BCB Instruction No. 545 of November 7, 2024 - Amends the Instructions for Calculating and Filling Out the Market Risk Statement (DRM) Information

CODIFIED CIRCULAR LETTER

BCB INSTRUCTION NO. 545, OF NOVEMBER 7, 2024

Amends the Instructions for Calculating and Filling Out the Information of the Market Risk Statement (DRM), governed by BCB Resolution No. 84, of March 31, 2021, and Instruction No. 101, of April 26, 2021.

The Head of the Department of Financial System Monitoring – Desig, in the exercise of the authority conferred upon him by Art. 23, item I, letter “a”, of the Internal Regulations of the Central Bank of Brazil, published through BCB Resolution No. 340, of September 21, 2023, based on Art. 85, item I, letter “b”, of the said Regulations, and considering the provisions of CMN Resolutions Nos. 4,924, of June 24, 2021, 4,955 and 4,958, both of October 21, 2021, 4,553, of January 30, 2017, 4,557, of February 23, 2017, and 4,966, of November 25, 2021, BCB Resolutions Nos. 84, of March 31, 2021, and 352, of November 23, 2023, and Circular No. 3,876, of January 31, 2018,

R E S O L V E S:

Art. 1st
The new version of the Instructions for Calculating and Filling Out the Information of the Market Risk Statement – DRM, document code 2060, available on the Central Bank of Brazil website, at the electronic address https://www.bcb.gov.br/estabilidadefinanceira/leiautedocumentoscrd, shall enter into force, starting from the January 2025 reporting base.

Art. 2nd
The following modifications were made:

I - in Chapter II. General Guidelines:

a) amendment of the text of items 2 and 4;

b) amendment of the term
“market value” to “fair value” in items: 3.III, 4 and in Footnote No. 1;

II - in Chapter III. Guidelines:

a) exclusion of the text related to item 2, with the consequent renumbering of subsequent items;

b) exclusion of citations to regulations, contained in items 1, 17.i, 17.ii, 17.iii, 17.iv, 24, 38, 39, 45.a, 45.b, 47, 48, 55, 56 and 61;

c) amendment of the normative citation of item 15;

d) amendment of the term “market value” to “fair value” in items: 3, 9, 29.a, 29.c.i, 29.c.ii, 30, 31, 34.c and 45.

Art.
3rd This Instruction enters into force on January 1, 2025.

ANDRÉ MAURÍCIO TRINDADE DA ROCHA

N O T E

The document of code 2060 - Market Risk Statement (DRM) aims to present, in a synthetic manner, at the reporting base date, the exposures to the various market risk factors associated with operations maintained by financial institutions and other institutions authorized to operate by the Central Bank of Brazil classified in Segment 1 (S1), Segment 2 (S2), Segment 3 (S3) or Segment 4 (S4), in accordance with Art. 2nd of Resolution No. 4,553, of January 30, 2017. This document was created based on BCB Resolution No. 84, of March 31, 2021, whose preparation and submission were governed by BCB Instruction No. 101, of April 26, 2021.

2. BCB Resolution No.
   4,924, of June 24, 2021, adopted Technical Pronouncement CPC 46 - Fair Value Measurement. BCB Resolution No. 4,966, of November 25, 2021, and BCB Resolution No. 352, of November 23, 2023, completed the process of harmonization of the accounting standards provided for in the Accounting Standard of Institutions Regulated by the Central Bank of Brazil – Cosif with the international pronouncement IFRS 9 – Financial Instruments issued by the International Accounting Standards Board – IASB.

3. Based on the regulations referred to in
   the previous paragraph, editorial adjustments were made to the instructions for calculating and filling out the DRM information, without changing the content relative to the previous version, nor changing the layout, filling method or submission method of the cited document.

4. Decree No. 10,411, of June 30,
   2020, regulates the conduct of regulatory impact analysis – AIR as a prerequisite for the issuance of normative acts. However, in its Art. 4th, the Decree establishes hypotheses for exemption from conducting AIR. Given the clarifications contained in the previous paragraph, it is verified that the present Instruction falls under the hypothesis provided for in item IV, namely, a normative act aimed at updating or revoking norms considered obsolete, without changing the substance.

5. Thus, based on the provisions of
   paragraph 4, I understand that the issuance of the present Instruction is exempt from conducting AIR.

ANDRÉ MAURÍCIO
TRINDADE DA ROCHA
Head of the
Department of Financial System Monitoring