RegAlert2011-07-20 | Resolución SBS 8425-2011Added
Resolution SBS No. 8425-2011: Regulation for the Requirement of Additional Effective Equity
Companies must maintain effective equity above global limits, calculating requirements for economic cycles, concentration, and interest rate risk using specific methodologies and thresholds, such as a 5% marginal credit conversion factor and a 5% concentration trigger. They must report monthly via SUCAVE using Reports 4-D and 4-C, with annual Market Concentration Risk Indicator data due by March 31. Provisions cannot offset economic cycle requirements, and companies have one year to comply with new capital levels.
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Lima, July 20, 2011
S.B.S. Resolution
No. 8425-2011
The Superintendent of Banks, Insurance, and Private Pension Fund Administrators (acting)
CONSIDERING:
That, through Legislative Decree No. 1028, the General Law of the Financial System and the Insurance System and the Organic Law of the Superintendence of Banking and Insurance - Law No. 26702, hereinafter the General Law, was modified to allow the implementation in our country of the standards recommended by the Basel Committee on Banking Supervision regarding capital measures and norms;
That, the implementation in our country of the aforementioned standards recommended by the Basel Committee on Banking Supervision and incorporated into Peruvian legislation will promote the safety and solvency of the financial system, safeguarding the interests of the public, by sensitizing capital requirements to the risk assumed by system companies and promoting better comprehensive risk management;
That, the cited international standards consider additional risks to be included in capital requirements, such as portfolio concentration risk, interest rate risk in the banking book, market concentration or systemic risk, among others; as well as the requirement for capital charges to address the effect of economic cycle fluctuations;
That, as a consequence of the implementation of the reform introduced by Legislative Decree No. 1028 and the experience of the recent international financial crisis, the need to reinforce solvency requirements for financial entities and to include additional risks to those currently incorporated in equity requirements has become evident;
That, in this order, Article 199 of the General Law establishes the equity requirement for credit, market, and operational risks; it also provides that companies must have a process to evaluate the sufficiency of their effective equity based on their risk profile, and that it is the responsibility of the board of directors to ensure that companies have effective equity above the global limit, anticipating possible negative fluctuations of the economic cycle and based on the risk profile of their business;
That, although Article 199 of the General Law confers this responsibility to the board of directors of the companies, this Superintendence considers it necessary to define the guidelines and parameters that allow the board to supervise the adequate compliance with these requirements; this, with the aim of establishing uniform minimum requirements for the financial system;
That, in safeguarding the public interest corresponding to this Superintendence, it is necessary that the aforementioned guidelines and parameters to calculate the mentioned minimum additional effective equity above the global limit of Article 199 of the General Law incorporate, among others, the risks mentioned above, taking into consideration international standards, the nature and situation of the companies that make up the Peruvian financial system, as well as the experience of the supervision work of this Superintendence;
That, likewise, it is necessary to modify Chapter V "Complementary Information" of the Accounting Manual for Companies of the Financial System to incorporate the reports corresponding to the calculation of the additional effective equity requirement;
That, in order to collect the opinions of users and the general public regarding the proposed modifications to the Financial System regulations, the pre-publication of the draft resolution on the matter was ordered on the electronic portal of the Superintendence, under the provisions of Supreme Decree No. 001-2009-JUS;
Being in accordance with the opinion of the Adjunct Superintendencies of Banking and Microfinance, Risks, Economic Studies, and Legal Advice; and,
In exercise of the powers conferred by numbers 7, 9, 13, and 18 of Article 349 of the General Law, and by SBS Resolution No. 6389-2011 of May 27, 2011;
RESOLVES:
Article First.- Approve the Regulation for the Requirement of Additional Effective Equity, which forms an integral part of this Resolution, as indicated below:
"REGULATION FOR THE REQUIREMENT OF ADDITIONAL EFFECTIVE EQUITY
CHAPTER I
GENERAL PRINCIPLES
Article 1.- Scope
This standard applies to the companies included in letters A and B of Article 16 of the General Law, to the Guarantee Fund for Small Industry Loans (FOGAPI), to the National Bank, to the Agropecuario Bank, to the Development Financial Corporation (COFIDE), and to the MIVIVIENDA S.A. Fund, hereinafter companies.
Article 2.- Definitions 1
For the application of this Regulation, the following definitions shall be considered:
a) Direct credits: Represents the financing that, under any modality, system companies grant to their clients, originating on their part the obligation to deliver a determined sum of money, in one or several acts, including obligations derived from refinancing and restructuring of existing credits or debts.
b) Marginal credit conversion factor: A weight used to convert contingent exposures into exposures equivalent to credit risk for the purpose of calculating the effective equity requirement for the economic cycle. This reflects the increase in the Credit Conversion Factor (CCF) contemplated in the Regulation for the Requirement of Effective Equity for Credit Risk due to an economic contraction.
c) General Law: General Law of the Financial System and the Insurance System and the Organic Law of the Superintendence of Banking and Insurance, Law No. 26702 and its modifying norms.
d) Macro region: Grouping of departments according to their geographical proximity for the purposes of this standard.
e) Minimum effective equity requirement: The global limit established by the General Law in Article 199 and in the Twenty-Fourth Transitory Provision.
f) Concentration risk: That risk generated as a consequence of a significant proportion of the credit portfolio being assigned to the same individual, economic sector, or geographic region.
g) Market concentration risk: Risk of an interruption or incorrect functioning of the financial system and/or its services due to problems in one or several companies, and whose consequences can extend to impact the real sector.
h) Economic sector: Grouping of economic activities according to the International Standard Industrial Classification (ISIC) for the purposes of this standard.
i) Superintendence: Superintendence of Banking, Insurance, and Private Pension Fund Administrators.
j) Size: Dimension collected in the market concentration risk assessment, which measures to what extent the activities of a company commit an important proportion of the financial system and economic activity. The larger a company is, the more difficult it is for others to quickly assume its activities, which increases the probability that in the event of insolvency, the normal functioning and confidence in the financial system will be altered.
1 Letters j), k), l), m), and n) incorporated by SBS Resolution No. 03921-2021 of 12/23/2021.
k) Interconnection: Dimension collected in the market concentration risk assessment, which measures the connectivity that exists between system companies. This is relevant because the financial stress generated by the insolvency of one company could increase the probability of deterioration in others, mainly due to common contractual obligations.
l) Substitutability and financial infrastructure: Dimension collected in the market concentration risk assessment, which measures the difficulty that system companies would have in replacing the operations performed by other companies, both with retail and non-retail clients. The greater the role a company has within a business line or as a provider of a particular service, the greater the negative effects generated by its eventual financial insolvency will be.
m) Complexity: Dimension collected in the market concentration risk assessment, which measures the difficulty of the business, structure, and operations of a system company. The more complex a company is, the greater the costs and time necessary for its resolution.
n) Economic Group: According to the definition contemplated in Article 8 of the Special Norms on Linkage and Economic Group approved by SBS Resolution No. 5780-2015, or the norm that replaces it.
Article 3.- Sufficiency of effective equity
In accordance with Article 199 of the General Law, companies must have a level of effective equity above the global limit established in said Law, anticipating possible negative fluctuations of the economic cycle and based on the risk profile of their business.
To determine the level of additional effective equity, companies must have a process to evaluate the sufficiency of their effective equity based on their risk profile, which must follow the guidelines established by the Superintendence. This level of effective equity must be at least that obtained from the methodology described in this Regulation; otherwise, what is established in Article 218 of the General Law will apply.
Article 4.- Calculation of the additional effective equity requirement
The additional effective equity requirement will be equal to the sum of the effective equity requirements calculated for each of the following components:
a) Economic cycle b) Concentration risk c) Market concentration risk d) Interest rate risk in the banking book e) Other risks
The following articles describe the methodologies for the additional effective equity requirement according to the mentioned components.
Article 5.- Information to be sent to the Superintendence
Companies will present to the Superintendence, via SUCAVE, the reports indicated below, in accordance with their corresponding methodological notes:
- Report No. 4-A1 – Additional Effective Equity Requirement for the Economic Cycle – Companies applying the Standard Method
- Report No. 4-A2 – Additional Effective Equity Requirement for the Economic Cycle – Companies applying the IRB Method
- Report No. 4-B1 – Effective Equity Requirement for Credit Concentration Risk - Individual Concentration Risk
- Report No. 4-B2 – Effective Equity Requirement for Credit Concentration Risk - Sectoral Concentration Risk
- Report No. 4-B3 – Effective Equity Requirement for Credit Concentration Risk - Regional Concentration Risk
- Report No. 4-C – Effective Equity Requirement for Interest Rate Risk in the Banking Book
- Report No. 4-D – Summary Additional Effective Equity Requirement
CHAPTER II
EFFECTIVE EQUITY REQUIREMENT FOR THE ECONOMIC CYCLE
SUBCHAPTER I
GENERAL PROVISIONS
Article 6.- Sources of risk for which effective equity is required
There are two sources of risk for which the effective equity requirement for the economic cycle is established:
a) Direct exposures: Company portfolios tend to increase their losses during recession periods. Therefore, it is necessary for them to accumulate effective equity during periods of economic expansion to cover the unexpected losses of said portfolios.
b) Contingent exposures: During recession periods, economic agents use a higher proportion of the unused component of their credit lines. Therefore, it is necessary for companies to accumulate effective equity during periods of economic expansion to cover the unexpected losses of said exposures.
Article 7.- Contingent exposures subject to the calculation of the effective equity requirement for the economic cycle
All companies must use a marginal credit conversion factor equal to 5% to convert contingent exposures into direct exposures subject to the calculation of the effective equity requirement for the economic cycle, except for companies that are in advanced IRB. The contingent exposures subject to the calculation are all exposures from unused credit lines for consumption, micro-enterprises, and small enterprises; as well as consumption, micro-enterprise, and small enterprise credits granted but undrawn.
Article 8.- Methodologies for calculating effective equity for the economic cycle
There are three methodologies that companies may use for the calculation of the effective equity requirement for the economic cycle, according to the three existing methods for calculating the effective equity requirement for credit risk according to the Regulation for the Requirement of Effective Equity for Credit Risk. The following subchapters describe the methodologies that companies following any of the three methods regulated in the Regulation for the Requirement of Effective Equity for Credit Risk will follow.
SUBCHAPTER II:
STANDARD METHOD
Article 9.- Applicability
This methodology will be applied by companies using the standard method for calculating the effective equity requirement for credit risk, or to portfolios under the standard method, in the case of companies using more than one method for the effective equity requirement for credit risk.
Article 10.- Calculation of the effective equity requirement for the economic cycle
The effective equity requirement for the economic cycle has two components. For the first component, companies will use the exposures defined in the Regulation for the Requirement of Effective Equity for Credit Risk and reported to the Superintendence via Report 2-A1. These exposures will be multiplied by marginal risk weights to reflect the increase in credit risk-weighted assets (CRWA - obtained via Report 2-A1) in a stress situation. The marginal stress weights are found in Report 4-A1. The effective equity requirement for the economic cycle according to the first component is equal to the multiplication of the global limit established in the General Law by the increase in CRWA resulting from the stress weights.
The second component is obtained from the contingent exposures maintained by the company. Companies must multiply the contingent exposures referred to in Article 7 of this Regulation by the marginal credit conversion factor established in the same article. This result will be multiplied by the marginal stress weight, according to the type of exposure, and by the global limit established in the General Law.
The effective equity requirement for the economic cycle is equal to the sum of the requirements calculated for the two components.
SUBCHAPTER III:
BASIC IRB METHOD
Article 11.- Applicability
This methodology will be applied by companies using the basic IRB method for calculating the effective equity requirement for credit risk, or to portfolios under the basic IRB method, in the case of companies using more than one method for calculating the effective equity requirement for credit risk.
Article 12.- Calculation of the effective equity requirement for the economic cycle
For the calculation of the effective equity requirement for the economic cycle, companies will calculate a stress CRWA, using the following parameters:
a) Instead of the Probability of Default (PD) calculated according to the Regulation for the Requirement of Effective Equity for Credit Risk, a PD corresponding to the recessionary part of an economic cycle.
b) Instead of the Loss Given Default (LGD) stipulated in the Regulation for the Requirement of Effective Equity for Credit Risk, the stress LGDs provided in Report 4-A2.
c) Instead of the Exposure at Default (EAD) calculated according to the Regulation for the Requirement of Effective Equity for Credit Risk, a new stress EAD obtained by adding to the CCF of the contingent exposures referred to in Article 7 of this Regulation, the marginal credit conversion factor established in the same article.
The effective equity requirement for the economic cycle is equal to the multiplication of the global limit established in the General Law by the difference between the stress CRWA and the CRWA obtained according to the Regulation for the Requirement of Effective Equity for Credit Risk.
SUBCHAPTER IV:
ADVANCED IRB METHOD
Article 13.- Applicability
This methodology will be applied by companies using the advanced IRB method for calculating the effective equity requirement for credit risk, or to portfolios under the advanced IRB method, in the case of companies using more than one method for calculating the effective equity requirement for credit risk.
Article 14.- Calculation of the effective equity requirement for the economic cycle
For the calculation of the effective equity requirement for the economic cycle, companies will calculate a stress CRWA using the following parameters:
a) Instead of the Probability of Default (PD) calculated according to the Regulation for the Requirement of Effective Equity for Credit Risk, a PD corresponding to the recessionary part of an economic cycle.
b) Instead of the Loss Given Default (LGD) calculated according to the Regulation for the Requirement of Effective Equity for Credit Risk, a stress LGD estimated by the company.
c) Instead of the Exposure at Default (EAD) calculated according to the Regulation for the Requirement of Effective Equity for Credit Risk, a new stress EAD obtained by adding to the CCF of the contingent exposures referred to in Article 7 of this Regulation, a marginal credit conversion factor that shall not be less than 5%.
The effective equity requirement for the economic cycle is equal to the multiplication of the global limit established in the General Law by the difference between the stress CRWA and the CRWA obtained according to the Regulation for the Requirement of Effective Equity for Credit Risk.
SUBCHAPTER V:
ACTIVATION AND OPERATION OF THE EFFECTIVE EQUITY REQUIREMENT FOR THE ECONOMIC CYCLE
Article 15.- Activation and deactivation rule for the effective equity requirement for the economic cycle
The activation and deactivation rule for the effective equity requirement for the economic cycle is the same that activates and deactivates the procyclical component of provisions according to the Regulation for the Evaluation and Classification of the Debtor and the Requirement of Provisions in force.
Article 16.- Accumulation of effective equity for the economic cycle when the rule is activated
When the rule is activated, the company must maintain effective equity superior to the minimum established by the global limit, by the amount obtained by applying the effective equity requirement methodology for the economic cycle applicable to it. However, the company may access the benefit of only having to comply with 75% of the effective equity requirement for the economic cycle, provided it has an agreement to capitalize future profits greater than or equal to 50% of the profits generated in the fiscal year. The aforementioned agreement must be sent to the Superintendence. 2
Any reduction below the level required by the methodology will require authorization from the Superintendence and will be subject to the prior approval of a plan containing actions to re-accumulate the capital used.
If the aforementioned plan is not fulfilled, the Superintendence may suspend or restrict certain operations of the companies, or apply other measures for which it is authorized according to current regulations.
If, as a result of the supervision exercised by the Superintendence, it is determined that a company has relevant weaknesses in its corporate governance or risk management, as a prudential measure, the Superintendence may suspend the use of the benefit referred to in the first paragraph of this article of the Regulation. In this case, the company must constitute the entirety of the effective equity for the economic cycle, even if it has a capitalization agreement that meets the requirements indicated in this article.
Article 17.- De-accumulation of effective equity for the economic cycle when the rule is deactivated
When the cyclical component is deactivated, the company must have exhausted the balance of procyclical provisions accumulated while the rule was active before reducing the balance of effective equity accumulated for the economic cycle.
Once the procyclical provisions are consumed, the company may reduce by 60% the effective equity accumulated according to the economic cycle rule indicated in Articles 10, 12, or 14. If the company had availed itself of the benefit to accumulate at least 75% of the required effective equity, it may only de-accumulate a percentage such that it allows it to maintain 40% of the effective equity it should have accumulated for the economic cycle in the last month the rule was active.
2 Paragraph modified by SBS Resolution No. 603-2016 of 02/02/2016.
To make use of the 40% of the remaining effective equity, the company must obtain authorization from the Superintendence. To request such authorization, the company must present to the Superintendence a plan that substantiates the reasons leading it to request the permit and describes the actions to be taken to increase its effective equity by the time the component becomes active again.
The Superintendence has the authority to suspend a company from decumulating effective equity for the economic cycle when the rule is deactivated, if the company uses it for purposes other than those for which it was created, such as the expansion of the company's direct exposures. In this case, the Superintendence will additionally apply the corresponding sanctions, in accordance with the current Sanctions Regulation.
Article 18th.- Frequency of updating the calculation of the effective equity requirement for the economic cycle
Companies must calculate their effective equity requirement for the economic cycle on a monthly basis while the rule is active. When the rule is deactivated, the company will continue to report the amount of effective equity for the economic cycle accumulated in the last month the rule was active.
The company will report monthly the balance of effective equity for the economic cycle that it maintains at the end of each month in Report 4-D.
CHAPTER III
EFFECTIVE EQUITY REQUIREMENT FOR CONCENTRATION RISK
Article 19th.- Types of concentration
In this regulation, two types of concentration are distinguished:
(i) Individual concentration: It is related to the distribution of the company's portfolio among individual debtors.
(ii) Sectoral concentration: It is related to the distribution of the company's portfolio among the different (a) economic sectors and (b) geographic regions.
Article 20th.- Scope of the effective equity requirement for concentration risk
The effective equity requirement for concentration risk applies to the direct credit portfolio of companies.
Article 21st.- Maximum requirements for each type of concentration
The effective equity requirement for concentration risk is calculated by multiplying the percentages determined according to the level of individual and sectoral concentration by the minimum effective equity required according to the Regulation for the Effective Equity Requirement for Credit Risk.
The maximum percentages that will be required of a company if its portfolio is completely concentrated in a specific type of concentration are detailed in the following table:
| Type | Sub-type | Percentage |
|---|---|---|
| Individual | - | 16% |
| Sectorial | Economic Sector | 4% |
| Sectorial | Regional | 20% |
| Sectorial | Regional | 4% |
Article 22nd.- Exposures subject to the calculation of the effective equity requirement for concentration risk
(i) Individual concentration: For the calculation of the individual concentration requirement, only the direct credits of the 20 largest debtors of the company must be considered, applying the single risk criterion as provided in Article 203 of the General Law and in the Special Norms on Linkage and Economic Group. (ii) Sectoral concentration: For the calculation of the regional and economic sector concentration requirements, all direct credits will be considered.
Article 23rd.- Minimum limits to be subject to the effective equity requirement for individual concentration risk
For the company to be subject to the effective equity requirement for individual concentration risk, the direct credits of the 20 largest debtors of the company, applying the single risk criterion, must represent more than 5% of the company's total direct credits.
Article 24th.- Calculation of the effective equity requirement for individual concentration risk
For the calculation of the effective equity requirement for individual concentration risk, the company must only consider the direct credits corresponding to its 20 largest debtors, applying the single risk criterion.
The balance of these credits will be divided by the company's effective equity to determine the indicator that will be used in the calculation of the effective equity requirement for this risk. The company will obtain the rate to calculate the effective equity requirement for individual concentration using the aforementioned indicator, and taking into account the maximum percentage corresponding to the type of individual credit concentration determined in Article 21st. Report 4-B1 indicates the formula to calculate the rate that the company will apply for individual concentration.
The effective equity requirement for individual concentration risk will be equal to the multiplication of the rate calculated above by the effective equity requirement obtained according to the Regulation for the Effective Equity Requirement for Credit Risk.
Article 25th.- Calculation of the effective equity requirement for concentration risk by economic sector
For the calculation of the effective equity requirement for concentration risk by economic sector, the company must calculate the concentration indicator of the company's direct credits, segmented into 19 economic sectors (including the housing mortgage segment) plus the consumption segment, which are detailed in Annex 1. The calculation of the concentration indicator by economic sector is detailed in Report 4-B2.
The company will obtain the rate to calculate the effective equity requirement for concentration by economic sector using the calculated concentration indicator and taking into account the maximum percentage corresponding to the type of concentration by economic sector determined in Article 21st. Report 4-B2 indicates the formula to calculate the rate that the company will apply for concentration by economic sector.
The effective equity requirement for concentration risk by economic sector is equal to the multiplication of the rate calculated above by the effective equity requirement obtained according to the Regulation for the Effective Equity Requirement for Credit Risk.
Article 26th.- Calculation of the effective equity requirement for regional concentration risk
To determine the effective equity requirement for regional concentration risk, the concentration indicator of the company's direct credits segmented into the 8 macro-regions presented in Annex 2 must be calculated. This indicator will be adjusted by the population of each macro-region, as well as by the contribution of each region to national production.
The company will obtain the rate to calculate the effective equity requirement for regional concentration using this indicator and taking into account the maximum percentage corresponding to the type of regional concentration determined in Article 21st. Report 4-B3 indicates the formulas to calculate the concentration indicator and the rate that the company will apply for regional concentration.
The effective equity requirement for regional concentration risk is equal to the multiplication of the rate calculated above by the effective equity requirement obtained according to the Regulation for the Effective Equity Requirement for Credit Risk.
Article 27th.- Effective equity requirement for concentration risk
The effective equity requirement for concentration risk is equal to the sum of the requirement corresponding to individual concentration, the requirement corresponding to concentration in economic sectors, and the requirement corresponding to regional concentration.
Article 28th.- Frequency of updating the calculation of the effective equity requirement for concentration risk
The calculation of the rates to obtain the concentration requirement described in Articles 24th to 26th will be carried out in the months of June and December. For the calculation of regional concentration, the adjustment of population and participation in national production by macro-region will be carried out by the Superintendence every 5 years.
The calculation of the effective equity requirement for concentration risk will be carried out on a monthly basis.
CHAPTER IV 3
EFFECTIVE EQUITY REQUIREMENT FOR MARKET CONCENTRATION RISK
3 Chapter IV modified by SBS Resolution No. 03921-2021 of 12/23/2021.
Article 29th.- Nature of market concentration risk
Companies that generate significant risk due to market concentration, whether due to their large size, high interconnection, difficult substitutability, and high complexity, impose additional risks on the financial system that are not captured in the effective equity requirements considered in the first paragraph of Article 199 of the General Law. These additional risks are related to the negative effects that the financial deterioration or eventual insolvency of these companies would have on the stability of the financial system as a whole and on the country's economic activity.
Article 30th.- Determination of market concentration risk
The evaluation to identify companies that must maintain additional effective equity for market concentration risk is carried out annually and is based on the calculation of a Market Concentration Risk Indicator that considers aspects related to the size, interconnection, substitutability and financial infrastructure, and the complexity of the financial system companies. The methodology for constructing this indicator is found in Annex 3 of this Regulation.
The calculation of the Market Concentration Risk Indicator must be carried out by Banking Companies and State Companies of the Financial System (Banco de la Nación, Banco Agropecuario, Corporación Financiera de Desarrollo - COFIDE, and Fondo MIVIVIENDA S.A.) incorporated in the country. Other Multiple Operations Companies incorporated in the country that are part of an Economic Group formed by a Banking Company must also calculate the aforementioned indicator.
This Superintendence may require any other company not mentioned above to carry out the calculation of the Market Concentration Risk Indicator, if it deems it appropriate.
Likewise, if the Market Concentration Risk Indicator does not capture important effects of market concentration risk in the financial system, and these effects could be captured by additional indicators to those considered in this methodology, this Superintendence may require additional effective equity for market concentration risk using other indicators it deems appropriate.
Article 31st.- Effective equity requirement for market concentration risk
The effective equity requirement for market concentration risk is based on the value resulting from the calculation of the Market Concentration Risk Indicator, considering the percentages established in the last column of the following table:
| Tranche | Market Concentration Risk Indicator (Points) | Additional Effective Equity Requirement (% of Total RWA) |
|---|---|---|
| 6th | From 35 | 3.0 |
| 5th | From 29 and less than 35 | 2.5 |
| 4th | From 23 and less than 29 | 2.0 |
| 3rd | From 17 and less than 23 | 1.5 |
| 2nd | From 11 and less than 17 | 1.0 |
| 1st | From 5 and less than 11 | 0.5 |
| 0th | Less than 5 | 0.0 |
For the determination of the additional effective equity requirement for market concentration risk, companies required to calculate the Market Concentration Risk Indicator as indicated in the second paragraph of Article 30 of this Regulation will multiply the total risk-weighted assets and contingencies (Total RWA) by the percentage corresponding to the tranche to which they belong according to the calculated value of the Market Concentration Risk Indicator.
In the case of companies belonging to the same Economic Group, the applicable Market Concentration Risk Indicator is the one corresponding to the sum of the indicators of each of said companies. In these cases, the requirement can be met in two ways, as indicated below:
a) The company with the highest level of assets within the Economic Group fulfills the requirement. In this case, the Total RWA to be used for the requirement calculation corresponds to the sum of the Total RWA of each of the companies that make up the Economic Group. Likewise, only the company with the highest level of assets must remit the amount of the corresponding requirement in Report No. 4-D. b) Each of the companies within the Economic Group fulfills the requirement. In this case, each company will calculate the corresponding requirement based on its Total RWA, but considering for this purpose the Market Concentration Risk Indicator of the Economic Group. Likewise, all companies part of the Economic Group must remit the amount of the corresponding requirement in Report No. 4-D.
The manner in which the effective equity requirement for market concentration risk is covered must be reported to this Superintendence through a communication signed by the General Manager on the same date that Report No. 4-D is submitted.
CHAPTER V
EFFECTIVE EQUITY REQUIREMENT FOR INTEREST RATE RISK IN THE BANKING BOOK
Article 32nd.- Interest rate risk in the banking book
Interest rate risk in the banking book is the possibility of losses derived from interest rate fluctuations that affect the company's profits and net worth. It arises from assets, liabilities, and off-balance sheet positions that do not form part of the trading portfolio defined in the Regulation for the Effective Equity Requirement for Market Risk. It can stem from four sources:
- Repricing risk: possibility of losses derived from differences in maturity or repricing dates between the company's assets, liabilities, and off-balance sheet positions.
- Basis risk: possibility of losses derived from the imperfect correlation existing between interest rates of active and passive positions with similar repricing characteristics.
- Yield curve risk: possibility of losses derived from the imperfect correlation between interest rates associated with different maturities, which cause changes in the yield curve.
- Option risk: possibility of losses derived from the exercise of explicit or implicit options present in active or passive positions.
Article 33rd.- Effective equity requirement for interest rate risk in the banking book
Companies must use interest rate risk measurement models in the banking book to calculate the Value at Risk (VaR). For this purpose, the methodology established in Annex No. 7-B "Measurement of Interest Rate Risk – Value at Risk" of the Accounting Manual for Financial System Companies must be used.
If the ratio "Value at Risk / Effective Equity" is greater than 15%, the effective equity requirement will be equal to the VaR minus the amount representing 15% of the effective equity. If the ratio is less than or equal to 15%, the requirement will be zero. The following formula summarizes the calculation of additional effective equity that will be required for interest rate risk in the banking book.
K banking book interest rate = Max [ 0, VaR – 15%*PE t-1]
Where:
K banking book interest rate = Effective equity requirement in new soles VaR = Value at Risk in new soles coming from Annex No. 7-B of the Accounting Manual for Financial System Companies PE t-1 = Effective equity of the previous month
The calculation of this requirement must be carried out on a monthly basis, for which Report 4-C must be used.
CHAPTER VI
EFFECTIVE EQUITY REQUIREMENT FOR OTHER RISKS
Article 34th.- Risk propensity
Companies must maintain levels of effective equity consistent with their credit risk propensity. It is expected that the effective equity requirement can comfortably absorb losses from the default of its credit exposures.
If a company's credit risk propensity increases at a rate such that historical average losses from default approach the amount of the capital requirement for credit risk calculated according to what is established in the Regulation for the Effective Equity Requirement for Credit Risk, it is understood that said capital requirement is insufficient given the company's risk profile. In these cases, the company must maintain additional equity for the concept of risk propensity.
Article 35th.- Effective equity requirement for risk propensity
For the calculation of the effective equity requirement for risk propensity, the company must compare, at the end of March of each year, the ratio resulting from dividing the annual expense in specific provisions by the effective equity requirement obtained according to the Regulation for the Effective Equity Requirement for Credit Risk, obtained for each of the last 5 years. If the median of the ratio calculated for the last 5 years exceeds 75%, the company must constitute additional effective equity for its greater risk propensity. Annex 4 details the methodology to calculate the percentage of effective equity requirement for this risk.
Companies that require maintaining additional effective equity for risk propensity according to the methodology indicated in Annex 4 must report monthly in Report 4-D the percentage they must use to calculate the additional effective equity for this risk.
For the purposes of the calculation referred to in this article, the effective equity requirement to be applied to risk-weighted credit assets will be ten percent (10%), including for periods prior to July 2011.
4 Article modified by SBS Resolution No. 7197-2012, of 09/20/2012.
FINAL AND TRANSITORY PROVISIONS
First.- Use of voluntary provisions to decrease additional effective equity requirement
Companies that have voluntary general provisions not included as Level 2 effective equity may use up to 70% of said provisions to decrease the additional effective equity requirement of the non-cyclic components (concentration risk, market concentration risk, interest rate risk in the banking book, and other risks). The effective equity requirement for the economic cycle may in no case be offset with voluntary provisions.
Pro-cyclical provisions cannot be considered as voluntary provisions. Companies that use voluntary provisions to decrease the additional effective equity requirement of the non-cyclic components cannot use said provisions to net exposures when calculating risk-weighted credit assets.
Second.- Adaptation period
Upon the entry into force of this Regulation, companies will have a period of five (5) years to adapt their total effective equity to the requested level. This adaptation will be carried out according to the following schedule.
| Adaptation Year | Percentage of Additional Effective Equity Required |
|---|---|
| July-2012 | 40% |
| July-2013 | 55% |
| July-2014 | 70% |
| July-2015 | 85% |
| July-2016 | 100% |
Companies may access the benefit of only having to comply with 75% of the effective equity requirement for the economic cycle calculated in each adaptation period according to what is contemplated in Article 16 of this regulation. In this case, the company must calculate the total additional requirement considering the capitalization benefit and multiply it by the percentage stipulated in the schedule for the corresponding year.
5 Paragraph modified by SBS Resolution No. 975-2016 of 02/24/2016.
In cases where the cyclical component is activated, companies will have one year to reach the level of additional required effective capital for the economic cycle resulting from the application of the methodology described in this Regulation.
These deadlines only apply to companies that are not within an adaptation plan. Companies that have an adaptation plan will adjust their level of effective capital according to what is established in said plan.
Third.- Authority of the Superintendence
The Superintendence, independently of the pre-established rule in this Regulation, may take additional actions to preserve or allow the use of additional effective capital in some institutions when events occur that put at risk the stability of one or more institution(s) of the financial system.
Fourth.- Requirement of effective capital for concentration and interest rate risk in the banking book of companies applying internal models If a company calculates its effective capital requirement for credit risk using the advanced IRB method for a very important percentage of its credit portfolio (more than 75%), the company may develop its own models for the estimation of additional requirements for concentration risk. The use of such models is subject to their approval by the Superintendence.
If a company calculates its effective capital requirement for market risk using internal models, the company may develop its own models for the estimation of additional requirements for interest rate risk in the banking book. The use of such models is subject to their approval by the Superintendence.
Fifth 6
.- Upon the entry into force of Resolution SBS No. 03921-2021, companies will have a period of two (2) years to comply with the effective capital requirement for market concentration risk under the provisions approved by Resolution SBS No. 03921-2021. This adaptation will be carried out according to the following schedule:
| Adaptation Year | Percentage of Additional Effective Capital for Market Concentration Risk |
|---|---|
| December-2022 | 75% |
| December-2023 | 100% |
Article Second.- The Annexes 1, 2, 3 and 4 of the Regulation for the Requirement of Additional Effective Capital attached to this Resolution are approved, which are published on the Institutional Portal (www.sbs.gob.pe), in accordance with what is established in Supreme Decree No. 001-2009-JUS.
Article Third.- The Accounting Manual for Companies of the Financial System is modified according to what is indicated in Annex A attached to this Resolution, which is published on the Institutional Portal (www.sbs.gob.pe), in accordance with what is established in Supreme Decree No. 001-2009-JUS.
Article Fourth.- The following is incorporated into Section II "Serious Infractions" of Annex 2 "Specific Infractions of the Financial System and of Companies of Complementary and Related Services" of the Sanctions Regulation approved by Resolution SBS No. 816-2005 and its modifying norms:
"35B) Reducing the effective capital for the accumulated economic cycle, when the rule is deactivated, for purposes other than those for which it was created."
Article Fifth.- This Resolution enters into force the day following its publication in the official newspaper El Peruano.
Register, communicate and publish,
JAVIER POGGI CAMPODÓNICO
Superintendent of Banks, Insurance and Private Pension Fund Administrators (a.i.)
Annex 1
Economic sectors established for the calculation of the effective capital requirement for concentration risk
| Economic Sector | DIVISION (CIIU) |
|---|---|
| 1 Agriculture, Livestock, Hunting and Forestry | 01 and 02 |
| 2 Fishing | 05 |
| 3 Mining | 10 to 14 |
| 4 Food, beverages and tobacco | 15 and 16 |
| 5 Textiles and leather | 17 to 19 |
| 6 Manufacturing of substances and chemical products | 24 |
| 7 Wood and paper, rubber and plastic | 20 to 22 and 25 |
| 8 Manufacturing of non-metallic mineral products | 26 |
| 9 Metal manufacturing | 27 and 28 |
| 10 Other manufacturing | 23 and 29 to 37 |
| 11 Electricity, Gas and Water | 40 and 41 |
| 12 Construction | 45 |
| 13 Commerce | 50 to 52 |
| 14 Hotels and Restaurants | 55 |
| 15 Transport, Storage and Communications | 60 to 64 |
| 16 Financial Intermediation | 65 to 67 |
| 17 Real Estate and Rental Activities | 70 to 74 |
| 18 Other non-retail | 75, 80, 85 and 90 to 93, 95, 99 |
| 19 Housing Mortgage | |
| Consumption |
Annex 2
Macro regions established for the calculation of the effective capital requirement for concentration risk
Annex 3 7
| Macro Region | Departments |
|---|---|
| 1 Apurímac - Cusco - Madre de Dios | Apurímac, Cusco, Madre de Dios |
| 2 Ayacucho - Huancavelica - Ica | Ayacucho, Huancavelica, Ica |
| 3 North - Center | Áncash, Huánuco, Junín, Pasco |
| 4 North - East | Amazonas, Cajamarca, San Martín |
| 5 North | La Libertad, Lambayeque, Piura, Tumbes |
| 6 Jungle | Loreto, Ucayali |
| 7 Southern Andean | Arequipa, Moquegua, Puno, Tacna |
| 8 Lima - Callao | Lima, Callao |
Requirement of additional effective capital for market concentration risk
Market Concentration Risk Indicator
The Market Concentration Risk Indicator measures the relative importance of a company within the financial system, considering four categories: size, interconnectedness, substitutability and financial infrastructure, and complexity. This indicator ranges from 0 to 100, where a higher value represents a higher market concentration risk.
The steps for calculating the Market Concentration Risk Indicator are as follows:
a. Companies required to calculate the Market Concentration Risk Indicator according to what is indicated in the second paragraph of article 30 of this Regulation must report to this Superintendence the information required in Report No. 4-E, corresponding to the December closing of each year, no later than the last business day of March of the following year.
b. This Superintendence will calculate at the level of each subcategory of Table No. 1, the total value of the cells of Report No. 4-E corresponding to all Multiple Operations Companies and State Companies of the Financial System (Banco de la Nación, Banco Agropecuario, Corporación Financiera de Desarrollo - COFIDE and Fondo MIVIVIENDA S.A.) constituted in the country. Likewise, it will publish this total value on the Supervisor Portal no later than the last business day of June of each year.
Table No. 1: Information reported by companies required to calculate the Market Concentration Risk Indicator
| Category | Subcategory | Cells of Report No. 4-E |
|---|---|---|
| Size | Total Exposure | A1 |
| Interconnectedness | Assets within the financial system | B15 |
| Liabilities within the financial system | B27 | |
| Values in circulation | B32 | |
| Substitutability and financial infrastructure | Payment system | C4 |
| Service points | C8 | |
| Complexity | Notional value of over-the-counter derivatives | D5 |
| Value of assets held for trading and available for sale | D10 |
c. Each company required to calculate the Market Concentration Risk Indicator according to what is indicated in the second paragraph of article 30 of this Regulation must calculate the value of this according to the methodology indicated in Table No. 2. Companies that, as a result of this calculation require maintaining additional effective capital for market concentration risk, must do so no later than the last business day of December of each year and report it in Report 4-D. The percentage of additional effective capital requirement resulting from this calculation will be applied monthly to the total APRs of each month during the following 12 months.
Table No. 2: Construction of the Market Concentration Risk Indicator
| Report No. 4-E Cell | Sum of Report No. 4-E cells at the level of all multiple operations companies and state companies of the financial system constituted in the country | Relative Participation | Weighting | Relative Participation x Weighting |
|---|---|---|---|---|
| A1 | ∑A1 | A1/∑A1 | 0.2500 | X1 = (A1/∑A1) x 0.2500 |
| B15 | ∑B15 | B15/∑B15 | 0.0834 | X2 = (B15/∑B15) x 0.0834 |
| B27 | ∑B27 | B27/∑B27 | 0.0833 | X3 = (B27/∑B27) x 0.0833 |
| B32 | ∑B32 | B32/∑B32 | 0.0833 | X4 = (B32/∑B32) x 0.0833 |
| C4 | ∑C4 | C4/∑C4 | 0.1250 | X5 = (C4/∑C4) x 0.1250 |
| C8 | ∑C8 | C8/∑C8 | 0.1250 | X6 = (C8/∑C8) x 0.1250 |
| D5 | ∑D5 | D5/∑D5 | 0.1250 | X7 = (D5/∑D5) x 0.1250 |
| D10 | ∑D10 | D10/∑D10 | 0.1250 | X8 = (D10/∑D10) x 0.1250 |
| Market Concentration Risk Indicator | (X1 + X2 + X3 + X4 + X5 + X6 + X7+ X8 ) x 100 |
Annex 4
Requirement of effective capital for risk propensity
| Years ordered from most recent (year 1) to furthest (year 5) | Specific Provision Expenses (book value at year-end) | Risk-Weighted Assets (average of the 12 months of the year) | Effective Capital Requirement for Credit Risk 1/ | Ratio of Specific Provision Expenses to Capital Requirement for Credit Risk (1) | (2) | (3)=(2)*0.1 | (4)=(1)/(3) |
|---|---|---|---|---|---|---|---|
| Year 1 | |||||||
| Year 2 | |||||||
| Year 3 | |||||||
| Year 4 | |||||||
| Year 5 | |||||||
| Risk Propensity Indicator 2/ | Median column (4) | ||||||
| Additional Requirement Factor for Risk Propensity 3/ | K% | ||||||
| Additional Requirement for Risk Propensity 4/ |
1/ For simplicity, even for years prior to 2011, the effective capital requirement for credit risk will be calculated as 10% of risk-weighted assets.
2/ Corresponds to the median of column 4 of the table.
3/ If the risk propensity ratio is less than 75%, the additional requirement factor is 0. Otherwise, it will be the result of the following formula: K% = (Risk Propensity Ratio - 75%)*25% 4/ The effective capital requirement for risk propensity will be equal to the multiplication of the effective capital requirement for credit risk obtained according to the Regulation for the Requirement of Effective Capital for Credit Risk by the following factor (K%).
In the event that 5 years of information are not available, the information from complete years of operation (January-December) will be used.
ANNEX A
MODIFICATIONS TO THE ACCOUNTING MANUAL FOR COMPANIES OF THE FINANCIAL SYSTEM
I. Chapter V "Complementary Information" of the Accounting Manual for Companies of the Financial System is modified, as follows:
- The following Reports and their corresponding methodological notes are incorporated:
- Report No. 4-A1 – Additional Effective Capital Requirement for the Economic Cycle – Companies applying Standard Method
- Report No. 4-A2 – Additional Effective Capital Requirement for the Economic Cycle – Companies applying IRB Method
- Report No. 4-B1 – Effective Capital Requirement for Credit Concentration Risk - Individual Concentration Risk
- Report No. 4-B2 – Effective Capital Requirement for Credit Concentration Risk - Sectoral Concentration Risk
- Report No. 4-B3 – Effective Capital Requirement for Credit Concentration Risk - Regional Concentration Risk
- Report No. 4-C – Effective Capital Requirement for Interest Rate Risk in the Banking Book (Banking Book)
- Report No. 4-D – Summary of Additional Effective Capital Requirement, according to the formats attached.
These reports must be sent monthly, starting from the information corresponding to the month of January 2012, through the SUCAVE Capture and External Validation Submodule, within a period not exceeding fifteen (15) calendar days from the end of the month to which the information corresponds, according to the formats attached.
8 Paragraph modified by Resolution SBS No. 11665-2011, published on 25/11/11.
REPORT NO. 4-A1
ADDITIONAL EFFECTIVE CAPITAL REQUIREMENT FOR THE ECONOMIC CYCLE – COMPANIES APPLYING STANDARD METHOD
As of.... of.... of....
Company:………………………………………
| Weighters | Direct Exposures Adjusted (1) | Contingent Exposures (2) | Direct Exposures Adjusted plus Exposures Equivalent to Credit Risk of Contingent Exposures (3) = (1)*100% + (2)*5% | Marginal APR (4) | Additional Capital Requirement (5) |
|---|---|---|---|---|---|
| Sovereigns | 0% | ||||
| Public Sector Entities | 12% | ||||
| Multilateral Development Banks | 0% | ||||
| Financial System Companies | 0% | ||||
| Securities Intermediaries | 0% | ||||
| Housing Mortgage Credits | 15% | ||||
| Non-Revolving Consumption | 35% | ||||
| Revolving Consumption | 55% | ||||
| Corporate | 12% | ||||
| Large Companies | 25% | ||||
| Medium Companies | 30% | ||||
| Small Companies | 35% | ||||
| Microenterprises | 40% | ||||
| Shareholders | 0% | ||||
| Credit Derivatives | 0% | ||||
| Others | 0% | ||||
| Total |
NOTES:
- Obtain the adjusted direct exposures taking into account the amount of the "Total Adjusted Exposures" column of Report 2-A1-III of the Accounting Manual, minus the contingent exposures and exposures with derivatives and counterparty risk of the same report.
- Obtain the contingent exposures for consumption, microenterprises and small companies, from the following accounts:
a. Revolving: 72050603000000 + 72050303010000 b. Non-revolving: 72050303020000 + 72050307030000 + 7205.07 (corresponding part)
c. Small company: 72050613000000 + 72050313000000 + 7205.07 (corresponding part)
d. Microenterprise: 72050602000000 +72050302000000 + 7205.07 (corresponding part) - Contingent exposures will be multiplied by 5% to find their credit equivalent. Adjusted direct exposures are multiplied by 100%.
- The marginal APR is obtained by multiplying column (3) by the weighters.
- The additional requirement for the economic cycle will be equal to the multiplication of the marginal APR by the global limit.
REPORT NO. 4-A2
RISK-WEIGHTED ASSETS AND CONTINGENCIES FOR CREDIT RISK STRESS – COMPANIES APPLYING THE IRB METHOD
As of…. of…. of….
Company:………………………………………
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
0% ]0% 10%] ]10% 25%] ]25% 40%] ]40% 60%] ]60% 100%[ 100% 0% ]0% 25%] ]25% 50%] ]50% 75%] ]75% 100%[ 100% Exposures with credit derivatives Exposures with personal guarantees Total exits Total entries A B 1 2 3 4 5 6 7 8 9 10 11 12 13 = 11+12 14 15= 10-13+14 16 = 15xHrcc 17 = 15xHe 18 = 15+16+17 19 20 21 22 23 24 25 26 27 28 = (27 / global limit) * adjustment factor 29 30 EXPOSURE SET 1 9.1.1 9.1.2 9.1.3 9.1.4 9.1.5 9.1.6 9.1.7 9.1.8 9.1.9 9.1.10 9.1.11 9.1.12 9.1.13 9.1.14 9.1.15 9.1.16 9.1.17 9.1.18 9.1.19 9.1.20 9.1.21 9.1.22 9.1.23 9.1.24 9.1.25 9.1.27 9.1.28 9.1.29 9.1.30 EXPOSURE SET 2 9.2.1 9.2.2 9.2.3 9.2.4 9.2.5 9.2.6 9.2.7 9.2.8 9.2.9 9.2.10 9.2.11 9.2.12 9.2.13 9.2.14 9.2.15 9.2.16 9.2.17 9.2.18 9.2.19 9.2.20 9.2.21 9.2.22 9.2.23 9.2.24 9.2.25 9.2.27 9.2.28 9.2.29 9.2.30 EXPOSURE SET 3 9.3.1 9.3.2 9.3.3 9.3.4 9.3.5 9.3.6 9.3.7 9.3.8 9.3.9 9.3.10 9.3.11 9.3.12 9.3.13 9.3.14 9.3.15 9.3.16 9.3.17 9.3.18 9.3.19 9.3.20 9.3.21 9.3.22 9.3.23 9.3.24 9.3.25 9.3.27 9.3.28 9.3.29 9.3.30 EXPOSURE SET 4 9.4.1 9.4.2 9.4.3 9.4.4 9.4.5 9.4.6 9.4.7 9.4.8 9.4.9 9.4.10 9.4.11 9.4.12 9.4.13 9.4.14 9.4.15 9.4.16 9.4.17 9.4.18 9.4.19 9.4.20 9.4.21 9.4.22 9.4.23 9.4.24 9.4.25 9.4.27 9.4.28 9.4.29 9.4.30 EXPOSURE SET 5 9.5.1 9.5.2 9.5.3 9.5.4 9.5.5 9.5.6 9.5.7 9.5.8 9.5.9 9.5.10 9.5.11 9.5.12 9.5.13 9.5.14 9.5.15 9.5.16 9.5.17 9.5.18 9.5.19 9.5.20 9.5.21 9.5.22 9.5.23 9.5.24 9.5.25 9.5.27 9.5.28 9.5.29 9.5.30 … … … … … … … … … … … … … … … … … … … … … … … … … … … … … … EXPOSURE SET N 9.N.1 9.N.2 9.N.3 9.N.4 9.N.5 9.N.6 9.N.7 9.N.8 9.N.9 9.N.10 9.N.11 9.N.12 9.N.13 9.N.14 9.N.15 9.N.16 9.N.17 9.N.18 9.N.19 9.N.20 9.N.21 9.N.22 9.N.23 9.N.24 9.N.25 9.N.27 9.N.28 9.N.29 9.N.30 UNRATED OPERATIONS 9.N+1.1 9.N+1.2 9.N+1.3 9.N+1.4 9.N+1.5 9.N+1.6 9.N+1.7 9.N+1.8 9.N+1.9 9.N+1.10 9.N+1.11 9.N+1.12 9.N+1.13 9.N+1.14 9.N+1.15 9.N+1.16 9.N+1.17 9.N+1.18 9.N+1.19 9.N+1.20 9.N+1.21 9.N+1.22 9.N+1.23 9.N+1.24 9.N+1.25 9.N+1.27 9.N+1.28 9.N+1.29 9.N+1.30 EXPOSURE SET 1 10.1.1 10.1.2 10.1.3 10.1.4 10.1.5 10.1.6 10.1.7 10.1.8 10.1.9 10.1.10 10.1.11 10.1.12 10.1.13 10.1.14 10.1.15 10.1.16 10.1.17 10.1.18 10.1.19 10.1.20 10.1.21 10.1.22 10.1.23 10.1.24 10.1.25 10.1.27 10.1.28 10.1.29 10.1.30 EXPOSURE SET 2 10.2.1 10.2.2 10.2.3 10.2.4 10.2.5 10.2.6 10.2.7 10.2.8 10.2.9 10.2.10 10.2.11 10.2.12 10.2.13 10.2.14 10.2.15 10.2.16 10.2.17 10.2.18 10.2.19 10.2.20 10.2.21 10.2.22 10.2.23 10.2.24 10.2.25 10.2.27 10.2.28 10.2.29 10.2.30 EXPOSURE SET 3 10.3.1 10.3.2 10.3.3 10.3.4 10.3.5 10.3.6 10.3.7 10.3.8 10.3.9 10.3.10 10.3.11 10.3.12 10.3.13 10.3.14 10.3.15 10.3.16 10.3.17 10.3.18 10.3.19 10.3.20 10.3.21 10.3.22 10.3.23 10.3.24 10.3.25 10.3.27 10.3.28 10.3.29 10.3.30 EXPOSURE SET 4 10.4.1 10.4.2 10.4.3 10.4.4 10.4.5 10.4.6 10.4.7 10.4.8 10.4.9 10.4.10 10.4.11 10.4.12 10.4.13 10.4.14 10.4.15 10.4.16 10.4.17 10.4.18 10.4.19 10.4.20 10.4.21 10.4.22 10.4.23 10.4.24 10.4.25 10.4.27 10.4.28 10.4.29 10.4.30 EXPOSURE SET 5 10.5.1 10.5.2 10.5.3 10.5.4 10.5.5 10.5.6 10.5.7 10.5.8 10.5.9 10.5.10
10.5.11 10.5.12 10.5.13 10.5.14 10.5.15 10.5.16 10.5.17 10.5.18 10.5.19 10.5.20 10.5.21 10.5.22 10.5.23 10.5.24 10.5.25 10.5.27 10.5.28 10.5.29 10.5.30 … … … … … … … … … … … … … … … … … … … … … … … … … … … … … … EXPOSURE SET N 10.N.1 10.N.2 10.N.3 10.N.4 10.N.5 10.N.6 10.N.7 10.N.8 10.N.9 10.N.10 10.N.11 10.N.12 10.N.13 10.N.14 10.N.15 10.N.16 10.N.17 10.N.18 10.N.19 10.N.20 10.N.21 10.N.22 10.N.23 10.N.24 10.N.25 10.N.27 10.N.28 10.N.29 10.N.30 UNRATED OPERATIONS 10.N+1.1 10.N+1.2 10.N+1.3 10.N+1.4 10.N+1.5 10.N+1.6 10.N+1.7 10.N+1.8 10.N+1.9 10.N+1.10 10.N+1.11 10.N+1.12 10.N+1.13 10.N+1.14 10.N+1.15 10.N+1.16 10.N+1.17 10.N+1.18 10.N+1.19 10.N+1.20 10.N+1.21 10.N+1.22 10.N+1.23 10.N+1.24 10.N+1.25 10.N+1.27 10.N+1.28 10.N+1.29 10.N+1.30 EXPOSURE SET 1 11.1.1 11.1.2 11.1.3 11.1.4 11.1.5 11.1.6 11.1.7 11.1.8 11.1.9 11.1.10 11.1.11 11.1.12 11.1.13 11.1.14 11.1.15 11.1.16 11.1.17 11.1.18 11.1.19 11.1.20 11.1.21 11.1.22 11.1.23 11.1.24 11.1.25 11.1.27 11.1.28 11.1.29 11.1.30 EXPOSURE SET 2 11.2.1 11.2.2 11.2.3 11.2.4 11.2.5 11.2.6 11.2.7 11.2.8 11.2.9 11.2.10 11.2.11 11.2.12 11.2.13 11.2.14 11.2.15 11.2.16 11.2.17 11.2.18 11.2.19 11.2.20 11.2.21 11.2.22 11.2.23 11.2.24 11.2.25 11.2.27 11.2.28 11.2.29 11.2.30 EXPOSURE SET 3 11.3.1 11.3.2 11.3.3 11.3.4 11.3.5 11.3.6 11.3.7 11.3.8 11.3.9 11.3.10 11.3.11 11.3.12 11.3.13 11.3.14 11.3.15 11.3.16 11.3.17 11.3.18 11.3.19 11.3.20 11.3.21 11.3.22 11.3.23 11.3.24 11.3.25 11.3.27 11.3.28 11.3.29 11.3.30 EXPOSURE SET 4 11.4.1 11.4.2 11.4.3 11.4.4 11.4.5 11.4.6 11.4.7 11.4.8 11.4.9 11.4.10 11.4.11 11.4.12 11.4.13 11.4.14 11.4.15 11.4.16 11.4.17 11.4.18 11.4.19 11.4.20 11.4.21 11.4.22 11.4.23 11.4.24 11.4.25 11.4.27 11.4.28 11.4.29 11.4.30 EXPOSURE SET 5 11.5.1 11.5.2 11.5.3 11.5.4 11.5.5 11.5.6 11.5.7 11.5.8 11.5.9 11.5.10 11.5.11 11.5.12 11.5.13 11.5.14 11.5.15 11.5.16 11.5.17 11.5.18 11.5.19 11.5.20 11.5.21 11.5.22 11.5.23 11.5.24 11.5.25 11.5.27 11.5.28 11.5.29 11.5.30 … … … … … … … … … … … … … … … … … … … … … … … … … … … … … … EXPOSURE SET N 11.N.1 11.N.2 11.N.3 11.N.4 11.N.5 11.N.6 11.N.7 11.N.8 11.N.9 11.N.10 11.N.11 11.N.12 11.N.13 11.N.14 11.N.15 11.N.16 11.N.17 11.N.18 11.N.19 11.N.20 11.N.21 11.N.22 11.N.23 11.N.24 11.N.25 11.N.27 11.N.28 11.N.29 11.N.30 UNRATED OPERATIONS 11.N+1.1 11.N+1.2 11.N+1.3 11.N+1.4 11.N+1.5 11.N+1.6 11.N+1.7 11.N+1.8 11.N+1.9 11.N+1.10 11.N+1.11 11.N+1.12 11.N+1.13 11.N+1.14 11.N+1.15 11.N+1.16 11.N+1.17 11.N+1.18 11.N+1.19 11.N+1.20 11.N+1.21 11.N+1.22 11.N+1.23 11.N+1.24 11.N+1.25 11.N+1.27 11.N+1.28 11.N+1.29 11.N+1.30 EXPOSURE SET 1 12.1.1 12.1.2 12.1.3 12.1.4 12.1.5 12.1.6 12.1.7 12.1.8 12.1.9 12.1.10 12.1.11 12.1.12 12.1.13 12.1.14 12.1.15 12.1.16 12.1.17 12.1.18 12.1.19 12.1.20 12.1.21 12.1.22 12.1.23 12.1.24 12.1.25 12.1.27 12.1.28 12.1.29 12.1.30 EXPOSURE SET 2 12.2.1 12.2.2 12.2.3 12.2.4 12.2.5 12.2.6 12.2.7 12.2.8 12.2.9 12.2.10 12.2.11 12.2.12 12.2.13 12.2.14 12.2.15 12.2.16 12.2.17 12.2.18 12.2.19 12.2.20 12.2.21 12.2.22 12.2.23 12.2.24 12.2.25 12.2.27 12.2.28
12.2.29 12.2.30 EXPOSURE SET 3 12.3.1 12.3.2 12.3.3 12.3.4 12.3.5 12.3.6 12.3.7 12.3.8 12.3.9 12.3.10 12.3.11 12.3.12 12.3.13 12.3.14 12.3.15 12.3.16 12.3.17 12.3.18 12.3.19 12.3.20 12.3.21 12.3.22 12.3.23 12.3.24 12.3.25 12.3.27 12.3.28 12.3.29 12.3.30 EXPOSURE SET 4 12.4.1 12.4.2 12.4.3 12.4.4 12.4.5 12.4.6 12.4.7 12.4.8 12.4.9 12.4.10 12.4.11 12.4.12 12.4.13 12.4.14 12.4.15 12.4.16 12.4.17 12.4.18 12.4.19 12.4.20 12.4.21 12.4.22 12.4.23 12.4.24 12.4.25 12.4.27 12.4.28 12.4.29 12.4.30 EXPOSURE SET 5 12.5.1 12.5.2 12.5.3 12.5.4 12.5.5 12.5.6 12.5.7 12.5.8 12.5.9 12.5.10 12.5.11 12.5.12 12.5.13 12.5.14 12.5.15 12.5.16 12.5.17 12.5.18 12.5.19 12.5.20 12.5.21 12.5.22 12.5.23 12.5.24 12.5.25 12.5.27 12.5.28 12.5.29 12.5.30 … … … … … … … … … … … … … … … … … … … … … … … … … … … … … … EXPOSURE SET N 12.N.1 12.N.2 12.N.3 12.N.4 12.N.5 12.N.6 12.N.7 12.N.8 12.N.9 12.N.10 12.N.11 12.N.12 12.N.13 12.N.14 12.N.15 12.N.16 12.N.17 12.N.18 12.N.19 12.N.20 12.N.21 12.N.22 12.N.23 12.N.24 12.N.25 12.N.27 12.N.28 12.N.29 12.N.30 UNRATED OPERATIONS 12.N+1.1 12.N+1.2 12.N+1.3 12.N+1.4 12.N+1.5 12.N+1.6 12.N+1.7 12.N+1.8 12.N+1.9 12.N+1.10 12.N+1.11 12.N+1.12 12.N+1.13 12.N+1.14 12.N+1.15 12.N+1.16 12.N+1.17 12.N+1.18 12.N+1.19 12.N+1.20 12.N+1.21 12.N+1.22 12.N+1.23 12.N+1.24 12.N+1.25 12.N+1.27 12.N+1.28 12.N+1.29 12.N+1.30 EXPOSURE SET 1 13.1.1 13.1.2 13.1.3 13.1.4 13.1.5 13.1.6 13.1.7 13.1.8 13.1.9 13.1.10 13.1.11 13.1.12 13.1.13 13.1.14 13.1.15 13.1.16 13.1.17 13.1.18 13.1.19 13.1.20 13.1.21 13.1.22 13.1.23 13.1.24 13.1.25 13.1.27 13.1.28 13.1.29 13.1.30 EXPOSURE SET 2 13.2.1 13.2.2 13.2.3 13.2.4 13.2.5 13.2.6 13.2.7 13.2.8 13.2.9 13.2.10 13.2.11 13.2.12 13.2.13 13.2.14 13.2.15 13.2.16 13.2.17 13.2.18 13.2.19 13.2.20 13.2.21 13.2.22 13.2.23 13.2.24 13.2.25 13.2.27 13.2.28 13.2.29 13.2.30 EXPOSURE SET 3 13.3.1 13.3.2 13.3.3 13.3.4 13.3.5 13.3.6 13.3.7 13.3.8 13.3.9 13.3.10 13.3.11 13.3.12 13.3.13 13.3.14 13.3.15 13.3.16 13.3.17 13.3.18 13.3.19 13.3.20 13.3.21 13.3.22 13.3.23 13.3.24 13.3.25 13.3.27 13.3.28 13.3.29 13.3.30 EXPOSURE SET 4 13.4.1 13.4.2 13.4.3 13.4.4 13.4.5 13.4.6 13.4.7 13.4.8 13.4.9 13.4.10 13.4.11 13.4.12 13.4.13 13.4.14 13.4.15 13.4.16 13.4.17 13.4.18 13.4.19 13.4.20 13.4.21 13.4.22 13.4.23 13.4.24 13.4.25 13.4.27 13.4.28 13.4.29 13.4.30 EXPOSURE SET 5 13.5.1 13.5.2 13.5.3 13.5.4 13.5.5 13.5.6 13.5.7 13.5.8 13.5.9 13.5.10 13.5.11 13.5.12 13.5.13 13.5.14 13.5.15 13.5.16 13.5.17 13.5.18 13.5.19 13.5.20 13.5.21 13.5.22 13.5.23 13.5.24 13.5.25 13.5.27 13.5.28 13.5.29 13.5.30 … … … … … … … … … … … … … … … … … … … … … … … … … … … … … … EXPOSURE SET N 13.N.1 13.N.2 13.N.3 13.N.4 13.N.5 13.N.6 13.N.7 13.N.8 13.N.9 13.N.10 13.N.11 13.N.12 13.N.13 13.N.14 13.N.15 13.N.16 13.N.17 13.N.18 13.N.19 13.N.20 13.N.21 13.N.22 13.N.23 13.N.24 13.N.25 13.N.27 13.N.28 13.N.29 13.N.30 UNRATED OPERATIONS 13.N+1.1 13.N+1.2 13.N+1.3 13.N+1.4 13.N+1.5 13.N+1.6 13.N+1.7 13.N+1.8 13.N+1.9 13.N+1.10 13.N+1.11 13.N+1.12 13.N+1.13 13.N+1.14 13.N+1.15 13.N+1.16 13.N+1.17
13.N+1.18 13.N+1.19 13.N+1.20 13.N+1.21 13.N+1.22 13.N+1.23 13.N+1.24 13.N+1.25 13.N+1.27 13.N+1.28 13.N+1.29 13.N+1.30 EXPOSURE SET 1 14.1.1 14.1.2 14.1.3 14.1.4 14.1.5 14.1.6 14.1.7 14.1.8 14.1.9 14.1.10 14.1.11 14.1.12 14.1.13 14.1.14 14.1.15 14.1.16 14.1.17 14.1.18 14.1.19 14.1.20 14.1.21 14.1.22 14.1.23 14.1.24 14.1.25 14.1.27 14.1.28 14.1.29 EXPOSURE SET 2 14.2.1 14.2.2 14.2.3 14.2.4 14.2.5 14.2.6 14.2.7 14.2.8 14.2.9 14.2.10 14.2.11 14.2.12 14.2.13 14.2.14 14.2.15 14.2.16 14.2.17 14.2.18 14.2.19 14.2.20 14.2.21 14.2.22 14.2.23 14.2.24 14.2.25 14.2.27 14.2.28 14.2.29 EXPOSURE SET 3 14.3.1 14.3.2 14.3.3 14.3.4 14.3.5 14.3.6 14.3.7 14.3.8 14.3.9 14.3.10 14.3.11 14.3.12 14.3.13 14.3.14 14.3.15 14.3.16 14.3.17 14.3.18 14.3.19 14.3.20 14.3.21 14.3.22 14.3.23 14.3.24 14.3.25 14.3.27 14.3.28 14.3.29 EXPOSURE SET 4 14.4.1 14.4.2 14.4.3 14.4.4 14.4.5 14.4.6 14.4.7 14.4.8 14.4.9 14.4.10 14.4.11 14.4.12 14.4.13 14.4.14 14.4.15 14.4.16 14.4.17 14.4.18 14.4.19 14.4.20 14.4.21 14.4.22 14.4.23 14.4.24 14.4.25 14.4.27 14.4.28 14.4.29 EXPOSURE SET 5 14.5.1 14.5.2 14.5.3 14.5.4 14.5.5 14.5.6 14.5.7 14.5.8 14.5.9 14.5.10 14.5.11 14.5.12 14.5.13 14.5.14 14.5.15 14.5.16 14.5.17 14.5.18 14.5.19 14.5.20 14.5.21 14.5.22 14.5.23 14.5.24 14.5.25 14.5.27 14.5.28 14.5.29 … … … … … … … … … … … … … … … … … … … … … … … … … … … … … EXPOSURE SET N 14.N.1 14.N.2 14.N.3 14.N.4 14.N.5 14.N.6 14.N.7 14.N.8 14.N.9 14.N.10 14.N.11 14.N.12 14.N.13 14.N.14 14.N.15 14.N.16 14.N.17 14.N.18 14.N.19 14.N.20 14.N.21 14.N.22 14.N.23 14.N.24 14.N.25 14.N.27 14.N.28 14.N.29 UNRATED OPERATIONS 14.N+1.1 14.N+1.2 14.N+1.3 14.N+1.4 14.N+1.5 14.N+1.6 14.N+1.7 14.N+1.8 14.N+1.9 14.N+1.10 14.N+1.11 14.N+1.12 14.N+1.13 14.N+1.14 14.N+1.15 14.N+1.16 14.N+1.17 14.N+1.18 14.N+1.19 14.N+1.20 14.N+1.21 14.N+1.22 14.N+1.23 14.N+1.24 14.N+1.25 14.N+1.27 14.N+1.28 14.N+1.29 Weighted Effective Maturity XIV/ Requirement for effective equity for credit risk XV/ Assets and contingent liabilities weighted by credit risk XVI/ Adjustment for RCC of the exposure (E x Hrcc) X/ Adjustment for volatility of the exposure (E x He) XI/ EAD XII/ Admissible Provisions XVIII/ Exposure after applying FCC, credit derivatives and personal guarantees IX/ Expected Losses XVII/ Distribution of EAD according to LGD of exposures XIII/ Revolving Consumption Mortgages Non-Revolving Consumption Small Businesses Microenterprises Equity Credit risk reassignment by coverage of credit derivatives and personal guarantees VIII/ Distribution of balances according to their Credit Conversion Factor (CCF) VI/ PD IV/ Exposure after CCF VII/ Original Exposure pre CCF V/ Type of Exposure I/ Qualification Grades II/ Number of Debtors or Operations III/
SUMMARY OF EXPOSURES UNDER INTERNAL RATINGS-BASED METHODS Credit risk reassignment by coverage provided by protection providers in the standard method XXIII/ 1 Sovereigns r.1.1 r.1.2 r.1.3 r.1.4 r.1.5 r.1.6 r.1.7 r.1.8 r.1.9 r.1.10 r.1.11 r.1.12 r.1.13 2 Public Sector Entities r.2.1 r.2.2 r.2.3 r.2.4 r.2.5 r.2.6 r.2.7 r.2.8 r.2.9 r.2.10 r.2.11 r.2.12 r.2.13 3 Multilateral Development Banks r.3.1 r.3.2 r.3.3 r.3.4 r.3.5 r.3.6 r.3.7 r.3.8 r.3.9 r.3.10 r.3.11 r.3.12 r.3.13 4 Financial System Companies r.4.1 r.4.2 r.4.3 r.4.4 r.4.5 r.4.6 r.4.7 r.4.8 r.4.9 r.4.10 r.4.11 r.4.12 r.4.13 5 Securities Intermediaries r.5.1 r.5.2 r.5.3 r.5.4 r.5.5 r.5.6 r.5.7 r.5.8 r.5.9 r.5.10 r.5.11 r.5.12 r.5.13 6 Mortgages r.6.1 r.6.2 r.6.3 r.6.4 r.6.5 r.6.6 r.6.7 r.6.8 r.6.9 r.6.10 r.6.11 r.6.12 r.6.13 7 Non-Revolving Consumption r.7.1 r.7.2 r.7.3 r.7.4 r.7.5 r.7.6 r.7.7 r.7.8 r.7.9 r.7.10 r.7.11 r.7.12 r.7.13 8 Revolving Consumption r.8.1 r.8.2 r.8.3 r.8.4 r.8.5 r.8.6 r.8.7 r.8.8 r.8.9 r.8.10 r.8.11 r.8.12 r.8.13 9 Corporates r.9.1 r.9.2 r.9.3 r.9.4 r.9.5 r.9.6 r.9.7 r.9.8 r.9.9 r.9.10 r.9.11 r.9.12 r.9.13 10 Large Enterprises r.10.1 r.10.2 r.10.3 r.10.4 r.10.5 r.10.6 r.10.7 r.10.8 r.10.9 r.10.10 r.10.11 r.10.12 r.10.13 11 Medium Enterprises r.11.1 r.11.2 r.11.3 r.11.4 r.11.5 r.11.6 r.11.7 r.11.8 r.11.9 r.11.10 r.11.11 r.11.12 r.11.13 12 Small Enterprises r.12.1 r.12.2 r.12.3 r.12.4 r.12.5 r.12.6 r.12.7 r.12.8 r.12.9 r.12.10 r.12.11 r.12.12 r.12.13 13 Microenterprises r.13.1 r.13.2 r.13.3 r.13.4 r.13.5 r.13.6 r.13.7 r.13.8 r.13.9 r.13.10 r.13.11 r.13.12 r.13.13 14 Equity r.14.1 r.14.2 r.14.3 r.14.4 r.14.5 r.14.6 r.14.7 r.14.8 r.14.9 r.14.10 r.14.11 r.14.12 r.14.13 15 Others r.15.2 r.15.3 r.15.4 r.15.5 r.15.6 r.15.7 r.15.8 r.15.9 r.15.10 r.15.11 r.15.12 r.15.13 16 Exposures in default r.16.2 r.16.3 r.16.4 r.16.5 r.16.6 r.16.7 r.16.8 r.16.9 r.16.10 r.16.11 r.16.12 17 Total r.17.1 r.17.2 r.17.3 r.17.4 r.17.5 r.17.6 r.17.7 r.17.8 r.17.9 r.17.10 r.17.11 r.17.12 r.17.13 Adjustment factor to r.17.3 = r.17.4 + r.17.11 Global limit GENERAL MANAGER GENERAL ACCOUNTANT PREPARED BY Distribution by types of exposures Requirement for effective equity for credit risk XXV/ Original Exposure pre CCF XX/ Exposure after applying FCC, credit derivatives and personal guarantees XXII/ State Peruvian Others Sovereigns EAD XXIV/ Total Securities Intermediaries Type of model XIX/ Multilateral Banks of Development Financial System Companies Exposure after CCF XXI/ Public Sector Entities
METHODOLOGICAL NOTES OF REPORT No. 4-A2
STRESSED CREDIT RISK ASSETS AND CONTINGENT LIABILITIES – COMPANIES APPLYING IRB METHOD The procedure for calculating stressed credit risk assets and contingent liabilities (APR) is similar to that used to obtain APR in Report No. 2-A2. However, the company must use the probability of default (PD), loss given default (LGD), and credit conversion factors (CCF) that incorporate a stress situation, as stated in the Regulation for the Requirement of Additional Effective Equity. For companies using the Fundamental IRB:
- In column 2, the PD corresponding to the recessionary part of an economic cycle will be recorded for each qualification grade of each IRB portfolio held by the company.
- The marginal credit conversion factor established in Article 7° will be considered for the distribution, in columns 4 to 9, of the balances of the contingent exposures indicated in the same article.
- To determine the distribution of EAD of exposures in columns 19 to 25, the stress LGDs to be considered will be equal to the LGDs established in the Regulation for the Requirement of Effective Equity for Credit Risk plus an additional value. In the case of non-retail debtors and mortgages, the LGD will be increased by 5 percentage points, and in the case of retail debtors, the LGD will be increased by 10 percentage points.
For companies using the Advanced IRB: - In column 2, the PD corresponding to the recessionary part of an economic cycle will be recorded for each qualification grade of each IRB portfolio held by the company.
- A marginal credit conversion factor will be considered, calculated by the company for a stress scenario, which must be applied to the balance of the contingent exposures indicated in Article 7°. This marginal credit conversion factor, which will be added to the credit conversion factor (CCF) applicable to the contingent exposures indicated, will not be less than 5%.
- To determine the distribution of EAD of exposures in columns 19 to 25, stress LGDs estimated by the company will be considered.
REPORT No. 4-B1
REQUIREMENT FOR EFFECTIVE EQUITY FOR CREDIT CONCENTRATION RISK - INDIVIDUAL CONCENTRATION RISK On… of… of… Expressed in new soles Company:………………………………………….
Notes:
- Register the direct credits of the 20 main debtors of the company applying the single risk criterion, as well as the total of said exposures. Companies must consider their gross exposures, that is, without deducting the provisions constituted. Likewise, accrued interest, deferred amounts, or prepaid charges should not be computed. In the case of financial leases, non-accrued interest should not be considered.
- Register the company's effective equity corresponding to the month prior to the reporting date.
- Calculate the percentage of effective equity that the direct credits of the 20 main debtors represent, applying the single risk criterion.
- Calculate the requirement for effective equity (in percentage) K(%) as the minimum value between 0.01 of the Ratio calculated in item 3 and four percent (4%) referred to in Article 21° of the Regulation for the Requirement of Additional Effective Equity. (*)
- Calculate the requirement for effective equity (in new soles) by multiplying the requirement for effective equity for credit risk obtained according to the Regulation for the Requirement of Effective Equity for Credit Risk by the percentage found in item 4.
() Errata dated August 2, 2011.
REPORT No. 4-B2
Main customers
Direct credits
(1)
Effective equity
(2)
Ratio () =
[(1) / (2)] X 100
Requirement for PE (%)
Requirement for PE (S/.)
Total
REQUIREMENT FOR EFFECTIVE EQUITY FOR CREDIT CONCENTRATION RISK
- SECTORIAL CONCENTRATION RISK
On… of… of…
Expressed in new soles
Company:………………………………………….
Economic sector
Direct credits 1/.
(1)
Participation in the total of
19 sectors 2/.
(2) = (1)/A
Participation squared 3/.
(2)^2
1 Agriculture, Livestock, Hunting and Silviculture 2 Fishing 3 Mining 4 Food, beverages and tobacco 5 Textiles and leather 6 Fab. of substances and chem. prod.
7 Wood and paper, rubber and plastic
8 Fab. of non-metallic mineral prod.
9 Metal fab.
10 Rest of manufacturing
11 Electricity, Gas and Water
12 Construction
13 Commerce
14 Hotels and Restaurants
15 Transport, Storage and Communications
16 Financial Intermediation
17 Real estate and rental activities
18 Other non-retail
19 Mortgage for housing
Total exposures 19 sectors A B
Concentration coefficient 19 sectors C = 1/B 4/.
Direct consumption exposures D 5/.
Total exposures E 6/.
Consumption concentration coefficient F = 10.4 Adjusted concentration coefficient G = round(C*(A/E)+F*(D/E),0) 7/.
Requirement for PE for credit risk H
Requirement for PE for sectorial concentration H*(0.16*(19 - G)/18) 8/.
Notes:
- Add the company's direct credits in 19 sectors according to what is specified in the following table and register them in column (1).
- For each of the 19 sectors, calculate its participation in the total exposures of these sectors and register said values in column (2).
- Square the participation of each of the 19 sectors, register said values in the "squared participation" column and register the aggregate of them in cell B.
- Calculate the concentration coefficient by obtaining the inverse of the value of cell B and register it in cell C.
- Register the direct credits corresponding to consumption credits in cell D.
- Register the total of direct credits in cell E (sum of all economic sectors, including consumption and mortgage credits)
- Using the values of cells A, C and D and the concentration coefficient of consumption credits, calculate the adjusted concentration coefficient (CCa), round it to zero decimals and register it in cell G.
- The requirement for effective equity for sectorial concentration risk will be equal to the multiplication of the requirement for effective equity for credit risk obtained according to the Regulation for the Requirement of Effective Equity for Credit Risk (cell H) by the following factor (K%):
Where CCa is the adjusted concentration coefficient registered in cell G.
Economic sector DIVISION (CIIU)
1 Agriculture, Livestock, Hunting and Silviculture 01 and 02 2 Fishing 05 3 Mining 10 to 14 4 Food, beverages and tobacco 15 and 16 5 Textiles and leather 17 to 19 6 Fab. of substances and chem. prod. 24 7 Wood and paper, rubber and plastic 20 to 22 and 25 8 Fab. of non-metallic mineral prod. 26 9 Metal fab. 27 and 28 10 Rest of manufacturing 23 and 29 to 37 11 Electricity, Gas and Water 40 and 41 12 Construction 45 13 Commerce 50 to 52 14 Hotels and Restaurants 55 15 Transport, Storage and Communications 60 to 64 16 Financial Intermediation 65 to 67 17 Real estate, business and rental activities 70 to 74 18 Other non-retail 75, 80, 85 and 90 to 93, 90 to 93 19 Mortgage for housing
REPORT No. 4-B3
REQUIREMENT OF EFFECTIVE EQUITY FOR CREDIT CONCENTRATION RISK - REGIONAL CONCENTRATION RISK
As of.... of.... of....
Expressed in new soles
Company:………………………………………….
Notes:
- Add the company's direct credits in 8 macro regions, according to what is specified in the following table, and register them in column (1).
| Macro Region | Direct Credits 1/. (1) | Distribution of population by macro region (2) | Direct credits adjusted by Population 2/. (3)=(1)/(2) | Participation by macro region in total Credits 3/. (4) = (3)/A | Distribution of Gross Value Added by macro region (5) | Participation squared (2)^2 adjusted by Production 4/. (6) = ((4)^2)*(1-(5)) |
|---|---|---|---|---|---|---|
| 1 Apurímac - Cusco - Madre de Dios | 6.3% | 3.5% | ||||
| 2 Ayacucho - Huancavelica - Ica | 6.4% | 5.0% | ||||
| 3 Nor - Centro | 12.1% | 8.9% | ||||
| 4 Nor - Oriente | 9.2% | 4.8% | ||||
| 5 Norte | 16.8% | 12.1% | ||||
| 6 Selva | 4.9% | 3.0% | ||||
| 7 Sur Andina | 10.4% | 10.5% | ||||
| 8 Lima - Callao | 34.0% | 52.3% | ||||
| Total | 100.0% | A | 100.0% | B |
Concentration Coefficient 8 macro regions C = round(1/B,0) 5/.
Requirement of EE for credit risk D
Requirement of EE for regional concentration D*(0.04*(8 - C)/7) 6/.
For the purposes of calculating this requirement, the location of the client's tax domicile or the place where their economic activities are carried out must be considered.
- Adjust the direct credits by population, for which the credits in each macro region will be divided by the percentage of population living in each macro-region (column 2).
- For each of the 8 macro regions, calculate its participation in the total direct credits using the information from column (3) and register said participations in column (4).
- Square the participation of each of the 8 macro regions and multiply it by 1 minus the value indicated in column (5), register said values in column (6) and register the aggregate of the same in cell B.
- Calculate the concentration coefficient by obtaining the inverse of the value of cell B, round it to zero decimals, and register it in cell C.
- The requirement of effective equity for risk by regional credit concentration will be equal to the multiplication of the requirement of effective equity for credit risk obtained according to the Regulation for the Requirement of Effective Equity for Credit Risk (cell D) by the following factor (K%):
Where CC is the concentration coefficient registered in cell C.
| Macro Region | Departments |
|---|---|
| 1 Apurímac - Cusco - Madre de Dios | Apurímac, Cusco, Madre de Dios |
| 2 Ayacucho - Huancavelica - Ica | Ayacucho, Huancavelica, Ica |
| 3 Nor - Centro | Áncash, Huánuco, Junín, Pasco |
| 4 Nor - Oriente | Amazonas, Cajamarca, San Martín |
| 5 Norte | La Libertad, Lambayeque, Piura, Tumbes |
| 6 Selva | Loreto, Ucayali |
| 7 Sur Andina | Arequipa, Moquegua, Puno, Tacna |
| 8 Lima - Callao | Lima, Callao |
REPORT No. 4-C
REQUIREMENT OF EFFECTIVE EQUITY FOR INTEREST RATE RISK IN THE BANKING BOOK
As of.... of.... of....
Expressed in new soles
Company:………………………………………….
| Concept | Amount (S/.) |
|---|---|
| Risk-based capital value A | |
| Effective equity of the previous month B | |
| Risk-based capital value / Effective equity (in %) C =A/B | |
| Requirement of EE for interest rate risk in the banking book (banking book) D = MAX (0,A – 15%*B) |
Notes:
- In cell A, the company must register the "Risk-based capital value" according to the information reported in Annex No. 7 "Measurement of interest rate risk" of the Accounting Manual for Financial System Companies.
- In cell B, the company must register the total effective equity of the month prior to the reporting date, according to the information reported in Report No. 3 "Effective Equity".
- In cell C, the percentage of effective equity that represents the risk-based capital value must be registered.
- In cell D, the company's requirement of effective equity for interest rate risk in the banking book (banking book) must be registered, which would be equal to the risk-based capital value minus 15% of the effective equity of the previous month, when the risk-based capital value/effective equity ratio exceeds 15%, and zero in any other case.
REPORT No. 4-D
SUMMARY OF ADDITIONAL EFFECTIVE EQUITY REQUIREMENT
As of.... of.... of....
Expressed in new soles
Company:………………………………………….
| Component | Percentage (K%) | Amount (S/.) |
|---|---|---|
| Minimum effective equity requirement for credit risk | A | |
| Minimum effective equity requirement for credit, market, and operational risk | B | |
| Additional effective equity requirement – Cyclic component f) Economic Cycle | C | |
| Additional effective equity requirement – Non-cyclic component g) Concentration Risk | D | E= D*A |
| h) Market Concentration Risk | F | G=F*B |
| i) Interest Rate Risk in the Banking Book (banking book) | H | |
| j) Other Risks | I | J=I*A |
| Voluntary provisions applicable to decrease non-cyclic requirement | K | |
| Total additional effective equity requirement – Non-cyclic component | L=Max (0, E+G+H+J-K) | |
| Total additional effective equity requirement M=Suma(C+L) | ||
| Total effective equity requirement N=B+M | ||
| Effective Equity (EE) O | ||
| Additional EE / EE M/O | ||
| Global Surplus (deficit) of effective equity P=O-N |
Notes:
- In cells A and B, the company will report the level of minimum equity required for credit risk and for credit, market, and operational risk, as indicated in Report 2D.
- In cell C, the company will report the effective equity requirement for the economic cycle. When the rule for the effective equity requirement for the economic cycle is deactivated, the company will report in cell C the balance of effective equity maintained after its use.
- In cells D, F, and I, the company will report the percentages calculated according to the methodologies described in the Regulation for the Requirement of Additional Effective Equity, its annexes, and respective reports.
- In cells E, G, H, and J, the company will report the minimum amount requirement for each component of additional effective equity, which must match the amounts reported in reports 4A, 4B, and 4C.
- In cell K, the company will report the balance of voluntary generic provisions not included as Level 2 effective equity, which it will use to decrease the additional effective equity requirement of the non-cyclic components.
- In the "total effective equity requirement" row (cell N), the company will report the total effective equity requirement, which is equal to the sum of the effective equity requirement for credit, market, and operational risk (B) plus the total additional effective equity requirement (M).
- In the "Effective Equity (EE)" row, the company will report the total effective equity referred to in Article 184° of the General Law, which is reported in Report 3.
- In the Additional EE / EE row, the company will divide the total additional effective equity requirement by the total effective equity.
- In the Global Surplus (deficit) of effective equity row, the company will calculate the difference between the effective equity it possesses (cell O) and its global effective equity requirement (cell N).
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Lineage: Amended
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Amended 1 time · last 2021-12-23
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Source: Superintendencia de Banca Seguros y AFP — original document · Summary generated with machine assistance and reviewed before publication; the authoritative text is the regulator's original document. How RegAlert works
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