Liquidity Coverage Ratio. Consolidated Supervision. Update. Ordered Text — BCRA — AR

“2015 - YEAR OF THE BICENTENNIAL OF THE CONGRESS OF THE FREE PEOPLES” COMMUNICATION “A” 5724 12/03/2015 TO FINANCIAL ENTITIES:
Ref.: Circular
LISOL 1 - 625
CONAU 1 - 1101
Liquidity Coverage Ratio. Ordered Text. "Consolidated Supervision". Update.

We address you to deliver the ordered text of the norms on “Liquidity Coverage Ratio” which contemplates the provisions of the resolution made known through Communication “A” 5693.
Likewise, the sheets that, in replacement of those previously provided, correspond to be incorporated into the norms on “Consolidated Supervision” are attached.
Finally, it is recalled that on the website of this Institution www.bcra.gob.ar, accessing “regulations” (“ordered texts”), the modifications made with texts highlighted in special characters (strikethrough and bold) will be found. We greet you attentively. CENTRAL BANK OF THE ARGENTINE REPUBLIC Matías A. Gutiérrez Girault Darío C. Stefanelli Manager of Emission of Norms Principal Manager of Emission and Regulatory Applications

ANNEX

-Index
Section 1. General Considerations.
1.1. Scope.
1.2. Objective.
1.3. Minimum value of the liquidity coverage ratio.
1.4. Stress scenario.
1.5. Determination of the liquidity coverage ratio.
1.6. Frequency of calculation and information.
1.7. Currencies.
Section 2. High-Quality Liquid Assets (HQLA) Stock.
2.1. Operational requirements.
2.2. Included assets.
Section 3. Total Net Cash Outflows.
3.1. Definition.
3.2. Calculation.
3.3. Applicable criteria.
Section 4. Total Cash Outflows.
4.1. Retail deposit withdrawals.
4.2. Loss of unsecured wholesale funding.
4.3. Secured funding outflow.
4.4. Judicial deposits.
4.5. Additional requirements.
Section 5. Total Cash Inflows.
5.1. Maximum limit on total inflows.
5.2. Computable inflows.
Section 6. Factors.
6.1. Cash outflows.
6.2. Cash inflows.
Section 7. Policies and responsibilities.
7.1. Liquidity policies.
7.2. Responsible parties.
B.C.R.A.
ORDERED TEXT OF THE NORMS ON
“LIQUIDITY COVERAGE RATIO”
Version: 1st COMMUNICATION “A” 5724
Validity:
30/01/2015

Section 8. Compliance base.
8.1. Individual base.
8.2. Consolidated base.
Section 9. Transitional provisions.
Correlation table.
B.C.R.A.
ORDERED TEXT OF THE NORMS ON
“LIQUIDITY COVERAGE RATIO”
Version: 1st COMMUNICATION “A” 5724
Validity:
30/01/2015

1.1. Scope.
Financial entities that as of September 30 of the year prior to that in which the liquidity coverage ratio is calculated, belong to Group “A” as provided in point 7.1. of Section 7. “Separation of executive and management functions”, Chapter I of Circular CREFI2 (text according to point 1. of Communication “A” 5106) must comply with these provisions. For the purposes of these provisions, entities belonging to Group “A” will be considered as “internationally active banks”.

1.2. Objective.
Financial entities must have an adequate stock of high-quality liquid assets (HQLA) that are “unencumbered” -according to the definition provided in point 2.1.2.-, composed of cash or assets that can be converted into cash -monetized- immediately with little or no loss of their market value, in order to cover their liquidity needs during a 30-day period in the stress scenario described in point 1.4. The aforementioned fund must allow entities, at a minimum, to address liquidity problems up to the thirtieth day of that period. Financial entities must foresee possible mismatches in cash flows that may arise within the aforementioned period and guarantee the availability of sufficient high-quality liquid assets to cover them, taking into account that the timing of fund inflows and outflows may be uncertain. Likewise, they must actively monitor and control exposure to liquidity risk and financing needs of each of their branches abroad and subsidiaries, as well as the economic group as a whole, taking into account legal, regulatory and operational limitations in the ability to transfer liquidity. Notwithstanding the foregoing, financial entities must conduct their own stress tests to determine the level of liquidity they must maintain -above the minimum regulatory requirement provided in these provisions- using other scenarios -capable of generating difficulties in their activities- that consider a period longer than 30 days.

1.3. Minimum value of the liquidity coverage ratio.
1.3.1. In the absence of a financial stress scenario.
The liquidity coverage ratio (LCR) must -at all times- be greater than or equal to 1; that is, the high-quality liquid assets stock must not be less than total net cash outflows.
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Section 1. General Considerations.
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1.3.2. During periods of financial stress.
Financial entities may use this high-quality liquid assets stock during such periods, for which reason the LCR may fall below 1, without prejudice to observing what is established in point 1.6.2. The Superintendence of Financial and Exchange Entities will evaluate the situation and adjust its action to the circumstances of the case.

1.4. Stress scenario.
For the purposes of these provisions, a stress scenario contemplates idiosyncratic and systemic risk factors that may cause:

partial loss of retail deposits;
partial loss of unsecured wholesale funding capacity, as defined in point 4.2.;
partial loss of secured funding, as defined in point 4.3.;
additional fund outflows due to contractually provided situations -including the constitution and replenishment of collateral margins- as a consequence of a significant deterioration in the credit quality of the financial entity;
increases in market volatilities, which affect the quality of collateral or the potential future exposure of derivative positions and, therefore, require greater collateral or the provision of additional collateral, or entail other liquidity needs;
the unexpected use of committed and available but unused credit and liquidity facilities granted by the financial entity to its clients; and
the need for the financial entity to repurchase debt or comply with extracontractual obligations to mitigate its reputational risk.
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Section 1. General Considerations.

1.5. Determination of the liquidity coverage ratio.
It must be observed that:
LCR ≥ 1
Where:
LCR = HQLA / TNCO and
HQLA: value of the high-quality liquid assets stock in a stress scenario, calculated in accordance with what is provided in Section 2.
TNCO: total net cash outflows expected during a 30-day period in a stress scenario, calculated in accordance with what is provided in Section 3.
The 30-day period referred to in these provisions shall be counted in calendar days.

1.6. Frequency of calculation and information.
1.6.1. Financial entities must ensure that -except for the situation provided in point 1.6.2.- the LCR value is never less than 1. To that effect,
they must calculate it permanently and report it monthly -along with their liquidity profile- to the Superintendence of Financial and Exchange Entities through the information regime established for that purpose. In stress situations, that Superintendence may request such information with greater frequency.
1.6.2. Financial entities will use the LCR permanently to contribute to the
monitoring and control of liquidity risk, reporting immediately to the Superintendence of Financial and Exchange Entities if their LCR has fallen -or is expected to fall- below 1. In these cases, financial entities must present, at a minimum:

an evaluation of their liquidity position, including the factors that contributed to the
cited decrease;
the measures that have been adopted and those that will be adopted; and
expectations regarding the possible duration of the situation.
That Superintendence will evaluate each situation and may require those financial entities to adopt -among other measures- courses of action to reduce their exposure to liquidity risk, strengthen their general liquidity risk management framework and/or improve their contingency funding plan. The mere fact that the LCR is located below 1 does not necessarily give rise to the application of what is provided in article 41 of the Financial Entities Law. LIQUIDITY COVERAGE RATIO B.C.R.A.
Section 1. General Considerations.
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1.6.3. Notwithstanding that entities must report on the situation provided above, the cited Superintendence may require the adoption of such courses of
action in cases where it verifies -from the information provided by the measures used as monitoring tools- a negative trend that may indicate liquidity difficulties in the financial entity or the deterioration of its liquidity position or when the value of those measures identifies a real or potential liquidity problem in the financial entity. The cited tools are:

contractual term mismatches;
funding concentration;
available unencumbered assets;
LCR by significant currency; and
monitoring tools related to markets.

1.7. Currencies.
The LCR must be observed and reported in national currency, including all foreign currency concepts expressed in that currency -pesos-.
Notwithstanding the foregoing, financial entities must cover liquidity needs in each significant currency in which they operate -when liabilities and other obligations in that currency represent at least 5% of the total liabilities and other obligations of the entity-, regardless of compliance with what is provided in point 2.1.12. Additionally, the composition of the HQLA by currency must be similar to the entity's operational liquidity needs. Version: 1st COMMUNICATION “A” 5724 Validity:
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Section 1. General Considerations.

Financial entities must have a fund composed of high-quality liquid assets that meet the requirements provided in point 2.1.
An asset is considered high-quality liquid if it can be transformed into cash immediately with little or no loss of value in markets during a 30-day period in the stress scenario described in point 1.4.

2.1. Operational requirements.
All assets forming the HQLA must meet the following operational requirements. Their purpose is to ensure that the HQLA is managed in such a way that financial entities at all times during the 30-day period can use such assets immediately as a source of contingent funds -available to generate cash through spot sales or reverse repos (“REPOs”)-, without any restriction on the use of the liquidity that would be generated, in order to cover mismatches between cash inflows and outflows. To that end, financial entities must:

2.1.1. Periodically monetize a proportion of the assets composing the HQLA through repo or spot sales in order to verify their access to
the market, the availability of those assets and the effectiveness of their processes to monetize them, as well as to minimize the risk that negative signals are generated during a real stress period.

2.1.2. Ensure that the assets in the fund are free from any legal, regulatory, contractual or other nature restriction that limits the financial entity's
capacity to liquidate, sell, transfer or encumber them (“unencumbered assets” -free of restrictions). The assets included in the HQLA must not be encumbered (explicitly or implicitly) to any credit operation nor have been assigned to cover specific operational costs -such as salaries and rents-. Assets received pursuant to reverse repos and in other securities financing transactions (“SFTs”) that are maintained in the financial entity, that have not been assigned to another operation and that are legally and contractually available for use by the financial entity, can be considered as part of the HQLA.

2.1.3. Exclude from the HQLA those assets that, even meeting the condition of being “unencumbered”, cannot be monetized in the normal liquidation period for the type of asset in question because the financial entity lacks
the operational capacity to do so. The entity will have operational capacity if it has adequate procedures and systems, including access to necessary information, to monetize assets at all times.

2.1.4. Ensure that the control of the HQLA is in charge of a specific unit -or natural person- responsible for managing liquidity, which must have at all times the legal and operational authority and capabilities to monetize the fund's assets.
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Section 2. High-Quality Liquid Assets (HQLA) Stock.

The control can be verified either by maintaining the assets in a separately managed fund with the sole purpose of being used as a source of contingent liquidity or by demonstrating that the unit -or natural person- responsible for managing liquidity can monetize the assets at all times during the 30-day period and that the resulting funds will be at their disposal during the cited period, without thereby entering direct conflict with any business or risk management strategy of the financial entity.

2.1.5. Take into account, in the market value applied to an asset that integrates the HQLA and with respect to which the financial entity had taken a hedge against market risk, the cash outflow that would occur if the hedge had to be cancelled
early by selling the asset.

2.1.6. Have a policy that identifies the legal entities, geographic locations, currencies and custody accounts or financial entities in which high-quality liquid assets are maintained.

2.1.7. Ensure that when calculating the HQLA on a consolidated basis only the admissible high-quality liquid assets maintained to comply with the LCR of each branch abroad or subsidiary -as applicable- are included
to the extent that the related risks -measured by net cash outflows in the LCR of the branch abroad or subsidiary respectively, as the case may be- are also reflected in the consolidated LCR. The excess of high-quality liquid assets maintained at the individual level can only be included in the consolidated HQLA when the corresponding assets are freely disposed of by the controlling financial entity, even in stress situations.

2.1.8. Exclude from the HQLA assets maintained in branches abroad and subsidiaries without market access when they cannot be freely transferred to other entities of the economic group capable of monetizing them.

2.1.9. Exclude from the HQLA assets with respect to which there are no broad, deep and active spot or repo markets and/or there are impediments to
spot sales, such as a significant drop in their price in a stress scenario.

2.1.10. Exclude from the HQLA those assets, or the liquidity they generate, when they had been received with the right to re-encumber them and the transferor has the right to claim them during the
30-day period.

2.1.11. Include in the HQLA assets received as collateral in derivative operations that have not been segregated -i.e., maintained separately from the entity's own securities- and that can be re-encumbered, provided that the financial entity
recognizes the corresponding fund outflow for the associated risks, in accordance with what is provided in point 4.5.1.
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Section 2. High-Quality Liquid Assets (HQLA) Stock.
Version: 1st COMMUNICATION “A” 5724
Validity:
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2.1.12. Observe and report to the Superintendence of Financial and Exchange Entities the
LCR calculated from computations expressed in a single currency -pesos-.
Notwithstanding the foregoing, financial entities must be able to satisfy their liquidity needs in each significant currency in which they operate -in accordance with what is established in point 1.7.- and maintain high-quality liquid assets in accordance with the currency distribution of their liquidity needs. In particular, they must be able to use the HQLA to generate liquidity in the currency and country in which net cash outflows occur. To that effect, they must monitor the LCR corresponding to each of the main currencies in which they operate and report it to the Superintendence of Financial and Exchange Entities.

2.1.13. Actively manage their positions and intraday liquidity risk, both in normal and stress situations, taking into account that the stress scenario defined
in point 1.4. does not contemplate expected or unexpected intraday liquidity needs.
In cases where an asset of the HQLA ceases to be admissible, the financial entity may maintain it in its HQLA for an additional period of 30 days.

2.2. Included assets.
The HQLA can only be composed of the following assets -considered as Level 1 (An1)- held in portfolio on the day of the LCR calculation, regardless of their residual maturity.

2.2.1. Cash in vault, in transit, in cash-in-transit companies and in ATMs.

2.2.2. Deposits at the Central Bank of the Argentine Republic -including those required by the norms on “Minimum Cash”-, excluding amounts in special guarantee accounts.

2.2.3. National public bonds in pesos whose trading is authorized in the secondary repo market of the Electronic Open Market (MAE) -such as in the REPO Wheel
or in other secondary repo markets that are broad, deep, active and not concentrated, and monetary regulation instruments of the Central Bank of the Argentine Republic in pesos.

2.2.4. National public bonds in foreign currency whose trading is authorized in the
secondary repo market of the Electronic Open Market (MAE) -such as in the REPD and READ Wheels- or in other secondary repo markets that are broad, deep, active and not concentrated, and monetary regulation instruments of the Central Bank of the Argentine Republic in foreign currency; in both cases, up to the amount of net cash outflows in Argentina in that foreign currency. LIQUIDITY COVERAGE RATIO B.C.R.A.
Section 2. High-Quality Liquid Assets (HQLA) Stock.
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2.2.5. Securities issued or guaranteed by the Bank for International Settlements, the International Monetary Fund, the European Central Bank, the European Union or Multilateral Development Banks (MDBs), which meet all of the following conditions:
i) receive a risk weighting of 0% with the Basel II Standardized Approach for calculating the capital requirement for credit risk; ii) are traded in repo or spot markets that are broad, deep, active and not concentrated; iii) have a proven history as a reliable source of liquidity in markets (repo or spot), even during stress situations in the markets; and iv) do not represent a liability of a financial entity -nor of any branch or subsidiary of a financial entity-.

2.2.6. Debt securities issued by other sovereigns (or their central banks) in their respective currencies when the entity through its subsidiaries or branches assumes liquidity risk in those jurisdictions and in those currencies and the securities meet the conditions provided in items ii) to iv) of point 2.2.5. They will be counted up to the amount of net cash outflows in those currencies and jurisdictions.

2.2.7. Debt securities issued by other sovereigns (or their central banks) in a foreign currency -i.e., different from the respective currency of those sovereigns-, when the entity through its subsidiaries or branches assumes liquidity risk in those jurisdictions and foreign currencies and the securities meet the conditions provided in
items ii) to iv) of point 2.2.5. They will be counted up to the amount of net cash outflows in the respective foreign currency and jurisdiction.

The assets provided for in points 2.2.3. to 2.2.7. will be counted at their market value -in accordance with what is provided in the norms on “Valuation of debt instruments of the non-financial public sector and monetary regulation instruments of the Central Bank of the Argentine Republic”- and the amount corresponding to the following haircuts must be subtracted from that value:

Version: 1st COMMUNICATION “A” 5724
Validity:
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Section 2. High-Quality Liquid Assets (HQLA) Stock.

Assets | Haircut
National public bonds in pesos and foreign currency (points 2.2.3. and 2.2.4.) | 20% Monetary regulation instruments of the Central Bank of the Argentine Republic, in pesos and foreign currency (points 2.2.3. and 2.2.4.) | 20% Securities issued by the Bank for International Settlements, IMF, ECB, EU or MDBs (point 2.2.5.) | 0% Debt securities issued by other sovereigns or their central banks (points 2.2.6. and 2.2.7.) | 20%

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Section 2. High-Quality Liquid Assets (HQLA) Stock.
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3.1. Definition.
"Total Net Cash Outflows" (TNO) are considered to be the difference between the total cash outflows -from each of the categories established in Section 4.- and the total cash inflows -from the categories contemplated in Section 5.- subject to the limit of 75% of total cash outflows, projected over a 30-day period under the stress scenario referred to in point 1.4.

3.2. Calculation.
Total net cash outflows shall be determined by applying the following expression:
TNO = TCO - Min {TCI; 75% x TCO}
Where:
TCO: total projected cash outflows over the next 30 days. They are calculated by multiplying the balances of the various categories or types of liabilities maturing contractually within that period and the amounts of off-balance sheet commitments calculable, by the rates at which they are expected to be withdrawn or used in the stress scenario -"factors" provided for in Section 6.- TCI: total projected cash inflows over the next 30 days. They are calculated by multiplying the contractually due balances within that period of the various categories of receivable accounts calculable by the rates at which they are expected to be received or collected in the stress scenario -"factors" provided for in Section 6.-, subject to a maximum limit of 75% of the projected total cash outflows.

3.3. Applicable Criteria.
3.3.1. Financial entities shall not double-count the same position; that is, if an asset is included as part of the HQLA, the cash inflows associated with this concept cannot also be counted as cash inflows.
3.3.2. When there is a possibility that a concept can be counted in several categories of fund outflows, the financial entity shall only consider up to the maximum contractual fund outflow of the product in question.
3.3.3. Cash inflows and outflows shall include the interest expected to be received and paid during the 30-day period.

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Section 3. Total Net Cash Outflows.
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Projected cash outflows within the 30-day period under the stress scenario referred to in point 1.4. shall be calculated in accordance with the criteria established in this Section.

4.1. Withdrawal of retail deposits.
Cash outflows related to demand and time deposits made by individuals shall be included in this category, except those that have the character of micro, small or medium-sized enterprises (MSMEs) -in accordance with the regulations on "Determination of the status of micro, small and medium-sized enterprises"-, which shall be included in the category provided for in point 4.2.1. It shall be considered that cash outflows related to time retail deposits with a residual contractual maturity greater than that horizon mature within the 30-day horizon if they allow for early withdrawal by the holder within the 30 days -considered for the LCR calculation- or if, upon early cancellation, they are not subject to a penalty substantially greater than the interest foregone. If the financial entity allows time deposits with a residual maturity greater than 30 days to be prepaid without applying the corresponding penalty or despite the existence of a clause under which the depositor lacks the power to withdraw, the entire amount of this category of deposits will receive the treatment of demand deposits -regardless of their residual term.- In cases where only a portion of a time deposit can be withdrawn without incurring a penalty, this portion shall be treated as a demand deposit and the rest of the deposit as a time deposit. Deposits contractually pledged as collateral for financing granted by the financial entity may be excluded if all of the following conditions are met:

the financing will not mature or be cancelled in the next 30 days;
the guarantee contract does not allow for the early withdrawal of the deposit upon payment or total cancellation of the financing;
the amount of the deposit to be excluded will not exceed the balance of the financing or the utilized balance, if it is a credit facility.
When deposits are pledged as collateral for an unused credit facility, the higher of the factors corresponding to the unused facility and the pledged deposit shall be applied.

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Section 4. Total Cash Outflows.
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4.1.1. Stable deposits.
This includes demand and time deposits in pesos -in the latter case, when the holder maintains other relationships with the financial entity that suggest that the withdrawal of such deposits within the 30-day period is unlikely- that are covered by the deposit guarantee insurance system, to the extent that their total balance for the same holder does not exceed one third of the amount provided for in point 4.2.1. -the entity, when dealing with accounts or deposits constituted in the name of two or more holders, must distribute the balance proportionally among them-. This balance shall be calculated by accumulating accounts and deposits in the financial entity, unless it is a controlling financial entity subject to consolidated supervision, in which case the accumulation shall be on a consolidated basis. The aforementioned deposits shall be included in this category up to the limit established in the regulations on "Application of the deposit guarantee insurance system" -adjusted to the conditions provided therein-, and the financial entity shall apply the treatment of "Other retail deposits" contemplated in point 4.1.2. to the amount exceeding that limit. The factor provided for in point 6.1.1.1. shall apply.

4.1.2. Other retail deposits.
This category covers retail deposits not included in point 4.1.1. or that the financial entity cannot identify as stable in accordance with what is provided for in that point.
The following shall apply:
i) Demand deposits in pesos: factor provided for in item i) of point 6.1.1.2. ii) Time deposits in pesos (including those with a residual maturity greater than 30 days in which the entity admits prepayment within 30 days without penalty): factor provided for in item ii) of point 6.1.1.2. iii) Demand and time deposits in foreign currency: factor provided for in item iii) of point 6.1.1.2.

4.2. Loss of unsecured wholesale funding.
"Unsecured wholesale funding" shall be considered to be liabilities and other obligations with counterparties that have the character of legal entities, or that being natural persons are considered MSMEs, or constitute Special Purpose Entities ("SPEs") -a term that, for the purposes of these provisions, refers to investment vehicles such as trusts and common investment funds-, and that are not secured with rights over specifically designated assets of the financial entity that could be exercised in the event of its bankruptcy, liquidation or restructuring due to liquidity and/or solvency problems -article 35 bis of the Financial Entities Law.-

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Section 4. Total Cash Outflows.
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Wholesale funding computable for the purposes of determining the LCR is defined as all funding that is due within the 30-day horizon or whose next contractual maturity date falls within said horizon -such as time deposits and debt securities-, as well as funding with an indefinite maturity term. All sources of funding that grant the fund provider the option to anticipate the withdrawal of their investment so that the reimbursement of funds must be effected within the 30-day horizon or the financial entity the option to redeem it early within that period, when it is feasible for the financial entity to decide to exercise the option for reputational reasons, shall be included. Excluded:
i) wholesale funding that can be cancelled in advance by the fund provider, but subject to a notice period provided for in the contract that exceeds the 30-day horizon; ii) obligations related to derivative contracts; and iii) deposits contractually pledged as collateral for financing granted by the financial entity if all of the following conditions are met:

the financing will not mature or be cancelled in the next 30 days;
the guarantee contract does not allow for the early withdrawal of the deposit upon payment or total cancellation of the financing;
the amount to be excluded will not exceed the balance of the financing or the utilized balance, if it is a credit facility.
When the deposit is pledged as collateral for an unused credit facility, the higher of the factors corresponding to the unused facility and the pledged deposit shall be applied.
Unsecured wholesale funding comprises the categories indicated below.

4.2.1. Unsecured wholesale funding provided by MSMEs.
This funding shall receive the treatment provided for in point 4.1. applicable to retail deposits, for which it must be distinguished between "Stable funding provided by MSMEs" and "Other funding provided by MSMEs". It includes deposits and other sources of funds obtained from MSMEs that financial entities manage with the criteria applied to the retail sector and whose liquidity risk is considered to generally present characteristics similar to retail funding sources, provided that the total aggregated funding obtained from the MSME is less than six million pesos ($ 6,000,000) -jointly for the economic group when applicable, taking into account the criterion established in point 1.2. of the regulations on "Determination of the status of micro, small or medium-sized enterprise".-

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Section 4. Total Cash Outflows.
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"Aggregated funding" is understood as the sum of the gross amount -without offsetting any form of financing granted to the MSME- of all forms of funding. Furthermore, the application of the limit jointly means that when there are one or more MSMEs belonging to the same economic group, they must be considered as a single creditor, so that the limit applies to the total funding received from that group of clients. The factors established in point 6.1.2.1. shall apply.

4.2.2. Operational deposits generated by clearing, custody and treasury management activities.
The treatment provided for in this point shall apply to customer deposits that show substantial dependence on the financial entity as a result of their operational needs and that are necessary to carry out clearing, custody or treasury management activities. When the Superintendence of Financial and Currency Entities considers that there is a risk of liquidity concentration, it may require the application of the factor corresponding depending on the counterparty in question. Only the portion of the deposit that satisfies the customer's operational needs may be admitted as operational, and the excess must be assigned to the corresponding category for non-operational deposits. When the financial entity cannot determine the amount of the excess, the entire deposit shall be considered non-operational. To this end, financial entities must have a methodology to identify balances exceeding the definition of operational deposit, for the purpose of adequately valuing the risk of withdrawal of those balances under idiosyncratic stress conditions. The methodology must take into account relevant factors, such as the probability that customers maintain positions above average anticipating specific payment needs, and must consider adequate indicators (for example, the ratio of deposited funds to payment volumes) to identify customers who are not managing their account balances efficiently. When the financial entity makes an operational deposit, it shall apply an inflow assumption of 0% -in accordance with what is provided for in item iv) of point 5.2.3.2.- since these deposits are necessary for operational reasons and, therefore, are not available to the depositing financial entity to cover other outflows. Deposits resulting from the provision of the following shall not be considered operational:
i) services provided to large institutional investors ("prime brokerage services") -which include, among others, clearing, settlement and custody services linked to securities financing operations-; and ii) correspondent banking services.

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Section 4. Total Cash Outflows.
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4.2.2.1. Applicable Criteria.
i) Admissible Activities.
Clearing, custody and treasury management activities that meet the following criteria:
a) the client depends on the financial entity to access clearing, custody and treasury management services that allow them to carry out their normal banking activities during the next 30 days. This condition would not be met, for example, if the financial entity has knowledge that the client has agreements that would allow them to substitute the service provider; b) the services are provided within the framework of an agreement or legally enforceable obligation; and c) the cancellation of these agreements is subject to a notice period of at least 30 days or entails significant costs for the client if the operational deposits are transferred before the 30 days. ii) Operational Deposits. Deposits generated in admissible activities that meet the following conditions shall be considered operational deposits:
a) they are the result of services provided by the financial entity, having not been captured in the wholesale segment from the interest offered; and b) they are maintained in specifically designated accounts for this purpose and their yield does not offer an economic incentive to the client -such as the payment of market interest rates or other type of incentives- to maintain excess funds in said accounts.

4.2.2.2. Activities related to operational deposits.
i) Clearing service.
Refers to a service provision agreement that allows clients to transfer funds (or securities) indirectly to final recipients through direct participants in national settlement systems.
These services are limited to the following activities: transmission; reconciliation and confirmation of payment orders; intraday credit; one-day financing and maintenance of balances originating from the settlement of operations; and determination of intraday and daily settlement positions.

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Section 4. Total Cash Outflows.
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ii) Custody service.
Comprises the provision of safekeeping, information and processing services for assets or other operational and administrative services related to activities, on behalf of its clients.
These services are limited to the following activities: settlement of securities transactions; transfer of contractual payments; processing of collateral; custody related to the treasury management service; collection of dividends and other income; subscriptions and amortizations on behalf of clients; and the provision of fiduciary management, treasury management, fund transfer, share transfer and agency services, including payment and settlement services -excluding correspondent banking.- iii) Treasury management service. Includes the provision of services that allow the client to manage their cash flow and assets and liabilities and carry out financial transactions necessary for their usual operations. These services are limited to the following activities: remittances; collection and reporting of fund inflows; payroll administration; and control of fund disbursement. Financial entities must evaluate whether these activities actually generate an operational deposit based on what is stated in items i) and ii) of point 4.2.2.1. The factor provided for in point 6.1.2.2. shall apply.

4.2.3. Unsecured wholesale funding provided by non-financial private sector companies, governments, central banks and multilateral development banks.
Includes all deposits and other unsecured sources of funds obtained from non-financial private sector clients -except that they be currency entities, insurers, agents regulated by the National Securities Commission (C.N.V.) and trustees of non-financial trusts, whose treatment is provided for in point 4.2.4., or MSMEs-, the National Government, the Central Bank of the Republic of Argentina, other sovereign states -and their central banks- and multilateral development banks, whose maintenance does not specifically respond to operational reasons -in accordance with what is provided for in point 4.2.2.-. The factor provided for in point 6.1.2.3. shall apply.

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4.2.4. Unsecured wholesale funding provided by other legal entities, non-financial public sector and SPEs.
This category includes all deposits and other funding sources from other legal entities -such as financial and currency entities, insurers and agents regulated by the C.N.V., trustees of non-financial trusts and members of the economic group to which the financial entity belongs-, the non-financial public sector in accordance with the definition of point 1.1. of the regulations on "Financing of the non-financial public sector" -except the National Government- and SPEs, whose maintenance does not specifically respond to operational reasons -in accordance with what is provided for in point 4.2.2.- and are not included in the categories provided for in points 4.2.1. and 4.2.3., including funding from correspondent banking services and debt securities representing debt issued by the financial entity regardless of the holder. Customer cash positions resulting from services provided to large institutional investors -"prime brokerage services"- such as cash resulting from the services provided for in item i) of point 4.2.2.- shall be considered separate from any segregated position that may be required by current investor protection regulations and shall not be offset with other customer positions covered by these regulations. The factor provided for in point 6.1.2.4. shall apply.

4.3. Secured funding outflow.
"Secured funding" is understood as that which comes from liabilities and other obligations not recorded on the balance sheet, which is secured with rights over specifically designated assets of the financial entity that can be exercised in the event of its bankruptcy, liquidation or restructuring due to liquidity and/or solvency problems -article 35 bis of the Financial Entities Law-; such as, active and passive repo operations, "swaps" of collateral assets and other financing operations in which financial assets pledged to the effect are transferred. Loans of collateral assets to the financial entity's clients for closing their short positions shall also be treated as a form of secured funding.

4.3.1. The financial entity shall apply to all existing secured funding operations maturing within the 30-day period, including customer short positions that lack a specified contractual maturity, the factors provided for in point 6.1.3. as follows:
i) Operations with the Central Bank of the Republic of Argentina or with other counterparties, to the extent that the latter are secured with assets computable in the HQLA: factor provided for in point 6.1.3.1. ii) Operations with the National Government or multilateral development banks that are not secured by assets computable in the HQLA: factor provided for in point 6.1.3.2.

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iii) Remaining operations -include those in which the entity has covered customer short positions with its own long positions-: factor provided for in point 6.1.3.3.

4.3.2. Outflows are calculated based on the amount of funds raised through the operation and not on the value of the assets pledged as collateral.

4.4. Judicial deposits.

This includes demand and time deposits ordered by the Judiciary with funds originating from cases in which it intervenes, with a residual maturity within 30 days.

The factor provided for in point 6.1.4 shall apply.

4.5. Additional requirements.

4.5.1. Cash outflows arising from derivative transactions.

Financial institutions shall calculate, in accordance with their valuation methodologies, the contractual cash inflows and outflows arising from derivative transactions.

Cash flows may only be calculated on a net counterparty basis -that is, inflows may offset outflows- when there is a valid and enforceable netting agreement against third parties in accordance with the applicable legislation.

Financial institutions shall exclude from such calculations outflows arising from the replacement of collateral resulting from fluctuations in the market value of the transactions or from declines in the market value of the collateral provided, which shall receive the treatment indicated in points 4.5.2.6. and 4.5.2.2., respectively. It shall be assumed that options will be exercised when a positive result arises for the option buyer -"in the money"-.

When fund outflows from derivative transactions are secured by assets qualifying for the HQLA, such outflows may be calculated net of cash inflows or collateral that might result from contractual rights to receive such cash or collateral, to the extent that the financial institution is authorized and has the operational capacity to use it in new fund-raising operations.

In the case of options with physical settlement within the 30-day horizon, the underlying asset shall be counted -to the extent that it is eligible for the HQLA- at market value, net of the haircut that would apply if it were pledged as collateral for operations. If contractual agreements allow for both physical delivery and cash settlement, the latter may be assumed.

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If delivery can be satisfied with different classes of assets, the delivery of the asset with the lowest value ("cheapest to deliver") may be assumed -calculated in accordance with the preceding paragraph-.

In the case of foreign exchange derivatives that involve the simultaneous exchange of principal -or, failing that, within the same day- fund flows may be computed on a net basis, even if they are not covered by a master netting agreement.

The factor provided for in point 6.1.5.1 shall apply to the sum of all net cash outflows.

4.5.2. Increased liquidity needs related to:

4.5.2.1. Clauses triggered by a significant deterioration in the credit quality of the financial institution.

In the case of contracts that include clauses giving rise to increased collateral requirements or fund outflows in the event of a significant decrease in credit quality, the financial institution shall assume that it must provide 100% of those additional collateral or that 100% of those outflows will occur. The impact of the decrease in credit quality shall consider the effects on all types of collateral requirements and on the triggering events provided for in the contracts that modify the rights to re-pledge non-segregated collateral.

The aforementioned factor shall apply to the amount of collateral that should be provided, or of the contractual cash outflows that would arise, as a consequence of the deterioration in credit quality -point 6.1.5.2.-.

4.5.2.2. The possibility of changes in the market value of collateral assets.

When financial institutions provide as collateral for their market-valued positions liquid assets that qualify in the HQLA, it will not be required to maintain an additional amount of HQLA to cover possible changes in the market value of the pledged assets.

In cases where financial institutions secure those positions with other types of assets, and for the purpose of covering the possible loss in the market value of these assets, the financial institution providing the collateral shall compute as an outflow 20% of the value of those pledged assets, net of collateral received from the counterparty -provided that their reuse or re-pledge is not subject to restrictions-. Assets included in a segregated margin account may only be used to offset outflows for payments that meet the criteria to be offset from that same account.

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The aforementioned factor shall apply to the notional amount of the asset -which does not qualify for the HQLA- required as collateral, after applying any other haircut that may correspond according to the type of collateral in question -point 6.1.5.3.-.

4.5.2.3. Non-segregated collateral held in excess by the financial institution (with respect to the collateral requirement) that could, in accordance with what is provided in the contract, be required at any time by the counterparty.

The factor provided for in point 6.1.5.4 shall apply to the excess of non-segregated collateral.

4.5.2.4. Collateral linked to operations whose integration could -in accordance with what is provided in the contract- be required at any time by the counterparty.

The factor provided for in point 6.1.5.5 shall apply to the value of the collateral that has not yet been demanded by the counterparty.

4.5.2.5. Contracts that allow the substitution of collateral with assets that do not meet the HQLA eligibility conditions.

The amount of assets included in the HQLA received to guarantee operations that have not been segregated and that, without the consent of the financial institution, may be substituted by assets not included in the HQLA shall be computed.

The factor provided for in point 6.1.5.6 shall apply to the computed amount of those assets -market value net of the applicable haircut-.

4.5.2.6. Changes in the market value of operations -such as derivatives- that require collateral integration.

Fund inflows and outflows from transactions executed under the same master netting agreement may be computed on a net basis (by difference). Outflows generated for this reason shall be computed at the amount of the largest accumulated net flow of collateral, in absolute value, observed over a 30-day period recorded during the previous 24 months.

The factor provided for in point 6.1.5.7 shall apply.

4.5.3. Loss of funding in securities and other structured financing facilities through financial trusts or other types of SPEs.

When the financial institution carries out structured financing activities through these mechanisms, it shall take into account the maturity dates of the issued debt instruments, the need to provide liquidity, and any implicit option in the financing agreements that could induce the return of assets to the financial institution.

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The factor provided for in point 6.1.5.8 shall apply to the amounts that mature and to the assets that must be repurchased or the liquidity that must be provided, in all cases within 30 days.

4.5.4. Utilization of committed credit and liquidity facilities.

For the purposes of these provisions, committed credit and liquidity facilities are considered to be explicit agreements or contractual obligations to provide funds at a future date to retail or wholesale counterparties that are contractually irrevocable -committed, meaning they cannot be cancelled discretely and unilaterally by the financial institution- or that are conditionally revocable.

Revocable facilities -that is, those that can be cancelled unconditionally by the financial institution, particularly those that do not impose as a prior condition the deterioration of the borrower's solvency- are excluded, which shall be included in "Other contingent financing obligations" provided for in point 4.5.6.

4.5.4.1. Criteria to be observed.

i) It shall be assumed that those facilities that are expected to be used will remain drawn for the assigned amounts during the 30-day period, regardless of their maturity date.

ii) The unused portion of these facilities shall be calculated net of eligible high-quality liquid assets in the HQLA, if:

a) those liquid assets have already been provided by the counterparty as collateral to support the facilities or there is a contractual obligation to provide them when the counterparty draws on the facility -for example, if it is a structured facility in the form of a line of repurchase agreements ("repo agreement")-;

b) the financial institution is authorized and has the operational capacity to reuse the collateral assets in new fund-raising operations once the facility has been drawn; and

c) there is no excessive correlation between the probability of drawing on the facility and the market value of the pledged assets.

For the purpose of avoiding double counting, the current amount of the facility may be calculated net of collateral assets, to the extent that they are not already counted in the HQLA.

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4.5.4.2. Liquidity facility. Definition.

This is a committed and unused facility available to a client -or the proportional share in a syndicated facility- to refinance obligations maturing within a 30-day period from its current debt, when it is unable to renew them in the financial markets.

Financial institutions may exclude from this definition the portion of a liquidity facility that is backing debt that does not mature within the 30-day period.

Any additional capacity of the facility -that is, the remainder of the commitment- shall be treated as a committed credit facility, with the factor provided for in point 6.1.5.9 applying.

Working capital lines granted to companies shall not be considered liquidity facilities, but credit facilities.

Without prejudice to the above, a committed liquidity facility with other legal entities shall be considered to be those granted to hedge funds and to any vehicle used to finance the assets of the financial institution, such as SPEs.

For the tranche of the financing programs provided for in point 4.5.3. that matures during the 30-day horizon, or that may require the provision of liquidity or the return of assets to the financial institution during that period, the financial institutions providing liquidity facilities shall not count the maturing financing and the associated liquidity facility.

The contractual expected utilization of committed facilities and the estimated utilization during the 30-day period of revocable facilities shall be reflected in full as fund outflows.

4.5.4.3. Included credit and liquidity facilities.

Facilities granted to the following shall be considered:

i) Retail customers and SMEs.

ii) Non-financial private sector companies -excluding those mentioned in items i) and v)-.

iii) National Government, other sovereign states and their central banks, and multilateral development banks.

iv) Domestic financial institutions.

v) Exchange entities, insurance companies, agents regulated by the C.N.V. and trustees of non-financial trusts.

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vi) Other legal entities, non-financial public sector (except the National Government) and entities not included in the above items, such as SPEs.

Financial institutions shall assume a utilization equivalent to the amount resulting from the product between the factors provided for in point 6.1.5.9. and the unused portion of each of the facilities.

4.5.5. Contractual obligations to provide funds within the 30-day period.

Any contractual obligation to provide credit to financial institutions, exchange entities, insurance companies and agents regulated by the C.N.V., as well as to trustees of non-financial trusts -in all cases, domestic and foreign- not contemplated in the preceding points shall be included in this category.

If the total contractual obligations to provide funds to SMEs and non-financial private sector companies -excluding exchange entities, insurance companies, agents regulated by the C.N.V. and trustees of non-financial trusts- not provided for in the preceding points exceeds, in the following 30 days, 50% of the total contractual inflows from such clients expected in the same period, the difference shall be included in this category.

The factor provided for in point 6.1.5.10 shall apply.

4.5.6. Other contingent financing obligations.

These contingent obligations are not credit commitments and may be contractual or non-contractual -originated, for example, for reputational reasons-.

Non-contractual contingent funding obligations include the linkage to -or sponsorship of- products sold or services provided by the financial institution that could require it to make disbursements in stress situations for reputational risk reasons. These obligations may arise from products and instruments on which the client or holder has expectations of liquidity and marketability that, if they could not be met on reasonable commercial terms, would likely substantially harm the reputation or viability of the financial institution. They may even depend explicitly on credit or other events that, although unrelated to the liquidity events contemplated in the stress scenario, give rise to additional funding needs during stress periods.

Entities shall consider whether such obligations could materialize in the stress scenario considered in these rules and report to the Superintendence of Financial and Exchange Entities the contractual and non-contractual contingent liabilities they have identified and their triggering events, as well as the assumptions used for this purpose. In particular, the following shall be considered:

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4.5.6.1. Non-contractual contingent financing obligations related to temporary business unions (T.B.U.) -"joint ventures"- or minority investments that are not consolidated: all such obligations shall be included whenever there is an expectation that the financial institution will be the main provider of liquidity.

The factor provided for in item i) of point 6.1.5.11 shall apply.

4.5.6.2. Contingent financing obligations arising from financing instruments for foreign trade operations -such as commercial letters of credit, documentary collections, import and export invoices and guarantees directly related to commercial financing obligations, such as shipment guarantees-.

The factor provided for in item ii) of point 6.1.5.11 shall apply.

Commitments to directly finance the imports and exports of non-financial private sector companies are excluded from this treatment, in which case the factors provided for in point 6.1.5.9 shall apply.

4.5.6.3. Other contingent funding obligations, such as:

i) "uncommitted" credit and liquidity facilities, that is, those that can be cancelled discretely and unilaterally by financial institutions (unconditionally revocable);

ii) guarantees and letters of credit not related to foreign trade financing operations;

iii) other non-contractual obligations, such as:

a) requests for repurchase of debt issued by the financial institution itself or by affiliated investment vehicles or other similar financial facilities. The risk generated by issuers that place their securities through intermediaries -"dealers"- and market makers -"market makers"- affiliated with the financial institution must also be analyzed.

b) structured products, to maintain their marketability.

c) managed funds that are marketed with the objective of maintaining a stable value, such as money market asset investment funds and other collective investment funds with stable value.

The factors provided for in item iii) of point 6.1.5.11 shall apply.

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4.5.6.4. Non-contractual obligations in which customer short positions are covered with collateral assets from other customers.

Financial institutions shall apply the factor provided for in item iv) of point 6.1.5.11 to contingent obligations arising from having internally matched non-HQLA eligible customer assets with short positions from other customers, when they may be forced to cover those positions in the event that those assets are withdrawn by the customers.

4.5.7. Other contractual cash outflows.

Includes any other contractual cash outflow within 30 days, such as those arising to cover unsecured debt in securities, uncovered short positions, and the payment of dividends or interest, and excludes fund outflows related to operating costs.

The factor provided for in point 6.1.5.12 shall apply.

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Financial institutions shall include only contractual inflows -including interest payments- arising from current exposures that have no arrears and with respect to which there are no reasons to expect a default situation within the 30-day horizon. Contingent inflows -such as prepayments- shall not be considered in the LCR calculation.

Financial institutions shall monitor the concentration of expected inflows from wholesale counterparties, within the framework of their management of this risk, to ensure that the liquidity position does not depend excessively on a limited number of counterparties.

5.1. Maximum limit on total inflows.

For the purposes of the LCR calculation, cash inflows -weighted with the factors provided for in Section 6.- shall be counted up to 75% of the total expected cash outflows, calculated in accordance with the criteria and factors established in Section 4. Consequently, the minimum amount of the entity's HQLA shall be 25% of its total weighted cash outflows.

5.2. Computable inflows.

5.2.1. Secured credit, including active repurchase operations and those in which securities are borrowed ("securities borrowing").

5.2.1.1. The renewal of active repurchase operations and those in which securities are borrowed that mature and are secured by assets qualifying in the HQLA shall be assumed, and no cash inflow shall be counted.

The factor provided for in point 6.2.1.1 shall apply.

5.2.1.2. It shall be assumed that active repurchase operations nor those in which securities are borrowed that mature if they are secured by assets that do not qualify in the HQLA will not be renewed, and that the total cash related to those operations will be received.

The factors provided for in point 6.2.1.2 shall apply.

5.2.1.3. Asset-backed loans granted to customers for the purpose of enabling them to take leveraged trading positions ("margin loans") shall be considered as a form of secured credit; notwithstanding this, only up to 50% of the contractual inflows from loans maturing in the next 30 days and that have been made with collateral of assets that do not qualify in the HQLA may be recognized.

The factors provided for in point 6.2.2 shall apply.

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5.2.1.4. If collateral assets obtained through reverse repurchase agreements, securities lending, or collateral asset swaps that mature within the 30-day horizon are used - that is, re-allocated - to cover short positions that could extend beyond 30 days, it must be assumed that those operations will be renewed without any cash inflow being counted, given the need to continue covering the short positions or to repurchase the relevant securities.

Short positions include both cases where the financial entity has sold the asset short as part of a trading or hedging strategy and cases where it has borrowed it for a given period and lent it out for a longer period.

The factor provided for in point 6.2.3 shall apply.

5.2.1.5. It must be assumed that loans of securities taken to cover the financial entity's short positions will not be renewed when these operations are unsecured. Therefore, the financial entity must assume a 100% cash outflow or outflow of high-quality liquid assets to secure the borrowing, or cash outflow to close the short position by repurchasing the security. This must be recorded as another contractual cash outflow and receive the treatment provided for in point 4.5.7.

In the case where the short position is covered with securities borrowed through a secured operation, the entity must assume that the short position will be maintained throughout the 30-day period and will receive a 0% outflow rate.

Without prejudice to the renewal scenarios provided above, financial entities must manage their collateral assets in such a way that they can meet the obligation to return collateral when the counterparty decides not to renew the secured credit operation in question, especially when the collateral is not constituted with high-quality liquid assets. This is because fund outflows due to assets that do not qualify for the HQLA are not captured by the LCR.

The Superintendency of Financial and Foreign Exchange Entities will evaluate the collateral asset management of financial entities.

5.2.2. Committed facilities with financial entities.

Financial entities must assume that they will not be able to avail themselves of credit, liquidity, or other contingent financing facilities agreed upon by other financial entities.

The factor provided for in point 6.2.4 shall apply.

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5.2.3. Other inflows based on the counterparty.

All other types of operations, secured or unsecured, shall be counted based on the counterparty.

When considering financing payments, financial entities must include only inflows from credits that have no payment arrears, attributing them on the latest possible date based on the contractual rights of the counterparties. In the case of revolving financings - understood as those in which borrowers are authorized to make draws and repayments within limits agreed upon in a credit line, and which include credit cards and current account overdrafts - this implies assuming the renewal of existing credits and that the remaining balances receive the same treatment as a committed facility, provided for in point 4.5.4.

Inflows of funds from loans with no specific maturity must not be included, except for minimum principal amortization payments, commissions, or interest associated with these loans that have a contractual maturity within the 30-day period, in which case the following scenarios and factors will apply.

5.2.3.1. Inflows from retail customers and SMEs.

Financial entities must assume that they will receive all payments - including those for interest and principal - with a contractual maturity within the 30-day horizon that come from credits granted to retail customers and SMEs that have no payment arrears. At the same time, they must assume that they continue to grant them credits at a rate of 50% of their contractual inflows.

The factor provided for in point 6.2.5.1 shall apply.

5.2.3.2. Wholesale inflows.

Likewise, regarding fund inflows from financial entities, foreign exchange entities, insurers, and agents regulated by the C.N.V., fiduciaries of non-financial trusts, and central banks, they must assume that they will not use them to grant new financings to those counterparties. When it comes to other wholesale fund inflows, including those from non-financial private sector clients - except for foreign exchange entities, insurers, and agents regulated by the C.N.V., fiduciaries of non-financial trusts, or SMEs included in point 5.2.3.1.-, the National Government, other sovereign states, and multilateral development banks, they must assume that they will continue to extend financings to them in an amount equivalent to 50% of the inflows from those counterparties.

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The following factors will apply:

i) Non-financial wholesale counterparties. Includes non-financial private sector - except for foreign exchange entities, insurers, agents regulated by the C.N.V., fiduciaries of non-financial trusts, or SMEs included in point 5.2.3.1.-, other sovereign states, multilateral development banks, and the National Government: the factor provided for in point 6.2.5.2 shall apply.

ii) Financial entities, foreign exchange entities, insurers, agents regulated by the C.N.V., fiduciaries of non-financial trusts, and central banks: the factor provided for in point 6.2.5.3 shall apply.

iii) Inflows from securities maturing within the 30-day period, not included in the HQLA, and inflows resulting from the release of positions held in segregated accounts due to regulatory requirements regarding the protection of investor trading assets that are applicable, provided that those segregated positions are maintained in high-quality liquid assets: the factor provided for in point 6.2.5.4 shall apply.

Inflows from securities countable in the HQLA that mature within 30 days are excluded, as these must be included in that Fund to the extent that they meet the operational requirements provided for in point 2.1.

iv) Deposits maintained in other financial entities, insurers, agents regulated by the C.N.V., and fiduciaries of non-financial trusts for operational purposes - as provided for in point 4.2.2.-. It must be assumed that they remain in those entities, so no inflows from those deposits can be counted: the factor provided for in point 6.2.5.5 shall apply.

5.2.4. Other cash inflows.

5.2.4.1. Cash inflows from derivative operations.

The amounts of cash inflows from derivative operations must be calculated according to the methodology described in point 4.5.1.

When derivatives are secured by high-quality liquid assets, cash inflows must be calculated net of any contractual obligation to provide cash or other collateral assets by the financial entity, as those contractual obligations would reduce the HQLA.

The factor provided for in point 6.2.6 shall apply to the sum of all net cash inflows from derivative operations.

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5.2.4.2. Other contractual cash inflows.

The items included in this category must be detailed.

Notwithstanding this, for the purposes of these provisions, cash inflows related to non-financial income will not be taken into consideration.

The factor provided for in point 6.2.7 shall apply.

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6.1. Cash outflows.

6.1.1. Retail deposit withdrawals (point 4.1.).

6.1.1.1. Stable deposits (point 4.1.1.). 5%

6.1.1.2. Other retail deposits (point 4.1.2.).

i) Demand deposits in pesos (item i) of point 4.1.2). 10%

ii) Time deposits in pesos (item ii) of point 4.1.2.
-includes those with a residual maturity greater than 30 days in which the entity admits early cancellation within 30 days without penalty-).
15%

iii) Demand and time deposits in foreign currency (item iii) of point 4.1.2.). 20%

6.1.2. Loss of unsecured wholesale funding (point 4.2.).

6.1.2.1. Funding provided by SMEs (point 4.2.1.):

i) Stable funding. 5%

ii) Other funding.

a) Demand deposits in pesos not covered by point 4.1.1. 10%

b) Time deposits in pesos not covered by point 4.1.1. (includes those with a residual maturity greater than 30 days in which the entity admits early cancellation within 30 days without penalty). 15%

c) Demand and time deposits in foreign currency. 20%

6.1.2.2. Operational deposits generated by clearing, custody, and treasury management activities (point 4.2.2.). 25%

6.1.2.3. Unsecured wholesale funding provided by non-financial private sector companies, governments (National Government and other sovereign states), central banks, and multilateral development banks (point 4.2.3.).
40%

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6.1.2.4. Unsecured wholesale funding provided by other legal entities, the non-financial public sector - except the National Government - and SPEs (point 4.2.4.).
100%

6.1.3. Secured funding outflow (point 4.3.):

6.1.3.1. Operations with the BCRA or with other counterparties to the extent that the latter are secured with assets countable in the HQLA (item i) of point 4.3.1.)
0%

6.1.3.2. Operations with the National Government or multilateral development banks, which are not secured with assets countable in the HQLA (item ii) of point 4.3.1.).
25%

6.1.3.3. Remaining operations - including those in which the entity has covered client short positions with its own long positions - (item iii) of point 4.3.1.).
100%

6.1.4. Judicial deposits (point 4.4.). 3%

6.1.5. Additional requirements (point 4.5.).

6.1.5.1. Cash outflows from derivative operations (point 4.5.1.). 100%

6.1.5.2. Clauses triggered by a significant deterioration in the credit quality of the financial entity (point 4.5.2.1.). 100%

6.1.5.3. Changes in the market value of collateral assets that do not qualify for the HQLA (point 4.5.2.2.). 20%

6.1.5.4. Unsegregated collateral held in excess by the financial entity - with respect to the collateral requirement - that could, according to what is provided in the contract, be required at any time by the counterparty (point 4.5.2.3.).
100%

6.1.5.5. Collateral linked to operations whose integration could - according to what is provided in the contract - be demanded at any time by the counterparty (point 4.5.2.4.).
100%

6.1.5.6. Contracts that allow the substitution of collateral with assets that do not meet the eligibility conditions of the HQLA (point 4.5.2.5.).
100%

LIQUIDITY COVERAGE RATIO
B.C.R.A.
Section 6. Factors.
Version: 1st. COMMUNICATION “A” 5724
Validity:
30/01/2015

6.1.5.7. Changes in the market value of operations - such as derivatives - that require collateral integration - greater net accumulated flow of collateral, in absolute value, observed over a 30-day period recorded during the previous 24 months - (point 4.5.2.6.).
100%

6.1.5.8. Loss of funding in securities and other financing facilities structured through financial trusts and other types of SPEs (point 4.5.3.).
100%

6.1.5.9. Unused portion of committed credit and liquidity facilities - irrevocable - (point 4.5.4.) with:

i) Retail customers and SMEs. 5%

ii) Non-financial private sector companies - excluding those mentioned in item i) and v)-.

a) liquidity facilities. 30%

b) credit facilities. 10%

iii) National Government, other sovereign states and their central banks and multilateral development banks.

a) liquidity facilities. 30%

b) credit facilities. 10%

iv) Domestic financial entities. 40%

v) Foreign exchange entities, insurers, agents regulated by the C.N.V., and fiduciaries of non-financial trusts.

a) liquidity facilities. 100%

b) credit facilities. 40%

vi) Other legal entities, non-financial public sector - except the National Government - and entities not included in the above items, such as SPEs.
100%

LIQUIDITY COVERAGE RATIO
B.C.R.A.
Section 6. Factors.
Version: 1st. COMMUNICATION “A” 5724
Validity:
30/01/2015

6.1.5.10. Contractual obligations to disburse funds within the 30-day period (point 4.5.5.). 100%

6.1.5.11. Other contingent financing obligations (point 4.5.6.).

i) Non-contractual related to JVs or minority investments that are not consolidated (point 4.5.6.1.). 50%

ii) From financing instruments for foreign trade operations (point 4.5.6.2.). 5%

iii) Other contingent funding provision obligations (point 4.5.6.3.).

a) "Uncommitted" credit and liquidity facilities - discretionary and unilateral cancellation by the financial entity - (item i) of point 4.5.6.3.). 0%

b) Guarantees and letters of credit not related to foreign trade financing operations (item ii) of point 4.5.6.3.). 10%

c) Other non-contractual - request for repurchase of debt issued by the entity itself, structured products to maintain their negotiability, administered funds marketed to maintain their stable value - (item iii) of point 4.5.6.3.). 10%

iv) Non-contractual obligations in which client short positions are covered with collateral assets from other clients (point 4.5.6.4.). 50%

6.1.5.12. Other contractual cash outflows (point 4.5.7.). 100%

6.2. Cash inflows.

6.2.1. Secured credit - includes reverse repurchase operations and securities borrowing operations - for the following assets (point 5.2.1.):

6.2.1.1. Assets that qualify in the HQLA - regardless of whether they cover short positions or not (point 5.2.1.1.). 0%

LIQUIDITY COVERAGE RATIO
B.C.R.A.
Section 6. Factors.
Version: 1st. COMMUNICATION “A” 5724
Validity:
30/01/2015

6.2.1.2. Assets that do not qualify in the HQLA (point 5.2.1.2.).

i) do not cover short positions. 100%

ii) cover short positions. 0%

6.2.2. Margin loans backed by collateral assets that do not qualify in the HQLA (point 5.2.1.3.).

6.2.2.1. If the collateral is not used to cover short positions. 50%

6.2.2.2. If the collateral is used to cover short positions. 0%

6.2.3. Collateral obtained through reverse repurchase operations or securities borrowing or collateral asset swaps with maturity within the 30-day horizon, which are reused to cover short positions that could extend beyond 30 days (point 5.2.1.4.).
0%

6.2.4. Committed credit, liquidity, or other contingent financing facilities that the entity maintains with other financial entities (point 5.2.2.).
0%

6.2.5. Other inflows based on the counterparty (point 5.2.3.).

6.2.5.1. Inflows from retail customers and SMEs (point 5.2.3.1.).
50%

6.2.5.2. Inflows to be received from non-financial wholesale counterparties - includes non-financial private sector (except for SMEs provided for in point 5.2.3.1. and foreign exchange entities, insurers, and agents regulated by the C.N.V., fiduciaries of non-financial trusts) and other sovereign states, and multilateral development banks and the National Government (item i) of point 5.2.3.2.). 50%

6.2.5.3. Amounts to be received from financial entities, foreign exchange entities, insurers, and agents regulated by the C.N.V., fiduciaries of non-financial trusts, and central banks (item ii) of point 5.2.3.2.).
100%

6.2.5.4. Inflows from securities maturing within the 30-day period - not included in the HQLA - and inflows resulting from the release of positions held in segregated accounts (item iii) of point 5.2.3.2.).
100%

LIQUIDITY COVERAGE RATIO
B.C.R.A.
Section 6. Factors.
Version: 1st. COMMUNICATION “A” 5724
Validity:
30/01/2015

6.2.5.5. Operational deposits maintained in other financial entities, insurers, and agents regulated by the C.N.V. and fiduciaries of non-financial trusts (item iv) of point 5.2.3.2.).
0%

6.2.6. Cash inflows from derivative operations (point 5.2.4.1.). 100%

6.2.7. Other contractual cash inflows (point 5.2.4.2.). 50%

LIQUIDITY COVERAGE RATIO
B.C.R.A.
Section 6. Factors.
Version: 1st. COMMUNICATION “A” 5724
Validity:
30/01/2015

7.1. Liquidity policies.

Financial entities must adopt management and control policies that ensure the availability of reasonable levels of liquidity to efficiently meet their deposits and other financial commitments in different alternative scenarios.

These policies must provide for the procedures to be used to evaluate the entity's liquidity conditions with sufficient advance in the context of the market, with the consequent revision of estimates and their adjustment to new scenarios, taking measures to eliminate liquidity mismatches or adopting precautions to foresee the obtaining of resources at market cost - similar to that paid by their competitors - and sufficient to prudently support longer-term assets.

In this regard, the degree to which their liabilities or assets are concentrated in certain clients, the general situation of the economy and the market and its probable evolution, their impact on the availability of credit lines, and the ability to obtain resources through the sale of public securities and/or active portfolio, etc., must be taken into account.

7.2. Responsible parties.

The organizational structure of the entity must include the specific unit - or natural person - in charge of managing liquidity and the levels of responsibility of those in charge of managing the LCR, which will require daily monitoring.

The participation and coordination of the entity's highest managerial authority (for example: general manager) is necessarily required.

Additionally, a director or board member must be designated to whom information is provided at least weekly, or more frequently if circumstances so require, especially when changes in liquidity conditions force the definition of new courses of action to protect the entity. In the case of branches of foreign entities, information must be provided to their highest authority in the country.

The designated officials and executives will be responsible for managing the liquidity policy, which, in addition to monitoring the LCR, includes adopting precautions for compliance with the integration of the minimum cash requirement.

The list of such officials and executives, as well as subsequent changes, must be reported to the Superintendency of Financial and Foreign Exchange Entities within 10 calendar days of their occurrence.

LIQUIDITY COVERAGE RATIO
B.C.R.A.
Section 7. Policies and responsible parties.
Version: 1st. COMMUNICATION “A” 5724
Validity:
30/01/2015

8.1. Individual basis.
Financial institutions (including their branches in the country) shall observe the rules regarding the liquidity coverage ratio on an individual basis.

8.2. Consolidated basis.
Without prejudice to compliance on an individual basis, controlling financial institutions subject to consolidated supervision shall observe these provisions on a monthly consolidated basis.

In addition, they must evaluate whether holdings that are not consolidated in financial and foreign exchange institutions, insurance companies, agents regulated by the National Securities Commission (C.N.V.), and fiduciaries of non-financial trusts could produce a significant impact on their liquidity, measured in accordance with these provisions. To this effect, any investment in an entity over which there is no control shall be considered significant if the financial institution or its economic group were to be the main provider of liquidity in stress situations; for example, because the remaining shareholders are not financial institutions or because the entity participates in the daily management and control of the liquidity of the invested entity.

Financial institutions must develop a methodology to identify and quantify potential demands on their liquidity, particularly those that could arise from the need to support non-consolidated investments for reputational reasons. If such outflows are not contemplated in other concepts, they must be calculated in the manner indicated in point 4.5.6.1.

Financial institutions must monitor and control the liquidity risk and funding needs of each of their branches and subsidiaries abroad, paying special attention to legal and operational restrictions on the transfer of funds.

8.2.1. Differences in liquidity requirements between these provisions and the liquidity requirements in the countries where the entity operates.
For the purposes of calculating the LCR at the consolidated level, when there are differences between these provisions and the treatment of liquidity in the countries where the entity operates, for example, due to the application of national discretion regarding haircuts, contingent funding obligations, changes in the market value of derivative transactions, etc., financial institutions must use the factors provided for in this rule in all branches and/or subsidiaries that are consolidated, except for the treatment of retail and SME deposits, for which the provisions of the corresponding country must be adopted, unless:

i) there are no requirements for such deposits in that country; ii) an LCR has not been implemented in that country; or iii) the Superintendence of Financial and Foreign Exchange Entities considers that the requirements provided for in these provisions must be used because they are stricter than those of the country where the branch or subsidiary operates.

LIQUIDITY COVERAGE RATIO
B.C.R.A.
Section 8. Basis of observance.
Version: 1st. COMMUNICATION “A” 5724
Validity:
30/01/2015

8.2.2. Treatment of restrictions on the transfer of liquidity.
The liquidity surplus -with respect to the level corresponding to an LCR of 1- shall only be counted in the consolidated LCR to the extent that there are no doubts about its availability.

Restrictions on the transfer of liquidity in the countries where financial institutions operate will affect the availability of liquidity by preventing the transfer of assets from the FALAC and the flow of cash within the economic group. These restrictions must be reflected in the consolidated LCR, as provided for in point 2.1.7.

Financial institutions must have procedures to register, to the extent possible, all restrictions on the transfer of liquidity established in laws and applicable regulations, as well as to monitor said regulatory framework, and evaluate its impact on the liquidity of the economic group.

LIQUIDITY COVERAGE RATIO
B.C.R.A.
Section 8. Basis of observance.
Version: 1st. COMMUNICATION “A” 5724
Validity:
30/01/2015

For the purposes of implementing what is established in Section 1., financial institutions must observe the liquidity coverage ratio -calculated in accordance with the expression provided for in point 1.5.- according to the following schedule:

Period Ratio
From 30.1.15 / December 2015 0.60
January 2016 / December 2016 0.70
January 2017 / December 2017 0.80
January 2018 / December 2018 0.90
From January 2019 1

LIQUIDITY COVERAGE RATIO
B.C.R.A.
Section 9. Transitional provisions.
Version: 1st. COMMUNICATION “A” 5724
Validity:
30/01/2015

B.C.R.A.
ORIGIN OF THE PROVISIONS CONTAINED IN THE RULES ON "LIQUIDITY COVERAGE RATIO" ORDERED TEXT ORIGIN RULE
Section Point Paragraph Com.
Cap./
Annex Point Paragraph
OBSERVATIONS
1.1. “A” 5693 3.
1.2. “A” 5693 unique 1.1.
1.3. “A” 5693 unique 1.2.
1.4. “A” 5693 unique 1.3.
1.5. “A” 5693 unique 1.4.
1.6. “A” 5693 unique 1.5.
1.
1.7. “A” 5693 unique 1.6.
1° and 2° “A” 5693 unique 1° and 2°
2. 2.1. “A” 5693 unique 2.1.
2.2. “A” 5693 unique 2.2.
3.1. “A” 5693 unique 3.1.
3.2. “A” 5693 unique 3.2.
3.
3.3. “A” 5693 unique 3.3.
4.1. “A” 5693 unique 4.1.
4.2. “A” 5693 unique 4.2.
4.3. “A” 5693 unique 4.3.
4.4. “A” 5693 unique 4.4.
4.
4.5. “A” 5693 unique 4.5.
5.1. “A” 5693 unique 5.1.
5.
5.2. “A” 5693 unique 5.2.
6.1. “A” 5693 unique 6.1.
6.
6.2. “A” 5693 unique 6.2.
7.1. “A” 5693 unique 7.1.
7.
7.2. “A” 5693 unique 7.2.
8.1. “A” 5693 unique 8.1.
8.
8.2. “A” 5693 unique 8.2.
9. unique “A” 5693 unique unique

5.2.1.7. Ratio for immobilized assets and other concepts.
5.2.1.8. Valuation of debt instruments of the non-financial public sector and monetary regulation of the Central Bank of the Argentine Republic.
5.2.1.9. Liquidity coverage ratio -when it concerns financial institutions included in those rules- in accordance with the scope established in point 8.2 of the rules on “Liquidity Coverage Ratio”.
5.2.2. Quarterly consolidated basis.
Without prejudice to compliance on an individual basis, and additionally and independently of compliance on a monthly consolidated basis, controlling financial institutions subject to consolidated supervision shall observe the following rules on a quarterly consolidated basis:
5.2.2.1. Minimum capital.
5.2.2.2. Classification of debtors and minimum provisions for uncollectible risk.
5.2.2.3. Fragmentation of credit risk.
5.2.2.4. Maximum limit for holding shares in companies that do not provide complementary services to the financial activity.
5.2.2.5. Ratio for immobilized assets and other concepts.
5.2.2.6. Valuation of debt instruments of the non-financial public sector and monetary regulation of the Central Bank of the Argentine Republic.
5.2.3. Compliance with the rules on “Prevention of money laundering, terrorist financing and other illicit activities”.
Financial institutions must ensure that the branches and subsidiaries included in this regime consider within the internal control scheme the following:
5.2.3.1. Existence of written policies and procedures for the prevention of money laundering and terrorist financing framed in international standards, consistent with the specific characteristics of the different activities and consistent with those of the head office and/or controlling entity.

CONSOLIDATED SUPERVISION
B.C.R.A.
Section 5. Compliance with rules.
Version: 9th. COMMUNICATION “A” 5724
Validity:
30/01/2015

CONSOLIDATED SUPERVISION
ORDERED TEXT ORIGIN RULE
Section Point Paragraph Com. Annex Point Paragraph
OBSERVATIONS
5.2.1.6. “A” 4891 8. According to Com. “A” 5557.
5.2.1.7. “A” 2227 unique 5.1.8. According to Com. “A” 2736.
5.2.1.8. “A” 5180 8.
5.2.1.9. “A” 5693 According to Com. “A” 5724 (interpretative clarification).
5.2.2. “A” 2227 unique 5.1. According to Com. “A” 2649. Completed by Com. “A” 2461,
2736, 2839, 5180, 5272, 5369 and
“B” 5902.
5.2.3. “A” 4835 4. According to Com. “A” 5223.
5.2.4. “A” 5093
5.3.1. “A” 2227 unique 5.2.1. According to Com. “A” 2649 and 5520.
5.3.2. “A” 2227 unique 5.2.2. According to Com. “A” 5520.
5.4.1. “B” 6115 3°
5.4.2. “B” 6566 1.
5.
5.5. “A” 2227 unique 5.3. According to Com. “A” 2649.

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