BCB Normative Instruction No. 424 — Amends the Layout of the Pillar 3 Report Document

BCB NORMATIVE INSTRUCTION NO. 424, OF NOVEMBER 29, 2023

Amends the layout of the Pillar 3 Report document, governed by BCB Resolution No. 54, of December 16, 2020, and Normative Instruction No. 385, of May 30, 2023.

The Head of the Prudential and Exchange Regulation Department (Dereg), using the powers conferred upon him by Articles 23, item I, letter “a”, and 119, item I, letter “d”, of the Internal Regulations of the Central Bank of Brazil, annexed to BCB Resolution No. 340, of September 21, 2023, and considering the provisions of Article 8, items I and II, of Resolution No. 54, of December 16, 2020,

RESOLVES:

Article 1. For information regarding the base date of December 2023, the new version of the layout of the Pillar 3 document shall come into force, available on the Central Bank of Brazil’s website at the electronic address https://www.bcb.gov.br/estabilidadefinanceira/leiautes_pilar_3.

Article 2. Modifications were made to the layout of the following tables:

I - Table GSIB1:

a) Elimination of line 10 from the individual indicator “Trading Volume” and its replacement by lines 10.a – “Fixed income trading volume” and 10.b – “Other trading volume”, and

b) Inclusion of the definition “The calculation of the individual indicators ‘Total gross exposure’, ‘Interbank assets’, ‘Interbank liabilities’, ‘Securities and debentures’, ‘Over-the-counter derivatives’ and ‘Level 3 assets’ must be performed based on the extended consolidation scope that includes insurance companies directly or indirectly controlled by entities belonging to the prudential conglomerate.”.

II - Table CCyB1: In the line “Frequency”, include at the end of the sentence the expression “,including Brazil.”

Article 3. This Normative Instruction enters into force on January 1, 2024.

Ricardo Franco Moura

INFORMATIVE NOTE

Regulation Matters – Provides for the disclosure of information for the assessment of the Global Systemic Importance (G-SII) of financial institutions and for the geographic distribution of credit risk exposures considered in the calculation of the Countercyclical Capital Buffer (CCyB).

1. The regulation of information for the assessment of the Global Systemic Importance (G-SII) of financial institutions stems from Brazil’s participation in the international effort, agreed upon by the main world leaders at the G-20 meeting in November 2011, in Cannes, and coordinated by the Financial Stability Board (FSB) and the Basel Committee on Banking Supervision (BCBS), to mitigate the effects resulting from the presence of globally systemically important banks (G-SIBs), with recommendations already incorporated into Brazilian regulation.

2. The Committee has, since then, refined the methodology and issued clarifications regarding the calculation of information related to G-SIBs. In this regard, on March 30, 2023, the BCBS published the document “Various technical amendments and FAQs”[1], which introduces corrections to table GSIB1 at the points detailed below.

3. The main update to the disclosure of information related to G-SIBs involves replacing the indicator “Trading Volume” in “Table GSIB1: Indicators used to characterize a financial institution as globally systemically important (G-SIBs)”[2], governed by BCB Resolution No. 54, of December 16, 2020 (“Pillar 3”), with the indicators “Fixed income trading volume” and “Other trading volume”. These indicators become part of the “Substitution” Indicator as of the December 2023 base date, as provided for in Article 12 of Resolution No. 171, of December 9, 2021. Only for comparative purposes with previous publications, it is worth clarifying that the average of these new indicators is equivalent to the former “Trading Volume” indicator, which ceases to exist.

4. Additionally, there was an inclusion of guidance regarding lines 3, 4, 5, 6, 11, and 12 of the table, whose indicators must be calculated taking into account the inclusion of values related to insurance companies directly or indirectly controlled by entities belonging to the prudential conglomerate.

5. Regarding the geographic distribution of credit risk exposures considered in the calculation of the Countercyclical Capital Buffer (CCyB) (table CCyB1), it is worth clarifying that the table must be published whenever there is a change in the value of the CCyB Brazil by the Financial Stability Committee (Comef). In this sense, the expression “,including Brazil” must be added to the end of the sentence in the frequency line.

6. In this context, based on the provisions of Article 119, item I, letter “d”, of the Internal Regulations of the Central Bank of Brazil, annexed to BCB Resolution No. 340, of September 21, 2023, I resolve to issue the normative instruction in the form of the attached draft to update the procedures for the disclosure of information related to G-SIBs, aligning Brazilian regulation with the standards agreed upon by the Basel Committee, and to promote improvements in the wording.

7. Considering the provisions of item VI of Article 4 of Decree No. 10.411, of June 30, 2020, I decide to waive the regulatory impact analysis referred to in Article 5 of Law No. 13.874, of September 20, 2019, given that the provisions for updating the disclosure of information related to G-SIBs aim to “maintain convergence to international standards”.

Ricardo Franco Moura
Head of the Prudential and Exchange Regulation Department

[1] Available at https://www.bis.org/bcbs/publ/d547.pdf.
[2] Available at https://www.bcb.gov.br/estabilidadefinanceira/leiautes_pilar_3.