Resolution No. 84

BCB RESOLUTION NO. 84, OF MARCH 31, 2021

Consolidates the procedures for the submission of information regarding exposures to market risk, to the risk of variation in interest rates on instruments classified in the banking book (IRRBB), and to exposures related to the calculation of Risk-Weighted Assets (RWA) for market risk, used for the purpose of calculating the minimum requirements for Reference Equity (PR), Level I, Core Capital, and the Core Capital Surcharge.

The Collegiate Board of the Central Bank of Brazil, in a session held on March 31, 2021, based on arts. 10, item IX, 11, item VII, and 37 of Law No. 4.595, of December 31, 1964, and art. 1, § 1, of Complementary Law No. 130, of April 17, 2009, and having in view the provisions of Resolutions Nos. 4,192 and 4,193, both of March 1, 2013, 4,553, of January 30, 2017, and 4,557, of February 23, 2017, and Circular No. 3,876, of January 31, 2018,

RESOLVES:

Art. 1 Financial institutions and other institutions authorized to operate by the Central Bank of Brazil classified in Segment 1 (S1), Segment 2 (S2), Segment 3 (S3), or Segment 4 (S4) must prepare and submit to the Central Bank of Brazil information regarding:

I - exposures to market risk;

II - exposures related to the calculation of Risk-Weighted Assets (RWA) for market risk, used for the purpose of calculating the minimum requirements for Reference Equity (PR), Level I, Core Capital, and the Core Capital Surcharge; and

III - exposures to the risk of variation in interest rates on instruments classified in the banking book (IRRBB).

§ 1 The provisions of this Resolution apply to all prudential conglomerates classified in S1, S2, S3, or S4, as established in Resolution No. 4,553, of January 30, 2017, and BCB Resolution No. 197, of March 11, 2022. (Added, effective July 1, 2023, by BCB Resolution No. 328, of June 14, 2023.)

§ 2 The provisions of this Resolution do not apply:
(Added, effective July 1, 2023, by BCB Resolution No. 328, of June 14, 2023.)

I - to payment institutions not belonging to a prudential conglomerate; and (Added, effective July 1, 2023, by BCB Resolution No. 328, of June 14, 2023.)

II - to institutions belonging to a Type 2 prudential conglomerate.
(Added, effective July 1, 2023, by BCB Resolution No. 328, of June 14, 2023.)

Art. 2 The information referred to in Art. 1 must be calculated as of the last business day of each month and must be submitted monthly:

I - by the lead institution of each prudential conglomerate, on a consolidated basis, regarding the information of the institutions belonging to the same conglomerate, in accordance with the consolidation adopted for the calculation of Reference Equity; (Redacted, effective July 1, 2023, by BCB Resolution No. 328, of June 14, 2023.)

II - by financial institutions and other institutions authorized to operate by the Central Bank of Brazil, not belonging to a prudential conglomerate, and by cooperatives not part of organized systems of three or two levels; and (Redacted, effective October 1, 2023, by BCB Resolution No. 328, of June 14, 2023.)

III - by cooperative banks, by credit confederations, by service confederations constituted by central credit cooperatives or by central credit cooperatives, regarding the information of all cooperatives belonging to organized systems of three or two levels, on an individual basis. (Added, effective October 1, 2023, by BCB Resolution No. 328, of June 14, 2023.)

Sole Paragraph. (Revoked, effective July 1, 2023, by BCB Resolution No. 328, of June 14, 2023.)

§ 1 The Central Bank of Brazil may request the submission of the information referred to in Art. 1 regarding base dates different from that established in the caput.
(Added, effective July 1, 2023, by BCB Resolution No. 328, of June 14, 2023.)

§ 2 Payment institutions that are the lead institutions of a Type 3 prudential conglomerate are included in item I of the caput.
(Added, effective July 1, 2023, by BCB Resolution No. 328, of June 14, 2023.)

§ 3 The information referred to in the caput must be submitted starting from the first base date on which the institution authorized to operate by the Central Bank of Brazil is effectively functioning. (Added, effective July 1, 2023, by BCB Resolution No. 328, of June 14, 2023.)

Art. 3 The information referred to in Art. 1, as well as the documentation of the methodology for its calculation and the respective source data, must be kept available to the Central Bank of Brazil for a period of five years.

Art. 4 The institutions referred to in Art. 2, items I and II, must designate a director responsible for the calculation and submission of the information referred to in this Resolution.

§ 1 It is admitted that the director designated under the caput performs other functions in the institution, provided that the absence of conflict of interest is ensured.

§ 2 The data regarding the director designated under the caput must be registered and kept updated in the Central Bank's registration information system.

Art. 5 The Department of Financial System Monitoring (Desig) is authorized to establish the form and other necessary conditions to comply with the provisions of this Resolution.

Art. 6 The following are revoked:

I - Circular No. 3,429, of January 14, 2009;

II - Circular No. 3,687, of December 6, 2013;

III - Circular No. 3,740, of December 24, 2014;

IV - Art. 2 of Circular No. 3,878, of February 20, 2018; and

V - Circular No. 4,010, of April 28, 2020.

Art. 7 This Resolution enters into force on May 3, 2021.

Paulo Sérgio Neves de Souza
Director of Supervision

Otávio Ribeiro Damaso
Director of Regulation