BCB Resolution No. 438 — Amends BCB Resolution No. 229 of May 12, 2022, regarding Risk-Weighted Assets (RWA) for Credit Risk Exposures under the Standardized Approach

Resolution No. 438

RESOLUTION
BCB NO. 438, OF NOVEMBER 28, 2024

Amends
BCB Resolution No. 229, of May 12, 2022, which establishes the procedures for calculating the portion of risk-weighted assets – RWA – regarding credit risk exposures subject to the calculation of capital requirements through the standardized approach – RWACPAD.

The Collegiate Board of the Central Bank of Brazil, in a session held on November 28, 2024, based on the provisions of arts. 9, 10, caput, item IX, and 11, caput, item VII, of Law No. 4.595, of December 31, 1964, and art. 9, caput, item II, 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, in arts. 3, caput, items III and VIII, and 14 of Resolution No. 4.282, of November 4, 2013, in art. 3, § 2, of BCB Resolution No. 200, of March 11, 2022, and in art. 4 of CMN Resolution No. 5.105, of September 28, 2023,

R E S O L V E :

Art.
1º BCB Resolution No. 229, of May 12, 2022, published in the Official Gazette of the Union on May 16, 2022 and corrected in the Official Gazette of the Union on September 2, 2022, shall enter into force with the following alterations:

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

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

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III - interdependent operations and other operations that represent exposure to institutions that are part of the prudential conglomerate;

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

“Art.
6º For the determination of the exposure value, adjustments related to provisions must be deducted.

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§ 3º In the case of exposures recorded in assets, the following must be considered in the exposure value:

I - transaction costs and amounts received that make up the effective interest rate of the financial instrument;

II - premium or discount earned in the acquisition of the financial instrument;

III - present value adjustment, at the original effective interest rate, of the cash flows contracted in restructured operations; and

IV - fair value adjustment, including the adjustment related to hedge accounting.” (NR)

“Art. 8º For a financial leasing operation, according to criteria established in Cosif, the following must be considered:

I - the exposure related to the asset object, which must correspond to the book value of the unguaranteed residual value, if it exists; and

II - the exposure related to the credit risk of the debtor, which must correspond to the amount of the present value of the receivable installments due and future, plus the guaranteed residual value, if it exists.

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(NR)

“Art. 9º For an operating leasing operation, according to criteria established in Cosif, the following must be considered:

I - the exposure related to the asset object, which must correspond to the book value of the leased asset; and

II - the exposure related to the credit risk of the debtor, which must correspond to the receivable installments due.

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

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

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II - the exposure characterized as a problematic asset, in accordance with Resolution No. 4.557, of February 23, 2017, and BCB Resolution No. 265, of November 25, 2022, as applicable, regardless of the counterparty or type of operation, must be weighted in accordance with art. 66 or according to the specific provision of this Resolution, whichever is greater;

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(NR)

“Art. 49. ....................................................................................................................

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§ 13. For the purposes of item V of § 1º, the substitution or addition of real estate collateral is equivalent to the granting of a new credit operation, with an increase in the value of the original collateral property prohibited.” (NR)

“Art. 66.
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I - 150% (one hundred and fifty percent), if the respective provision is less than 20% (twenty percent) of the outstanding balance or the value determined under the terms of art. 21, as applicable, regarding the exposure characterized as a problematic asset;

II - ..............................................................................................................................

a) if the respective provision is greater than or equal to 20% (twenty percent) and less than 50% (fifty percent) of the outstanding balance or the value determined under the terms of art. 21, as applicable, regarding the exposure characterized as a problematic asset; or

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III - 50% (fifty percent), if the provision is greater than or equal to 50% (fifty percent) of the outstanding balance or the value determined under the terms of art. 21, as applicable, regarding the exposure characterized as a problematic asset.

Sole Paragraph. The outstanding balance or the value determined under the terms of art. 21, as applicable, mentioned in this article must:

I - consider the value net of accounting write-offs, carried out according to the criteria established in Cosif; and

II - disregard the multiplication by the corresponding FCC, in the case of the exposures referred to in art. 21.” (NR)

Art. 2º The following provisions of BCB Resolution No. 229, of May 12, 2022, published in the Official Gazette of the Union on May 16, 2022 and corrected in the Official Gazette of the Union on September 2, 2022, are hereby repealed:

I - art. 8, sole paragraph; and

II - art. 9, §§ 1 and 2.

Art. 3º This Resolution enters into force on January 2, 2025.

Otávio
Ribeiro Damaso
Director of Regulation