Central Bank of Brazil Instruction Normative No. 395 of June 23, 2023

INSTRUCTION NORMATIVE BCB NO. 395, OF JUNE 23, 2023

Amends
Instruction Normative No. 118, of June 24, 2021, which consolidates the procedures for the submission of daily information regarding the total exposure to gold, foreign currency, and operations subject to exchange rate variation and 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 amends the filling instructions and the layout of document code 2011 - Daily Statement of Monitoring of Capital Requirement Installments and Operational Limits (DDR).

The Head of the Department of Financial System Monitoring (Desig), in the exercise of the authority conferred upon him by art. 23, item I, letter “a”, of the Internal Regulations of the Central Bank of Brazil, annexed to Ordinance No. 84.287, of February 27, 2015, based on art. 77, item III, of the aforementioned Regulations, and having in view the provisions of CMN Resolutions Nos. 4,553, of January 30, 2017, 4,956, of October 21, 2021, 4,958, of October 21, 2021, 5,051, of November 25, 2022, and 5,061, of February 16, 2023, and BCB Resolutions Nos. 100, of June 2, 2021, 197, of March 11, 2022, 229, of May 12, 2022, 266, of November 25, 2022, 291, of February 8, 2023, 312, of April 26, 2023, and 325, of June 14, 2023,

R E S O L V E:

Art. 1º From July 1, 2023, the new version of the Filling Instructions and Layout of document code 2011 - Daily Statement of Monitoring of Capital Requirement Installments and Operational Limits (DDR), available on the Central Bank of Brazil website at the electronic address https://bcb.gov.br/estabilidadefinanceira/leiautedocumentoscrd, shall enter into force, with the following modifications:

I - in the Filling Instructions:

a) item 1 – General Guidelines: wording amendment;

b) item 2 – List of accounts:

1. inclusion of accounts 191000, 411000, and 412000; and

2. amendment of the description of the function of accounts 503000, 610000, and 710000.

II - in the Layout: inclusion of accounts 191000, 411000, and 412000.

Art. 2º Instruction Normative No. 118, of June 24, 2021, shall enter into force with the following alterations:

“Art. 1º ............................................................................................................

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

§ 3º The provisions of this Instruction Normative apply to all prudential conglomerates classified in S1, S2, S3, or S4, as established in Resolution No. 4,553, of January 30, 2017, and in BCB Resolution No. 197, of March 11, 2022.

§ 4º The provisions of this Instruction Normative do not apply:

I - to payment institutions not belonging to a prudential conglomerate; and

II - to institutions belonging to a prudential conglomerate of Type 2.” (NR)

“Art. 3º ............................................................................................................

I - by the leading institution of each prudential conglomerate, on a consolidated basis, regarding the information of the institutions comprising the conglomerate, in accordance with the consolidation adopted for the calculation of Reference Equity;

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

III - by cooperative banks, by credit confederations, by service confederations constituted by central credit cooperatives or by central credit cooperatives, regarding the information of the totality of cooperatives comprising organized systems of three or two levels, on an individual basis.

§ 1º Leading payment institutions of Type 3 prudential conglomerates are included in item I.

§ 2º The information referred to in the caput must be submitted from the first database date on which the institution authorized to operate by the Central Bank of Brazil is in effective operation.” (NR)

Art. 3º This Instruction Normative enters into force:

I - on October 1, 2023, regarding Art. 2º, in the part that amends items II and III of Art. 3º of Instruction Normative No. 118, of 2021; and

II - on July 1, 2023, regarding the other provisions.

Gilneu Francisco Astolfi Vivan

NOTE

The Daily Statement of Monitoring of Capital Requirement Installments and Operational Limits (DDR) – Document 2011, aims to capture daily information regarding the total exposure to gold, foreign currency, and operations subject to exchange rate variation, and the installments related to market risk of risk-weighted assets (RWA) of 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), with Instruction Normative BCB No. 118, of June 24, 2021, presenting, in a synthetic manner, the procedures for sending this information.

2. This Instruction Normative aims to promote adjustments:

I - in the layout and filling instructions of the DDR, in view of the issuance:

a) of BCB Resolution No. 197, of March 11, 2022, which classifies the prudential conglomerate integrated by at least one institution that performs payment services and establishes segmentation for prudential conglomerates classified as Type 3 for the purpose of applying proportional prudential regulation;

b) of BCB Resolution No. 229, of May 12, 2022, whose entry into force was postponed to July 1, 2023, and which establishes the procedures for calculating the installment of risk-weighted assets (RWA) related to exposures to credit risk subject to the capital requirement calculation using the standardized approach (RWACPAD) and revokes Circulars Nos. 3,644, of March 4, 2013, 3,848, of September 18, 2017, and 3,904, of June 6, 2018;

c) of BCB Resolution No. 266, of November 25, 2022, which amends BCB circulars and resolution establishing procedures for calculating the installments of the amount of risk-weighted assets (RWA), the Countercyclical Core Capital Surcharge (ACPCountercyclical), and capital for covering the risk of variation of interest rates in instruments classified in the banking book (IRRBB) for application to the Type 3 conglomerate and amends the circulars establishing the RWA installments in simplified approaches for application to conglomerates of Types 2 and 3;

d) of BCB Resolution No. 291, of February 8, 2023, which establishes the procedures for calculating the installment of risk-weighted assets (RWA) relative to exposures to the risk of variation of the value of derivative financial instruments due to the variation of the credit quality of the counterparty (RWACVA), and amends Circular No. 3,646, of March 4, 2013;

e) of BCB Resolution No. 312, of April 26, 2023, which amends Circular No. 3,641, of March 4, 2013, which establishes the procedures for calculating the installment of risk-weighted assets (RWA) related to exposures to gold, foreign currency, and assets subject to exchange rate variation whose capital requirement is calculated using the standardized approach (RWACAM), as dealt with in CMN Resolution No. 4,958, of October 21, 2021, and BCB Resolution No. 200, of 11; and

f) of CMN Resolution No. 4,958 of 21, of October 2021, which provides for the minimum requirements for Reference Equity (PR), Level I, and Core Capital and for the Core Capital Surcharge (ACP).

II - in the BCB Instruction Normative, in view of the issuance of BCB Resolution No. 325, of June 14, 2023.

3. The main adjustments were:

I - inclusion of Type 3 conglomerate in the list of institutions that must send the DDR;

II - inclusion of accounts for calculating the capital requirement value for the variation of the credit quality of the counterparty in the case of derivatives (CVA); for calculating the capital requirement value related to exposures to credit risk of financial instruments classified in the trading book (DRC); and for calculating the cash flow hedge to compensate for exchange rate variation of future commitments;

III - amendments to the description of the function of some accounts;

IV - provision for the submission of information of cooperatives belonging to organized systems of three or two levels to be done centrally by the cooperative systems; and

V - inclusion of a command clarifying that the information must be prepared and submitted from the first database date on which the institution authorized to operate by the Central Bank of Brazil is in effective operation.

4. Decree No. 10,411, of June 30, 2020, regulated the carrying out of regulatory impact analysis (AIR) as a prerequisite for the issuance of normative acts. However, in its article 4º, it establishes the hypotheses for dispensing with the carrying out of AIR. This Instruction Normative falls under the hypotheses of items II and III, namely: II - normative act intended to regulate rights or obligations defined in a hierarchically superior norm that does not allow, technically or legally, different regulatory alternatives; and III - normative act considered of low impact. Thus, based on items II and III of art. 4º of Decree No. 10,411, of 2020, I understand that the issuance of this Instruction Normative dispenses with the carrying out of AIR.

Gilneu Francisco Astolfi Vivan
Head of the Department of Financial System Monitoring (Desig)