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, 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.

The Collegiate Board of the Central Bank of Brazil, in a session held on November 16, 2022, based on the provisions of Articles 9, 10, item IX, and 11, item VII, of Law No. 4,595, of December 31, 1964, Articles 9, item II, and 15 of Law No. 12,865, of October 9, 2013, and Articles 3, paragraph 2, of CMN Resolution No. 4,958, of October 21, 2021, and 11, paragraph 2, of Resolution No. 4,606, of October 19, 2017,

R E S O L V E:

Art. 1 The summary of Circular No. 3,634, of March 4, 2013, shall be effective with the following alteration:

“Establishes the procedures for calculating the component of Risk-Weighted Assets (RWA) related to exposures subject to the variation of fixed interest rates denominated in real whose capital requirement is calculated using the standardized approach (RWAJUR1).” (NR)

Art. 2 The preamble of Circular No. 3,634, of 2013, shall be effective with the following alteration:

“The Collegiate Board of the Central Bank of Brazil, in an extraordinary session held on March 1, 2013, based on the provisions of Articles 9, 10, item IX, and 11, item VII, of Law No. 4,595, of December 31, 1964, Articles 9, item II, and 15 of Law No. 12,865, of October 9, 2013, Article 3, paragraph 2, of CMN Resolution No. 4,958, of October 21, 2021, and Article 3, paragraph 2, of BCB Resolution No. 200, of March 11, 2022, RESOLVES:” (NR)

Art. 3 Circular No. 3,634, of 2013, shall be effective with the following alterations:

“Art. 1 The calculation of the daily value of the Risk-Weighted Assets (RWA) component, related to exposures subject to the variation of fixed interest rates denominated in real whose capital requirement is calculated using the standardized approach (RWAJUR1), referred to in CMN Resolution No. 4,958, of October 21, 2021, and BCB Resolution No. 200, of March 11, 2022, must be carried out based on the following formula:

I - F = factor established in:

a) Article 4 of CMN Resolution No. 4,958, of 2021, for financial institutions and other institutions authorized to operate by the Central Bank of Brazil subject to the calculation of Reference Equity (RE) as provided in CMN Resolution No. 4,955, of October 21, 2021; or

b) Article 4 of BCB Resolution No. 200, of 2022, for Type 3 conglomerates;

.........................................................................................................................

§ 1 The calculation referred to in the main text applies to operations subject to the variation of fixed interest rates related to financial instruments denominated in real and classified in the trading book, as defined in current regulations, including derivative financial instruments.

................................................................................................................” (NR)

Art. 4 The summary of Circular No. 3,635, of March 4, 2013, shall be effective with the following alteration:

“Establishes the procedures for calculating the component of Risk-Weighted Assets (RWA) related to exposures subject to the variation of foreign currency coupon rates whose capital requirement is calculated using the standardized approach (RWAJUR2).” (NR)

Art. 5 The preamble of Circular No. 3,635, of 2013, shall be effective with the following alteration:

“The Collegiate Board of the Central Bank of Brazil, in an extraordinary session held on March 1, 2013, based on the provisions of Articles 9, 10, item IX, and 11, item VII, of Law No. 4,595, of December 31, 1964, Articles 9, item II, and 15 of Law No. 12,865, of October 9, 2013, Article 3, paragraph 2, of CMN Resolution No. 4,958, of October 21, 2021, and Article 3, paragraph 2, of BCB Resolution No. 200, of March 11, 2022, RESOLVES:” (NR)

Art. 6 Circular No. 3,635, of 2013, shall be effective with the following alterations:

“Art. 1 The calculation of the daily value of the Risk-Weighted Assets (RWA) component, related to exposures subject to the variation of foreign currency coupon rates whose capital requirement is calculated using the standardized approach (RWAJUR2), referred to in CMN Resolution No. 4,958, of October 21, 2021, and BCB Resolution No. 200, of March 11, 2022, must be carried out based on the following formula:

in which:

I - F = factor established in:

a) Article 4 of CMN Resolution No. 4,958, of 2021, for financial institutions and other institutions authorized to operate by the Central Bank of Brazil subject to the calculation of Reference Equity (RE) as provided in CMN Resolution No. 4,955, of October 21, 2021; or

b) Article 4 of BCB Resolution No. 200, of 2022, for Type 3 conglomerates;

.........................................................................................................................

Sole paragraph. The calculation referred to in the main text applies to operations classified in the trading book, as defined in current regulations, including derivative financial instruments, and subject to the variation of foreign currency coupon rates, defined as the fixed interest rates of instruments referenced in said foreign currency "k" or denominated in foreign currency "k".” (NR)

Art. 7 The summary of Circular No. 3,636, of March 4, 2013, shall be effective with the following alteration:

“Establishes the procedures for calculating the component of Risk-Weighted Assets (RWA) related to exposures subject to the variation of price index coupon rates whose capital requirement is calculated using the standardized approach (RWAJUR3).” (NR)

Art. 8 The preamble of Circular No. 3,636, of 2013, shall be effective with the following alteration:

“The Collegiate Board of the Central Bank of Brazil, in an extraordinary session held on March 1, 2013, based on the provisions of Articles 9, 10, item IX, and 11, item VII, of Law No. 4,595, of December 31, 1964, Articles 9, item II, and 15 of Law No. 12,865, of October 9, 2013, Article 3, paragraph 2, of CMN Resolution No. 4,958, of October 21, 2021, and Article 3, paragraph 2, of BCB Resolution No. 200, of March 11, 2022, RESOLVES:” (NR)

Art. 9 Circular No. 3,636, of 2013, shall be effective with the following alterations:

“Art. 1 The calculation of the daily value of the Risk-Weighted Assets (RWA) component, related to exposures subject to the variation of price index coupon rates whose capital requirement is calculated using the standardized approach (RWAJUR3), referred to in CMN Resolution No. 4,958, of October 21, 2021, and BCB Resolution No. 200, of March 11, 2022, must be carried out based on the following formula:

in which

I - F = factor established in:

a) Article 4 of CMN Resolution No. 4,958, of 2021, for financial institutions and other institutions authorized to operate by the Central Bank of Brazil subject to the calculation of Reference Equity (RE) as provided in CMN Resolution No. 4,955, of October 21, 2021; or

b) Article 4 of BCB Resolution No. 200, of 2022, for Type 3 conglomerates;

.........................................................................................................................

Sole paragraph. The calculation referred to in the main text applies to operations classified in the trading book, as defined in current regulations, including derivative financial instruments, and subject to the variation of price index coupon rates, defined as fixed interest rates of instruments referenced in said price index coupon "p".” (NR)

Art. 10. The summary of Circular No. 3,637, of March 4, 2013, shall be effective with the following alteration:

“Establishes the procedures for calculating the component of Risk-Weighted Assets (RWA) related to exposures subject to the variation of interest rate coupon rates whose capital requirement is calculated using the standardized approach (RWAJUR4).” (NR)

Art. 11. The preamble of Circular No. 3,637, of 2013, shall be effective with the following alteration:

“The Collegiate Board of the Central Bank of Brazil, in an extraordinary session held on March 1, 2013, based on the provisions of Articles 9, 10, item IX, and 11, item VII, of Law No. 4,595, of December 31, 1964, Articles 9, item II, and 15 of Law No. 12,865, of October 9, 2013, Article 3, paragraph 2, of CMN Resolution No. 4,958, of October 21, 2021, and Article 3, paragraph 2, of BCB Resolution No. 200, of March 11, 2022, RESOLVES:” (NR)

Art. 12. Circular No. 3,637, of 2013, shall be effective with the following alterations:

“Art. 1 The calculation of the daily value of the Risk-Weighted Assets (RWA) component, related to exposures subject to the variation of interest rate coupon rates whose capital requirement is calculated using the standardized approach (RWAJUR4), referred to in CMN Resolution No. 4,958, of October 21, 2021, and BCB Resolution No. 200, of March 11, 2022, must be carried out based on the following formula:

, in which:

I - F = factor established in:

a) Article 4 of CMN Resolution No. 4,958, of 2021, for financial institutions and other institutions authorized to operate by the Central Bank of Brazil subject to the calculation of Reference Equity (RE) as provided in CMN Resolution No. 4,955, of October 21, 2021; or

b) Article 4 of BCB Resolution No. 200, of 2022, for Type 3 conglomerates;

.........................................................................................................................

Sole paragraph. The calculation referred to in the main text applies to operations classified in the trading book, as defined in current regulations, including derivative financial instruments, and subject to the variation of interest rate coupon rates, defined as the fixed interest rates of instruments referenced in said coupon.” (NR)

Art. 13. The summary of Circular No. 3,638, of March 4, 2013, shall be effective with the following alteration:

“Establishes the procedures for calculating the component of Risk-Weighted Assets (RWA) related to exposures subject to the variation of stock prices whose capital requirement is calculated using the standardized approach (RWAACS).” (NR)

Art. 14. The preamble of Circular No. 3,638, of 2013, shall be effective with the following alteration:

“The Collegiate Board of the Central Bank of Brazil, in an extraordinary session held on March 1, 2013, based on the provisions of Articles 9, 10, item IX, and 11, item VII, of Law No. 4,595, of December 31, 1964, Articles 9, item II, and 15 of Law No. 12,865, of October 9, 2013, Article 3, paragraph 2, of CMN Resolution No. 4,958, of October 21, 2021, and Article 3, paragraph 2, of BCB Resolution No. 200, of March 11, 2022, RESOLVES:” (NR)

Art. 15. Circular No. 3,638, of 2013, shall be effective with the following alterations:

“Art. 1 The daily calculation of the Risk-Weighted Assets (RWA) component, related to exposures subject to the variation of stock prices whose capital requirement is calculated using the standardized approach (RWAACS), referred to in CMN Resolution No. 4,958, of October 21, 2021, and BCB Resolution No. 200, of March 11, 2022, must correspond to the algebraic sum of the RWAACS fractions for each country where the institution has such exposure.

Sole paragraph. The calculation referred to in the main text applies to instruments classified in the trading book, as defined in current regulations, and must be carried out based on the following formula:

I - F = factor established in:

a) Article 4 of CMN Resolution No. 4,958, of 2021, for financial institutions and other institutions authorized to operate by the Central Bank of Brazil subject to the calculation of Reference Equity (RE) as provided in CMN Resolution No. 4,955, of October 21, 2021; or

b) Article 4 of BCB Resolution No. 200, of 2022, for Type 3 conglomerates;

................................................................................................................” (NR)

Art. 16. The summary of Circular No. 3,639, of March 4, 2013, shall be effective with the following alteration:

“Establishes the procedures for calculating the component of Risk-Weighted Assets (RWA), related to exposures subject to the variation of commodity prices (commodities) whose capital requirement is calculated using the standardized approach (RWACOM).” (NR)

Art. 17. The preamble of Circular No. 3,639, of 2013, shall be effective with the following alteration:

“The Collegiate Board of the Central Bank of Brazil, in an extraordinary session held on March 1, 2013, based on the provisions of Articles 9, 10, item IX, and 11, item VII, of Law No. 4,595, of December 31, 1964, Articles 9, item II, and 15 of Law No. 12,865, of October 9, 2013, Article 3, paragraph 2, of CMN Resolution No. 4,958, of October 21, 2021, and Article 3, paragraph 2, of BCB Resolution No. 200, of March 11, 2022, RESOLVES:” (NR)

Art. 18. Circular No. 3,639, of 2013, shall be effective with the following alterations:

“Art. 1 The daily calculation of the Risk-Weighted Assets (RWA) component, related to exposures subject to the variation of commodity prices (commodities) whose capital requirement is calculated using the standardized approach (RWACOM), referred to in CMN Resolution No. 4,958, of October 21, 2021, and BCB Resolution No. 200, of March 11, 2022, must be carried out based on the following formula:

I - F = factor established in:

a) Article 4 of CMN Resolution No. 4,958, of 2021, for financial institutions and other institutions authorized to operate by the Central Bank of Brazil subject to the calculation of Reference Equity (RE) as provided in CMN Resolution No. 4,955, of October 21, 2021; or

b) Article 4 of BCB Resolution No. 200, of 2022, for Type 3 conglomerates;

.........................................................................................................................

§ 3 The calculation provided for in this Resolution applies to instruments classified in the banking book and to instruments classified in the trading book, as defined in current regulations.” (NR)

Art. 19. The summary of Circular No. 3,640, of March 4, 2013, shall be effective with the following alteration:

“Establishes the procedures for calculating the component of Risk-Weighted Assets (RWA), related to the calculation of the capital required for operational risk through the standardized approach (RWAOPAD).” (NR)

Art. 19. (Revoked, from 1/1/2025, by
BCB Resolution No. 356, of 11/28/2023.)

Art. 20. The preamble of Circular No. 3,640, of 2013, shall be effective with the following alteration:

“The Collegiate Board of the Central Bank of Brazil, in an extraordinary session held on March 1, 2013 , based on the provisions of Articles 9, 10, item IX, and 11, item VII, of the Law No. 4,595, of December 31, 1964, Articles 9, item II, and 15 of Law No. 12,865, of October 9, 2013, Article 3, paragraph 2, of CMN Resolution No. 4,958 , of October 21, 2021, and Article 3, paragraph 2, of BCB Resolution No. 200, of March 11 , 2022, RESOLVES:” (NR).

Art. 20. (Revoked, from 1/1/2025, by BCB Resolution No. 356, of 11/28/2023.)

Art. 21. The
Circular No. 3,640, of 2013, shall be effective with the following alterations:

~~“Art. 1 The calculation of the component of Risk-Weighted Assets (RWA), related to the calculation of the capital required for operational risk through the standardized approach (RWAOPAD) referred to in the CMN Resolution No. 4,958, of October 21, 2021, and BCB Resolution No. 200, of March 11, 2022, must be carried out based on one of the following methodologies:

~~

................................................................................................................”
(NR)

~~“Art. 3
............................................................................................................

~~

~~.........................................................................................................................

~~

~~§ 1 Losses or gains resulting from the sale of securities and financial instruments classified in the banking book, as defined in current regulations, must be excluded from the composition of IE.

~~

~~.........................................................................................................................

~~

~~§ 4 For a conglomerate classified as Type 3 included in Segment 2 (S2), Segment 3 (S3) or Segment 4 (S4), in terms of BCB Resolution No. 197, of March 11, 2022, the revenues related to the following payment services must be excluded from the composition of IE:

~~

~~I - the issuance of electronic money (MOE), as provided in Article 3, item I, of BCB Resolution No.
80, of March 25, 2021;

~~

~~II - the accreditation of a payment instrument (ADQ), as provided in Article 3, item III, of BCB Resolution No. 80, of 2021, and sub-accreditation, as provided in BCB Resolution No. 150, of October 6, 2021; and

~~

~~III - the initiation of a payment transaction (PISP), as provided in Article 3, item IV, of BCB Resolution No. 80, of 2021.

~~

~~§ 5 Revenues related to the issuance of payment instrument service post-paid (CPOS), as defined in Article 3, item II, of BCB Resolution No. 80, of 2021 must be considered in the calculation of IE.

~~

~~§ 6 For institutions using the Alternative Standardized Approach or the Simplified Alternative Standardized Approach, revenues related to the issuance of payment instrument service post-paid (CPOS), as provided in Article 3, item II, of BCB Resolution No. 80, of 2021, must be classified in the business line “payments and settlements”, as provided in § 5 of Article 4 of this Circular.

~~

§ 7 The issuance of payment instrument service post-paid mentioned in § 5 does not include the financing of unpaid invoices, of delays in contracted installments, of withdrawals not honored at their term, of the granting of revolving credit, and other similar ones.” (NR)

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

~~

~~.........................................................................................................................

~~

~~II - operations with securities and financial instruments classified in the banking book, as defined in current regulations.

~~

................................................................................................................”
(NR)

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

~~

~~I - F = factor established in:

~~

~~a) Article 4 of CMN Resolution
No. 4,958, of 2021, for financial institutions and other institutions authorized to operate by the Central Bank of Brazil subject to the calculation of Reference Equity (RE) as provided in CMN Resolution No. 4,955, of October 21, 2021; or

~~

~~b) Article 4 of BCB Resolution
No. 200, of March 11, 2022, for the Type 3 conglomerate;

~~

................................................................................................................”
(NR)

~~“Art. 6
............................................................................................................

~~

~~I - F = factor established in:

~~

~~a) Article 4 of CMN Resolution
No. 4,958, of 2021, for financial institutions and other institutions authorized to operate by the Central Bank of Brazil subject to the calculation of Reference Equity (RE) as provided in CMN Resolution No. 4,955, of 2021; or

~~

~~b) Article 4 of BCB Resolution
No. 200, of 2022, for Type 3 conglomerate;

~~

~~.........................................................................................................................

~~

~~§ 2 All of the institution's operations must be distributed in the business lines mentioned in Article 4, according to criteria that are consistent and verifiable, observing the provisions of § 4 and § 5 of Article 3.

~~

................................................................................................................”
(NR)

~~“Art. 7
............................................................................................................

~~

~~I - F = factor established in:

~~

~~a) Article 4 of CMN Resolution
No. 4,958, of 2021, for financial institutions and other institutions authorized to operate by the Central Bank of Brazil subject to the calculation of Reference Equity (RE) as provided in CMN Resolution No. 4,955, of 2021; or

~~

~~b) Article 4 of BCB Resolution
No. 200, of 2022, for Type 3 conglomerate;

~~

~~.........................................................................................................................

~~

~~§ 1 All of the institution's operations must be distributed between IAE and IE, according to criteria that are consistent and verifiable, observing the provisions of § 4 and § 5 of Article 3.

~~

................................................................................................................”
(NR)

~~“Art. 7-A
........................................................................................................

~~

~~I - prior authorization of the Central Bank of Brazil;

~~

~~II - for institutions subject to Resolution No. 4,557, of February 23, 2017, compliance with the provisions of Articles 6, 7 and 33 to 36 of said Resolution;

~~

~~III - for Type 3 conglomerates, compliance with the provisions of Articles 4, 5 and 35 to 38 of BCB Resolution No. 265, of November 25, 2022.

~~

................................................................................................................”
(NR)

“Art. 8 During the period of start of activity in which the institution does not have sufficient data to perform the calculation of the RWAOPAD component as provided in this Circular, the value of the said component must correspond to 10% of the sum of the RWACPAD and RWAMPAD components.” (NR)

Art. 21. (Revoked, from 1/1/2025, by BCB Resolution No. 356, of 11/28/2023.)

Art. 22. The summary of Circular No. 3,641, of March 4, 2013, shall be effective with the following alteration:

---

"Establishes the procedures for calculating the risk-weighted asset (RWA) component related to exposures in gold, foreign currency, and assets subject to exchange rate variation, for which the capital requirement is calculated using the standardized approach (RWACAM)." (NR)

Art. 23. The preamble of Circular No. 3,641, of 2013, shall be amended as follows:

"The Collegiate Board of the Central Bank of Brazil, in an extraordinary session held on March 1, 2013, based on the provisions of Articles 9, 10, item IX, and 11, item VII, of Law No. 4,595, of December 31, 1964, Articles 9, item II, and 15 of Law No. 12,865, of October 9, 2013, Article 3, paragraph 2, of CMN Resolution No. 4,958, of October 21, 2021, Article 3, paragraph 2, of BCB Resolution No. 200, of March 11, 2022, and considering the content of CMN Resolution No. 4,956, of October 21, 2021, RESOLVES:" (NR)

Art. 24. Circular No. 3,641, of 2013, shall be amended as follows:

"Art. 1. The daily calculation of the risk-weighted asset (RWA) component, related to exposures in gold, foreign currency, and assets subject to exchange rate variation, for which the capital requirement is calculated using the standardized approach (RWACAM), as addressed by CMN Resolution No. 4,958, of October 21, 2021, and BCB Resolution No. 200, of March 11, 2022, must be performed based on the following formula:

I - F = factor established in:

a) Article 4 of CMN Resolution No. 4,958, of 2021, for financial institutions and other institutions authorized to operate by the Central Bank of Brazil subject to the calculation of Reference Equity (PR) as provided in CMN Resolution No. 4,955, of October 21, 2021; or

b) Article 4 of BCB Resolution No. 200, of 2022, for Type 3 conglomerates;

.........................................................................................................................

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

I - F" defined from the ratio between exposures in gold, foreign currency, and assets and liabilities subject to exchange rate variation (EXP) and Reference Equity (PR), defined in accordance with BCB Resolution No. 199, of March 11, 2022, or CMN Resolution No. 4,955, of 2021, considering the following formula:

.........................................................................................................................

§ 7. The calculation referred to in this Circular applies to instruments classified in the banking book and to instruments classified in the trading book, as defined in the current regulation." (NR)

"Art. 2. For the calculation of the daily RWACAM component value, as well as the exchange rate exposure limit, established in specific regulation, it is defined as:

................................................................................................................"(NR)

Art. 25. The preamble of Circular No. 3,645, of March 4, 2013, shall be amended as follows:

"The Collegiate Board of the Central Bank of Brazil, in an extraordinary session held on March 1, 2013, based on the provisions of Articles 9, 10, item IX, and 11, item VII, of Law No. 4,595, of December 31, 1964, Articles 9, item II, and 15 of Law No. 12,865, of October 9, 2013, Article 3, paragraph 2, of CMN Resolution No. 4,958, of October 21, 2021, and Article 3, paragraph 2, of BCB Resolution No. 200, of March 11, 2022, RESOLVES:" (NR)

Art. 26. The summary of Circular No. 3,769, of October 29, 2015, shall be amended as follows:

"Establishes the methodology for calculating the Additional Counter-Cyclical Core Capital (ACPC) component." (NR)

Art. 27. The preamble of Circular No. 3,769, of 2015, shall be amended as follows:

"The Collegiate Board of the Central Bank of Brazil, in an extraordinary session held on October 29, 2015, based on the provisions of Articles 9, 10, item IX, and 11, item VII, of Law No. 4,595, of December 31, 1964, and Article 15 of Law No. 12,865, of October 9, 2013, and Article 8, paragraph 5, of CMN Resolution No. 4,958, of October 21, 2021, and Article 7 of BCB Resolution No. 200, of March 11, 2022, RESOLVES:" (NR)

Art. 28. Circular No. 3,769, of 2015, shall be amended as follows:

"Art. 1. This Circular establishes the methodology for calculating the Additional Counter-Cyclical Core Capital (ACPC) component, as addressed by Article 8, item II, of CMN Resolution No. 4,958, of October 21, 2021, and Article 7, item II, of BCB Resolution No. 200, of March 11, 2022." (NR)

"Art. 2. ............................................................................................................

I - RWA = amount of risk-weighted assets, as defined in the current regulation;

.........................................................................................................................

§ 1. The value of each RWACPrNBi component results from the sum of the RWACPAD and RWACIRB components, calculated in accordance with the current regulation, related to exposures assumed in each jurisdiction “i”, disregarding exposures to the public sector and the banking sector.

§ 2. .................................................................................................................

I - ......................................................................................................................

c) Multilateral Development Entities (MDE) mentioned in Article 27 of BCB Resolution No. 229, of May 12, 2022; and

.........................................................................................................................

§ 5. The value of each ACCP is limited to the maximum percentages defined in the current regulation.

.........................................................................................................................

§ 10. The calculation of the ACPC component may alternatively be performed by applying the maximum percentages defined in the current regulation." (NR)

Art. 29. The summary of Circular No. 3,809, of August 25, 2016, shall be amended as follows:

"Establishes the procedures for recognizing mitigating instruments in the calculation of the risk-weighted asset (RWA) component related to credit risk exposures subject to the capital requirement calculation using the standardized approach (RWACPAD) as addressed by CMN Resolution No. 4,958, of October 21, 2021, and BCB Resolution No. 200, of March 11, 2022." (NR)

Art. 30. The preamble of Circular No. 3,809, of 2016, shall be amended as follows:

"The Collegiate Board of the Central Bank of Brazil, in a session held on August 10, 2016, based on the provisions of Articles 9, 10, item IX, and 11, item VII, of Law No. 4,595, of December 31, 1964, Articles 9, item II, and 15 of Law No. 12,865, of October 9, 2013, Article 3, paragraph 2, of CMN Resolution No. 4,958, of October 21, 2021, and Article 3, paragraph 2, of BCB Resolution No. 200, of March 11, 2022, RESOLVES:" (NR)

Art. 31. Circular No. 3,809, of 2016, shall be amended as follows:

"Art. 1. This Circular establishes the procedures for recognizing mitigating instruments in the calculation of the risk-weighted asset (RWA) component related to credit risk exposures subject to the capital requirement calculation using the standardized approach (RWACPAD), as addressed by CMN Resolution No. 4,958, of October 21, 2021, and BCB Resolution No. 200, of March 11, 2022." (NR)

Art. 32. The summary of Circular No. 3,861, of December 7, 2017, shall be amended as follows:

"Establishes the procedures for calculating the risk-weighted asset component in simplified form related to exposures in gold, foreign currency, and assets subject to exchange rate variation using the simplified standardized approach (RWACAMSimp)." (NR)

Art. 33. The preamble of Circular No. 3,861, of 2017, shall be amended as follows:

"The Collegiate Board of the Central Bank of Brazil, in a session held on December 7, 2017, based on the provisions of Articles 9, 10, item IX, and 11, item VII, of Law No. 4,595, of December 31, 1964, Articles 9, item II, and 15 of Law No. 12,865, of October 9, 2013, Article 11 of Resolution No. 4,606, of October 19, 2017, Article 6 of BCB Resolution No. 198, and Article 9 of BCB Resolution No. 201, both of March 11, 2022, RESOLVES:" (NR)

Art. 34. Circular No. 3,861, of 2017, shall be amended as follows:

"Art. 1. This Circular establishes the procedures for calculating the risk-weighted asset component in simplified form related to exposures in gold, foreign currency, and assets subject to exchange rate variation using the simplified standardized approach (RWACAMSimp), as addressed by Resolution No. 4,606, of October 19, 2017, and BCB Resolutions Nos. 198 and 201, both of March 11, 2022." (NR)

"Art. 2. ............................................................................................................

I - F’ =

a) minimum PRS5 requirement, as established in Article 12 of Resolution No. 4,606, of 2017, for financial institutions and other institutions authorized to operate by the Central Bank of Brazil opting for the simplified methodology;

b) 17%, for Type 3 conglomerates opting for the simplified methodology; and

c) 12%, for Type 2 conglomerates and for payment institutions not part of a prudential conglomerate;

.........................................................................................................................

§ 4. In the case of item I, letter “c”, of the caput, to obtain the value of the RWACAMSimp component, the result of the formula referred to in the caput must be multiplied by the value corresponding to F’/0.12, where F’ is the factor defined in Article 6, paragraph 1, of BCB Resolution No. 198, of 2022, observing the provisions of Article 9 of the same Resolution." (NR)

Art. 35. The summary of Circular No. 3,862, of December 7, 2017, shall be amended as follows:

"Establishes the procedures for calculating the risk-weighted asset component in simplified form related to credit risk exposures subject to the capital requirement calculation using the simplified standardized approach (RWARCSimp)." (NR)

Art. 36. The preamble of Circular No. 3,862, of 2017, shall be amended as follows:

"The Collegiate Board of the Central Bank of Brazil, in a session held on December 7, 2017, based on the provisions of Articles 9, 10, item IX, and 11, item VII, of Law No. 4,595, of December 31, 1964, Articles 9, item II, and 15 of Law No. 12,865, of October 9, 2013, and considering the provisions of Article 11 of Resolution No. 4,606, of October 19, 2017, Article 6 of BCB Resolution No. 198, and Article 9 of BCB Resolution No. 201, both of March 11, 2022, RESOLVES:" (NR)

Art. 37. Circular No. 3,862, of 2017, shall be amended as follows:

"Art. 1. This Circular establishes the procedures for calculating the risk-weighted asset component related to credit risk exposures subject to the capital requirement calculation using the simplified standardized approach (RWARCSimp), as addressed by Resolution No. 4,606, of October 19, 2017, and BCB Resolutions Nos. 198 and 201, both of March 11, 2022." (NR)

"Art. 2. The RWARCSimp component must correspond to the sum of the products of the exposure values by their respective Risk Weighting Factors (RWF)." (NR)

"Art. 3. ............................................................................................................

.........................................................................................................................

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

I - deducted assets:

a) from Simplified Reference Equity (PRS5), as addressed by Resolution No. 4,606, of 2017, and BCB Resolution No. 201, of 2022; and

b) from Payment Institution Reference Equity (PRIP), as addressed by BCB Resolution No. 198, of 2022;

.........................................................................................................................

V - quotas of Investment Funds in Credit Rights (FIDC) associated with operations of sale or transfer of underlying assets that remain, in their entirety, registered in the institution's assets;

VI. the component of credit operations carried out within the framework of the Emergency Credit Access Program in the receivables guarantee modality (Peac-Maquininhas), established by Law No. 14,042, of August 19, 2020, to be reimbursed to the Union;

VII. for payment institutions not part of a conglomerate and for Type 2 and Type 3 conglomerates, in accordance with BCB Resolution No. 197, of March 11, 2022:

a) amounts receivable from issuers of payment instruments related to their acting as acquirers, as defined in Article 3, item III, of BCB Resolution No. 80, of March 25, 2021, covered by the “ADQ” component of the risk-weighted asset formula for calculating capital required for risks associated with payment services (RWASP), in accordance with current regulation;

b) amounts receivable from acquirers of payment instruments related to their acting as sub-acquirers, as defined in BCB Resolution No. 150, of October 6, 2021, covered by the “ADQ” component of the risk-weighted asset formula for calculating capital required for risks associated with payment services (RWASP), in accordance with current regulation; and

c) net resources corresponding to balances of electronic currencies held in payment accounts, as addressed in Article 22 of BCB Resolution No. 80, of 2021; and

VIII. for payment institutions not part of a conglomerate and for Type 2 conglomerates, amounts receivable from final paying users in which the institution acts as the issuer of post-paid cards." (NR)

"Art. 9-A. ........................................................................................................

.........................................................................................................................

I - 833% (eight hundred and thirty-three percent), when such exposures are held by:

a) single credit cooperatives affiliated with a central cooperative; and

b) payment institutions not part of a conglomerate or by Type 2 conglomerates; and

.........................................................................................................................

§ 1. For the institutions referred to in letter “b” of item I of the caput, during the following periods, the respective RWF must correspond to:

I - 1,250% (one thousand two hundred and fifty percent), from July 1, 2023, to December 31, 2023; and

II - 1,000% (one thousand percent), from January 1, 2024, to December 31, 2024.

§ 2. For Type 3 conglomerates, during the following periods, the RWF referred to in item II of the caput must correspond to:

I - 1,000% (one thousand percent), from July 1, 2023, to December 31, 2023; and

II - 769% (seven hundred and sixty-nine percent), from January 1, 2024, to December 31, 2024." (NR)

Art. 38. The summary of Circular No. 3,863, of December 7, 2017, shall be amended as follows:

"Establishes the procedures for calculating the risk-weighted asset component in simplified form related to the capital requirement calculation for operational risk using the simplified standardized approach (RWAROSimp)." (NR)

Art. 39. The preamble of Circular No. 3,863, of 2017, shall be amended as follows:

"The Collegiate Board of the Central Bank of Brazil, in a session held on December 7, 2017, based on the provisions of Articles 9, 10, item IX, and 11, item VII, of Law No. 4,595, of December 31, 1964, Articles 9, item II, and 15 of Law No. 12,865, of October 9, 2013, and considering the provisions of Article 11 of Resolution No. 4,606, of October 19, 2017, and Article 9 of BCB Resolution No. 201, of March 11, 2022, RESOLVES:" (NR)

Art. 40. Circular No. 3,863, of 2017, shall be amended as follows:

"Art. 1. This Circular establishes the procedures for calculating the risk-weighted asset component in simplified form related to the capital requirement calculation for coverage of operational risk using the simplified standardized approach (RWAROSimp), as addressed by CMN Resolution No. 4,606, of October 19, 2017, and BCB Resolution No. 201, of March 11, 2022." (NR)

"Art. 3. ............................................................................................................

I - F’ =

a) minimum PRS5 requirement as established in Article 12 of Resolution No. 4,606, of 2017, for financial institutions and other institutions authorized to operate by the Central Bank of Brazil that opted for the simplified methodology; or

b) 17% for Type 3 conglomerates opting for the simplified methodology;

II - α = 5% (five percent) for:

a) institutions belonging to Group I or Group II as addressed in items I and II of Article 2 of Resolution No. 4,606, of 2017; or

b) Type 3 conglomerates belonging to Group II as addressed in item I of Article 2 of BCB Resolution No. 201, of 2022;

III - α = 15% (fifteen percent) for:

a) institutions belonging to Group III as addressed in item III of Article 2 of Resolution No. 4,606, of 2017; or

b) Type 3 conglomerates belonging to Group III as addressed in item II of Article 2 of BCB Resolution No. 201, of 2022; and

................................................................................................................” (NR)

"Art. 4. ............................................................................................................

.........................................................................................................................

§ 3. Type 3 conglomerates must exclude from the BISimp calculation revenues related to the following payment services:

I - issuance of electronic currency (MOE), as provided in Article 3, item I, of BCB Resolution No. 80, of March 25, 2021;

II - payment instrument acquiral (ADQ), as provided in Article 3, item III, of BCB Resolution No. 80, of 2021, and sub-acquiral, as provided in BCB Resolution No. 150, of 2021; and

III - payment transaction initiation (PISP), as provided in Article 3, item IV, of BCB Resolution No. 80, of 2021.

§ 4. In the calculation of BISimp, revenues related to the post-paid payment instrument issuance service (CPOS) must be considered, as provided in Article 3, item II, of BCB Resolution No. 80, of 2021." (NR)

Art. 41. The preamble of Circular No. 3,876, of January 31, 2018, shall be amended as follows:

"The Collegiate Board of the Central Bank of Brazil, in a session held on January 31, 2018, based on the provisions of Articles 9, 10, item IX, and 11, item VII, of Law No. 4,595, of December 31, 1964, Articles 9, item II, and 15 of Law No. 12,865, of October 9, 2013, and considering the provisions of CMN Resolution No. 4,958, of October 21, 2021, BCB Resolution No. 200, of March 11, 2022, Resolutions Nos. 4,553, of January 30, 2017, and 4,557, of February 23, 2017, and BCB Resolutions Nos. 197, of March 11, 2022, and 265, of November 25, 2022, RESOLVES:" (NR)

Art. 42. Circular No. 3,876, of 2018, shall be amended as follows:

"Art. 1. ............................................................................................................

I. assessment of the sufficiency of the Reference Equity (PR) value maintained to cover interest rate risk in instruments classified in the banking book (IRRBB), as addressed by Article 12 of CMN Resolution No. 4,958, of October 21, 2021, and Article 14 of BCB Resolution No. 200, of March 11, 2022;

II. identification, measurement, and control of IRRBB, as addressed by Article 30, paragraph 2, of Resolution No. 4,557, of February 23, 2017, and Article 32 of BCB Resolution No. 265, of November 25, 2022;

................................................................................................................” (NR)

"Art. 2. The provisions of this Circular apply to institutions classified in Segment 1 (S1), Segment 2 (S2), Segment 3 (S3), or Segment 4 (S4), in accordance with Article 2 of Resolution No. 4,553, of January 30, 2017, and Article 5 of BCB Resolution No. 197, of March 11, 2022." (NR)

"Art. 4. ............................................................................................................

I. ensure that the amount of PR referred to in Article 12 of CMN Resolution No. 4,958, of 2021, and Article 14 of BCB Resolution No. 200, of 2022, is:

a) compatible with the dimension of IRRBB exposures and the Risk Appetite Statement (RAS), as addressed by Article 5 of Resolution No. 4,557, of 2017, and Article 3 of BCB Resolution No. 265, of 2022;

b. calculated complementarily to the institution's capital needs represented by the minimum capital requirements referred to in Article 4 of CMN Resolution No. 4,958, of 2021, and Article 4 of BCB Resolution No. 200, of 2022, and by the capital add-on, as addressed by Article 8 of CMN Resolution No. 4,958, of 2021, and Article 7 of BCB Resolution No. 200, of 2022;

................................................................................................................” (NR)

"Art. 26. ..........................................................................................................

I. equity elements deducted in the calculation of Core Capital, as defined in Article 5 of CMN Resolution No. 4,955, of October 21, 2021, and Article 4 of BCB Resolution No. 199, of March 11, 2022;

................................................................................................................” (NR)

"Art. 30. The procedures for managing IRRBB as addressed by Resolution No. 4,557, of 2017, and BCB Resolution No. 265, of 2022, must:

............................................................................................................... ” (NR)

"Art. 34. The stress testing program as addressed by Article 12 of Resolution No. 4,557, of 2017, and Article 10 of BCB Resolution No. 265, of 2022, must provide for the performance of specific tests for IRRBB that allow:

................................................................................................................” (NR)

"Art. 36. The IRRBB management process for the institution that opts for the faculty of Article 7 must be based on multiple methodologies to measure IRRBB exposure in the two approaches as addressed by Article 30, paragraph 1, of Resolution No. 4,557, of 2017, and Article 32, paragraph 1, of BCB Resolution No. 265, of 2022." (NR)

“Art. 37. ..........................................................................................................

.........................................................................................................................

§ 1º The processes referred to in the caput must be documented in the risk management policies referred to in Art. 7, item I, of Resolution No. 4.557 of 2017, and Art. 5, item I, of BCB Resolution No. 265 of 2022.

................................................................................................................” (NR)

“Art. 38. The capital adequacy assessment referred to in Art. 40, item VI, of Resolution No. 4.557 of 2017, and Art. 48, item VI, of BCB Resolution No. 265 of 2022, must consider, specifically for IRRBB:

................................................................................................................” (NR)

“Art. 48-C. For Type 3 conglomerates classified in Segment 2 (S2), Segment 3 (S3), or Segment 4 (S4), compliance with the provisions of Arts. 30 to 38 is permitted from January 1, 2024.” (NR)

“Art. 49. The Chief Risk Officer (CRO) indicated in accordance with Art. 44 of Resolution No. 4.557 of 2017 and Art. 52 of BCB Resolution No. 265 of 2022 is responsible for compliance with the provisions of this Circular.” (NR)

Art. 43. BCB Resolution No. 229 of May 12, 2022, shall enter into force with the following alterations:

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

.........................................................................................................................

§ 1º .................................................................................................................

.........................................................................................................................

XIII - foreign currency and gold sale operations to be settled with immediate settlement or securities and financial instruments in the spot market that remain registered in assets;

XIV - foreign currency and gold purchase or sale operations to be settled with immediate settlement or securities and financial instruments in the spot market carried out on behalf of clients, that remain registered in assets; and

XV - for a conglomerate classified as Type 3 and classified in Segment 2 (S2), Segment 3 (S3), or Segment 4 (S4), in accordance with BCB Resolution No. 197 of March 11, 2022:

a) amounts receivable from issuers of payment instruments related to the institution’s role as an acquirer, as defined in Art. 3, item III, of BCB Resolution No. 80 of March 25, 2021, covered by the “ADQ” component of the risk-weighted assets formula for calculating capital required for risks associated with payment services (RWASP), defined in BCB Resolution No. 200 of 2022;

b) amounts receivable from acquirers of payment instruments related to the institution’s role as a sub-acquirer, as defined in BCB Resolution No. 150 of October 6, 2021, covered by the “ADQ” component of the risk-weighted assets formula for calculating capital required for risks associated with payment services (RWASP), defined in BCB Resolution No. 200 of 2022; and

c) net resources corresponding to electronic money balances held in payment accounts, as referred to in Art. 22 of BCB Resolution No. 80 of 2021.

................................................................................................................” (NR)

Art. 44. The following are revoked:

I - the following provisions of Circular No. 3.640 of 2013:

a) the sole paragraph of Art. 1º;

b) items “a” to “j” of item II of Art. 7º-A; and

c)~~~~Art. 12-A; and

I - (Revoked, effective from 1/1/2025, by BCB Resolution No. 356 of November 28, 2023.)

II - § 1º of Art. 1º of Circular No. 3.641 of 2013.

Art. 45. This Resolution enters into force on July 1, 2023.

Otávio Ribeiro Damaso
Director of Regulation