Resolution modifying the General Provisions applicable to credit institutions

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DOF: 14/08/2024

RESOLUTION that modifies the General Provisions applicable to credit institutions

A seal with the National Coat of Arms appears at the margin, which reads: United Mexican States.- TREASURY.- Ministry of

Treasury and Public Credit.- National Banking and Securities Commission.

The National Banking and Securities Commission, with the agreement of its Board of Directors, based on

the provisions of articles 50, first paragraph, fraction I and fifth paragraph, and 98 Bis of the Credit Institutions Law, as well as 4, fractions II, XXXVI and XXXVIII, and 16, fractions I and VI of the Law of the National Banking and Securities Commission, having received the opinion of the Bank of Mexico, and

CONSIDERING

That, in accordance with article 78 of the General Law for Regulatory Improvement and with the aim of reducing the

compliance cost of this modifying resolution, the National Banking and Securities Commission,

through the issuance of the "Resolution that modifies the General Provisions applicable to

general warehouses, exchange houses, credit unions and multiple-purpose financial companies regulated", published in the Official Gazette of the Federation on January 23, 2018, through which

the deadline is extended for general warehouses and credit unions to observe the

modifications to accounting criteria derived from the Financial Information Standards, published by the

National Council of Financial Information Standards, A.C.;

That the Basel Committee on Banking Supervision, for the determination of minimum

capital requirements for operational risk under the Business Indicator Method,

included sub-items that must be considered within each component that makes up said business indicator, so it is

necessary to add to the financial component various items from the income statement such as the

result from valuations of financial instruments at fair value, the result from valuations of

currencies and the result from valuations of coined precious metals, in order to align the framework

of

capital of the Mexican financial system applicable to credit institutions with international prudential

standards;

That the aforementioned Basel Committee on Banking Supervision also issued the treatment for the

calculation of capital requirements for operational risk in the event that multiple banking institutions

carry out a merger with an institution, company or financial entity, and that the framework

secondary regulation currently applicable to these financial entities does not provide for such treatment, nor the

corresponding one for the case of spin-off, so it is necessary to incorporate them into the determination of the

capital requirements for operational risk through the business indicator method, which will allow

that credit institutions have a complete regulatory framework and at the same time aligned with

international prudential standards, thereby granting them greater certainty in the presentation of the

information that this Commission requires for the performance of its supervisory functions, and

That it is necessary to incorporate into the current regulatory framework the specific treatment to determine the

capital requirements for operational risk under the business indicator method in the event that

credit institutions do not have information corresponding to the 36 months prior to the

determination of said requirements, in order to provide them with more elements and certainty in

the

presentation of financial information to this Commission in compliance with their obligations, therefore it has

resolved to issue the following:

RESOLUTION THAT MODIFIES THE GENERAL PROVISIONS

APPLICABLE TO

CREDIT INSTITUTIONS

SINGLE.- Articles 2 Bis 114 b, fraction I, last clause to become clause c), and

fraction III and 2 Bis 115 are REFORMED; articles 2 Bis 114 b, fraction II with a second paragraph; 2 Bis 115

a; 2 Bis 115 b; 2 Bis 115 c, as well as Annex 1-D BIS 1, are ADDED; and Annexes 1-D BIS and 1-O Bis 1 are SUBSTITUTED

of the General Provisions applicable to credit institutions, published in the Official

Gazette of the Federation on December 2, 2005 and its modifications, to read as follows:

" INDEX

TITLE

FIRST to FIFTH

. . .

Transitory

List of Annexes

Annexes 1 to 1-D Bis

. . .

Annex 1-D Bis 1

Adjustment of the formulas of the business indicator method to determine the

operational risk capital requirements when the institution does not have

minimum information of 36 months.

Annexes 1-E to 73

. . . "

" Article 2 Bis 114.-

. . .

I.

. . .

a) and b)

. . .

c)

For its part, the Financial Component (CF) will be calculated in accordance with the

following

formula:

Where:

Is the Annual Trading Result corresponding to period j where

j= 1, 2

and 3 that will be calculated as the monthly flow of the concepts from the statement of

comprehensive income, or its equivalents indicated in the following Table 4,

in accordance with the following formulas:

The subscript

will correspond to the month from which the information will be taken, such that

when

said information will correspond to that of the month immediately preceding the date

of the computation of the capital requirements being carried out; when

it will

be the information corresponding to that of two months before the month of the date of the

cited calculation, and so on until

it will be the information of 36 months

before the month of the date of the referred calculation.

Table 4. Concepts to be included in Trading Result of the financial component (CF)

(current pesos)

Concepts

The Trading Result variable will be integrated by:

a.

Trading result of financial instruments and financial

derivatives instruments

b.

Trading result of currencies

c.

Trading result of coined precious metals

d.

Trading result of received collateral

e.

Transaction costs

f.

Valuation result of financial instruments at fair value

g.

Valuation result of currencies

h.

Valuation result of coined precious metals

. . .

II.

. . .

[Table 5

. . . ]

To determine the CIN referred to in this fraction, the value of the UDI on the date

for which the operational risk capital computation is being performed must be used, considering for

this its equivalent in national currency published by the Bank of Mexico in the Official Gazette of

the

Federation.

III.

Once the CIN referred to in the previous fraction is obtained, it will be used to calculate,

monthly, the internal loss multiplier (MPI) through the following formula:

Where:

. . .

15 times the average of annual losses for Operational Risk incurred during the 120

months prior to the calculation of the corresponding capital requirements. Institutions

for the determination of such losses must comply with what is established in Annexes 1-D Bis

and 12-A of these provisions. For purposes of calculating the average of the annual

losses, both null losses and those losses that have resulted negative after considering recoveries must be considered as zero.

. . .

. . .

. . .

Article 2 Bis 115.- With respect to the variables necessary to determine the business

indicator (BI) established in article 2 Bis 114 b, fraction I of these provisions, the

Institutions that do not have minimum information of the last 36 months will determine the capital

requirement for Operational Risk with the information available on the date of the computation, in accordance with

Annex 1-D Bis 1 of these provisions.

Article 2 Bis 115 a.- In the event that an Institution obtains authorization to carry out a merger in

terms of article 27 of the Law or 17 of the Law to Regulate Financial Groupings, the merging Institution must include in the calculation of the components CIAD, CS and CF, referred to in article 2 Bis

114 b above, the historical information corresponding to the assets, liabilities, capital and operations that will be

transferred as a result of the merger of the merging Institution, company or financial entity, from the moment

the cited merger takes effect and said assets, liabilities, capital and operations are registered in the

accounting of that institution.

On the other hand, for the calculation of the PI referred to in article 2 Bis 114 b, fraction III of these

provisions, the merging Institution must consider, in addition to the entirety of its own historical

operational risk losses corresponding to its assets, liabilities, capital and operations, those

operational risk losses corresponding to the assets, liabilities, capital and operations subject to the

merger in question, provided that the Institution, company or financial entity merged maintains, or has

the obligation to maintain a record of historical operational risk losses.

The merging Institution must present to this Commission, within a period not exceeding 20 business days

after the request for the authorization referred to in article 27 of the Law or 17 of the Law to Regulate

Financial Groupings, the following information:

I.

The information of the merging Institution, prior to the merger; as well as that of the

institution, of the

company or financial entity merged; and the information of the Institution resulting from the merger,

relative to the integration of the concepts necessary to determine CIAD, CS, CF and PI, as the

case may be, as well as a detailed explanation of how said integration was determined.

II.

The documentary evidence that the determination of the loss base of the merged institution

has complied with what is established in Annexes 1-D Bis and 12-A of these provisions.

The Commission may request additional documentation and information referred to in the previous paragraph, which it

deems necessary to identify and compare the information used for the determination of the

capital requirements for operational risk.

The Commission will evaluate the information presented by the Institution, used for the estimation of the

capital requirements for operational risk, in terms of what this Section establishes; as well as the

risks acquired once the merger of assets, liabilities, capital or operations in question

takes effect.

The Commission may, in the event that it determines that the estimation of the capital requirements for

operational risk of the Institution resulting from the merger referred to in articles 27 of the Law or 17 of

the Law to Regulate Financial Groupings, is underestimated, request the corrections that

correspond so that the entity adjusts the estimations of the components CIAD, CS, CF, as well as the PI referred to in article 2 Bis 114 b of these provisions.

If the corrections referred to in the previous paragraph are not resolved by the Institution, the Commission

determines that the Institution must estimate the components CIAD, CS and CF in accordance with article 2

Bis 115, using only the information of the Institution resulting from the merger as a newly created

entity; and the MPI, as:

The foregoing, such that the prudential character prevails to determine the capital requirement for

operational risk that was applicable to the merging institution.

Article 2 Bis 115 b.- In the event that an Institution obtains authorization to carry out the spin-off referred to

in article 27 Bis of the Law, the splitting Institution must calculate the components CIAD, CS, CF

and PI, with the historical information of the assets, liabilities, capital and operations prior to its spin-off, in the

terms provided in articles 2 Bis 114 b and 2 Bis 115 above.

Without prejudice to what is established in the previous paragraph, Institutions may request from the Commission, exclude

from the calculation of the components CIAD, CS and CF, as well as the PI referred to in article 2 Bis 114 b

of these provisions, the historical information corresponding to the assets, liabilities, capital and

operations, that will be transferred as a result of the spin-off. In such case, Institutions must present, within a period not exceeding 20 business days after the request for the authorization referred to in

article 27 Bis of the Law, the following:

I.

The information of the Institution, prior to its spin-off, as well as that of the splitting institution,

corresponding to the separation of the concepts necessary to determine CIAD, CS, CF and PI,

as the case may be, as well as a detailed explanation of how said separation was determined.

II.

The documentary evidence that the determination of the loss base of the splitting institution

has complied with what is established in Annexes 1-D Bis and 12-A of these provisions.

The Commission may request additional documentation and information referred to in the previous paragraph, which it

deems necessary to identify and compare the information used for the determination of the

capital requirements for operational risk.

The Commission will evaluate the information presented by the Institution, in terms of what is established in the

present Section, in order to demonstrate that the Institution does not retain residual exposure to the assets,

liabilities, capital and operations that are subject to spin-off.

The Commission may, in the event that it determines that the estimation of the capital requirements for

operational risk of the splitting institution is underestimated, request the corrections that correspond

so that the entity adjusts the estimations to the components CIAD, CS, CF, as well as the PI referred to in

2 Bis 114 b above.

If the corrections referred to in the previous paragraph are not resolved by the Institution, the Commission

determines that its capital requirements for operational risk shall be constituted in accordance with what is

established in the first paragraph of this article, in order that the prudential character prevails to determine the capital requirement for

operational risk that was applicable to the splitting institution.

Article 2 Bis 115 c.- In the case of new Institutions or multiple-purpose financial companies

regulated with equity links with these, complying with what is provided in article 87-C of the General Law

of Organizations and Auxiliary Credit Activities, that have obtained authorization,

to organize and

operate as such, and that prior to said authorization or compliance with what is provided by the referred article

87-C, they were a financial entity referred to in article 3, fraction IV of the Law of the National

Banking and Securities Commission, subject to the supervision of the Commission or any other national or

foreign authority with supervisory powers, must determine their capital requirements for operational

risk referred to in article 2 Bis 114 b, using their available historical information. "

TRANSITORY

FIRST.- This Resolution will enter into force the day following its publication in the Official

Gazette of the Federation, with the exception of what is provided in article 2 Bis 114 b, fraction I, whose validity

will begin on the first day of the calendar month immediately following the date of publication of this

Resolution.

SECOND.- Institutions that, upon the entry into force of this Resolution, have requested an

authorization to carry out a merger, in terms of what is provided in articles 27 of the Law or 17 of the

Law to Regulate Financial Groupings or a spin-off in terms of article 27 Bis of the Law and

said requests have not been resolved, may adjust to the terms established in the modifications

made in this Resolution, for which they must adapt the request presented to the Commission

within a period not exceeding 60 business days from the entry into force of this Resolution.

THIRD.- Institutions that, upon the entry into force of this Resolution, have carried out

during 2024 the annual review and validation referred to in Annex 1-D Bis, Section B, second paragraph

which is substituted with this regulatory instrument, must send to the Commission the results of the review and

validation carried out by external auditors referred to, within a period not exceeding 20 business days counted from

the business day following the date of entry into force of this Resolution.

Respectfully

Mexico City, August 07, 2024.- President of the National Banking and Securities Commission,

Dr. Jesús de la Fuente Rodríguez.- Signature.

ANNEX 1-D BIS

MINIMUM REQUIREMENTS FOR THE USE OF THE BUSINESS INDICATOR METHOD IN THE CALCULATION

OF THE CAPITAL REQUIREMENT FOR OPERATIONAL RISK

SECTION A

GENERAL REQUIREMENTS FOR USE OF THE BUSINESS INDICATOR METHOD

Institutions must observe at all times and keep available to the Commission the evidence

of compliance with the following minimum general requirements:

I.

The General Manager must review the Operational Risk management framework at least annually and

have evidence supporting said review.

II.

Have an Operational Risk management methodology based on a solid and updated conceptual framework

of analysis in accordance with these provisions.

III.

Have an organizational structure and sufficient resources to implement the methodology

for Operational Risk management in the different business lines of the Institutions, as well

as in the areas of control and audit.

SECTION B

GENERAL CRITERIA FOR DETERMINING THE INTERNAL LOSS MULTIPLIER

Institutions to determine the Internal Loss Multiplier (MPI) must comply with the

requirements established in Annex 12-A of these provisions regarding the identification, collection and

treatment of internal operational loss data.

Likewise, Institutions must carry out annually a review and validation of the policies,

processes and specific procedures for the identification, collection and treatment of information

related to internal losses for Operational Risk, as well as the process for the execution of the

calculation of the capital requirement for Operational Risk, which must be performed by external

auditors. This review must be carried out more frequently when so considered by Institutions for

new activities or changes in their operations. The results of the review and validation performed by the

external auditors referred to in this paragraph must be sent to the Commission within a period not exceeding

20 business days after the presentation to the Risk Committee.

An internal area will be considered independent when structurally and functionally it does not depend on

areas in charge of the administration of the operational loss event database and of the

areas in charge of the administration of the Institution's risks.

SECTION C

SPECIFIC CRITERIA ON IDENTIFICATION, COLLECTION AND TREATMENT OF DATA

I.

For purposes of calculating the Internal Loss Multiplier (MPI), Institutions must

adhere to the following definitions:

a)

Gross loss: the loss before any type of recovery.

b)

Net loss: the loss after taking into account the accounting effects of

recoveries.

c)

Recovery: an independent event, related to the initial loss event but separated

in time, by which the impact of the loss is less as a result of the receipt of

economic resources or economic benefits from a third party, such as reimbursements

for insurance payments, recoveries of transfers of resources sent to incorrect recipients.

Receivables are not considered as a recovery, until payment is received.

II.

For purposes of calculating the MPI, Institutions must use the amount of net losses,

provided that recoveries have been effectively paid and there is evidence of

the receipt of payment. Notwithstanding the foregoing, Institutions must identify the losses

gross, recoveries, separating reimbursements not from insurance and recoveries

from insurance for all operational loss events.

III.

In the computation of the gross loss of the historical database of loss events for Operational

Risk, Institutions must include the following concepts:

a)

Direct loss records, including impairments and write-offs against accounts

of losses and gains, as well as reductions due to Operational Risk events.

b)

Internal and external costs and expenses incurred as a consequence of the loss event

of Operational Risk, such as legal fees directly related to the event,

costs associated with the repair or substitution incurred to restore the

situation prior to the Operational Risk event.

c)

Provisions or reserves that are registered in the statement of comprehensive income, or its equivalent,

to cover the possible effects of operational losses.

d)

Losses derived from Operational Risk events with a definitive financial impact, but

that are not yet registered in the statement of comprehensive income of the Institutions, such as

contingencies registered in off-balance sheet accounts.

e)

Negative economic impacts registered in an accounting period, resulting from

Operational Risk events that affect cash flows or the financial statements of

previous accounting periods.

IV.

When the Institution intends to exclude from the MPI calculation any Operational Risk loss event from the

historical database referred to in Annex 12-A of these

provisions, it must request authorization from the Commission duly justified, which will be

accompanied by the documentation of the policies that determined the exclusions of events of

operational risk loss, for which it must be taken into consideration whether the cause of the event

of losses could occur in other areas of the Institution's operations.

In the case of legal exposures subject to out-of-court settlement and the discontinuation of

business lines or activities, Institutions must demonstrate that there is no similar legal exposure to the

previous one, or residual and that the excluded Operational Risk loss events have no relevance for other activities that continue or for other products.

Furthermore, Institutions may request authorization from the Commission to exclude certain operational loss events that have ceased to be relevant to their risk profile.

For an Operational Risk loss event to be excluded from the corresponding database, such event must meet each of the following conditions:

a) Represent less than 5% of the Institution's average historical losses over the last 5 years.

b) Have remained in the Operational Risk loss events database for a minimum period of three years, with the exception of events associated with discontinued activities or Business Units.

Institutions may request authorization from the Commission to exclude operational loss events for the calculation of the Internal Multiplication Factor (MPI), when as a result of modifications to their general plan of operation referred to in Article 10, fraction IV of the Law, the Institutions no longer carry out the activities that gave rise to such operational loss events, for which they must previously demonstrate that there is no residual exposure for said events and that their exclusion has no relevance for their operation under the modified general plan of operation.

SECTION D

ACCOUNTS THAT INTEGRATE THE CALCULATION OF THE BUSINESS INDICATOR

Business Indicator Component IN Concepts from the comprehensive income statement and the financial position statement Description Account or its equivalent Interest, lease and dividend Interest Income Interest income from all financial assets and other interest income (includes income from financial and operating leases, and gain on assets held for rent). a.1 Interest on credit portfolio with Stage 1 credit risk. a.2 Interest on credit portfolio with Stage 2 credit risk. b. Interest on credit portfolio with Stage 3 credit risk. c. Interest and yields in favor originating from investments in financial instruments. d. Interest and yields in favor in repo operations. e. Interest on cash and cash equivalents. f. Commissions for granting credit. g. Premiums in favor in securities lending operations. h. Premiums for debt placement. i. Interest and yields in favor originating from margin accounts. j. Income from hedging operations. k. Profit from valuation. l. Increase due to updating of interest income. m. Lease income. n. Recovery of credit portfolio Interest Expenses Interest expenses on financial liabilities and other interest expenses (including interest expenses on financial and operating leases, losses, depreciation and impairment of assets held for rent). a. Interest on demand deposits b. Interest on time deposits c. Interest, transaction costs and discounts borne for issuance of financial instruments that qualify as liabilities d. Interest on interbank loans and from other entities e. Interest and yields borne in repo operations f. Premiums borne in securities lending operations g. Costs and expenses associated with granting credit h Expenses from hedging operations i. Loss from valuation j. Interest borne associated with the global deposit account without activity k. Increase due to updating of interest expenses Interest-generating Assets (Accounts from the Statement of Financial Position) Loans, credits, income from securities (including government bonds), total annual assets held for rent. a. Cash and cash equivalents b.1 Credit portfolio with Stage 1 credit risk b.2 Credit portfolio with Stage 2 credit risk c. Investments in financial instruments d. Securities lending e. Financial derivative instruments Dividend Income Dividend income from investments in shares and funds not consolidated in the Institution's financial statements, including dividend income from non-consolidated subsidiaries, associates and related parties. a. Dividends from permanent investments b. Dividends from instruments that qualify as equity financial instruments Services Commission and Fee Income Income received for advice and services. Includes income received by the Institution as an intermediary for financial services. a. Guarantees b. Letters of credit without refinancing c. Acceptances on behalf of third parties d. Purchase and sale of financial instruments e. Account opening f. Account management g. Fiduciary activities h. Fund transfers i. Bank drafts j. Cashier's checks k. Certified checks l. Traveler's checks m. Custody or administration of goods n. Safe deposit box rental ñ. Electronic Banking Services o. Other commissions and fees charged p. Credit operations Commission and Fee Expenses Expenses paid to receive advice and services, including payments for contracting third parties who offer the provision of financial services, but excluding payments for contracting third parties who offer non-financial services, such as logistics, information technology and human resources. a. Correspondent banks b. Commission agents c. Fund transfers d. Borrowed loans e. Debt placement f. Other commissions and fees paid Other Operating Income Income from ordinary banking operations not included in other IN accounts, but of a similar nature (lease operation income should be excluded). a. Recoveries b. Income from acquisition of credit portfolio c. Profit from sale of credit portfolio d. Income from purchase option in financial leasing operations e. Income from participation in the selling price of goods in financial leasing operations f. Result from sale of adjudicated goods (provided it is positive) g. Result from valuation of adjudicated goods (provided it is positive) h. Result from sale of properties, furniture and equipment (provided it is positive) i. Interest in favor originating from loans to officials and employees j. Result from valuation of benefits receivable in securitization operations (provided it is positive) k. Result from valuation of the asset for administration of transferred financial assets (provided it is positive) l. Result from valuation of the liability for administration of transferred financial assets (provided it is positive) m. Result from benefits receivable in securitization operations (provided it is positive) ñ. Other items from operating income (expenses) (provided it is positive) o. Result from valuation of items not related to the financial margin (provided it is positive) p. Result from monetary position originated by items not related to the financial margin q. Increase due to updating of other operating income (expenses) (provided it is positive) Other Operating Expenses Expenses and losses from ordinary operations not included in other IN accounts, but of a similar nature and from operational loss events (operating lease expenses should be excluded). a. Expenses for acquisition of credit portfolio b. Loss from sale of credit portfolio c. Deficits d. Donations e. Loss from adjudication of goods f. Result from sale of adjudicated goods (provided it is negative) g. Result from valuation of adjudicated goods (provided it is negative) h. Loss in custody and administration of goods i. Loss in trust operations j. Interest borne in financing for acquisition of assets k. Result from sale of properties, furniture and equipment (provided it is negative) l. Result from valuation of benefits receivable in securitization operations (provided it is negative) m. Result from valuation of the asset for administration of transferred financial assets (provided it is negative) n. Result from valuation of the liability for administration of transferred financial assets (provided it is negative) ñ. Result from benefits receivable in securitization operations (provided it is negative) o. Other items from operating income (expenses) (provided it is negative) p. Increase due to updating of other operating income (expenses) (provided it is negative) q. Result from valuation of items not related to the financial margin (provided it is negative) Financial Net Profit (Loss) on Assets and Liabilities · Net profit/loss on assets and liabilities of derivatives, debt securities, credits, short positions, other assets and liabilities. · Net profit/loss on hedge accounts · Net profit/loss from exchange differences. a. Result from purchase and sale of financial instruments and financial derivative instruments b. Result from purchase and sale of currencies c. Result from purchase and sale of minted precious metals d. Result from sale of received collateral e. Transaction costs f. Result from valuation of financial instruments at fair value g. Result from valuation of currencies h. Result from valuation of minted precious metals

---

ANNEX 1-D BIS 1

ADJUSTMENT OF THE BUSINESS INDICATOR METHOD FORMULAS TO DETERMINE CAPITAL REQUIREMENTS FOR OPERATIONAL RISK WHEN THE INSTITUTION DOES NOT HAVE MINIMUM INFORMATION FOR 36 MONTHS

Institutions to calculate the capital requirement for their exposure to Operational Risk, under the Indicator Method established in Article 2 Bis 114 b, fraction I, that do not have minimum information for the last 36 months, will determine the Operational Risk capital requirement with the information available as of the computation date, in accordance with the following procedure:

I. If the Institution has up to 12 months of information, each component will be calculated as follows: a) The calculation of the Interest, Lease and Dividends component (CIAD) will be calculated considering the formula expressed below. Where: b) The Services component (CS) will be calculated considering: Where: c) For its part, the Financial component (CF) will be calculated in accordance with the following: In all cases, the subscript will correspond to the month from which the information will be taken, such that when such information corresponds to the first month with available data, it will be the information from the second month with available data, and so on until it will be the information from the month immediately preceding the date of the capital requirement computation being carried out, and where t is less than or equal to 12.

II. If the Institution has 13 months up to 24 months of information, each component will be calculated as follows: a) For the calculation of the CIAD, institutions must consider the formula expressed below: Where: b) The CS must be calculated considering: Where: c) For its part, the CF will be calculated in accordance with the following: In all cases, the subscript corresponds to the month from which the information will be taken, such that when such information corresponds to the first month with available data, it will be the information from the second month with available data, and so on until it will be the information from the month immediately preceding the date of the capital requirement computation being carried out, and where t is less than or equal to 24 and greater than 12.

III. If the Institution has 25 up to 35 months of information, each component will be calculated as follows: a) For the calculation of the CIAD, institutions must consider the formula expressed below: Where: b) The CS must be calculated considering: Where: c) For its part, the CF will be calculated in accordance with the following: In all cases, the subscript will correspond to the month from which the information will be taken, such that when such information corresponds to the first month with available data, it will be the information from the second month with available data, and so on until it will be the information from the month immediately preceding the date of the capital requirement computation being carried out, and where t is less than 36 and greater than 24.

ANNEX 1-O BIS 1

DISCLOSURE OF INFORMATION RELATING TO THE CALCULATION OF THE CAPITAL REQUIREMENT FOR OPERATIONAL RISK

Institutions must disclose the information contained in the following sections: I. Minimum capital requirement for operational risk; II. Business indicator and subcomponents; III. Historical losses.

For the purposes of the information disclosure referred to in this annex, Institutions must proceed as follows: a. The figures must be presented in millions of pesos in accordance with Article 176 of these provisions. b. The information will be that corresponding to the Institution without consolidating subsidiaries or special purpose entities and at the close of the corresponding fiscal year. c. The information contained in sections I to III of this annex must be calculated in the terms indicated in Article 2 Bis 114 b of these provisions.

SECTION I

MINIMUM CAPITAL REQUIREMENT FOR OPERATIONAL RISK

Institutions must disclose the capital requirement for operational risk in accordance with the following format:

Reference Description a 1 Business Indicator Component (BIC) 2 Internal Multiplication Factor (IMF) 3 Capital Requirement for Operational Risk 4 Assets subject to Operational Risk Definitions Reference 1: The BIC corresponds to the incremental calculation established in Table 5 of Article 2 Bis 114 b, fraction II of these provisions. Reference 2: The IMF corresponds to the calculation established in fraction III of Article 2 Bis 114 b of these provisions. Reference 3: The Capital Requirement for Operational Risk will be determined by multiplying the BIC and the IMF, shown previously in references 1 and 2, respectively. In case that Institutions do not have a database of Operational Risk losses that has been constituted in compliance with what is established in Annexes 1-D Bis and 12-A for at least the last five years, or if they have been in operation for less than five years, their capital requirement for Operational Risk will be equal to the BIC. Reference 4: The Assets subject to Operational Risk are determined by multiplying the Capital Requirement for Operational Risk, shown previously in reference 3, by 12.5, in accordance with what is established in Article 2 Bis 116 of these provisions.

SECTION II BUSINESS INDICATOR AND SUBCOMPONENTS

Institutions must disclose the Business Indicator (BI) and its subcomponents, which are used to calculate the Capital Requirement for Operational Risk, in accordance with the following format:

Reference BI and its subcomponents a b c j=3 j=2 j=1 1 Interest, Lease and Dividends Component (ILD) 1a Interest Income 1b Interest Expenses 1c Productive Assets 1d Dividend Income 2 Services Component (SC) 2a Charged Commissions and Fees 2b Paid Commissions and Fees 2c Other Operating Income 2d Other Operating Expenses 3 Financial Component (FC) 3a Result from Purchase and Sale 4 Business Indicator (BI) 5 Business Indicator Component (BIC)

• Institutions must report figures considering adjustments derived from assets, liabilities, capital and spin-off operations, as referred to in Article 2 Bis 115 b of these provisions applicable. In such case, they must disclose as a footnote to this table, the magnitude of the adjustment to the BI derived from the corresponding spin-off. This must be disclosed during the 36 months in which the adjustment to the BI estimate derived from said spin-off is applied.

Definitions Reference 1: The Interest, Lease and Dividends Component (ILD) is calculated in accordance with the formula indicated in fraction I, subsection a) of Article 2 Bis 114 b of these provisions. In the formula, the terms are calculated as the average of three years: j=3, j=2 and j=1. Reference 1a, 1b and 1d: Interest and Expense Income and Dividend Income will be the sum of the monthly flows, according to the year being disclosed, of the concepts from the comprehensive income statement indicated in Table 1 of Article 2 Bis 114 b of these provisions, according to the corresponding concept. Reference 1c: Productive Assets will be the average of the 36 months of balances at the close of each month reflected in their statement of financial position of the concepts indicated in Table 2 of Article 2 Bis 114 b of these provisions. Reference 2: Services Component (SC) is calculated in accordance with the formula indicated in fraction I, subsection b) of Article 2 Bis 114 b of these provisions. In the formula, the terms are calculated as the average of three years: j=3, j=2 and j=1. Reference 2a, 2b, 2c, 2d: Other Operating Income and Other Operating Expenses, as well as Charged and Paid Commissions and Fees, will be the sum of the monthly flows, according to the year being disclosed, of the concepts from the comprehensive income statement, or their equivalents, that are indicated in Table 3 of Article 2 Bis 114 b of these provisions, according to the corresponding concept. Reference 3: Financial Component (FC) is calculated in accordance with the formula indicated in fraction I, subsection c) of Article 2 Bis 114 b of these provisions. In the formula, the terms are calculated as the average of three years: j=3, j=2 and j=1. Reference 3a: Result from Purchase and Sale will be the sum of the monthly flows, according to the year being disclosed, of the concepts from the comprehensive income statement, or their equivalents, that are indicated in Table 4 of Article 2 Bis 114 b of these provisions. Reference 4: The Business Indicator (BI) is the sum of the three components: ILD, SC and FC, as established in fraction I of Article 2 Bis 114 b of these provisions. Reference 5: The BIC corresponds to the incremental calculation established in Table 5 of Article 2 Bis 114 b, fraction II of these provisions. Columns: j=3 indicates the end of the annual disclosure period, j=2 indicates the end of the previous year, and so on successively. Links between sections: [Section II, reference 5 column " a " ] corresponds to [Section I, reference 1, column " a " ].

III. HISTORICAL LOSSES

Institutions must disclose the Operational Risk losses incurred during the ten years prior to the calculation of the corresponding capital requirements, classifying them in the year corresponding to their accounting registration date, in accordance with the following format:

Ref Description a b c d e f g h i j K j=10 j=9 j=8 j=7 j=6 j=5 j=4 j=3 j=2 j=1 Average 10 years A. Losses 1 Total amount of net losses after recoveries (considering exclusions) 2 Total number of losses 3 Total amount of excluded losses 4 Total number of exclusions 5 Total amount of net losses after recoveries and exclusions B. Details of the calculation of capital for Operational Risk 11 Are losses used to calculate the IMF? (Yes/No) 12 If in reference 11 the answer was " No ", is the exclusion due to the failure to have a database of losses that has been constituted in compliance with what is established in Annexes 1-D Bis and 12-A of these provisions? (Yes/No)

Definitions Reference 1: Disclose the total amount of net losses after recoveries for Operational Risk loss events, incurred during the ten years prior to the calculation of the corresponding capital requirement, which must comply with what is established in Annexes 1-D Bis and 12-A of these provisions. Excluded losses from the calculation must be included in the total amount of losses disclosed in this reference. Reference 2: Disclose the total number of Operational Risk losses. Reference 3: Disclose the total amount of losses that have been excluded from the capital calculation for Operational Risk, for each of the ten years prior to the calculation of the corresponding capital requirement. Reference 4: Disclose the total number of exclusions. Reference 5: Disclose the total amount of Operational Risk losses net of recoveries and excluded losses. Reference 11: It must be indicated whether the institution uses Operational Risk losses to calculate the IMF; if an IMF=1 is presented, the answer must be negative. Reference 12: If the answer was negative in reference 11, the institution must indicate if the reason for not using Operational Risk losses to calculate the IMF is because they do not comply with what is established in Annexes 1-D Bis and 12-A of these provisions. Any request for a multiplier different from the resulting one must be disclosed in reference 2 of section I of this annex, along with a brief explanation.

Columns: For references (a) to (j), j=10 indicates the end of the annual disclosure period, j=9 indicates the end of the previous year, and so on successively. Reference (K) reveals the average annual losses, as appropriate, incurred during the ten years prior to the calculation of the corresponding capital requirement.

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