FINANCIAL INTERMEDIATION INSTITUTIONS – Modification in the calculation of the credit equivalent of linear derivative financial instruments and acquired call options - Article 161 OF THE RNRCSF

Montevideo, June 23, 2026
Ref: FINANCIAL INTERMEDIATION INSTITUTIONS –
Modification in the calculation of the credit equivalent of linear derivative financial instruments and acquired call options - Article 161 OF THE RNRCSF

The market is hereby informed that the Superintendency of Financial Services adopted resolution SSF N° 2026-366 on June 10, 2026.
2026-50-1-00857
Diagonal Fabini 777 - C.P. 11100 - Tel.: (598 2) 1967 - Montevideo, Uruguay - www.bcu.gub.uy JUAN PEDRO CANTERA Superintendent of Financial Services CIRCULAR N°2506

SUPERINTENDENCY OF FINANCIAL SERVICES – RESOLUTION SUPERINTENDENCY OF FINANCIAL SERVICES WHEREAS: The regulation regarding the calculation of the credit equivalent of linear derivative instruments and acquired options established in Article 161 of the Compilation of Norms for the Regulation and Control of the Financial System. RESULTING:
I) That the calculation mentioned in the WHEREAS affects the capital requirement for counterparty risk, the leverage ratio, and credit risk limits.
II) That the credit equivalent is calculated as the maximum between the fair value of the financial instrument and zero, plus an additional amount that is determined by applying a conversion factor (which depends on the underlying and the residual maturity of the instrument) to the notional amount of the contract. III) That among the underlying assets, two criteria are distinguished according to the currencies of the operation: if both currencies are from countries with a rating greater than or equal to AA, Euro or gold, or if at least one currency does not correspond to countries with a rating greater than or equal to AA, Euro or gold. CONSIDERING:
I) That the criterion described above was incorporated by Circular N° 2.099 of December 30, 2011, having remained unchanged since that date.
II) That, since then, there has been a strengthening of the Uruguayan peso and an improvement in the country's credit rating.
III) That, for the purposes of this norm, it is considered appropriate to equate the Uruguayan Peso to the currencies of countries with a rating greater than or equal to AA or the Euro. ATENTO: To the provisions of literal A) of Article 38 of Law Nro. 16.696 of March 30, 1995, in the wording given by Article 2 of Law Nro. 20.345 of September 19, 2024, and to the reports issued by this Superintendency of Financial Services in file 2026-50-1-00857. IT IS RESOLVED:

1. TO SUBSTITUTE in Chapter II – Minimum Net Equity, of Title II – Equity, of Book II – Stability and Solvency of the Compilation of Norms for the Regulation and Control of the Financial System, Article 161 with the following:
   RR-SSF-2026-366 Date: 10/06/2026 18:13:59
   CIRCULAR N°2506

ARTICLE 161 (CREDIT EQUIVALENT OF LINEAR DERIVATIVE FINANCIAL INSTRUMENTS AND ACQUIRED CALL OPTIONS).

1. General criterion
   The credit equivalent of linear derivative financial instruments and acquired options 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. This additional amount shall be determined by applying a conversion factor – which will depend on the underlying and the residual maturity of the instrument – to the notional amount of the contract. In this framework, the credit equivalent of instrument-i shall be given by:
   C_i = max(VF_i, 0) + A_i
   Where,

• C_i = credit equivalent of instrument-i.
• VF_i = fair value of instrument-i.
• A_i = additional amount corresponding to instrument-i.
• FC_i = conversion factor applicable to the notional amount of instrument-i.
• N_i = notional amount 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 (%) ---|---
  | Interest rates | Currencies criterion 1 () | Currencies criterion 2 () | Shares | Commodities
  x ≤ 1 | 0 | 1 | 1.5 | 6 | 10
  1< x ≤ 5 | 0.5 | 5 | 7.5 | 8 | 12 x > 5 | 1.5 | 7.5 | 15 | 10 | 15 () Criterion 1 = contracts between currencies of countries with rating ≥ AA, Peso Uruguayo, Euro or gold.
  () Criterion 2 = contracts in which at least one currency does not correspond to countries with rating ≥ AA, Peso Uruguayo, Euro or gold.
  Deberán tenerse en cuenta las siguientes consideraciones:
  a. Instruments traded on stock exchanges subject to daily settlement: . b. Contracts for the exchange of fluctuating interest rates in the same currency and those that require daily settlement of market value adjustments: .
  c. Contracts with capital amortization on different dates: the additional amount shall correspond to the sum of each amortization amount weighted by the conversion factor corresponding to the residual term of each of those amortizations.
  d. Contracts that establish the obligation to settle on certain dates the market value adjustment that has accumulated during a determined period: it is considered as a contract that has a maturity equal to the date of the next settlement. e. Contracts that contain a clause granting the institution the option to terminate it on a specific date and the right to receive or pay in full the market value adjustment accumulated 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. f. When the institution holds units in investment funds that integrate the trading portfolio according to the provisions of Article 162, the linear derivative financial instruments and acquired options in which the fund invests shall be treated as if they were direct exposures, taking into account the unit share that the institution holds in the total investment fund. Such instruments shall be considered together with the other exposures maintained by the institution and, for the purposes of calculating the credit equivalent, the provisions of this article shall apply.

2. Specific criterion: bilateral netting master agreements
   When a set of contracts, with the same counterparty, have been entered into under a bilateral netting master agreement – of those recognized by the Superintendency of Financial Services in the instructions issued – the mitigating effect on counterparty risk may be taken into account in the calculation of the credit equivalent. In this framework, the credit equivalent of instruments-i with the same counterparty-j, under master agreement-j, shall be calculated as:
   C_j = max(∑VF_i - CN_j, 0) + A_j * NG_j
   Where,

• C_j = credit equivalent of agreement-j.
• VF_i = fair value of instrument-i.
• CN_j = net collateral (collateral received from the counterparty net of collateral constituted by the institution in favor of the counterparty within the framework of agreement-j).
• A_j = additional amount corresponding to agreement-j.
• A_i = additional amount corresponding to instrument-i.
• FC_i = conversion factor applicable to the notional amount of instrument-i.
• N_i = notional amount of instrument-i.
• NG_j = “net to gross ratio” corresponding to agreement-j.
  The following instruments are admissible as collateral:
  (a) Cash and certificates of deposit issued by local banks or foreign banks rated in a category equal to or higher than AA- in national currency, foreign currency of countries rated in a category equal to or higher than AA- or in Euros. (b) Securities:
  (b.1) national public in national currency;
  (b.2) non-national public rated in a category equal to or higher than AA- or equivalent issued by central governments and central banks.
  Institutions must keep available to the Superintendency of Financial Services the documentation supporting the determination of the credit equivalent (in particular, the master agreements that allow the calculation of the equivalent according to the specific case).

2. TO COMMUNICATE the provisions of numeral 1. by Circular.
   JUAN PEDRO CANTERA
   Superintendent of Financial Services
   RR-SSF-2026-366 Date: 10/06/2026 18:13:59
   Exp. 2026-50-1-00857
   Publishable: Yes - Signatory: JUAN PEDRO CANTERA SENCIÓN CIRCULAR N°2506