Instruction Normative BCB No. 468 — Discloses Operational Procedures Related to Financial Liquidity Lines (LFL)

Resolution No. 222

INSTRUCTION NORMATIVE BCB NO. 468, OF APRIL 29, 2024

Discloses the operational procedures related to the Financial Liquidity Lines (LFL), regulated by the Regulations Annexed to Resolution BCB No. 374, of March 27, 2024.

The Head of the Department of Banking Operations and Payment System (Deban), in the exercise of the powers conferred upon him by item “a” of paragraph I of Article 23 of the Internal Regulations of the Central Bank of Brazil, annexed to Resolution BCB No. 340, of September 21, 2023, and considering the provisions of Vote 146/2021–BCB, of June 30, 2021, and Vote 40/2023–BCB, of March 2, 2023, and also Article 6 of Resolution BCB No. 374, of March 27, 2024,

R E S O L V E :

CHAPTER I
GENERAL PROVISIONS

Art. 1º This Instruction Normative discloses the operational procedures related to the Financial Liquidity Lines (LFL) of the Central Bank of Brazil, regulated by Resolution BCB No. 374, of March 27, 2024.

CHAPTER II
ADHERENCE TO THE LFL

Art. 2º The adherence process of eligible financial institutions to the LFL begins on May 2, 2024, and must observe the provisions of item III of Article 4 and Article 12 of Regulation Annex I to Resolution BCB No. 374, of 2024, which comprises the following stages:

I - submission of a statement of interest in participating in the LFL, accompanied by the draft Contract provided for in item I, as well as the documents provided for in items II and V, of Article 12, of Regulation Annex I to Resolution BCB No. 374, of 2024;

II - submission of the documents provided for in items III and IV, of Article 12, of Regulation Annex I to Resolution BCB No. 374, of 2024, with current validity periods;

III - performance of tests to prove operational and technological capacity, based on a previously defined Roadmap, according to the access classification of the LFL Participant, provided for in item I, of Article 13, of Regulation Annex I to Resolution BCB No. 374, of 2024; and

IV - submission of the definitive version of the Contract, provided for in item I, of Article 12, duly signed, according to §§ 1º and 2º of the same article, of Regulation Annex I to Resolution BCB No. 374, of 2024.

§ 1º The stages referred to in items I and II of the caput may be carried out simultaneously.

§ 2º The stage referred to in item II of the caput is not a prior requirement for the performance of stage III.

§ 3º The draft Contract, provided for in item I of the caput, must meet the following requirements:

I - contain the name and position of the signatories, representatives of the financial institution candidate for qualification, who will sign the Contract, not requiring, at this moment, signatures;

II - follow, in full, the model of the Contract, available on the website of the Central Bank of Brazil on the internet, on the page of the Financial Liquidity Lines;

III - be sent through the Digital Protocol of the Central Bank of Brazil, with the subject “Financial Liquidity Lines”, and addressed to the Banking Operations Division (Diban) of the Department of Banking Operations and Payment System (Deban), selecting the option “Regulated Entity”; and

IV - be converted, before sending, to the PDF/A format, according to guidelines available on the website of the Central Bank of Brazil on the internet, on the page of the Digital Protocol.

§ 4º To be eligible to operate with the use of Bank Credit Notes (CCB) as collateral assets, financial institutions that are already LFL Participants under Resolution BCB No. 110, of July 1, 2021, must observe the provisions of Articles 3º, 4º and 5º of Resolution BCB No. 374, of 2024.

Art. 3º In compliance with the stage provided for in item I of Article 2º, the financial institution candidate for qualification must send, through the Digital Protocol of the Central Bank of Brazil, with the subject “Financial Liquidity Lines”, and addressed to the Banking Operations Division (Diban) of the Department of Banking Operations and Payment System (Deban), selecting the option “Regulated Entity”, a form containing the following information:

I - statement of interest in participating in the LFL;

II - data related to the standard form, provided for in item V, of Article 12, of Regulation Annex I to Resolution BCB No. 374, of 2024, as follows:

a) national registration number of the legal entity (CNPJ);

b) type of account in the Reserve Transfer System of the Central Bank of Brazil (STR);

c) in the case of credit cooperatives, the indication of its category, in the form of Article 2º of CMN Resolution No. 5.051, of November 25, 2022;

d) identification of the Director, or the holder of an equivalent position, responsible for operations within the scope of the LFL, containing name, position, commercial phone number and institutional e-mail;

e) identification of the representatives indicated to sign the Contract, in the form provided for in item IV of Article 2º, containing name and position;

f) identification of the representatives indicated for operational contacts, during the tests provided for in item III of Article 2º, containing name, position, commercial phone number and institutional e-mail;

g) number of own custody account, at the central depository or the registering entity, in a homologation environment, for the performance of tests; and

h) number of own custody account, at the central depository or the registering entity, in a production environment;

III - indication of the provisions of the corporate act of the company that ensure that the powers of the signatories of the Contract override the restrictions and limits cited in § 2º of, Article 12, of Regulation Annex I to Resolution BCB No. 374, of 2024.

§ 1º The information referred to in items I and II must follow the “Model of Statement of Interest and Standard Form”, available on the website of the Central Bank of Brazil on the internet, on the page of the Financial Liquidity Lines.

§ 2º Before sending, the financial institution candidate for qualification must convert the document, provided for in § 1º, to the PDF/A format, according to guidelines available on the website of the Central Bank of Brazil on the internet, on the page of the Digital Protocol.

§ 3º The Director or holder of an equivalent position, cited in item “d” of item II, must be the same person responsible for matters related to the Brazilian Payment System (SPB), for institutions holding a Banking Reserves Account or a Clearing Account, in the form of the STR Regulation, regulated by Resolution BCB No. 105, of June 9, 2021.

Art. 4º The stage provided for in item II, of Article 2º, comprises the submission of the documents, cited therein, through the Digital Protocol of the Central Bank of Brazil, with the subject “Financial Liquidity Lines”, and addressed to the Banking Operations Division (Diban) of the Department of Banking Operations and Payment System (Deban), selecting the option “Regulated Entity”.

§ 1º Before sending, provided for in the caput, the financial institution candidate for qualification must convert the documents to the PDF/A format, according to guidelines available on the website of the Central Bank of Brazil on the internet, on the page of the Digital Protocol.

§ 2º The financial institution candidate for qualification must keep the documentation referred to in the caput updated, under penalty of rejection of the adherence request, and subsequently, already in the condition of LFL Participant, the application of the provisions of § 5º, of Article 12, of Regulation Annex I to Resolution BCB No. 374, of 2024.

Art. 5º The testing stage, provided for in item III of Article 2º, comprises the sending, reception and processing of messages and files, of the LFL and GEN Service Groups, of the SFN Service Catalog.

§ 1º The Roadmap for execution of the tests referred to in the caput is available on the website of the Central Bank of Brazil on the internet, on the page of the Financial Liquidity Lines.

§ 2º For the performance of the tests, institutions must observe the technical access method to the LFL System:

I - institutions participating in the Reserve Transfer System (STR) with primary access through the National Financial System Network (RSFN): use the RSFN; and

II - other institutions: use the STR-Web application, specifically the “Messages” Portlet for sending information and requests to the LFL, and the “LFL” and “LFL Collateral” Portlets for queries.

§ 3º Considering Article 4º of Resolution BCB No. 374, of 2024, institutions that are already LFL Participants, with Full access, must perform the tests, in the form provided in §1º, only for scenarios involving the use of Bank Credit Notes (CCB) as guarantees and, after their completion, must send a message to Deban, through BC Mail, according to § 8º.

§ 4º To the LFL Participants cited in § 3º, who do not perform the tests, by July 1, 2024, the operational condition of Inactive Participant will be temporarily assigned, preventing them from contracting operations within the scope of the LFL.

§ 5º To LFL Participants who incur in the hypothesis provided for in § 4º, the operational condition of Active Participant will be assigned only after the performance of the tests, in the form provided in § 3º, and provided that they meet the requirements defined in item “b” of item II, of Article 13, of Regulation Annex I to Resolution BCB No. 374, of 2024.

§ 6º The financial institutions candidate for adherence must perform the tests, provided for in § 1º, considering the scenarios of use of all classes of eligible assets, in conformity with their access condition to the LFL, in the form provided for in item I, of Article 13, of Regulation Annex I to Resolution BCB No. 374, of 2024.

§ 7º Deban will communicate to the financial institution candidate for qualification:

I - its inclusion in the LFL homologation environment, in the condition of LFL Participant;

II - the authorization for sending and receiving, in the STR homologation environment, messages and files of the LFL Service Group of the SFN Service Catalog; and

III the authorization to start the tests referred to in the caput.

§ 8º After the completion of the tests, the financial institution candidate for qualification must send a message to Deban, through BC Mail, declaring aptitude to operate in the LFL production environment, according to the “Model of Declaration of Aptitude for Operation in the LFL Production Environment”, available on the website of the Central Bank of Brazil on the internet, on the page of the Financial Liquidity Lines.

§ 9º The financial institution candidate for qualification must keep the documentation proving the execution of the tests referred to in the caput, for eventual analysis by the Central Bank of Brazil, for a period of 5 (five) years.

§ 10º The financial institution candidate for qualification, which is among those referred to in item II, of Article 10, of Regulation Annex I to Resolution BCB No. 374, of 2024, may, at any time, withdraw from the adherence process to the LFL, communicating the fact by a message addressed to Deban, through BC Mail.

Art. 6º After the completion, without pending issues, of the first three stages provided for in Article 2º, Deban will send a message, through BC Mail, to the financial institution candidate for qualification communicating:

I - the conformity of the documentation sent in relation to regulatory requirements;

II - the consent regarding the declaration of aptitude in the operational and technological capacity confirmation tests performed; and

III - the need to send the definitive version of the “Contract for Opening of Credit Limit Guaranteed by Pledge or by Fiduciary Assignment of Assets and by Pledge of Cash Resources for the Performance of Loans within the Scope of the LFL”, in conformity with the provisions of item I and §§ 1º and 2º, of Article 12, of Regulation Annex I to Resolution BCB No. 374, of 2024.

§ 1º The model of the Contract is available on the website of the Central Bank of Brazil on the internet, on the page of the Financial Liquidity Lines.

§ 2º Before sending the Contract, the financial institution candidate for qualification must perform the following procedures:

I - fill in the sections for qualification of the counterparty, of location and date, and of qualification of its representatives who sign the document;

II - convert the document to the PDF/A format, according to guidelines available on the website of the Central Bank of Brazil on the internet, on the page of the Digital Protocol;

III - collect the signatures of its representatives, in the PAdES standard (PDF Advanced Electronic Signature), a digital ICP-Brasil certificate may be used, according to guidelines available on the website of the Central Bank of Brazil on the internet, on the page of the Digital Protocol, or signed on the Electronic Signature Portal of the Federal Government, according to guidelines available on the website of the Ministry of Economy, on the page of the Digital Government, in compliance with Article 4º, item II, item c, of Decree No. 10.543, of November 13, 2020; and

IV - send the documents through the Digital Protocol of the Central Bank of Brazil, with the subject “Financial Liquidity Lines”, addressed to the Banking Operations Division (Diban) of the Department of Banking Operations and Payment System (Deban), selecting the option “Regulated Entity”.

§ 3º Considering Article 3º of Resolution BCB No. 374, of 2024, also institutions that are already LFL Participants must sign the Contract in the form of § 1º, observing the provisions of § 2º.

§ 4º To LFL Participants who do not comply with the provisions of § 3º, by July 1, 2024, the operational condition of Inactive Participant will be temporarily assigned, preventing them from contracting operations within the scope of the LFL, in the form provided for in Article 5º of Resolution BCB No. 374, of 2024.

§ 5º To LFL Participants who incur in the hypothesis provided for in § 4º, the operational condition of Active Participant will be assigned only after they sign the Contract and confirm its registration at the central depository or registering entity, respecting the conditions provided for in item “b” of item II, of Article 13, of Regulation Annex I to Resolution BCB No. 374, of 2024.

Art. 7º Deban will arrange for the signature of the Contract on behalf of the Central Bank of Brazil and its subsequent registration at the central depository or the registering entity, provided that the document meets the provisions of item III and §§ 1º and 2º of Article 6º.

Art. 8º After the signature and registration of the Contract, at the central depository or the registering entity, in the form of Article 7º, Deban will send a message to the financial institution candidate for qualification, through BC Mail, communicating:

I - the registration of the Contract and its identification code, alerting to the need for its confirmation, in consonance with the operational procedures and deadlines provided for by the central depository or the registering entity, in the form of § 7º of Article 12 of Regulation Annex I to Resolution BCB No. 374, of 2024;

II - the identification of the encumbrance account owned by the Central Bank of Brazil, for the purpose of transfer of financial assets or securities, in order to allow the constitution of guarantees, in the form of § 8º of Article 12 of Regulation Annex I to Resolution BCB No. 374, of 2024; and

III - the need for the financial institution candidate to inform Deban in a timely manner, through BC Mail, regarding the performance of the confirmation of the Contract,

at the central depository or the registering entity.

Art. 9º After verification regarding the confirmation of the Contract, communicated in the form provided for in item III of Article 8º, Deban will process the inclusion of the financial institution, in the LFL production environment, in the condition of Active Participant, and will qualify it for sending and receiving, in the STR production environment, messages and files of the LFL Service Group of the SFN Service Catalog.

Sole Paragraph. Financial institutions that are part of prudential conglomerates, among those referred to in item I, of Article 10, of Regulation Annex I to Resolution BCB No. 374, of 2024, that do not adhere to the LFL, according to the provisions of Article 2º, § 3º of Article 5º and § 3º of Article 6º of this regulation, are subject to the penalties provided for in the current regulation.

Art. 10. In the event that the financial institution candidate for qualification does not fully comply with the provisions of items I, II, III and IV of Article 2º, within 180 (one hundred and eighty) calendar days, counted from the sending of the communication regarding its inclusion as LFL Participant in the homologation environment, according to § 7º of Article 5º, Deban will send a message, through BC Mail, communicating:

I - the non-qualification, indicating the unmet specifications for each of the four stages;

II - the loss of validity of the statement of interest and the closure of the adherence process to the LFL; and

III - the need to restart the adherence process, mandatory for at least one financial institution holding a Banking Reserves Account that is part of a prudential conglomerate of segments S1 and S2, or optional for other eligible financial institutions for access to the LFL.

§ 1º Before the expiration of the period provided for in the caput, the financial institution candidate for qualification may request its extension, for up to 30 (thirty) calendar days, by sending a message addressed to Deban, through BC Mail, signed by two directors, or holders of an equivalent position, one of whom being the responsible for operations within the scope of the LFL, justifying the request.

§ 2º It will be up to Deban to decide on the approval of the request referred to in § 1º and to communicate the decision to the financial institution candidate for qualification, through a BC Mail message.

CHAPTER III
PRE-POSITIONING AND TREATMENT OF FINANCIAL EVENTS OF DEBENTURES AND COMMERCIAL PAPERS

Art. 11. The LFL Participant, when constituting an encumbrance on debentures or commercial papers, must indicate that the respective financial events will be destined to the Central Bank of Brazil, in the condition of guaranteed party, observing the procedures of the central depository or the registering entity, and in the form provided for in § 3º, of Article 22, of Regulation Annex I to Resolution BCB No. 374, of 2024, such values having the destination provided for in Article 14 of Regulation Annex II of the aforementioned regulation.

§ 1º In the event of non-compliance with the provisions of the caput, the LFL System will automatically return the debenture or the commercial paper to the own account of the LFL Participant, at the central depository or the registering entity.

§ 2º The provisions of § 1º do not apply to the constitution of encumbrance on additional quantities of debentures or commercial papers that, at that moment, are pre-positioned by the LFL Participant and whose financial events are destined to the Central Bank of Brazil.

Art. 12. The pre-positioning of debentures or commercial papers does not depend on the classification of the LFL Participant, as provided for in items II and III of Article 13, of Regulation Annex I to Resolution BCB No. 374, of 2024, provided there is no operational impediment in the STR, at the central depository or at the registering entity.

Art. 13. The LFL Participant that acts in deliberative spheres, specific to debenture holders or creditors, in the form provided for in item I, of Article 24, of Regulation Annex I to Resolution BCB No. 374, of 2024, must inform Deban about any decisions taken that result in the alteration of rights or economic interests, related to the debentures and commercial papers, encumbered by it in favor of the Central Bank of Brazil.

Sole Paragraph. The information provided for in the caput must specify the affected debentures and commercial papers, designated by their identification codes at the central depository or the registering entity, their issuers and contain a brief summary of the approvals regarding rights and economic interests, as well as the practical consequences on these assets.

CHAPTER IV
PRE-POSITIONING, QUERY SERVICES AND TREATMENT OF FINANCIAL EVENTS OF BANK CREDIT NOTES (CCB)

Art. 14. The LFL Participant, when pre-positioning CCB at the central depository, must pay attention to the admissibility of the credit operations represented by these titles, according to the information provided by the Central Bank of Brazil, through the electronic file “ALFL002” of the SFN Service Catalog, according to the provisions of item II, of Article 4º, of Regulation Annex III to Resolution BCB No. 374, of 2024.

Sole Paragraph. For each admissibility file of operations “ALFL002” made available, the LFL Participant may request, through the message “GEN0014”, of the Generic Service Group, of the SFN Service Catalog, the corresponding file “ALFL003”, containing the list of credit operations of its portfolio considered inadmissible and the admissibility criteria not met by them.

Art. 15. The LFL Participant, when constituting an encumbrance on CCBs, must indicate that the respective financial events will be directed to itself, in the condition of guaranteeing party, observing the operational procedures of the central depository and in the form provided for in Article 14 of Regulation Annex III to Resolution BCB No. 374, of 2024.

Art. 16. The LFL Participant that performs protests and extrajudicial and judicial collections and adopts the necessary administrative or judicial measures to preserve the rights and economic interests underlying the CCB encumbered in favor of the Central Bank of Brazil, in the form provided for in item II, of Article 24, of Regulation Annex I to Resolution BCB No. 374, of 2024, must inform Deban of the actions performed by it.

Sole Paragraph. The information provided for in the caput must specify the affected CCBs, identifying the IPOC of the credit operations that gave rise to them and contain a brief summary of the actions performed by the LFL Participant, as well as a brief analysis regarding the recovery expectations of the values related to these assets.

CHAPTER V
WITHDRAWAL OF COLLATERAL

Art. 17. The withdrawal of assets, given as collateral for operations within the scope of the LFL, is optional for the LFL Participant that is not classified as Debtor or Defaulting, in the form of § 4º, of Article 13, of Regulation Annex I to Resolution BCB No. 374, of 2024, respecting the provisions of Article 19 of this regulation, and provided there is no operational impediment in the STR, at the central depository or still at the registering entity.

Art. 18. The withdrawal of assets, given as collateral for operations within the scope of the LFL, must be requested, by the LFL Participant, through specific messages of the LFL Service Group, of the SFN Service Catalog.

§ 1º The request for withdrawal of resources from the Cash Collateral Account at the Central Bank of Brazil (CGE) must be made through the message “LFL0002 – IF requests transfer for withdrawal of cash collateral”, which must identify the value to be withdrawn.

§ 2º The withdrawal of resources from the CGE will be processed, on the same day of the withdrawal request, if the corresponding message is sent until the closing time of the STR for the settlement of fund transfer orders.

§ 3º The request for disconstitution of encumbrance of financial assets or securities, pre-positioned at the central depository or the registering entity, must be made through the message “LFL0003 – IF requests withdrawal of collateral asset at Central Depository”, which must contain the identification of the assets and the quantities to be withdrawn.

§ 4 The withdrawal of collateral assets will be processed on the same day as the request if the "LFL0003" message is sent at least 60 (sixty) minutes before the closing time of the STR for the settlement of fund transfer orders, and the effective return will occur through the unbinding of collateral assets from the pledge account of the Central Bank of Brazil, in the quantities requested, respecting the operational procedures of the central depository or the clearing entity.

§ 5 Deban may establish a minimum lead time different from that provided in § 4, in cases where the clearing entity or central depository defines a deadline for the movement of collateral assets prior to the closing time of the STR for the settlement of fund transfer orders.

§ 6 Through the "LFL0003" message, using the "repetition group" functionality, the LFL Participant may request the withdrawal of up to 200 (two hundred) assets at a time, provided they are pre-positioned in the same central depository or clearing entity.

§ 7 The deadline provided for in § 4 may be altered, at the sole discretion of the Central Bank of Brazil, in the event of an extension of the closing time of the STR for the settlement of fund transfer orders, in situations where the operational procedures of the central depository or clearing entity have been affected.

Art. 19. The request for withdrawal of pledged assets is only processed in the event that none of the Available Limits, for the contracting of operations by the LFL Participant, becomes negative upon execution.

§ 1 The processing of the request for withdrawal of assets immediately affects the calculation of the Available Limits for operations of the LFL Participant.

§ 2 Once the withdrawal is authorized, the requested quantities of assets are transferred from the pledge account of the Central Bank to the participant's own custody account, at the central depository or clearing entity, previously informed by the LFL Participant, at the time of the adherence process.

§ 3 In the event of a reduction in the pledge account balance initiated by the Central Bank of Brazil, a scenario provided for in § 3 of Art. 30 of the Regulation Annexed to Resolution BCB No. 374, of 2024, Deban will provide communication of the fact to the LFL Participant who is the owner of the assets.

CHAPTER VI
ELIGIBILITY, CATEGORIZATION, AND CONSULTATION SERVICES FOR DEBENTURES AND COMMERCIAL NOTES

Art. 20. The list of eligible debentures and commercial notes for the LFL and the baskets to which they belong, as provided for in Art. 6 of the Regulation Annexed to Resolution BCB No. 374, of 2024, are published on the website of the Central Bank of Brazil, on the Financial Liquidity Lines page.

§ 1 The information cited in the main text is also contained in the electronic file "ALFL001", from the LFL Services Group, of the SFN Services Catalog, made available by the Central Bank of Brazil to LFL Participants.

§ 2 The Central Bank of Brazil does not publish the prices of the assets referred to in the main text, these being the result of the application of the provisions in Chapters III and IV of the Regulation Annexed II, and Chapter I of the Regulation Annexed IV to Resolution BCB No. 374, of 2024.

§ 3 In view of the provision in § 2, the Central Bank of Brazil makes available, for LFL Participants, the simulation service provided for in Art. 17 of the Regulation Annexed I to Resolution BCB No. 374, of 2024, accessible through specific messages of the LFL Services Group, of the SFN Services Catalog.

CHAPTER VII
ELIGIBILITY, CATEGORIZATION, AND CONSULTATION SERVICES FOR BANK CREDIT NOTES (CCB)

Art. 21. The Central Bank of Brazil does not publish specific information regarding the eligibility of CCBs, other than that made available through the "ALFL002" and "ALFL003" files, cited in § 1 of Art. 14, nor their prices, which are the result of the application of the provisions in Chapters III and IV of the Regulation Annexed III, and Chapter I of the Regulation Annexed IV to Resolution BCB No. 374, of 2024.

§ 1 Eligible CCBs are part of Basket B, as per Art. 7 of the Regulation Annexed III to Resolution BCB No. 374, of 2024, and are capable of generating financial limits, exclusively, for Term Liquidity Lines (LLT) operations.

§ 2 In view of the provision in the main text, the Central Bank of Brazil makes available, for LFL Participants, the simulation service provided for in Art. 17 of the Regulation Annexed I to Resolution BCB No. 374, of 2024, accessible through specific messages of the LFL Services Group, of the SFN Services Catalog.

CHAPTER VIII
PRICING OF DEBENTURES AND COMMERCIAL NOTES

Art. 22. The pricing model used by the Central Bank of Brazil is the net present value of the projected cash flow for each asset, with the rate used to discount each flow obtained as a function of the term, the risk-free interest rate, and a risk premium, in accordance with §§ 1 to 3 of Art. 9 of the Regulation Annexed II to Resolution BCB No. 374, of 2024.

§ 1 The risk-free interest rates used are the reference rates publicly disclosed by stock exchanges or entities administering organized over-the-counter markets, interpolated by "flat forward" for other points.

§ 2 Due to the segmentation of the issuer's risk classification, in accordance with Section III of the Regulation Annexed I to Resolution BCB No. 374, of 2024, and the classification of the asset, within the scope of Art. 2 of Law No. 12.431, of June 24, 2011, and Law No. 14.801, of January 9, 2024, curves for risk premium interest rates are generated, using the reduced version of the Nelson-Siegel model.

§ 3 The estimation of the parameters of the Nelson-Siegel model is performed by a numerical method to minimize an objective function of mean squared errors, subject to restrictions aimed at ensuring coherence to the curves and, eventually, limiting the value of the premiums.

§ 4 The selection of curve parameters uses the Monte Carlo method to improve the precision of the numerical estimates of the Nelson-Siegel model.

§ 5 In order to improve the quality of the estimation of risk premiums, assets with atypical prices – defined as outliers by the interquartile range criterion and a factor of 1.5 – are removed from the sample.

CHAPTER IX
PRICING OF ELIGIBLE BANK CREDIT NOTES

Art. 23. The Central Bank of Brazil will adopt its own methodology for pricing eligible and pre-positioned CCBs, as established in Chapter III of the Regulation Annexed III to Resolution BCB No. 374, of 2024.

§ 1 The Central Bank of Brazil will apply discounts – "haircuts" – to the priced values for each CCB for the purpose of calculating the credit financial limits referred to in Chapter II of the Regulation Annexed IV to Resolution BCB No. 374, of 2024, with the aim of mitigating risks and estimating the recoverable value for the collateral basket, in the event of default by the LFL Participant, according to the characteristics of the CCBs guaranteeing the LFL operations.

§ 2 In the calculation of the total limits for the LLT (LT.LLT), in addition to the discounts referred to in the previous paragraph, the conditions of concentration of eligible assets from the same issuer included in the collateral basket referred to in Art. 3 of the Regulation Annexed IV to Resolution BCB No. 374, of 2024, will be observed.

CHAPTER X
CONCENTRATION OF ASSETS BY ISSUER IN THE COLLATERAL BASKET

Art. 24. The calculation of the Basket Concentration Restriction Factor (Frcce,i) for issuer "e", optimized for asset "i" of that issuer in the collateral basket, referred to in § 4 of Art. 3 of the Regulation Annexed IV to Resolution BCB No. 374, of 2024, in the absence of a balance in the CGE, will be:

I - equal to 0 (zero) for a theoretical collateral basket with assets from 6 (six) or more distinct issuers, where the Positioned Value of an Issuer (VPose), referred to in Art. 2 of the Regulation Annexed IV to Resolution BCB No. 374, of 2024, for each issuer is less than or equal to 20% (twenty percent) of the Total Positioned Value of the collateral (VPos), referred to in Art. 3 of the Regulation Annexed IV to Resolution BCB No. 374, of 2024;

II - equal to 0 (zero) for a theoretical collateral basket with assets from 5 (five) equally positioned distinct issuers, where the VPose is equal to 20% (twenty percent) of VPos, for each issuer;

III - equal to 0.1 (one tenth) for a theoretical collateral basket with assets from 4 (four) equally positioned distinct issuers, where the VPose for each issuer is equal to 25% (twenty-five percent) of VPos;

IV - equal to 0.2 (two tenths) for a theoretical collateral basket with assets from 3 (three) equally positioned distinct issuers, where the VPose for each issuer is equal to 1/3 (one third) of VPos;

V - equal to 1 (one) for a theoretical collateral basket with assets from 2 (two) or fewer distinct issuers; or

VI - between 0 (zero) and 1 (one), in other cases, being 0 (zero) for assets from an issuer whose VPose is equal to or less than 20% (twenty percent) of VPos, tending to 1 (one) as the proportion of VPose in VPos increases, that is, the more concentrated the issuer is relative to the other issuers in the portfolio.

§ 1 The calculation of Frcce,i for the cases provided for in item VI of the main text is performed in a way to smooth the impacts of fluctuations in the reference unit value (PUref) of the collateral assets or even the loss of eligibility, on the sum of Net Concentration Value in the Basket (VLCCi) of each asset in the collateral basket, referred to in § 4 of Art. 3 of the Regulation Annexed IV to Resolution BCB No. 374, of 2024.

§ 2 When necessary, the Frcce,i of the assets from the most concentrated issuers in the collateral basket, with the highest VPose, will be increased so that:

I - at least 80% (eighty percent) of the sum of VLCCi of the assets is guaranteed by the sum of VPose of the other issuers, in the event of loss of eligibility of the assets from the most concentrated issuer, with the highest VPose; and

II - at least 40% (forty percent) of the sum of VLCCi of the assets is guaranteed by the sum of VPose of the other issuers, in the event of loss of eligibility of the assets from the two most concentrated issuers.

§ 3 The loss of eligibility of assets mentioned in the previous paragraphs refers specifically to the loss of eligibility for generating credit financial limits and for categorization in Baskets A or B, referred to in Art. 28 of the Regulation Annexed I to Resolution BCB No. 374, of 2024.

§ 4 For the purpose of meeting the requirement provided for in § 6 of Art. 3 of the Regulation Annexed IV to Resolution BCB No. 374, of 2024, the cash balance in the CGE is fully sufficient, including for collateral baskets with fewer than 3 (three) issuers.

CHAPTER XI
CONTRACTING AND PAYMENT OF LLI OPERATIONS

Art. 25. The LLI operation is contracted, in an automated manner, from the sending of the message "LFL0004 - IF requests contracting of LFL operation", from the LFL Services Group, of the SFN Services Catalog, indicating the desired Line and taking into account the provision in Art. 26.

Art. 26. In view of the option provided for in § 3 of Art. 20 of the Regulation Annexed IV to Resolution BCB No. 374, of 2024, the LFL Participant must observe the following minimum requirements for contracting an LLI operation:

I - maintain a minimum positive value for the Available Limit (LD.LLI) corresponding to 1% (one percent) of the Financial Limit Used for LLI operations (LU.LLI), this being calculated considering the contracting of the requested operation; and

II - minimum value, per operation, of R$100,000.00 (one hundred thousand reais).

Art. 27. The payment of an LLI operation may occur partially or fully, in advance or on the maturity date, through the message "LFL0005 – IF requests payment of LFL operation" from the LFL Services Group, of the SFN Services Catalog, in which the operation to be settled is identified.

§ 1 The payment of an LLI operation is independent of the classification of the LFL Participant, as provided for in § 2 of Art. 13 of the Regulation Annexed I to Resolution BCB No. 374, of 2024.

§ 2 The funds for payment of an LLI operation may originate from the Bank Reserves account or the LFL Participant's Settlement Account, as well as from its CGE, isolated or jointly.

CHAPTER XII
CONTRACTING AND PAYMENT OF LLT OPERATIONS

Art. 28. LFL Participants with Full Access are authorized to contract a maximum principal stock of open LLT operations, corresponding to the permanent operational value (VO), in accordance with Art. 10 of the Regulation Annexed IV to Resolution BCB No. 374, of 2024, for an indefinite period, with the VO being periodically updated by the Central Bank of Brazil.

Art. 29. The temporary expansion of the maximum principal stock of open LLT operations, in accordance with § 1 of Art. 3 of the Regulation Annexed I to Resolution BCB No. 374, of 2024, observes the following steps:

I - request by the LFL Participant, carried out according to the "Model for request for temporary expansion of the Maximum Principal Stock of open LLT operations", available on the website of the Central Bank of Brazil, on the Financial Liquidity Lines page, which must contain:

a) the justification for the effective liquidity need provided for in § 4 of Art. 3, of the Regulation Annexed I to Resolution BCB No. 374, of 2024;

b) the period in business days to maintain the additional temporary value (VV) for the expansion of the Maximum Principal Stock of open LLT operations, and, if applicable, staggered periods, within the scope of the intended authorization; and

c) the amounts corresponding to the VV in the periods referred to in item "b";

II - verification of the request received from the LFL Participant, including regarding the existence of a specific authorization in force referred to in the sole paragraph of Art. 24 of the Regulation Annexed IV to Resolution BCB No. 374, of 2024, and forwarding for deliberation regarding the authorization provided for in §1 of Art. 3 of the Regulation Annexed I of that normative; and

III - communication to the LFL Participant, through BC Correio, of the approval, highlighting the operational conditions provided for in §1 of Art. 3 of the Regulation Annexed I to Resolution BCB No. 374, of 2024, and the provision in the sole paragraph of Art. 24 of the Regulation Annexed IV of that normative, or of the denial of the request.

§ 1 The communication, provided for in item III, will occur within 2 (two) business days after the deliberation cited in item II.

§ 2 The specific authorization for temporary expansion of the maximum principal stock of open LLT operations may be granted in a staggered manner as established in §2 of Art. 3 of the Regulation Annexed I to Resolution BCB No. 374, of 2024.

§ 3 The specific authorization referred to in § 2 will consider the classification of the LFL Participant regarding the minimum requirements of Reference Equity (PR), Level I, Core Capital, and Additional Core Capital referred to in CMN Resolution No. 4.958, of October 21, 2021.

§ 4 The request, provided for in item I, must be signed by two directors, or holders of equivalent positions, one of whom being responsible for operations within the scope of the LFL, using a digital certificate issued by an authority of the Brazilian Public Key Infrastructure (ICP-Brasil), observing the following operational procedures:

I - convert the documents to the PDF/A format, according to guidelines available on the website of the Central Bank of Brazil, on the Digital Protocol page;

II - collect the signatures of their representatives, in the PAdES (PDF Advanced Electronic Signature) standard, which may use an ICP-Brasil digital certificate, according to guidelines available on the website of the Central Bank of Brazil, on the Digital Protocol page, or signed on the Electronic Signature Portal of the Federal Government, according to guidelines available on the website of the Ministry of Economy, on the Digital Government page, in compliance with Art. 4, item II, item c, of Decree No. 10.543, of November 13, 2020; and

III - send the documents through the Digital Protocol of the Central Bank of Brazil, under the subject "Financial Liquidity Lines", addressed to the Division of Banking Operations (Diban) of the Department of Banking Operations and Payment System (Deban), choosing the option "Regulated Entity".

§ 5 In the event of verification of non-compliance in the stage provided for in item II of the main text, the LFL Participant will be communicated of the need to redo the request, through BC Correio, specifying the unmet requirements.

§ 6 The justification, provided for in item "a" of item I of the main text, must contain, at minimum:

I - a report on the liquidity context of the LFL Participant, with emphasis on mismatches between assets and liabilities of greater relevance; and

II - projections of the liquidity needs of the LFL Participant, covering the term of the temporary expansion of the maximum principal stock of open LLT operations.

§ 7 In the event of approval of the request, there will be an update of the Operational Limit for LLT operations (LO.LLT) in the LFL System, in the form of Art. 13 of the Regulation Annexed IV to Resolution BCB No. 374, of 2024, with the Participant being informed through the message "LFL0014 – Informs available limits", from the LFL Services Group, of the SFN Services Catalog.

Art. 30. The contracting of LLT operations, referred to in Art. 26 of the Regulation Annexed IV to Resolution BCB No. 374, of 2024, is carried out through the sending of the message "LFL0004 - IF requests contracting of LFL operation", from the LFL Services Group, of the SFN Services Catalog, considering the provision in Art. 31, and must indicate:

I - the LLT modality;

II - the term of the operation in business days, observing the minimum and maximum terms established by the Central Bank and informed in the last message "LFL0014 – Informs available limits", from the LFL Services Group, of the SFN Services Catalog, received by the LFL Participant; and

III - the requested financial value, observing the value of the available limit for LLT operations, in which the desired term is contained in the group <Grupo_LFL0014_LimDispLLT>, informed in the last message "LFL0014 – Informs available limits", from the LFL Services Group, of the SFN Services Catalog, received by the LFL Participant.

Art. 31. In view of the option provided for in § 2, of Art. 26, of the Regulation Annexed IV to Resolution BCB No. 374, of 2024, the LFL Participant must observe the following minimum requirements for contracting an LLT operation:

I - maintain a minimum positive value for the Gross Composite Limit (LBC), corresponding to 5% (five percent) of the Financial Limit Used for LLT operations (LU.LLT), this being calculated considering the contracting of the requested operation; and

II - minimum value, per operation, of R$100,000.00 (one hundred thousand reais).

Art. 32. The payment of an LLT operation may occur partially or fully, in advance or on the maturity date, through the message "LFL0005 – IF requests payment of LFL operation" from the LFL Services Group, of the SFN Services Catalog, in which the operation to be settled is identified.

§ 1 The LO.LLT is replenished upon partial or total payments of LLT operations, in the form provided for in § 4 of Art. 13 of the Regulation Annexed IV to Resolution BCB No. 374, of 2024.

§ 2 The payment of an LLT operation is independent of the classification of the LFL Participant, as provided for in § 2 of Art. 13, of the Regulation Annexed I to Resolution BCB No. 374, of 2024.

§ 3 The funds for payment of an LLT operation may originate from the Bank Reserves account or the LFL Participant's Settlement Account, as well as from its CGE, isolated or jointly.

Art. 33. In the event of the establishment of an additional temporary value (VV) by initiative of the Central Bank of Brazil, referred to in § 3 of Art. 11 of the Regulation Annexed IV to Res. BCB No. 374, of 2024, the specific authorizing act of the Collegiate Board will be published.

CHAPTER XIII
SPECIFIC SERVICES MADE AVAILABLE TO LFL PARTICIPANTS

Art. 34. The LFL System presents, in addition to services related to collateral movements, contracting and payment of operations, specific consultation services, communications, provision of informative files, and simulations for Participants, contained in the SFN Services Catalog.

Art. 35. The simulation service, made available to LFL Participants daily, between 6:30 a.m. and 11:59 p.m., and activated through specific messages of the LFL Services Group, of the SFN Services Catalog, informs the hypothetical limits resulting from:

I - transfer of funds, from the Bank Reserves account or the Participant's Settlement Account, to the deposit in the CGE;

II - transfer of funds from the CGE, to deposit in the Bank Reserves account or the Participant's Settlement Account;

III - transfer of financial assets or securities, from the Participant's own account, to the pledge account of the Central Bank of Brazil, at the central depository or clearing entity; and

IV - transfer of financial assets or securities, from the pledge account of the Central Bank of Brazil, to the Participant's own account, at the central depository or clearing entity.

Sole paragraph. Each simulation performed, the LFL Participant will receive a message "LFL1014 – LFL informs simulated available limits", from the LFL Services Group, of the SFN Services Catalog, informing the hypothetical limits resulting from it.

Art. 36. The consultation service, made available to LFL Participants daily, between 6:30 a.m. and 11:59 p.m., and activated through specific messages of the LFL Services Group, of the SFN Services Catalog, provides information on:

I - contracted operations;

II - pre-positioned assets;

III - movements of the CGE; and

IV - financial limits and their status.

Art. 37. The communication service, made available to LFL Participants daily, between 6:30 a.m. and 6:30 p.m., provides, in an automated manner, the following information regarding Available Limits:

I - the need for their replenishment, specifying the values necessary for such; and

II - the changes occurred in consonance with the provision in Art. 19 of the Regulation Annexed IV to Resolution BCB No. 374, of 2024.

Art. 38. The service for providing informative files covers the following files:

I - file "ALFL001 – Eligible Debentures and Commercial Notes for LFL" which informs the list of eligible debentures and commercial notes for the LFL and the baskets to which they belong;

II - file "ALFL002 – Credit Operations Admissible for LFL" which informs the list of credit operations from the LFL Participant's portfolio admissible for the issuance and deposit of eligible CCBs for the LFL; and

III - file "ALFL003 – Reasons for Non-Admissibility in the LFL of Credit Operations" which informs the list of credit operations from the LFL Participant's portfolio considered non-admissible and the admissibility criteria not met by them.

§ 1º The generation of file ALFL001 and its transmission to LFL Participants is carried out before the opening of the LFL System, via the message “GEN0015 – GEN notifies File available”, with the specification of the file location in the field “<Hist>”.

§ 2º The generation of file ALFL002 and its availability for transfer is performed automatically by the LFL System during the periods and versions referred to in art. 4 of the Regulation Annex III to Resolution BCB No. 374, of 2024.

§ 3º The generation of file ALFL003 for availability requires a request by the LFL Participant, via message GEN0014 of the SFN Services Catalog, such that there will be correspondence of version and period with the last ALFL002 file made available.

CHAPTER XIV
OF THE RESTORATION OF AVAILABLE LIMITS

Art. 39. Upon receiving the message “LFL0013 – LFL informs values for limit restoration”, from the LFL Services Group, of the SFN Services Catalog, in the manner set forth in item I of art. 37, the LFL Participant must carry out the specified restoration by the STR closing time, on the same day the notification is received.

§ 1º The restoration of Available Limits, cited in the caput, may be fulfilled, individually or jointly, in the following ways:

I - by reducing the value of the limits used (LU.LLI and LU.LLT), operationalized through payment, partial or total, of contracted operations;

II - by increasing the value of total limits, through additional pre-positioning of eligible financial assets or securities, observing the need for pre-positioning of Basket A assets in the event of a negative available limit for LLI; or

III - by additional transfers of resources from the Bank Reserves account or the LFL Participant’s Clearing Account to the CGE.

§ 2º The value reported for the restoration of Available Limits, in the field <VlrReqEspRecompscLim> of message “LFL0013”, is a reference for the minimum nominal value required in cash for compliance in the manner of item III of § 1º of the caput, whereas, for the other methods, this value may be insufficient for the full restoration of limits.

§ 3º After the LFL Participant adopts one or more of the measures listed in § 1º, considering the provisions of § 2º, the LFL System will recognize full compliance with the notification to restore Available Limits by sending the message “LFL0014 – Informs available limits” with non-negative values for the available limits of LLI and LLT, respectively, in the fields <VlrLimDispLLI> and <VlrLimDispLLT>.

§ 4º The LFL Participant that fails to comply with the notification to restore Available Limits, under the conditions established in the caput, will be classified in the condition of Debtor, as established in § 5º of art. 28 of the Regulation Annex IV to Resolution BCB No. 374, of 2024, and will be subject to the restrictions provided in §§ 1º and 4º of art. 13 of the Regulation Annex I to Resolution BCB No. 374, of 2024.

§ 5º The LFL Participant that fails, in a repeated manner, to meet the need to restore Available Limits, under the conditions established in the caput, may be declared in default, as provided in art. 18 of the Regulation Annex I to Resolution BCB No. 374, of 2024, and will be subject to the sanctions provided in art. 19 of that Regulation.

Art. 40. The following are revoked:

I - Normative Instruction BCB No. 143, of August 19, 2021; and

II - Normative Instruction BCB No. 175, of October 19, 2021.

Art. 41. This Normative Instruction enters into force on May 2, 2024.

ROGÉRIO ANTÔNIO LUCCA

NOTE

Decree No. 10.411, of June 30, 2020, determines, in its art. 3º, that the issuance, alteration, or revocation of normative acts of general interest to economic agents or users of services provided by direct, autarchic, and foundational federal public administration bodies and entities must be preceded by a regulatory impact analysis (AIR).

However, this same Decree lists, in the items of § 2º of its art. 3º, normative acts to which the aforementioned obligation does not apply, among which we highlight acts “that deal strictly with exchange and monetary policy” (item IV of said paragraph).

Therefore, having in view dealing strictly with monetary policy, the preparation of an AIR does not apply to the normative instruction here proposed.

Finally, for the purposes of art. 4º, sole paragraph, of Decree No. 10.139, of November 28, 2019, it is recorded that the entry into force of this normative instruction on May 2, 2024, is justified by the need to eliminate doubts about the new operational procedures necessary for the LFL, as dealt with in Resolution BCB No. 374, of March 27, 2024, and to establish sufficient time for the Central Bank, the central depository, and LFL Participants to prepare and homologate their operational processes, especially those related to the use of CCB as collateral assets within the LFL. These measures ultimately aim to maintain adequate levels of liquidity in the National Financial System.

ROGÉRIO ANTONIO LUCCA
Head of the Department of Bank Operations and Payment System