When should I submit the quarterly information linked to the calculation of Interest rate risk in investment portfolio?
It must be included in the same monthly filing for the month following the end of each quarter (Communication A6631).
Example
Quarter ended in March: it will be reported together with the monthly presentation of Minimum Capitals for April, whose maturity operates in May.
When do I need to submit quarterly Market Risk information?
The Market Risk information will be presented with the data referring to the last month of each quarter.
Example
Quarter ended in March: it is presented together with the monthly Minimum Capitals for March, which expires in April.
When and how is the “K” factor applied in the event of a change in the rating given to the entity?
The value of the “K” factor is linked to the rating assigned to the entity, according to the evaluation carried out by the SEFyC and will be applied taking into account the scale provided for in the standard.
The last grade reported for the calculation of the requirement to be integrated in the third month following the one in which the notification takes place will be considered.
Example
The rating notified to the entity in August 2019 will be applicable to the information corresponding to November 2019. Until the entity is notified of the assigned rating, the K factor to be applied will be equal to 1.03.