining equity derivatives and off‑balance‑sheet positions sensitive to market price changes shall be included in the capital requirement calculation. This includes futures, forwards and swaps, both on individual equities and on stock indices. Derivatives shall be converted into positions in their corresponding underlying.

6.3.2.1. Calculation of positions. For the calculation of specific‑risk and general‑market‑risk requirements, derivative positions shall be converted into notionals:

1. Futures and forwards on individual equities shall be reported at the market price of the underlying.
2. Futures on stock indices shall be reported at the market value of the notional of the underlying equity portfolio.
3. Equity swaps shall be considered as two notional positions.
4. Options on equities and stock indices shall be excluded together with their underlyings – if the simplified method is used – or incorporated into the general‑market‑risk measure – if the delta‑plus method is used.

6.3.2.2. Capital requirement for equity derivatives.

• i) Capital requirement for specific risk and for general market risk.

Each position netted with an identical equity or stock index may be fully netted, resulting in a single net position, bought or sold, on which the specific‑risk and general‑market‑risk capital requirements shall be applied.

The derivative’s interest‑rate risk shall be computed as indicated in point 6.2.

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Version: 6a. COMMUNICATION “A” 6690 – Effective: 01/04/2019

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c) Opposite positions may be netted – i.e., capital requirements not applied – even when they are in different markets or involve share deposit certificates, only if all conversion costs, where any, are taken into account. All foreign‑exchange risk arising from these positions shall be computed as set out in point 6.4.

6.4. Capital requirement for foreign‑exchange risk

This point establishes the minimum capital needed to cover the risk of holding positions in foreign currency, including gold.

6.4.1. The calculation of the capital requirement for foreign‑exchange risk first requires quantifying exposure in each currency and then estimating the risks inherent in the combination of bought and sold positions in different currencies.

6.4.2. Measurement of exposure in each currency.

6.4.2.1. The net open position in each currency shall be calculated as the sum of:

1. The spot net position, consisting of all assets minus all spot liabilities, including accrued interest, denominated in the currency in question.
2. The forward net position, consisting of amounts receivable minus amounts payable from forward exchange transactions, including currency futures and the principal of currency swaps not included in the spot position.
3. Granted collateral (and similar instruments), when its execution is secure and it is highly probable that it will be unrecoverable.
4. At the entity’s discretion, future net income and expenses not yet accrued that have been fully hedged.
5. The net delta equivalent of the entire foreign‑currency options portfolio, when the entity does not use the simplified method for computing the capital requirement for option‑position risk set out in point 6.6.2.

6.4.2.2. When a foreign currency or gold is part of a forward contract – to deliver or receive a certain amount – the exposure to interest‑rate or foreign‑exchange risk on the other side of the contract shall be computed as set out in points 6.2 and 6.4.2.1.

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Version: 3a. COMMUNICATION “A” 6690 – Effective: 01/04/2019

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6.5. Capital requirement for risk of positions in commodities

It covers the risk of holding positions in commodities, including precious metals except gold (treated in point 6.4). For the purposes of these rules, a commodity (or raw material) is defined as any physical product traded or tradable in a secondary market.

6.5.1. In addition to being exposed to spot price changes – directional risk – financial entities using forwards and other derivatives are exposed to the following risks:

• basis risk – the risk that the relative price between similar commodities changes over time;
• interest‑rate risk – the risk that the cost of holding forward positions and options changes;
• future‑gap risk – the risk that the future price changes for reasons other than a change in interest rates.

If, to finance its commodity positions, the financial entity is exposed to interest‑rate and/or foreign‑exchange risk, it shall include the relevant positions in the calculations set out in points 6.2 (capital requirement for interest‑rate risk) and/or 6.4 (capital requirement for foreign‑exchange risk), respectively. Likewise, when a commodity is part of a forward contract – where a certain quantity must be delivered or received – any interest‑rate and/or foreign‑exchange risk exposure arising from the other leg of the contract shall be treated in accordance with points 6.2 and 6.4, respectively.

6.5.2. Measurement of exposure. Long and short positions may be netted for the purpose of calculating open positions, provided they concern the same commodity. Netting between positions in different commodities or between different sub‑categories of the same commodity is not permitted.

To calculate capital requirements, each position in a commodity (spot and forward) shall be expressed in the corresponding standard unit of measure (barrels, kilos, grams, etc.). The net position of each commodity shall be converted to pesos using its spot price and, if expressed in a foreign currency, converting it at the United States dollar reference exchange rate published by the BCRA at the close of the day’s operations. For foreign currencies other than the United States dollar, conversion shall be made using the pass‑through rates communicated by the BCRA’s trading desk.

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Version: 2a. COMMUNICATION “A” 6690 – Effective: 01/04/2019

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Derivative instruments – such as futures, forwards, swaps and the options treated according to point 6.6.3 (after applying the delta‑plus method) – on commodities and the off‑balance‑sheet positions affected by commodity price changes shall be converted into notional positions in those commodities as follows:

• Futures and forwards shall be expressed as notional quantities of barrels, kilos, etc.
• Swaps in which one leg is a fixed price and the other leg is the prevailing market price shall be treated as a long position if the financial entity pays the fixed price and receives the variable, and as a short position in the opposite case.
• Swaps referring to different commodities may not be netted.

6.5.3. Determination of the requirement.

6.5.3.1. For directional risk: the capital requirement shall be 15 % of the net position, whether short or long, in each commodity.

6.5.3.2. For basis, interest‑rate and future‑gap risks: financial entities shall observe an additional capital requirement of 3 % of the gross position (longs plus shorts) in each commodity.

6.6. Capital requirement for risk of option positions

6.6.1. Entities that only purchase options – and provided that the market value of all options in the portfolio does not exceed 5 % of its previous month’s RPC – or whose sold‑option positions are covered by bought‑option positions that have exactly the same contractual conditions, may use the simplified method set out in point 6.6.2. In all other cases, they shall use the delta‑plus method contemplated in point 6.6.3.

6.6.2. Simplified method

Options and their underlyings, spot or forward, shall be subject to a capital requirement that incorporates both general market risk and specific risk under the following terms:

6.6.2.1. Capital requirement for a bought position in the underlying and a bought put option, or for a sold position in the underlying and a bought call option.

The capital requirement shall be the market value of the underlying multiplied by the sum of the applicable specific‑risk and general‑market‑risk requirements for the underlying, minus the intrinsic value of the option – the amount by which it is “in‑the‑money” – with a floor of zero.

For options with a residual maturity of more than six months, the strike price shall be compared with the forward price rather than the current price. If the entity cannot perform this calculation, it shall consider the option’s intrinsic value to be zero.

When it is not clear which side of a transaction constitutes the underlying – as occurs with exchange operations – the asset to be received upon exercise of the option shall be taken as the underlying. In cases where the market value of the underlying is zero – as occurs with certain interest‑rate derivatives (“caps” and “floors”) and options whose underlying asset is a swap (“swaptions”) – the notional value shall be taken.

6.6.2.2. Bought call or put option.

The capital requirement shall be the lesser of (i) the market value of the underlying multiplied by the sum of the applicable specific‑risk and general‑market‑risk requirements for the underlying, and (ii) the market value of the option.

The book value may be used in the case of options on currencies not included in the trading portfolio.

6.6.3. Delta‑plus method

The delta‑plus method uses the sensitivity parameters or “Greek letters” associated with options to determine the delta equivalent of each position.

To the delta equivalent of the position, the standard methodology of points 6.2 to 6.4 shall be applied in order to calculate the capital requirement for general market risk for options, to which additional requirements for covering gamma risk – which measures the rate of change of the delta coefficient with respect to variations in the underlying price – and vega risk – which measures the sensitivity of the option price to changes in the volatility of the underlying price – are added.

The specific‑risk requirement shall be determined separately by multiplying the delta equivalent of each option by the specific‑risk weightings established in points 6.2 and 6.3.

6.6.3.1. The position in an option shall be the market value of the underlying multiplied by the option’s delta coefficient. The gamma and vega coefficients shall also be calculated. For the calculation, models approved by option markets authorized to operate by the CNV or proprietary pricing models shall be used. In the latter case, entities shall make available to the SEFyC both the basic elements of the calculation methodology and any other detail required according to the volume and frequency of transactions.

6.6.3.2. Delta‑weighted positions whose underlying is a debt security or interest rate shall be assigned to the time bands established in point 6.2. Two parts of the transaction shall be reported: one when the underlying contract becomes effective and one when it expires. “Caps” or “floors” shall be recorded as a combination of a variable‑rate bond and a set of European options. The provisions on netted positions of sub‑paragraph i) of point 6.2.3.5 shall apply.

6.6.3.3. In the case of equity options, each national market shall be considered a separate underlying. The delta‑weighted position shall be incorporated into the calculation described in point 6.3.

6.6.3.4. In the case of options on gold and foreign currencies, the net delta equivalent of these options shall be incorporated into the exposure in gold or the corresponding foreign currency as provided in point 6.4.

6.6.3.5. In the case of options on commodities, the delta‑weighted position shall be incorporated by the simplified method as provided in point 6.5.

6.6.3.6. The capital requirements to cover gamma and vega risks shall be calculated separately for each option position – including hedging positions – as follows:

1. Gamma effect for each option:

   gamma effect = ½ * gamma × VU²

   where:

   • VU = variation of the option’s underlying price.
   • gamma = the value of the option’s gamma coefficient, expressed as the change in the option’s delta coefficient for a 1‑peso change in the price of the underlying asset.

2. VU shall be calculated as follows:

   a) Options on interest rates whose underlying is a bond: the market value of the underlying shall be multiplied by the risk weightings established in point 6.2.2.4. When the underlying is an interest rate, a similar procedure shall be used, based on the assumptions regarding changes in yields set out in point 6.2.2.4.

   b) Options on equities, stock indices, gold or foreign currencies: the market value of the underlying shall be multiplied by 8 %.

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Version: 2a. COMMUNICATION “A” 6690 – Effective: 01/04/2019

iii) For the purposes of the calculation, the following positions shall be considered as the same underlying:

• a) Interest rates: each time band for each currency type, as established in point 6.2.2.4.
• b) Stocks and stock indices: each national market.
• c) Foreign currency and gold: each currency pair, with gold treated as a foreign currency.
• d) Commodities: each individual product as provided in point 6.5.

iv) Each option on the same underlying will have a gamma effect that may be positive or negative. The sum of the individual effects will result in a net gamma effect for each underlying, also positive or negative. Only net gamma effects that are negative will be included in the capital calculation.

v) The total capital requirement for gamma risk shall be the sum of the absolute values of the net negative gamma effects calculated as previously described.

vi) For vega risk, the capital requirement shall be obtained by multiplying the sum of the vega coefficients of all options on the same underlying by a proportional volatility change of ± 25 %.

vii) The total capital requirement for vega risk shall be the sum of the absolute values of the individual capital requirements calculated for that risk.

6.7. Computation

6.7.1. Capital Integration

For the purposes of complying with the provisions of point 1.1, integration shall be determined on a daily basis considering:

1. the RPC (Regulatory Capital Position) of the last day of the previous month; and
2. the daily change in value that occurs in the portfolio of assets included in the market‑risk capital requirement calculations as a consequence of changes in their market prices, from the last quotation recorded at the close of the immediately preceding month.

MINIMUM CAPITAL OF FINANCIAL ENTITIES
B.C.R.A.
Section 6. Minimum Capital for Market Risk Version: 2a. COMMUNICATION “A” 6690 Effective date: 01/04/2019

If acquisitions (purchases) of assets occur during the month, only the variation in the value of those assets from the time of acquisition shall be taken. In the case of sales of these assets (position closures), the resulting loss or gain between the sale price and the last price at which the position was valued must be taken into account.

6.7.2. Daily Capital Deficiency

6.7.2.1. Immediate Framing

If a daily integration defect occurs with respect to the market‑risk capital requirement, except for the one corresponding to the last day of the month, arising from the computation of the requirements for interest‑rate risk, exchange‑rate risk and equity risk, the financial entity must replenish capital and/or reduce its financial‑asset positions until the requirement is met, for which it will have a period of ten business days counted from the first deficiency.

6.7.2.2. Persistent Deficiency

• i) If the defect persists for more than 10 business days, the entities must submit a regularisation and remediation plan within the following 5 business days, with the effects indicated in point 1.4.2.1.
• ii) When the deficiencies are determined by the SEFyC and, to the extent that the deficiency remains according to the latest available information, the terms referred to in point 1.4.2.2. paragraph i) for the presentation of the defence and the SEFyC’s response shall be 5 and 10 business days respectively, while for the regularisation of the breach, as provided in point 6.7.2.1., the entity shall observe the 10‑day business‑day period counted from the date the integration defect becomes final. If that period expires without the breach being regularised, the provisions of paragraph i) shall apply.

6.8. Policies and Procedures for Managing the Trading Book

Financial entities shall, at a minimum, consider the following:

6.8.1. State the trading activities that the entity includes in this book.

6.8.2. Indicate the extent to which exposures can be valued daily at market prices, using as reference an active, liquid and two‑sided market – i.e., one that exists for both offer and demand.

MINIMUM CAPITAL OF FINANCIAL ENTITIES
B.C.R.A.
Section 6. Minimum Capital for Market Risk Version: 2a. COMMUNICATION “A” 6690 Effective date: 01/04/2019

6.8.3. For model‑valued exposures, the entity must be able to:

• 6.8.3.1. Identify significant risks;
• 6.8.3.2. Hedge significant risks and ensure that the hedging instruments have an active and liquid two‑sided market;
• 6.8.3.3. Obtain reliable estimates of the main assumptions and parameters used in the model.

6.8.4. Indicate the extent to which exposure valuations can be consistently validated using external information.

6.8.5. Indicate the degree to which legal restrictions or other operational requirements could prevent the entity from liquidating the exposure immediately.

6.8.6. Indicate the degree to which the entity can actively manage the exposure risk within its trading operations.

6.8.7. Indicate whether the entity can transfer risk or exposures between investment and trading books, and the criteria for doing so.

6.9. Additional Requirements for Including Positions in the Trading Book

Financial entities shall have:

6.9.1. A clearly documented trading strategy regarding instruments, positions and books that includes the expected holding horizon and is approved by Senior Management.

6.9.2. Clearly defined policies and procedures for the active management of positions to ensure that:

• 6.9.2.1. They are managed by a trading team;
• 6.9.2.2. They are subject to limits that are monitored for adequacy;
• 6.9.2.3. They are assumed and managed by personnel with autonomy to decide within the agreed limits and the agreed strategy;
• 6.9.2.4. They are valued at market prices at least daily and, if valued by model, the parameters are evaluated with daily frequency;
• 6.9.2.5. They are reported to Senior Management as part of the risk‑management process; and
• 6.9.2.6. They are subject to active monitoring regarding market‑information sources. In addition to assessing the quality and availability of the data used in the valuation process, the entity must consider market liquidity, the ability to obtain coverage for the positions, and the size of the positions it trades relative to total market volume.

6.9.3. Clearly defined policies and procedures to verify that positions are consistent with the entity’s trading strategy, with particular attention to traded volume and historic positions.

6.10. Treatment for Less‑Liquid Positions

Guidelines are established for the prudent valuation of positions accounted for at fair value, whether they are assigned to the trading book or the investment book. These guidelines are especially important for positions lacking market prices or observable data, as well as for less‑liquid positions that require greater care from entities. The following provisions do not modify the valuation criteria and procedures of accounting standards, but the SEFyC will assess compliance for the purpose of capital‑requirement calculation and risk management, and to determine whether adjustments to the valuation of less‑liquid positions are warranted to reflect more realistic market conditions when information is insufficient or price transparency is inadequate.

6.10.1. A prudent valuation framework shall include, at a minimum, the following:

6.10.1.1. Systems and Controls

Systems and controls must assure directors and/or managers of the entity and the SEFyC that the estimated values are prudent and reliable. These systems, which must be integrated with the entity’s other risk‑management systems, shall include:

• i) Documented policies and procedures for the valuation process, including a clear definition of responsibilities of the areas participating in valuation, sources consulted for market information and their validity, guidelines for using data that are not observable (derived from the entity’s assumptions about market participants’ considerations for price determination), frequency of independent valuations, timing of closing prices, procedures for valuation adjustments and verification procedures, both ad‑hoc and month‑end; and
• ii) Clear reporting lines for valuation‑process information, independent of those who decide and generate the transactions (the “front office”), reaching up to the entity’s board.

6.10.1.2. Valuation Methodologies

• i) Market Valuation
  Market valuation consists of valuing positions, at least daily, at prices that would allow the entity to liquidate its holdings in an orderly manner and that come from independent and readily available sources, such as market prices and quotes provided by several independent and reputable brokers. Market valuation shall be used whenever possible. The most prudent price within the bid/ask spread shall be used, unless the entity is a significant market maker for a given position type and can liquidate at an intermediate price. For fair‑value estimation using valuation techniques, entities shall maximise the use of observable data when it is relevant. However, observable data or transactions may be irrelevant if they arise, for example, from forced liquidations, sales in critical situations, or ill‑active markets. In such cases, observable data may be considered but shall not be decisive.
• ii) Model Valuation
  Model valuation may be used only when market valuation is not possible and provided that it can be demonstrated to result in a prudent valuation. Model valuation is derived from references, extrapolations or other calculations based on market data. When valuing by model, even more conservative criteria shall be applied. In order to determine the prudence of model valuations, the SEFyC will consider the following:
  • a) Senior Management must know which elements of the trading or investment books are valued by model and understand the significance of the uncertainty this creates for risk information and business behaviour.
  • b) Market data should, as far as possible, come from the same sources as market prices. It must be periodically verified that market data are suitable for valuing each particular position.
  • c) Whenever available, generally accepted valuation methodologies for each specific product shall be used.
  • d) When the entity develops its own models, they must be based on appropriate assumptions, evaluated and tested by qualified personnel who are not involved in model development. The model must be developed or approved independently of those who decide and generate the transactions (the “front office”). In addition, mathematical formulas, assumptions and software implementation must be independently validated.
  • e) Formal procedures for controlling model modifications shall be implemented and a copy of the model retained for periodic verification of valuations.
  • f) Risk‑management personnel must be aware of model weaknesses and the best way to reflect them in valuation results.
  • g) The model shall undergo periodic examinations to determine the reliability of its results (e.g., testing that assumptions remain valid, analysing profit and loss in relation to risk factors, and comparing model outputs with prices that could actually be obtained for liquidating holdings).
  • h) When necessary, valuation adjustments shall be made in accordance with points 6.10.1.3. and 6.10.2.

6.10.1.3. Independent Price Verification

This is a process in which the accuracy of market prices or model data is periodically verified. While the personnel responsible for trading may perform daily market valuation, the verification of market prices or model data must be carried out by a unit independent of the unit responsible for the operations (“dealing room”). Such verification shall be performed at least monthly, or more frequently depending on market nature or trading activity. It need not have the same frequency as daily market valuation, since independent valuation of positions aims to reveal errors or biases in daily price determination.

MINIMUM CAPITAL OF FINANCIAL ENTITIES
B.C.R.A.
Section 6. Minimum Capital for Market Risk Version: 2a. COMMUNICATION “A” 6690 Effective date: 01/04/2019

Independent price verification requires a higher degree of precision because market prices and model data are used to determine profit and loss, whereas daily market valuation is primarily used to inform bank management between management‑reporting dates. For independent price verification, when sources are more subjective, prudent measures and valuation adjustments should be adopted.

6.10.1.4. Valuation Adjustments

As part of the valuation procedure, whether market or model, entities shall establish procedures to consider the need for valuation adjustments, particularly when third‑party valuations are used. At a minimum, entities shall assess whether adjustments are appropriate for credit spreads not observed, settlement costs, operational risks, early termination, investment and financing costs, future administrative costs, and, where applicable, model‑risk associated costs.

6.10.2. Adjustment of Current Values of Less‑Liquid Positions for Regulatory Capital Purposes

6.10.2.1.

Entities must establish procedures to determine the need to adjust the current values of less‑liquid positions for regulatory‑capital purposes. This adjustment may exceed the adjustment required by accounting standards and must reflect the illiquidity of the position. The need assessment must cover all positions valued at market, whether using observable prices, third‑party valuations, or model valuations.

6.10.2.2.

The current value of these positions shall be adjusted and continuously monitored for adequacy of the adjustment. For the adjustment calculation, entities must compute the prices at which they could liquidate concentrated or expired positions and any other relevant factor for less‑liquid positions – such as the time required to cover the position or the risks within it, the average spread volatility between bid and ask prices, the existence of independent quotations (number and identity of market makers), the average and volatility of traded volumes (especially in stress periods), market concentrations, the age of positions, the extent to which models are needed for valuation, and the impact of model risk.

MINIMUM CAPITAL OF FINANCIAL ENTITIES
B.C.R.A.
Section 6. Minimum Capital for Market Risk Version: 2a. COMMUNICATION “A” 6690 Effective date: 01/04/2019

6.10.2.3.

For complex products, such as securitizations and credit derivatives of subsequent default, entities shall explicitly evaluate the need to adjust valuation to reflect two forms of model risk: the use of an incorrect valuation methodology and the use of non‑observable and potentially incorrect calibration parameters.

6.10.2.4.

Adjustments to the current value of less‑liquid positions under point 6.10.2.2. shall be deducted from Tier 1 ordinary capital, even if they exceed the adjustments under point 6.10.1.3. and those arising from accounting standards.

6.11. Responsibilities

Financial entities that buy and/or sell, regardless of amount, option contracts and that on any day of a month record assets (the sum of bought and sold positions of the included assets) that together exceed 25 % of the RPC recorded on the last day of the second preceding month shall define responsibilities in the handling of the risk‑management policy assumed for positions subject to the minimum capital requirement for market risk. This will entail designating persons responsible for the correct application of the established calculation methodology and the primary responsibility for adopting the necessary safeguards to keep positions covered with the required capital, especially actions aimed at regularising daily integration defects that exceed 3 % of the requirement. They shall also be responsible for providing information to the SEFyC in a timely manner according to the informational regime established for the matter.

Changes to the roster of designated responsible persons, the General Manager and the member of the Board of Directors, Administrative Council or equivalent authority to whom the function reports, must be communicated to the Superintendency within ten calendar days of occurrence.

6.12. Internal Audit

Internal audit shall conduct an exhaustive review of the scheme adopted by the entity for measuring the market‑risk capital requirement, especially with respect to the provisions of point 6.10., recording the work programs and reports prepared on the matter. It shall also periodically monitor the correct application and any changes introduced in the measurement of that requirement.

MINIMUM CAPITAL OF FINANCIAL ENTITIES
B.C.R.A.
Section 6. Minimum Capital for Market Risk Version: 1a. COMMUNICATION “A” 6690 Effective date: 01/04/2019

Ordered Text – Source Norm

Section	Point	Paragraph	Comm.	Cap./Annex	Point	Paragraph	Observations
1.1	“A”	2136	1.	According to Comm. “A” 2859, 3558, 5272, 5369, 5580 and 5867.
1.2	“A”	2241	CREFI‑2	I
1.3.1	According to Comm. “A” 4368, 4771, 5168, 5351, 5355, 5983 and 6260.
1.3	“A”	2136	2.	1st According to Comm. “A” 2223.
1.4.1	“A”	2136	3.1.
“A”	3171	According to Comm. “A” 3959.
i)	“A”	2136	3.2.	2nd According to Comm. “A” 3959.
ii)	“A”	2136	3.2.4.	According to Comm. “A” 2241, 4771 and 6275.
1.4.2.1.	iii)	“A”	414	LISOL‑1	VI	6.1.	1.
1.4.2.2.	“A”	3171	According to Comm. “A” 3959.
2.1	“A”	2136	1.	According to Comm. “A” 2541, 2736, 2938, 3039, 3307, 3959, 4598, 4702, 4741, 4742, 4961, 4996, 5180, 5369 (Annex I), 5580, 5867, 6128, 6260, 6327, 6639, 6663, 6690 and “B” 9745.
2.2.1.	“A”	2136	I	According to Comm. “A” 2541 (annex, criteria, d, 2nd paragraph).
2.2.2.	“A”	2287	5.	According to Comm. “A” 5369 (Annex I).
2.2.3.	“A”	2412	According to Comm. “A” 3959, 5369 (Annex I), 5671 and 5740.
2.3	“A”	2740	I	3.4. According to Comm. “A” 5369 (Annex I).
2.3.1.	“A”	2768	2.	According to Comm. “A” 2948, 3911, 3925, 3959, 4180, 5369 (Annex I), 5831 and “B” 9074.
2.3.2.	“A”	2227	unique	5.2.2.	3rd
2.4	“A”	5369	I
last “A”	5580	Includes interpretative clarification.
2.4.1.	“A”	5369	I
2.4.2.	“A”	5369	I
2.4.3.	1st “A”	5369	I
2nd “A”	5580	According to Comm. “A” 5831.
2.4.4.	“A”	5369	I	According to Comm. “A” 5831, 6489, 6531 and 6586.
2.5.1.	“A”	2136	1.1.	According to Comm. “A” 5369 (Annex I) and 6260.
1st “A”	5369	I
2nd “A”	5580	According to Comm. “A” 5831, 6327 and 6639.
2.5.2.	3rd “A”	5580
2.5.3.	“A”	5369	I	According to Comm. “A” 5821.
2.
2.5.4.	“A”	5369	I	According to Comm. “A” 5580.
B.C.R.A.	ORIGIN OF THE PROVISIONS CONTAINED IN THE RULES ON “MINIMUM CAPITAL OF FINANCIAL ENTITIES”
2.5.5.	“A”	2136	I	According to Comm. “A” 2541, annex, criteria, g), 5369 (Annex I) and 5580.
2.5.6.	“A”	5369	I
2.5.7.	“A”	5580
2.5.8.	“A”	5580
2.5.9.	“A”	5580
2.5.10.	“A”	5580
2.5.11.	“A”	6004	4.	According to Comm. “A” 6344.
2.6.	“A”	5369	I	According to Comm. “A” 6260.
2.6.1.	“A”	5369	I
2.6.1.1.	“A”	5369	I
2.6.1.2.	“A”	5369	I
2.6.1.3.	“A”	5369	I	According to Comm. “A” 6690.
2.6.1.4.	“A”	5369	I
2.6.2.	“A”	5369	I
2.6.2.1.	“A”	5369	I	According to Comm. “A” 5580.
2.6.2.2.	“A”	5369	I	According to Comm. “A” 5580 and 5831.
2.6.2.3.	“A”	5369	I	According to Comm. “A” 6024 and 6221.
2.6.2.4.	“A”	5369	I	According to Comm. “A” 6004.
2.6.2.5.	“A”	5369	I	According to Comm. “A” 6004.
2.6.2.6.	“A”	6004	4.
2.6.2.7.	“A”	5369	I	According to Comm. “A” 6004.
2.6.2.8.	“A”	6270
2.6.3.	“A”	5369	I
2.6.3.1.	“A”	5369	I	According to Comm. “A” 5831.
2.6.3.2.	“A”	5369	I	According to Comm. “A” 6344.
2.6.4.	“A”	5369	I
2.6.4.1.	“A”	5369	I
2.6.4.2.	“A”	5369	I	According to Comm. “A” 6004 and 6006.
2.6.5.	“A”	5369	I	According to Comm. “A” 6004.
2.6.6.	“A”	5369	I	According to Comm. “A” 5580.
2.6.7.	“A”	5369	I
2.6.7.1.	“A”	5369	I	According to Comm. “A” 5580 and 6221.
2.6.7.2.	“A”	5369	I
2.6.8.	“A”	5369	I
2.6.9.	“A”	5369	I	According to Comm. “A” 6004.
2.6.9.1.	“A”	5369	I
2.6.9.2.	“A”	5369	I
2.6.10.	“A”	5369	I
2.6.10.1.	“A”	5369	I
2.6.10.2.	“A”	5369	I
2.6.11.	“A”	5369	I
2.
2.6.11.1.	“A”	5369	I

Minimum Capital of Financial Entities

Ordered Text of Source Norm

Section	Point	Paragraph	Comm.	Cap./Annex	Point	Paragraph	Observations
4.3.3.	“A” 5821	2.	According to Comm. “A” 6147.
4.
4.3.4.	“A” 5821	2.	According to Comm. “A” 6147.
“A” 5369 II	2° “A” 5369	According to Comm. “A” 5580.
5.1.	3° “A” 5831
5.1.1.	“A” 5369 II	According to Comm. “A” 5580 and 5867. Includes interpretative clarification.
5.1.2.	“A” 5369 II	According to Comm. “A” 5580 and 5867. Includes interpretative clarification.
5.2.	“A” 5369 II
5.2.1.	“A” 5369 II
5.2.1.4.	“A” 5369 II	According to Comm. “A” 5831.
5.2.2.	“A” 5369 II
5.2.2.1.	“A” 5369 II	According to Comm. “A” 6004 and 6690.
5.2.2.2.	último “A” 5369 II	According to Comm. “A” 5580.
“A” 5369 II	6° “A” 5369 II	According to Comm. “A” 5580.
7° “A” 5369 II	According to Comm. “A” 5580 and 5831.
5.2.3.	8° “A” 5369 II	According to Comm. “A” 5580 and 5831.
5.2.3.1.	“A” 5369 II	According to Comm. “A” 5580.
5.2.3.2.	“A” 5369 II	According to Comm. “A” 5580 and 5831.
5.2.3.3.	“A” 5369 II	According to Comm. “A” 5580.
5.2.3.4.	“A” 5821	4.
5.3.	“A” 5369 II
5.3.1.	“A” 5369 II
5.3.2.	“A” 5369 II
5.3.3.	“A” 5369 II
último “A” 5831 II
5.3.3.1.	“A” 5369 II	According to Comm. “A” 5831.
5.3.4.	“A” 5369 II	According to Comm. “A” 6344.
5.3.5.	“A” 5369 II	According to Comm. “A” 5580.
5.3.5.1.	“A” 5369 II	According to Comm. “A” 5580.
5.3.5.2.	“A” 5831
5.3.5.3.	“A” 5369 II	According to Comm. “A” 5580 and 5831.
5.3.5.4.	“A” 5369 II	According to Comm. “A” 5580 and 5831.
“A” 5369 II	According to Comm. “A” 5580 and 6433.
2° “A” 5831
5.4.
3° “A” 5831
5.5.	“A” 5831
5.6.	“A” 5831
5.
5.7.	“A” 5831
6.1.	y
6.2.
“A” 5867	1. According to Comm. “A” 6663 and 6690.
6.2.1.2.	“A” 5867	1. According to Comm. “A” 6433.
6.3.	“A” 5867	1. According to Comm. “A” 6690.
6.4.	“A” 5867	1. According to Comm. “A” 6488 and 6690.
6.
6.5.	“A” 6663	5.

Minimum Capital of Financial Entities

Ordered Text of Source Norm

Section	Point	Paragraph	Comm.	Annex	Section	Point	Paragraph	Observations
6.6.	“A” 5867	1. According to Comm. “A” 6663 and 6690.
6.7.	“A” 2461	único III	According to Comm. “A” 3161, 4172, 5272, 5867 and 6690.
6.8.	a
6.10.	“A” 5867	1. According to Comm. “A” 6690
6.11.	“A” 2461	único VI	According to Comm. “A” 4172 and 6690.
6.
6.12.	“A” 5867	1. According to Comm. “A” 6690.
7.1.	“A” 5272	2. According to Comm. “A” 6327.
7.2.	“A” 5737	2. According to Comm. “A” 5746, 6260, 6475
7.	(point 4.) and 6633.
7.3.	“A” 5272	2. According to Comm. “A” 5369, 5580, 5737 and 5867.
8.1.	“A” 414	LISOL‑1 VI 3.1. 1st	According to Comm. “A” 2279, 2453, 2793, 2914, 3039, 4172 and 5369 (Annex I).
8.2.1.	“A” 414	LISOL‑1 VI 3.1.1.	According to Comm. “A” 2223, 2227, 4296, (point 2.), 4576 (point 1.), 4665, 5369 (Annex I), 6327, 6396 and 6428.
8.2.2.	“A” 5369 I
8.2.3.	“A” 414	LISOL‑1 VI 3.1.2.	According to Comm. “A” 2223, 2768, 2948, 4172, 4576 (point 3.), 4665, 4702, 5369 (Annex I) and “B” 9074.
8.3.	“A” 5369 I
8.3.1.	“A” 5369 I
“A” 4576	2. According to Comm. “A” 4591 (points 2. to 5.), 4665, 4782 and 5369 (Annex I).
anteúltimo	“A” 5369 I	According to Comm. “A” 5831.
8.3.2.
último “A” 5831
8.3.2.2.	“A” 4576	2. According to Comm. “A” 4665, 5369 (Annex I) and 5831.
8.3.2.7.	“A” 4576	2. According to Comm. “A” 4591 (point 2.), 4665, 5369 (Annex I) and 5831.
8.3.3.	“A” 414	LISOL‑1 VI 3.1.2.2.	According to Comm. “A” 2264, 4172, 4576 (points 4., 5., 6. and 8.), 4665, 4782 and 5369 (Annex I).
8.3.4.	“A” 5369 I
8.3.4.1.	“A” 5369 I	According to Comm. “A” 5831.
8.3.4.4.	“A” 5369 I	According to Comm. “A” 5831.
8.3.5.	“A” 5369 I
8.4.1.	“A” 5369 I
8.4.1.1.	“A” 4296	2. According to Comm. “A” 4576, 4665, 5369 (Annex I) and 6327.
8.4.1.2.	“A” 2287	3.
3.1.	y
3.3.	último	According to Comm. “A” 2890, 4172, 5093, 5671 and 5740.
1º “A” 2497	1. According to Comm. “A” 3621, 4172, 5183, 5831 and 6628.
8.
8.4.1.3.	último “A” 2263	2. According to Comm. “A” 4172 and 6327.

1.1. Included Concepts

In the global foreign‑currency position, the total of assets, liabilities, commitments and other instruments and operations conducted through financial intermediation in foreign currency or linked to exchange‑rate movements shall be considered, including spot, forward and other derivative contracts, foreign‑currency deposits in accounts opened at the Central Bank of the Argentine Republic (BCRA), gold positions, the BCRA’s monetary‑regulation instruments in foreign currency, subordinated foreign‑currency debt and foreign‑currency debt‑representative instruments.

Operations settled by netting (difference) without delivery of the underlying asset, entered into under a framework agreement in markets authorized by the National Securities Commission (CNV), shall also be counted.

Certificates of participation or debt securities issued by financial trusts and credit rights concerning ordinary trusts shall be included proportionally when their underlying consists of foreign‑currency assets.

The amount of the net position of operations with commodities as defined in points 3.6 and 6.1.3 of the rules on “Spot transactions to settle and forward, repos, securities lending, other derivatives and mutual funds” shall be computed within the global net foreign‑currency position. All opposite‑sign positions must be netted regardless of product, maturity or lack of legal contractual set‑off.

The value of the position in currencies other than the United States dollar shall be expressed in that currency, applying the respective exchange rate published by the BCRA.

1.2. Exclusions

1.2.1. Assets deductible for determining the computable patrimonial responsibility (RPC).
1.2.2. The included concepts recorded by the financial entity in its overseas branches.

Global Net Foreign‑Currency Position – B.C.R.A.

Section 1. Determination

Version: 5a. COMMUNICATION “A” 6690
Effective: 01/04/2019

Section	Point	Paragraph	Comm.	Annex	Section	Point	Paragraph	Observations
1.1.	“A” 3889	1. According to Comm. “A” 4135, 4140, 4150, 4577, 6396 and 6663.
1.2.	“A” 4350	2. According to Comm. “A” 5834, 5847 and 5851.
1.2.1.	“A” 4350	2.
1.2.2.	“A” 5847	1. According to Comm. “A” 5851.
2.1.	“A” 3889	1. According to Comm. “A” 4577, 4598, 5834, 5851, 6128, 6233 and 6507. Includes interpretative clarification.
2.2.	“A” 3889	1. According to Comm. “A” 4350, 4598, 5536, 5611, 5627, 5834, 5851, 5891, 5917, 5935, 5997, 6128, 6233, 6501, 6507 and 6526.
3.1.	“A” 3889	1. According to Comm. “A” 4350, 5356, 5550, 6091 and 6638.
3.2.	“A” 5550	2.
4.	“A” 6526	7.

Origin of the Provisions Contained in the Rules on “Global Net Foreign‑Currency Position”

2.1. By foreign‑credit lines

2.1.1. Secured operations

Foreign‑credit lines received for settling operations processed through the Euroclear and Clearstream securities‑clearing systems.

2.1.2. Authorized entities

Financial entities that comply with the provisions of point 2.1.2 of the rules on “Credit Evaluations”.

2.1.3. Affected assets

Cash and securities, except those counted for the minimum cash requirement.

2.2. By futures, options and other derivative products

2.2.1. Secured operations

Derivative transactions that are:

• 2.2.1.1. Conducted in domestic markets that meet point 2.2.3 of the “Credit Evaluations” rules or in institutionalised markets of OECD member countries that satisfy point 3.2 of the “Credit Evaluations” rules – requiring an international “investment‑grade” risk rating – and are formally authorised for such purposes, according to the margin requirements established therein.

  Additionally, the following must be verified:

  1. Operations the entities conclude with foreign counterparties must be settled through central counterparty (CCP) entities.
  2. Operations carried out in domestic markets that do not provide performance guarantees: the margin agreements between the participating entities must never exceed 20 % of the bilateral net positions per underlying asset for each settlement date.

• 2.2.1.2. Outside institutionalised foreign markets (“over‑the‑counter”), under the following conditions:

  Impact of Assets Used as Collateral

  B.C.R.A. – Section 2. General Authorisations

  Version: 9a. COMMUNICATION “A” 6690
  Effective: 4/5/2019

  i) The contract must assess the establishment of initial margins and provide for daily variation‑margin integration (“mark‑to‑market”). ii) The collateral margins considered for each operation must not exceed 20 % of the transaction value. iii) The counter‑party must:

  a) Be a foreign bank that complies with point 3.1 of the “Credit Evaluations” rules, requiring an international “investment‑grade” risk rating. b) Be subject to internationally accepted anti‑money‑laundering and counter‑terrorist‑financing standards, as defined by the Financial Action Task Force (FATF‑GAFI). c) Be domiciled, or have its parent or controlling entity domiciled, in a country that is a member of the Basel Committee on Banking Supervision.

2.2.2. Authorized entities

Local financial entities subject to the limits set out in point 3.2.

2.2.3. Affected assets

Cash and securities, except those counted for the minimum cash requirement.

2.3. By passive repos

2.3.1. Secured operations

Passive‑repo operations involving the following assets:

• 2.3.1.1. Securities that have normal and regular quotation for significant amounts in domestic markets, excluding certificates of participation and debt securities of financial trusts.
• 2.3.1.2. Credit portfolios.
• 2.3.1.3. Certificates of participation and debt securities of financial trusts.
• 2.3.1.4. Securities that do not have normal and regular quotation for significant amounts in domestic markets and BCRA monetary‑regulation instruments, priced according to the Electronic Operations System (SIOPEL) for such operations.

Impact of Assets Used as Collateral

B.C.R.A. – Section 2. General Authorisations

Version: 9a. COMMUNICATION “A” 6690
Effective: 4/5/2019

Section	Point	Paragraph	Comm.	Annex	Point	Paragraph	Observations
1.1.	“A” 2802	1.1. According to art. 28, inc. b), of Law 21.526.
1.2.	“A” 2774 I	6. Includes interpretative clarification.
1.3.	“A” 2802	1.3. Incorporates criteria not previously disclosed generally. According to Comm. “A” 4817, 4888, 5691, 5740 and 6327. Includes interpretative clarification.
2.1.	“A” 2281	According to Comm. “A” 2753.
2.1.1.	“A” 2281	According to Comm. “A” 2753, 2832 and 5183.
2.1.2.	“A” 2281	According to Comm. “A” 2753, 5671 and 5740.
2.1.3.	“A” 2281	According to Comm. “A” 2753, 3274 and 3558. Includes interpretative clarification.
2.2.	“A” 2774 II
2.2.1.	“A” 2774 II	According to Comm. “A” 4132, 5671, 5740, 6038, 6074 and 6690. Includes interpretative clarification.
2.2.2.	“A” 2774 II	According to Comm. “A” 5671 and 6061.
2.2.3.	“A” 2774 II	According to Comm. “A” 3274 and 3558. Includes interpretative clarification.
2.3.	“A” 2774 I	1., 2., 3. and 5. According to Comm. “A” 3258.
2.3.1.	“A” 2774 I	1. According to Comm. “A” 3258, 4876, 5691 and 6327.
2.3.2.	“A” 2774 I	1. and 2. According to Comm. “A” 5671.
2.3.3.	“A” 2774 I	2. According to Comm. “A” 5671 and 5740.
2.3.4.	“A” 2774 I	2. and 5. According to Comm. “A” 3258, 5691 and 6327.
2.3.5.	“A” 2774 I	3.
2.3.6.	“A” 2774 I	5.
2.4.	“A” 4817	7. According to Comm. “A” 4888.
2.4.1.	“A” 4817	7. According to Comm. “A” 5671.
2.4.2.	“A” 4817	7. According to Comm. “A” 4831, 5671, 5740 and 6232. Includes interpretative clarification.
2.4.3.	“A” 4817	7. According to Comm. “A” 4831 and 4888.
2.4.4.	“A” 4817	7.
2.4.5.	“A” 4817	7.
2.5.	“A” 4972	7. According to Comm. “A” 5520 and 6639.

Origin of the Provisions Contained in the Rules on “Impact of Assets Used as Collateral”

5.1. Persons Covered

When ordered by the Superintendent of Financial and Exchange Entities based on a presumption of violation of rules that could lead to monetary sanctions, in accordance with article 41 of the Financial Entities Law, the authorities listed in points 1.1 and 1.2 must provide a performance guarantee. Persons who have left the financial entity by the time the guarantee becomes enforceable are also covered. The guarantee must be maintained for three years after the actions that triggered the sanctions conclude.

5.2. Constitution of the Guarantee

The guarantee may consist of:

1. Cash collateral deposit in Argentine pesos or US dollars at the BCRA.
2. Deposit of national public‑security titles with Caja de Valores S.A., in the name of the parties and at the BCRA’s order, pledged to that institution. Valuation shall be based on the market quotation (weighted average of immediate‑settlement quotes on the Buenos Aires Stock Exchange on the last business day prior to deposit, or, if none, the Electronic Open Market).
   • If the price decline of the pledged titles causes the guarantee’s value to fall by more than 5 %, the shortfall must be replenished within 48 business days.
3. Surety from a financial entity other than the one in which the officer holds the indicated position, or a surety from a foreign bank with at least an “investment‑grade” international risk rating and complying with point 3.1 of the “Credit Evaluations” rules.
   • Upon cessation of the guarantor’s operations, the guarantee must be replaced immediately.

The guarantee amount for each person shall be set in the resolution ordering its provision, but shall not be less than $50,000 (fifty thousand pesos) and must be presented within ten calendar days from the notification date of that resolution.

Failure to constitute the guarantees as stipulated, in the amounts and terms established, shall result in the persons covered ceasing their respective functions within 72 hours after the deadline expires.

Authorities of Financial Entities

B.C.R.A. – Section 5. Performance Guarantee

Version: 2a. COMMUNICATION “A” 6690
Effective: 4/5/2019

Section	Point	Paragraph	Comm.	Annex	Cap.	Section	Point	Paragraph	Observations
3.1.3.	1° “A” 3700 I	1. According to Comm. “A” 5785 and 6304.
3.1.3.1.	“A” 3700 I	1. According to Comm. “A” 5785 and 5803.
3.1.3.2.	“A” 3700 I	1. According to Comm. “A” 5345, 5785 and 5803.
“A” 2241 I	1. 1.2.2.6.
	1.2.2.7.
3.1.4.	“A” 3700	1. According to Comm. “A” 5248, 5485, 5785, 5803, 6111, 6290 and 6304. Includes interpretative clarification.
3.1.5.	“A” 3700	According to Comm. “A” 5785, 6111 and 6304. Includes interpretative clarification.
3.1.6.	“A” 3700 I	1. According to Comm. “A” 4490, 5345, 5785, 5803 and 6111.
3.1.7.	“A” 4490	According to Comm. “A” 5785.
3.2.	“A” 5785
3.3.	“A” 3135	3° According to Comm. “A” 4499, 5785 and 6304.
3.4.	“A” 5785	único
3.5.	“A” 5485	7. According to Comm. “A” 5785 and 6304.
3.6.	“A” 6304	2.
1° “A” 5106	According to Comm. “A” 6475.
2° “A” 5106	According to Comm. “A” 6475.
4.1.	“A” 5106	1.
4.1.1.	1° “A” 5106	1. According to Comm. “A” 6475.
	2° “A” 5106	1. According to Comm. “A” 6475.
	3° “A” 5106
	4° “A” 6475	único 1.
4.1.2.	5° “A” 6475	único 1.
4.2.	“A” 5106	1. According to Comm. “A” 6475.
4.2.1.	“A” 5106	1. According to Comm. “A” 6475.
4.2.2.	“A” 5106	1. According to Comm. “A” 6475.
4.3.	“A” 5106	1. According to Comm. “A” 6475.
4.4.	“A” 5106	1.
4.5.	“A” 6475	único 1.
“A” 5106	According to Comm. “A” 6475.
4.
4.6.	último “A” 5106	1. According to Comm. “A” 6475.
5.1.	“A” 2282	1.
5.2.	“A” 2282	1.
5.2.1.	“A” 2282	1.
5.2.2.	“A” 2282	1.
5.2.3.	“A” 2282	1. According to Comm. “A” 5671 and 6690.
5.
5.2.	últimos “A” 2282	1.
6.
6.1.	“A” 5485	According to Comm. “A” 5785, 5803, 6111 and 6304. Includes interpretative clarification.