Circular No. 3748: Methodology for Calculating the Leverage Ratio, Submission to the Central Bank of Brazil, and Disclosure of Related Information

CIRCULAR Nº 3.748, OF FEBRUARY 27, 2015

Provides for the methodology for calculating the Leverage Ratio (RA), submission to the Central Bank of Brazil, and disclosure of the respective information.

The Collegiate Board of the Central Bank of Brazil, in a session held on February 24, 2015, based on the provisions of Articles 9, 10, item IX, 11, item VII, and 37 of Law No. 4.595, of December 31, 1964, and Article 1, § 1, of Complementary Law No. 130, of April 17, 2009, and having in view the provisions of Resolution No. 3.988, of June 30, 2011, and Resolution No. 4.193, of March 1, 2013,

RESOLVES:

TITLE I
GENERAL PROVISIONS

CHAPTER I
OBJECT AND SCOPE OF APPLICATION

Article 1. This Circular provides for the methodology for calculating the Leverage Ratio (RA), which must be calculated and its information submitted to the Central Bank of Brazil and disclosed by multiple banks, commercial banks, investment banks, development banks, National Economic and Social Development Bank (BNDES), exchange banks, savings banks, and credit cooperatives.

Sole Paragraph. The provisions of the caput are excluded for credit cooperatives that opt for the calculation of the amount of risk-weighted assets in the simplified manner (RWARPS), as provided in Resolution No. 4.194, of March 1, 2013.

CHAPTER II
DEFINITION OF THE LEVERAGE RATIO

Article 2. The RA must be calculated according to the following formula and expressed in percentage:

RA = Level I / Total Exposure

where:
I - Level I corresponds to the sum of Core Capital and Supplementary Capital, as defined in § 1 of Article 2 and in Articles 4 and 6 of Resolution No. 4.192, of March 1, 2013; and II - Total Exposure is calculated by:
a) the sum of the exposures referred to in Article 5; and b) the deduction of values corresponding to equity elements included in item “a” and deducted in the calculation of Level I of Reference Equity (PR), gross of deferred tax liabilities associated with them subtracted in the calculation of Level I of PR, as defined in Articles 5 and 6, item II, item “a”, of Resolution No. 4.192, of 2013.

Sole Paragraph. The following must be deducted from Level I mentioned in item I of the caput:
a) any excess of resources applied in Permanent Assets beyond the percentages established in Articles 3 and 4 of Resolution No. 2.283, of June 5, 1996; and b) the amount highlighted from Level I for the institution that opts for the highlighting of instruments eligible for Level I under the terms of Article 3 of Resolution No. 2.827, of March 30, 2001.

CHAPTER III
PROCEDURES FOR CALCULATING THE LEVERAGE RATIO

Article 3. The information referred to in this Circular must have as the base date the last day of each month.

Article 4. For institutions part of the prudential conglomerate, in accordance with the Accounting Plan of Institutions of the National Financial System (Cosif), the calculation of the RA must be performed on a consolidated basis.

TITLE II
DEFINITION AND VALUES OF EXPOSURES

CHAPTER I
DEFINITION OF EXPOSURE

Article 5. For the calculation of the RA, exposure is considered:
I - the application of financial resources in assets and rights and the expense or cost recorded in the assets; II - advances granted not recorded in the assets; III - the adjusted reference value in credit derivative operations and the future potential gain in operations with financial derivative instruments; IV - the value related to counterparty credit risk in committed operations and in loans of securities and financial instruments; V - the credit limit; VI - the credit to be released; and VII - the provision of aval, suretyship, co-obligation, or any other form of personal guarantee for the fulfillment of financial obligations of third parties.

§ 1. For the calculation of the exposure value, the respective advances received, provisions, and revenues to be appropriated must be deducted.

§ 2. No credit risk mitigation instrument should be recognized for the purpose of reducing the exposure value.

§ 3. The application of financial resources in assets and rights and the expense or cost recorded in the assets, referred to in item I, includes, among other items, the guarantee deposited in clearing systems or settlement and clearing service providers, separate or not from the equity of the depositing entity.

§ 4. The following are not considered exposures:
I - co-obligations and other forms of retention of risks and benefits resulting from operations of sale or transfer of financial assets that remain recorded in the assets of the institution, in accordance with current regulation; II - shares of funds, including Credit Rights Investment Funds (FIDC), resulting from operations of sale or transfer of financial assets that remain recorded in the assets of the institution, in accordance with current regulation, in the proportion between the amount of transferred assets that remain recorded in the assets of the institution and the total value of the fund's assets; III - those resulting from interdependent operations and other operations carried out with institutions that integrate the base conglomerate for the calculation of PR; IV - those related to the clearing of checks deposited in customer accounts, when the release of the respective resources is linked to the actual clearing, in accordance with current regulation; V - linked active operations, carried out according to the provisions of Resolution No. 2.921, of January 17, 2002; and VI - those resulting from credit operations with public sector entities and agencies where there is exclusive application of a portion highlighted from instruments eligible for Level I under the terms of Article 3 of Resolution No. 2.827, of 2001.

§ 5. For the calculation of the exposure value related to the application in shares of investment funds specifically constituted (FIE) linked to open complementary pension plans of the Life Generating Free Benefit (VGBL) or Free Benefit Generating Plan (PGBL) types, the values of the mathematical provisions of benefits to be granted from the respective plans must be deducted.

CHAPTER II
VALUES OF EXPOSURES

Section I
Equity Items

Article 6. The exposure value related to the application of financial resources in assets and rights and to the expense or cost recorded in the assets, referred to in Article 5, item I, must be determined according to the criteria established in Cosif.

Sole Paragraph. Excluded from the provisions of the caput are resale to be settled, in the case of a committed purchase operation with a commitment to resell, securities and financial instruments received by loan, and operations carried out with financial derivative instruments, the exposure value of which must follow the provisions of Articles 8 to 18.

Article 7. The exposure value related to the granting of advances not recorded in the assets, referred to in Article 5, item II, must correspond to the advanced value.

Section II
Derivatives

Article 8. For the purpose of calculating exposures related to operations with financial derivative instruments, own operations and those carried out on behalf of customers, settled or not in clearing systems or settlement and clearing service providers where the clearing house or service provider interposes itself as a central counterparty, must be considered.

§ 1. Operations with financial derivative instruments include operations for future settlement of foreign currency or gold or securities and financial instruments, marked to market.

§ 2. The operations mentioned in the caput include operations carried out on behalf of customers in which the institution acts as a clearing member in clearing systems or settlement and clearing service providers or as a member of a stock exchange or commodity and futures exchange.

§ 3. For the purposes of the provisions of the caput:
I - exposures related to operations with financial derivative instruments in which the institution acts exclusively as an intermediary, assuming no rights or obligations with the parties, must not be considered; and II - it is optional to deduct the exposure related to operations with financial derivative instruments carried out on behalf of customers not included in item I, in which there is no contractual obligation of the institution to reimburse any value losses in its transactions due to the occurrence of bankruptcy or default of the entities responsible for the systems in which such operations are settled.

§ 4. The exposure value related to operations with financial derivative instruments subject to agreements for the clearing and settlement of obligations within the National Financial System (SFN), in accordance with Resolution No. 3.263, of February 24, 2005, must follow the provisions of Article 13.

Subsection I
Derivatives, except Credit Derivatives

Article 9. The exposure value resulting from an operation with a financial derivative instrument, except credit derivative, must correspond to its replacement value, if positive, plus the future potential gain, referred to in Article 10.

Article 10. The future potential gain resulting from an operation with a financial derivative instrument must be determined according to the criteria defined in Article 13 of Circular No. 3.644, of March 4, 2013.

Subsection II
Credit Derivatives

Article 11. The exposure value resulting from a credit derivative operation must correspond to its replacement value, if positive, plus:
I - the future potential gain, referred to in Article 12, for the risk-transferring institution; and II - the adjusted reference value of the contract, calculated according to Article 17, for the risk-receiving institution.

Article 12. The future potential gain resulting from a credit derivative operation must be determined according to the criteria defined in Article 15 of Circular No. 3.644, of 2013.

Subsection III
Derivatives Subject to Agreements for Clearing and Settlement of Obligations

Article 13. The exposure value related to operations with financial derivative instruments, including credit derivatives, subject to agreements for the clearing and settlement of obligations within the SFN, in accordance with Resolution No. 3.263, of 2005, must correspond to the result of the sum:
I - the net replacement value, if positive;
II - the net future potential gain (GPFLiq), calculated according to Article 14; and III - the adjusted reference value of each contract, calculated according to Article 17, for credit derivatives in which the institution acts as the risk-receiving counterparty.

§ 1. The exposure value mentioned in the caput must be calculated per counterparty for the set of operations subject to the same agreement for the clearing and settlement of obligations.

§ 2. The net replacement value mentioned in item I of the caput 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 clearing and settlement of obligations.

§ 3. The provisions of item II of the caput do not apply to credit derivatives in which the institution acts as the risk-receiving counterparty.

Article 14. The GPFLiq, referred to in item II of Article 13, must be determined according to the following formula:

GPFLiq = GPFBruto * (0.4 + 0.6 * NGR)

where:
I - GPFBruto = sum of future potential gains calculated per operation with the same counterparty according to Articles 10 and 12; and II - NGR = ratio between the net replacement value, if positive, and the sum, if positive, of the replacement values of operations subject to agreements for the clearing and settlement of obligations within the SFN with the same counterparty calculated according to the following formula:

∑ max(MtMi, 0) / ∑ max(MtMi, 0)

from i=1 to n

where:
a) n = number of operations with the same counterparty; and b) MtMi = replacement value of operation “i”.

Article 15. It is optional to deduct resources received in cash or by means of a sight bank deposit related to the guarantee margin received in an operation with a financial derivative instrument from the net replacement value referred to in Article 13, item I, provided that the following conditions are met cumulatively:
I - the guarantee margin:
a) is calculated and contributed daily, subject to minimum transfer limits, based on the replacement value of the associated derivative; b) presents an amount equal to the replacement value of the associated derivative; c) is subject to the same agreement for the clearing and settlement of obligations within the SFN, in accordance with Resolution No. 3.263, of 2005, as the associated derivative; and II - the resources received in cash or by means of a sight bank deposit related to the guarantee margin:
a) are immediately available to the beneficiary; and b) are referenced in the same currency as the settlement of the associated derivative.

Sole Paragraph. The provisions of the caput do not apply to the amount of resources received that have already been recognized for the purpose of reducing the accounting value of operations with financial derivative instruments.

Article 16. For the purpose of calculating exposures related to operations with financial derivative instruments, it is optional to deduct resources delivered in cash or by means of a sight bank deposit related to the guarantee margin provided in an operation with a financial derivative instrument and recorded in the assets, in accordance with Cosif, provided that the conditions mentioned in Article 15, items I and II, are met cumulatively.

Subsection IV
Adjusted Reference Value

Article 17. The adjusted reference value, referred to in Articles 11, item II, and 13, item III, must correspond to the reference value of the contract in operation with a credit derivative adjusted by the option provided in § 2.

§ 1. The reference value denominated in foreign currency must be converted into national currency based on the exchange rate of the calculation date.

§ 2. For the purpose of calculating the adjusted reference value referred to in the caput, it is optional to deduct:
I - the values corresponding to the balance of the negative adjustment to the market value of credit derivatives used for cash flow hedging, in which the institution acts as the risk-receiving counterparty, referred to in item “e” of item II and § 2 of Article 4 of Resolution No. 4.192, of 2013; and II - the reference value of the credit derivative contract in which the institution acts as the risk-transferring counterparty, if the following requirements are met cumulatively:
a) the operations are referenced in underlying assets of the same issuer; b) the credit derivative in which the institution acts as the risk-transferring counterparty presents a higher or equal payment priority to that of the credit derivative in which the institution acts as the risk-receiving counterparty; and c) the credit derivative in which the institution acts as the risk-transferring counterparty presents a remaining term greater than or equal to that of the credit derivative whose risk was received.

Section III
Committed Operations and Loans of Securities and Financial Instruments

Article 18. For the purpose of calculating the exposure value related to committed operations and loans of securities and financial instruments, the calculation of the RA must consider the exposures related:
I - to the counterparty credit risk value, referred to in Article 5, item IV; and II - to resale to be settled, in the case of a purchase operation with a commitment to resell, and to securities and financial instruments received by loan.

§ 1. The exposure value related to the counterparty credit risk, observing the provisions of § 2 of this article, must correspond to the result, if positive:
I - of the accounting value of the resale minus the accounting value of the asset subject to the operation, in the case of a purchase operation with a commitment to resell; II - of the accounting value of the asset subject to the operation minus the financial resources received, in the case of a sale operation with a commitment to repurchase and in the case of a loan operation of securities and financial instruments in which the institution acts as the counterparty granting; and III - of the financial resources delivered minus the accounting value of the received asset, in the case of a loan of securities and financial instruments in which the institution acts as the counterparty receiving.

§ 2. For operations subject to agreements for the clearing and settlement of obligations within the SFN, governed by Resolution No. 3.263, of 2005, the exposure value to counterparty credit risk must correspond to the value, if positive, of the sum of financial resources and securities and financial instruments delivered to the counterparty referred to in the agreement minus the sum of financial resources and securities and financial instruments received from it.

§ 3. For the purpose of calculating item II of the caput, it is optional to deduct values related to repurchase to be settled, in the case of a sale operation with a commitment to repurchase, and to securities and financial instruments lent by loan, provided that the following conditions are met cumulatively:
I - the transactions are carried out with the same counterparty and have the same maturity date; II - the committed operations and loans of securities and financial instruments are subject to the same mechanism for clearing the amounts to be paid and received, valid even in the case of default; and III - the settlement of the remaining amount of the clearing takes place in a net manner.

§ 4. The provisions of item II of the caput do not apply to the institution that acts exclusively as an intermediary, assuming rights or obligations only on the difference in value between the financial resources and securities and financial instruments delivered and received.

§ 5. For the purposes of the provisions of the caput, committed operations and loans of securities and financial instruments carried out in clearing systems or settlement and clearing service providers, where the clearing house or service provider interposes itself as a central counterparty, must be included.

Section IV
Exposures Not Accounted for in the Balance Sheet

Subsection I
Credit Limits

Article 19. The exposure value related to the unconditional and unilateral non-cancellable credit limit must be determined by multiplying the value of the granted limit, minus any portion already converted into a credit operation, by the following Credit Conversion Factors (CCF):
I - 20% (twenty percent), for credit limits with an original maturity of up to one year; and II - 50% (fifty percent), for credit limits with an original maturity greater than one year.

Sole Paragraph. An unconditional and unilateral non-cancellable credit limit is considered any formalized operation, including through an adhesion contract, with the following characteristics:
I - the operation consists of a promise to disburse resources to a counterparty up to a specified amount; II - the value to be drawn by the counterparty is uncertain; and III - the disbursement of resources up to the promised amount cannot be denied unilaterally and unconditionally by the institution.

Article 20. The exposure value related to the unconditional and unilateral cancellable credit limit must be determined by multiplying the value of the granted limit, minus any portion already converted into a credit operation, by the CCF of 10% (ten percent).

Sole Paragraph. An unconditional and unilateral cancellable credit limit is considered any formalized operation, including through an adhesion contract, with the following characteristics:
I - the operation consists of a promise to disburse resources to a counterparty up to a specified amount; II - the value to be drawn by the counterparty is uncertain; and III - the disbursement of resources up to the promised amount can be denied unilaterally and unconditionally by the institution.

Subsection II
Credits to be Released

Article 21. The exposure value related to credits to be released, referred to in Article 5, item VI, must be determined by multiplying the sum of the portions of credit operations to be released by the CCF of 100% (one hundred percent).

Sole Paragraph. Credits to be released are considered future disbursements related to contracted credit operations, regardless of whether or not they are conditioned on the fulfillment, by the debtor, of pre-established conditions.

Subsection III
Guarantee Provided

Article 22. The exposure value related to the provision of aval, suretyship, co-obligation, or any other form of personal guarantee for the fulfillment of financial obligations of third parties, referred to in Article 5, item VII, must be determined by multiplying the value of the aval,

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guarantee, joint liability, or the type of guarantee provided by the institution, minus any portion already honored, by the following Credit Conversion Factors (CCFs):

I - 20% (twenty percent), in operations linked to international trade of goods, in which the shipment of goods is associated with a guarantee of payment of the operation;

II - 50% (fifty percent), in operations relating to:

a) provision of performance guarantees, such as bid bonds in bidding processes (bid bonds) and guarantee of service provision or execution of works (performance bonds); and

b) provision of guarantee for distribution of securities in the primary and secondary markets, through public offering, in accordance with current regulation; and

III - 100% (one hundred percent), in other cases.

Sole Paragraph. The value of the exposure related to the provision of guarantee, referred to in the caput, referenced in a commitment, credit limit, or guarantee, the responsibility of third parties, must correspond to the value provided, minus any portion already honored, multiplied by the lowest of the CCFs applicable to the guarantee or the underlying operation.

TITLE III
FINAL PROVISIONS

CHAPTER I
SUBMISSION OF INFORMATION TO THE CENTRAL BANK

Art. 23. A report detailing information on the calculation of the Leverage Ratio (RA) must be sent to the Department of Financial System Monitoring (Desig), in the manner to be established by it:

I - by the leading institution of each conglomerate, in the case of consolidated information; and

II - by the other financial institutions referred to in Art. 1º not belonging to conglomerates, in the case of providing information for each entity.

Sole Paragraph. The information used for the calculation of the RA must be kept available to the Central Bank of Brazil for a period of five years.

CHAPTER II
DISCLOSURE OF INFORMATION

Art. 24. Information relating to the RA must be disclosed, according to the standard format defined in:

I - Annex I, for the base dates of June 30 and December 31 of each year; and

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II - Annex II, for the base dates of March 31, June 30, September 30, and December 31 of each year.

§ 1º Institutions referred to in Art. 1º not constituted as publicly held companies are exempt from the provision of item I of the caput.

§ 2º The information referred to in the caput must be disclosed within a maximum period of sixty days, except for the base date of December 31, for which the maximum period is ninety days.

§ 3º Relevant differences between the information provided in the caput and other information disclosed by the institution must be clarified in the disclosure process referred to in Art. 25.

Art. 25. The information referred to in Art. 24 must be available in a single location, publicly accessible and easily located, in a specific section on the institution's website.

§ 1º The information referred to in the caput must be available together with those relating to risk management, the calculation of the amount of risk-weighted assets (RWA), and the calculation of Reference Equity (PR), as provided in Art. 18 of Circular No. 3,678, of October 31, 2013.

§ 2º The institution must publish, together with the published financial statements, the location of the information mentioned in the caput on its website.

Art. 26. The institution must make available the information referred to in Art. 24 referring, at minimum, to the last five years, accompanied by a comparative evaluation between the information relating to the current base date and the immediately preceding base date, and explanations for relevant variations.

Sole Paragraph. Disclosure of information, including the comparative evaluation mentioned in the caput, is waived for base dates prior to October 1, 2015.

CHAPTER III
OTHER PROVISIONS

Art. 27. The director indicated in accordance with Art. 10 of Resolution No. 3,988, of June 30, 2011, is responsible for the information referred to in this Circular.

Art. 28. This Circular enters into force on October 1, 2015.

Anthero de Moraes Meirelles
Director of Regulation

This text does not replace the published in the DOU of 3/3/2015, Section 1, p. 45-48, corrected in the DOU of 4/3/2015, Section 1, p. 12, and in Sisbacen.

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Annex I
Comparative Summary between Published Financial Statements and Leverage Ratio

Line Number | Item | Value (R$ thousand)
1 | Total assets according to published financial statements | 2 | Adjustment resulting from accounting consolidation differences | 3 | Adjustment relating to assets ceded or transferred with transfer of substantial risks and benefits and recognized in accounting | 4 | Adjustment relating to adjusted reference values and future potential gains in operations with financial derivative instruments | 5 | Adjustment relating to repurchase agreements and securities lending operations | 6 | Adjustment relating to operations not accounted for in the total assets of the prudential conglomerate | 7 | Other adjustments | 8 | Total Exposure |

Instruction for filling out the Table "Comparative Summary between Published Financial Statements and Leverage Ratio"

Line Number | Item
1 | Total assets presented in the published financial statements relating to the individual balance sheet of the institution or relating to the consolidated balance sheet, in the case of publication on consolidated bases. 2 | Adjustment relating to accounting consolidation differences between total assets presented in the published financial statements mentioned in line 1 and the total assets relating to the individual balance sheet of the institution, in the case of calculation of the RA on individual bases, or of the prudential conglomerate as the calculation base, in the case of calculation of the RA on consolidated bases, in accordance with the Accounting Plan of the Institutions of the National Financial System (Cosif). 3 | Values corresponding to items I and II of § 4º of Art. 5º. 4 | Value corresponding to the sum of the adjusted reference values of credit derivative contracts in which the institution acts as the risk-receiving counterparty, as per Art. 17, of future potential gains resulting from operations with financial derivative instruments mentioned in the caput of Art. 9º and in item I of Art. 11, and of net future potential gains mentioned in item II of Art. 13, minus the values of the adjustments provided for in item II of § 3º of Art. 8º and in Arts. 15 and 16. 5 | Value corresponding to item I of Art. 18 and the values of the adjustments provided for in § 3º of Art. 18. 6 | Value corresponding to the sum of the exposures mentioned in Arts. 19 to 22. 7 | Value corresponding to the granting of advances not registered in the total assets relating to the institution's balance sheet, in the case of calculation of the RA on individual bases, or of the prudential conglomerate as the calculation base, in the case of calculation of the RA on consolidated bases, in accordance with Cosif, as per Art. 7º, minus the prudential adjustments, as per item II, letter "b", of Art. 2º and the values corresponding to the exposures mentioned in items III to VI of § 4º and in § 5º, both of Art. 5º and in item I of § 3º of Art. 8º registered in the assets. 8 | Sum of lines 1 to 7

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of the RA on consolidated bases, in accordance with Cosif, as per Art. 7º, minus the prudential adjustments, as per item II, letter "b", of Art. 2º and the values corresponding to the exposures mentioned in items III to VI of § 4º and in § 5º, both of Art. 5º and in item I of § 3º of Art. 8º registered in the assets. 8 | Sum of lines 1 to 7

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Annex II
Common Model for disclosure of information on the Leverage Ratio

Line Number | Item | Value (R$ thousand)

Items accounted for in the Balance Sheet (BS)
1 | Equity items, except financial derivative instruments, securities received by loan and resale to be settled in repurchase agreements | 2 | Adjustments relating to equity elements deducted in the calculation of Level I | 3 | Total of exposures accounted for in the BS |

Operations with Financial Derivative Instruments 4 | Replacement value in operations with derivatives.
5 | Future potential gain resulting from operations with derivatives 6 | Adjustment relating to guarantee provided in operations with derivatives 7 | Adjustment relating to daily margin provided 8 | Derivatives on behalf of clients in which there is no contractual obligation to reimburse in the event of bankruptcy or default of the entities responsible for the settlement system 9 | Adjusted reference value in credit derivatives 10 | Adjustment under the adjusted reference value in credit derivatives 11 | Total of exposures relating to operations with financial derivative instruments

Repurchase Agreements and Securities Lending Operations (TVM) 12 | Investments in repurchase agreements and securities lending operations 13 | Adjustment relating to repurchases to be settled and creditors for securities lending 14 | Value relating to counterparty credit risk 15 | Value relating to counterparty credit risk in intermediation operations 16 | Total of exposures relating to repurchase agreements and securities lending operations (sum of lines 12 to 15)

Items not accounted for in the Balance Sheet (BS) 17 | Reference value of operations not accounted for in the BS 18 | Adjustment relating to the application of specific CCF to operations not accounted for in the BS 19 | Total of exposures not accounted for in the Balance Sheet

Capital and Total Exposure
20 | Level I
21 | Total Exposure

Leverage Ratio (RA)
22 | Basle III Leverage Ratio.

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Instruction for Filling out the Table "Common Model for disclosure of information on the Leverage Ratio"

Line Number | Item | Value (R$ thousand)

Items accounted for in the Balance Sheet
1 | As per Art. 6º, considering the provision of the sole paragraph of the mentioned article, and Art. 7º.
2 | Prudential adjustments as per item II, letter "b", of Art. 2º. Negative Value.
3 | Sum of Lines 1 and 2

Operations with Financial Derivative Instruments 4 | Sum of replacement values, if positive, of each operation with financial derivative instruments mentioned in Art. 9º and Art. 11 and of net replacement values, if positive, as per item I of Art. 13, considering the provision of Art. 15. 5 | Sum of future potential gains resulting from operations with financial derivative instruments mentioned in the caput of Art. 9º and in item I of Art. 11 and of net future potential gains mentioned in item II of Art. 13. 6 | Not applicable in Brazil. 7 | Value corresponding to the deduction of the daily margin provided, as per Art. 16. Negative value. 8 | Value corresponding to the deduction of the exposure relating to operations with financial derivative instruments carried out on behalf of clients in which there is no contractual obligation of the institution in the event of bankruptcy or default of the mentioned systems, as per item II of § 3º of Art. 8º. Negative value. 9 | Sum of the reference values of credit derivative contracts in which the institution acts as the risk-receiving counterparty, mentioned in the caput of Art. 17. 10 | Value corresponding to the deductions provided for in § 2º of Art. 17. Negative value. 11 | Sum of lines 4 to 10

Repurchase Agreements and Securities Lending Operations 12 | Value corresponding to resale to be settled in a repurchase agreement of purchase with commitment to resell and to securities and values received by loan, as per item II of Art. 18. 13 | Value corresponding to the deduction provided for in § 3º of Art. 18. Negative value. 14 | Value corresponding to item I of Art. 18, excluding the operations mentioned in § 4º of the same article. 15 | Value corresponding to item I of Art. 18 relating to the operations mentioned in § 4º of the same article. 16 | Sum of lines 12 to 15

Items not accounted for in the Balance Sheet (BS)

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17 | Sum of exposure values referred to in Arts. 19 to 22, disregarding the application of Credit Conversion Factors (CCFs).
18 | Sum of exposure values referred to in Arts. 19 to 22, disregarding the application of CCFs, multiplied by (CCF - 1), where CCF corresponds to the Credit Conversion Factor applicable to the mentioned exposures, as per the mentioned articles. Negative value. 19 | Sum of lines 17 and 18. Corresponding to the sum of the exposures mentioned in Arts. 19 to 22.

Capital and Total Exposure
20 | As per item I of Art. 2º observed the provision of the sole paragraph of the same article.
21 | Sum of lines 3, 11, 16, and 19.

Leverage Ratio (RA)
22 | Ratio between lines 20 and 21.