Circular No. 3645 — Sets values for parameters used by financial institutions in calculating RWA JUR1, JUR2, JUR3, and JUR4 portions of risk-weighted assets

CIRCULAR NO. 3,645, OF MARCH 4, 2013

Sets the values of the parameters to be used by financial institutions in the calculation of the RWAJUR1, RWAJUR2, RWAJUR3, and RWAJUR4 portions of risk-weighted assets (RWA), as provided for in Circulars Nos. 3,634, 3,635, 3,636, and 3,637, all of March 4, 2013.

The Collegiate Board of the Central Bank of Brazil, in an extraordinary session held on March 1, 2013, based on the provisions of Articles 9, 10, item IX, and 11, item VII, of Law No. 4,595, of December 31, 1964, and Articles 3, paragraph 2, and 15 of Resolution No. 4,193, of March 1, 2013,

RESOLVES:

Article 1. For the calculation of the RWAJUR1 portion of the Required Reference Equity (PRE), as provided for in Circular No. 3,634, of March 4, 2013, the values of the parameters Mpre_t, σi,t, ρ, and k will be published periodically by the Financial System Monitoring Department (Desig).

Article 2. For the calculation of the RWAJUR2, RWAJUR3, and RWAJUR4 portions of the PRE, as provided for in Circulars Nos. 3,635, 3,636, and 3,637, all of March 4, 2013, the following values must be used for the parameters Mext, MpcO, and Mjur:

I - Mext = 3.70, for the RWAJUR2 portion;

II - MpcO = 2.70, for the RWAJUR3 portion; and

III - Mjur = 2.00, for the RWAJUR4 portion.

Article 3. This Circular enters into force on October 1, 2013.

Article 4. Circular No. 3,388, of June 4, 2008, is revoked, effective October 1, 2013.

Luiz Awazu Pereira da Silva
Director of Regulation of the Financial System

This text does not replace that published in the Official Gazette of the Union (DOU) of 3/6/2013, Section 1, p. 20, and in Sisbacen.