Circular No. 3.393

CIRCULAR N. 003393 ------------------ Provides for the control of liquidity risk addressed in Resolution No. 2.804, of 2000, and establishes procedures for the submission of information. The Board of Directors of the Central Bank of Brazil, in a session held on 1 July 2008, based on the provisions of arts. 10, item IX, with the renumbering given by Law No. 7.730, of 31 January 1989, and 11, item VII, of Law No. 4.595, of 31 December 1964, and taking into account the provisions of Resolution No. 2.804, of 21 December 2000, D E C I D E D: Art. 1 The information relating to the control of liquidity risk addressed in Resolution No. 2.804, of 21 December 2000, must be submitted to the Department of Monitoring of the Financial System and Information Management (Desig), by the tenth day of the following month, in the form established by it, with the base date being the last business day of each month. § 1 The information addressed in the caput must be sent by multiple banks, commercial banks, investment banks, savings banks and institutions responsible for financial conglomerates that contain at least one institution constituted in the form of a multiple bank, commercial bank or investment bank. § 2 The information to be forwarded by institutions responsible for financial conglomerates must be calculated on a consolidated basis. § 3 Desig may request information for dates other than the base date established in this article. § 4 The provision of information shall begin as of the base date of 31 October 2008. Art. 2 The methodology used to prepare the information addressed in this circular must be established based on consistent and verifiable criteria, in accordance with the norms in force. Sole paragraph. Institutions must keep at the disposal of the Central Bank of Brazil, for a minimum period of five years, the data and documentation that served as support for the preparation of the information submitted. Art. 3 For the purposes of the provisions of art. 2 of Resolution No. 2.804, of 2000, the following are considered: I - negotiable assets: the financial assets addressed in Resolution No. 3.534, of 31 January 2008, including the unused amount of contracted credit lines, not unconditionally and unilaterally cancellable, of which the institution is a beneficiary and the forecasts of receipts from derivative positions, arising from their maturity, adjustment or exercise; II - demandable liabilities: the financial liabilities addressed in Resolution No. 3.534, of 2008, including the unused amount of granted credit lines and the other commitments relating to the provision of guarantee, surety, co-obligation, credit assignment contracts in which the institution acts as assignee or any other modality of personal guarantee of the fulfillment of a financial obligation of third parties, and the forecasts of payments of derivative positions, arising from their maturity, adjustment or exercise. Art. 4 For the purposes of carrying out the stress tests addressed
in art. 4, item V, of Resolution No. 2.804, of 2000, the following must be considered, at a minimum: I - adverse conditions that: a) imply a reduction in the funds raised; b) hinder access to new funds; c) restrict the financial realization of assets in active markets; II - changes in market parameters that imply: a) immediate financial disbursements; b) margin or guarantee top-ups; c) depreciation of negotiable assets in active markets. § 1 An active market is understood as one in which transactions of assets or liabilities occur voluntarily, between independent parties and with sufficient frequency and volume to provide information on the respective prices on a continuous basis. § 2 Assets accepted in repurchase operations with the Central Bank of Brazil are also considered as negotiable in active markets. Art. 5 The contingency plan addressed in art. 4, item VII, of Resolution No. 2.804, of 2000, must consider strategies and procedures necessary to at least lead the institution to balance its payment capacity, taking into account the potential imbalances identified in the stress tests referred to in art. 4 of this circular. Art. 6 The procedures relating to the preparation and timely submission of the information addressed in this circular are the responsibility of the director indicated under the terms of art. 7 of Resolution No. 2.804, of 2000. Art. 7 This circular enters into force on the date of its publication. Brasília, 3 July 2008. Alvir Alberto Hoffmann Alexandre Antonio Tombini Director Director