Circular LISOL 1-1132: Minimum Capital of Financial Entities. Market Risk Capital Requirement. Guidelines for Risk Management in Financial Entities. Adjustments.

"YEAR OF ARGENTINE GREATNESS" COMMUNICATION “A” 8394, 29/01/2026 TO FINANCIAL ENTITIES: Ref.: Circular LISOL 1-1132: Minimum Capital of Financial Entities. Market Risk Capital Requirement. Guidelines for Risk Management in Financial Entities. Adjustments.

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We address you to inform you that this Institution has adopted the resolution which, in its relevant part, establishes: “1. Incorporate into Section 1 of the consolidated text on Minimum Capital of Financial Entities the provisions regarding the delimitation between the investment portfolio and the trading portfolio contained in Annex I, which forms part of this communication. 2. Replace point 6.1 of the consolidated text on Minimum Capital of Financial Entities with the provisions contained in Annex II, which forms part of this communication. 3. Replace in the consolidated text on Minimum Capital of Financial Entities point 1.1., the first paragraph of point 6.2., the table in point 6.2.2.6., the first paragraph of point 6.3., item ii) of point 6.6.3.6., and item iii) of point 6.10.1.2, with the following: “1.1. Requirement. The minimum capital requirement that financial entities must hold shall be equivalent to the higher value resulting from comparing: i) the basic requirement, and ii) the sum of those determined by credit risk (including counterparty credit risk), market risk –requirement for daily positions of included assets–, and operational risk. For these purposes, positions in instruments shall be assigned to the investment portfolio (subject to capital requirement for credit risk, counterparty credit risk, and operational risk –Sec. 2., 3., 4., 5., and 7., respectively) and to the trading portfolio (subject to capital requirement for counterparty credit risk, market risk, and operational risk –Sec. 4., 6., and 7., respectively) in accordance with the criteria of these regulations.”

6.2. Capital requirement for interest rate risk. “The capital requirement for interest rate risk shall be calculated with respect to all instruments assigned to the trading portfolio whose value is affected by changes in market interest rates. This includes all debt instruments, at fixed or variable rates, and instruments that behave as such, including non-convertible preferred shares, and derivatives. Additionally, a requirement for risk on options of debt instruments shall be included, calculated according to the specific treatment provided in point 6.6.”

6.2.2.6.

Band Zone	Applicable Disengagement Percentage (Within Zone)	Between Adjacent Zones	Between Zones 1 and 3
Months*	1 (0-1)	40% (1-3)	3-6 / 6-12
Years*	40% (2)	30% (1-2) / 100% (2-3)	3-4 / 4-5
Years*	40% (3)	30% (5-7) / 100% (7-10)	10-15 / 15-20
More than 20

6.3. Capital requirement for equity position risk. “The capital requirement for holding equity positions in the trading portfolio covers purchased and sold positions in ordinary shares, debt securities that behave as equities, and commitments to acquire or sell equities, as well as any other instrument that exhibits market behavior similar to equities (such as futures, forwards, and equity or stock index swaps) –excluding non-convertible preferred shares, to which the interest rate risk requirement described in point 6.2. applies– and options on equities and stock indices (point 6.6.).”

6.6.3.6. “ii) VU shall be calculated as follows: a) Interest rate options with a bond underlying: the market value of the underlying shall be multiplied by the risk weights established in point 6.2.2.4. When the underlying is an interest rate, a similar procedure shall be applied based on the assumptions regarding changes in expected yields set forth in point 6.2.2.4. b) Equity, stock index, gold, or foreign currency options: the market value of the underlying shall be multiplied by 8%. c) Foreign currency and gold options: the market value of the underlying shall be multiplied by 8%. d) Commodity options: the market value of the underlying shall be multiplied by 15%.”

6.10.1.2. Valuation methodologies. iii) Independent price verification. “In addition to daily valuation at market prices or according to a model, entities shall periodically conduct independent price verification. The verification of the accuracy of prices or model data, aimed at revealing errors or biases in daily price determination, shall be carried out by an independent unit separate from the trading desk. This verification shall be conducted at least monthly, or more frequently, depending on the nature of the market or trading activity; however, it does not need to have the same frequency as daily market valuation. For independent price verification, when sources exhibit a high degree of subjectivity, it is appropriate to adopt prudent measures and perform valuation adjustments.”

4. Replace points 1.2.5. and 1.2.6. of the consolidated text on Guidelines for Risk Management in Financial Entities, with the following: 1.2. General considerations. “1.2.5. Trading portfolio: constituted by positions in instruments that comply with the provisions of the Consolidated Text on Minimum Capital of Financial Entities. 1.2.6. Investment portfolio: constituted by positions in instruments that do not fall under point 1.2.5.”

5. Repeal points 6.8. and 6.9. of the consolidated text on Minimum Capital of Financial Entities.

6. Establish that points 1 to 5 of this communication shall take effect as of 01/08/26.”

Likewise, we inform you that we will subsequently deliver the sheets to be incorporated in place of those previously provided, corresponding to the referenced regulations.

We respectfully greet you. CENTRAL BANK OF THE ARGENTINE REPUBLIC Ana M. Dentone Darío C. Stefanelli Deputy General Manager of Technical-Prudential Regulations Principal Manager of Issuance and Regulatory Applications

ANNEX

1.X. Delimitation between the investment portfolio and the trading portfolio. 1.X.1. Criteria for assigning positions to the trading portfolio. 1.X.1.1. The trading portfolio comprises all positions in financial instruments held by a financial entity, whether for trading purposes or as hedging of positions held for trading purposes. These positions must be valued at market, in accordance with the prudent valuation requirements established in these regulations. It is understood that: i) financial instrument means the contract giving rise to both a financial asset for one party and a financial liability or equity instrument for the other party, including derivative financial instruments, among others; ii) financial asset means any asset that is cash, a right to receive cash or another financial instrument or equity instrument; and iii) financial liability means a contractual obligation to deliver cash or a financial asset.

1.X.1.2. Positions included in the trading portfolio must be free of legal or other restrictions for trading or hedging purposes.

1.X.1.3. Any instrument incorporated for at least one of the following purposes: short-term sale, obtaining benefits from short-term price movements, or arbitrage, or instruments hedging the aforementioned positions. To this effect, the following instrument positions shall be presumed to be assigned to the trading portfolio, unless the entity justifies otherwise through reliable documentation consistent with its internal policies for these purposes: i) Instruments classified in accounting at fair value through profit or loss. ii) Instruments resulting from market maker activities. iii) Fund investments, in which the entity meets at least one of the following conditions: a) examine the fund to understand its individual components, as well as obtain sufficient and frequent information, verified by an independent third party, on the fund's composition; b) obtain daily quotes of the fund and access information contained in the management charter or applicable regulations. iv) Shares listed on recognized stock exchanges or securities markets. v) Exposures to securitizations whose underlying assets are identifiable and have a liquid secondary market. vi) Options –explicit or implicit– on instruments issued by the entity assigned to its investment portfolio that are linked to credit risk (including equity exposures). vii) Instruments resulting from share, bond, or other instrument subscription commitments that the subscribing entity is obligated to acquire. viii) Instruments that would give rise to a net short credit risk position in the investment portfolio. ix) Repo operations not included in the investment portfolio.

1.X.2. Criteria for assigning financial instruments to the investment portfolio. 1.X.2.1. Any position in a financial instrument that does not meet any of the criteria for assignment to the trading portfolio –point 1.X.1.– shall be assigned to the investment portfolio. Real estate exposures are also included. 1.X.2.2. The following financial instruments shall be assigned to the investment portfolio: i) Shares not listed on recognized stock exchanges or securities markets. ii) Retail and SME exposures. iii) Exposures held temporarily with the intention to securitize them (securitisation warehousing). iv) Fund investments (including hedge funds) not assigned to the trading portfolio (item iii) of point 1.X.1.3.). v) Derivative financial instruments and fund investments whose underlying consists of any of the instruments provided in items i) to iv). vi) Instruments held for hedging purposes regarding the positions mentioned in items i) to v). vii) Repo operations carried out to manage liquidity or measured at amortized cost.

1.X.3. SEFYC requirement for assigning financial instruments. The SEFYC may require the entity to provide evidence that positions in financial instruments assigned to the trading portfolio are held for at least one of the purposes established in the first paragraph of point 1.X.1.3, or, if applicable, that positions in instruments assigned to the investment portfolio are not held for those purposes. If SEFYC considers that the entity has not provided sufficient evidence, it may order the reassignment of instrument positions to the corresponding portfolio, except for instruments included in sections vii) and viii) of point 1.X.1.3, and in point 1.X.2.2.

1.X.4. Requirements for reassignment of positions between the investment and trading portfolios. Financial entities shall: 1.X.4.1. Reassign positions between portfolios –irrevocably– solely in response to exceptional circumstances. 1.X.4.2. Obtain prior approval from Senior Management and SEFYC, except when it concerns the reassignment of positions from the investment portfolio to the trading portfolio due to the accounting reclassification of financial instruments at fair value through profit or loss, without prejudice to the application of point 1.X.4.3. 1.X.4.3. Compute as a capital requirement any reduction in that requirement resulting from the reassignment of instrument positions between portfolios, which shall be disclosed –in accordance with the requirements established for this purpose– and maintained until the position originating that capital requirement computation is derecognized in the entity's financial statements.

1.X.5. Policies, procedures, and practices for the assignment and reassignment of positions to trading and investment portfolios. Financial entities shall: 1.X.5.1. Establish policies, procedures, and practices for the initial assignment of positions to each portfolio –in accordance with the criteria contemplated in points 1.X.1. and 1.X.2.–, taking into account their risk management capacity and practices. 1.X.5.2. Establish policies and procedures for the reassignment of positions between portfolios, which shall include: i) the requirements for reassignment (point 1.X.4.); ii) the method of identifying extraordinary reassignment events and the circumstances or criteria under which it may be implemented; and iii) the approval process by Senior Management and SEFYC.

1.X.6. Internal control and authorship. Financial entities shall have: 1.X.6.1. Internal control functions for: i) continuous evaluation of the correct initial assignment and reassignment of instrument positions to each portfolio, in the context of their trading activities, which must be duly documented. ii) review of assignment and reassignment policies and procedures for portfolios (point 1.X.5.), at least annually, including the analysis of all previously identified extraordinary reassignment events. 1.X.6.2. Periodic review by internal audit, at least annually.

1.X.7. Internal risk transfer. An internal risk transfer is considered to exist when there is a netting of risks between a position included in the investment portfolio and another included in the trading portfolio, or between different positions within each of the portfolios. Entities may have trading desks to manage their portfolio risks. A trading desk is defined as a group of operators established by an entity to jointly manage a series of positions in the trading portfolio according to a coherent and well-defined commercial strategy, operating within the same risk management structure.

1.X.7.1. Internal risk transfer from the trading portfolio to the investment portfolio. The capital requirement for market risk shall not be reduced as a result of an internal risk transfer from the trading portfolio to the investment portfolio.

1.X.7.2. Internal risk transfer from the investment portfolio to the trading portfolio. i) The internal risk transfer covering credit risk in the investment portfolio (including equity exposures) must meet the following requirements: a) the trading portfolio has external coverage from an acceptable credit protection provider that exactly matches the internal risk transfer; and b) the external coverage meets the requirements of Section 5 regarding the exposure of the investment portfolio, except when it concerns equity exposures. External coverages may consist of multiple transactions with multiple counterparties as long as the aggregated external coverage exactly matches the internal risk transfer, and the internal risk transfer exactly matches the aggregated external coverage. Without prejudice to meeting the aforementioned requirements, both the tranche of the internal risk transfer from the trading portfolio and the external coverage shall be included in the capital requirement for market risk. ii) The internal risk transfer covering interest rate risk in the investment portfolio must meet the following requirements: a) be carried out by an ad hoc trading desk that, for capital requirement computation purposes regarding market risk, must:

• have SEFYC approval;
• be treated completely independently from other trading desks (i.e., the transfer is subject to the capital requirement for market risk applicable to the trading portfolio, separately from any other risk generated by activities in the trading portfolio); and
• apply only quantitative requirements for P&L attribution testing, as well as backtesting (operators or assigned trading accounts are not required). b) have exact coverage, if it is an external market coverage through an intermediary agent. If the aforementioned requirements are met, the tranche of the internal risk transfer in the investment portfolio shall be included in the calculation of interest rate risk exposure in the investment portfolio for capital requirement computation purposes. Positions originating as a result of internal risk transfers registered in the trading portfolio shall observe the same prudential conditions applicable to operations with external counterparties.

1.X.7.3. Internal risk transfer between positions of the trading portfolio. Internal risk transfers between positions of the trading portfolio (including foreign exchange and commodity risk in the investment portfolio) shall be recognized for determining the capital requirement for market risk, in accordance with Section 6. Internal risk transfers managed between a trading desk and the ad hoc internal risk transfer desk of point 1.X.7.2 shall meet the requirements applicable to the latter.

1.X.7.4. Internal risk transfer between counterparty credit risk operations with credit valuation adjustment (CVA portfolio, point 4.2.2.) of the trading and investment portfolios. Internal risk transfers composed of tranches covering both counterparty credit risk of the CVA portfolio and market risk shall be excluded from the capital requirement for market risk solely by the tranche linked to counterparty credit risk. For these purposes, the requirements of item i) of point 1.X.7.2 shall be met. Internal risk transfers must be duly documented, identifying the source of risk and its magnitude.

Section 6. Minimum capital for market risk. Market risk is defined as the possibility of suffering losses in positions recorded inside and outside the balance sheet due to adverse fluctuations in market prices.

6.1. Requirement. The capital requirement for market risk (RM) shall be the arithmetic sum of the capital requirements for interest rate risk (RT), equities (RA), foreign exchange (RTC), and commodities (RPB), each multiplied by the corresponding fixed scalar: RM = RT × 1,3 + RA × 3,5 + RTC × 1,2 + RPB × 1,9 For its determination, entities shall employ the standardized method applicable to each capital requirement set forth in points 6.2., 6.3., 6.4, and 6.5, respectively. The requirement for option positions shall be added to the corresponding type of capital requirement –according to the underlying asset– prior to applying each scalar, in accordance with point 6.6. Integration shall be determined daily according to what is established in these regulations.

6.1.1. General considerations. 6.1.1.1. The risks subject to this capital requirement are those arising from positions in: i) instruments –securities and derivatives– assigned to the trading portfolio –defined in these regulations–; and ii) foreign currencies and commodities, regardless of the portfolio to which they are assigned. 6.1.1.2. The capital requirement for foreign exchange and commodity risk shall apply to the total position in each foreign currency and commodity. 6.1.1.3. Positions in instruments considered in determining the capital requirement must be valued prudently (at market prices –marked to market– or by model –marked to model–), in accordance with what is provided in these regulations. 6.1.1.4. Instruments whose yield is determined based on the Reference Stabilization Coefficient (CER) shall be considered at a fixed rate. 6.1.1.5. Regardless of whether they are recorded in the trading portfolio or the investment portfolio, items that must be deducted for RPC calculation purposes shall be excluded from the computation of the capital requirement for market risk. 6.1.1.6. Operations shall be computed from the date of their execution.

6.1.2. Treatment of counterparty credit risk in the trading portfolio. 6.1.2.1 Entities shall calculate the capital requirement for counterparty credit risk of derivative operations –whether over-the-counter (OTC) or traded in regulated markets– and securities financing transactions (SFT) –such as repo operations (REPO agreements)– registered in the trading portfolio separately and additionally to the calculation of capital requirements for general market risk and specific risk of underlyings. To this effect, they shall apply the methods and weights applicable when these operations are registered in the investment portfolio. 6.1.2.2. All assets included in the trading portfolio that meet the conditions set forth in point 2.3 of the Consolidated Text on Asset Encumbrance shall be admitted as collateral for repo operations registered in said portfolio. However, when it concerns instruments that do not meet the definition of assets admitted as collateral for operations registered in the investment portfolio, specified in point 5.3.2.2., a hair-cut of 30% shall be applied to them. 6.1.2.3. The requirement for counterparty credit risk of derivative operations –whether OTC or traded in regulated markets– shall be computed in accordance with what is provided in point 4.2 for operations registered in the investment portfolio. 6.1.2.4. Regardless of the portfolio in which they are registered, repo