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108 OG No. 23, 2755 (June 4, 2012)
[ BSP CIRCULAR NO. 740 SERIES OF 2011, January 01, 2012 ]
AMENDMENT APPENDIX 46 (GUIDELINES TO INCORPORATE MARKET RISK-BASED CAPITAL ADEQUACY FRAMEWORK) OF THE MANUAL OF REGULATION FOR BANKS (MORB)
SUBJECT | : | AMENDMENT APPENDIX 46 (GUIDELINES TO INCORPORATE MARKET RISK-BASED CAPITAL ADEQUACY FRAMEWORK) OF THE MANUAL OF REGULATION FOR BANKS (MORB) |
Pursuant to Monetary Board Resolution No. 1602 dated 21 October 2011, the pertinent provision of Appendix 26 (Guidelines to Incorporate Market Risk in the Risk-Based Capital Adequacy Framework) of the MORB, is hereby amended to read, as follows:
Calculation of the capital adequacy ratio (CAR)
This circular takes effect on 1 January 2012.
- The adjusted capital adequacy ratio covering combined credit risk and market risk shall be calculated using the qualifying capital expressed as a percentage of the total risk-weighted assets (including credit risk and market risk-weighted assets). The components of this calculation are as follows:
- Market risk-weighted assets are the sum of the capital charges for all market risk categories calculated using either the standardized approach or the internal models approach [multiplied by 125% for those calculated using the standardized methodology to be consistent with the higher capital charge for credit risk, i.e., ten percent (10%) as opposed to BIS recommended eight percent (8%)] multiplied by 10. (The multiplier 10 is the reciprocal of the BSP required minimum capital adequacy ratio for credit risk of ten percent (10%). The effect is to convert the sum of the market risk of ten percent (10%). The effect is to convert the sum of the market risk capital charges into a risk-weighted assets equivalent which can then be directly added to the total credit risk-weighted assets.). In calculating the capital charge for Foreign Exchange exposures, the net open position for Non-Deliverable Forwards (NDFs) shall be multiplied by 187.5 in lieu of the 125% factor referred to above.
(SGD.) AMANDO M. TETANGKO.JR.
Governor
Governor
26 October 2011