Circular No. 4003 — Amends Circular No. 3,930 of February 14, 2019 Regarding Pillar 3 Disclosure

The Executive Board of the Central Bank of Brazil, in a session held on April 15, 2020, based on the provisions of Articles 9, 10, item IX, and 11, item VII, of Law No. 4,595 of December 31, 1964,

RESOLVES:

Art. 1º Circular No. 3,930 of February 14, 2019, shall enter into force with the following alterations:

“Art. 19. .......................................................

..................................................................

X - market risk: MRA, MR1, and the information referred to in Art. 15;

............................................................” (New)

“Art. 20. .......................................................

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VI - market risk: MRA, MR1, and the information referred to in Art. 15; and

............................................................” (New)

“Art. 23. .......................................................

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§ 4º The Pillar 3 Report with a base date of December 31 must be accompanied by a summary description of the main aspects of the information disclosure policy referred to in Art. 56 of Resolution No. 4,557 of 2017.” (New)

Art. 2º Annex I to Circular No. 3,930 of 2019 shall enter into force in the form of Annex I of this Circular.

Art. 3º The Pillar 3 Report referred to in Circular No. 3,930 of 2019, regarding the base dates of March 31, 2020, and June 30, 2020, may be disclosed within a maximum period of ninety days, counted from the respective base date.

Art. 4º The following are revoked:

I - Articles 21 to 24 of Circular No. 3,646 of March 4, 2013; and

II - § 3º of Art. 6º of Circular No. 3,930 of 2019.

Art. 5º This Circular enters into force on May 4, 2020.

Otávio Ribeiro Damaso Director of Regulation

ANNEX I

Tables

Format

Frequency

Segmentation

Prudential indicators and risk management

KM1 - Quantitative information on prudential requirements

Fixed

Quarterly

S1 to S3

OVA - Overview of the institution's risk management

Flexible

Annual

S1 to S4

OV1 - Overview of Risk-Weighted Assets (RWA)

Fixed

Quarterly

S1 to S3

Comparison between accounting and prudential information

LIA - Explanation of differences between values recorded in financial statements and values of exposures subject to prudential treatment

Flexible

Annual

S1 and S2

LI1 - Differences between the scope of accounting consolidation and the scope of prudential treatment, as well as the detailing of values associated with risk categories

Fixed

Annual

S1 and S2

LI2 - Main causes of differences between values considered in prudential regulation and exposure values

Flexible

Annual

S1 and S2

PV1 - Prudential adjustments (PVA)

Fixed

Annual

S1 and S2

Capital composition

CCA - Main characteristics of Reference Equity (RE) instruments

Flexible

Semi-annual

S1, S2, and institutions issuing Additional or Tier 2 Capital

CC1 - Composition of Reference Equity (RE)

Fixed

Semi-annual

S1, S2, and institutions issuing Additional or Tier 2 Capital

CC2 - Reconciliation of Reference Equity (RE) with the balance sheet

Flexible

Semi-annual

S1, S2, and institutions issuing Additional or Tier 2 Capital

Macroprudential indicators

GSIB1 - Indicators used to characterize a financial institution as globally systemically important (G-SIBs)

Fixed

Annual

Institution subject to the provisions of Circular No. 3,751 of 2015

CCyB1 - Geographic distribution of credit risk exposures considered in the calculation of the Countercyclical Buffer (CCyB)

Fixed

Semi-annual

S1 and S2

Leverage Ratio

LR1 - Comparison of information from financial statements and those used to calculate the Leverage Ratio (LR)

Fixed

Semi-annual

S1 and S2

LR2 - Detailed information on the Leverage Ratio

Fixed

Quarterly

S1 and S2

Liquidity indicators

LIQA - Qualitative information on liquidity risk management

Flexible

Annual

S1 to S3

LIQ1 - Short-Term Liquidity Indicator (LCR)

Fixed

Quarterly

S1

LIQ 2 - Long-Term Liquidity Indicator (NSFR)

Fixed

Quarterly

S1

Credit risk

CRA - Qualitative information on credit risk management

Flexible

Annual

S1 to S3

CR1 - Credit quality of exposures

Fixed

Semi-annual

S1 to S3

CR2 - Changes in the stock of abnormal ongoing operations

Fixed

Semi-annual

S1 to S3

CRB - Additional information on the credit quality of exposures

Flexible

Annual

S1 to S3

CRC - Information on credit risk mitigation instruments

Flexible

Annual

S1 and S2

CR3 - Overview of credit risk mitigation techniques

Fixed

Semi-annual

S1 and S2

CR4 - Standardized approach – exposures and effects of credit risk mitigation

Fixed

Semi-annual

S1 and S2

CR5 - Standardized approach - segregation of exposures by counterparty and by risk weighting factor (RWF)

Fixed

Semi-annual

S1 and S2

Counterparty credit risk (CCR)

CCRA - Qualitative information on counterparty credit risk (CCR) management

Flexible

Annual

S1 to S3

CCR1 - Analysis of counterparty credit risk (CCR) exposures by approach used

Fixed

Semi-annual

S1 and S2

CCR3 - Standardized approach – segregation of CCR exposures by counterparty and by risk weighting factor

Fixed

Semi-annual

S1 and S2

CCR5 - Financial collateral associated with counterparty credit risk exposures

Fixed

Semi-annual

S1 and S2

CCR6 - Information on counterparty credit risk associated with credit derivatives

Fixed

Semi-annual

S1 and S2

CCR8 - Information on counterparty credit risk associated with exposures to central counterparties

Fixed

Semi-annual

S1 and S2

Securitization exposures

SECA - Qualitative information on risk management of securitization exposures

Flexible

Annual

S1 to S3

SEC1 - Securitization exposures classified in the banking book

Flexible

Semi-annual

S1 and S2

SEC2 - Securitization exposures classified in the trading book

Flexible

Semi-annual

S1 and S2

SEC3 - Banking book securitization exposures and capital requirements - institution as originator or sponsor

Fixed

Semi-annual

S1 and S2

SEC4 - Banking book securitization exposures and capital requirements - institution as investor

Fixed

Semi-annual

S1 and S2

Market risk

MRA - Qualitative information on market risk management

Flexible

Annual

S1 to S3

MR1 - Standardized approach – risk factors associated with market risk

Fixed

Quarterly

S1 to S3

MRB - Qualitative information on the internal models approach for market risk

Flexible

Annual

Financial institution authorized to use internal models

MR2 - Information on variations in the RWA internal models portion

Fixed

Quarterly

MR3 - Values of internal models for market risk

Fixed

Quarterly

MR4 - Comparison of VaR estimates with actual and hypothetical results

Flexible

Quarterly

IRRBB

IRRBBA - Qualitative information on IRRBB management

Flexible

Annual

S1 to S3

IRRBB1 - Quantitative information on IRRBB

Fixed

Annual

S1 to S3

Remuneration of administrators

REMA - Remuneration policy

Flexible

Annual

S1 and S2

REM1 - Remuneration attributed during the reference year

Flexible

Annual

S1 and S2

REM2 - Extraordinary payments

Flexible

Annual

S1 and S2

REM3 - Deferred remuneration

Flexible

Annual

S1 and S2