BCB Resolution No. 266 — Amends Circulars and Resolution BCB Establishing Procedures for Calculating Risk-Weighted Asset (RWA) Components, Countercyclical Capital Buffer (ACPC), and Capital for Interest Rate Risk in the Banking Book (IRRBB) for Type 3 Conglomerates

BCB Resolution No. 266 amends Articles 1 through 18 of Circulars Nos. 3,634 through 3,639 (dated March 4, 2013) to update the calculation procedures for specific Risk-Weighted Asset (RWA) components, including those for fixed-rate interest rate variations, foreign currency coupon rates, price index coupon rates, interest rate coupon variations, stock price variations, and commodity price variations. The resolution explicitly incorporates the factor established in Article 4 of BCB Resolution No. 200 (2022) for Type 3 conglomerates, thereby aligning their capital requirements with the updated regulatory framework. Additionally, Articles 19 through 21 of Circular No. 3,640 are revoked effective January 1, 2025, by BCB Resolution No. 356, removing the standardised approach for operational risk calculations from these circulars.

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BCB RESOLUTION NO. 266, OF NOVEMBER 25, 2022

Amends circulars and BCB Resolution establishing procedures for calculating the components of the Risk-Weighted Assets (RWA) amount, the Countercyclical Additional Primary Capital (ACPC) and the capital to cover the risk of variation in interest rates on instruments classified in the banking book (IRRBB) for application to the Type 3 conglomerate and amends the circulars establishing the RWA components in the simplified approaches for application to conglomerates of Types 2 and 3.

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Show all related documents (19)

Supersedes: Resolution No. 356 dated 2023-11-28not in RegAlert
Amends: Resolution BCB No. 229 — Procedures for Calculating the Risk-Weighted Asset Component for Credit Risk Exposures under the Standardized Approach2022 Circular No. 3862 — Establishes procedures for calculating the simplified risk-weighted assets portion (RWAS5) for credit risk exposures under the simplified standardized approach (RWARCSimp)2017Circular No. 3634 dated 2013-03-04not in RegAlertCircular No. 3635 dated 2013-03-04not in RegAlertCircular No. 3636 dated 2013-03-04not in RegAlertCircular No. 3637 dated 2013-03-04not in RegAlert
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Circular No. 3638 dated 2013-03-04not in RegAlertCircular No. 3639 dated 2013-03-04not in RegAlertCircular No. 3640 dated 2013-03-04not in RegAlertCircular No. 3641 dated 2013-03-04not in RegAlertCircular No. 3645 dated 2013-03-04not in RegAlertCircular No. 3769 dated 2015-10-29not in RegAlertCircular No. 3809 dated 2016-08-25not in RegAlertCircular No. 3861 dated 2017-12-07not in RegAlertCircular No. 3863 dated 2017-12-07not in RegAlertCircular No. 3876 dated 2018-01-31not in RegAlert
Basis for: Normative Instruction BCB No. 396 — Amends the Filling Instructions and Layout of Document Code 2061 - Operational Limits Statement (DLO)2023
Referred to by: Central Bank of Brazil Instruction Normative No. 395 of June 23, 20232023

Timeline

This document amends: Resolution BCB No. 229 — Procedures for Calculating the Risk-Weighted Asset Component for Credit Risk Exposures under the Standardized Approach, Circular No. 3862 — Establishes procedures for calculating the simplified risk-weighted assets portion (RWAS5) for credit risk exposures under the simplified standardized approach (RWARCSimp)

Source: Banco Central do Brasil — original document · Summary generated with machine assistance and reviewed before publication; the authoritative text is the regulator's original document. How RegAlert works