BCB Normative Instruction No. 322

BCB NORMATIVE INSTRUCTION No. 322, OF 11 NOVEMBER 2022

Normative document revoked by BCB Normative Instruction No. 686, of 8/12/2025.

Discloses the report templates of the Internal Capital Adequacy Assessment Process (Icaap) and of the Simplified Internal Capital Adequacy Assessment Process (IcaapSimp), referred to in Circular No. 3,846, of 13 September 2017.

The Head of the Department of Strategic Management and Specialized Supervision (Degef) and the Deputy Head of the Department of Banking Supervision (Desup), using the attribution conferred on them by art. 23, item I, subitem "a" of the Internal Rules of the Central Bank of Brazil, annexed to Administrative Rule No. 84,287, of 27 February 2015,

R E S O L V E :

Art. 1 The information that must be included in the reports of the Internal Capital Adequacy Assessment Process (Icaap) and of the Simplified Internal Capital Adequacy Assessment Process (IcaapSimp), referred to in art. 5 of Circular No. 3,846, of 13 September 2017, is detailed in the Annex to this Normative Instruction.

Sole paragraph. The aforementioned reports must be prepared and made available on the date provided for in art. 5, item III, of Circular No. 3,846, of 2017.

Art. 2 The institution subject to the Simplified Internal Capital Adequacy Assessment Process (IcaapSimp) is exempt from presenting in the IcaapSimp report the information described in the following items of the Annex to this Normative Instruction:

• I - Chapter II – Icaap Governance;

• II - Chapter IV, Section II – Risk Governance;

• III - Chapter IV, Section III – Relevant Risks, subitems a), b), c) and d) relating to the risks of item 1;

• IV - Chapter IV, Section IV – Risk Aggregation; and

• V - Chapter IV, Section VI – Considering risk management as a whole.

Art. 3 Circular Letter No. 3,907, of 10 September 2018, is revoked.

Art. 4 This Normative Instruction enters into force on 1 December 2022.

Adalberto Felinto da Cruz Junior Ricardo Seviere Zeni Head of Degef Deputy Head of Desup

ANNEX

1. The Icaap* comprises the identification, management and measurement of risks, including the measurement of the capital need to face losses in a severe stress scenario. The capital plan must be compatible with the institution's strategic planning.

*In this text, the term Icaap refers to the process if it is not made explicit that it is the report.

2. The information to be presented is defined in the report template that contains the result of the self-assessment. The tables provided for in chapters III and IV of the report template must be filled in in the format presented in this Normative Instruction and also made available to the Central Bank of Brazil in an electronic file, in the form to be established by it. For the other information, the format is free, provided that all the information required herein is presented. It is essential that the proper references be made to the institution's internal documents that address each topic.

ICAAP REPORT TEMPLATE

CHAPTER I

SUMMARY

Section I

General data of the institution

• 1. Name of the institution (the term institution designates either the standalone financial institution or the prudential conglomerate that is presenting the Icaap report).

• 2. Name of the director responsible for the capital management structure, as per art. 47 of Resolution No. 4,557, of 23 February 2017.

• 3. Name of the director for risk management (CRO), as per art. 44. of Resolution No. 4,557, 2017.

• 4. Department (or area) responsible for preparing the document and contact data.

• 5. Description of the organizational structure (functional organization chart) involved in the Icaap.

• 6. Level of scope of the Icaap: individual or prudential conglomerate, presenting, if applicable, the list of all entities (companies and investment funds) that integrate the conglomerate covered in the Icaap.

Section II Strategy

• 1. Brief description of the corporate strategy.

Section III

Risk profile of the institution

• 1. Brief description of the institution's risk appetite and its metrics and limits, analyzing its relationship with the strategies established by senior management.

Risk appetite: refers to the level of risk that the institution proposes to assume, as described in the RAS (art. 5 of Resolution No. 4,557, of 2017). Attach the most recent Risk Appetite Statement (RAS).

Section IV Relevant risks

• 1. At a minimum, the risks cited in art. 3, items I and II of Circular No. 3,846, of 13 September 2017, must be considered. For each of them:

  • 1.1. Brief comment on the exposure to each of the relevant risks, quantifying them, or assessing their level when it is not possible to quantify them. Clarify whether the risk levels are acceptable or not, considering the institution's risk appetite. If they are not, explain the measures that are being implemented to reduce them; and

  • 1.2. Brief comment on the assessment of the adequacy of internal governance and of risk management, control and monitoring, pointing out eventual deficiencies with the respective corrections and/or plans proposed to resolve them.

Section V Capital

• 1. Brief analysis of the quantitative results of the capital need measured by the institution, broken down by risk categories and considering the effects of diversification (if any). A brief comparison of the current results against the capital needs measured in the previous Icaap Report must be presented.

If the institution calculates and incorporates any diversification effect, there must be conservatism in the measurement.

• 2. Brief comparative analysis between the quantitative results of the capital need and the capital effectively maintained by the institution, considering Common Equity Tier 1, Tier I (Common Equity + Additional Tier 1) and Reference Equity (Tier I + Tier II).

Section VI Capital Planning

• 1. Brief analysis of the capital plan, considering the dividend distribution and capitalization policy, for a three-year horizon and aligned with the institution's strategic objectives.

• 2. Brief comment on the capital contingency plan.

Section VII Conclusions and action plans

• 1. Summary of the main conclusions obtained on the self-assessment of capital adequacy and on the adequacy of the internal governance of the institution involved in Icaap.

If deficiencies or inadequacies have been identified, make the notes, indicating corrections and/or proposed plans to remedy them.

Section VIII General considerations

• 1. Summary of the main difficulties faced in Icaap, challenges and other relevant considerations.

• 2. Description of the main changes in the risk and capital management process in the last 12 months.

CHAPTER II ICAAP GOVERNANCE

Section I General Provisions

• 1. Description of the duties and evidence of commitment of the board of directors (where applicable) and of senior management (represented by the institution's main officers or main decision-makers: president, vice-presidents and directors) in relation to the assessment of capital adequacy against the risks to which the institution is exposed.

• 2. Identification of the general mechanisms used by the institution to ensure the adherence of its processes to the internal governance principles involved in conducting Icaap.

• 3. Description of the internal flow of information related to Icaap, including the types of management reports reported to senior management and to the board of directors (where applicable).

CHAPTER III CORPORATE STRATEGY

Section I General Provisions

• 1. Description of the corporate strategy, demonstrating how the institution will be able to generate results that ensure capital sustainability, always respecting the declared risk appetite, and paying attention to new risks that may arise from it. It should be noted that the demonstration must be compatible with the institution's budget. Targets for results and capital ratios must be highlighted.

• 2. Presentation of the following elements:

  • 2.1. Presentation of the following elements: Strategic Analysis

    • 2.1.1. relevant facts (positive/negative); and

    • 2.1.2. threats and opportunities (economic, competitive and regulatory scenario).

  • 2.2. Strategic Macro-direction

    • 2.2.1. description of the institution's mission, vision, culture and values.

  • 2.3. Description of the Business Model

    • 2.3.1. business lines targeted by the institution and products intended for each of them;

    • 2.3.2. growth and market share targets;

    • 2.3.3. critical success factors and competitive advantages in the main business lines targeted by the institution;

    • 2.3.4. most relevant strategic initiatives adopted to maintain or obtain competitive advantages in the main business lines targeted by the institution; and

    • 2.3.5. presentation of the information requested on projections of assets/liabilities/equity, revenues/expenses and macroeconomic indicators, in accordance with Tables 1a, 1b, 1c and 2:

Table 1a – Balance Sheet – Normal Scenario – (Values in Reais)

BALANCE SHEET

BASE YEAR

YEAR +1

YEAR +2

YEAR +3

ASSETS (A)+(B)+(C)+(D)+(E)+(F)+(G)+(H)

(A) Cash and cash equivalents

(B) Interfinancial Liquidity Investments

(C) Compulsory deposits

(D) Securities (d1)+(d2)

(d1) Total in Reais

(d2) Subject to Exchange Rate Variation

(E) Credit (e1)+(e2)+(e3)

(e1) Total in Reais (e10)+(e20)+(e30)

(e10) Individuals (e100)+(e200)+(e300)+(e400)+(e500)

(e100) Payroll-deducted

(e200) Vehicles

(e300) Housing

(e400) Rural

(e500) Other Individuals

(e20) Legal Entities (e600)+(e700)+(e800)+(e900)+(e1000)

(e600) Micro and Small Enterprises

(e700) Medium Enterprises

(e800) Large Enterprises

(e900) Real Estate

(e1000) Rural

(e30) Government

(e2) Subject to Exchange Rate Variation

(e3) Provisions (-)

(F) Tax Credits (f1)+(f2)+(f3)+(f4)

(f1) Temporary Difference PCLD

(f2) Temporary Difference MtM

(f3) Other Temporary Difference

(f4) Tax Loss and Negative Base

(G) Permanent (g1)+(g2)+(g3)

(g1) Investments

(g2) Intangible

(g3) Others

(H) Other Assets

LIABILITIES (I)+(J)+(K)+(L)

(I) Deposits (i1)+(i2)+(i3)+(i4)

(i1) Demand

(i2) Time

(i3) Savings

(i4) Others

(J) Funding (j1)+(j2)+(j3)

(j1) Repurchase Agreements

(j2) Other Funding in Brazilian Reais (j10) + (j20)+(j30)+(j40)

(j10) Bills, Trade Acceptances and Similar

(j20) Debt Instruments Eligible as Tier II Capital

(j30) Debt Instruments Eligible as Tier I Capital

(j40) Others

(j3) Other Funding subject to exchange rate variation (j50) + (j60)+(j70)

(j50) Debt Instruments Eligible as Tier II Capital

(j60) Debt Instruments Eligible as Tier I Capital

(j70) Others

(K) Other Liabilities

(L) Equity (l1)+(l2)+(l3)+(l4)

(l1) Share Capital

(l2) Profit Reserve

(l3) Adjustments of Available-for-Sale Securities

(l4) Others

Table 1b- Income Statement – Statements of Income – Normal Scenario –(Values in Brazilian Reais)

INCOME STATEMENT – STATEMENT OF INCOME

BASE YEAR

YEAR + 1

YEAR + 2

YEAR + 3

(A) Financial Intermediation Income (a1)+(a2)

(a1) Interest Income (a10)+(a20)

(a10) Gross Interest Income

(a100)+(a200)+(a300)+(a400)+(a500)

(a100) Interest Income from Credit (except exchange rate variation)

(a200) Interest Income from Securities, Compulsory,

Cash and Applications Interf. Liquidity (except exchange rate variation)

(a300) Other Interest Income (except exchange rate variation)

(a400) Interest Expenses (except exchange rate variation)

(a500) Interest Exchange Rate Variation Income

(a20) Net Income from Provision for Doubtful

Debts

(a2) Non-Interest Income

(B) Equity in Earnings of Subsidiaries (b1)+(b2)

(b1) Equity in Earnings of Subsidiaries

(b2) Exchange Rate Variation Income from Investments Abroad

(C) Service Revenues

(D) Administrative Expenses

(E) Tax Expenses

(F) Other Non-Intermediation Operating Results

(G) Non-Operating Result

(H) Income Tax and Social Contribution

Net Income (A)+(B)+(C)+(D)+(E)+(F)+(G)+(H)

ROE (%) p.a.

Cost of Equity (%) p.a.

Dividends and Interest on Equity Distributed

Table 1c– Income Statement – Supplementary Information – Normal Scenario – (Values in Reais)

Income Statement – SUPPLEMENTARY INFORMATION

BASE YEAR

YEAR + 1

YEAR + 2

YEAR + 3

Interest Income from Credit (excluding foreign exchange variation)

(A)+(B)+(C)

(A) Individuals (a1)+(a2)+(a3)+(a4)+(a5)

(a1) Payroll Loans

(a2) Vehicles

(a3) Housing

(a4) Rural

(a5) Other Individuals

(B) Legal Entities (b1)+(b2)+(b3)+(b4)+(b5)

(b1) Micro and Small Enterprises

(b2) Medium Enterprises

(b3) Large Enterprises

(b4) Real Estate

(b5) Rural

(C) Government

Interest Income from Securities, Compulsory Deposits, Cash and

AIL (excluding foreign exchange variation) (D)+(E)+(F)+(G)

(D) Compulsory Deposits

(E) Securities and Marketable Securities

(F) Cash

(G) Interfinancial Liquidity Investments

Interest Expenses (excluding foreign exchange variation)

(H)+(I)+(J)+(K)+(L)+(M)+(N)+(O)

(H) Time Deposits

(I) Savings Deposits

(J) Other Deposits

(K) Repurchase Agreements

(L) Real Estate Bills, Mortgage Bills, Credit Bills, Acceptances

Exchange Bills and Similar

(M) Debt Instruments Eligible for Tier II Capital

(N) Debt Instruments Eligible for Tier I Capital

(O) Other

Result from Foreign Exchange Variation of Interest (P)+(Q)

(P) Interest Result from Assets Subject to Foreign Exchange Variation (p1)+(p2)+(p3)

(p1) Credit Assets subject to foreign exchange variation

(p2) Securities subject to foreign exchange variation

(p3) Other Assets subject to foreign exchange variation

(Q) Interest Result from Funding Subject to Foreign Exchange

Variation (q1)+(q2)+(q3)

(q1) Debt Instruments Eligible for Tier II Capital

(q2) Debt Instruments Eligible for Tier I Capital

(q3) Other Funding subject to foreign exchange variation

Result from Equity Participation (S)+(T)

(R) Results from Insurance, Pension and Capitalization

(S) Other Results from Equity Participation

Table 2 – Macroeconomic Indicators in Normal Scenario

Variables

December of the base year

Projection Horizon (years)

Year 1

Year 2

Year 3

Gross Domestic Product (% p.a.)

Selic Rate (% p.a.)

Free IPCA (% accumulated in the year)

Real/dollar exchange rate

Ibovespa

Domestic credit (R$ millions)

Unemployment (%)

EMBI+ (p.p.)

CRB Index (commodities)

United States GDP (% p.a.)

10-year Treasury interest rate (%)

VIX

• 3. Description of the budget preparation process.

• 4. Presentation of the list of internal documents that support the previous items and their respective update dates.

CHAPTER IV RISK MANAGEMENT AND MEASUREMENT

Section I Risks x Capital

• 1. Presentation of the information requested in accordance with Table 3:

Table 3 – Risks x Capital – (Values in Reais)

Source:

Base Year

Year + 1

Year + 2

Year + 3

Normality Scenario

REFERENCE EQUITY

Estimated Reference Equity (a) + (b) + (c)

DLO

Common Equity Tier 1 before Adjustments

DLO

Prudential Adjustments

DLO

Common Equity Tier 1 after Prudential Adjustments (a)

DLO

Additional Tier 1 Capital (b)

DLO

Tier I (a) + (b)

DLO

Tier II (c)

DLO

ASSESSMENT OF CAPITAL NEEDS

REGULATORY

Minimum PR for RWA (RWA*F)

Calculated

Credit (RWACPADF / RWACIRBF)

DLO

Market (RWAMPADF / RWAMINTF)

DLO

RWAJUR1*F

DLO

RWAJUR2*F

DLO

RWAJUR3*F

DLO

RWAJUR4*F

DLO

RWACAM*F

DLO

RWAACS*F

DLO

RWACOM*F

DLO

RWACVA*F[1]

DLO

RWADRC*F1

DLO

Operational (RWAOPADF / RWAOAMAF)

DLO

Common Equity Tier 1 Ratio

Calculated

Tier 1 Capital Ratio

Calculated

Basel Ratio

Calculated

Common Equity Tier 1 Add-ons (ACPs)

DLO

CALCULATED BY THE INSTITUTION

Minimum PR Calculated by the FI

FI

Credit

FI

• Counterparty Credit Risk

FI

• Credit Concentration Risk

FI

Market

FI

Market Risk Factors

Ex. Jur1

Ex. Jur2

Ex. Jur3

Ex. Jur4

Ex. ACS

Ex. COM

...

Operational

FI

UNMITIGATED RISKS (PILLAR 1):

FI

• Residual Risks

FI

• Securitization Risks

FI

IRRBB (RBAN)

DLO

• Strategy Risk

FI

• Reputation Risk

FI

• Contagion Risk

FI

• Pension Fund Risk

FI

• Insurance, Pension and Capitalization Risk

FI

• Social Risk

IF

• Environmental Risk

IF

• Physical Climate Risk

IF

• Climate Transition Risk

IF

...

IF

Add-on determined by BCB

DLO

Source:

Base Year

Year + 1

Year + 2

Year + 3

Stress Scenario*

REFERENCE EQUITY

Estimated Reference Equity (a) + (b) + (c)

DLO

Common Equity Tier 1 before Adjustments

DLO

Prudential Adjustments

DLO

Common Equity Tier 1 after Prudential Adjustments (a)

DLO

Additional Tier 1 Capital (b)

DLO

Tier I (a) + (b)

DLO

Tier II (c)

DLO

ASSESSMENT OF CAPITAL NEEDS

REGULATORY

Minimum PR for RWA (RWA*F)

Calculated

Credit (RWACPADF / RWACIRBF)

DLO

Market (RWAMPADF / RWAMINTF)

DLO

Operational (RWAOPADF / RWAOAMAF)

DLO

Common Equity Tier 1 Ratio

Calculated

Tier I Capital Ratio

Calculated

Basel Ratio

Calculated

Common Equity Tier 1 Add-ons (ACPs)

DLO

CALCULATED BY THE INSTITUTION

Minimum PR Calculated by the FI

IF

IRRBB (RBAN)

DLO

• Fill in one table for each stress scenario

Section II Risk Governance

• 1. Description of the institution's risk appetite, aligned with its strategic objectives. Presentation of its relationship with the capital plan and with the stress testing exercises provided for in Section II of Chapter III of Resolution No. 4.557, of 2017. Description of the metrics used to monitor risk appetite.

• 2. Description of the process for defining the risk policy at the institution.

• 3. Description of the corporate risk management structure and its main activities, functions and responsibilities, focusing on the processes and systems used in the identification and aggregate assessment of the risks incurred by the institution.

• 4. Description of how the institution's risk policies are disseminated.

• 5. Brief description of the process for collecting and consolidating information on risks, including the process for assessment, validation and approval of reports before their presentation to senior management.

• 6. Description of the structure and procedures for identifying and monitoring idiosyncratic risks and those arising from investee companies not part of the prudential conglomerate.

Section III Relevant risks

As a general rule, all risks identified in the Icaap must be measured or assessed. In the description and self-assessment of each risk category described in items 1, 2 and 3 of this section, consider the following subitems:

• a) adequacy of the risk management structure (hierarchical structure, functions and responsibilities);

• b) adequacy of risk policies (limits, diversification, mitigation, capital, etc.);

• c) adequacy of the use of risk management processes and tools (measurement systems and methodologies used, control and monitoring, recovery, reporting structure, etc.) in decision-making;

• d) tables and charts showing the evolution of risk exposure compared to the previous year, with comments related to the most relevant variations;

• e) methodologies used for risk assessment and measurement and the assumptions made in quantifying the institution's capital requirement, considering possible mitigations. Exceptionally, if quantitative measurement of a risk is not feasible (for example, strategy risk and reputation risk), mention the qualitative methodologies and the control and mitigation instruments used. Highlight the main methodological changes that occurred in the last year;

• f) main assumptions and limitations of the models and data available for risk measurement; and

• g) self-assessment on the adequacy of the methodologies used to quantify risks, considering the institution's profile and identifying any needs for improvement.

• 1. Description and self-assessment of Pillar 1 Risks:

  • 1.1. credit risk (art. 6, item I of Resolution No. 4.557, of 2017);

  • 1.2. market risk (art. 6, item II of Resolution No. 4.557, of 2017); and

  • 1.3. operational risk (art. 6, item IV of Resolution No. 4.557, of 2017).

In addition to items a) to g) described in the introduction to this section, include the following item for this risk:

• h) present a summary of the history of operational losses, segregated by types of events, highlighting the largest losses.*

• Operational risk management, the internal controls system and the effects of the compliance function may be included in annexes to the Icaap, consisting of the reports provided for respectively in Resolutions No. 4.557, of 2017, 4.968, of 25 November 2021, and 4.595, of 28 August 2017.

• 2. Description and self-assessment of Pillar 1 Risks that have not been fully covered in the Pillar 1 capital measurement, such as:

  • 2.1. residual risks arising from credit risk mitigation techniques;

  • 2.2. residual risks arising from asset securitization or complex derivative products;

  • 2.3. boundary risks between operational and credit, such as credit fraud; and

  • 2.4. other residual risks.

• 3. Description and self-assessment of the other risks, such as:

  • 3.1. interest rate variation risk for instruments classified in the banking book - IRRBB (art. 6, item III of Resolution No. 4.557, of 2017).

In addition to items a) to g) described in the introduction to this section, include the following items for this risk:

    - h) description of the main determinants of IRRBB, including the mismatch between assets and liabilities, in relation to maturities, rates, indexes and currencies.

    - i) assumptions used in modeling embedded optionalities, changes in the time structure of cash flows of deposits without a defined contractual maturity and aggregation of currencies.

    - j) the result and description of the IRRBB measurement in the financial intermediation income approach (ΔNII and earnings at risk, for example) and in the economic value approach (ΔEVE, for example).

    - k) the result and description of the measurement of embedded gains & losses of banking book instruments sensitive to interest rate variations and that are not marked to market.

    - l) presentation of the information requested in accordance with table 4:

Table 4 – Information on IRRBB – (Values in Reais)

IRRBB Measurement

Value in Reais at the Report Base Date

IRRBB Measurement in the

financial intermediation income approach

IRRBB Measurement in the economic value approach

Measurement of embedded gains and losses

• 3.2. counterparty credit risk (art. 21, § 3, item I of Resolution No. 4.557, of 2017).

• 3.3. credit concentration risk (art. 21, § 3, item VI of Resolution No. 4.557, of 2017), paying attention to the following points:

  • i. at a minimum, concentration by name, economic sector and type of risk mitigator must be considered;

  • ii. capital for concentration risk must be quantified; the mere mitigation of risk through a structure of limits or monitoring of indicators, such as the Herfindahl-Hirschman Index (HHI), is not sufficient;

  • iii. if the concentration risk is fully captured by the economic capital model for credit risk, a theoretical justification must be presented regarding the treatment given by the model; and

  • iv. in addition, Table 3 must inform the consolidated value, the estimates of the contributions of credit risk without concentration risk and of concentration risk.

• 3.4. liquidity risk (art. 6, item V of Resolution No. 4.557, of 2017).

In addition to items a) to g) described in the introduction to this section, include the following item for this risk:

    - h) briefly describe the institution's structural liquidity mismatch management process.

• 3.5. social risk (art. 6, item VI of Resolution No. 4.557, of 2017).

In addition to items a) to g) described in the introduction to this section, include the following item for this risk:

    - h) describe the economic activities with the greatest potential to cause social harm.

• 3.6. environmental risk (art. 6, item VII of Resolution No. 4.557, of 2017).

In addition to items a) to g) described in the introduction to this section, include the following item for this risk:

    - h) describe the economic activities with the greatest potential to cause environmental harm.

• 3.7. climate risk (art. 6, item VIII of Resolution No. 4.557, of 2017).

In addition to items a) to g) described in the introduction to this section, include the following item for this risk:

    - h) describe the economic activities with the greatest potential to suffer harm from a physical climate event and a transition climate event.

• 3.8. strategy risk.

• 3.9. reputation risk.

• 3.10. contagion risk.

Note that the risk management of the prudential conglomerate must consider, at a minimum:

    - i. the risks associated with the other entities controlled by its members or in which they participate (art. 53 of Resolution No. 4.557, of 2017); and

    - ii. the risk of the institution providing financial support to a financial or non-financial entity that is not part of its conglomerate - step-in risk (art. 15, item V of Resolution No. 4.557, of 2017).

• 3.11. pension fund risk.

In addition to items a) to g) described in the introduction to this section, include the following items for this risk:

    - h) at a minimum, list the defined benefit plans sponsored by the institution, the deficit/surplus situation per plan and the assumptions used in the measurement, general characteristics of the plan, value of the actuarial liability and associated characteristics (mortality table applied, discount rate), value of the actuarial asset and the plan's investment profile, calculation of the amount of (economic) capital needed to cover the risks arising from any mismatches between actuarial assets and liabilities;

• 3.12. insurance, pension and capitalization risk.

In addition to items a) to g) described in the introduction to this section, include the following item for this risk:

    - h) at a minimum, describe the associated material risks, how these risks are treated and consider any impacts on the institution's capital; report the capital required by Susep.

• 3.13. other relevant risks.

Section IV Risk aggregation

• 1. Description of the methodologies and assumptions adopted for making adjustments related to risk aggregation. Detail the diversification effects considered and other adjustments (including assets and/or companies not covered in Icaap), where they exist.

Section V Stress tests

• 1. Description of the stress test methodologies, specifying the assumptions considered. Stress tests must be performed for adverse scenarios, considering the institution's specific risks, including credit risk, credit concentration risk, market risk, IRRBB, operational risk, liquidity risk, and other relevant risks.

• 2. Presentation of the methodological framework, governance and documentation (in the form of annexes referenced in the report).

• 3. Description of the stress scenario development process, including the scenarios of the integrated stress test provided for in art. 14 of Resolution No. 4.557, of 2017. Present the definition of each adverse scenario and of the base scenario, in qualitative and quantitative terms. It is not permitted for the stress scenarios proposed by the institution to constitute replications of scenarios constructed externally to the institution, nor even of scenarios formulated by the BCB. The reflection and debate inherent in the process of constructing stress scenarios and identifying the risks underlying them are fundamental elements of the integrated stress test exercise.

• 4. Presentation of the results of the exercises, according to the scenarios considered by the institution, as well as the scenario provided by the BCB as provided for in art. 19, item II of Resolution No. 4.557, of 2017.

• 5. Presentation of the uses and applications of the stress test tool in the institution's risk management framework.

• 6. Presentation of the information requested in accordance with tables 5a, 5b, 5c and 6 below:

Table 5a – Balance sheet – Stress scenario (Values in Reais)

BALANCE SHEET

BASE YEAR

YEAR + 1

YEAR + 2

YEAR + 3

ASSETS (A)+(B)+(C)+(D)+(E)+(F)+(G)+(H)

(A) Cash and cash equivalents

(B) Interfinancial liquidity applications

(C) Compulsory deposits

(D) Securities (d1)+(d2)

(d1) Total in Reais

(d2) Subject to Exchange Rate Variation

(E) Credit (e1)+(e2)+(e3)

(e1) Total in Reais (e10)+(e20)+(e30)

(e10) Individuals (e100)+(e200)+(e300)+(e400)+(e500)

(e100) Payroll-deducted

(e200) Vehicles

(e300) Housing

(e400) Rural

(e500) Other individuals

(e20) Legal entities (e600)+(e700)+(e800)+(e900)+(e1000)

(e600) Micro and small enterprises

(e700) Medium Enterprises

(e800) Large Enterprises

(e900) Real Estate

(e1000) Rural

(e30) Government

(e2) Subject to Exchange Rate Variation

(e3) Provisions (-)

(F) Tax Credits (f1)+(f2)+(f3)+(f4)

(f1) Temporary Difference PCLD

(f2) Temporary Difference MtM

(f3) Other Temporary Differences

(f4) Tax Loss and Negative Base

(G) Permanent (g1)+(g2)+(g3)

(g1) Investments

(g2) Intangible

(g3) Other

(H) Other Assets

LIABILITIES (I)+(J)+(K)+(L)

(I) Deposits (i1)+(i2)+(i3)+(i4)

(i1) Demand

(i2) Time

(i3) Savings

(i4) Other

(J) Funding (j1)+(j2)+(j3)

(j1) Repurchase Agreements

(j2) Other Funding in Reais (j10) + (j20)+(j30)+(j40)

(j10) Bills, Trade Acceptances and Similar

(j20) Debt Instruments Eligible for Tier II Capital

(j30) Debt Instruments Eligible for Tier I Capital

(j40) Other

(j3) Other Funding subject to exchange rate variation (j50) + (j60)+(j70)

(j50) Debt Instruments Eligible for Tier II Capital

(j60) Debt Instruments Eligible for Tier I Capital

(j70) Other

(K) Other Liabilities

(L) Equity (l1)+(l2)+(l3)+(l4)

(l1) Share Capital

(l2) Profit Reserve

(l3) Adjustments of Available-for-Sale Securities

(l4) Other

Table 5b – Income Statement – Statement of Income in Stress Scenario*– (Values in Reais)

INCOME STATEMENT - STATEMENT OF INCOME

BASE YEAR

YEAR + 1

YEAR + 2

YEAR + 3

(A) Financial Intermediation Income (a1)+(a2)

(a1) Interest Income (a10)+(a20)

(a10) Gross Interest Income (a100)+(a200)+(a300)+(a400)+(a500)

(a100) Interest Income from Credit (except exchange rate variation)

(a200) Interest Income from Securities, Compulsory Deposits, Cash and Financial Investments Interf. Liquidity (except exchange rate variation)

(a300) Other Interest Income (except exchange rate variation)

(a400) Interest Expenses (except exchange rate variation)

(a500) Interest Exchange Rate Variation Income

(a20) Net Income from Provision for Doubtful Accounts

(a2) Non-Interest Income

(B) Equity in Earnings of Subsidiaries (b1)+(b2)

(b1) Equity in Earnings of Subsidiaries

(b2) Result of Foreign Exchange Variation of Investments Abroad

(C) Service Revenues

(D) Administrative Expenses

(E) Tax Expenses

(F) Other Non-Intermediation Operating Results

(G) Non-Operating Result

(H) Income Tax and Social Contribution

Net Income (A)+(B)+(C)+(D)+(E)+(F)+(G)+(H)

ROE (%) p.a.

Cost of Equity (%) p.a.

Dividends and Interest on Equity Distributed

• Fill in one table for each stress scenario

Table 5c– Income Statement – Complementary Information in Stress Scenario*– (Values in Reais)

INCOME STATEMENT - COMPLEMENTARY INFORMATION

BASE YEAR

YEAR + 1

YEAR + 2

YEAR + 3

Interest Income from Credit (except foreign exchange variation) (A)+(B)+(C)

(A) Individuals (a1)+(a2)+(a3)+(a4)+(a5)

(a1) Payroll Loans

(a2) Vehicles

(a3) Housing

(a4) Rural

(a5) Other Individuals

(B) Legal Entities (b1)+(b2)+(b3)+(b4)+(b5)

(b1) Micro and Small Enterprises

(b2) Medium Enterprises

(b3) Large Enterprises

(b4) Real Estate

(b5) Rural

(C) Government

Interest Income from Securities, Compulsory Deposits, Cash and Interbank Investments (except foreign exchange variation) (D)+(E)+(F)+(G)

(D) Compulsory Deposits

(E) Securities and Marketable Instruments

(F) Cash

(G) Interbank Investments

Interest Expenses (except foreign exchange variation) (H)+(I)+(J)+(K)+(L)+(M)+(N)+(O)

(H) Time Deposits

(I) Savings Deposits

(J) Other Deposits

(K) Repurchase Agreements

(L) Real Estate, Mortgage, Credit, Exchange Acceptances and Similar Bills

(M) Debt Instruments Eligible for Tier II Capital

(N) Debt Instruments Eligible for Tier I Capital

(O) Other

Result of Foreign Exchange Variation of Interest (P)+(Q)

(P) Result of Interest on Assets Subject to Foreign Exchange Variation (p1)+(p2)+(p3)

(p1) Credit Assets subject to foreign exchange variation

(p2) Securities subject to foreign exchange variation

(p3) Other Assets subject to foreign exchange variation

(Q) Result of Interest on Funding Subject to Foreign Exchange Variation (q1)+(q2)+(q3)

(q1) Debt Instruments Eligible for Tier II Capital

(q2) Debt Instruments Eligible for Tier I Capital

(q3) Other

Result of Equity Investments (R)+(S)

(R) Results of Insurance, Pension and Capitalization

(S) Other Results of Equity Investments

• Fill in one table for each stress scenario

Table 6 – Macroeconomic Indicators in Stress Scenario*

Variables

December of the base year

Projection Horizon (years)

Year 1

Year 2

Year 3

Gross Domestic Product (% p.a.)

Selic Rate (% p.a.)

Free IPCA (% accumulated in the year)

Real/dollar exchange rate

Ibovespa

Domestic credit (R$ millions)

Unemployment (%)

EMBI+ (p.p.)

CRB Index (commodities)

United States GDP (% p.a.)

10-year Treasury interest rate (%)

VIX

• Fill in a table for each stress scenario

Section VI Considering risk management as a whole

• 1. Brief presentation on the assessment of the technological infrastructure that supports the risk and capital management processes. If any, describe the ongoing projects related to the topic, mentioning the main expected benefits.

• 2. Description of the objectives and information contained in the main reports produced for senior management that assist in the corporate risk management process.

• 3. Description of the processes established by the risk directorate and/or the corporate risk management unit to monitor the effectiveness of corporate risk management.

• 4. Presentation of the general self-assessment of the adequacy of the institution's risk management. If deficiencies have been identified, make the findings, indicating corrections and/or proposed plans to remedy them.

Section VII Validation

• 1. Presentation of the documentation referring to the validation and approval process by the institution's board of directors and by the board of directors, if any. The validation process must be independent of the development of the Icaap and must assess the items described in art. 4, items I to VI of Circular No. 3.846, of 2017.

CHAPTER V CAPITAL PLANNING

Section I Capital Plan

• 1. Description of the capital plan, aligned with the institution's strategic planning, considering, among others, the following aspects:

  • 1.1. policy for future distribution of dividends and payment of interest on own capital;

  • 1.2. main sources of capital of the institution, clarifying, for each of them, the proportional participation and the possibilities of expansion; and

  • 1.3. prospective assessment of capital requirements, discriminating each type of risk, the different regulatory buffers and eventual applications of additional capital requirements by the Supervisor.

• 2. Description of the contingency plan for the case in which the capital sources provided for in the capital plan prove to be unfeasible or insufficient, or for the occurrence of facts not foreseen in the capital plan.

• 3. Presentation of the projections of required and available capital, in the base and stress scenarios, as stipulated in the section on stress testing.

• 4. Description of the processes for monitoring and reviewing the capital plan.

• 5. Presentation of the general self-assessment of capital management, the capital plan and the contingency plan, considering, among other aspects:

  • 5.1. comparison, in relation to the previous year, between the estimated Reference Equity and the effective Reference Equity, commenting on the main reasons for the differences detected.

  • 5.2. comparison between the capital indicators projected in the previous Icaap report with the actual one and description of the main sources of differences.

  • 5.3. comparison between the planned capital increase (according to the previous report, if applicable) and the one that actually occurred, explaining the justification for non-occurrence, if applicable.

• 6. Presentation of the list of internal documents that support the previous items and their respective update dates.

CHAPTER VI INTERNAL AUDIT

Section I General provisions

• 1. Description of the scope of action of the internal audit, in relation to:

  • 1.1. assessment of risks and their internal controls;

  • 1.2. verification of the effective and adequate use of risk management tools (use test);

  • 1.3. methodologies used for risk management;

  • 1.4. compliance with internal and regulatory standards;

  • 1.5. adequacy and assessment of systems and integrity of databases;

  • 1.6. periodicity of the work; and

  • 1.7. reporting structure.

If some of the functions mentioned above are assigned to another area, indicate the responsible area.

• 2. Summarized presentation of the main conclusions and findings related to the review of risk management and the review of the capital adequacy verification process (Icaap), as well as the corrective measures proposed (when any).

• 3. Presentation of the general self-assessment on the adequacy of the internal audit function and/or the other areas involved. If deficiencies have been identified, make the findings, indicating corrections and/or proposed plans to remedy them.

CHAPTER VII ACTION PLANS

Section I General provisions

Presentation of the self-assessment of the institution's capital adequacy in relation to the capital calculated as necessary against its risks, for the base date considered and also for the following 3 (three) years. In case of inadequacies, present the necessary measures and action plans to resolve them.

NOTE

The regulation of this topic deals with the report models to be prepared for the Internal Capital Adequacy Assessment Process (Icaap) and for the Simplified Internal Capital Adequacy Assessment Process (IcaapSimp).

• 2. In this BCB Normative Instruction, specific spaces are provided for the description of social risk, environmental risk and climate risk management in the Icaap and IcaapSimp reports, in line with the provision of Resolution No. 4.557, of February 23, 2017, as amended by Resolution No. 4.943, of September 15, 2021. Additionally, BCB Resolution No. 251, of October 11, 2022, amended Circular No. 3.846, of 2017, to clarify that both reports should consider aspects related to the mentioned risks. Until then, the Icaap and IcaapSimp reports provide a section directed to socio-environmental risk, which is no longer defined in the regulation in force. Thus, the Normative Instruction adapts the format of the reports to the regulatory demands.

• 3. Decree No. 10.411, of June 30, 2020, regulates the performance of regulatory impact analysis (RIA) as a prerequisite for the issuance of a normative act. However, in its art. 4, the aforementioned decree establishes the hypotheses for waiving the performance of RIA. This BCB Normative Instruction falls under the hypothesis provided for in item II, a normative act intended to discipline rights or obligations defined in a hierarchically superior norm that does not allow, technically or legally, different regulatory alternatives. Thus, based on art. 4, item II of Decree No. 10.411, of 2020, we understand that the issuance of this BCB Normative Instruction is waived from the performance of RIA.

Adalberto Felinto da Cruz Junior Ricardo Seviere Zeni Head of the Department of Substitute Head of the Department of Strategic Management and Banking Supervision (Desup) Specialized Supervision (Degef)

[1] RWADRC and RWACVA must be filled in from the fiscal year in which the regulation providing for the respective methodologies comes into force.