On March 8, the Secretariat of Finance and Public Credit (SHCP in Spanish) opened two public consultations of relevance to your sector. The first seeks to modify the external ratings scheme for the underlying asset securitization process. It will be open for comments until March 28 and interested parties may send their comments to the following link. The second updates the mechanism for calculating the capital requirement for a credit institution’s exposure arising from its contributions to a central counterparty default mutual fund. It will be open for comments until the same day as the first one and interested parties may send their comments to the following link.
The first proposal modifies the method based on external ratings applicable to securitization schemes. It establishes that the amount of risk-weighted assets for a securitization position assumed by an institution acting as an investor will be obtained by multiplying the value of the securitization positions calculated in accordance with the Accounting Criteria by the weighting factor corresponding to the Risk Grade associated to the Rating assigned to such position. There will be five risk grades, ranging from 15% to 1250%.
The second considers it necessary to encourage the use of central counterparties for the liquidation of derivative transactions, as well as to support efforts related to the centralized clearing of standardized OTC (Over The Counter) derivative contracts and to promote a reduction in the systemic risk of the Mexican derivatives market, in order to continue promoting the healthy development and stability of the financial system. To this end, it modifies the technical formula for calculating capital requirements.