Circular No. 3,841 — Amends Circular No. 3,749 of March 5, 2015, Establishing the Calculation Methodology and Disclosure Requirements for the Short-Term Liquidity Indicator (LCR)

CIRCULAR NO. 3,841, OF JULY 27, 2017

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

The Collegiate Board of the Central Bank of Brazil, in a session held on July 27, 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 Arts. 4, 6, 12, 13, 16, 20, 25, 27, 31, 38 and 39 of Circular No. 3,749, of March 5, 2015, shall enter into force with the following wording:

“Art. 4 .............................................................................................................
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§ 9 For the purposes of the assessment of the requirement referred to in item III of the caput, the institution must consider, among others, with regard to assets, the volatility, the eventual hedge for market risk, the credit quality of the issuers, the degree of subordination, the ability of the institution to obtain liquidity through definitive sale or repo operations, and the relative stability of market benchmarks, such as prices and trading volumes, taking into account the characteristics of the markets and the jurisdictions where the assets are traded.

§ 10. In considering the elements mentioned in § 9, the institution must use criteria that are consistent and verifiable.” (NR)

“Art. 6 .............................................................................................................
..........................................................................................................................
VII - Brazilian federal public debt securities liquid, issued in foreign currency, up to the limit of net cash outflows in the respective currency resulting from the institution’s operations in Brazil; ................................................................................................................” (NR)

“Art. 12 ...........................................................................................................
I - ......................................................................................................................

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a) that the customer has had a checking or savings account at the institution for at least three years and is a user of at least one other product or service of the institution besides the checking or savings account; or b) that the customer receives regular benefits, such as salary or pension, at the institution;
II - .....................................................................................................................
a) that the customer has had a checking or savings account at the institution for at least three years and is a user of at least one other product or service of the institution besides the checking or savings account; or ................................................................................................................” (NR)

“Art. 13 ...........................................................................................................
I - (Revoked)
II - 5% (five percent) of the balances corresponding to stable retail deposits; and
..........................................................................................................................
§ 1 The balances considered in item II of the caput are limited to the value covered by deposit insurance.

§ 2 The portions of the deposits treated in item II of the caput that exceed the deposit insurance limit must be considered in the balances referred to in item III of the caput.

§ 3 The provisions of items II and III of the caput apply to the balance of retail deposits:
................................................................................................................” (NR)

“Art. 16 ...........................................................................................................
I - (Revoked)
II - 5% (five percent) of the balances corresponding to operational deposits covered by deposit insurance from FGC or FGCoop or by other effective deposit insurances, according to criteria established in § 1 of art. 12;
..........................................................................................................................
§ 1 The balances referred to in item II of the caput are limited to the value of the deposit insurance, considering the average value per customer of the total balance of operational deposits.

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§ 2 All deposits originating from operational deposits that do not fit the definitions of item II of the caput must be considered in the balances referred to in item III of the caput, including the balance amount of these deposits that exceeds the deposit insurance limit value.” (NR)

“Art. 20 ...........................................................................................................
§ 1 The deposits referred to in the caput are limited to repo operations, securities lending, collateral swaps, and equivalent operations.
................................................................................................................” (NR)

“Art. 25 ...........................................................................................................
..........................................................................................................................
§ 4 The impact of the downgrade of the institution’s risk classification referred to in item I of the caput must consider the impact on all types of margin and contractual triggers that alter the institution’s rights to use collateral received from clients and not segregated in its own operations.” (NR)

“Art. 27 ...........................................................................................................
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VIII - 100% (one hundred percent) of the projected cash outflows for the next thirty days due to the possibility of the institution providing financial support to non-consolidated entities; IX - 1% (one percent) of the balances related to judicial deposits; X - 100% (one hundred percent) of the projected cash outflows for the next thirty days due to contingent, contractual, or non-contractual obligations, not covered in items I to VIII.
..........................................................................................................................
§ 3 The cash outflow referred to in item VIII must be calculated when there is an expectation that the institution will be the main provider of liquidity to the entity when it faces liquidity stress.

§ 4 The methodology for determining the cash outflows referred to in items VIII and X must be defined and applied by the institution, based on consistent and verifiable criteria.” (NR)

“Art. 31 ...........................................................................................................
..........................................................................................................................

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§ 1 For the purposes of the provision in the caput, collateralized loans are limited to repo operations, securities lending, collateral swaps, and equivalent operations. ................................................................................................................” (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;
..........................................................................................................................
§ 4 The expected receipt referred to in item II of the caput must correspond to the current billed balance receivable by the institution in the next thirty days of post-paid payment instruments multiplied by the lowest percentage value received from these instruments in the last twelve months of the total balance of issued invoices.

§ 5 The expected receipts referred to in item II of the caput must be deducted from the current billed balance receivable related to credit operations and similar operations carried out between the institution and its clients.

§ 6 The receipts related to credit operations and similar operations referred to in § 5 must be treated according to the provisions of Section II of Chapter VII of this Circular and item IV of art. 39.” (NR)

“Art. 39 ...........................................................................................................
..........................................................................................................................
IV - expected receipt related to payments from used revolving credit lines; ................................................................................................................” (NR)

Art. 2 Circular No. 3,749, of 2015, is amended by adding arts. 4-A, 4-B, 45-C and 45-D, with the following wording:

“Art. 4-A The excess of HQLA held in entities part of the prudential conglomerate can only be recognized in the HQLA stock if:
I - there is no restriction regarding its availability for use by the controlling entity, including in cases of stress; and

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II - it is free from any legal, regulatory, statutory, or contractual impediment or restriction for its transfer to entities that make up the prudential conglomerate.

Sole paragraph. The excess HQLA referred to in the caput must be measured by the difference between the HQLA stock held by the entity part of the prudential conglomerate and the total projected net cash outflows for the next thirty days for that same entity.” (NR)

“Art. 4-B Institutions must maintain processes to identify and monitor possible restrictions on liquidity transfer referred to in item II of art. 4-A and to evaluate the potential liquidity risks arising from these restrictions for the prudential conglomerate as a whole.” (NR)

“Art. 45-C. In the calculation of the LCR on a consolidated basis, for a subsidiary or branch part of the prudential conglomerate located in a foreign jurisdiction member of the Basel Committee on Banking Supervision, the definitions of retail deposits and respective cash outflows provided in the LCR regulation of that jurisdiction must be used, when existing, in substitution for those established in this Circular.” (NR)

“Art. 45-D. The institution must immediately inform the Central Bank of Brazil if there is an expectation that it will not be possible to comply with the minimum LCR limits established in art. 5 of Resolution No. 4,401, of February 27, 2015.” (NR)

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

Art. 4 This Circular enters into force:
I - from January 1, 2018, regarding the alteration relative to arts. 12 and 38 of Circular No. 3,749, of March 5, 2015, referred to in art. 1 of this Circular; and II - on the date of its publication, regarding the other alterations.

Art. 5 Items I of art. 13, item I of art. 16, and item I of art. 29 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 version in the DOU of 7/31/2017, Section 1, p. 225/226, and in Sisbacen.

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UNIQUE 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 deposits, of which:
3 Stable deposits
4 Less stable deposits
5 Unsecured wholesale deposits, of which:
6 Operational deposits (all counterparties) and deposits of affiliated cooperatives 7 Non-operational deposits (all counterparties) 8 Unsecured obligations 9 Secured wholesale deposits 10 Additional requirements, of which:
11 Related to exposure to derivatives and other collateral requirements 12 Related to loss of deposit 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 Collateralized loans 18 Openly granted operations, fully paid 19 Other cash inflows 20 Total cash inflows

1 Corresponds to the total balance regarding the item of cash inflows or outflows.
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 (%)

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

Line Number Filling Instruction
1 Sum of HQLA, before the application of any limit, excluding assets that do not fit the operational requirements, according to arts. 4 to 9 2 Sum of lines 3 and 4 3 According to art. 13, item 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, except for the issuances referred to in §1 of art. 18, and art. 19 8 According to item III of art. 18, except for amounts already considered in line 7 9 According to arts. 20 and 21 10 Sum of lines 11, 12 and 13 11 According to arts. 23 and 25 12 According to 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 the application of limits applicable to Level 2 and Level 2B HQLA, according to art. 7 22 Line 16 subtracted from line 20, after the application of a limit on cash inflows, according to the sole paragraph of art. 2 23 Value of the Short-Term Liquidity Indicator (LCR), after the application of limits on Level 2 and Level 2B HQLA and on cash inflows

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