CIRCULAR NO. 3,919, OF DECEMBER 5, 2018

Amends Circular No. 3,869, of December 19, 2017, which establishes the methodology for calculating the Long-Term Liquidity Indicator (NSFR) and provides for the disclosure of information related to the NSFR.

The Collegiate Board of the Central Bank of Brazil, in a session held on December 5, 2018, based on arts. 10, item IX, and 11, item VII, of Law No. 4,595, of December 31, 1964, and having in view the provisions of Resolutions Nos. 4,557, of February 23, 2017, and 4,616, of November 30, 2017,

RESOLVES:

Art. 1 Circular No. 3,869, of December 19, 2017, shall enter into force with the following alterations:

“Art. 7 ............................................................................................................
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§ 1 .................................................................................................................
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III - term and principal of the funding operation equal to that of the active operation; ................................................................................................................” (New)

“Art. 11. ..........................................................................................................
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§ 1 .................................................................................................................
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III - term and principal of the funding operation equal to that of the active operation; ................................................................................................................” (New)

“Art. 17. ..........................................................................................................
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II - participation in mutualized guarantee funds of clearing houses or settlement and clearing service providers that interpose themselves as central counterparty; ................................................................................................................” (New)

“Art. 20. ..........................................................................................................
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II - to assets linked with a residual linkage term greater than or equal to 6 (six) months and less than 1 (one) year, the following RSFs shall be applied:

Circular No. 3,919, of December 5, 2018 Page 2 of 7 ................................................................................................................” (New)

“Art. 23. ..........................................................................................................
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§ 3 Only bilateral agreements for 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.” (New)

“Art. 24. ..........................................................................................................
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§ 2 Guarantees provided as a result of the deposit of variation margin, as referred to in the caput, item II, shall not be considered in the calculation of the RSF amount. ................................................................................................................” (New)

Art. 2 Annex I of Circular No. 3,869, of 2017, shall enter into force with the wording given by the Sole Annex of this Circular.

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

Otávio Ribeiro Damaso
Director of Regulation

This text does not replace the version published in the Official Gazette of the Union (DOU) on 12/7/2018, Section 1, p. 81/82, and in Sisbacen.

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SOLE ANNEX

ANNEX I TO CIRCULAR NO. 3,869, OF DECEMBER 19, 2017

Information on the Long-Term Liquidity Indicator (NSFR)

Value by effective residual maturity term, before weighting (R$ thousand)

	Value after weighting (R$ thousand)
Less than six months	Greater than or equal to six months and less than one year	Greater than or equal to one year

Available Stable Funding (ASF)

1. Capital
2. Reference Equity, gross of regulatory deductions
3. Other instruments not included in line 2
4. Retail Funding, of which:
5. Stable Retail Funding
6. Less Stable Retail Funding
7. Wholesale Funding, of which:
8. Operational deposits and deposits of affiliated cooperatives
9. Other wholesale funding
10. Operations in which the institution acts exclusively as an intermediary, not assuming any rights or obligations, even if contingent.
11. Other liabilities, of which:
12. Derivatives whose replacement value is less than zero

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13. Other elements of liability or equity not included in the previous lines
14. Total Available Stable Funding (ASF)

Required Stable Funding (RSF)
15. Total High Quality Liquid Assets (HQLA)
16. Operational deposits held in other financial institutions
17. Securities, securities, and operations with financial institutions, non-financial institutions, and central banks, of which:
18. Operations with financial institutions collateralized by Level 1 HQLA
19. Operations with financial institutions collateralized by Level 2A, Level 2B, or uncollateralized HQLA
20. Loans and financing granted to wholesale, retail, central government clients, and operations with central banks, of which:
21. Operations with Risk Weighting Factor (RWF) less than or equal to 35%, in accordance with Circular No. 3,644, of 2013
22. Residential mortgage financing, of which:
23. Operations that meet the provisions of Circular No. 3,644, of 2013, art. 22
24. Securities and instruments not eligible for HQLA, including stocks traded on stock exchanges

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25. Operations in which the institution acts exclusively as an intermediary, not assuming any rights or obligations, even if contingent
26. Other assets, of which:
27. Operations with gold and commodities, including those with physical settlement provision
28. Assets provided as a result of the deposit of initial margin guarantee in derivative operations and participation in mutualized guarantee funds of clearing houses or settlement and clearing service providers that interpose themselves as central counterparty
29. Derivatives whose replacement value is greater than or equal to zero
30. Derivatives whose replacement value is less than zero, gross of the deduction of any guarantee provided as a result of the deposit of variation margin
31. Other assets not included in the previous lines
32. Operations not recorded in the balance sheet
33. Total Required Stable Funding (RSF)
34. NSFR (%)

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

Line No.	Filling Instructions
1	Sum of values reported in lines 2 and 3.
2	In accordance with art. 4, item I and sole paragraph.
3	In accordance with art. 4, item II; art. 6, item V; and art. 7, item VI.
4	Sum of lines 5 and 6.
5	In accordance with art. 4, item II and art. 5, item I.
6	In accordance with art. 4, item II and art. 5, item II
7	Sum of lines 8 and 9.
8	In accordance with art. 6, items II and III.
9	In accordance with art. 4, item II; art. 6, items I, IV, V; and art. 7, item I.
10	In accordance with art. 7, item II.
11	Sum of lines 12 and 13.
12	In accordance with art. 23; art. 24, item II; and art. 25, item II.
13	In accordance with art. 7, items III, IV, V, VI; and art. 3, § 5.
14	Sum of lines 1, 4, 7, 10 and 11.
15	In accordance with art. 8, § 1, item II; art. 11, items I, II and III; art. 12; art. 14, item I; art. 15, item I; art. 17, item I; art. 20, items II and III
16	In accordance with art. 15, item III.
17	Sum of lines 18, 19, 20, 22 and 24.
18	In accordance with art. 13; art. 15, item II; and art. 18, item II.
19	In accordance with art. 14, item II; art. 15, item II; and art. 18, item II.
20	In accordance with art. 11, item IV; art. 15, item IV; art. 16, item II; and art. 17, item III; art. 20, item III.
21	In accordance with art. 11, item IV; art. 15, item IV; art. 16, item II; and art. 20, item III.
22	In accordance with art. 15, item IV; art. 16, item I; art. 17, item III; and art. 20, item III.
23	In accordance with art. 15, item IV; art. 16, item I; and art. 20, item III.
24	In accordance with art. 15, item IV; art. 17, items IV and V; and art. 20, item III.
25	In accordance with art. 11, item V.
26	Sum of lines 27 to 31.
27	In accordance with art. 17, item VI.

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28. In accordance with art. 17, items I and II.
29. In accordance with art. 23; art. 24, item I; and art. 25, item I.
30. In accordance with art. 26.
31. In accordance with art. 11, items VI and VII; and art. 18, items I, III, IV, V and VI.
32. In accordance with art. 21.
33. Sum of lines 15, 16, 17, 25, 26 and 32.
34. Ratio between lines 14 and 33.