Resolution modifying the General Provisions applicable to credit institutions (articles 2 Bis 98 e, third paragraph and 2 Bis 98 g, sections I and IV REFORMED; articles 2 Bis 98 f and 2 Bis 98 g, sections II and III REPEALED)

Official Gazette of the Federation: 22/06/2022

RESOLUTION that modifies the General Provisions applicable to credit institutions (its articles 2 Bis 98 e, third paragraph and 2 Bis 98 g, sections I and IV are REFORMED, and articles 2 Bis 98 f and 2 Bis 98 g, sections II and III are REPEALED).

On the margin a seal with the National Shield, which says: United Mexican States.- TREASURY.- Secretariat of Finance and Public Credit.- National Banking and Securities Commission.

The National Banking and Securities Commission, prior agreement of its Governing Board and based on the provisions of articles 50 and 98 Bis of the Credit Institutions Law, as well as 4, sections XXXVI and XXXVIII and 16, sections I and VI of the Law of the National Banking and Securities Commission, having the opinion of the Bank of Mexico, and

CONSIDERING

That in attention to article 78 of the General Law on Regulatory Improvement and with the purpose of reducing the compliance cost of the " Resolution that modifies the General Provisions applicable to credit institutions " , this decentralized body through this modifying resolution repeals the obligations for credit institutions to use the method contained in article 2 Bis 98 f, as well as the formula to calculate the capital requirement that said financial entities must estimate when comparing the theoretical capital KCC with the total resources of the Default Fund available to the central counterparty (CC) to mutualize losses (RC) assuming two clearing members of average size that default;

That, with the object of maintaining a capital framework of the Mexican financial system aligned to international prudential capitalization standards regarding credit risk for credit institutions, issued by the Basel Committee on Banking Supervision, of which Mexico is a member, that contributes to improving the solidity and stability of the banking system;

That it is considered necessary to incentivize the use of central counterparties for the settlement of derivatives operations, as well as to support efforts related to the centralized clearing of standardized Over The Counter ( OTC, acronym in English) derivative contracts and promote a reduction of the systemic risk of the derivatives market in Mexico, with the purpose of continuing to promote the sound development and stability of the financial system, and

That it is important to update the calculation of the capital requirement for the exposure of a credit institution due to its contributions to the mutualized default fund of a central counterparty, in order to incorporate international best practices in the matter and that considers the quality of the capital contributed to the fund and the application of said contributions through a loss containment mechanism in case of default by one or more of its clearing members, it has resolved to issue the following:

RESOLUTION THAT MODIFIES THE GENERAL PROVISIONS APPLICABLE TO CREDIT INSTITUTIONS

SINGLE.- Articles 2 Bis 98 e, third paragraph and 2 Bis 98 g, sections I and IV are REFORMED, and articles 2 Bis 98 f and 2 Bis 98 g, sections II and III of the " General Provisions applicable to credit institutions " , published in the Official Gazette of the Federation on December 2, 2005 and last modified by means of a resolution published in said dissemination medium on May 27, 2022, are REPEALED, to remain as follows:

" Article 2 Bis 98 e.-

. . .

The capitalization of these contributions will be made, in the case of clearing houses recognized by the Mexican financial authorities, according to Article 2 Bis 12 a, section I, subsection a) prior approval of the Commission, according to the method contained in Article 2 Bis 98 g.

. . .

Article 2 Bis 98 f.- Repealed.

Article 2 Bis 98 g.- Institutions that maintain positions with clearing houses that comply with the provisions of Article 2 Bis 98 e, third paragraph of these provisions, must maintain capital for the totality of the contributions they have made for the constitution of the Default Funds of the indicated clearing houses, for which they must calculate their corresponding capital requirements for said contributions according to the following:

. . .

Where,

Hypothetical or theoretical capital of the clearing house.

Number of clearing members.

Credit risk conversion value for operations with derivative instruments that the clearing house has registered with the i-th clearing member, including both operations on behalf of the clearing member itself and those with the clients of the clearing member that the latter guarantees in case of default, according to Annex 1-L of these provisions and considering, where applicable, the netting between operations that corresponds, according to said annex.

Likewise, the effects that the collaterals delivered both at the beginning of the operation and at a later stage must be considered for purposes of mitigating the amount exposed before the clearing member, whether acting on its own behalf or on behalf of third parties, and that have been contributed to the clearing house to support said operations, adjusting to what is established in Title First Bis, Chapter III, Section Second, Appendix E of these provisions when they have financial real guarantees that comply with the requirements established in Annex 24 of these provisions.

The hypothetical capital Kcc, as well as the other aggregated variables that are relevant for the application of the method presented in this article, must be published by the clearing house, so Institutions may not use the method of this article to obtain the capital requirement when the clearing house does not disclose, at least quarterly, said information, or if the Commission determines that said clearing house does not observe the requirements that, where applicable, the Commission itself and the Bank of Mexico jointly make to it regarding the information, documentation, disclosure, methodology or calculation procedure of said hypothetical capital, in which case they will be subject to what is stipulated in Article 2 Bis 98 e, fourth paragraph of these provisions to determine risk-weighted assets.

II.

Repealed.

III.

Repealed.

IV.

The capital requirement for contributions to the Default Fund will be obtained according to the following formula:

Where,

Capital requirement for contributions to the Default Fund.

Contributions to the Default Fund made by the Institution and already constituted.

Own resources of the clearing house to mutualize losses. These resources will be constituted by the equity of the clearing house itself.

Resources of the Default Fund available from clearing members to mutualize losses. These resources will be constituted by the sum of the contributions to the Default Fund of each clearing member, as well as by the equity of each clearing member, considering the minimum equity and its excess.

In no case shall the sum of the capital requirement obtained in accordance with this section and the capital requirements corresponding to the operations indicated in Article 2 Bis 12 a of these provisions, be greater than the requirements that would correspond to said exposures in case the central counterparty was different from those indicated in Article 2 Bis 98 e, third paragraph, of these provisions. "

TRANSITORY

SINGLE.- This Resolution will enter into force the day following its publication in the Official Gazette of the Federation.

Respectfully

Mexico City, June 7, 2022.- President of the National Banking and Securities Commission, Dr. Jesús de la Fuente Rodríguez .- Signature.

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