Circular No. 3,869 — Establishes the methodology for calculating the Long-Term Liquidity Indicator (NSFR), provides for the disclosure of information related to the NSFR, and amends Circular No. 3,749 of March 5, 2015

CIRCULAR Nº 3.869, DE 19 DE DEZEMBRO DE 2017

Establishes the methodology for calculating the Long-Term Liquidity Indicator (NSFR), provides for the disclosure of information related to the NSFR, and amends Circular No. 3,749 of March 5, 2015.

The Collegiate Board of the Central Bank of Brazil, in a session held on December 19, 2017, based on arts. 10, item IX, and 11, item VII, of Law No. 4,595 of December 31, 1964, and on art. 5 of Resolution No. 4,616 of November 30, 2017, and on art. 8 of Resolution No. 4,401 of February 27, 2015, and having in view the provisions of Resolution No. 4,557 of February 23, 2017,

RESOLVES:

CHAPTER I

ON THE OBJECT AND SCOPE OF APPLICATION

Art. 1 This Circular establishes the methodology for calculating the Long-Term Liquidity Indicator (NSFR), provides for the disclosure of information related to the NSFR, in accordance with the provisions of Resolution No. 4,616 of November 30, 2017, and promotes alterations in Circular No. 3,749 of March 5, 2015.

Sole Paragraph. The NSFR corresponds to the ratio between the amount of Available Stable Funding (ASF) and the amount of Required Stable Funding (RSF), calculated as provided in Chapters II, III, IV and V of this Circular.

CHAPTER II

ON AVAILABLE STABLE FUNDING (ASF)

Section I

General Provisions

Art. 2 The ASF amount must be equal to the sum of the products of the balances of the elements recorded in the liabilities and equity of the institution's balance sheet by their respective Available Resource Weighting Factors (FAS).

§ 1 For the calculation of the ASF amount, the balances mentioned in the caput must be determined according to the criteria established in the Accounting Plan of the Institutions of the National Financial System (Cosif), disregarding regulatory deductions and prudential adjustments, except those provided for in Resolution No. 4,277 of October 31, 2013, except as provided in the sole paragraph of art. 4 of this Circular.

§ 2 The balances mentioned in the caput must be net of their respective provisions.

§ 3 For the balances of derivative financial instruments recorded in liabilities, the provisions of arts. 23 to 26 must be observed.

Art. 3 The FAS applicable to the elements referred to in art. 2 must be defined based on the effective residual maturity of the respective element.

§ 1 For the purpose of defining the effective term, the maturity date must be the smallest among those provided in the contract, taking into account the need for adjustments due to the existence of:

I - automatic, explicit or embedded options, the exercise of which does not depend on the discretion of the institution;

II - reputational factors that may lead the institution to authorize the exercise of options that allow early redemption; or

III - expectation, by market agents, of redemption prior to the maturity date of the elements mentioned in the caput.

§ 2 The residual maturity referred to in the caput comprises the period between the NSFR calculation date and the effective maturity date according to § 1 of this article.

§ 3 In the event of periodic payments provided for in the contract, the book value of the elements referred to in the caput must be proportionally allocated to the respective maturity dates, observing the provisions of § 1, and the generated cash flows must be grouped into the following residual maturity periods:

a) less than 6 (six) months;

b) greater than or equal to 6 (six) months and less than 1 (one) year; or

c) greater than or equal to 1 (one) year.

§ 4 In the case of elements recorded in liabilities without a defined contractual maturity date, including those with open maturity clauses, except in the cases covered by art. 5 and art. 6, item II, the effective residual maturity must be considered as less than 6 (six) months.

§ 5 Alternatively to the provisions of § 4, provided that consistent, verifiable and clearly documented criteria are used, the following are admitted:

I - in the case of deferred tax liabilities, the use of the closest settlement date in establishing the effective residual maturity;

II - in the case of elements recorded in liabilities subject to contractual clauses with principal perpetuity not eligible to compose the Reference Capital (PR), as provided for in Resolution No. 4,192 of March 1, 2013, the use of a residual maturity greater than or equal to 1 (one) year, unless the provisions of §1 apply; and

III - in the case of judicial deposits, the use of a residual maturity greater than or equal to 1 (one) year for, at most, 97% (ninety-seven percent) of the balance.

§ 6 The percentage of the balance of judicial deposits mentioned in § 5, item III, may be altered by the Central Bank of Brazil if the criteria used and the documentation maintained by the institution do not ensure that the stability of these deposits is compatible with the percentage of 97% (ninety-seven percent).

Section II

On the FAS

Art. 4 A FAS of 100% (one hundred percent) must be applied:

I - to the amount of gross PR before the regulatory deductions provided for in art. 5 of Resolution No. 4,192 of 2013; and

II - to the balances of elements recorded in liabilities with an effective residual maturity greater than or equal to 1 (one) year.

Sole Paragraph. Instruments authorized to compose the PR before the entry into force of Resolution No. 4,192 of 2013 must be disregarded in the calculation of the amount referred to in the caput, item I.

Art. 5 To the balances of elements related to retail funding without a defined contractual maturity date, including those with open contractual maturity clauses, or with an effective residual maturity less than 1 (one) year, the following FAS must be applied:

I - 95% (ninety-five percent), to the balances of funding considered stable, in accordance with arts. 11 and 12 of Circular No. 3,749 of March 5, 2015; and

II - 90% (ninety percent), to the balances of funding considered less stable, in accordance with art. 12, § 2, of Circular No. 3,749 of 2015.

Art. 6 A FAS of 50% (fifty percent) must be applied to the balances of the following elements recorded in liabilities:

I - wholesale funding with an effective residual maturity less than 1 (one) year, with or without collateral, in accordance with arts. 14 and 20 of Circular No. 3,749 of 2015, originating from:

a) non-financial companies;

b) central governments;

c) multilateral organizations and Multilateral Development Entities (MDEs), as provided for in art. 19, item V, of Circular No. 3,644 of March 4, 2013; and

d) Public Sector Entities (PSEs), as provided for in art. 6, § 8, of Circular No. 3,749 of 2015.

II - operational deposits, as defined in art. 15 of Circular No. 3,749 of 2015;

III - deposits of affiliated cooperatives, as defined in art. 17 of Circular No. 3,749 of 2015;

IV - funding with an effective residual maturity greater than or equal to 6 (six) months and less than 1 (one) year, with or without collateral, originating from:

a) central banks; and

b) financial institutions, securities brokers, securities distributors, consortium administrators, insurance and reinsurance companies, clearing and settlement chambers acting as central counterparties, fiduciary entities and beneficiary entities mentioned in art. 26, § 5, of Circular No. 3,749 of 2015;

V - other elements recorded in liabilities with an effective residual maturity greater than or equal to 6 (six) months and less than 1 (one) year.

Art. 7 A FAS of 0% (zero percent) must be applied to the balances of the following elements recorded in liabilities or equity:

I - funding with an effective residual maturity less than 6 (six) months, with or without collateral, originating from the entities mentioned in art. 6, item IV, letters “a” and “b”;

II - operations in which the institution acts exclusively as an intermediary, assuming no rights or obligations, even if contingent;

III - obligations to settle resulting from the trading of financial instruments, foreign currency or commodities; and

IV - elements for which no specific FAS is established.

§ 1 For the purpose of applying the FAS of 0% (zero percent), the operations referred to in the caput, item II, must meet the following conditions:

I - linkage between the raised funds and the respective active operation;

II - compatibility between the cash flows of the active operation and the raised funds;

III - term of the funding operation equal to or greater than that of the active operation;

IV - counterparty of the funding operation distinct from the counterparty of the respective active operation; and

V - absence of any type of responsibility, contractual or extra-contractual, for the performance of third parties.

§ 2 The amounts to be passed on to shopkeepers or to payment institutions issuing post-paid payment instruments, mentioned in art. 23, item I, letter “f” of Circular No. 3,749 of 2015, are included in the operations referred to in the caput, item II.

§ 3 The caput, item III, does not include obligations related to derivative financial instruments, foreign currency operations resulting from trade financing and loan and pass-through operations.

CHAPTER III

ON REQUIRED STABLE FUNDING (RSF)

Section I

General Provisions

Art. 8 The RSF amount must be equal to the sum of the products of the balances of the elements recorded in the assets and off-balance sheet exposures of the institution by their respective Required Resource Weighting Factors (FRS).

§ 1 For the calculation of the RSF amount, the balances of elements recorded in assets must be determined according to the criteria established in Cosif, observing that:

I - the minimum requirements related to the pricing process of financial instruments, as provided for in Resolution No. 4,277 of 2013, must be considered when not recognized in accounting records;

II - the limits referred to in art. 7 of Circular No. 3,749 of 2015, for definition as High Quality Liquid Assets (HQLA), must not be considered; and

III - other prudential adjustments or regulatory deductions provided for in current regulation must not be considered.

§ 2 The balances mentioned in the caput must be net of their respective provisions.

§ 3 For the balances of derivative financial instruments recorded in assets, the provisions of arts. 23 to 26 must be observed.

Art. 9 For the calculation of the RSF amount, the following off-balance sheet exposures must be considered:

I - provision of guarantee, suretyship, joint obligation or any other form of personal guarantee for the fulfillment of financial obligations of third parties;

II - non-contractual contingent obligations;

III - credit lines and liquidity lines, taking into account both irrevocably unconditional, conditionally revocable and unconditionally revocable lines; and

IV - future disbursements.

Sole Paragraph. For the purposes of the provisions of the caput, the following are considered:

I - liquidity lines are contractual agreements for the supply of resources to the client with the objective of honoring its obligations maturing in the next twelve months until the completion of new issuances or fundraising to be carried out by the client;

II - credit lines are contractual agreements for the supply of resources to the client at a future date, with the possibility of withdrawal at any time during the valid term of the contract, which are not considered liquidity lines;

III - future disbursements are those related to contracted operations, including credit, and whose resources have not yet been released to clients, regardless of whether they are conditioned on the fulfillment, by the debtor, of pre-established conditions; and

IV - non-contractual contingent obligations are the institution's potential financial disbursements to meet non-contractual expectations of individuals or entities, with the main objective of mitigating their reputational risk.

Art. 10 The FRS applicable to the elements referred to in art. 8 must be defined based on the effective residual maturity of the respective element.

§ 1 For the purpose of defining the effective term, the maturity date must be the largest among those provided in the contract, taking into account the need for adjustments due to the existence of:

I - automatic, explicit or embedded options, the exercise of which does not depend on the discretion of the institution;

II - reputational factors that may lead the institution to authorize the exercise of options that allow the extension of the effective residual maturity; or

III - expectation, by market agents, of contractual renegotiation that results in the extension of the effective residual maturity of the elements mentioned in the caput.

§ 2 The residual maturity referred to in the caput comprises the period between the NSFR calculation date and the effective maturity date according to § 1 of this article.

§ 3 In the event of periodic receipts provided for in the contract, the book value of the element mentioned in the caput must be proportionally allocated to the respective maturity dates, observing the provisions of § 1, and the generated cash flows must be grouped into the following residual maturity periods:

a) less than 6 (six) months;

b) greater than or equal to 6 (six) months and less than 1 (one) year; or

c) greater than or equal to 1 (one) year.

§ 4 In the case of elements recorded in assets without a defined contractual maturity date, including those with open maturity clauses, the effective residual maturity must be considered as greater than or equal to 1 (one) year.

§ 5 Alternatively to the provisions of § 4, provided that consistent, verifiable and clearly documented criteria are used, in the case of committed operations and asset lending without a defined contractual maturity date, including those with open maturity clauses, the effective residual maturity may be defined according to a settlement forecast in a period less than 1 (one) year.

Section II

On the FRS applicable to elements recorded in assets

Subsection I

General Provisions

Art. 11 A FRS of 0% (zero percent) must be applied to the balances of the following assets:

I - values held in cash, in any currency;

II - free reserves in central banks;

III - mandatory reserves deposited at the Central Bank of Brazil;

IV - operations with central banks with an effective residual maturity less than 6 (six) months;

V - operations in which the institution acts exclusively as an intermediary, assuming no rights or obligations, even if contingent;

VI - rights to settle resulting from the trading of financial instruments, foreign currency or commodities; and

VII - deposits resulting from legal requirements for which a specific provision has been constituted in the liabilities of the institution.

§ 1 For the purpose of applying the FRS of 0% (zero percent), the operations referred to in the caput, item V, must meet the following conditions:

I - linkage between the raised funds and the respective active operation;

II - compatibility between the cash flows of the active operation and the raised funds;

III - term of the funding operation equal to or greater than that of the active operation;

IV - counterparty of the funding operation distinct from the counterparty of the respective active operation; and

V - absence of any type of responsibility, contractual or extra-contractual, for the performance of third parties.

§ 2 The balances receivable related to the payment of post-paid payment instruments, except those related to credit operations and similar ones carried out between the institution and its clients, are included in the operations referred to in the caput, item V.

§ 3 The caput, item VI, does not include rights to settle related to derivative financial instruments, foreign currency operations resulting from trade financing and loan and pass-through operations.

§ 4 For the purposes of the provisions of the caput, item VII, the portion of the deposit that exceeds the balance of the respective provision constituted in liabilities must not be considered.

Art. 12 A FRS of 5% (five percent) must be applied to the balances of assets eligible to compose the HQLA Level 1 stock, as provided for in art. 6 of Circular No. 3,749 of 2015, except those mentioned in arts. 11 and 13 of this Circular.

Art. 13 A FRS of 10% (ten percent) must be applied to collateralized operations with the institutions mentioned in art. 6, item IV, letter “b”, provided that the following conditions are met simultaneously:

I - the effective residual maturity of the operation is less than 6 (six) months;

II - the collateral is considered HQLA Level 1, as defined in arts. 4 and 6 of Circular No. 3,749 of 2015; and

III - the collateral is in the possession of the institution and without impediment to be sold definitively or sold with a commitment to repurchase or offered as collateral until the effective residual maturity of the operation.

§ 1 Collateralized operations are those in which the collateral guarantees the credit risk of the operation in the event of bankruptcy, insolvency, liquidation or declaration of special regimes.

§ 2 When the conditions referred to in the caput are met, the operations mentioned in this article include sale with commitment to repurchase operations.

§ 3 The provisions of the caput apply only to the portion of the operations effectively covered by the collateral, and for the uncovered portion, the provisions of art. 14, item II, must be observed.

§ 4 If it is not possible to distinguish the portion mentioned in § 3 of this article, the operation must observe the provisions of art. 14, item II.

Art. 14 A FRS of 15% (fifteen percent) must be applied to the balances of the following assets:

I - assets considered HQLA Level 2A, as defined in arts. 4 and 8 of Circular No. 3,749 of 2015; and

II - other operations with the institutions mentioned in art. 6, item IV, letter “b”, with an effective residual maturity less than 6 (six) months.

Art. 15 A FRS of 50% (fifty percent) must be applied to the balances of the following assets:

I - assets considered HQLA Level 2B, as defined in arts. 4 and 9 of Circular No. 3,749 of 2015;

II - operations with the institutions mentioned in art. 6, item IV, letters “a” and “b”, with an effective residual maturity greater than 6 (six) months and less than 1 (one) year;

III - operational deposits of the institution in the institutions mentioned in art. 6, item IV, letter “b”; and

IV - other assets not eligible to compose the HQLA stock with an effective residual maturity less than 1 (one) year, including loans and financing granted to non-financial companies, central governments, MDEs, PSEs and retail clients.

Art. 16 A FRS of 65% (sixty-five percent) must be applied to the balances of the following assets:

I - financing referred to in art. 22 of Circular No. 3,644 of 2013, with an effective residual maturity greater than or equal to 1 (one) year; and

II - other loans and financing granted, except to the institutions mentioned in art. 6, item IV, letter “b”, whose Risk Weighting Factor (RWF), as provided for in Circular No. 3,644 of 2013, is less than or equal to 35% (thirty-five percent) and with an effective residual maturity greater than or equal to 1 (one) year.

Art. 17 A FRS of 85% (eighty-five percent) must be applied to the balances of the following assets:

I - assets pledged as a result of initial margin deposit in operations with derivative financial instruments, observing the provisions of the sole paragraph of this article;

II - participation in mutualized guarantee funds of clearing houses or clearing and settlement service providers;

III - loans and financing, except those mentioned in art. 16 and those granted to the institutions mentioned in art. 6, item IV, letter “b”, with an effective residual maturity greater than or equal to 1 (one) year;

IV - financial instruments not eligible to compose the HQLA stock, with an effective residual maturity greater than or equal to 1 (one) year;

V - shares not eligible to compose the HQLA stock traded on stock exchanges; and

VI - commodity operations, including those with physical settlement provision and gold.

Sole Paragraph. The provisions of the caput, item I, must not be observed for assets pledged as a result of initial margin deposit in operations with derivative financial instruments eligible to receive the weighting factor referred to in art. 18.

Art. 18 A FRS of 100% (one hundred percent) must be applied to the balances of the following assets:

I - loans and financing that present a delay of more than ninety days in the payment of principal or interest installments;

II - operations with the institutions mentioned in art. 6, item IV, letter “b”, with an effective residual maturity greater than 1 (one) year;

III - shares not traded on stock exchanges;

IV - fixed assets;

V - equity elements deducted in the calculation of PR, as defined in art. 5 of Resolution 4,192 of 2013; and

VI - other assets for which there is no specific treatment.

Subsection II

On Linked Assets

Art. 19 For the purposes of NSFR calculation, linked assets are those subject to any legal, regulatory, statutory or contractual impediment or restriction for their trading.

Art. 20 In the calculation of the RSF amount, the following treatments must be applied to linked assets:

I - linked assets with a residual linkage period less than 6 (six) months must be considered as unlinked;

II - to linked assets with a residual linkage period greater than 6 (six) months and less than 1 (one) year, the following FRS must be applied:

a) 50% (fifty percent), if the asset mentioned in the caput is eligible, when unlinked, for the treatment referred to in arts. 11 to 15;

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b) 65% (sixty-five percent), if the asset mentioned in the caput is eligible, when unbundled, for the treatment provided for in art. 16; c) 85% (eighty-five percent), if the asset mentioned in the caput is eligible, when unbundled, for the treatment provided for in art. 17, items III to VI; and d) 100% (one hundred percent), if the asset mentioned in the caput is eligible, when unbundled, for the treatment provided for in art. 18.

III - for assets linked with a residual linkage term greater than or equal to 1 (one) year, an ASF Factor (FRS) of 100% (one hundred percent) must be applied.

Sole paragraph. The provisions of the caput must be applied to linked assets regardless of their effective residual maturity term.

Section III
Of the ASF Factor applicable to exposures not recorded in the Balance Sheet

Art. 21. The following ASF Factors (FRS) must be applied to the off-balance sheet exposures described below:
I - 1% (one percent), for the unused amount of the exposure referred to in art. 9, item I; II - 1% (one percent), for non-contractual contingent liabilities referred to in art. 9, item II; III - 2% (two percent), for the undrawn amount of the credit and liquidity lines that are unconditionally revocable mentioned in art. 9, item III; IV - 5% (five percent), for the undrawn amount of the credit and liquidity lines that are unconditionally irrevocable and conditionally revocable mentioned in art. 9, item III; and V - 10% (ten percent), for the future disbursements referred to in art. 9, item IV.

Sole paragraph. The methodology for determining the balance related to the obligations referred to in item II must be defined and applied by the institution, based on consistent, verifiable, and clearly documented criteria.

CHAPTER IV
OF THE OPTION APPLICABLE TO REPO OPERATIONS AND ASSET LENDING

Art. 22. For repo transactions and asset lending operations, netting is permitted, provided that the conditions set forth in items I, II, and III of § 3 of art. 18 of Circular No. 3,748, of February 27, 2015, are cumulatively met.

§ 1 The netting referred to in the caput must correspond to the value of the sum of the values related to the resale to be settled, in the case of a purchase with a commitment to resell operation, and the securities received by loan, minus the sum of the values related to the repurchase to be settled, in the case of a sale with a commitment to repurchase operation, and the securities lent, considering that:
I - if positive or equal to zero, the netting must be treated as an instrument eligible for the Required Stable Funding (RSF) amount, as referred to in arts. 11 to 18, according to the nature of the counterparty and the effective residual maturity term of the operation; and II - if negative, the netting must be treated as an instrument eligible for the Available Stable Funding (ASF) amount, as referred to in arts. 4 to 7, according to the nature of the counterparty and the effective residual maturity term of the operation.

§ 2 The balance sheet items eligible for the treatment referred to in the caput must not be considered individually in the calculation of the RSF and ASF amounts.

CHAPTER V
OF OPERATIONS WITH FINANCIAL DERIVATIVE INSTRUMENTS

Art. 23. The exposure value related to operations with financial derivative instruments must correspond to their replacement value.

§1 For operations with financial derivative instruments subject to bilateral agreements for the netting and settlement of obligations, the calculation of the net replacement value is permitted.

§ 2 The net replacement value referred to in §1 is defined as the sum of the replacement values of operations with financial derivative instruments, calculated per counterparty, for the set of operations subject to the same agreement for the netting and settlement of obligations.

§ 3 Bilateral agreements for the netting and settlement of obligations recognized for use as a credit risk mitigation instrument, in accordance with Circular No. 3,809, of August 25, 2016, are eligible for the treatment set forth in §1.

Art. 24. For the purposes of the calculation referred to in art. 23, the following deductions are permitted:
I - of resources received in cash or by deposit as a result of variation margin of collateral, if the replacement value is greater than or equal to zero; and II - of any collateral provided as a result of variation margin deposit, if the replacement value is less than zero.

§ 1 For the purposes of recognizing the option referred to in the caput, the following conditions must be cumulatively met:
I - the variation margin of collateral must:

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a) be calculated and deposited daily, subject to minimum transfer limits, based on the replacement value of the associated derivative; b) have an amount equal to the replacement value of the associated derivative; c) be subject to the same agreement for the netting and settlement of obligations as the associated derivative; and II - the resources received referred to in item I of the caput must:
a) be immediately available to the beneficiary; and b) be denominated in the same currency as the settlement of the associated derivative.

§ 2 The balance sheet items mentioned in items I and II of the caput must not be considered in the calculation of the RSF amount.

§ 3 If it is not possible to distinguish the collateral provided as a result of variation margin deposit from the assets linked due to initial margin deposit in an operation with a financial derivative instrument, the provisions of art. 17, item I, must be observed.

§ 4 The provisions of this article do not apply to resources and collateral that have already been recognized for the purposes of reducing the replacement value of operations with financial derivative instruments.

Art. 25. For the sum of the replacement values of operations with financial derivative instruments, calculated in accordance with arts. 23 and 24, the following must be observed:
I - if greater than or equal to zero, the sum of the replacement values must be multiplied by the ASF Factor (FRS) of 100% (one hundred percent) and considered in the calculation of the RSF amount; and II - if less than zero, the sum of the replacement values must be multiplied by the ASF Factor (FAS) of 0% (zero percent) and considered in the calculation of the ASF amount.

Art. 26. For the sum of replacement values less than zero related to operations with financial derivative instruments, 5% (five percent) of the respective value, gross of the option referred to in art. 24, item II, must be considered in the calculation of the RSF amount by multiplying it by the ASF Factor (FRS) of 100% (one hundred percent).

CHAPTER VI
OF THE DISCLOSURE OF INFORMATION RELATED TO THE NSFR

Art. 27. Institutions must disclose information related to the calculation of the NSFR according to the standard defined in the Annex of this Circular.

Sole paragraph. Qualitative explanations that facilitate the understanding of the information referred to in the caput must be disclosed, including the composition and evolution of the ASF and RSF amounts.

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Art. 28. The information referred to in art. 27 must be disclosed quarterly, relative to the reference dates of March 31, June 30, September 30, and December 31, for quantitative information and for the qualitative explanations of this information.

Sole paragraph. The update of the information must be done within a maximum period of sixty days for the reference dates of March 31, June 30, and September 30, and ninety days for the reference date of December 31.

Art. 29. The information referred to in art. 27 must be available in a single location, publicly accessible and easily located, in a specific section on the institution's website.

Sole paragraph. The information mentioned in the caput must be available together with that related to the calculation of the LCR, as referred to in Circular No. 3,749, of 2015.

Art. 30. The information referred to in art. 27 must be made available for at least the last five years.

Sole paragraph. Disclosure of information for reference dates prior to July 1, 2018, is waived.

CHAPTER VII
OF THE SUBMISSION OF INFORMATION

Art. 31. A report detailing the calculation of the NSFR must be submitted to the Central Bank of Brazil, in the manner to be established by it.

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

Art. 32. The Risk Management Director (CRO) indicated under the terms of art. 44 of Resolution No. 4,557, of 2017, is responsible for the information referred to in this Circular.

CHAPTER VIII
OF FINAL PROVISIONS

Art. 33. Arts. 11 and 12 of Circular No. 3,749, of March 5, 2015, shall enter into force with the following wording:

“Art. 11. For the purposes of this Circular, retail funding is considered to be deposits held at the financial institution whose counterparty is:
I - a natural person; or
II - a private legal entity that meets the following requirements:

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a) is managed by the institution as a retail client; b) the sum of current exposures and the institution's funding with the legal entity, including credits and debits resulting from derivative operations, calculated separately, is less than R$3,000,000.00 (three million reais); and c) has gross annual revenue lower than the limit established in item I of § 1 of art. 24 of Circular No. 3,644, of 2013.

§ 1 For the calculation referred to in item “b” of item II, the net exposure resulting from derivative operations must be considered.

§ 3 For the purposes of the caput, the natural or legal person or connected counterparties, thus considered those that share credit risk or liquidity risk with the institution, including through a control relationship, according to criteria provided in § 2 of art. 22 of Resolution No. 4,557, of 2017, must be considered as a single counterparty.

§ 4 For the purposes of the LCR, demand and time deposits are included as retail funding.

§ 5 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 funding market; and II - are redeemable directly at the institution, at least for the financial value of the issuance.” (NR)

“Art. 12. ...........................................................................................................
..........................................................................................................................
II - in the case where the counterparty is the private legal entity referred to in item II of art. 11:
................................................................................................................” (NR)

Art. 34. The Sole Annex of Circular No. 3,749, of 2015, shall enter into force with the wording given by Annex II of this Circular.

Art. 35. This Circular enters into force:
I - on October 1, 2018, with respect to arts. 1 to 32; and II - on January 1, 2018, with respect to arts. 33, 34, and 36.

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Art. 36. §6 of art. 11 of Circular No. 3,749, of 2015, is hereby revoked.

Otávio Damaso Ribeiro
Director of Regulation

This text does not replace the published version in the DOU of 12/21/2017, Section 1, p. 151-156, and in Sisbacen.

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ANNEX I
Information on the Long-Term Liquidity Indicator (NSFR) Value by effective residual maturity term (R$ thousand)

Value
Weighted
Value
No maturity
Less than
6 months
Greater than or equal to 6 months and less than 1 year Greater than or equal to 1 (one) year Line Number Available Stable Funding (ASF) 1 Capital:
Reference Equity, gross of regulatory deductions Other instruments authorized to compose the RE and eligible for NSFR 4 Retail Funding:
5 Stable funding
Less stable funding
7 Wholesale Funding:
Operational deposits and deposits of affiliated cooperatives Other wholesale funding Operations in which the institution acts exclusively as intermediary, not assuming any

Circular No. 3,869, of December 19, 2017 Page 18 of 26 rights or obligations, still contingent 11 Other liabilities:
Derivatives whose replacement value is less than zero Other liability or equity elements for which no specific ASF factor is established Total Available Stable Funding (ASF) Line Number Required Stable Funding (RSF) 15 Total High-Quality Liquid Assets (HQLA) Operational deposits held at other financial institutions Securities, securities, and operations with financial institutions, non-financial and central banks:
Operations with financial institutions collateralized by Level 1 HQLA Operations with financial institutions collateralized by Level 2A, Level 2B, or collateral-free

Circular No. 3,869, of December 19, 2017 Page 19 of 26 Loans and financing granted to wholesale, retail clients, governments, and central bank operations, of which:
The Risk Weighting Factor
(RWF), as referred to in
Circular No. 3,644, of
2013, is less than or equal to 35% (thirty-five percent) 22 Residential real estate financing As referred to in art. 22 of Circular No. 3,644, of Securities and securities not eligible for HQLA, including shares traded on stock exchanges Operations in which the institution acts exclusively as intermediary, not assuming any rights or obligations, still contingent 26 Other assets:
27 Commodity operations
(commodities), including

Circular No. 3,869, of December 19, 2017 Page 20 of 26 those with provision for physical settlement and gold Assets lent as a result of initial margin deposit in an operation with derivatives and participation in mutualized guarantee funds of exchanges or clearing and settlement service providers Derivatives whose replacement value is greater than or equal to zero Derivatives whose replacement value is less than zero, gross of deduction of any collateral provided as a result of variation margin deposit Other assets for which no specific treatment is established Off-balance sheet operations Total Required Stable Funding (RSF) 34 NSFR (%)

Circular No. 3,869, of December 19, 2017 Page 21 of 26 Filling Instruction for the Table “Information on the Long-Term Liquidity Indicator (NSFR)”

Line
Number
Filling Instruction
1 Sum of lines 2 and 3
2 As per art. 4, item I and sole paragraph
3 As per art. 4, item II
4 Sum of lines 5 and 6
5 As per art. 4, item II and art. 5, item I
6 As per art. 4, item II and art. 5, item II
7 Sum of lines 8 and 9
8 As per art. 6, items II and III
9 As per art. 4, item II; art. 6, items I, IV, V; and art. 7, item I 10 As per art. 7, item II 11 Sum of lines 12 and 13 12 As per art. 23; art. 24, item II; and art. 25, item II 13 As per art. 7, items I, III, IV and art. 3, §§4 and 5 14 Sum of lines 1, 4, 7, 10 and 11 15 As per art. 8, §1, item II; art. 11, items I, II, III and VII; art. 12; art.14, item I; art. 15, item I; art. 17, item I; art. 20, items II and III 16 As per art. 15, item III 17 Sum of lines 18, 19, 20, 22 and 24 18 As per art. 13; art. 15, item II; and art. 18, item II 19 As per art. 14, item II; art. 15, item II; and art. 18, item II 20 As per art. 11, item IV; art. 15, item IV; art. 16, item II; and art. 17, item III; art. 20, item III

Circular No. 3,869, of December 19, 2017 Page 22 of 26

21 As per art. 11, item IV; art. 15, item IV; art. 16, item II; and art. 20, item III 22 As per art. 15, item IV; art. 16, item I; art. 17, item III; and art. 20, item III 23 As per art. 16, item I 24 As per art. 15, item IV; art. 17, items IV and V; and art. 20, item III 25 As per art. 11, item V 26 Sum of lines 27 to 31 27 As per art. 17, item VI 28 As per art. 17, items I and II 29 As per art. 23; art. 24, item I; and art. 25, item I 30 As per art. 26 31 As per art. 11, item VI and art. 18, items I, III, IV, V and VI 32 As per art. 21 33 Sum of lines 15, 16, 17, 25, 26 and 32 34 Ratio between lines 14 and 33

Circular No. 3,869, of December 19, 2017 Page 23 of 26

ANNEX II
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 obligations 9 Secured wholesale funding 10 Additional requirements, of which:
11 Related to exposure to derivatives and to other collateral requirements

1 Corresponds to the total balance related to the item of cash inflows or outflows.
2 Corresponds to the value after application of weighting factors.

Circular No. 3,869, of December 19, 2017 Page 24 of 26

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

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

Circular No. 3,869, of December 19, 2017 Page 25 of 26

Filling Instruction for 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 fall within the operational requirements, as per arts. 4 to 9 2 Sum of lines 3 and 4 3 As per art. 13, item 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 the issuances referred to in §1 of art. 18, and art. 19 8 As per item III of art. 18, except for the 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. 24 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

Circular No. 3,869, of December 19, 2017 Page 26 of 26

21 Total HQLA after the application of limits applicable to Level 2 and Level 2B HQLA, as per art. 7 22 Line 16 subtracted from line 20, after the application of limit on cash inflows, as per 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