Circular No. 3,762 — Amends Circular No. 3,749 of March 5, 2015, establishing the methodology for calculating the Short-Term Liquidity Indicator (LCR) and providing for the disclosure of information related to the LCR

CIRCULAR NO. 3,762, OF AUGUST 20, 2015

Amends Circular No. 3,749, of March 5, 2015, which establishes the methodology for calculating the Short-Term Liquidity Indicator (LCR) and provides for the disclosure of information related to the LCR.

The Collegiate Board of the Central Bank of Brazil, in a session held on August 19, 2015, based on arts. 10, item IX, and 11, item VII, of Law No. 4,595, of December 31, 1964, and on art. 8 of Resolution No. 4,401, of February 27, 2015, and having in view the provisions of Resolution No. 4,090, of May 24, 2012,

R E S O L V E:

Art. 1 The arts. 4, 6, 8, 9, 13, 18, 22, 23, 27, 34, 36 and 38 of Circular No. 3,749, of March 5, 2015, shall enter into force with the following wording:

“Art. 4 ............................................................................................................
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§ 2 ..................................................................................................................
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IV - received as collateral, including in collateral swap operations or asset leasing, whose operations maturity is less than thirty days, or whose holders have the right to withdraw within the next thirty days without the need for prior consent of the institution; V - held in institutions of the prudential conglomerate that do not have access to the markets in which these assets are traded and that cannot be transferred for any reason to other institutions of the prudential conglomerate that have access to these markets.
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§ 8 The assets received in repurchase operations with commitment to resell do not fall under the provision of item IV of § 2.” (NR)

“Art. 6 ............................................................................................................
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II - free or releasable reserves in central banks within the next thirty days;
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V - mandatory reserves in foreign central banks not considered in item II of the caput, limited to the amount of redemption allowed by the local regulator;
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VII - Brazilian federal public bonds net issued abroad;
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X - amount of total mandatory reserves collected at the Central Bank of Brazil, not considered in the portions referred to in items II, III and IV of the caput, limited to 15% of the total Level 1 assets of the institution in Brazil. § 1 The free or releasable reserves referred to in item II of the caput correspond to the portion of the balance of the amount deposited in a central bank, in cash or securities, exceeding the amount that must be collected at the central bank, as defined in § 5 of art. 23. § 2 The mandatory reserves referred to in items III, IV and X of the caput do not include amounts deposited at the Central Bank of Brazil due to non-compliance with the resource direction.
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§ 4 The amount of mandatory reserves to be considered Level 1 HQLA referred to in item III of the caput is limited to the amounts collected at the Central Bank of Brazil, discounted, by mandatory reserve modality, the portions referred to in item II of the caput. § 5 The other mandatory reserves referred to in item IV of the caput and that make up the Level 1 HQLA stock are defined as the cash outflow percentages of deposits subject to mandatory collection applied to the respective amounts collected at the Central Bank of Brazil discounted from the portions, according to the mandatory reserve modality, referred to in item II of the caput. § 6 The amount of mandatory reserve to be considered Level 1 HQLA referred to in item X of the caput is limited to the amounts collected at the Central Bank of Brazil, discounted from the portions referred to in items II, III and IV of the caput. ...................................................................................................................” (NR)

“Art. 8 ............................................................................................................
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§ 5 The risk classification referred to in item I of § 4, in the case of bonds issued in the local currency of a certain jurisdiction, may consider the national scale of this jurisdiction, if available. § 6 The HQLA classified according to the prerogative of § 5 may only be used to cover net cash outflows referenced in the same currency and due in the jurisdiction where the institution is located. ...............................................................................................................” (NR)

“Art. 9 ............................................................................................................
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§ 6 The risk classification referred to in item “c” of item II and item “a” of item III of the caput, in the case of bonds issued in the local currency of a certain jurisdiction, may consider the national scale of this jurisdiction, if available. § 7 The HQLA classified according to the prerogative of § 6 may only be used to cover net cash outflows referenced in the same currency and due in the jurisdiction where the institution is located.” (NR)

“Art. 13. ..........................................................................................................
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§ 8 When deposit insurance offers coverage for more than one type of deposit, funding, or issuance, the institution must consider as insured first the liabilities with longer maturities, or those in which the counterparties acquire the right to withdraw over a longer period.” (NR)

“Art. 18. ..........................................................................................................
I - 40% (forty percent) of the balances corresponding to wholesale customer funding referred to in art. 14, from non-financial companies, from central governments and their respective central banks, from multilateral organizations and EMDS referred to in art. 19, item V, of Circular No. 3,644, of 2013, and from SPOs, including funds constituted with public resources for the specific purpose of promoting national or regional development; II - 20% (twenty percent) of the balances corresponding to funding with the counterparties referred to in item I, if the total balance of the counterparty, including operational deposits, does not exceed the deposit insurance coverage limit of the FGC, or the FGCoop, or another entity that offers effective deposit insurance, observed the provisions of § 1 of art. 12;
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Sole Paragraph. When deposit insurance offers coverage for more than one type of deposit, funding, or issuance, the institution must consider as insured first the liabilities with longer maturities, or those in which the counterparties acquire the right to withdraw over a longer period.” (NR)

“Art. 22. Cash outflows corresponding to bond and securities issuances maturing in thirty days, issued with intermediation, or directly in the financial market, must be considered:
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“Art. 23. ..........................................................................................................
I - 100% (one hundred percent) of disbursements related to contractual obligations scheduled for the next thirty days, considering, at minimum:
a) amount of loans and financing already contracted and whose resources have not yet been released to clients, including those related to letters of credit, foreign trade operations, pass-through operations and directed credit operations; b) amount in foreign trade financing operations to be contracted or to be deposited in correspondent banks; c) amount to be paid in the next thirty days resulting from the maturity of obligations with resource providers for pass-through operations and for foreign trade financing funding;
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III - 100% (one hundred percent) of the amount to be collected at central banks or to be released in directed credit operations to be contracted in the next thirty days to meet mandatory collections and credit directions due on the LCR calculation date;
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§ 1 For the purposes of the provision of item II of the caput, structured operations are considered those representing a unique and indivisible set of rights and obligations, which do not qualify as COEs. § 2 The amount referred to in item III of the caput corresponds to the difference between the amounts due for mandatory collections and credit directions on the LCR calculation date and the amounts deposited in central banks. § 3 The amounts due referred to in § 2 must be adjusted, considering:

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I - the active credit portfolio, including operations maturing in thirty days, referring to deductible operations and directed credit operations; II - the amounts to be released in deductible operations and in directed credit operations already contracted; and III - cash and other items considered in meeting credit directions and mandatory collections. § 4 The calculation referred to in § 2 must consider the future due amounts of mandatory requirements and credit direction exigibilities when, on the base date, there are calculation periods already finalized, but whose movement periods will start in the next thirty days. § 5 If in the calculation referred to in § 2 the deposited amount is greater than the necessary to meet the mandatory collection, or to meet the credit direction, the difference must be considered as free or releasable reserve referred to in item II of art. 6. § 6 The cash outflows considered in item V of the caput include the assets and collateral to be delivered in the next thirty days by the institution, resulting from collateral swap operations and leasing operations already contracted and that will be settled in the next thirty days.” (NR)

“Art. 27. ..........................................................................................................
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VII - 100% (one hundred percent) of the greater value between the total amount of assets received by the institution with the objective of performing market maker operations, and the greater disbursement observed, in a thirty-day period, in the last five years, related to market maker operations. ...............................................................................................................” (NR)

“Art. 34. ..........................................................................................................
Sole Paragraph. The deposits referred to in the caput include those held in correspondent banks that refer to resources raised for foreign trade financing or resources received from clients related to foreign trade financing operations.” (NR)

“Art. 36. Cash inflows must be considered as a variable percentage of the amount related to the receipts expected in thirty days, regarding investment fund quotas held by the institution:

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I - 75% (seventy-five percent) of the amount, when it is a subordinated quota; and II - 100% (one hundred percent) of the amount, when it is not a subordinated quota. § 1 The cash inflows referred to in the caput include the payments expected in the next thirty days relating to:
I - dividends, interest, earnings and other proceeds; II - quota amortization; and III - quota redemption provided for in the fund regulations or fund manager. § 2 The investment fund quotas referred to in the caput refer to those that do not integrate the financial statements referred to in Resolution No. 4,280, of October 31, 2013.” (NR)

“Art. 38. ..........................................................................................................
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II - 100% (one hundred percent) of the expected receipts related to the payment of post-paid payment instruments expected for the next thirty days, considering:
a) as expected receipt: the current billed balance to be received in the next thirty days of post-paid payment instruments multiplied by the lowest percentage received from these instruments in the last twelve months of the total billed amount issued; and b) the balance to be received referred to in item “a” of this item may include the amounts to be received related to cash purchases, installment purchases, withdrawals effected, loans granted, revolving credit, bill payments and respective tariffs; III - 100% (one hundred percent) of the following cash inflows related to credit portfolio purchase operations:
a) amount to be received from the assignors, regarding the payment of the installments of the acquired portfolios, when the assignors remain administering the receipt of the installments; and b) amount to be received from the assignee bank, resulting from credit portfolio sale operations already contracted and that will be settled in the next thirty days;

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IV - 100% (one hundred percent) of other contractual cash inflows with maturity in the next thirty days, not provided for in arts. 31 to 37 or in items I to III of this article, observing the criteria provided for in art. 30. ...............................................................................................................” (NR)

Art. 2 The Annex I of Circular No. 3,749, of 2015, shall enter into force in the form of the annex of this Circular.

Art. 3 This Circular enters into force on the date of its publication.

Art. 4 Items VI and VII of § 2 of art. 4, item XI of art.
6 and item V of art. 38 of Circular No. 3,749, of March 5, 2015, are hereby revoked.

Otávio Ribeiro Damaso
Director of Regulation

This text does not replace the published in the DOU of 8/21/2015, Section 1, p. 25/26, corrected in the DOU of 8/24/2015, Section 1, p. 22, and in Sisbacen.

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ANNEX
Information on the Short-Term Liquidity Indicator (LCR) Average Value 1 (R$ thousand) Weighted Average Value 2 (R$ thousand) Line Number High-Quality Liquid Assets (HQLA) 1 Total High-Quality Liquid Assets (HQLA) Line Number Cash Outflows 2 Retail funding, of which:
3 Stable funding
4 Less stable funding
5 Unsecured wholesale funding, of which:
6 Operational deposits (all counterparties) and deposits of affiliated cooperatives 7 Non-operational deposits (all counterparties) 8 Other unsecured wholesale funding 9 Secured wholesale funding 10 Additional requirements, of which:
11 Related to exposure to derivatives and to other collateral requirements 12 Related to loss of funding through issuance of debt instruments 13 Related to credit and liquidity lines 14 Other contractual obligations 15 Other contingent obligations 16 Total cash outflows Line Number Cash Inflows 17 Secured loans 18 Open operations granted, fully paid 19 Other cash inflows 20 Total cash inflows Total Adjusted Value 3 (R$ thousand) 21 Total HQLA 22 Total net cash outflows 23 LCR (%)

1 Corresponds to the total balance regarding the cash inflow or outflow item.
2 Corresponds to the value after applying the weighting factors.
3 Corresponds to the value calculated after applying the weighting factors and the limits (Level 2 and 2B and cash inflows)

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Filling Instruction for the Table “Information on the Short-Term Liquidity Indicator (LCR)” Line Number Filling Instruction 1 Sum of HQLA, before applying any limit, excluding assets that do not fall under operational requirements, according to arts. 4 to 9 2 Sum of lines 3 and 4 3 According to art. 13, items I and II, and arts. 11 and 12 4 According to art. 13, item III, and arts. 11 and 12 5 Sum of lines 6, 7 and 8 6 According to arts. 15 to 17 7 According to items I, II and III of art. 18 and art. 19 8 According to item I of art. 22 9 According to arts. 20 and 21 10 Sum of lines 11, 12 and 13 11 According to arts. 23 and 25 12 Additional cash requirements, related to loss of funding through issuance of financial instruments, according to items II and III of art. 22 13 According to art. 26 14 According to arts. 23 and 28 15 According to art. 27 16 Sum of lines 2, 5, 9, 10, 14 and 15 17 According to art. 31 18 According to arts. 32, 33 and item “a” of item III of art. 38 19 According to arts. 34 to 38, except item “a” of item III of art. 38 20 Sum of lines 17, 18 and 19 21 Total HQLA after applying limits applicable to Level 2 HQLA and Level 2B, according to art. 7 22 Line 16 subtracted from line 20, after applying a limit on cash inflows, according to the sole paragraph of art. 2 23 Value of the Short-Term Liquidity Indicator (LCR), after applying limits on Level 2 and Level 2B HQLA and on cash inflows