Circular No. 3,826 — Amends Circular No. 3,749 of March 5, 2015, establishing the calculation methodology and disclosure of Short-Term Liquidity Indicator (LCR) information

CIRCULAR NO. 3,826, OF JANUARY 26, 2017

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

The Collegiate Board of the Central Bank of Brazil, in a session held on January 24, 2017, 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,

RESOLVES:

Art. 1 Circular No. 3,749, of March 5, 2015, shall enter into force with the following amendments:

“Art. 3º ............................................................................................................
..........................................................................................................................
II - partial loss of wholesale funding capacity; ...................................................................................................................” (NR)

“Art. 11. For the purposes of this Circular, retail funding is considered to be deposits held at the financial institution whose counterparty is an individual or a small-sized private legal entity.
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§ 5º For LCR purposes, demand and time deposits are included as retail funding.
§ 6º For the purposes of the caput, deposits equivalent to deposits may be considered as retail funding, provided they additionally meet the following criteria:
I - are made with the institution’s own client, without public offering or placement in the capital market; and II - are redeemable directly at the institution, at least at the financial issuance value.” (NR)

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“Section II
Wholesale Funding
Art. 14. Wholesale funding is considered to be that which has legal entities as counterparties and for which there is no collateral guaranteeing the credit risk of the operation, as defined in the caput of art. 20.
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§ 4º Wholesale funding is not considered to be that which meets the provisions of the caput and is considered as retail funding.” (NR)

“Subsection III
Other Wholesale Funding
Art. 18. Other cash outflows from wholesale funding must be considered:
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§ 1º The other wholesale funding referred to in item III of the caput must include all issuances of securities maturing in thirty days, regardless of the resource-providing counterparty, observing the provisions of § 4 of art. 14. § 2º 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 counterparties acquire the right to withdraw in a longer term.” (NR)

“Art. 20. ..........................................................................................................
§ 1º The funding referred to in the caput includes repurchase agreements.
§ 2º Collateralized funding shall not be considered to be that whose collateral is issued by an institution of the same prudential conglomerate.” (NR)

“Section IV
Other Funding
Art. 22. Cash outflows corresponding to structured funding operations must be considered to be 100% (one hundred percent) of balances maturing in the next thirty days or maturing in more than thirty days if they allow for early settlement of the operation.
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§ 3º The operations referred to in the caput include:

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I - funding resulting from asset securitization; II - issuances of securities backed by the issuer institution’s assets, such as Guaranteed Real Estate Notes (LIG) as provided for in Law No. 13,097, of January 19, 2015, and covered bonds in general; and III - issuances of structured notes, such as Structured Operations Certificates (COE) as provided for in Resolution No. 4,263, of September 5, 2013, and similar structured operations.” (NR)

“Art. 23. ..........................................................................................................
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§ 1º For the purposes of item II of the caput, structured operations are considered to be those representing a unique and indivisible set of rights and obligations, which do not fall under art. 22. ...............................................................................................................” (NR)

“Art. 45-A. The use of estimates for parameters and amounts whose daily determination is of high operational complexity is admitted, and for which the expected daily variation does not pose a risk that the daily calculation of the indicator fails to adequately reflect the institution’s short-term liquidity, in the manner of LCR calculation. § 1º The parameters and amounts referred to in the caput must be updated at least once a month or upon the occurrence of an unexpected relevant event. § 2º The methodologies used in the estimates referred to in the caput must be based on consistent and verifiable criteria, with relevant information and changes documented. § 3º The estimates used under the prerogative provided for in the caput must be reported to the Central Bank of Brazil, in the report referred to in art. 50.” (NR)

“Art. 45-B. The Central Bank of Brazil may determine adjustments in the LCR calculation of the institution if it deems the processes and methodologies used to be inadequate.” (NR)

“Art. 46. The institutions referred to in art. 3 of Resolution No. 4,401, of 2015, must disclose information related to LCR calculation according to the standard format defined in the Annex of this Circular. ...............................................................................................................” (NR)

“Art. 50. ..........................................................................................................

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Sole paragraph. The information used for LCR calculation must be kept available to the Central Bank of Brazil for a period of at least twelve months.” (NR)

Art. 2 The Annex of Circular No. 3,749, of 2015, shall enter into force with the wording given by this Circular.

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

Art. 4 § 2 of art. 11, § 1 of art. 14, § 7 of art. 21, items I, II and III and §§ 1 and 2 of art. 22, and item IV of art. 38 of Circular No. 3,749, of March 5, 2015, are hereby repealed.

Otávio Ribeiro Damaso
Regulation Director

This text does not replace the published version in the DOU of 1/27/2017, Section 1, p. 9/10, and in Sisbacen.

Circular No. 3,826, of January 26, 2017 Page 5 of 6

SINGLE 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 Unsecured liabilities 9 Secured wholesale funding 10 Additional requirements, of which:
11 Related to exposure to derivatives and 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 Openly granted operations, fully paid 19 Other cash inflows 20 Total cash inflows

1 Corresponds to the total balance regarding the cash inflow or outflow item.
2 Corresponds to the value after application of weighting factors.

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Total Adjusted Value 3
(R$ thousand)
21 Total HQLA
22 Total net cash outflows
23 LCR (%)

Instructions for filling out the “Information on the Short-Term Liquidity Indicator (LCR)” Table

Line Number
Filling Instruction
1 Sum of HQLA, before application of any limit, excluding assets that do not meet operational requirements, as per arts. 4 to 9 2 Sum of lines 3 and 4 3 As per art. 13, items I and II, and arts. 11 and 12 4 As per art. 13, item III, and arts. 11 and 12 5 Sum of lines 6, 7 and 8 6 As per arts. 15 to 17 7 As per items I, II and III of art. 18, except for issuances referred to in § 1 of art. 18, and art. 19 8 As per item III of art. 18, except for amounts already considered in line 7 9 As per arts. 20 and 21 10 Sum of lines 11, 12 and 13 11 As per arts. 23 and 25 12 As per art. 22 13 As per art. 26 14 As per arts. 23 and 28 15 As per art. 27 16 Sum of lines 2, 5, 9, 10, 14 and 15 17 As per art. 31 18 As per arts. 32, 33 and item “a” of item III of art. 38 19 As per 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 application of limits applicable to Level 2 and Level 2B HQLA, as per art. 7 22 Line 16 subtracted from line 20, after application of limit on cash inflows, as per sole paragraph of art. 2 23 Value of the Short-Term Liquidity Indicator (LCR), after application of limits on Level 2 and Level 2B HQLA and on cash inflows

3 Corresponds to the value calculated after application of weighting factors and limits (Level 2 and 2B and cash inflows).