Enhancements to the Risk-Based Capital Adequacy Ratio (CAR) Report in Relation to the Sovereign Credit Rating Upgrade of the Philippines

June 19, 2013 BSP MEMORANDUM NO. M-2013-028 TO : All Universal and Commercial Banks and Their Subsidiary Banks and Quasi-Banks SUBJECT : Enhancements to the Risk-Based Capital Adequacy Ratio (CAR) Report in Relation to the Sovereign Credit Rating Upgrade of the Philippines Pursuant to Monetary Board Resolution No. 942 dated 6 June 2013, starting with the reporting period ending 30 June 2013, the corresponding risk weight/capital charge of foreign currency (FCY)-denominated exposures to the National Government (NG)/Bangko Sentral ng Pilipinas (BSP) of universal and commercial banks and their subsidiary banks and quasi-banks following the recent sovereign credit upgrades of the Philippines shall be as follows: 1. Credit risk weight from 100 percent to 50 percent; and 2. Specific market risk (interest rate risk) capital charge from 8 percent to a range of 0.25 percent to 1.60 percent depending on the residual maturity of the debt securities/derivatives. The risk-based CAR Report is amended. The specific cells pertaining to the applicable credit risk weight and specific market risk capital charge on banks' FCY denominated exposures are thereby unblocked, as follows: Particulars Reference Item in the CAR Report Credit Risk Part III.1 Risk-Weighted On- Balance Sheet Assets (a) Due from BSP Item C.2, Column 6 (b) FA DFVPL Item E.1.a.1.i.(b), Column 6 (c) AFS Item F.1.a.1.i.(b), Column 6 (d) HTM Item G.1.a.1.ii., Column 6 (e) Unquoted DS Classified as Loans Item H.1.a.1.ii., Column 6 (f) Loans and Receivables (L&R) Item I.2.a.1.i.(a.2), Column 6 Others (g) L&R Arising from Repo/SLB Item J.1.a.1.ii., Column 6 Transactions Market Risk Part IV. Market Risk Weighted Assets HFT Item A.2, Part IV.1a Interest Rate Exposures Specific Risk, Column Residual Maturity (sub columns 0.25%, 1.00% and 1.60%) The attached Annex A provides the specific schedules affected by the changes. HAICTD For compliance. (SGD.) NESTOR A. ESPENILLA, JR. Deputy Governor ANNEX A Part III.1 Risk-Weighted On-Balance Sheet Assets (Amounts in P0.000 million)