Compilation of Prudential Fund Control Rules – Modification to the investment limit in financial intermediation institutions based on their net equity (Article 79)

FINANCIAL SERVICES SUPERINTENDENCE – RESOLUTION FINANCIAL SERVICES SUPERINTENDENCE VISTO: The investment limit in financial intermediation institutions provided for in Article 79 of the Compilation of Prudential Fund Control Rules.
RESULTING:
I) That said Article 79 of the RNCFP establishes a limit for the investment of resources from the Prudential Savings Fund and the Voluntary Prudential Fund in instruments issued by financial intermediation institutions, based on their net equity.
II) That in the case of operations with financial derivative instruments issued by financial intermediation institutions, the rule does not establish an explicit criterion regarding the method of calculation for them for the purposes of said limit.
III) That the Financial Services Superintendence drafted a modifying project for Article 79 by which it is established that, for the calculation of the limit referred to in said article, financial derivative instruments must be counted by the Credit Risk Equivalent, which shall be calculated –following the current exposure method– as the maximum between the fair value of the financial instrument and zero, plus an additional amount, all according to the criteria determined in the rule. IV) That the aforementioned normative proposal was put out for public consultation by supervised institutions and the general public on July 2, 2026, granting a period to submit comments that expired on July 17. V) That on that occasion, a single comment was received from República AFAP, requesting the possibility of evaluating the mitigating effect of guarantees effectively constituted by the counterparty, stating that the value of said guarantees, subject to discounts or weighting factors corresponding to the nature and risk of the affected assets, could be deductible from the credit equivalent calculated for the operation. CONSIDERING:
I) That, with the objective of avoiding interpretation discrepancies, it is necessary to define the criterion by which financial derivative instruments must be counted for the purposes of the limit established by Article 79 of the Compilation of Prudential Fund Control Rules. II) That it is considered appropriate to establish a criterion consistent with what is exposed in the credit risk evaluation of derivative financial instruments provided for in Article 161 of the Compilation of Rules for the Regulation and Control of the Financial System, inasmuch as the counterparty risk exposure that a financial intermediation institution has for carrying out a derivative operation with an AFAP or with another financial intermediation institution is the same. III) That the proposed method of calculation is the one that most accurately reflects the exposure actually assumed vis-à-vis the counterparty institution. IV) That, in line with the objective stated in CONSIDERING III), it has been understood convenient to incorporate as an exception to the calculation of the limit established in Art. 79 of the RNCFP the investment in the instruments referred to in literal C) of Article 123 of Law No. 16.713 of September 3, 1995 and amendments, provided that said instruments are guaranteed in their entirety and until maturity, by securities issued in the same currency by the Central Bank of Uruguay or by the National Government in the local market. V) That the comments received from the industry provided elements that allowed improving the original proposal, corroborating the value that the consultation process has for the regulator. ATTENTIVE: To what is provided in Article 38 of Law No. 16.696 of March 30, 1995 in the wording given by Article 694 of Law No. 20.446 of December 16, 2025, in Articles 161 and 213 of the Compilation of Rules for the Regulation and Control of the Financial System, and to the reports issued by this Financial Services Superintendence in File No. 2026-50-1-00981. The SUPERINTENDENT OF FINANCIAL SERVICES RESOLVES:

1. SUBSTITUTE, in Chapter V – Investment Limits, of Title II – Prudential Savings Funds, of Book II – Stability and Solvency of the Compilation of Prudential Fund Control Rules, Article 79 by the following:
   ARTICLE 79 (INVESTMENT LIMIT IN FINANCIAL INTERMEDIATION INSTITUTIONS BASED ON THEIR NET EQUITY).
   The total of the investments of the resources of the Prudential Savings Fund and the Voluntary Prudential Fund considered jointly, in instruments issued or guaranteed by the same financial intermediation institution, may not exceed 10% (ten percent) of their Net Equity, according to the definition established in the Compilation of Rules for the Regulation and Control of the Financial System. Said limit may reach 20% (twenty percent) of the Net Equity of the financial intermediation institution, provided that it has a risk rating belonging to Category 2 referred to in Article 54, and to 50% (fifty percent) of the Net Equity, if its rating were in Category 1 referred to in said article. Investments made in financial trusts administered and mortgage credit notes issued by financial intermediation institutions are exempt from the aforementioned limits. Likewise, investment in the instruments referred to in literal C) of Article 123 of Law No. 16.713 of September 3, 1995 and amendments is exempt, provided that said instruments are guaranteed in their entirety and until maturity, by securities issued in the same currency by the Central Bank of Uruguay or by the National Government in the local market. In both cases, the securities constituting the guarantee must be custodied by the Central Bank of Uruguay. It shall be the responsibility of the Administrator to control that the aforementioned conditions are maintained during the validity of the guaranteed instrument and to inform the Financial Services Superintendence immediately of any modification that occurs regarding them. For the purposes of the calculation of this limit, financial derivative instruments issued by financial intermediation institutions must be counted by the credit risk equivalent, which shall be calculated –following the current exposure method– as the maximum between the fair value of the financial instrument and zero, plus an additional amount. The fair value of the derivative instrument shall be valued according to what is established in Article 95. The additional amount shall be determined by applying a conversion factor –which will depend on the underlying and the residual maturity term of the instrument– to the notional amount of the contract. In this framework, the credit equivalent of instrument-i will be given by:

Credit Equivalent_i = Max(Fair Value_i, 0) + Additional Amount_i

Where,
Credit Equivalent_i = credit equivalent of instrument-i.
Fair Value_i = fair value of instrument-i.
Additional Amount_i = additional amount corresponding to instrument-i.
Conversion Factor_i = conversion factor applicable to the notional amount of the active part of instrument-i.
Notional Amount_i = notional amount of the active part of instrument-i.

The applicable conversion factor, in each case, shall be determined according to Table 1.
Table 1:
Residual Maturity (x) in years | Conversion Factor (%) Standard Currencies 1 | Conversion Factor (%) Standard Currencies 2 x ≤ 1.5 | 5 | 7.5 1 < x ≤ 5 | 7.5 | 15 x > 5 | 7.5 | 15

(*) Criterion 1 = contracts between currencies of countries with rating ≥ AA, Uruguayan peso or euro.
() Criterion 2 = contracts in which at least one currency does not correspond to countries with rating ≥ AA, Uruguayan peso or euro.
The following considerations shall be taken into account:
a. Instruments traded on stock exchanges subject to daily settlement: . b. Contracts with capital amortization on different dates: the additional amount will correspond to the sum of each amortization amount weighted by the conversion factor corresponding to the residual term of each of those amortizations.
c. Contracts that establish the obligation to settle on certain dates the adjustment of market value that has accumulated during a certain period: it is considered as a contract that has a maturity equal to the date of the next settlement.
d. Contracts that contain a clause that grants the institution the option to terminate it on a specific date and the right to receive or pay in full the accumulated market value adjustment up to that date: it is considered as a contract that has a maturity equal to the period remaining until the next date on which that right can be exercised.
2. COMMUNICATE the resolution via Circular.
JUAN PEDRO CANTERA
Superintendent of Financial Services
RR-SSF-2026-560 Date: 31/08/2026 17:23:42
File 2026-50-1-00981
Publishable: Yes - Signatory: JUAN PEDRO CANTERA SENCIÓN CIRCULAR NO. 2514