Voto

RESOLUTION BCB NO. 319,

OF MAY 18, 2023

Establishes maximum exposure limits per client and maximum limit for concentrated exposures, and amends BCB Resolutions Nos. 201, of March 11, 2022, and 265, of November 25, 2022.

The Collegiate Board of the Central Bank of Brazil, in a session held on May 18, 2023, based on arts. 9, items II and IX, letter “b”, 14 and 15 of Law No. 12,865, of October 9, 2013, and taking into account the provisions of arts. 3, item VIII, and 14 of Resolution No. 4,282, of November 4, 2013, of the Monetary National Council (CMN),

RESOLVES:

TITLE I

ON THE OBJECT AND SCOPE

Art. 1º This Resolution establishes maximum exposure limits per client and maximum limit for concentrated exposures.

Art. 2º Payment institutions that are part of Type 3 prudential conglomerates, defined in BCB Resolution No. 197, of March 11, 2022, must observe the maximum exposure limits per client and the maximum limit for concentrated exposures, in accordance with the following articles of this Resolution:

Art. 2º Payment institutions that are part of Type 3 prudential conglomerates, defined in BCB Resolution No. 197, of March 11, 2022, and securities brokerage firms, securities distribution companies, and currency brokerage firms, whether leaders of prudential conglomerates or not part of prudential conglomerates, must observe the maximum exposure limits per client and the maximum limit for concentrated exposures, in accordance with the following articles of this Resolution: (Amended, effective July 1, 2024, by BCB Resolution No. 395, of June 26, 2024.)

Art. 2º Type 3 institutions, defined in BCB Resolution No. 436, of November 28, 2024, must observe the maximum exposure limits per client and the maximum limit for concentrated exposures, in accordance with the following articles of this Resolution: (Amended, effective January 1, 2025, by BCB Resolution No. 447, of December 19, 2024.)

~~I - arts. 3 to 18 and 25, for institutions classified in Segment 2 (S2), Segment 3 (S3) and Segment 4 (S4), according to the provisions of BCB Resolution No. 197, of 2022; or~~

I - arts. 3 to 18 and 25, for institutions classified in Segment 2 (S2), Segment 3 (S3) and Segment 4 (S4), according to the provisions of Resolution No. 4,553, of January 30, 2017, and BCB Resolution No. 197, of March 11, 2022; or (Amended, effective July 1, 2024, by BCB Resolution No. 395, of June 26, 2024.)

I - arts. 3 to 18 and 25, for institutions classified in Segment 2 – S2, Segment 3 – S3 and Segment 4 – S4, according to the provisions of BCB Resolution No. 436, of November 28, 2024; or (Amended, effective January 1, 2025, by BCB Resolution No. 447, of December 19, 2024.)

~~II - arts. 19 to 25, for institutions classified in Segment 5 (S5), according to the provisions of BCB Resolution No. 197, of 2022.~~

~~II - arts. 19 to 25, for institutions classified in Segment 5 (S5), according to the provisions of Resolution No. 4,553, of January 30, 2017, and BCB Resolution No. 197, of March 11, 2022.~~ (Amended, effective July 1, 2024, by BCB Resolution No. 395, of June 26, 2024.)

II - arts. 19 to 25, for institutions classified in Segment 5 – S5, according to the provisions of BCB Resolution No. 436, of November 28, 2024. (Amended, effective January 1, 2025, by BCB Resolution No. 447, of December 19, 2024.)

§ 1º Compliance with the limits referred to in the main text must be permanent.

§ 2º Compliance with the limits referred to in the main text must occur on a consolidated basis for institutions that are part of the same prudential conglomerate, in accordance with the Accounting Plan of Institutions of the National Financial System (Cosif).

TITLE II

ON THE REQUIREMENTS APPLICABLE TO INSTITUTIONS CLASSIFIED IN S2, S3 AND S4

CHAPTER I

ON LIMITS

Art. 3º The institution mentioned in art. 2, item I, must limit the total of its exposures to the same client to a maximum amount of 25% (twenty-five percent) of Level I of its Reference Equity (PR), defined in BCB Resolution No. 199, of March 11, 2022.

Art. 3º The institution mentioned in art. 2, main text, item I, must limit the total of its exposures to the same client to a maximum amount of 25% (twenty-five percent) of Level I of its Reference Equity − PR, defined in CMN Resolution No. 4,955, of October 21, 2021, and BCB Resolution No. 199, of March 11, 2022. (Amended, effective July 1, 2024, by BCB Resolution No. 395, of June 26, 2024.)

Art. 3º The institution mentioned in art. 2, main text, item I, must limit the total of its exposures to the same client to a maximum amount of 25% (twenty-five percent) of Level I of its Reference Equity − PR, defined in BCB Resolution No. 199, of March 11, 2022. (Amended, effective January 1, 2025, by BCB Resolution No. 447, of December 19, 2024.)

Sole paragraph. The board of directors or, if none exists, the executive management of the institution must deliberate on the assumption of exposure that results in total exposure to the same client exceeding 20% (twenty percent) of Level I of the PR.

Art. 4º The institution mentioned in art. 2, item I, must limit the total of its concentrated exposures to a maximum amount of 600% (six hundred percent) of Level I of its PR.

Sole paragraph. Concentrated exposure is considered to be the total exposure to the same client with a value equal to or greater than 10% (ten percent) of Level I of the PR.

CHAPTER II

ON THE DEFINITION OF CLIENT

Art. 5º For the purposes of this Title, a natural or legal person who is an exposed counterparty of the institution must be considered as a client, in accordance with BCB Resolution No. 265, of November 25, 2022.

Art. 5º For the purposes of this Title, a natural or legal person who is an exposed counterparty of the institution must be considered as a client, in accordance with Resolution No. 4,557, of February 23, 2017, and BCB Resolution No. 265, of November 25, 2022. (Amended, effective July 1, 2024, by BCB Resolution No. 395, of June 26, 2024.)

Sole paragraph. The following are considered distinct clients:

I - The Union, including the Central Bank of Brazil;

II - each entity whose voting capital is held directly by the Union in more than 50% (fifty percent) together with the legal entities controlled by that entity or that maintain a relationship of economic dependence with it, in accordance with art. 6;

III - each State of the Federative Republic of Brazil or the Federal District, together with:
a) the legal entities controlled by it or that maintain a relationship of economic dependence with it, in accordance with art. 6; and b) the legal entities that maintain a relationship of economic dependence, in accordance with art. 6, with an entity controlled by it;

IV - each Brazilian Municipality, together with:
a) the legal entities controlled by it or that maintain a relationship of economic dependence with it, in accordance with art. 6; and b) the legal entities that maintain a relationship of economic dependence, in accordance with art. 6, with an entity controlled by it;

V - each central government of a foreign jurisdiction;

VI - each central bank of a foreign jurisdiction, when not classified under item V;

VII - each entity whose voting capital is held directly by a central government of a foreign jurisdiction in more than 50% (fifty percent) together with the legal entities controlled by that entity or that maintain a relationship of economic dependence with it, in accordance with art. 6; and

VIII - each governmental entity of non-central scope in a foreign jurisdiction, together with:
a) the legal entities controlled by that governmental entity or that maintain a relationship of economic dependence with it, in accordance with art. 6; and b) the legal entities that maintain a relationship of economic dependence, in accordance with art. 6, with an entity controlled by it.

Art. 6º Counterparties that share credit risk with respect to the institution must be considered as a single client, in accordance with art. 20 of BCB Resolution No. 265, of 2022.

Art. 6º Counterparties that share credit risk with respect to the institution must be considered as a single client, in accordance with art. 22 of Resolution No. 4,557, of February 23, 2017, and art. 20 of BCB Resolution No. 265, of November 25, 2022. (Amended, effective July 1, 2024, by BCB Resolution No. 395, of June 26, 2024.)

Art. 6º Counterparties that share credit risk with respect to the institution must be considered as a single client, in accordance with art. 20 of BCB Resolution No. 265, of November 25, 2022. (Amended, effective January 1, 2025, by BCB Resolution No. 447, of December 19, 2024.)

§ 1º In addition to the provision in the main text, for an individual counterparty with an exposure amount equal to or greater than 5% (five percent) of Level I of the institution's PR, the sharing of credit risk must be presumed upon the occurrence of a relationship of economic dependence with other counterparties.

§ 2º It is considered that two counterparties maintain a relationship of economic dependence when financial difficulties in one counterparty tend to result in similar difficulties in the other, including those related to funding, payment of obligations, or insolvency.

§ 3º Indicators of a relationship of economic dependence include the following occurrences:

I - a relevant portion of the gross annual revenues or expenses of one counterparty derives from transactions with the other counterparty;

II - the honoring of partial or full guarantee given by one counterparty to an exposure of significant value of the other has a high probability of causing the guarantor's failure to meet its obligations to the institution;

III - the production of one counterparty is predominantly sold to the other counterparty and cannot be easily replaced as a buyer;

IV - the insolvency of one counterparty has a high probability of causing the insolvency of the other counterparty; or

V - the main source of funds for both counterparties is the same and they do not have an alternative source.

§ 4º In exceptional cases, the institution may choose not to consider connected counterparties through control or economic dependence relationships as a single client, provided that the absence of sharing of credit risk is duly demonstrated and documented.

§ 5º The frequency of verification of compliance with the requirement established in § 1º must be documented and subject to evaluation regarding its adequacy.

§ 6º The Central Bank of Brazil may determine, at its discretion:

I - the consideration of two or more counterparties as a single client, if it verifies the existence of sharing of credit risk with respect to the institution; and

II - the alteration of the frequency mentioned in § 5º.

§ 7º Exposures mentioned in art. 7, § 1º, item II, letters “a” to “c” must not be considered for the purpose of verifying sharing of credit risk, regardless of whether the counterparty is characterized as a Qualified Central Counterparty (QCCP) in accordance with regulations issued by the Central Bank of Brazil.

CHAPTER III

ON EXPOSURES CONSIDERED FOR LIMIT PURPOSES

Art. 7º The limits referred to in arts. 3 and 4 cover:

Art. 7º The limits referred to in arts. 3 and 4 cover each exposure considered in the calculation of the following portions of RWA referred to in CMN Resolution No. 4,958, of October 21, 2021, and BCB Resolution No. 200, of March 11, 2022, which has a natural or legal person as counterparty: (Amended, effective July 1, 2024, by BCB Resolution No. 395, of June 26, 2024.)

Art. 7º The limits referred to in arts. 3 and 4 cover each exposure considered in the calculation of the following portions of RWA referred to in BCB Resolution No. 200, of March 11, 2022, which has a natural or legal person as counterparty: (Amended, effective January 1, 2025, by BCB Resolution No. 447, of December 19, 2024.)

~~I - each exposure considered in the calculation of the RWACPAD and RWACIRB portions, referred to in BCB Resolution No. 200, of March 11, 2022, which has a natural or legal person as counterparty; and~~

I - RWACPAD, relating to credit risk exposures subject to the calculation of the capital requirement using the standardized approach; (Amended, effective July 1, 2024, by BCB Resolution No. 395, of June 26, 2024.)

II - each exposure relating to securities classified in the trading portfolio, in accordance with Resolution No. 265, of 2022, and not considered in the calculation of the RWACPAD and RWACIRB portions.

II -
RWACIRB, relating to credit risk exposures subject to the calculation of the capital requirement using internal systems for classifying credit risk (IRB approaches) authorized by the Central Bank of Brazil; and (Amended, effective July 1, 2024, by BCB Resolution No. 395, of June 26, 2024.)

III -
RWADRC, relating to credit risk exposures of financial instruments classified in the trading portfolio. (Included, effective July 1, 2024, by BCB Resolution No. 395, of June 26, 2024.)

§ 1º For the purposes of observing the limits mentioned in the main text, the following must not be considered:

I - exposures to the client mentioned in art. 5, sole paragraph, items I, V and VI, including those resulting from the provisions of Law No. 9,703, of November 17, 1998;

II - the following exposures to QCCPs relating to clearing and settlement activities:
a) operations to be settled in that entity; b) assets made available as collateral; and c) commitments to a mutualized guarantee fund;

III - intraday interbank exposures;

IV - interfinancial pass-throughs in cases where there is legal provision that it automatically subrogates, by operation of law, in the credits and guarantees constituted in favor of the financial agent subject to bankruptcy, extrajudicial liquidation, or intervention;

~~V - exposures deducted for the purpose of calculating Level I of the PR, in accordance with BCB Resolution No. 199, of 2022;~~

~~V - exposures deducted for the purpose of calculating Level I of the PR, in accordance with CMN Resolution No. 4,955, of October 21, 2021, and BCB Resolution No. 199, of March 11, 2022;~~ (Amended, effective July 1, 2024, by BCB Resolution No. 395, of June 26, 2024.)

V - exposures deducted for the purpose of calculating Level I of the PR, in accordance with BCB Resolution No. 199, of March 11, 2022; (Amended, effective January 1, 2025, by BCB Resolution No. 447, of December 19, 2024.)

VI - exposures relating to credit operations with public sector bodies and entities carried out based on a portion separated from Level I of the PR;

VII - the exposure, to the issuer of securities, of the institution responsible for the respective primary placement, during the period of sixty days after the end of the distribution period;

VIII - the exposure, to the issuer of securities, of the institution responsible for the respective public offer of acquisition, during the period of sixty days after the settlement date of the offer;

IX - exposures relating to judicial deposits; and

X - exposures relating to availability and applications with a maturity of up to one year made at the respective headquarters by a subsidiary or branch of a foreign institution.

§ 2º After the periods mentioned in § 1º, items VII and VIII have elapsed, the exposure to the issuer of securities must be considered for the purposes of observing the limits mentioned in the main text.

CHAPTER IV

ON THE VALUE OF EXPOSURES SUBJECT TO GENERAL TREATMENT

Section I

On the value of exposures in the banking book

(Title included, effective July 1, 2024, by BCB Resolution No. 395, of June 26, 2024.)

Art. 8º Except as provided for exposures subject to specific treatment, the value of the exposure must correspond:

Art. 8º Except as provided for exposures subject to specific treatment, the value of the exposure in the banking book, defined in Resolution No. 4,557, of February 23, 2017, and BCB Resolution No. 265, of November 25, 2022, must correspond: (Amended, effective July 1, 2024, by BCB Resolution No. 395, of June 26, 2024.)

Art. 8º Except as provided for exposures subject to specific treatment, the value of the exposure in the banking book, defined in BCB Resolution No. 265, of November 25, 2022, must correspond: (Amended, effective January 1, 2025, by BCB Resolution No. 447, of December 19, 2024.)

I - to its respective value immediately before the application of the Risk Weighting Factor (RWF), for the purpose of calculating the RWACPAD portion mentioned in BCB Resolution No. 200, of 2022, in the case of exposure considered in the calculation of the capital requirement using the standardized approach;

I - to its respective value immediately before the application of the Risk Weighting Factor − RWF for the purpose of calculating the RWACPAD portion mentioned in CMN Resolution No. 4,958, of October 21, 2021, and BCB Resolution No. 200, of March 11, 2022, in the case of exposure considered in the calculation of the capital requirement using the standardized approach; and (Amended, effective July 1, 2024, by BCB Resolution No. 395, of June 26, 2024.)

I - to its respective value immediately before the application of the Risk Weighting Factor − RWF for the purpose of calculating the RWACPAD portion mentioned in BCB Resolution No. 200, of March 11, 2022, in the case of exposure considered in the calculation of the capital requirement using the standardized approach; and (Amended, effective January 1, 2025, by BCB Resolution No. 447, of December 19, 2024.)

II - to its respective value of the parameter indicating exposure to credit risk used in the calculation of the RWACIRB portion mentioned in BCB Resolution No. 200, of 2022, in the case of exposure considered in the calculation of the capital requirement using internal systems for classifying credit risk (IRB approaches) authorized by the Central Bank of Brazil; and

II - to its respective value of the parameter indicating exposure to credit risk used in the calculation of the RWACIRB portion mentioned in CMN Resolution No. 4,958, of October 21, 2021, and BCB Resolution No. 200, of March 11, 2022, in the case of exposure considered in the calculation of the capital requirement using internal systems for classifying credit risk (IRB approaches) authorized by the Central Bank of Brazil. (Amended, effective July 1, 2024, by BCB Resolution No. 395, of June 26, 2024.)

II - to its respective value of the parameter indicating exposure to credit risk used in the calculation of the RWACIRB portion mentioned in BCB Resolution No. 200, of March 11, 2022, in the case of exposure considered in the calculation of the capital requirement using internal systems for classifying credit risk (IRB approaches) authorized by the Central Bank of Brazil. (Amended, effective January 1, 2025, by BCB Resolution No. 447, of December 19, 2024.)

~~III - to the accounting value of the exposure relating to a title or security classified in the trading portfolio and not considered in the calculation of the RWACPAD and RWACIRB portions.~~

III - (Revoked, effective July 1, 2024, by BCB Resolution No. 395, of June 26, 2024.)

Sole paragraph. The Credit Conversion Factor (CCF) considered for the purposes of the provision in the main text must be the same used in the calculation of the RWACPAD portion, limited to a minimum of 10% (ten percent).

Section II

On the value of exposures in the trading book

(Section II included, effective July 1, 2024, by BCB Resolution No. 395, of June 26, 2024.)

Art. 8º-A Except as provided for exposures subject to specific treatment, the value of the exposure in securities or marketable securities in the trading book, defined in Resolution No. 4,557 of February 23, 2017, and in Resolution BCB No. 265 of November 25, 2022, must correspond to the value of its gross exposure minus JTD used in the calculation of the RWADRC component in accordance with Resolution BCB No. 313 of April 26, 2023.

(Amended, effective January 1, 2025, by Resolution BCB No. 447 of December 19, 2024.)

§ 1º In obtaining the JTD referred to in the caput:

I - a loss factor given non-compliance equal to 100% (one hundred percent) must be considered;

II - adjustments resulting from the maturity of the security or marketable instrument must not be applied; and

III - risk weightings must not be applied.

§ 2º The value of the exposure related to positions in the trading book vis-à-vis a single client composed of a set of connected counterparties, as provided for in Article 6, must be the sum of the positive net exposures (purchased) vis-à-vis the counterparties that are components of the single client, with compensation against negative net positions (sold) vis-à-vis other counterparties that are components of the single client prohibited.

CHAPTER V
OF THE VALUE OF EXPOSURES SUBJECT TO SPECIFIC TREATMENT

Section I
Of exposures associated with derivatives classified in the trading book, except credit derivatives

Section I
Of exposures associated with derivatives

(Title amended, effective July 1, 2024, by Resolution BCB No. 395 of June 26, 2024.)

Art. 9º For a derivative financial instrument, distinct recognition must be given to:

I - the counterparty associated with counterparty credit risk; and

II - the counterparty associated with the underlying asset, if issued by an individual or legal entity, in the case where the position is configured as purchased.

(Amended, effective July 1, 2024, by Resolution BCB No. 395 of June 26, 2024.)

§ 1º For the purposes of item I of the caput, the value of the exposure to the counterparty must be calculated in accordance with Article 8, caput, item I.

(Amended, effective July 1, 2024, by Resolution BCB No. 395 of June 26, 2024.)

§ 2º For the purposes of item II of the caput, the value of the exposure to the counterparty must correspond to the market value of the position configured as purchased in the breakdown of said instrument.

Art. 10. (Revoked, effective July 1, 2024, by Resolution BCB No. 395 of June 26, 2024.)

Section II
Of exposures associated with credit derivatives

Section II(Header of Section II revoked, effective July 1, 2024, by Resolution BCB No. 395 of June 26, 2024.)

Art. 11. (Revoked, effective July 1, 2024, by Resolution BCB No. 395 of June 26, 2024.)

Section III
Of exposures associated with bonds with specific characteristics (covered bonds)

Art. 12. The value of the exposure related to the acquisition of a bond in the trading book that permanently meets the requirements listed below must correspond to 20% (twenty percent) of its respective book value:

I - when in Brazil, it must be issued by multiple banks, commercial banks, investment banks, credit, financing and investment companies, savings banks, mortgage companies or savings and loan associations;

II - when abroad, it must be issued by banks or entities that carry out mortgage credits;

III - it must be legally subject to specific regulation intended to protect its holders;

IV - its underlying assets for issuance must consist exclusively of:

a) exposures to:

entities mentioned in Article 6, sole paragraph, items I, V and VI;
national or foreign government entity at a sub-central level; or
multilateral development entities (MDEs), in accordance with current regulation;

b) exposures guaranteed by the entities mentioned in items 1 to 3 of letter “a” of this item;

c) exposures to which a Risk Weighting Percentage (FPR) of 35% (thirty-five percent) is applied for the purpose of calculating capital requirements, provided that the outstanding balance of the financing is permanently less than or equal to 80% (eighty percent) of the most recent valuation of the collateral; or

d) exposures related to non-residential real estate financings in which the outstanding balance of the financing is permanently less than or equal to 60% (sixty percent) of the most recent valuation of the property and to which a Risk Weighting Percentage (FPR) less than or equal to 100% (one hundred percent) is applied;

V - the total value of the underlying assets of the respective bond must exceed, proven and permanently, by at least 10% (ten percent), the total value of the bond they guarantee;

VI - the rights associated with the bond must be fully covered by the underlying assets, in accordance with current regulation; and

VII - in the event of discontinuation of the issuing institution, the underlying assets of the bond must be primarily used to pay its charges and amortization.

Section IV
Of exposures to guarantor or sub-guarantor

Art. 13. The value of the exposure to a guarantor or sub-guarantor, referred to in Resolution BCB No. 80 of March 25, 2021, and Resolution BCB No. 150 of October 6, 2021, respectively, may correspond to 20% (twenty percent) of their respective book value when cumulatively and permanently meeting the following requirements:

I - the exposure must result from the definitive assignment, without joint obligation, of a receivable from a payment arrangement included in the Brazilian Payments System, as provided for in Resolution No. 4,734 of June 27, 2019;

II - the receivable referred to in item I of the caput:

a) must be constituted, according to the definition of Resolution No. 4,734 of 2019;

b) must be registered in a registration system, according to Resolution No. 4,734 of 2019;

c) must not be subject to collection under the special regimes of institutions authorized to operate by the Central Bank of Brazil, in judicial and extrajudicial reorganization, bankruptcy, judicial liquidation or in any other regime of recovery or dissolution to which the participant of the payment arrangement through which the aforementioned resources flow is subjected;

d) must benefit from a legal provision stating that the payment flows of the transactions to which it is linked must be passed on to subsequent participants in the settlement chain until reaching the holder of the exposure, even if they are in the possession of a participant of the payment arrangement subjected to the regimes mentioned in letter “c” of item II of the caput of this article; and

e) must benefit from a legal provision stating that the holding institution automatically subrogates, by operation of law, in the right of its debtor to the credits related to the receivable, in case the debtor of the receivable is subjected to the regimes mentioned in letter “c” of item II of the caput of this article.

III - the guarantor or sub-guarantor referred to in the caput of this article must be subject to a minimum requirement, on an individual or consolidated basis, of:

a) Reference Capital (PR), as provided for in CMN Resolution No. 4,958 of October 21, 2021, or BCB Resolution No. 200 of 2022;

b) Payment Institution Reference Capital (PRIP), as provided for in BCB Resolution No. 198 of March 11, 2022; or

c) Simplified Reference Capital (PRS5), as provided for in Resolution No. 4,606 of October 19, 2017, or BCB Resolution No. 201 of March 11, 2022.

§ 1º If the timely exercise of the right referred to in item II, letter “e”, of the caput is not ensured through formalized procedures, the Central Bank of Brazil may determine that the value referred to in the caput be 100% (one hundred percent) of the respective book value.

§ 2º Exposures guaranteed by receivables to be constituted, according to the definition of Resolution No. 4,734 of 2019, must be attributed to the end-user recipient at book value.

Section V
Of exposures associated with investment fund shares or securitization certificates

Art. 14. In the case of exposure in the banking book or in the trading book related to the acquisition of investment fund shares or securitization certificates, the respective underlying assets held directly or indirectly through another fund or securitization process must be identified.

§ 1º For the purposes of the caput, the following must be recognized as the counterparty:

I - the respective investment fund or the issuer of the securitization certificate or, at the institution's discretion, the issuer of the underlying asset included in the respective portfolio, for underlying assets whose participation in the fund or securitization structure, proportionally to the amount of shares or certificates, is less than 0.25% (twenty-five hundredths percent) of Level I of the institution's PR; or

II - the issuer of the underlying asset included in the portfolio of the respective investment fund or the respective securitization structure, for underlying assets issued by it whose participation in the fund or structure, proportionally to the amount of shares or certificates, is equal to or greater than 0.25% (twenty-five hundredths percent) of Level I of the institution's PR.

§ 2º For the purposes of item I of § 1º, in the case where the investment fund or the issuer of the securitization certificate is recognized as the counterparty, the value of the exposure to the counterparty must correspond to the percentage of participation, in the fund's portfolio or in the securitization structure, of the amount of underlying assets with values less than 0.25% (twenty-five hundredths percent) of Level I of the institution's PR, multiplied by the value of the respective shares or certificates.

§ 3º For the purposes of item I of § 1º, in the case where the issuer of the underlying asset included in the portfolio of the investment fund or the securitization structure is recognized as the counterparty, and of item II of § 1º, the value of the exposure to the counterparty must correspond:

I - for funds or securitization structures not constituted by different classes of payment priority, to the percentage of participation, in the fund's portfolio or in the structure, of the underlying assets issued by that counterparty, multiplied by the total value of the shares or certificates; and

II - for funds or securitization structures constituted by different classes of payment priority, to the sum of the exposures to each underlying asset issued by that counterparty, obtained separately for each invested class, according to the following formula:

ExpAtivo = PartTranche × min (ValorTranche, ValorAtivo), where:

a) ExpAtivo = Exposure to the underlying asset;

b) PartTranche = Institution's participation in the payment priority class, in percentage terms;

c) ValorTranche = Total value of the payment priority class; and

d) ValorAtivo = Nominal value of the underlying asset.

§ 4º In the event that it is not possible to identify the underlying assets of the investment fund portfolio or the securitization structure, the value of the exposure must correspond to the amount of fund shares or certificates acquired, recognizing as the counterparty:

I - the respective investment fund or issuer of the securitization certificate, if the amount of shares or certificates is less than 0.25% (twenty-five hundredths percent) of Level I of the institution's PR; or

II - the unidentified client, if the amount of shares or certificates is equal to or greater than 0.25% (twenty-five hundredths percent) of Level I of the institution's PR.

§ 5º The impossibility of identifying the underlying assets of the investment fund portfolio or the securitization certificate must be duly documented regarding its reasons and be verifiable.

§ 6º Each institution may recognize only one unidentified client, to whom the limits referred to in Articles 3 and 4 apply.

§ 7º The treatment established in this article must be extended to underlying assets that are investment fund shares.

§ 8º The provisions of this article apply to any other issuing structure of bonds or marketable securities whose remuneration is associated with the flow of receipts of credit rights, other bonds or marketable securities or credit derivatives.

§ 9º The criteria that guided the choice of counterparty among the alternatives mentioned in item I of § 1º must be documented.

Art. 15. An agent that causes additional risk inherent to the acquisition of investment fund shares or securitization certificates must also be recognized as a counterparty distinct from those mentioned in accordance with Article 14.

§ 1º The additional risk mentioned in the caput may be associated with the following agents related to the investment fund or securitization certificate:

I - its issuer, its administrator or its manager; and

II - the liquidity provider or credit risk protection provider.

§ 2º For the purposes of the caput, the exposure to the counterparty is the amount invested in the respective fund or securitization certificate.

§ 3º The criteria for verifying the sharing of credit risk referred to in Article 6 apply to the exposure to the agent mentioned in the caput.

§ 4º The absence of additional risk inherent to the acquisition of investment fund shares or securitization certificates must be adequately documented and verifiable.

CHAPTER VI
OF OFFSETTING BETWEEN POSITIONS IN THE TRADING BOOK

(Title amended, effective July 1, 2024, by Resolution BCB No. 395 of June 26, 2024.)

Art. 16. Offsetting between the purchased position and the sold position relating only to instruments classified in the trading book, in accordance with Resolution BCB No. 265 of November 25, 2022, is permitted, provided that the following conditions are met:

(Amended, effective January 1, 2025, by Resolution BCB No. 447 of December 19, 2024.)

I - the purchased position and the sold position refer to instruments of the same issuer with the same form of remuneration, the same reference currency and the same maturity date; or

(Amended, effective July 1, 2024, by Resolution BCB No. 395 of June 26, 2024.)

II - the purchased position and the sold position refer to instruments of the same issuer, with different forms of remuneration or reference currency, provided that the instrument referenced by the purchased position has a higher or equal payment priority to that of the instrument referenced by the sold position, including positions protected by a credit derivative.

(Amended, effective July 1, 2024, by Resolution BCB No. 395 of June 26, 2024.)

§ 1º The exercise of the option referred to in item II of the caput is conditioned on the segregation of the respective instruments according to their payment priority.

§ 2º (Revoked, effective July 1, 2024, by Resolution BCB No. 395 of June 26, 2024.)

§ 3º The limits referred to in Articles 3 and 4 do not apply to the net value resulting from offsetting that results in a sold position vis-à-vis the same issuer.

§ 4º Offsetting the purchased position with the sold position provided for in the caput through protection by a credit derivative instrument implies the simultaneous recognition of exposure of equal value vis-à-vis the issuer of the derivative.

(Included, effective July 1, 2024, by Resolution BCB No. 395 of June 26, 2024.)

§ 5º For the purposes of § 4º, the Central Bank of Brazil may determine the equivalence to a credit derivative of another derivative when this significantly covers the credit risk of the underlying asset.

(Included, effective July 1, 2024, by Resolution BCB No. 395 of June 26, 2024.)

CHAPTER VII
OF CREDIT RISK MITIGATION

Art. 17. Credit risk mitigation through a mitigating instrument used for the purpose of calculating the components referred to in Article 7 must also be recognized for the purposes of this Resolution.

(Amended, effective July 1, 2024, by Resolution BCB No. 395 of June 26, 2024.)

§ 1º The recognition of credit risk mitigation relative to the original counterparty in accordance with the caput, observed § 6º, implies the simultaneous recognition of exposure vis-à-vis the provider of the respective mitigating instrument, except in the following cases:

I - the mitigating instrument takes the form of:

a) bilateral agreement for the offsetting and settlement of obligations;

b) deposits maintained in the institution itself and credit-linked notes issued by the institution; and

c) instruments issued by the institution maintained in the institution itself or custodied in its favor by third parties; and

II - the provider or issuer of the instrument is one of the clients mentioned in Article 5, sole paragraph, items I, V, or VI.

§ 2º The value of the exposure to the provider of the credit risk mitigation instrument, pursuant to § 1º, must correspond to:

I - the portion covered by the respective instrument, in the case of a guarantee or credit derivative;

II - the portion covered by the market value of the financial collateral, in the case of its recognition through the simple approach for the purpose of calculating the capital requirement;

III - the value of the financial collaterals, in the case of their recognition in the calculation of the capital requirement for counterparty credit risk; and

IV - the value of the financial collateral, considering the standardized adjustment factors established by the Central Bank of Brazil, in the case of its recognition through the comprehensive approach for the purpose of calculating the capital requirement, with the use of internally modeled adjustment factors by the institution prohibited.

§ 3º In the case of credit risk mitigation in the form of a bilateral agreement for the compensation and settlement of obligations, the creditor result of the compensation must be recognized as an exposure to the respective counterparty.

§ 4º In the case of the exposure referred to in Article 7, § 1º, protected by a credit derivative, the value corresponding to the portion covered by the mitigator must be recognized vis-à-vis the provider of the respective mitigating instrument.

§ 5º The unmitigated portion of the exposure must be considered as an exposure to the original client.

§ 6º For the purpose of calculating the value of the exposures covered by the RWA_IRB portion subject to the limits set forth in Articles 3º and 4º, mitigation by collaterals permitted under internal credit risk classification systems (IRB approaches) that are not recognized under the standardized approach must not be recognized.

§ 7º For the purposes of item I of § 2º, the Central Bank of Brazil may determine the equivalence to a credit derivative of another derivative when this significantly covers the credit risk related to the underlying asset. (Added, effective July 1, 2024, by Resolution BCB No. 395 of June 26, 2024.)

CHAPTER VIII
OF THE SUBMISSION OF INFORMATION

Art. 18. Information relating to the following must be forwarded to the Central Bank of Brazil, in the manner established:

I - compliance with the limits set forth in Articles 3º and 4º;

II - concentrated exposures and their respective counterparties, pursuant to Article 4º;

III - total exposures and their respective counterparties mentioned in Article 7, § 1º, except intraday interbank exposures whose values are equal to or greater than 10% (ten percent) of Level I of PR; and

IV - the twenty largest total exposures and their respective counterparties included in the scope of application of the exposure limits set forth in Articles 3º and 4º.

§ 1º The information referred to in the caput must refer to both the original values of the exposures and their respective values considering the effect of a credit risk mitigation instrument, if used.

§ 2º The Central Bank of Brazil may request additional information to that established in the caput, when deemed necessary for the verification of compliance with the provisions of this Resolution.

TITLE III
OF THE REQUIREMENTS APPLICABLE TO INSTITUTIONS CLASSIFIED IN S5

Art. 19. The institution mentioned in Article 2º, item II, must limit the total of its exposures to the same client to a maximum amount of 25% (twenty-five percent) of its Simplified Reference Equity (PRS5), pursuant to Resolution BCB No. 201, of 2022.

Art. 19. The institution mentioned in Article 2º, caput, item II, must limit the total of its exposures to the same client to a maximum amount of 25% (twenty-five percent) of its Simplified Reference Equity – PRS5, pursuant to Resolution No. 4.606, of October 19, 2017, and Resolution BCB No. 201, of March 11, 2022. ~~(Wording given, effective July 1, 2024, by Resolution BCB No. 395 of June 26, 2024.)~~

Art. 19. The institution mentioned in Article 2º, caput, item II, must limit the total of its exposures to the same client to a maximum amount of 25% (twenty-five percent) of its Simplified Reference Equity – PRS5, pursuant to Resolution BCB No. 201, of March 11, 2022. (Wording given, effective January 1, 2025, by Resolution BCB No. 447 of December 19, 2024.)

Sole paragraph. The board of directors or, in its absence, the executive board of the institution must deliberate on the assumption of exposure that results in a total exposure to the same client exceeding 20% (twenty percent) of the PRS5.

Art. 20. The institution mentioned in Article 2º, item II, must limit the total of its concentrated exposures to a maximum amount of 600% (six hundred percent) of its PRS5.

Sole paragraph. A concentrated exposure is defined as the total exposure to the same client whose value is equal to or greater than 10% (ten percent) of the PRS5.

Art. 21. For the purposes of this Title, a client shall be considered any natural or legal person who is a counterparty in exposure of the institution, pursuant to Resolution BCB No. 201, of 2022.

§ 1º The following are considered distinct clients:

I - The Union, including the Central Bank of Brazil;

II - each entity whose voting capital is held directly by the Union in more than 50% (fifty percent) together with the legal entities controlled by that entity;

III - each State of the Federative Republic of Brazil or the Federal District, together with the legal entities controlled by it;

IV - each Brazilian Municipality, together with the legal entities controlled by it;

V - each central government of a foreign jurisdiction;

VI - each central bank of a foreign jurisdiction, when not classified under item V;

VII - each entity whose voting capital is held directly by a central government of a foreign jurisdiction in more than 50% (fifty percent), together with the legal entities controlled by that entity; and

VIII - each governmental body at a non-central level in a foreign jurisdiction, together with the legal entities controlled by that governmental body.

§ 2º Counterparties between which a relationship of control exists, pursuant to Resolution BCB No. 201, of 2022, must be considered as a single client.

§ 3º The Central Bank of Brazil may determine, at its discretion, the consideration of two or more counterparties as a single client, if it verifies the existence of shared credit risk vis-à-vis the institution.

Art. 22. The limits set forth in Articles 19 and 20 cover each exposure to credit risk considered in the calculation of the RWA_RCSimp portion, as provided in Resolution BCB No. 201, of 2022, which has a natural or legal person as counterparty.

Sole paragraph. For the purposes of observing the limits mentioned in the caput, the following must not be considered:

I - exposures to the clients mentioned in Article 21, § 1º, items I, V, and VI, including those arising from the provisions of Law No. 9.703, of 1998;

II - interfinancial pass-throughs where there is a legal provision that the institution automatically subrogates, by right, into the credits and guarantees constituted in favor of the financial agent subject to bankruptcy, extrajudicial liquidation, or intervention;

III - exposures deducted for the purpose of calculating the PRS5, pursuant to Resolution BCB No. 201, of 2022; and

IV - exposures related to judicial deposits.

Art. 23. The value of the exposures mentioned in Articles 19 and 20 must correspond to their respective value immediately before the application of the FPR for the purpose of calculating the RWA_RCSimp portion, as provided in Resolution BCB No. 201, of 2022.

Art. 24. The value of the exposure to an acquirer or sub-acquirer, as provided in Resolution BCB No. 80, of 2021, and Resolution BCB No. 150, of 2021, respectively, may correspond to 20% (twenty percent) of their respective book value, when cumulatively and permanently met the following requirements:

I - the exposure must result from the definitive assignment, without co-obligation, of a receivable from a payment arrangement integrated into the Brazilian Payments System, as provided in Resolution No. 4.734, of 2019;

II - the receivable referred to in item I of the caput:

a) must be constituted, according to the definition of Resolution No. 4.734, of 2019;

b) must be registered in a registration system, according to Resolution No. 4.734, of 2019;

c) must not be subject to collection under the special regimes of institutions authorized to operate by the Central Bank of Brazil, in judicial and extrajudicial recovery, bankruptcy, judicial liquidation, or any other recovery or dissolution regime to which the participant of the payment arrangement through which the aforementioned funds flow is submitted;

d) must benefit from a legal provision that the payment flows of the transactions to which it is linked must be passed on to subsequent participants in the settlement chain until they reach the holder of the exposure, even if they are in the possession of a participant of the payment arrangement subject to the regimes mentioned in letter “c” of item II of the caput of this article; and

e) must benefit from a legal provision that the holding institution automatically subrogates, by right, into the right of its debtor to the credits related to the receivable, in the event that the debtor of the receivable is subject to the regimes mentioned in letter “c” of item II of the caput of this article.

III - the acquirer or sub-acquirer referred to in the caput of this article must be subject to a minimum requirement, on an individual or consolidated basis, of:

a) PR, as provided in CMN Resolution No. 4.958, of 2021, or BCB Resolution No. 200, of 2022;

b) Payment Institution Reference Equity (PRIP), as provided in BCB Resolution No. 198, of 2022; or

c) Simplified Reference Equity (PRS5), as provided in Resolution No. 4.606, of 2017, or BCB Resolution No. 201, of 2022.

§ 1º If the timely exercise of the right referred to in item II, letter “e”, of the caput is not ensured through the adoption of formalized procedures, the Central Bank of Brazil may determine that the value referred to in the caput be 100% (one hundred percent) of the respective book value.

§ 2º Exposures secured by receivables to be constituted, according to the definition of Resolution No. 4.734, of 2019, must be attributed to the end-user recipient at the book value.

TITLE IV
OF THE OCCURRENCE OF EXCEEDANCES

Art. 25. The occurrence of an exceedance regarding the limits set forth in this Resolution implies:

I - the prohibition of entering into new operations that would result in an expansion of the verified exceedances;

II - immediate communication of this occurrence to the Central Bank of Brazil, in the manner defined by it, for institutions classified in S2, S3, or S4;

III - the preparation of a plan to reduce the exceedance occurred, for institutions classified in S2 or S3;

IV - the preparation, when deemed necessary by the Central Bank of Brazil, of a plan to reduce the exceedance occurred, for institutions classified in S4 or S5.

Sole paragraph. The reduction of the exceedance mentioned in the caput, items III and IV, must occur within an adequate timeframe.

TITLE V
FINAL PROVISIONS

Art. 26. Resolution BCB No. 201, of 2022, shall be amended as follows:

“Art. 35. ..........................................................................................................

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

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

II - to support and participate in the process of strategic decision-making related to risk management, assisting the board of directors;

III - to supervise the processes and controls related to the calculation of the RWAS5 amount and the minimum requirement of PRS5; and

IV - to be responsible for compliance with the provisions of Resolution BCB No. 319, of May 18, 2023, which establishes maximum exposure limits per client and maximum concentrated exposure limits.

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

Art. 27. Resolution BCB No. 265, of 2022, shall be amended as follows:

“Art. 52. ..........................................................................................................

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

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

IV - to support and participate in the process of strategic decision-making related to risk management and, when applicable, capital management, assisting the board of directors; and

V - responsibility for compliance with the provisions of Resolution BCB No. 319, of May 18, 2023, which establishes maximum exposure limits per client and maximum concentrated exposure limits.

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

Art. 28. This Resolution enters into force on July 1, 2023.

Otávio Ribeiro Damaso
Director of Regulation