BCB Resolution No. 355 — Amends BCB Resolution No. 54 of December 16, 2020, regarding the disclosure of the Pillar 3 Report

BCB RESOLUTION NO. 355,
OF NOVEMBER 28, 2023

Amends BCB Resolution No. 54, of December 16, 2020, which provides for the disclosure of the Pillar 3 Report.

The Collegiate Board of the Central Bank of Brazil, in a session held on November 28, 2023, based on the provisions of Arts. 9 and 10, item IX, of Law No. 4.595, of December 31, 1964, and Art. 9, items II and IX, clause “a”, of Law No. 12.865, of October 9, 2013, and considering the provisions of Art. 3, § 2, of CMN Resolution No. 4.958, of October 21, 2021, and Art. 3, § 2, of BCB Resolution No. 200, of March 11, 2022,

R E S O L V E:

Art.
1º BCB Resolution No. 54, of December 16, 2020, shall be in effect with the following changes:

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

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

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

XIII - comparison between RWA calculated using the standardized approach and the internal models approach;

XIV - linked assets; and

XV - operational risk.

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

“Art. 11-A. .......................................................................................................

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

II - IRB: Exposures to credit risk by portfolio and PD intervals (table CR6);

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

“Section XV

On Operational Risk

Art. 17-C. The information in the Pillar 3 Report regarding operational risk must be disclosed according to the following tables established by the Central Bank of Brazil:

I - qualitative information on operational risk management (table ORA);

II - operational loss history (table OR1);

III - composition of the Business Indicator (BI) (table OR2); and

IV - capital requirement for operational risk (table OR3).” (NR)

“Art. 18. Institutions classified in S1 must publish all tables mentioned in Arts. 4º to 17-C, observing the provisions of Art. 8, sole paragraph, and Art. 11-A, sole paragraph.” (NR)

“Art. 19.
..........................................................................................................

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

XI - risk of interest rate variation in instruments classified in the banking book: IRRBBA and IRRBB1;

XII - remuneration of administrators: REMA, REM1, REM2 and REM3; and

XIII - operational risk: ORA, OR1, OR2 and OR3.

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

“Art. 20.
..........................................................................................................

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

VI - market risk: MRA, MR1 and the information referred to in Art. 15;

VII - risk of interest rate variation in instruments classified in the banking book: IRRBBA and IRRBB1; and

VIII - operational risk: ORA, OR2 and OR3.

Sole paragraph. ..............................................................................................

I - CCA, CC1 and CC2, when they issue instruments eligible for Complementary Capital or Level II of the Reference Equity (PR);

II - MRB, MR2, MR3 and MR4, when authorized to use internal models for market risk for the calculation of the daily value regarding the RWAMINT portion; and

III - OR1, when authorized to use the ILM for the calculation regarding the RWAOPAD portion.” (NR)

“Art. 22. ..........................................................................................................

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

III - annual, with respect to the base date of December 31, for the information required in Arts. 4º to 17-C.

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

§ 3º The information in table CCyB1 must be updated whenever there is a change in the value for the percentage of the countercyclical capital buffer in each jurisdiction “i” (ACCPi), including when the jurisdiction is Brazil.” (NR)

“Art. 23. ..........................................................................................................

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

§ 5º In the event of changes to the tables referred to in Art. 3, the requirement to make available in open data format may be suspended by the Central Bank of Brazil for the period necessary to alter the specifications referred to in § 3 and the consequent system adaptations by institutions and conglomerates referred to in Art. 2, observing the following conditions:

I - the suspension will be expressly established in an act of the Central Bank of Brazil; and

II - the suspension will not affect the other obligations established in this Resolution, nor will it dispense with the disclosure referred to in the caput.” (NR)

Art.
2º Annex I of BCB Resolution No. 54, of 2020, shall be in effect according to Annex I of this Resolution.

Art.
3º This Resolution enters into force on:

I

• on the date of its publication regarding:

a)
Art. 1º, in the part that alters the following provisions of BCB Resolution No. 54, of 2020:

1.
Art. 11-A; and

2.
Arts. 22 and 23; and

b)
Art. 2º; and

II

• on January 1, 2025, regarding the other changes.

OTÁVIO RIBEIRO DAMASO

Director of Regulation

ANNEX I
	Tables	Format	Frequency	Segmentation
Prudential indicators and risk management	KM1 - Quantitative information on prudential requirements	Fixed	Quarterly	S1 to S3
OVA - Overview of the institution's risk management	Flexible	Annual	S1 to S4
OV1 - Overview of risk-weighted assets (RWA)	Fixed	Quarterly	S1 to S3
Comparison between accounting and prudential information	LIA - Explanation of differences between values recorded in financial statements and values of exposures subject to prudential treatment	Flexible	Annual	S1 and S2
LI1 - Differences between the scope of accounting consolidation and the scope of prudential treatment, as well as the detail of values associated with risk categories	Fixed	Annual	S1 and S2
LI2 - Main causes of differences between values considered in prudential regulation and exposure values	Flexible	Annual	S1 and S2
PV1 - Prudential adjustments (PVA)	Fixed	Annual	S1 and S2
Capital composition	CCA - Main characteristics of Reference Equity (PR) instruments	Flexible	Semi-annual	S1, S2 and institutions issuing Complementary Capital or Level II
CC1 - Composition of Reference Equity (PR)	Fixed	Semi-annual
CC2 - Reconciliation of Reference Equity (PR) with the balance sheet	Flexible	Semi-annual
Macroprudential indicators	GSIB1 - Indicators used to characterize a financial institution as globally systemically important (G-SIBs)	Fixed	Annual	Institution subject to the provisions of Circular No. 3.751, of 2015
CCyB1 - Geographic distribution of credit risk exposures considered in the calculation of the Countercyclical Buffer (AC)	Fixed	Semi-annual	S1 and S2
Leverage Ratio	LR1 - Comparison between financial statement information and information used for the calculation of the Leverage Ratio (LR)	Fixed	Semi-annual	S1 and S2
LR2 - Detailed information on the Leverage Ratio	Fixed	Quarterly	S1 and S2
Liquidity indicators	LIQA - Qualitative information on liquidity risk management	Flexible	Annual	S1 to S3
LIQ1 - Short-Term Liquidity Indicator (LCR)	Fixed	Quarterly	S1
LIQ 2 - Long-Term Liquidity Indicator (NSFR)	Fixed	Quarterly	S1
Credit risk	CRA - Qualitative information on credit risk management	Flexible	Annual	S1 to S3
CR1 - Credit quality of exposures	Fixed	Semi-annual	S1 to S3
CR2 - Changes in the stock of operations classified as problematic assets	Fixed	Semi-annual	S1 to S3
CRB - Additional information on the credit quality of exposures	Flexible	Annual	S1 to S3
CRC - Information on risk-mitigating instruments	Flexible	Annual	S1 and S2
CR3 - Overview of credit risk mitigation techniques	Fixed	Semi-annual	S1 and S2
CR4 - Standardized approach – exposures and effects of credit risk mitigation	Fixed	Semi-annual	S1 and S2
CR5 - Standardized approach - segregation of exposures by counterparty and by risk weighting factor (RWF)	Fixed	Semi-annual	S1 and S2
	CRE - Qualitative information on IRB approaches	Flexible	Annual	Mandatory for institutions using IRB approach
	CR6 - Exposures to credit risk by PD parameter variation for each category, subcategory and portfolio	Fixed	Semi-annual
	CR7 - Mitigating effect of credit derivatives on RWACIRB	Fixed	Semi-annual
	CR8 - Information on variations in RWACIRB	Fixed	Quarterly
	CR9 - Comparison between estimated and observed losses (backtesting) of the PD parameter by category, subcategory and portfolio	Flexible	Annual
Counterparty credit risk (CCR)	CCRA - Qualitative information on counterparty credit risk (CCR) management	Flexible	Annual	S1 to S3
CCR1 - Analysis of exposures to counterparty credit risk (CCR) by approach used	Fixed	Semi-annual	S1 and S2
CCR3 - Standardized approach – segregation of CCR exposures by counterparty and by risk weighting factor	Fixed	Semi-annual	S1 and S2
CCR5 - Financial collateral associated with counterparty credit risk exposures	Fixed	Semi-annual	S1 and S2
CCR6 - Information on counterparty credit risk associated with credit derivatives	Fixed	Semi-annual	S1 and S2
CCR8 - Information on counterparty credit risk associated with exposures to central counterparties	Fixed	Semi-annual	S1 and S2
Securitization exposures	SECA - Qualitative information on risk management of securitization exposures	Flexible	Annual	S1 to S3
SEC1 - Securitization exposures classified in the banking book	Flexible	Semi-annual	S1 and S2
SEC2 - Securitization exposures classified in the trading book	Flexible	Semi-annual	S1 and S2
SEC3 - Banking book securitization exposures and capital requirements - institution as originator or sponsor	Fixed	Semi-annual	S1 and S2
SEC4 - Banking book securitization exposures and capital requirements - institution as investor	Fixed	Semi-annual	S1 and S2
Market risk	MRA - Qualitative information on market risk management	Flexible	Annual	S1 to S3
MR1 - Standardized approach - risk factors associated with market risk	Fixed	Quarterly	S1 to S3
MRB - Qualitative information on internal models approach for market risk	Flexible	Annual	Financial institution authorized to use internal models
MR2 - Information on variations in the RWAMINT portion	Fixed	Quarterly
MR3 - Internal models values for market risk	Fixed	Quarterly
MR4 - Comparison of VaR estimates with actual and hypothetical results	Flexible	Quarterly
IRRBB	IRRBBA - objectives and policies for IRRBB management	Flexible	Annual	S1 to S3
IRRBB1 - Qualitative information on IRRBB	Fixed	Annual	S1 to S3
Remuneration of administrators	REMA - Remuneration policy	Flexible	Annual	S1 and S2
REM1 - Remuneration attributed during the reference year	Flexible	Annual	S1 and S2
REM2 - Extraordinary payments	Flexible	Annual	S1 and S2
REM3 - Deferred remuneration	Flexible	Annual	S1 and S2
Comparison between RWA Calculated using the Standardized Approach and the Internal Models Approach	CMS1 - Comparison between RWA calculated using the standardized approach and the internal models approach by risk type	Fixed	Quarterly	Financial institution authorized to use internal models
CMS2 - comparison between RWACPAD and RWACIRB by category, subcategory and portfolio	Fixed	Semi-annual
Linked assets	ENC - Linked Asset	Fixed	Semi-annual	S1
Operational Risk	ORA - Qualitative information on operational risk management	Flexible	Annual	S1 to S3
OR1 - Operational loss history	Fixed	Annual	S1, S2, and S3 authorized to use ILM
OR2 - Composition of the Business Indicator (BI)	Fixed	Annual	S1 to S3
OR3 - Capital requirement for operational risk	Fixed	Annual	S1 to S3