Regulatory Alerts2022-03-01 | DOF 5644132Added · Updated
Resolution modifying the General Provisions on Liquidity Requirements for Multiple Banking Institutions
This Resolution adds two transitional articles to the General Provisions on Liquidity Requirements for Multiple Banking Institutions, allowing institutions to exclude market price variations of listed securities occurring in March 2020 from Stable Funding Ratio calculations and to exclude March 2020 from the Look Back Approach for contingent outflows from derivative operations. It also modifies Annex 7 to align credit risk weighting categories with IFRS 9 credit stages and updates Annex 10 to permit the use of unaudited March quarter data for Stable Funding Ratio reporting. These measures take effect on March 1, 2022.
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DOF: 01/03/2022
RESOLUTION modifying the General Provisions on Liquidity Requirements for Multiple Banking Institutions
At the margin, a seal with the National Coat of Arms, which reads: United Mexican States.- TREASURY.- Ministry of Finance and Public Credit.- National Banking and Securities Commission.- Bank of Mexico.
The Bank of Mexico, based on the provisions of articles 28, paragraphs sixth and seventh of the Political Constitution of the United Mexican States; 96 Bis 1 of the Credit Institutions Law, as well as 24; 26; 36; 36 Bis and 47, fraction I of the Bank of Mexico Law; 1º; 4º, first paragraph; 10, first paragraph; 14 in relation to 25; 14 Bis, in relation to 17, and 14 Bis 1 in relation to 25 Bis 1 of the Internal Regulations of the Bank of Mexico and Second, fractions VIII and X of the Agreement on the Assignment of the Administrative Units of the Bank of Mexico, and the National Banking and Securities Commission, based on the provisions of articles 96 Bis 1; 96 Bis 2, last paragraph and 98 Bis of the Credit Institutions Law; as well as 4, fractions XXXVI and XXXVIII; 16, fraction I and 19 of the Law of the National Banking and Securities Commission, and
CONSIDERING
That the Credit Institutions Law grants the joint authority to the National Banking and Securities Commission and the Bank of Mexico to issue general provisions establishing liquidity requirements that multiple banking institutions must comply with at all times, in accordance with the guidelines established for this purpose by the Liquidity Regulatory Committee in terms of said Law;
That the Liquidity Regulatory Committee, in sessions held on October 17, 2014 and June 14, 2018, issued the guidelines to implement the Liquidity Coverage Ratio and the Net Stable Funding Ratio, and determined that these requirements must be consistent with the standards issued by the Basel Committee on Banking Supervision in matters of liquidity requirements insofar as the Mexican legal framework allows and with the objective of preserving the stability of the Mexican financial system;
That on April 14, 2020, the Exceptions to the "General Provisions on Liquidity Requirements for Multiple Banking Institutions" (Exceptions) were issued jointly by the Bank of Mexico and the National Banking and Securities Commission, the latter published in the Official Gazette of the Federation on December 31, 2014 and modified through Resolutions published in said Gazette on December 31, 2015 and December 28, 2016 (Previous Liquidity Provisions), and that these Exceptions were extended on August 26, 2020 and February 26, 2021;
That the Exceptions contemplated that, notwithstanding the provisions of Annex 4, numeral III of the Previous Liquidity Provisions, to determine the contingent outflow from operations with derivative financial instruments (Look Back Approach), which is calculated as the maximum absolute value of the sum of the amounts indicated in subsections a) and b) of said numeral III of Annex 4, calculating said subsections for each horizon of thirty consecutive days during the last 24 months, multiple banking institutions may exclude, from February 28, 2020, the month of March 2020 for the calculation of said amounts;
That the Exceptions also contemplated that, regardless of what is established in Annex 1, fraction II, numeral 1, first paragraph and 2, first paragraph of the Previous Liquidity Provisions, from September 1, 2021, variations in the market price of the securities listed in said fraction II will not be taken into account, when these have occurred since March 1, 2020 and until March 31 of that same year;
That on August 23, 2021, the "General Provisions on Liquidity Requirements for Multiple Banking Institutions" were published in the Official Gazette of the Federation (Liquidity Provisions);
That, in accordance with the First Transitory Article of the Liquidity Provisions, these will enter into force on March 1, 2022, except for what is provided in the respective transitory articles and that, in accordance with Article Second Transitory of the Liquidity Provisions, as of the date of their entry into force, the Previous Liquidity Provisions will be repealed;
That it is necessary to provide that, to determine the contingent outflow from operations with derivative financial instruments (Look Back Approach), multiple banking institutions may exclude, also under the Liquidity Provisions, once these enter into force, the month of March 2020 for calculation of said amounts;
That it must also be provided that, to determine the instruments that may count as Level II Group Liquid Assets, multiple banking institutions may exclude also under the Liquidity Provisions, once these enter into force, the variations in the market price of the securities listed in Annex 1, fraction II of the Liquidity Provisions, when these have occurred since March 1, 2020 and until March 31 of that same year, and
That it is necessary to homogenize the terminology of the Liquidity Provisions with that used in the "General Provisions Applicable to Credit Institutions" issued by the National Banking and Securities Commission, which were modified through a Resolution published in the Official Gazette of the Federation on March 13, 2020, with the purpose of updating the accounting criteria applicable to credit institutions to make them consistent with International Financial Reporting Standard 9 "Financial Instruments" (IFRS 9, in English), therefore it has resolved to issue the following:
RESOLUTION MODIFYING THE GENERAL PROVISIONS ON LIQUIDITY REQUIREMENTS FOR MULTIPLE BANKING INSTITUTIONS
FIRST.- The Fifth and Sixth Transitory Articles are ADDED to the "General Provisions on Liquidity Requirements for Multiple Banking Institutions", published in the Official Gazette of the Federation on August 23, 2021, to read as follows:
" FIRST to FOURTH
...
FIFTH.- Notwithstanding what is established in Annex 1, fraction II, numeral 1, first paragraph, and numeral 2, first paragraph, of these provisions, for those securities listed in said fraction II that were issued prior to April 1, 2020, no account will be taken of variations in their market price occurring since March 1, 2020 and until March 31 of that same year.
SIXTH.- Notwithstanding what is provided in Annex 4, fraction III of these provisions, from March 1, 2022 and until April 30, 2022, to determine the contingent outflow from operations with derivative financial instruments (Look Back Approach), which is calculated as the maximum absolute value of the sum of the amounts referred to in subsections a) and b) of said fraction III of Annex 4, calculating said subsections for each horizon of thirty consecutive days during the last 24 months, the Institutions may exclude the month of March 2020 for the calculation of said amounts. "
SECOND.- Annex 7, in the section "Credit Risk Weighting", fraction I, subsection B, fraction III, subsection A, fraction IV, subsections B and D, fraction V, subsections B and C, fraction VI, subsections A and B, fraction VII, subsections C, D and H, and fraction VIII, subsections B and C; Annex 8, fraction II, subsection B, and Annex 10, in its tables I.3 "Format for disclosure of the Net Stable Funding Ratio" and I.4 "Notes to the disclosure format of the Net Stable Funding Ratio"; and Annex 10, first paragraph, numeral 5, of the "General Provisions on Liquidity Requirements for Multiple Banking Institutions", published in the Official Gazette of the Federation on August 23, 2021, are MODIFIED and ADDED, respectively, to read as follows:
" ANNEX 7
Amount of Required Stable Funding for unrestricted assets and other operations
...
...
Credit Risk Weighting:
...
...
The factors for determining the required stable funding will be:
I.
Assets with 0% weighting
A.
...
B.
Credit risk stage 1 and stage 2 loans, in accordance with the applicable Provisions, and deposits at foreign central banks with a term of less than six months.
C. to F.
...
II.
...
III.
Assets with 10% weighting
A.
Loans granted to financial institutions with a term of less than six months, guaranteed with: a.
...
IV.
Assets with 15% weighting
A.
...
B.
Credit risk stage 1 and stage 2 loans, in accordance with the applicable Provisions, unsecured with a term of less than six months, granted to financial institutions.
C.
...
D.
Loans granted to financial institutions with a term of less than six months, guaranteed with assets other than Level I Eligible Liquid Assets in accordance with these provisions.
V.
Assets with 50% weighting
A.
...
B.
Credit portfolio with credit risk stage 1 and stage 2, in accordance with the applicable Provisions, with a term of less than one year granted to: "
a. to c.
...
C.
Credit risk stage 1 and stage 2 loans, in accordance with the applicable Provisions, with a remaining term between six months and one year, granted to national and foreign financial entities, and foreign central banks. "
D. to H.
...
VI.
Assets with 65% weighting
A.
Residential mortgage portfolio with credit risk stage 1 and stage 2, in accordance with the applicable Provisions, eligible for a credit risk weighting treatment equal to or less than 35%, with a remaining term greater than one year.
B.
Credit portfolio with credit risk stage 1 and stage 2, in accordance with the applicable Provisions, with a credit risk weighting of less than or equal to 35%, with a remaining term greater than one year, granted to: a. to c.
...
C.
...
D.
...
VII.
Assets with 85% weighting
A.
...
B.
...
C.
Mortgage portfolio with credit risk stage 1 and stage 2, in accordance with the applicable Provisions, eligible for a credit risk weighting treatment greater than 35%.
D.
Credit risk stage 1 and stage 2 loans, in accordance with the applicable Provisions, with a credit risk weighting greater than 35%, with a remaining term greater than one year, held by: a. to c.
...
E. to G.
...
H.
Other unrestricted loans to non-financial counterparties that have not been included in the above categories, that are not in a credit risk stage 3 portfolio, in accordance with the applicable Provisions, that do not qualify for a credit risk weighting equal to or less than 35%, with a remaining term greater than one year.
VIII.
Assets and other operations with 100% weighting
A.
...
B.
Portfolio with credit risk stage 3, in accordance with the applicable Provisions, in accordance with the Accounting Criteria established in the Provisions, net of its provisions for credit risk losses constituted in accordance with such Provisions.
C.
Credit risk stage 1 and stage 2 loans, in accordance with the applicable Provisions, with a remaining term greater than one year granted to national and foreign financial entities.
D. to J.
...
IX.
...
ANNEX 8
Factors of the Amount of Required Stable Funding for Restricted Assets or granted as collateral
...
I.
...
II.
Term of the restriction from 6 months and less than 1 year
A.
...
B.
In particular, a treatment of 50% shall be received: a. to d.
...
e.
Credit risk stage 1 and stage 2 loans, in accordance with the applicable Provisions, for which the portfolio term is less than one year.
C.
...
III.
... "
" ANNEX 10
Format for disclosure of the Net Stable Funding Ratio
Institutions must disclose the information indicated in Table I.3. Regarding this, Institutions must take into consideration the explanation of the note corresponding to the numerical reference shown in the first column of said format, in accordance with the following:
1.a 4.
...
In the case of financial statements presented in terms of article 181 of the Provisions corresponding to the quarters ending in March, June and September, the data for the last month to calculate the quarterly average of the amounts referred to in the first and second numerals of this annex, as well as the average of the Net Stable Funding Ratio referred to in the fourth numeral above, may be used even if it had not been validated in terms of articles 6 and 7 of these provisions. For the calculation of said quarterly averages, Institutions must use the amounts and coefficients that had been reported to the Bank of Mexico, independent of whether they could be modified as a result of the verification referred to in article 6 of these provisions. In the event that the averages of the amounts or coefficients are reviewed after their publication in the financial statements, the Institution must disclose such changes and present both quarters as notes to the financial statements of the following quarter.
Table I.3
Format for disclosure of the Net Stable Funding Ratio
Individual Figures
Consolidated Figures
(Amounts in millions of pesos)
Unweighted by remaining term
Weighted Amount
Unweighted by remaining term
Weighted Amount
No maturity
< 6 months
From 6 months to < 1 year
1 year
No maturity
< 6 months
From 6 months to < 1 year
1 year
ELEMENTS OF AVAILABLE STABLE FUNDING AMOUNT
1
Capital:
2
Core capital
and non-core basic capital.
3
Other capital instruments.
4
Retail deposits:
5
Stable deposits.
6
Less stable deposits.
7
Wholesale funding:
8
Operational deposits.
9
Other wholesale funding.
10
Interdependent liabilities
11
Other liabilities:
12
Liabilities from derivatives for purposes of the Net Stable Funding Ratio
Not applicable
Not applicable
Not applicable
Not applicable
Not applicable
Not applicable
Not applicable
Not applicable
13
All liabilities and equity resources not included in the categories above.
14
Total of the Available Stable Funding Amount
Not applicable
Not applicable
Not applicable
Not applicable
Not applicable
Not applicable
Not applicable
Not applicable
ELEMENTS OF REQUIRED STABLE FUNDING AMOUNT
15
Total of eligible liquid assets for purposes of the Net Stable Funding Ratio.
Not applicable
Not applicable
Not applicable
Not applicable
Not applicable
Not applicable
Not applicable
Not applicable
16
Deposits in other financial institutions for operational purposes.
17
Current loans and securities:
18
Guaranteed funding granted to financial entities with Level I eligible liquid assets.
19
Funding granted to financial entities guaranteed with eligible liquid assets other than Level I, and funding granted to financial entities unsecured.
20
Funding granted to counterparties other than financial entities, which:
21
Have a credit risk weight of less than or equal to 35% according to the Basel II Standard Method for credit risk.
22
Housing Loans (in stages 1 and 2), of which:
23
Have a credit risk weight of less than or equal to 35% according to the Standard Method established in the Provisions.
24
Debt securities and equity instruments other than Eligible Liquid Assets (that are not in default).
25
Interdependent assets.
26
Other Assets:
27
Basic raw materials (commodities) physically traded, including gold.
Not applicable
Not applicable
Not applicable
Not applicable
Not applicable
Not applicable
28
Initial margin granted in operations with derivative financial instruments and contributions to the loss absorption fund of central counterparties
Not applicable
Not applicable
29
Assets from derivatives for purposes of the Net Stable Funding Ratio.
Not applicable
Not applicable
30
Liabilities from derivatives for purposes of the Net Stable Funding Ratio before deduction for initial margin variation
Not applicable
Not applicable
31
All assets and operations not included in the categories above.
32
Off-balance sheet operations.
Not applicable
Not applicable
33
Total of Required Stable Funding Amount.
Not applicable
Not applicable
Not applicable
Not applicable
Not applicable
Not applicable
Not applicable
Not applicable
34
Net Stable Funding Ratio (%).
Not applicable
Not applicable
Not applicable
Not applicable
Not applicable
Not applicable
Not applicable
Not applicable
Table I.4
Notes to the disclosure format of the Net Stable Funding Ratio
Reference
Description
1
Sum of reference 2 and reference 3.
2
Core capital defined in the Provisions in Title First Bis article 2 bis 6 paragraph I (before applying deductions) and non-core basic capital defined in the Provisions in Title First Bis article 2 bis 6 paragraph II.
3
Amount of capital instruments defined in the General Provisions applicable to credit institutions not considered as net capital.
4
Sum of reference 5 and reference 6.
5
Amount of retail funding in transactional accounts covered by the IPAB.
6
Amount of retail funding in transactional accounts not covered by the IPAB and in accounts other than transactional.
7
Sum of reference 8 and reference 9.
8
Amount of Operational Purpose Deposits (fraction IV subsection C of Annex 6).
9
Wholesale funding other than that of reference 8.
10
Amount corresponding to passive operations that are part of Interdependent Operations.
11
Sum of reference 12 and reference 13.
12
The amount corresponding to operations with derivative instruments when the current replacement cost in terms of Annex 9 of these provisions generates a liability. The amount must be presented without distinguishing term.
13
Amount corresponding to liabilities and equity resources other than those indicated above established in Annex 10 of these provisions.
14
Available Stable Funding Amount in accordance with article 1 of these provisions. This amount will be the sum of reference 1, reference 4, reference 7, reference 10 and of reference 11.
15
Eligible Liquid Assets established in Annex 1 of these provisions.
16
Amount of Operational Purpose Deposits that the Institution maintains in national and foreign financial entities.
17
Sum of reference 18, reference 19, reference 20, reference 22 and of reference 24.
18
Funding in stages 1 and 2 granted to financial entities, guaranteed with Level I Group Eligible Liquid Assets.
19
Funding in stages 1 and 2 granted to financial entities, guaranteed with assets other than Level I Group Eligible Liquid Assets; as well as, funding in stages 1 and 2 unsecured granted to financial entities.
20
Funding in stages 1 and 2 granted to counterparties other than financial entities.
21
Funding in stages 1 and 2 granted to counterparties other than financial entities with a credit risk weight of less than or equal to 35% according to the Standard Method for credit risk of Basel II.
22
Residential credit portfolio in stages 1 and 2.
23
Residential credit portfolio with a credit risk weight under the standard method of less than or equal to 35% in accordance with what is established in the General Provisions applicable to credit institutions.
24
Shares traded on stock exchanges and debt securities other than Eligible Liquid Assets (that are not in default).
25
Amount corresponding to active operations that are part of Interdependent Operations.
26
Sum of reference 27, reference 28, reference 29, reference 30 and of reference 31.
27
Basic raw materials (commodities) physically traded, including gold.
28
Cash, debt securities, shares, and other assets delivered as initial margins in derivative operations and contributed to the default fund. The amount must be presented without distinguishing term.
29
In the unweighted cell, the amount corresponding to operations with derivative instruments considered for the calculation of the Required Stable Funding Amount is reported, and In the weighted cell, the positive difference between the amount corresponding to operations with derivative instruments considered for the calculation of the Required Stable Funding Amount and the amount corresponding to derivative instrument operations considered for the calculation of the Available Stable Funding Amount is reported. The amount must be presented without distinguishing term.
30
In the unweighted cell, the amount corresponding to operations with derivative instruments when the current replacement cost in terms of Annex 9 of these provisions generates a liability is reported. In the weighted cell, 5 percent of the amount corresponding to operations with derivative instruments considered in the Available Stable Funding is reported. The amount must be presented without distinguishing term.
31
All assets not included in the above sections.
32
Amount of the operations indicated in fraction IX of Annex 7 of these provisions.
33
Sum of reference 15, reference 16, reference 17, reference 25, reference 26 and of reference 32.
34
Net Stable Funding Ratio in accordance with these provisions.
...
TRANSITORY
SINGLE.- This Resolution will enter into force on March 1, 2022.
Respectfully
Mexico City, February 24, 2022. - NATIONAL BANKING AND SECURITIES COMMISSION : President, Dr. Jesús de la Fuente Rodríguez.- Signature.- BANK OF MEXICO : General Director of Financial Stability, Fabrizio López Gallo Dey.- Signature.- General Director of System Affairs Financial, José Luis Negrín Muñoz.- Signature.- General Legal Director, Luis Urrutia Corral.- Signature.
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