SBS Resolution No. 2467-2023: Amending the Regulation for the Effective Equity Requirement for Market Risk; the Regulation for the Effective Equity Requirement for Operational Risk; the Regulation for the Effective Equity Requirement for Additional Risks, and Chapter V of the Accounting Manual for Financial System Companies

Los Laureles Nº 214 - Lima 27 - Perú Telf. : (511)6309000 Lima, July 21, 2023

S.B.S. Resolution
No. 2467-2023

The Superintendent of Banking, Insurance and
Private Pension Fund Administrators

WHEREAS:

That, by SBS Resolution No. 6328-2009 and its amending rules, the Regulation for the Effective Equity Requirement for Market Risk was approved, which establishes the methodology to be applied, as well as the requirements that financial system companies must comply with to calculate the effective equity requirement for market risk using the standard method or under internal models;

That, by SBS Resolution No. 2115-2009 and its amending rules, the Regulation for the Effective Equity Requirement for Operational Risk was approved, which establishes the methodology to be applied, as well as the requirements that financial system companies must comply with to calculate the effective equity requirement for operational risk using the basic indicator method or the alternative standard method;

That, by SBS Resolution No. 3952-2022, a transition period was established applicable to the solvency requirements contemplated in article 199 of the General Law of the Financial System and the Insurance System and Organic Law of the Superintendency of Banking and Insurance, Law No. 26702 and its amendments, hereinafter the General Law;

That, by SBS Resolution No. 3953-2022, the
Regulation for the Effective Equity Requirement for Additional Risks was approved and, likewise, 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 and Report No. 4-D - Summary of the Additional Effective Equity Requirement were amended;

That, by SBS Resolution No. 3955-2022, the
Regulation for the Effective Equity Requirement for Market Risk, approved by

Los Laureles Nº 214 - Lima 27 - Perú Telf. : (511)6309000 SBS Resolution No. 6328-2009 and its amending rules, and the Regulation for the Effective Equity Requirement for Operational Risk, approved by SBS Resolution No. 2115-2009 and its amending rules, were amended, establishing transition periods for the adjustment factors applicable to market risk-weighted assets and operational risk-weighted assets, in accordance with the transition period applicable to the solvency requirements established by SBS Resolution No. 3952-2022;

That, by SBS Resolution No. 2192-2023, SBS
Resolution No. 3952-2022 was amended, establishing a new transition period applicable to the solvency requirements contemplated in article 199 of the General Law;

That, it is necessary to amend the Regulation for the Effective Equity Requirement for Market Risk and the Regulation for the Effective Equity Requirement for Operational Risk, to establish new transition periods for the adjustment factors applicable to market risk-weighted assets and operational risk-weighted assets, which are in accordance with the new transition period applicable to the solvency requirements established by SBS Resolution No. 2192-2023;

That, likewise, it is necessary to amend article 5 and
Annex A of the Regulation for the Effective Equity Requirement for Additional Risks approved by SBS Resolution No. 3953-2022, to adjust the names of Report No. 4-B1, Report No. 4-B2 and Report No. 4-B3;

With the approval of the Deputy Superintendencies of Banking and Microfinance, Risks, Economic Studies, and Legal Affairs; and,

In use of the powers conferred in numerals 7 and 9 of article 349 of the General Law, and on the basis of the exceptional conditions provided in article 14 of Supreme Decree No. 001-2009-JUS and its amendments;

RESOLVES:

Article One.- To replace the fourth paragraph of article 6 of the Regulation for the Effective Equity Requirement for Market Risk, approved by SBS Resolution No. 6328-2009 and its amending rules, as follows:

"Additionally, the RWA for market risk must be multiplied by a factor, whose value shall correspond to that indicated in the following table:

Period	Adjustment factor
January 2023 - March 2023	0.85
April 2023 – February 2024	0.90
March 2024 – August 2024	0.95
September 2024 – onward	1.00

"

Los Laureles Nº 214 - Lima 27 - Perú Telf. : (511)6309000

Article Two.- To replace the last paragraph of article 3 of the Regulation for the Effective Equity Requirement for Operational Risk, approved by SBS Resolution No. 2115-2009 and its amending rules, as follows:

"Additionally, the RWA for operational risk must be multiplied by a factor, whose value shall correspond to that indicated in the following table:

Period	Adjustment factor
January 2023 - March 2023	0.85
April 2023 – February 2024	0.90
March 2024 – August 2024	0.95
September 2024 – onward	1.00

"

Article Three.- To replace article 5 of the Regulation for the Effective Equity Requirement for Additional Risks, approved by SBS Resolution No. 3953-2022, as follows:

"Article 5.- Information to be submitted to the Superintendency The companies shall submit to the Superintendency, via the External Capture and Validation Sub-Module (SUCAVE), the reports indicated below, in accordance with their corresponding methodological notes:

• Report No. 4-B1 – Effective Equity Requirement for Individual Concentration Risk
• Report No. 4-B2 – Effective Equity Requirement for Concentration Risk by Economic Sector
• Report No. 4-B3 – Effective Equity Requirement for Regional Concentration Risk
• Report No. 4-C - Effective Equity Requirement for Interest Rate Risk in the Banking Book
• Report No. 4-D - Summary of Equity Requirements"

Article Four.- To replace the first paragraph of numeral 1 of section I of Annex A of the Regulation for the Effective Equity Requirement for Additional Risks, approved by SBS Resolution No. 3953-2022, as follows:

"1. The formats of Reports No. 4-B1, 4-B2, 4-B3, 4-C and 4-D, their names and their corresponding methodological notes are amended, in accordance with the following:

• Report No. 4-B1 – Effective Equity Requirement for Individual Concentration Risk
• Report No. 4-B2 – Effective Equity Requirement for Concentration Risk by Economic Sector

Los Laureles Nº 214 - Lima 27 - Perú Telf. : (511)6309000

• Report No. 4-B3 – Effective Equity Requirement for Regional Concentration Risk
• Report No. 4-C - Effective Equity Requirement for Interest Rate Risk in the Banking Book
• Report No. 4-D - Summary of Equity Requirements, in accordance with the formats attached."

Article Five.- To amend Chapter V "Complementary Information" of the Accounting Manual for Financial System Companies, as follows:

1. Replace numeral XV of the format of Report No. 4-D - Summary of Equity Requirements, with the following:

"(XV) Effective Equity Requirement for individual, by economic sector and regional concentration risk"

Article Six.- This Resolution enters into force on the day following its publication in the Official Gazette El Peruano.

Register, communicate and publish.

MARIA DEL SOCORRO HEYSEN ZEGARRA
Superintendent of Banking, Insurance and AFP