Regulatory Alerts2024-12-30
Added · Updated
Financial Intermediation Institutions – Credit Equivalent of Linear Financial Derivatives and Acquired Call Options - Article 161 of the RNRCSF
The Superintendence of Financial Services replaces Article 161 of the RNRCSF to establish the calculation method for the credit equivalent of linear financial derivatives and acquired call options. The new rule mandates using the greater of the instrument's fair value or zero, plus an additional amount determined by applying conversion factors from a specified table to the notional amount based on residual maturity and underlying asset type. It also permits a specific criterion for bilateral netting agreements where eligible collateral, such as cash or high-rated securities, can mitigate counterparty risk. These provisions become effective on January 1, 2025.
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