Circular Letter No. 3853 — Details Accounting Items for Calculating the Risk-Weighted Assets Component (RWAS5) for Credit Risk Exposures under the Simplified Standardized Approach

The Acting Head of the Department of Prudential and Exchange Regulation (Dereg), in exercise of the powers conferred by Article 23, item I, letter “a”; and Article 118, item I, letter “a” of the Internal Regulations of the Central Bank of Brazil, annexed to Ordinance No. 95,818, of December 4, 2017, and considering the provisions of Article 11, sole paragraph, of Resolution No. 4,606, of October 19, 2017,

R E S O L V E:

Art. 1° The value of credit risk exposures subject to the calculation of the capital requirement through the simplified standardized approach (RWARCSimp), as provided for in Circular No. 3,862, of December 7, 2017, must be composed, in accordance with the Accounting Plan of the Institutions of the National Financial System (Cosif), of the following components:

I - values held in cash, in national currency, which correspond to the sum of the values of the accounts:

a) 1.1.1.00.00-9 - Cash;

b) 1.1.3.00.00-5 - Free Reserves;

II - values held in cash, in foreign currencies, as well as exposures to the asset represented by said foreign currencies, which correspond to the sum of the values of the accounts:

a) 1.1.5.00.00-1 - Availability in Foreign Currencies;

b) 1.2.6.10.00-0 - Investments in Foreign Currencies;

III - investments in financial gold and foreign exchange instruments, as well as exposures to the asset represented by financial gold and foreign exchange instruments, which correspond to the values of account 1.1.4.00.00-8 - Investments in Gold;

IV - operations with the National Treasury and the Central Bank of Brazil, as well as investments in securities issued by them, except those linked to repurchase agreements, which correspond to the sum of the values of the accounts:

a) 1.2.3.00.00-4 - Voluntary Investments in the Central Bank;

b) 1.3.1.05.03-3 - Treasury Financial Notes;

c) 1.3.1.05.05-7 - Treasury Notes;

d) 1.3.1.05.10-5 - National Treasury Obligations;

e) 1.3.1.05.12-9 - National Treasury Bonds;

f) 1.3.1.05.15-0 - Central Bank Notes;

g) 1.3.1.05.19-8 - Federal Public Securities - Others;

h) 1.3.1.05.75-8 - Agrarian Debt Securities;

i) 1.3.1.10.03-5 - Treasury Financial Notes;

j) 1.3.1.10.05-9 - Treasury Notes;

k) 1.3.1.10.07-3 - National Treasury Notes;

l) 1.3.1.10.10-7 - National Treasury Obligations;

m) 1.3.1.10.12-1 - National Treasury Bonds;

n) 1.3.1.10.15-2 - Central Bank Notes;

o) 1.3.1.10.16-9 - Central Bank Notes;

p) 1.3.1.10.18-3 - Central Bank Bonds;

q) 1.3.1.10.19-0 - Federal Public Securities - Others;

r) 1.3.1.10.75-0 - Agrarian Debt Securities;

s) 1.3.1.99.30-0 - (-) Federal Public Securities - National Treasury;

t) 1.3.1.99.40-3 - (-) Federal Public Securities - Central Bank;

u) 1.3.1.99.45-8 - (-) Federal Public Securities - Others;

v) 1.3.4.10.02-7 - Federal Public Securities - National Treasury;

w) 1.3.4.10.04-1 - Federal Public Securities - Central Bank;

x) 1.3.4.10.19-9 - Federal Public Securities - Others;

y) 1.3.4.20.00-0 - CENTRAL BANK - MANDATORY RESERVES IN SECURITIES;

z) 1.3.4.30.00-7 - CENTRAL BANK - SECURITIES LINKED TO DISCOUNT OPERATIONS;

aa) 1.3.4.40.00-4 - CENTRAL BANK - SECURITIES LINKED TO EXTERNAL RESOURCES;

ab) 1.3.4.45.02-3 - Federal Public Securities - National Treasury;

ac) 1.3.4.45.04-7 - Federal Public Securities - Central Bank;

ad) 1.3.4.45.19-5 - Federal Public Securities - Others;

ae) 1.3.6.10.02-3 - Federal Public Securities - National Treasury;

af) 1.3.6.10.04-7 - Federal Public Securities - Central Bank;

ag) 1.3.6.10.19-5 - Federal Public Securities - Others;

ah) 1.3.6.15.02-8 - Federal Public Securities - National Treasury;

ai) 1.3.6.15.04-2 - Federal Public Securities - Central Bank;

aj) 1.3.6.15.19-0 - Federal Public Securities - Others;

ak) 1.3.6.20.02-0 - Federal Public Securities - National Treasury;

al) 1.3.6.20.04-4 - Federal Public Securities - Central Bank;

am) 1.3.6.20.19-2 - Federal Public Securities - Others;

an) 1.3.6.99.02-0 - (-) Federal Public Securities - National Treasury;

ao) 1.3.6.99.04-4 - (-) Federal Public Securities - Central Bank;

ap) 1.3.6.99.19-2 - (-) Federal Public Securities - Others;

aq) 1.4.2.10.00-6 - CENTRAL BANK - DEPOSITS IN FOREIGN CURRENCIES;

ar) 1.4.2.15.00-1 - CENTRAL BANK - DEPOSITS FOR CAPITAL IN CASH;

as) 1.4.2.28.00-5 - MANDATORY RESERVES IN CASH AT THE CENTRAL BANK;

at) 1.4.2.33.00-7 - CENTRAL BANK - MANDATORY DEPOSITS;

au) 1.4.2.35.00-5 - CENTRAL BANK - OTHER DEPOSITS;

av) 1.4.2.80.00-5 - AGRICULTURAL CREDIT - PROAGRO TO BE RECEIVED.

aw) 1.4.2.99.10-6 - (-) Linked Credits - Central Bank;

ax) 1.4.2.99.50-8 - (-) Linked Credits - Proagro;

ay) 1.8.5.90.00-7 - NATIONAL TREASURY - EXTENSION OF AGRICULTURAL CREDIT;

az) 1.8.8.40.05-6 - For Filing Tax Appeals Law 9.703/98;

V - advances of contributions to the Credit Guarantee Fund (FGC) and the Credit Cooperatives Guarantee Fund (FGCoop), which correspond to the values of account 1.8.8.02.00-1 – ADVANCES TO FGC;

VI - foreign currency and gold purchase or sale operations with spot settlement, to be settled in clearing or settlement service providers' systems, in which an entity acts as a central counterparty, which correspond to the sum of the values of the accounts:

a) 1.8.2.06.32-2 - Financial - Operations in Clearing and Settlement Chambers;

b) 1.8.2.25.22-4 - Financial - Operations in Clearing and Settlement Chambers;

VII - freely movable deposits held in banking establishments, which correspond to the sum of the values of the accounts:

a) 1.1.2.00.00-2 - Bank Deposits;

b) 1.2.5.00.00-0 - Savings Deposit Investments;

VIII - net availability transferred as a result of the cooperative act known as financial centralization, which correspond to the values of account 1.4.5.00.00-8 - Financial Centralization - Cooperatives;

IX - repurchase agreements carried out with securities issued by the National Treasury or the Central Bank of Brazil, which correspond to the sum of the values of the accounts:

a) 1.2.1.10.03-6 - Treasury Financial Notes;

b) 1.2.1.10.05-0 - Treasury Notes;

c) 1.2.1.10.07-4 - National Treasury Notes;

d) 1.2.1.10.10-8 - National Treasury Obligations;

e) 1.2.1.10.12-2 - National Treasury Bonds;

f) 1.2.1.10.15-3 - Central Bank Notes;

g) 1.2.1.10.16-0 - Central Bank Notes;

h) 1.2.1.10.18-4 - Central Bank Bonds;

i) 1.2.1.10.70-6 - Securities of the Union's Responsibility Abroad;

j) 1.2.1.20.03-3 - Treasury Financial Notes;

k) 1.2.1.20.05-7 - Treasury Notes;

l) 1.2.1.20.07-1 - National Treasury Notes;

m) 1.2.1.20.10-5 - National Treasury Obligations;

n) 1.2.1.20.12-9 - National Treasury Bonds;

o) 1.2.1.20.15-0 - Central Bank Notes;

p) 1.2.1.20.16-7 - Central Bank Notes;

q) 1.2.1.20.18-1 - Central Bank Bonds;

r) 1.2.1.30.02-3 - Federal Public Securities - National Treasury;

s) 1.2.1.30.04-7 - Federal Public Securities - Central Bank.

t) 1.3.2.10.03-8 - Treasury Financial Notes;

u) 1.3.2.10.05-2 - Treasury Notes;

v) 1.3.2.10.07-6 - National Treasury Notes;

w) 1.3.2.10.10-0 - National Treasury Obligations;

x) 1.3.2.10.12-4 - National Treasury Bonds;

y) 1.3.2.10.15-5 - Central Bank Notes;

z) 1.3.2.10.16-2 - Central Bank Notes;

aa) 1.3.2.10.18-6 - Central Bank Bonds;

ab) 1.3.2.10.70-8 - Securities of the Union's Responsibility Abroad;

ac) 1.3.7.10.02-6 - Federal Public Securities - National Treasury;

ad) 1.3.7.10.04-0 - Federal Public Securities - Central Bank;

X - forward purchase and sale operations of foreign currency and gold with spot settlement carried out with financial institutions and other institutions authorized to operate by the Central Bank of Brazil, which correspond to the sum of the values of the accounts:

a) 1.8.2.06.40-1 - Interbank for Spot Settlement;

b) 1.8.2.06.70-0 - Interdepartmental and Arbitrage;

c) 1.8.2.07.40-0 - (-) Interbank for Spot Settlement;

d) 1.8.2.25.30-3 - Interbank for Spot Settlement;

e) 1.8.2.25.60-2 - Interdepartmental and Arbitrage;

XI - advances granted in the operations referred to in Article 7, item IV, of Circular No. 3,862, of 2017, which correspond to the sum of the modules of the values of the accounts:

a) 4.9.2.06.00-9 - (-) ADVANCES IN FOREIGN CURRENCIES GRANTED;

b) 4.9.2.36.30-9 - (-) To Financial Institutions;

XII - rights resulting from the novation of debts of the Wage Variation Compensation Fund (FCVS), as provided for in Law No. 10,150, of December 21, 2000, which correspond to the values of account 1.4.2.65.00-6 - SFH - WAGE VARIATION COMPENSATION FUND;

XIII - time deposits in financial institutions, provided they are not subject to a special regime, as well as exposures that have as their underlying asset the securities issued by them, which correspond to the sum of the values of the accounts:

a) 1.3.1.05.25-3 - Bank Deposit Certificates;

b) 1.3.1.05.30-1 - CDB - Linked Financial Institution;

c) 1.3.1.05.35-6 - Bills of Exchange;

d) 1.3.1.05.40-4 - LC - Linked Financial Institution;

e) 1.3.1.05.45-9 - Real Estate Notes;

f) 1.3.1.05.50-7 - LI - Linked Financial Institution;

g) 1.3.1.05.55-2 - Mortgage Notes;

h) 1.3.1.05.60-0 - LH - Linked Financial Institution;

i) 1.3.1.05.97-8 - Issued by Financial Entities Linked to Official International Organizations;

j) 1.3.1.10.25-5 - Bank Deposit Certificates;

k) 1.3.1.10.30-3 - CDB - Linked Financial Institution;

l) 1.3.1.10.35-8 - Bills of Exchange;

m) 1.3.1.10.40-6 - LC - Linked Financial Institution;

n) 1.3.1.10.45-1 - Real Estate Notes;

o) 1.3.1.10.50-9 - LI - Linked Financial Institution;

p) 1.3.1.10.55-4 - Mortgage Notes;

q) 1.3.1.10.60-2 - LH - Linked Financial Institution;

r) 1.3.1.10.95-6 - Securities that Make Up the PR of Institutions Authorized to Operate by the Central Bank;

s) 1.3.1.10.97-0 - Issued by Financial Entities Linked to Official International Organizations;

t) 1.3.1.99.50-6 - (-) Securities Issued by Linked Financial Institutions;

u) 1.3.1.99.55-1 - (-) Securities Issued by Non-Linked Financial Institutions;

v) 1.8.8.40.15-9 - For Filing Other Tax Appeals;

w) 1.8.8.40.20-7 - For Filing Labor Appeals;

XIV - interbank deposits, which correspond to the values of account 1.2.2.00.00-1 - Investments in Interbank Deposits;

XV - values of contracted credits to be released, which correspond to the sum of the values of the accounts:

a) 3.0.9.80.00-4 - SFH - INSTALLMENTS OF FINANCING TO BE RELEASED;

b) 3.0.9.86.00-8 - VALUES OF CONTRACTED CREDITS TO BE RELEASED;

XVI - forward purchase or sale operations of foreign currency carried out with natural persons or legal entities, observing the provisions of item IV of Article 7 of Circular No. 3,862, of 2017, which correspond to the sum of the values of the accounts:

a) 1.8.2.06.25-0 - Gold;

b) 1.8.2.06.30-8 - Financial;

c) 1.8.2.07.25-9 - (-) Gold;

d) 1.8.2.07.30-7 - (-) Financial;

e) 1.8.2.25.10-7 - Import;

f) 1.8.2.25.20-0 - Financial;

g) 1.8.2.25.25-5 - Gold;

h) 1.8.2.26.70-4 - (-) Spot Settlement Foreign Exchange Operations;

XVII – credit operations, which correspond to the sum of the values of the accounts:

a) 1.6.0.00.00-1 - CREDIT OPERATIONS;

b) 1.8.8.75.10-0 - From Credit Operations;

c) 1.8.9.00.00-6 - (-) Provisions for Other Credits;

XVIII - leasing operations, which correspond to the sum of the values of the accounts:

a) 1.7.0.00.00-0 - LEASING OPERATIONS, minus the module of the values of account 4.9.9.08.00-8 - CREDITORS FOR ANTICIPATION OF RESIDUAL VALUE;

b) 1.8.8.75.20-3 - From Leasing Operations;

c) 2.3.0.00.00-1 - LEASING FIXED ASSETS;

XIX - advances granted, which correspond to the sum of the values of the accounts:

a) 1.8.2.75.00-9 RENTALS TO BE RECEIVED FROM ADVANCES GRANTED;

b) 1.8.2.85.00-6 EXPENSES TO BE APPORTIONED FROM RECEIVED ADVANCES;

c) module of the values of account 4.9.2.36.00-0 - (-) ADVANCES ON FOREIGN EXCHANGE CONTRACTS, minus the module of the values of account 4.9.2.36.30-9 - (-) To Financial Institutions;

XX - investments in investment fund shares, which correspond to the values of account 1.3.1.15.00-9 - INVESTMENT FUND SHARES;

XXI - other sale repurchase agreement operations, which correspond to the sum of the values of the accounts:

a) 1.3.2.10.20-3 - State and Municipal Securities;

b) 1.3.2.10.25-8 - Bank Deposit Certificates;

c) 1.3.2.10.30-6 - CDB - Linked Financial Institution;

d) 1.3.2.10.35-1 - Bills of Exchange;

e) 1.3.2.10.40-9 - LC - Linked Financial Institution;

f) 1.3.2.10.45-4 - Real Estate Notes;

g) 1.3.2.10.50-2 - LI - Linked Financial Institution;

h) 1.3.2.10.62-9 - Real Estate Receivables Certificates;

i) 1.3.2.10.65-0 - Debentures;

j) 1.3.2.10.85-6 - Other Securities Abroad;

k) 1.3.2.10.99-7 - Others;

l) 1.3.7.10.90-9 - Other Fixed Income Securities;

XXII - operations for which there is no specific Risk Weighting Factor (RWF) established by Circular No. 3,862, of 2017, which correspond to the sum of the values of the other Current and Long-Term Receivable Asset and Permanent Asset accounts listed in Cosif referring to operations consistent with the simplified risk profile requirements referred to in Articles 4 and 5 of Resolution No. 4,606, of 2017, and not deducted from the Simplified Reference Equity (PRS5), mentioned in Circular Letter No. 3,850, of December 19, 2017.

Art. 2° This Circular Letter enters into force on February 18, 2018.

Jaildo Lima de Oliveira