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2016-06-22 | DOF 5442144

Added 2026-09-01

Resolution modifying the general provisions applicable to Credit Institutions

The resolution establishes a methodology for calculating the leverage ratio for credit institutions and mandates quarterly public disclosure of this information. It defines 'Adjusted Assets' and 'Leverage Ratio' in Article 1, requires institutions to publish specific reconciliation data and monthly leverage metrics on their websites under Article 2 Bis 120, and updates financial statement disclosure requirements in Article 181. Implementation is phased, with systemic institutions starting in September 2016 and others in December 2016.

Mexico

Secretaria de Hacienda y Credito Publico

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DOF: 22/06/2016

RESOLUTION that modifies the general provisions applicable to Credit Institutions

At the margin, a seal with the National Coat of Arms, which says: United Mexican States.- Ministry of Finance and Public Credit.- National Banking and Securities Commission.

The National Banking and Securities Commission, based on the provisions of Article 101 Bis of the Credit Institutions Law, as well as Articles 4, fractions XXXVI and XXXVIII; 16, fraction I and 19 of the National Banking and Securities Commission Law, and

CONSIDERING

That in order to ensure the financial stability of the banking system as a whole, as well as to comply with the agreements of the Basel Committee on Banking Supervision, the methodology for calculating the leverage ratio of credit institutions and the obligation to disclose it quarterly is established, and

That knowing the leverage ratio will allow observing whether the capital of credit institutions adequately supports the assets of the institutions themselves, and that this information is useful for both markets and the supervisory activities of the National Banking and Securities Commission, has resolved to issue the following:

RESOLUTION THAT MODIFIES THE GENERAL PROVISIONS APPLICABLE TO

CREDIT INSTITUTIONS

SOLE.- Article 181, first paragraph, is REFORMED, and Articles 1, with fractions II and CXLV, are ADDED, renumbering the rest in order and as appropriate; 2 Bis 120; 181, fraction XXV, and Annex 1-O Bis is renamed "Disclosure of information relating to the Leverage Ratio" of the "General provisions applicable to credit institutions", published in the Official Gazette of the Federation on December 2, 2005, updated with the modifications published in said dissemination medium on March 3 and 28, September 15, December 6 and 8, 2006, January 12, March 23, April 26, November 5, 2007, March 10, August 22, September 19, October 14, December 4, 2008, April 27, May 28, June 11, August 12, October 16, November 9, December 1 and 24, 2009, January 27, February 10, April 9 and 15, May 17, June 28, July 29, August 19, September 9 and 28, October 25, November 26, December 20, 2010, January 24 and 27, March 4, April 21, July 5, August 3 and 12, September 30, October 5 and 27, December 28, 2011, June 19, July 5, October 23, November 28, December 13, 2012, January 31, April 16, May 3, June 3 and 24, July 12, October 2, December 24, 2013, January 7 and 31, March 26, May 12 and 19, July 3 and 31, September 24, October 30, December 8 and 31, 2014, January 9, February 5, April 30, May 27, June 23, August 27, September 21, October 29, November 9 and 13, December 16 and 31, 2015, April 7 and 28, 2016, to read as follows:

TITLES FIRST TO FIFTH

...

Annexes 1 to 1-O

...

Annex 1-O Bis

Disclosure of information relating to the Leverage Ratio.

Annexes 1-P to 70

...

" Article 1.- ...

...

II.

Adjusted Assets: the amount that Institutions register in row 21 of Table I.1 of Annex 1-O Bis of these provisions.

III. to CXLIV.

...

CXLV.

Leverage Ratio: the result of dividing Basic Capital, in accordance with Article 2 Bis 6 of these provisions, by Adjusted Assets.

CXLVI. to CXCII.

... "

" Article 2 Bis 120.- Institutions shall disseminate to the general public in accordance with the formats included in Annex 1-O Bis of these provisions and through their Internet website, information relating to the integration of their main leverage sources, a comparison between their total assets and their Adjusted Assets, a reconciliation between their total assets and the exposure within their balance sheet, and an analysis of the main variations in the elements of the Leverage Ratio.

This information shall be disclosed in accordance with Articles 180 and 181 of these provisions, as a note to the financial statements corresponding to the quarters ending in March, June, September, and December, remaining on the Institution's Internet website for at least five subsequent quarters after the date of publication for quarterly information, and for three subsequent years for annual information.

Additionally, Institutions shall publish at the close of each month on their Internet website the amount of their Adjusted Assets, their Basic Capital, and their Leverage Ratio.

When, in the judgment of the Commission, it is justified, Institutions shall disclose the information provided in Annex 1-O Bis with greater frequency, using the formats included therein for this purpose. "

" Article 181.- Institutions shall also disseminate through their Internet website the basic consolidated financial statements with figures for March, June, and September, within the month immediately following their date, including their notes, which, considering relative importance as a characteristic associated with relevance referred to in NIF A-4 "Qualitative characteristics of financial statements" or the one that replaces it, of the Financial Information Standards issued by the Mexican Council of Financial Information Standards, A.C., shall contain at minimum the following information.

I. to XXIV.

...

XXV. The Adjusted Assets and the Leverage Ratio.

...

... "

TRANSITORY PROVISIONS

FIRST.- This Resolution shall enter into force on September 1, 2016, except for what is established in the following transitory article.

SECOND.- Credit institutions, for the purpose of calculating and disclosing the information referred to in Articles 1, fractions II and CXLV, 2 Bis 120, and 181, fraction XXV, which are added by this Resolution, shall be subject to the following:

With respect to institutions referred to in fraction I of Article 2 of the Credit Institutions Law:

Those that, in accordance with Chapter VI Bis 1 of Title First Bis of the General provisions applicable to credit institutions, had been designated as locally systemically important multiple banking institutions in terms of such provisions before July 2016, the calculation and disclosure shall be carried out starting from the quarter corresponding to the month of September 2016. Additionally, in said disclosure, these institutions shall, on a one-time basis, include the information corresponding to the quarters ending in the months of March and June 2016 and December 2015.

Those that, in accordance with Chapter VI Bis 1 of Title First Bis of the General provisions applicable to credit institutions, do not fall under the scenario in the previous sub-item a), the calculation and disclosure shall be carried out starting from the quarter corresponding to the month of December 2016.

II.

With respect to institutions referred to in fraction II of Article 2 of the Credit Institutions Law, the calculation and disclosure shall be carried out starting from the quarter corresponding to the month of December 2016.

Respectfully,

Mexico City, June 14, 2016.- The President of the National Banking and Securities Commission, Jaime González Aguadé.- Signature.

Annex 1-O Bis

DISCLOSURE OF INFORMATION RELATING TO THE LEVERAGE RATIO

Institutions shall disclose the information contained in the following sections:

Integration of the main leverage sources.

II.

Comparison between total assets and Adjusted Assets.

III.

Reconciliation between total assets and exposure within the balance sheet.

IV.

Analysis of the most significant variations in the elements (numerator and denominator) of the Leverage Ratio.

For the purposes of the information disclosure referred to in this Annex, Institutions shall proceed as follows:

Figures shall be presented in millions of pesos in accordance with Article 176 of these provisions.

The information shall correspond to the Institution without consolidating subsidiaries or special purpose entities and at the close of each corresponding month.

For filling out sections I to III of this Annex, Institutions shall use information from the forms of the Bank of Mexico, in accordance with Article 2 Bis 4 of these provisions, unless otherwise specified.

The information contained in sections I to IV of this Annex shall be disseminated in the terms and deadlines set forth in Article 2 Bis 120 of these provisions.

I. Integration of the main leverage sources

Institutions shall disclose the integration of the main leverage sources, in accordance with the following Table I.1 (1). For this purpose, they shall take into consideration the notes contained in Table I.2 whose numbering coincides with the numerical reference (2) shown in the first column of Table I.1:

TABLE I.1

STANDARDIZED DISCLOSURE FORMAT FOR THE LEVERAGE RATIO

REFERENCE

ITEM

AMOUNT

On-balance sheet exposures

Items within the balance sheet (excluding financial derivative instruments and securities repurchase and lending transactions - SFT by its English acronym - but including collateral received as guarantee and registered in the balance sheet)

(Amounts of assets deducted to determine Basel III Level 1 capital)

On-balance sheet exposures (Net) (excluding financial derivative instruments and SFT, sum of lines 1 and 2)

Exposures to financial derivative instruments

Current replacement cost associated with all financial derivative instrument transactions (net of admissible cash variation margin)

Amounts of additional factors for potential future exposure, associated with all financial derivative instrument transactions

Increase by Collateral provided in financial derivative instrument transactions when such collateral is derecognized from the balance sheet in accordance with the operating accounting framework

(Deductions to receivables for cash variation margin provided in financial derivative instrument transactions)

(Exposure by transactions in financial derivative instruments on behalf of clients, in which the clearing partner does not provide its guarantee in case of Counterparty Central's failure to meet obligations)

Adjusted effective notional amount of subscribed credit financial derivative instruments

(Compensations made to the adjusted effective notional amount of subscribed credit financial derivative instruments and deductions of additional factors for subscribed credit financial derivative instruments)

Total exposures to financial derivative instruments (sum of lines 4 to 10)

Exposures by securities financing transactions

Gross SFT assets (without recognition of compensation), after adjustments for accounting transactions by sales

(Payables and receivables for SFT compensated)

Counterparty Risk Exposure by SFT

Exposures by SFT acting on behalf of third parties

Total exposures by securities financing transactions (sum of lines 12 to 15)

Other off-balance sheet exposures

Off-balance sheet exposure (gross notional amount)

(Adjustments for conversion to credit equivalents)

Off-balance sheet items (sum of lines 17 and 18)

Capital and total exposures

Level 1 Capital

Total exposures (sum of lines 3, 11, 16, and 19)

Leverage coefficient

Basel III Leverage Coefficient

TABLE I.2

NOTES TO THE STANDARDIZED DISCLOSURE FORMAT FOR THE LEVERAGE RATIO

REFERENCE

EXPLANATION

Total assets of the Institution without consolidating subsidiaries or special purpose entities (less assets presented in said balance sheet by: 1) financial derivative instrument transactions, 2) repurchase transactions, and 3) securities lending).

Amount of Basic Capital deductions established in sub-items b) to r) of fraction I, of Article 2 Bis 6 of these provisions. The amount must be recorded with a negative sign.

Sum of lines 1 and 2

Current replacement cost (RC) of financial derivative instrument transactions, in accordance with the provisions of Annex 1-L of these provisions, less partial cash settlements (cash variation margin) received, provided that the following conditions are met:

With respect to counterparties other than the clearing houses indicated in the second paragraph of Article 2 Bis 12 a, the received cash must be available to the Institution.

The market valuation of the transaction must be performed daily and the received cash must be exchanged with the same frequency.

The received cash as well as the transaction with the derivative instrument must be denominated in the same currency.

The exchanged amount of the cash variation margin must be at least the amount necessary to cover the market value considering the threshold and the minimum transfer amount agreed upon in the corresponding master contract.

The master contract with the counterparty must consider both the transaction and the variation margin, and must explicitly stipulate that settlement, in case of default, bankruptcy, restructuring, or insolvency, of any of the parties, will be carried out after compensating transactions and considering the received cash variation margins.

In any case, the maximum amount of received cash variation margins that can be considered will be that corresponding to the positive value of the current replacement cost of each counterparty.

Additional factor in accordance with Annex 1-L of these provisions, for financial derivative instrument transactions. Additionally, with respect to credit financial derivative instruments in which credit protection is provided, the credit risk conversion value must be included in accordance with Article 2 Bis 22 of these provisions.

In no case may financial real guarantees received by the Institution be used to reduce the amount of the Additional Factor reported in this line.

Not applicable. The accounting framework does not allow the derecognition of assets delivered as collateral.

Amount of cash variation margins provided in financial derivative instrument transactions that meet the conditions indicated in line 4 to subtract the received cash variation margins. The amount must be recorded with a negative sign.

Not applicable.

Not applicable. The exposure considered for the purposes of the solvency framework in credit financial derivative instrument transactions in which credit protection is provided corresponds to 100 percent of the effectively guaranteed amount in the transactions in question. This exposure is considered in line 5.

Sum of lines 4 to 10

Amount of assets registered in the general balance sheet (accounts receivable registered accounting-wise) of repurchase and securities lending transactions. The amount shall not consider any compensation in accordance with Accounting Criteria.

Positive amount resulting from deducting payables from receivables generated by repurchase and securities lending transactions, on own account, with the same counterparty, and provided that the following conditions are met:

The corresponding transactions must have the same settlement date.

The right to settle the transactions must exist at any time.

The transactions must be settled in the same system and there must be settlement mechanisms or arrangements (lines or guarantees) that allow settlement to be carried out at the end of the day on which settlement is decided.

Any problem related to the settlement of collateral flows in the form of securities must not hinder the settlement of cash payables and receivables.

The amount must be recorded with a negative sign.

Credit risk conversion value of repurchase and securities lending transactions on own account, in accordance with Article 2 Bis 22 of these provisions when there is no master netting agreement. And in accordance with Article 2 Bis 37 when such contract exists. The foregoing without considering adjustments for admissible financial real guarantees applied to the guarantee in the capitalization framework.

With respect to repurchase and securities lending transactions on behalf of third parties, in which the Institution provides guarantee to its clients in case of counterparty default, the amount to be registered is the positive difference between the value of the security or cash that the client has delivered and the value of the guarantee that the borrower has provided.

Additionally, if the Institution can dispose of the collateral delivered by its clients, on own account, the amount equivalent to the value of the securities and/or cash delivered by the client to the Institution.

Sum of lines 12 to 15

Amounts of credit commitments recognized in off-balance sheet accounts in accordance with Accounting Criteria.

Amounts of reductions in the value of credit commitments recognized in off-balance sheet accounts by applying the credit risk conversion factors established in Title First Bis of these provisions, considering that the minimum credit risk conversion factor is 10% (for those cases where the conversion factor is 0%) and in the case of the transactions referred to in sub-item IV of article 2 Bis 22 of said provisions, a credit risk conversion factor of 100%.

The amount must be recorded with a negative sign.

Sum of lines 17 and 18

Basic Capital calculated in accordance with article 2 Bis 6 of these provisions.

Sum of lines 3, 11, 16, and 19

Leverage Ratio. Quotient of line 20 divided by line 21.

II. Comparison between total assets and adjusted assets

Institutions shall present a comparison between total assets and adjusted assets, in accordance with the following format. For this purpose, they shall take into consideration the explanation contained in Table II.2 that corresponds to the numerical reference (3) shown in the first column of Table II.1.

TABLE II.1

COMPARISON OF TOTAL ASSETS AND ADJUSTED ASSETS

REFERENCE

DESCRIPTION

AMOUNT

Total assets

Adjustment for investments in the capital of banking, financial, insurance, or commercial entities that are consolidated for accounting purposes, but remain outside the scope of regulatory consolidation

Adjustment relating to fiduciary assets recognized in the balance sheet in accordance with the accounting framework, but excluded from the exposure measure of the leverage coefficient

Adjustment for financial derivative instruments

Adjustment for repurchase and securities lending transactions (4)

Adjustment for items recognized in off-balance sheet accounts

Other adjustments

Leverage coefficient exposure

TABLE II.2

NOTES TO THE

COMPARISON OF TOTAL ASSETS AND ADJUSTED ASSETS

REFERENCE

DESCRIPTION

Total assets of the Institution without consolidating subsidiaries or special purpose entities.

Amount of Basic Capital deductions contained in sub-items b), d), e), f), g), h), i), j), and l) of fraction I, of Article 2 Bis 6 of these provisions.

The amount must be recorded with a negative sign.

Not applicable. The scope of application is on the Institution without consolidating subsidiaries or special purpose entities.

Amount equivalent to the difference between the figure contained in row 11 of Table I.1 and the figure presented in financial derivative instrument transactions contained in the Institution's balance sheet.

The amount must be recorded with the sign resulting from the indicated difference, i.e., it can be positive or negative.

Amount equivalent to the difference between the figure contained in row 16 of Table I.1 and the figure presented by repurchase and securities lending transactions contained in the Institution's balance sheet.

The amount must be recorded with the sign resulting from the indicated difference, i.e., it can be positive or negative.

Amount registered in row 19 of Table I.1.

The amount must be recorded with a positive sign.

Amount of Basic Capital deductions contained in sub-items c), k), m), n), p), q), and r) of fraction I, of Article 2 Bis 6 of these provisions.

The amount must be recorded with a negative sign.

Sum of lines 1 to 7, which must coincide with line 21 of Table I.1.

III. Reconciliation between total assets and exposure within the balance sheet

Institutions shall present a reconciliation between their total assets and the exposure within the balance sheet that they recognize for the purposes of the Leverage Ratio in accordance with the following format. For this purpose, they shall take into consideration the explanation contained in Table III.2 that corresponds to the numerical reference shown in the first column of Table III.1.

TABLE III.1

RECONCILIATION BETWEEN TOTAL ASSETS AND EXPOSURE WITHIN THE BALANCE SHEET

REFERENCE

CONCEPT

AMOUNT

Total assets

Transactions in financial derivative instruments

Transactions in repurchase and securities lending

Fiduciary assets recognized in the balance sheet in accordance with the accounting framework, but excluded from the exposure measure of the leverage coefficient

On-balance sheet exposures

TABLE III.2

NOTES TO THE RECONCILIATION BETWEEN TOTAL ASSETS AND EXPOSURE WITHIN THE BALANCE SHEET

REFERENCE

DESCRIPTION

Total assets of the Institution without consolidating subsidiaries or special purpose entities.

...

The amount corresponding to operations in financial derivative instruments presented in the assets of the most recent financial statements.

The amount must be recorded with a negative sign.

The amount corresponding to securities repurchase and lending operations presented in the assets of the most recent financial statements.

The amount must be recorded with a negative sign.

Not applicable. The scope of application is on the Institution without consolidating subsidiaries or special purpose entities.

Sum of lines 1 to 4, which must match line 1 of Table I.1

IV. Principal causes of the most significant variations in the elements (numerator and denominator) of the Leverage Ratio.

Institutions must explain the principal quantitative and qualitative factors that have led to the percentage variation in their Leverage Ratio and its components, between the quarter being reported and the immediate previous one. For this purpose, they must use the following format:

TABLE IV.1

PRINCIPAL CAUSES OF THE MOST SIGNIFICANT VARIATIONS IN THE ELEMENTS

(NUMERATOR AND DENOMINATOR) OF THE LEVERAGE RATIO

CONCEPT/QUARTER

T-1

VARIATION (%)

Basic Capital 1 /

Adjusted Assets 2 /

Leverage Ratio 3 /

1/ Reported in row 20, 2/ Reported in row 21 and 3/ Reported in row 22, of Table I.1.

Likewise, Institutions must consider at least: the variation recorded in basic capital, as well as in Adjusted Assets based on their origin, distinguishing between on-balance sheet exposures (Net), exposures to financial derivative instruments, exposures from securities repurchase and lending operations, as well as those recorded in off-balance sheet accounts.

Table I.1 corresponds to the international disclosure format contained in the document "Leverage Ratio framework and disclosure requirements" published by the Basel Committee on Banking Supervision in January 2014.

The numerical reference coincides with the reference of the international disclosure format on the leverage ratio in accordance with the international disclosure format contained in the document "Leverage Ratio framework and disclosure requirements" published by the Basel Committee on Banking Supervision in January 2014.

In which the value of the operation is the market value of the operations and are generally subject to margin agreements.

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