M-2026-027: Regulatory Relief on Capital Relative to Valuation Losses on Peso Government Securities Measured at Fair Value Through Other Comprehensive Income

9 BANGKO SENTRAL NG PIL PINAS
To
Subject Regulatory Relief on Capital Relative to Valuation Losses on Peso Government Securities ICS) Measured at Fair Value Through Other Comprehensive Income InfoCl} The Monetary Board (MB). in its Resolution Nos. 495 dated 04 June 2026 and 534 dated 18 June 2026, approved the regulatory relief measure on net unrealized losses on Peso CS under the FVOCl portfolio incurred after the start of the Middle East (ME ) conflict. This relief is afforded in view of the impact of the ME conflict on market yields and asset valuations. OFFICE OFTHE GOVERNOR All Banks and Quasi-Banks MEMORANDUM No. M~2026-o27 The relief measure shall be implemented as follows:
I. Securities covered by the relief shall only include investments in Peso CS
recorded under the F1hancia/ Assets Measured at Fall. . Value Through Other Comprehensive Income account, For purposes of computing its Capital Adequacy Ratio ICARj and Common Equity Tier ICETj I Ratio. a bank/quasi-bank (QB) shall not deduct from CEh capital the cumulative unrealized losses on its Peso CS booked under the FVOCl portfolio incurred after the start of the ME conflict. In this regard. a bank/QB that recorded net unrealized losses on its FVOCI Peso CS as of 28 February 2026 shall not include cumulative losses exceeding the said amount in computing the two capital ratios during the relief period. A bank/QB that recorded net unrealized gains on its FVOCI Peso CS portfolio as of 28 February 2026 will be allowed riot to deduct any unrealized losses on its FVOCI Peso CS portfolio from its CEn capital during the period It is understood that the banks/QBs shall continue to report actual unrealized FVOCl losses in all other financial reports leg. . Financial Reporting Package, financial statements). Realized and unrealized losses (including impairment losses) shall be reported in full.
4. The regulatory relief measure shall apply from 01 April to 31 December
2026 ("the relief period"). Retroactive application may be implemented on the April and May 2026 capital figures.
5. A bank/QB availing of this relief measure shall submit an e-mail
notification to its supervising department. with its February 2026 solo CAR report attached Iincluding the control prooflist indicating net unrealized gains/losses on FVOCI Peso CS (Attachment 2)l. and copy furnish the Capital Markets and Trust Supervision Department at ' The Attachment I provides illustrative examples of the computation of a bank's CEn capital. CEn ratio. and CAR under different scenarios.

notify the Bangko Sentral of theirintention to avail of this relief
6. A bank/QB availing of the subject regulatory reliefshall use the adjusted
CEn capital in its quarterly CAR reports to be submitted to Bangko Sentral during the covered period.
7. Banks/QBs availing of the relief shall also submit a separate monthly
CAR report with control prooflist reflecting both adjusted and uriadjusted CEn capital on a solo basis to the Bangko Sentral for the duration of the relief period. The said reports shall be submitted to the Department of Supervisory Analytics of the Bangko Sentral within ten (10) banking days from the end of reference month, For the April. May and June 2026 reports. the deadline shall be on 15 July 2026. The mode and manner of submission of the reports shall be covered by separate guidelines. . Banks/QBs are given until30 June 2026 to
8. In view of the provision of this regulatory relief. the Bangko Sentral shall
closely monitor additional investments booked under the availing banks'/QBs' F/OCl accounts during the covered period.
9. Moreover, the Bangko Sentral may impose limitations on the
participation of availing banks in select BSP liquidity facilities, 10, Banks/QBs shall revert to applying the uriadjusted CEn capital (i. e. . without the relief on unrealized mark-to-market losses on FVOCI Peso CS) in the computation of its CAR and CETl ratio beginning 01 January 2027 For guidance and implementation June 2026 21::"" ^ '^-- ELI M. REMOLONA, JR. Governor

SECTION, : BANK PROFILE & KEY ASSUMPTIONS
Description
Net unrealized gains orlosses on Peso CS at F/OCl as of Feb 2026 (Scenarios A. B. C) Net unrealized gains or losses on Peso CS at FVOCl as of Feb 202 (Scenarios D, E, F)
SECTION Z: MONTHLY NET UNREALIZED GAINS OR LOSSES ON FVOCi PESO CS
Month Scenario A Scenario B Scenario C I^b Loss<4pr//Loss I^b Loss>Aprr' Loss ^=b Loss-. April Gain (150) nso) (150)
080) 20 (180)
(220) 0201 10
Feb 2026 IBaselinej
Mar 2026
Apr 2026
SECTION 3: SCENARIOS
REGULATORY RELIEF ILLUSTRATiVE EXAMPLES - BANK ABC SCENARIOS SCENARIO A SCENARIO B SCENARIO C SCENARIO D SCENARIO E SCENARIO F Net Unrealized Gains o Losses on Peso CS at FVOCl Feb 2026 (150) 0501 (150) 80 Value Scenario D ^b Gain<4pr// Garb Unit .150 PHP Million 80 PHP Million April2026 Notes Baseline loss position Baseline gain position Scenario E I:ipb Gain>April Oarh 80 30 40 (220) (120) 10 130 40 (20) AnACHMENT I 80 100 130 Net Unrealized Gains or Losses on Peso CS at FVOC^ for the Computation of CET, Capital, CEh Ratio and CAR April2026 Actual Scenario F ^b 08/17-, AprilZ. o55 80 30 (20) (220) (120) 10 130 4-0 (20) April2026 with Relief (150) (120) 10 130 40 o

MONTHLY BASELlllCAPITAL ADEQUACY RATIO REPORT FOR CAPITAL RELIEF ON a!Ocl LOSSES Solo Name of Bank AqunliMn,
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ISIgnature of Duly. Authoriz@d OfficerI O 00% O 00% O 00% 0005:

MONTHLY BASEL1.5 CAPITALADEQUACY RATIO REPORT FOR CAPITAL RELIEF ON FVOCI LOSSES Solo Name of Bank
11. in
A
As of
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A2
c. ICUl, .;an of Qu, 11Nng Capitol
Tierl Capll. IISum. , A2. rid AJI
Common Equity TierT Capital
Other Crimpr. henslve lnee"I.
Nat Unre. 1/2. d calnofjL, ,,,, 10n Fin. n As A* N. tu, e 61 item As Address AddiL:an, ITlerl Cadlal Peso cavernme", seeu, jut. ". Tier 2 C, PIt. I Others B, fatal qu. "tying coplt, IISum CIAl rind A4j .z CUIeulotlDn o1.13k. Weightsd A, ". E BS TaralC, .d:I PIEk-Weigh, ,a A, ,., "4 Ternl Op. rational PI, k. We 19h, .a A, ,at, C Taral Market Risk-W. :ght, d Ag. .,. co Te. nlRl. k-Weighted A5, '13/5um", 0.1. , 2. rid rigj cz c, ,IA, ,et, ., FVoci Mlnumum copl, "IPaql. , CJ RISK-BASED CAPITAL ADEQUACY RAnO C Common Equl, y vie, , P. "a CONTROL PROOFLIST wind, CUI, the uriadjust. d foule= alte, tonalde, Ing tin n=Iu, I nut "n, @allz, d 1055es ,rillnan=1.1 ass, " at ,VCCI I so!Qinnly swear IkaR all matters 50t forth in this Monthly Basel 1.5 Capital Adequacy Ratio PnPort 101 Capitol Relief on FVOCI Losses . Solo aro true and correct to thn best Griny knowl. dge and belbf. coplt. Icon, .runtien ,un. r Tierl Capital Ratio Account Ced. TQC, 11, .in An TQCljllem Asj TQC, IncmAtoll TQOliiem A, UNll Code TQCli, I'm A 61 '''i 1, ,. in ri, , TQC, litem q 19,931,000@0,00000 Reference Period 1,500000000003000o 100000000000820000 Ameuh, CART litem GII CAPlil. cmc. 21 CARD In. in C, I CART 111. in C. *I 0.00 Ariaunt IUNAD, USEDjil o Do ODD 0.00 O 00 0.00 0.00 .6.00 0.00 0.00 Isignature of Duly-Authorized Oncerj 0.00 -6.00 0.00