Circular No. 3749 — Establishes the calculation methodology for the Short-Term Liquidity Indicator (LCR) and provides for the disclosure of information related to the LCR

CIRCULAR NO. 3,749, OF MARCH 5, 2015

Establishes the calculation methodology for the Short-Term Liquidity Indicator (LCR) and provides for the disclosure of information related to the LCR.

The Collegiate Board of the Central Bank of Brazil, in a session held on March 5, 2015, based on the provisions of Articles 10, item IX, and 11, item VII, of Law No. 4,595, of December 31, 1964, and Article 8 of Resolution No. 4,401, of February 27, 2015, and considering the provisions of Resolution No. 4,090, of May 24, 2012,

RESOLVES:

CHAPTER I
ON THE OBJECT AND SCOPE OF APPLICATION

Article 1. This Circular establishes the calculation methodology for the Short-Term Liquidity Indicator (LCR) and provides for the disclosure of information related to the LCR, in accordance with the determinations of Resolution No. 4,401, of February 27, 2015.

CHAPTER II
ON THE LCR CALCULATION FORMULA

Article 2. The LCR corresponds to the ratio between the stock of High-Quality Liquid Assets (HQLA) and the total net cash outflows projected for a thirty-day period, calculated according to the standardized stress scenario for LCR purposes, defined in Article 3 of this Circular.

Sole Paragraph. The total net cash outflows correspond to the total cash outflows minus the lesser value between the total cash inflows and 75% (seventy-five percent) of the total cash outflows.

CHAPTER III
ON THE STANDARDIZED STRESS SCENARIO FOR THE LCR

Article 3. The standardized stress scenario mentioned in Article 2 considers idiosyncratic and market shocks that would result for the institution, over a thirty-day period, in:

I - partial loss of retail funding;
II - partial loss of the ability to raise unsecured wholesale funding; III - partial loss of the ability to raise short-term funding; IV - additional outflows of funds, contractually foreseen, due to a downgrade of the institution's credit risk rating by up to three levels, including any additional collateral requirements;

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V - increase in price, rate, or index volatilities that impact the quality of collateral or the potential future exposure of derivative positions, resulting in the application of larger haircuts to collateral or additional collateral calls, or other liquidity demands; VI - withdrawals of amounts higher than expected on credit and liquidity lines granted; and VII - the potential need for the bank to repurchase debt or honor non-contractual obligations, aiming to mitigate its reputational risk.

CHAPTER IV
ON THE DEFINITION OF HIGH-QUALITY LIQUID ASSETS (HQLA)

Article 4. Assets may be considered HQLA if they remain liquid in markets during stress periods and meet the following minimum requirements:

I - are easily and immediately convertible into cash, with no or little loss in their market value; II - are free from any legal, regulatory, statutory, or contractual impediment or restriction on their trading; III - present low risk; IV - have easy and certain pricing; V - have low correlation with high-risk assets or with assets issued by financial institutions; VI - are traded on stock exchanges, if they are shares; VII - are traded in an active and significant market, with a small difference between the buying and selling price, high trading volume, and a large number of participants; VIII - are, historically, assets sought in situations of systemic crisis; and IX - do not constitute an obligation of a financial institution or an entity that is part of the prudential conglomerate, as provided by Resolution No. 4,280, of October 31, 2013.

§ 1. Securities and financial instruments received as collateral, or received in repurchase agreements, or received in leases with the right of use, or received in collateral swap transactions with the right of use, may be included in the HQLA stock if they are in the possession of the institution and without impediment to be sold definitively or sold with a commitment to repurchase, or offered as guarantee.

§ 2. The following assets must not be considered in the HQLA stock:

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I - operationally not monetizable in a timely manner during stress periods, observed that:
a) the HQLA stock must be under the control of a unit responsible for the institution's liquidity management, which holds authority, established in internal policies, to monetize any asset from this stock, observed that such control must be evidenced by the maintenance of assets in a segregated manner, managed by the units responsible for the institution's liquidity management, with the sole objective of being used as a contingent source of liquidity, or through the demonstration that the said unit is operationally capable of monetizing the assets in a timely manner within the next thirty days without directly compromising the institution's risk management policies and the continuity of its business; and b) institutions must establish policies and maintain procedures and controls to identify and monitor the entity, the geographic location, the currency, and the custody or bank accounts in which their HQLA are held, in order to be able to monetize them in a timely manner.

II - monetizable with a significant loss of their price, considering a thirty-day period;

III - that must, contractually, be kept in the portfolio;

IV - received as collateral and subject to reuse, if the owner or beneficiary has the right to withdraw them within the next thirty days;

V - received in collateral swap transactions and subject to use, if such transactions mature within the next thirty days;

VI - leased, where the lease maturity is less than thirty days, or where the holder has the right to withdraw them within the next thirty days without the prior consent of the institution; and

VII - held in institutions of the prudential conglomerate that do not have access to the markets in which these assets are traded and that cannot be transferred for any reason to other institutions of the prudential conglomerate that hold access to these markets.

§ 3. The liquidity need in each currency for which there is a forecast of cash outflows in the institution must be managed.

§ 4. Periodically, a representative sample of the assets included in the HQLA stock must be monetized, through repurchase agreements or definitive sales, with the objective of testing the institution's access to the market, the effectiveness of the process, and the liquidity of the assets.

§ 5. Only assets held in the portfolio by the institution on the day of the LCR calculation may be considered in the HQLA stock.

§ 6. Assets included in the HQLA stock must be recognized in the LCR calculation at a value no higher than market value.

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§ 7. For the purposes of the provision of item IX of the caput, the following are excepted:

I - obligations of institutions classified under the letter “b”, of item VIII of Article 6; II - securities referred to in item III of Article 8; and III - securities referred to in item II of Article 9.

CHAPTER V
ON THE COMPOSITION OF THE HQLA STOCK

Article 5. The HQLA stock is composed of Level 1 and Level 2 assets.

Section I
On Level 1 HQLA

Article 6. The following are considered Level 1 HQLA:

I - funds held in cash, in any currency;
II - free reserves at central banks;
III - mandatory reserves deposited at the Central Bank of Brazil, relating to savings deposits and demand deposits, limited to the total amount of estimated cash outflows for each of these modalities; IV - other mandatory reserves deposited at the Central Bank of Brazil, limited to the amount to be returned to the institution as a result of the cash outflow defined in Articles 13 to 28; V - mandatory reserves at foreign central banks, limited to the amount of redemption allowed by the local regulator; VI - Brazilian federal government bonds accepted by the Central Bank of Brazil in intraday rediscount operations; VII - Brazilian federal government bonds issued abroad, traded in an active and significant market; VIII - liquid bonds issued or guaranteed by:
a) central governments of foreign countries, respective central banks, and public sector entities (Public Sector Entities – PSEs) that have a risk rating better than or equal to AA-, or an equivalent rating, conferred by a credit rating agency registered or recognized in Brazil by the Securities and Exchange Commission (CVM); and b) multilateral organizations and Multilateral Development Entities (MDEs), as referred to in Article 19, item V, of Circular No. 3,644, of March 4, 2013;

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IX - liquid bonds issued in local or foreign currency by the central government or central bank of other countries, up to the limit of net cash outflows in the respective currency, of subsidiaries located in the respective country; X - mandatory reserves to be released, as defined in item III of § 2 of Article 23; and XI - amount of total mandatory reserves deposited at the Central Bank of Brazil, not considered in the portions referred to in items III, IV, and X of the caput, limited to 15% of the total Level 1 assets of the institution in Brazil.

§ 1. Free reserves correspond to the portion of the balance of the amount deposited at the central bank, in cash or securities, exceeding the requirement relative to the mandatory requirement on the base date, adjusted by the values already fulfilled in the period, as defined in §3 of Article 23 when the requirement is given as an average of the period.

§ 2. The mandatory reserves referred to in items III, IV, and XI of the caput do not include amounts deposited at the Central Bank of Brazil due to non-compliance with resource allocation directives.

§ 3. In the calculation of the estimated amount of cash outflows for demand deposits to be used in item III of the caput, the cash amount considered for the purpose of complying with the mandatory requirement must be deducted.

§ 4. The amount of mandatory reserves to be considered Level 1 HQLA referred to in item III of the caput is limited to the amounts deposited at the Central Bank of Brazil, discounted, by mandatory reserve modality, the portions referred to in item X of the caput.

§ 5. The amount of mandatory reserves that makes up the Level 1 HQLA stock referred to in item IV of the caput must consider the percentage of mandatory reserve return applied to the amount deposited at the Central Bank of Brazil discounted by the portion, according to the mandatory reserve modality, referred to in item X of the caput.

§ 6. The amount of mandatory reserves to be considered Level 1 HQLA referred to in item XI of the caput is limited to the amounts deposited at the Central Bank of Brazil, discounted by the portions referred to in items III, IV, and X of the caput.

§ 7. The securities referred to in item VI of the caput include:

I - the excess of securities deposited as guarantees in clearing houses in Brazil, understood as the excess the total value deposited, minus the total required guarantees, when positive; and II - the portfolio holdings of investment funds in which the institution is the sole shareholder.

§ 8. For the purposes of this Circular, PSEs are considered government instances at a level lower than the federation, including regional governments and local authorities, such as states and municipalities, as well as autonomous entities.

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Section II
On Level 2 HQLA

Article 7. Level 2 High-Quality Liquid Assets may be:

I - Level 2A assets; and
II - Level 2B assets.

§ 1. The total Level 2 HQLA assets must be limited to 40% (forty percent) of the total HQLA, considering Level 1 and Level 2 assets and the values of the assets after the application of any weighting factors.

§ 2. The total Level 2B HQLA assets must be limited to 15% (fifteen percent) of the total HQLA, considering Level 1 and Level 2 assets and the values of the assets after the application of any weighting factors.

Section III
On Level 2A HQLA

Article 8. The following are considered Level 2A High-Quality Liquid Assets:

I - liquid bonds issued or guaranteed by central governments of foreign countries and respective central banks that have a risk rating better than or equal to A-, or an equivalent rating, conferred by a credit rating agency registered or recognized in Brazil by the CVM; II - private bonds issued by non-financial companies and not belonging to a prudential conglomerate that meet the minimum requirements established in §§ 3 and 4; and III - asset-backed bonds issued by the issuing institution, not issued by the institution itself or by an institution of its prudential conglomerate, that meet the minimum requirements established in §§ 3 and 4.

§ 1. The value of bonds not considered in Level 1, referred to in item IX of Article 6, of Article 6, due to exceeding net cash outflows, may be considered in item I of the caput, provided they meet all criteria for eligibility for Level 2A.

§ 2. A weighting factor of 85% (eighty-five percent) must be applied to the balance of the bonds referred to in items I to III of the caput, in order to reduce the value considered for the assets.

§ 3. To be considered Level 2A assets, the bonds referred to in items I to III of the caput must be a source of liquidity in markets even during stress periods, characterized by the fact that their value cannot have suffered a drop greater than 10% (ten percent) over a thirty-day period since their issuance, or, at minimum, in the last five years of trading of the bond.

§ 4. To be considered Level 2A HQLA, the following conditions must be observed regarding the bonds referred to in items II and III of the caput:

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I - the bonds must have a long-term risk rating better than or equal to AA-, or an equivalent rating, conferred by a credit rating agency registered or recognized in Brazil by the CVM; or, in the absence of a long-term risk rating, have an equivalent short-term risk rating; or in the absence of a risk rating conferred by a credit rating agency registered or recognized in Brazil by the CVM, be internally classified as having a Probability of Default (PD) corresponding to a risk rating better than or equal to AA-, or an equivalent rating;

II - the bonds must have been traded in the secondary market through definitive sale or with a commitment to repurchase, for at least 75% (seventy-five percent) of the days, in the last twelve months; and

III - the total volume to compose Level 2A HQLA cannot exceed 25% (twenty-five percent) of the average monthly trading volume of the bond in the last ninety days.

§ 5. The risk rating referred to in item I of § 4, in the case of bonds issued in the local currency of the jurisdiction, may consider the risk rating on a national scale.

§ 6. HQLA classified considering the prerogative of § 5 may only be used to cover cash outflows in the jurisdiction in which they were issued.

§ 7. The volume of bonds referred to in item II of the caput that exceeds the limit established in item III of § 4 may be considered Level 2B HQLA up to 25% (twenty-five percent) of the average monthly volume in the last ninety days, considering the weighting factor defined in § 5 of Article 9.

Section IV
On Level 2B HQLA

Article 9. The following are considered Level 2B High-Quality Liquid Assets:

I - liquid bonds issued or guaranteed by central governments of foreign countries, respective central banks that have a risk rating better than or equal to BBB-, or an equivalent rating, conferred by a credit rating agency registered or recognized in Brazil by the CVM, that are a source of liquidity in markets even during stress periods, characterized by the fact that their value cannot have suffered a drop greater than 20% (twenty percent) over a thirty-day period since their issuance, or, at minimum, in the last five years of trading of the bond;

II - securitization bonds collateralized by a portfolio of financing for the acquisition of residential real estate, that meet the following minimum requirements:
a) are not issued by the institution itself or by an institution of its prudential conglomerate; b) do not have the real estate credits originated in the institution itself or in an institution of its prudential conglomerate; c) have a long-term risk rating better than or equal to AA, or an equivalent rating, conferred by a credit rating agency registered or recognized in Brazil by the CVM; or, in the absence of a long-term risk rating, have a short-term risk rating equivalent to the long-term rating; conferred by a credit rating agency registered or recognized in Brazil by the CVM; d) are a source of liquidity in markets even during stress periods, characterized by the fact that their value cannot have suffered a drop greater than 20% (twenty percent) over a thirty-day period since their issuance, or, at minimum, in the last five years of trading of the bond; e) have been traded in the secondary market for at least 60% (sixty percent) of the days, in the last twelve months; f) do not have structured products as collateral; g) their collateral are financings in which the debt does not extinguish with the execution of the guarantee, if insufficient; h) have their underlying assets guaranteed by the financed property, in which the contracted value is up to 80% (eighty percent) of the appraisal value of the guarantee at the granting of the credit; i) correspond to operations with risk retention by the issuer; and j) the total volume to compose Level 2B HQLA cannot exceed 25% (twenty-five percent) of the average monthly trading volume of the bond in the last ninety days;

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III - private bonds issued by non-financial companies and not belonging to a prudential conglomerate, that meet the following minimum requirements:
a) have a long-term risk rating between A+ and BBB-, or an equivalent rating, conferred by a credit rating agency registered or recognized in Brazil by the CVM; or, in the absence of a long-term risk rating, have an equivalent short-term risk rating; or in the absence of a risk rating conferred by a credit rating agency registered or recognized in Brazil by the CVM, be internally classified as having a PD corresponding to a risk rating between A+ and BBB-, or an equivalent rating; b) are a source of liquidity in markets even during stress periods, characterized by the fact that their value cannot have suffered a drop greater than 20% (twenty percent) over a thirty-day period since their issuance, or, at minimum, in the last five years of trading of the bond; c) have been traded in the secondary market for at least 60% (sixty percent) of the days, in the last twelve months; and d) the total volume to compose Level 2B HQLA cannot exceed 25% (twenty-five percent) of the average monthly trading volume of the bond in the last ninety days; and

IV - liquid shares of non-financial companies and not belonging to the prudential conglomerate and to entities controlled by it, that meet the following minimum requirements:
a) are traded on a stock exchange, whose transactions are settled in clearing and settlement chambers; b) belong to the main domestic or country stock indices where the liquidity risk is taken; c) are denominated in local currency or in the currency of the country where the liquidity risk is taken; d) applications in equity investment funds can only be considered if the institution is the sole shareholder of the fund, in proportion to the extent that the fund's equity portfolio meets the requirements of this item; e) are a source of liquidity in markets even during stress periods, characterized by the fact that their value cannot have suffered a drop greater than 40% (forty percent) over a thirty-day period since their issuance, or, at minimum, in the last five years of trading of the share; f) have been traded in the secondary market for at least 60% (sixty percent) of the days, in the last 12 (twelve) months; g) the total volume to compose Level 2B HQLA cannot exceed 25% (twenty-five percent) of the average monthly trading volume of the share in the last ninety days.

§ 1. Institutions must have adequate systems to measure and control the risks of the assets referred to in the caput, as well as to evaluate their eligibility criteria for HQLA.

§ 2. The value of bonds not considered in Level 1, referred to in item IX of Article 6, due to exceeding net cash outflows, may be considered in item I of the caput, provided they meet all criteria for eligibility for Level 2B.

§ 3. The bonds referred to in item IX of Article 6 not considered in Level 1 due to exceeding the respective net cash outflows and that do not meet the eligibility criteria for Level 2A or 2B must not be included in the institution's HQLA stock.

§ 4. A weighting factor of 75% (seventy-five percent) must be applied to the balance of the instruments referred to in item II of the caput.

§ 5. A weighting factor of 50% (fifty percent) must be applied to the balance of the instruments referred to in items I, III, and IV of the caput.

§ 6. The risk rating referred to in letter “c” of item II and letter “a” of item III of the caput, in the case of bonds issued in the local currency of the jurisdiction, may consider the risk rating on a national scale.

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§ 7º The HQLA classified considering the prerogative of § 6º may only be used to cover cash outflows in the jurisdiction in which they were issued.

CHAPTER VI
OF THE DEFINITION AND COMPOSITION OF CASH OUTFLOWS

Art. 10. The total cash outflows are calculated by multiplying the balances of various categories of obligations and commitments, recorded in the liabilities or off-balance sheet, by weighting factors.

Section I
Of Retail Funding

Art. 11. For the purposes of this Circular, retail funding is considered to be deposits, own issuances of financial instruments, and securities lending operations with securities issued by an institution of the same prudential conglomerate, where the counterparty is a natural person or a small-sized private legal entity.

§ 1º To be considered a small-sized private legal entity for LCR purposes, the counterparty must:
I - be managed by the institution as a retail client; II - have current exposures and funding with the institution, including credits and debits arising from derivatives transactions, calculated separately, of less than R$3,000,000.00 (three million reais); III - comply with the provisions of item II of § 2º of Art. 24 of Circular No. 3,644, of 2013.

§ 2º The issuances and operations referred to in the main text must be acquired by clients of the institution itself, without intermediation or issuance of the funding instrument in the financial market.

§ 3º For the calculation referred to in item II of § 1º, the net exposure resulting from derivatives transactions must be considered.

§ 4º For the purposes of this Article, the consideration of the counterparty must observe the definition provided in item I of § 2º of Art. 24 of Circular No. 3,644, of 2013.

Art. 12. Stable funding is considered to be that referenced in the currency of the country where the funding was made, guaranteed by the Credit Guarantee Fund (FGC), or by the Credit Cooperatives Guarantee Fund (FGCoop), or by another entity that offers effective deposit insurance, and arising from clients with a strong relationship with the institution, making redemption highly unlikely, characterized by the observance of at least one of the following criteria:
I - in the case where the counterparty is a natural person:

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a) that the client has had a checking or savings account at the institution for at least three years; b) that the client receives regular benefits, such as salary or pension, at the institution; or c) that the client makes regular payments scheduled via automatic debit in a checking account; II - in the case where the counterparty is a small-sized private legal entity:
a) that the client has had a checking or savings account at the institution for at least three years; or b) that the client conducts its cash management at the institution, as defined in § 13 of Art. 15.

§ 1º The effective insurance referred to in the main text is that which:
a) is capable of guaranteeing the ability to make immediate payments for the credit guarantees offered; b) has its coverage object clearly defined; c) is public knowledge; and d) has legal capacity to exercise its mandate, is operationally independent, transparent, and maintains good accounting practices.

§ 2º Retail funding that does not meet the criteria established in this Article is considered less stable.

Art. 13. The following must be considered retail cash outflows:
I - 3% (three percent) of the balances corresponding to stable retail funding, where the deposit insurance is from the FGC or FGCoop; II - 5% (five percent) of the balances corresponding to other stable retail funding; and III - of the balances corresponding to less stable retail funding:
a) 20% (twenty percent), in the case of a natural person whose sum of funding at the institution is equal to or greater than R$1,500,000.00 (one million and five hundred thousand reais); b) 10% (ten percent) of the other balances.

§ 1º The balances considered in items I and II of the main text are limited to the value covered by deposit insurance.

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§ 2º The portions of funding treated in items I and II of the main text that exceed the deposit insurance limit must be considered in the balances referred to in item III of the main text.

§ 3º The provisions of items I to III of the main text apply to the balance of retail funding:
I - regardless of the existence of collateral; II - with maturity or notice for redemption within thirty days; III - with maturity exceeding thirty days, if they offer daily liquidity to the client; IV - with maturity exceeding thirty days, if there is no legal, regulatory, or contractual prohibition for early redemption; or if there is no charge of a significant penalty for early withdrawal, defined as a loss of value greater than the real yield of the operation.

§ 4º For deposits with maturity above thirty days, even if there is a legal, regulatory, or contractual prohibition or a charge of a significant penalty for early withdrawal, the total balance of this funding must compose the cash outflows of retail funding if the institution allows, on a non-exceptional basis, early withdrawal or without the charge of a significant penalty.

§ 5º The institution must establish adequate controls and criteria to identify the exceptional nature referred to in § 4º, which must be documented and verifiable.

§ 6º The Central Bank of Brazil may determine the reclassification of deposits with maturity above thirty days and with legal, regulatory, or contractual prohibition or significant penalty for early withdrawal if it considers the controls or criteria referred to in § 5º inadequate.

§ 7º For the calculation of the sum of funding referred to in item “a” of item III of the main text, the net exposure resulting from derivatives transactions must be considered if the client’s net position in derivatives is positive.

Section II
Of Unsecured Wholesale Funding

Art. 14. Unsecured wholesale funding is considered to be that which has legal entities as counterparties and for which there is no collateral guaranteeing the credit risk of the operation, as defined in the main text of Art. 20, except those considered retail funding.

§ 1º Own issuances of financial instruments and securities lending operations with securities issued by an institution of the same prudential conglomerate, acquired by clients of the institution itself, without intermediation or issuance of the funding instrument in the financial market, may be considered as the unsecured wholesale funding referred to in the main text for LCR calculation purposes.

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§ 2º The balances to be considered in the calculation of cash outflows correspond to funding with redemption possibility within thirty days and with maturity exceeding thirty days, if they offer daily liquidity to the client or the option of redemption within thirty days, considering that:
I - for redemption options that depend on the institution's discretion to allow their exercise, reputational factors must be taken into consideration, which may limit the institution's ability to not allow the exercise of the option; II - if market agents expect to redeem the funding before its maturity, the institution must assume the possibility of redemption for LCR calculation purposes.

§ 3º The cash outflows referred to in Arts. 14 to 18 must exclude those referring to deposits already considered in § 7º of Art. 24 and in § 7º of Art. 37.

Subsection I
Of Operational Deposits

Art. 15. Operational deposits are considered to be resources maintained at the institution from wholesale clients destined for settlement, custody, or cash management, provided that these services are provided by the institution.

§ 1º The services referred to in the main text must meet the following requirements:
I - the client depends on the institution for the services to be provided in the next thirty days; II - the services are provided under a specific contract, subject to prior notice for termination of at least thirty days, or with a clause of significant penalty in case of termination in the next thirty days; and III - the deposits are maintained in accounts designated to meet the operational activities referred to in the main text and do not offer incentives to maintain balances in excess of what is necessary for these activities.

§ 2º The following are not eligible for qualification as operational deposits:
I - resources related to products offered with the main objective of offering remuneration; II - balances in excess of those necessary for the provision of the services referred to in the main text; III - balances from correspondent banking services; and IV - balances from brokerage services.

§ 3º Institutions must establish a methodology to identify excess deposits that are excluded from the treatment granted to funding related to operational deposits, which must meet the following requirements:

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I - be documented and verifiable;
II - be sufficiently granular to adequately measure the redemption risk in case of idiosyncratic stress; and III - take into account the probability of the wholesale client maintaining balances above the average relative to what is necessary, creating, in addition, indicators to identify clients who are not managing their operational deposits efficiently.

§ 4º If, in the development of the methodology referred to in § 3º, institutions are unable to determine the value of excess deposits, the total value of the deposits must be considered non-operational.

§ 5º Institutions may, alternatively to the development of the methodology referred to in § 3º, consider as operational deposits the lower value between the sum of the balances of wholesale client demand deposits on the base date of the LCR calculation and the average of the five smallest balances of the sum of demand deposits of the same clients in the thirty days prior to the base date of the LCR calculation, provided that the provisions of this Article are observed.

§ 6º The amount of demand deposits above the result calculated in § 5º are not considered operational deposits and must be treated as wholesale deposits.

§ 7º The methodology referred to in § 3º must be submitted to an independent validation process of the development process that evaluates, at a minimum, the adequacy of the methodology to the criteria listed in this Article.

§ 8º The validation process referred to in § 7º is the exclusive responsibility of the institution and must be redone whenever there are changes in the methodology.

§ 9º The use of the methodology referred to in § 3º must be timely communicated to the Central Bank of Brazil, both upon its implementation and in case of changes in the methodology.

§ 10. The Central Bank of Brazil may determine the reclassification of operational deposits to non-operational if it considers the methodology referred to in § 3º inadequate.

§ 11. For the purposes of this Article, settlement services are considered those that allow the institution's client to transfer funds or securities, indirectly, through direct participants of the domestic payment system, to the final recipients, being limited to the following activities:
I - transmission, reconciliation, and confirmation of payment orders; II - intraday, overnight credit line, and maintenance of post-settlement balances; III - definition of positions to be settled intraday and positions to be settled definitively.

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§ 12. For the purposes of this Article, custody services are considered the provision of safekeeping, reporting, asset processing, or the execution of operational and administrative procedures of related activities, on behalf of the client, in the transaction and maintenance process of financial assets, being limited to the following activities:
I - settlement of transactions with securities and market assets; II - transfer of contractual payments; III - processing of collateral; IV - provision of custody related to cash management services; V - receipt of dividends and other income; VI - subscriptions and redemptions on behalf of clients; and VII - corporate and asset fiduciary services, treasury services, conditional release deposits (escrow), fund transfer, share transfer, and agency services, including payment and settlement services and certificates of deposit.

§ 13. For the purposes of this Article and item “b” of item II of Art. 12, cash management services are considered the provision of products and services to clients for the management of their cash flows, assets, and liabilities and for the conduct of financial transactions necessary for the continuity of their business, being limited to the following activities:
I - payment remittance;
II - collection and collection of resources;
III - payroll administration; and
IV - control over the disbursement of resources.

Art. 16. The following must be considered operational deposit cash outflows:
I - 3% (three percent) of the balances corresponding to operational deposits covered by FGC or FGCoop deposit insurance; II - 5% (five percent) of the balances corresponding to other operational deposits covered by other effective deposit insurances, according to criteria established in § 1º of Art. 12; III - 25% (twenty-five percent) of the balances corresponding to other operational deposits.

§ 1º The balances referred to in items I and II of the main text are limited to the value of the deposit insurance, considering the average value per client of the total balance of operational deposits.

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§ 2º All funding originating from operational deposits that do not fit the definitions of items I and II of the main text must be considered in the balances referred to in item III of the main text, including the value of the balance of this funding that exceeds the deposit insurance limit value.

Subsection II
Of Deposits of Affiliated Cooperatives

Art. 17. Cash outflows of deposits of affiliated cooperatives must be considered to be 25% (twenty-five percent) of the balances that can be withdrawn in the next thirty days, as defined in § 2º of Art. 14.

§ 1º The institution that considers the redemption rate provided in the main text must provide cooperative banking services, which capture deposits from affiliated cooperatives due to:
I - requirements of minimum deposits; or
II - provision of financial centralization services, defined contractually or statutorily, comprising the deposits of affiliated cooperatives in which the capturing cooperative bank and the investing cooperatives participate in the same credit guarantee fund.

§ 2º The Central Bank of Brazil may determine the reclassification of deposits of affiliated cooperatives if these deposits are not made due to the provisions of items I and II of § 1º.

Subsection III
Of Other Unsecured Funding

Art. 18. The following must be considered other cash outflows of unsecured wholesale funding:
I - 20% (twenty percent) of the balances corresponding to wholesale client funding referred to in Art. 14, from non-financial companies, central governments and respective central banks, multilateral organizations, and EMDs referred to in Art. 19, item V, of Circular No. 3,644, of 2013, and PSEs, including funds constituted with public resources for the specific purpose of promoting national or regional development, guaranteed by the FGC, or by the FGCoop, or by another entity that offers effective deposit insurance, observing the provisions of § 1º of Art. 12, if the total balance of the counterparty, including operational deposits, does not exceed the deposit insurance coverage limit; II - 40% (forty percent) of the balances corresponding to the funding referred to in item I, when the total balance of the counterparty, including operational deposits, exceeds the deposit insurance limit value; and III - 100% (one hundred percent) of the balances corresponding to other wholesale funding, unsecured and not classified in Arts. 15 to 17 or in items I or II of this Article.

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Art. 19. Cash outflows of balances referring to time deposits with special guarantee of the FGC (DPGE) with maturity in the next thirty days must be considered:
I - 100% (one hundred percent) of the balance if there is no regulatory limit for its renewal in the next thirty days; or II - 0% (zero percent) of the balance if there is a regulatory limit for its renewal in the next thirty days.

Section III
Of Secured Funding

Art. 20. Secured wholesale funding is considered to be that in which the collateral guarantees the credit risk of the operation in case of bankruptcy, insolvency, liquidation, or declaration of special regimes.

Sole Paragraph. The funding referred to in the main text:
I - include repurchase agreement sales operations; and II - do not include those classified in Art. 22.

Art. 21. Cash outflows of secured wholesale funding with maturity, or capable of being settled, in the next thirty days must be considered:
I - 0% (zero percent) of the balances corresponding if the collateral is eligible for Level 1 HQLA, as defined in Art. 6º; II - 15% (fifteen percent) of the balances corresponding if the collateral is eligible for Level 2A HQLA, as defined in Art. 8º; III - 25% (twenty-five percent) of the balances corresponding if the collateral is eligible for Level 2B HQLA, as defined in Art. 9º, item II; IV - 50% (fifty percent) of the balances corresponding if the collateral is eligible for Level 2B HQLA, as defined in Art. 9º, items I, III, and IV; and V - 100% (one hundred percent) of the balances corresponding if the collateral does not fit in items I to IV.

§ 1º The funding referred to in items I to V of the main text include those in which the collateral is owned by third parties and has been received as guarantee for another operation with maturity exceeding thirty days.

§ 2º If the funding is made with the Central Bank of Brazil or with the central bank of the country of location of the subsidiary referred to in the funding, it must be considered a cash outflow of secured wholesale funding of 0% (zero percent) of the balance, regardless of the collateral offered.

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§ 3º If the funding is made with the domestic central government, multilateral organizations, and EMDs referred to in Art. 19, item V, of Circular No. 3,644, of 2013, and domestic PSEs, it must be considered a cash outflow of secured wholesale funding of 25% (twenty-five percent) of the balance when the collateral offered corresponds to those referred to in items IV and V.

§ 4º The provisions of § 3º apply only to domestic PSEs that have a risk classification better than or equal to A-, or equivalent classification, conferred by a rating agency registered or recognized in Brazil by the CVM.

§ 5º For the purposes of § 4º, a domestic PSE is considered to be one located in the jurisdiction where the institution is headquartered or has a subsidiary.

§ 6º Repurchase agreement sales operations with maturity in the next thirty days must not be considered in the LCR calculation if the collateral is owned by a third party and has been received as guarantee for another operation with maturity also in the next thirty days.

§ 7º For the funding referred to in the main text of Art. 20 collateralized by own issuance assets or assets issued by an institution belonging to the same prudential conglomerate, the cash outflow percentage provided in item V of the main text must be considered.

Section IV
Of Financial Market Issuances

Art. 22. Cash outflows corresponding to the issuance of securities maturing in thirty days, issued with intermediation, including for special purpose vehicles (SPVs), or directly in the financial market, must be considered:
I - 100% (one hundred percent) of the balances of unsecured issuances; II - 100% (one hundred percent) of the balances of secured issuances; and III - 100% (one hundred percent) of the balances referring to Structured Operations Certificates (COE) referred to in Resolution No. 4,263, of September 5, 2013, with maturity in the next thirty days or with maturity above thirty days, provided that, in the latter case, they contain options that allow early settlement.

§ 1º The issuances referred to in the main text must consider embedded options that would allow the early redemption or repurchase of the security.

§ 2º For the operations referred to in item III of the main text, classification and treatment according to the definitions of funding provided in Sections I and II of this Chapter are admitted, provided that they meet the following requirements:
I - are issued directly by the bank to the client; and II - constitute investment with protected nominal value.

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Section V
Contractual Cash Outflows

Art. 23. The following shall be considered contractual cash outflows:

I - 100% (one hundred percent) of contractual obligations related to the granting of credit whose resources will be disbursed in the next thirty days, considering, at minimum:

a) the amount of loans and financing already contracted and whose resources have not yet been released to clients, including those related to letters of credit, foreign trade operations, and pass-through operations;

b) the amount of loans and financing to be contracted to comply with the directive, which are not covered in item IV of Art. 33;

c) the amount of resources to be paid to providers of resources for pass-through operations and foreign trade financing, when related to operations linked to specific credit operations, in which the institution assumes the credit risk;

d) the amount to be passed on to assignees regarding the payment of installments of assigned credit operations, when the institution continues to administer the assigned credits;

e) the amount to be paid to assigning banks, resulting from credit portfolio purchase operations already contracted and which will be settled in the next thirty days; and

f) the amount to be passed on to merchants or to payment institutions issuing post-paid payment instruments, as defined in item II of Art. 2 of Circular No. 3,683, of November 4, 2013, regarding client purchases made through post-paid payment instruments, as defined in item V of Art. 6 of Law No. 12,865, of October 9, 2013, combined with item II of Art. 2 of Circular No. 3,680, of November 4, 2013;

II - 100% (one hundred percent) of disbursements for the settlement of structured operations maturing in the next thirty days or maturing after thirty days that contain options allowing for early settlement;

III - 100% (one hundred percent) of the amount related to mandatory reserve deposits to be deposited with the Central Bank of Brazil in the next thirty days;

IV - 100% (one hundred percent) of other contractual obligations not covered in items I to III, maturing in the next thirty days;

V - a variable percentage of the amount of High-Quality Liquid Assets (HQLA) to be linked to some commitment of the institution in the next thirty days, not included in Arts. 11 to 25:

a) 100% (one hundred percent) of the market value of the securities to be linked if the asset is considered Level 1 HQLA for the LCR calculation, as defined in Art. 6;

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b) 85% (eighty-five percent) of the market value of the securities to be linked if the asset is considered Level 2A HQLA for the LCR calculation, as defined in Art. 8;

c) 75% (seventy-five percent) of the market value of the securities to be linked if the asset is considered Level 2B HQLA for the LCR calculation, as defined in item II of Art. 9;

d) 50% (fifty percent) of the market value of the securities to be linked if the asset is considered Level 2B HQLA for the LCR calculation, as defined in items I, III, and IV of Art. 9; and

VI - 100% (one hundred percent) of the minimum contractual payments of principal, rates, or interest related to non-maturing or maturing deposits with a term exceeding thirty days, when due in the next thirty days.

§ 1º The amount referred to in item III of the caput corresponds to what is necessary to comply with the mandatory reserve deposit on the base date, including the deposit for non-directing of credit, considering:

I - the difference between the amount due, considering deductible operations and applications corresponding to the directives, and the amount deposited, when positive;

II - if, on the base date, there is a calculation period already completed, but whose respective movement period has not yet started and the future due amount is higher than the one in effect on the current base date, the additional amount to be deposited as mandatory reserve in the next thirty days must be reported; and

III - if, in the situation described in item II, the deposited amount is greater than the due amount, the difference to be released must be considered as Level 1 HQLA.

§ 2º For the purposes of calculating the amount referred to in item I of § 1º, when the due date is defined as a period average, the cash outflow shall be the value that, when added to the amount deposited on the LCR calculation base date, results in a daily average between the start of the movement period and the LCR calculation base date equal to the due amount of the mandatory reserve.

§ 3º For the purposes of item II of the caput, structured operations are considered those representing a unique and indivisible set of rights and obligations, which do not qualify as COEs.

§ 4º The cash outflows considered in item V of the caput include the assets and collateral to be delivered in the next thirty days by the institution, resulting from collateral swap operations and lease operations already contracted and which will be settled in the next thirty days.

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Section VI
Derivative Operations

Art. 24. Cash outflows related to derivative operations shall be considered as 100% (one hundred percent) of the sum of payment estimates in the next thirty days, calculated per counterparty.

§ 1º For operations subject to daily margin calls, the estimate referred to in the caput shall be the value of the daily margin call to be paid, regardless of the contract maturity date.

§ 2º For operations not subject to daily margin calls, the estimate referred to in the caput must consider:

I - operations capable of being settled in thirty days; and

II - contractual cash flows expected for the next thirty days.

§ 3º For the operations referred to in item I of § 2º, the estimate referred to in the caput must correspond to the disbursement to be made if the contracts were settled on the LCR calculation base date.

§ 4º For the operations referred to in item II of § 2º, the estimate referred to in the caput must correspond to the disbursement to be made to honor the contractual cash flows expected for the next thirty days.

§ 5º For the calculation of the estimate referred to in the caput, it must be considered that derivative contracts will be exercised whenever the result is favorable to the holder of the exercise right, considering the options of the derivatives.

§ 6º In the estimates of cash outflows for operations capable of being settled in thirty days referred to in this article, it must:

I - deduct from the amount to be paid the return of HQLA given as collateral, considering the applicable weighting factors defined in Arts. 6 to 9; and

II - add to the amount to be paid the return of HQLA received as collateral, if they are being considered in the HQLA stock, considering the applicable weighting factors defined in Arts. 6 to 9.

§ 7º If the collateral referred to in items I and II of § 6º are demand or time deposits with the counterparty, 100% (one hundred percent) of the value of these collateral must be considered as the amount to be deducted or added to the amount to be paid in the estimate referred to in § 6º.

§ 8º For the purposes of item I of § 6º, it is necessary that the institution can legally and is operationally capable of reusing the collateral in new funding operations, when the collateral is received.

§ 9º For the payment estimates referred to in this article, the net value per counterparty resulting from a netting and settlement agreement of obligations is admitted.

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Section VII
Additional Collateral Requirements

Art. 25. Cash outflows related to collateral requirements shall be considered:

I - 100% (one hundred percent) of the called additional margin of guarantee or amount to be disbursed from positions with derivatives or other financial operations that possess a trigger clause due to the downgrade of the institution's long-term credit risk rating by up to three levels or, in the absence of a long-term credit risk rating, the equivalent short-term credit risk rating, conferred by a rating agency registered or recognized in Brazil by the CVM;

II - 20% (twenty percent) of the value of non-eligible Level 1 HQLA assets deposited as collateral;

III - 100% (one hundred percent) of the excess collateral received by the institution and considered in its HQLA stock, after applying weighting factors, when these can be drawn by the counterparty at any time;

IV - 100% (one hundred percent) of the additional collateral call, contractually required by the counterparty of the institution, but not yet deposited;

V - 100% (one hundred percent) of the value of assets received as collateral that make up the institution's HQLA stock, after applying weighting factors, when these can be replaced, by the counterparty, with non-HQLA assets, without the prior consent of the institution;

VI - 100% (one hundred percent) of the difference between the values of assets received as collateral that make up the HQLA asset stock and the values of other lower-level HQLA assets, after applying the weighting factor, when the assets received as collateral can be replaced, by the counterparty, with other lower-level HQLA assets, without the prior consent of the institution; and

VII - 100% (one hundred percent) of the estimate of additional margin calls resulting from market variations of positions in derivatives or other operations, per counterparty.

§ 1º Only cash outflows referred to in this article related to derivative operations or other financial operations subject to additional margin calls resulting from the variation of the market value of the operation or the collateral shall be considered.

§ 2º The estimate referred to in item VII of the caput must correspond to 30% (thirty percent) of the value of the margin required on the date of the LCR calculation.

§ 3º For the purposes of item VI of the caput, if there is the possibility of replacing the HQLA received as collateral with HQLA of different liquidity levels, the institution must assume that the substitute collateral will be the one with the lowest liquidity in the LCR contractually possible to be replaced by the counterparty.

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Section VIII
Credit and Liquidity Lines

Art. 26. Cash outflows related to credit and liquidity lines shall be considered:

I - a variable percentage of irrevocable unconditional and conditionally revocable credit lines in the next thirty days, granted and unused:

a) 5% (five percent) of the undrawn value, if the counterparty is a retail client;

b) 10% (ten percent) of the undrawn value, if the counterparty is a non-financial company, central government and respective central bank, multilateral organizations, and EMDS referred to in item V of Art. 19 of Circular No. 3,644, of 2013, and SPS;

c) 40% (forty percent) of the undrawn value, if the counterparty is a financial institution; securities brokerage company; securities distribution company; consortium administrator; insurance and reinsurance company; clearing and settlement chambers acting as central counterparties; fiduciary entities; and beneficiary entities; and

d) 100% (one hundred percent) of the undrawn value, if the counterparty is an institution that does not fit into items "a" to "c";

II - a variable percentage of irrevocable unconditional and conditionally revocable liquidity lines in the next thirty days, granted and unused:

a) 5% (five percent) of the undrawn value, if the counterparty is a retail client;

b) 30% (thirty percent) of the undrawn value, if the counterparty is a non-financial company, central government and respective central bank, multilateral organizations, and EMDS referred to in item V of Art. 19 of Circular No. 3,644, of 2013, and SPS;

c) 40% (forty percent) of the undrawn value, if the counterparty is a banking institution or a clearing and settlement chamber acting as a central counterparty subject to prudential regulation; and

d) 100% (one hundred percent) of the undrawn value, if the counterparty is an institution that does not fit into items "a" to "c", including hedge funds, money market funds, and SPEs.

§ 1º For the purposes of items I and II of the caput, the following are considered:

I - liquidity lines: contractual agreements for the supply of resources to the client with the objective of honoring obligations maturing in the next thirty days until the completion of new issuances or funding to be carried out by the client;

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

§ 2º Lines granted to hedge funds, money market funds, and SPEs must be considered in their entirety as liquidity lines.

§ 3º The calculation of the granted and unused value may be discounted by the value of HQLA-eligible collateral, which guarantees the credit or liquidity line, considering the applicable weighting factors defined in Arts. 6 to 9, provided that:

I - the collateral has already been deposited and is not being considered in the institution's HQLA stock or that its deposit is mandatory by the counterparty upon withdrawal;

II - the institution can, legally, and is, operationally, capable of using the collateral in funding operations, once the withdrawal on the lines is made; and

III - there is no correlation between the probability of withdrawal on the lines and the market value of the collateral.

§ 4º Regarding the credit card limit granted to clients, only the withdrawal limit shall be considered a cash outflow for the purposes of the definitions of this article.

§ 5º For the purposes of item I of the caput, the following are considered:

I - fiduciary entities: legal entities authorized to manage assets and rights in the name and on behalf of third parties, including administrators and managers of resources, investment funds, investment clubs, and pension funds, complementary pension entities, and other collective investment vehicles;

II - beneficiary entities: legal entities that receive or may have the right to receive benefits from resources due to law or any contract, including wills, insurance policies, pension plans, annuities, and trusts.

Section IX
Contingent Cash Outflows

Art. 27. Cash outflows from contingent obligations shall be considered:

I - 100% (one hundred percent) of the value of assets received on lease by the institution and which have been sold definitively or given as collateral in operations with a maturity exceeding thirty days, whose lease maturity is less than thirty days or whose holders have the right to withdraw in the next thirty days without the prior consent of the institution;

II - 100% (one hundred percent) of the value of assets received as collateral, or received in collateral swap operations, and which have been sold definitively or given as collateral in operations with maturities exceeding thirty days, whose holders have

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the right to withdraw in the next thirty days without the prior consent of the institution;

III - 2% (two percent) of the undrawn amount of irrevocably unconditional credit and liquidity lines;

IV - the higher value between the largest non-judicial guarantee provided, including suretyship and guarantee, and 1% (one percent) of the total balance of these operations, including judicial guarantees;

V - the higher value between the largest guarantee related to foreign trade obligations and 5% (five percent) of the total balance of these operations;

VI - 100% (one hundred percent) of client short positions whose assets sold or given as collateral, delivered by the institution, are owned by third parties; and

VII - 100% (one hundred percent) of the higher value between the total amount of assets in the possession of the institution, received with the objective of carrying out market maker operations, and the largest disbursement observed, in a thirty-day period, in the last five years, related to market maker operations.

§ 1º The cash outflow referred to in item II of the caput does not include collateral and assets received as collateral in operations defined in item II of Art. 31.

§ 2º In the calculation of the largest guarantee provided and the total balance of these operations referred to in items IV and V of the caput, only the amount capable of being disbursed by the institution in the next thirty days must be considered.

Section X
Other Cash Outflows

Art. 28. 100% (one hundred percent) of the amount of other obligations capable of being settled in the next thirty days and not provided for in Arts. 10 to 27 shall be considered a cash outflow.

Art. 29. The following shall not be considered as cash outflow for the purposes of the LCR calculation:

I - the redemption of judicial deposits;

II - operational costs and expenses; and

III - linked passive operations, carried out according to the provisions of Resolution No. 2,921, of January 17, 2002.

CHAPTER VII
DEFINITION AND COMPOSITION OF CASH INFLOWS

Art. 30. The total cash inflows are calculated by multiplying the balances of various categories of receivables by weighting factors that represent the expectation of receipts, considering the stress scenario for a period of thirty days.

§ 1º Only receivables for which there is an expectation of full compliance and for which non-compliance by the counterparty is not expected in the next thirty days shall be considered as cash inflows for the purposes of the LCR.

§ 2º Cash flows must be considered as cash inflow on the latest possible date for payment, based on the contractual rights of the counterparties.

Section I
Collateralized Loans

Art. 31. Cash inflows related to collateralized loans shall be considered:

I - in a variable percentage of collateralized loans, maturing in the next thirty days:

a) 0% (zero percent) of the amount to be received, if the collateral is being considered Level 1 HQLA in the LCR calculation, as defined in Arts. 4 and 6;

b) 15% (fifteen percent) of the amount to be received, if the collateral is being considered Level 2A HQLA in the LCR calculation, as defined in Arts. 4 and 8;

c) 25% (twenty-five percent) of the amount to be received, if the collateral is being considered Level 2B HQLA in the LCR calculation, as defined in Arts. 4 and 9, item II;

d) 50% (fifty percent) of the amount to be received, if the collateral is being considered Level 2B HQLA in the LCR calculation, as defined in Arts. 4 and 9, items I, III, and IV;

e) 100% (one hundred percent) of the amount to be received, if the loan is collateralized by an asset that does not fit into items "a" to "d";

II - 0% (zero percent) of the amount of collateralized loans, including securities purchase operations with a commitment to resell maturing in the next thirty days and whose received security has been sold definitively or given as collateral in another operation with a maturity exceeding thirty days or that can be extended beyond the next thirty days.

§ 1º The loans referred to in item I of the caput include purchase operations with a commitment to resell that do not fit into the requirements of item II of the caput.

§ 2º Collateralized loans shall not be considered those whose collateral is issued by the borrower of the resources or by an institution of its prudential conglomerate.

§ 3º The collateral received in the operations referred to in items I and II of the caput must be adequately administered, in such a way as to allow the institution to be able to return the collateral when the counterparty decides not to renew the operation.

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§ 4º If the loan operations referred to in item I of the caput have been granted with the objective of entering leveraged market positions, only 50% (fifty percent) of the values resulting from the calculation performed for items "b" to "e" shall be considered as cash inflow.

§ 5º Securities purchase operations with a commitment to resell, maturing in the next thirty days, shall not be considered in the LCR calculation if the purchased security has been given as collateral in another operation with a maturity also in the next thirty days.

Section II
Fully Performing Loans and Financing

Art. 32. Only payments of loans and financing maturing in thirty days, which are considered fully performing and for which non-compliance is not expected in the next thirty days, may be considered as cash inflows, being that:

I - a credit portfolio with installments overdue for a maximum of fourteen days, deducted from the provision for doubtful credit collection, shall be considered fully performing and with an expectation of receipt in the next thirty days;

II - interest payments may be included; and

III - contingent cash flows and prepayment expectations cannot be considered.

Art. 33. Cash inflows shall be considered, when coming from fully performing operations maturing in the next thirty days:

I - 50% (fifty percent) of the amount of operations granted to retail clients;

II - 100% (one hundred percent) of the amount of operations granted to financial institutions and central banks;

III - 50% (fifty percent) of the amount of operations granted to other wholesale counterparties, including non-financial companies, central governments, multilateral organizations, and EMDS referred to in item V of Art. 19 of Circular No. 3,644, of 2013, and SPS;

IV - 0% (zero percent) of the amount of loans granted in the directed credit modality, which need to be redirected in the next thirty days;

V - 100% (one hundred percent) of the amount of loans granted in the directed credit modality, which do not need to be redirected in the next thirty days;

VI - 100% (one hundred percent) of the amount related to the following operations, not included in items I to V:

a) amount to be received from clients regarding pass-through operations, in which the institution is an intermediary between the supplier and the borrower of resources and retains the credit risk;

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b) amount receivable from customers regarding foreign trade financing operations; and c) amount receivable from customers regarding assigned credits whose collections are administered by the assigning institution.

Sole paragraph. Minimum payments, contractually stipulated, of principal, fees, or interest regarding non-maturing operations granted, when due in the next thirty days, may be considered in the amounts referred to in items I to VI of the main text.

Section III
Of Deposits and Securities

Art. 34. A cash inflow of 100% (one hundred percent) of the amount of deposits of the institution itself in other financial institutions or central banks, with the possibility of withdrawal within thirty days, must be considered, except for cash inflows already considered in § 7 of Art. 24 and in § 7 of Art. 37.

Art. 35. A cash inflow regarding securities maturing in the next thirty days must be considered:
I - 100% (one hundred percent) of the amount, when the securities are not considered in the HQLA stock and are not subordinated; and II - 75% (seventy-five percent) of the amount, when the securities are not considered in the HQLA stock and are subordinated.

Art. 36. Cash inflows regarding investment fund shares held by the institution must be considered as a variable percentage of the amount related to amortization, payment of dividends, and redemption stipulated within thirty days:
I - 75% (seventy-five percent) of the amount, when it is a subordinated share; and II - 100% (one hundred percent) of the amount when it is not a subordinated share.

Sole paragraph. Cash inflows referred to in the main text are considered the payments stipulated in the next thirty days regarding:
I - dividends, interest, earnings, and other benefits; II - amortization of shares; and III - redemption of shares stipulated by the fund's regulations or fund manager.

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Section IV
Of Derivative Operations

Art. 37. Cash inflows related to derivative operations must be considered as 100% (one hundred percent) of the sum of net cash inflow estimates for the next thirty days, calculated by counterparty.

§ 1º For operations with daily adjustment provisions, the estimate referred to in the main text will be the value of the daily adjustment receivable, regardless of the contract's maturity date.

§ 2º For operations not subject to daily adjustment payments, the estimate referred to in the main text must consider:
I - operations maturing in thirty days, or capable of being settled in thirty days, in the case of options, if the right of exercise belongs to the institution; and II - contractual cash flows stipulated for the next thirty days.

§ 3º For the operations referred to in item I of § 2, the estimate referred to in the main text must correspond to the amount receivable if the contracts were settled on the base date of the LCR calculation.

§ 4º For the operations referred to in item II of § 2, the estimate referred to in the main text must correspond to the amount receivable due to the contractual cash flows stipulated for the next thirty days.

§ 5º For the calculation of the estimate referred to in the main text, it must be considered that derivative contracts will be exercised whenever the result is favorable to the holder of the exercise right, considering the options of the derivatives.

§ 6º In the estimates of cash inflows of operations capable of being settled in thirty days referred to in this article, it must:
I - deduct from the estimated value the return of HQLA received as collateral, if they are being considered in the HQLA stock, considering the applicable weighting factors defined in Arts. 6 to 9; and II - add to the estimated value the return of HQLA given as collateral, considering the applicable weighting factors defined in Arts. 6 to 9.

§ 7º If the collateral referred to in items I and II of § 6 are demand or time deposits with the counterparty, 100% (one hundred percent) of the value of these collaterals must be considered as the amount to be deducted or added to the amount receivable in the estimate referred to in § 6.

§ 8º For the purposes of the provision in item II of § 6, it is necessary that the institution can legally and be operationally capable of reusing the collateral in new funding operations, when the collateral is received.

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§ 9º For the receipt estimates referred to in this article, the net value per counterparty resulting from a clearing and settlement agreement of obligations is admitted.

Section V
Of Other Cash Inflows

Art. 38. Additional cash inflows must be considered:
I - variable percentage of the amount of unencumbrance or release of eligible assets to HQLA in the next thirty days:
a) 100% (one hundred percent) of the market value of the securities to be unencumbered or released, if the asset is eligible for Level 1 HQLA, as defined in Art. 6; b) 85% (eighty-five percent) of the market value of the securities to be unencumbered or released, if the asset is eligible for Level 2A HQLA, as defined in Art. 8; c) 75% (seventy-five percent) of the market value of the securities to be unencumbered or released, if the asset is eligible for Level 2B HQLA, as defined in Art. 9, item II; and d) 50% (fifty percent) of the market value of the securities to be unencumbered or released, if the asset is eligible for Level 2B HQLA, as defined in Art. 9, items I, III, and IV; II - 100% (one hundred percent) of the expectation of receipts regarding the payment of post-paid payment instruments issued in Brazil expected for the next thirty days, considering:
a) as expectation of receipt: the current balance receivable from invoices issued by post-paid payment instruments multiplied by the lowest percentage value received in the last twelve months of the total balance of issued invoices; and b) the total balance of invoices issued by post-paid payment instruments may include amounts receivable regarding cash purchases, installment purchases, withdrawals made, loans granted, revolving credit, bill payments, and respective fees; III - 100% (one hundred percent) of the expectation of receipts regarding the payment of post-paid payment instruments issued abroad, expected for the next thirty days, considering as expectation of receipt the minimum payment limit defined by the local regulator; IV - 100% (one hundred percent) of the following cash inflows regarding credit portfolio purchase operations:
a) amount receivable from assignors, regarding the payment of installments of acquired portfolios, when assignors remain administering the collection of installments; and

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b) amount receivable from the assignee bank, resulting from credit portfolio sale operations already contracted and to be settled in the next thirty days; V - 100% (one hundred percent) of other contractual cash inflows maturing in the next thirty days, not provided for in Arts. 31 to 37 or in items I to IV of this article, observing the criteria provided in Art. 30.

§ 1º The cash inflows considered in item I of the main text include:
I - assets that the institution has to receive in the next thirty days due to collateral swap operations already contracted and to be settled in the next thirty days; II - assets that the institution has delivered in collateral swap operations and whose contracts will be closed in the next thirty days; III - assets that the institution has to receive in the next thirty days due to rental operations already contracted and to be settled in the next thirty days; IV - assets that the institution has delivered in rental operations and whose contracts will be closed in the next thirty days, or that the institution has the right to withdraw in the next thirty days; and V - other assets and collaterals given as collateral by the institution, whose contracts will be closed in the next thirty days, or that the institution has the right to withdraw in the next thirty days, excluding those already considered:
a) in Art. 21; b) in item I of § 6 of Art. 24; c) in item II of Art. 31; and d) in item II of § 6 of Art. 37.

§ 2º When the institution's assets are rented, delivered in collateral swap operations, or made available to customers to enter short positions, the cash inflows referred to in item I of the main text and items II and IV of § 1 must receive a weighting factor of 0% (zero percent).

§ 3º The assets referred to in item I of the main text and items II and IV of § 1 cannot be being considered in the institution's HQLA stock on the base date of the LCR calculation.

Art. 39. The following must not be considered cash inflows:
I - operational deposits of the institution in other financial institutions; II - deposits of affiliated cooperatives in the central cooperative;

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III - credit lines, liquidity lines, or other contingent lines that the institution has with other financial institutions; IV - expectation of receipt regarding payments of used revolving credit lines, except those referred to in item II of Art. 38; V - expectation of receipt of operations granted without maturity, observing the provision in the sole paragraph of Art. 33; VI - cash inflows related to non-financial revenues; VII - cash inflows related to contingent cash flows; and VIII - payments regarding active operations linked, carried out according to the provision in Resolution No. 2,921, of 2002.

CHAPTER VIII
OF ADDITIONAL REQUIREMENTS

Art. 40. In the case of an asset considered HQLA ceasing to meet the minimum requirements referred to in Arts. 4, 5, 6, 7, 8, or 9, the institution may keep it in its liquid asset stock for an additional period of thirty days.

Art. 41. Institutions must have strategies and limits in force that avoid the concentration of HQLA in certain instruments, issuer or type of issuer, and currency.

Art. 42. The concentration of cash inflows from wholesale counterparties must be monitored, aiming to ensure that there is no excessive dependence on the inflow of cash flows from a limited number of counterparties.

Art. 43. The capacity to satisfy liquidity needs in each currency to which the institution is exposed must be ensured, observing that:
I - the LCR must be calculated and monitored by relevant currency; II - a stock of HQLA consistent with the liquidity need by relevant currency must be maintained; and III - possible mismatches, by currency, between the HQLA stock and the expected net cash outflows must be identified.

Sole paragraph. The institution must define and adopt consistent and verifiable criteria for the classification of the relevance of currencies.

Art. 44. The exposure to liquidity risk and the need for funding for each institution in the prudential conglomerate and for each agency or subsidiary abroad, as well as for the conglomerate as a whole, must be actively monitored and controlled, taking into account legal, regulatory, and operational limits in the transfer of liquid assets.

Art. 45. Duplicate items must not be included in the LCR calculation.

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CHAPTER IX
OF THE DISCLOSURE OF INFORMATION REGARDING THE LCR

Art. 46. The institutions referred to in Art. 3 of Resolution No. 4,401, of 2015, must disclose information regarding the calculation of the LCR according to the standard format defined in Annex I.

§ 1º Qualitative explanations of the information referred to in the main text must be disclosed.

§ 2º The value of the information referred to in the main text must be calculated from the simple average of daily values observed, considering the days of the quarter regarding the base date informed.

§ 3º The quantity of daily observations used in the calculation of the average values disclosed as required in the main text must be informed.

§ 4º For disclosure base dates prior to January 1, 2017, the average referred to in § 2 may consider end-of-month values observed, considering the months of the quarter regarding the base date informed.

Art. 47. The information referred to in Art. 46 must be disclosed quarterly, regarding base dates of March 31, June 30, September 30, and December 31, for information of a quantitative nature and for qualitative explanations of this information.

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

Art. 48. The information referred to in Art. 46 must be available in a single location, of public access and easy location, in a specific section on the institution's website.

Sole paragraph. The information mentioned in the main text must be available together with that regarding risk management, the calculation of the amount of risk-weighted assets (RWA), and the calculation of Reference Equity (PR), in the form of Art. 18, main text and §§ 1 to 3, of Circular No. 3,678, of October 31, 2013.

Art. 49. The information referred to in Art. 46 must be made available regarding, at least, the last five years.

Sole paragraph. The disclosure of information for base dates prior to April 1, 2016, is dispensed with.

CHAPTER X
OF THE FORWARDING OF INFORMATION

Art. 50. A report detailing the calculation of the LCR must be forwarded to the Central Bank of Brazil, in the manner to be established by it.

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Sole paragraph. The information used for the calculation of the LCR must be kept available to the Central Bank of Brazil for a period of five years, allowing the monitoring of the LCR by currency.

Art. 51. The director indicated in the terms of Art. 9 of Resolution No. 4,090, of May 24, 2012, is responsible for the information referred to in this Circular.

CHAPTER XI
OF OTHER PROVISIONS

Art. 52. This Circular enters into force on October 1, 2015.

Anthero de Moraes Meirelles
Director of Regulation

This text does not replace the one published in the DOU of 3/9/2015, Section 1, p. 21-27, rectified in the DOU of 3/11/2015, Section 1, p. 36, and in Sisbacen.

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ANNEX I
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 Other unsecured wholesale funding 9 Secured wholesale funding 10 Additional requirements, of which:
11 Related to exposure to derivatives and to other collateral requirements 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 Operations granted open, fully paid

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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19 Other cash inflows
20 Total cash inflows
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, items I and 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 and Art. 19 8 According to item I of Art. 22 9 According to Art. 20 and 21. 10 Sum of lines 11, 12, and 13 11 According to Arts. 24 and 25 12 Additional cash requirements, related to loss of funding through issuance of financial instruments, according to items II and III of 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 IV of Art. 38 19 According to Arts. 34 to 38, except item "a" of item IV 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 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)