BCB RESOLUTION NO. 239, OF SEPTEMBER 1, 2022

Amends Circular No. 3,809, of August 25, 2016, which establishes the procedures for the recognition of mitigating instruments in the calculation of the portion of risk-weighted assets (RWA) related to credit risk exposures subject to the capital requirement calculation using the standardized approach (RWACPAD).

The Collegiate Board of the Central Bank of Brazil, in a session held on August 31, 2022, based on the provisions of Articles 9, 10, item IX, and 11, item VII, of Law No. 4,595, of December 31, 1964, and taking into account the provisions of Article 3, paragraph 2, of CMN Resolution No. 4,958, of October 21, 2021,

RESOLVES:

Art. 1. Circular No. 3,809, of August 25, 2016, shall enter into force with the following alterations:

“Art. 2. ............................................................................................................

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§ 5. For the purposes of this Circular, non-compliant assets are those for which at least one of the events referred to in Article 24 of Resolution No. 4,557, of February 23, 2017, is verified, and in the corresponding applicable regulation for the Type 3 prudential conglomerate.

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§ 7. Financial collateral from clients provided as security in favor of clearinghouses or settlement and payment service providers may be used as a mitigant for the exposures referred to in Article 4, item VII, of BCB Resolution No. 229, of May 12, 2022.” (NR)

“Art. 3-A. The SA-CCR Approach, referred to in Annex I to BCB Resolution No. 229, of 2022, may be used concurrently with the approaches mentioned in Article 3.

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“Art. 4. ............................................................................................................

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V - negotiable instruments issued by entities listed in Article 27 of BCB Resolution No. 229, of 2022;

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VII - negotiable instruments issued by the institutions referred to in Article 29, items I and II, of BCB Resolution No. 229, of 2022, that meet the following requirements:

a) do not contain subordination clauses; and

b) are issued by institutions classified in risk category A referred to in Article 30 of BCB Resolution No. 229, of 2022;

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IX - senior class securitization tranches, without substantial retention of risks, in which the underlying assets can be identified and that have an average weighted Risk Factor (FPR), in accordance with Article 62 of BCB Resolution No. 229, of 2022, less than 100% (one hundred percent); and

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§ 2. Senior class securitization tranches associated with resecuritization, as defined in Article 19, item VIII, of BCB Resolution No. 229, of 2022, are not recognized as financial collateral.

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“Art. 5. ...........................................................................................................

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II - the original FPR assigned to the exposure, according to the provisions of BCB Resolution No. 229, of 2022, to the portion not covered by financial collateral.

§ 1. .................................................................................................................

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II - in other cases, to the FPR defined in BCB Resolution No. 229, of 2022, for an exposure of the same nature as the collateral.

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§ 4. To the portion of the exposure covered by financial collateral referred to in Article 4, item X, the FPR determined in the manner of Article 59 of BCB Resolution No. 229, of 2022, must be applied.” (NR)

“Art. 8. In the Comprehensive Approach, the value of the exposure must be calculated considering the effects of credit risk mitigation through financial collateral, for subsequent application of the FPR defined in BCB Resolution No. 229, of 2022, corresponding to the original characteristics of the exposure.” (NR)

“Art. 9. ............................................................................................................

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II - E = value of the exposure determined in accordance with BCB Resolution No. 229, of 2022, disregarding credit risk mitigation;

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§ 3. .................................................................................................................

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IV - to the average of the standardized He factors weighted by the relative participations of each type of asset held by the fund, for exposure to fund shares listed as financial collateral in Article 4, if it is possible to identify the assets comprising the investment fund portfolio, in accordance with Article 17 of BCB Resolution No. 229, of 2022; or

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§ 4. .................................................................................................................

I - to the average of the standardized Hc and Hfx factors weighted by the relative participations of each type of asset held by the fund, if it is possible to identify the assets comprising the investment fund portfolio, in accordance with Article 17 of BCB Resolution No. 229, of 2022; or

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“Art. 10. ..........................................................................................................

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II - the exposure must be in currency or title that receives an FPR of 0% (zero percent), in accordance with BCB Resolution No. 229, of 2022;

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§ 1. .................................................................................................................

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VI - Qualified Central Counterparty (QCCP), as defined in Article 67, § 1, of BCB Resolution No. 229, of 2022.

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“Art. 15. ..........................................................................................................

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§ 3. The FPR defined in accordance with BCB Resolution No. 229, of 2022, corresponding to the counterparty, must be applied if the compensation provided in § 1 results in an exposure.

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§ 4. .................................................................................................................

I - to the value calculated based on Annex I of BCB Resolution No. 229, of 2022, for institutions that use the SA-CCR Approach; or

II - to the value calculated based on Annex II of BCB Resolution No. 229, of 2022, for institutions that use the CEM Approach.” (NR)

~~Art. 18.

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II - entities mentioned in Article 27 of BCB Resolution No. 229, of 2022;

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IV - large non-financial private legal entities subject to an FPR of 65% (sixty-five percent), in accordance with Article 35 of Resolution No. 229, of 2022.

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§ 3. The suretyship guarantee provided by an entity mentioned in item II of the caput that ensures coverage of at least country risk and transfer risk, as defined in Article 21 of Resolution No. 4,557, of 2017, dispenses with compliance with the requirements referred to in Article 24 of BCB Resolution No. 229, of 2022, for the application of the FPR established by the regulatory authority of the foreign jurisdiction to operations with the central government of that jurisdiction and its respective central bank, as well as bonds and securities issued by them.” (NR)

(Amendment of Article 18 revoked by BCB Resolution No. 324, of June 14, 2023.)

Art. 2. Article 29 of Circular No. 3,809, of 2016, is hereby revoked.

Art. 3. This Resolution enters into force on January 1, 2023.

Art. 3. This Resolution enters into force on July 1, 2023. (Wording given by BCB Resolution No. 275, of December 27, 2022.)

Otávio Ribeiro Damaso
Director of Regulation