Amendments on Market Risk-Weighted Assets in CAR Reporting
- The changes in market risk-weighted assets reporting, originally outlined in Memorandum No. M-2013-028 dated 19 June 2013, are incorporated for stand-alone thrift banks, rural banks, and cooperative banks.
- Specific risk weights for foreign currency-denominated debt securities or derivatives issued by the Philippine National Government or BSP adjusted from a fixed 8% to a range between 0.25% and 1.60%, depending on residual maturity.
- Part I of Appendix 63c on Risk-Based Capital Adequacy Ratio (CAR) was amended to reflect these changes.
- Banks engaged in trading activities or derivatives as end-users for hedging, including under Type 3-Limited User Authority, must include counterparty credit risk and market risk-weighted assets for such exposures, computed as per the Revised Risk-Based Capital Adequacy Framework in Circular No. 538, as amended.
Deletion of Basel I and Related Provisions
- Complete deletion of Section X116 (Basel I Risk-Based Capital) and its subsections (X116.1 to X116.7) from the MORB.
- Removal of Appendix 63a from the MORB.
- Corresponding amendments to Appendix 6 of the MORB to delete reporting requirements related to the deleted Basel I provisions.
Effectivity of Amendments
- Amendments to Appendix 63c and CAR reporting requirements take effect starting with the CAR reporting period ending 31 March 2014.
- Deletion of Section X116, related subsections, Appendix 63a, and amendments to Appendix 6 take effect fifteen (15) calendar days after publication in the Official Gazette or a newspaper of general circulation.
Important Legal Concepts and Coverage
- The Circular updates the risk-weighting framework specifically for stand-alone thrift banks, rural banks, and cooperative banks.
- It adjusts risk weights for credit risk and market risk to better reflect the risk profile of certain assets, particularly housing loans and government securities.
- The changes align the reporting framework with updated risk-based capital adequacy standards, emphasizing sound risk management practices.
- The deletion of Basel I references signals a transition towards more advanced and current capital adequacy standards consistent with evolving banking regulations.