Circular No. 3768 — Establishes the methodology for calculating the Additional Systemic Importance Capital Principal (ACPSistêmico)

The Collegiate Board of the Central Bank of Brazil, in an extraordinary session held on October 29, 2015, based on the provisions of Articles 9, 10, item IX, and 11, item VII, of Law No. 4.595 of December 31, 1964, and Article 8, paragraph 8, of Resolution No. 4.193 of March 1, 2013,

RESOLVES:

Art. 1 This Circular provides for the methodology for calculating the Additional Systemic Importance Capital Principal (ACPSistêmico) portion, as provided for in Article 8, item III, of Resolution No. 4.193 of March 1, 2013.

Art. 2 The value of the ACPSistêmico portion must be calculated according to the following formula:

ACPSistêmico = RWA x FIS, where:

I - RWA = amount of risk-weighted assets, as defined in Article 3 of Resolution No. 4.193 of 2013; and

II - FIS = annual systemic importance factor, calculated on January 1 of each year, as defined in Article 3 of this Circular.

Art. 3 The value of the FIS is defined based on the ratio between the value of Total Exposure and the value of Gross Domestic Product (GDP), considering the following gradation:

I - if the Total Exposure/GDP ratio is less than 10% (ten percent), the value of the FIS is zero;

II - if the Total Exposure/GDP ratio is equal to or greater than 10% (ten percent) and less than 50% (fifty percent):

a) FIS = zero, until December 31, 2016;

b) FIS = 0.25% (twenty-five hundredths percent), from January 1 to December 31, 2017;

c) FIS = 0.5% (five tenths percent), from January 1 to December 31, 2018; and

d) FIS = 1% (one percent), from January 1, 2019 onwards; and

III - if the Total Exposure/GDP ratio is equal to or greater than 50% (fifty percent):

a) FIS = zero, until December 31, 2016;

b) FIS = 0.5% (five tenths percent), from January 1 to December 31, 2017;

c) FIS = 1% (one percent), from January 1 to December 31, 2018; and

d) FIS = 2% (two percent), from January 1, 2019 onwards.

§ 1 For the purposes of the main text, consider:

I - Total Exposure: the amount referred to in Article 2, item II, of Circular No. 3.748 of February 27, 2015, relating to December 31 of the penultimate year relative to the base date for calculating the ACPSistêmico portion; and

II - GDP: the value disclosed by the Brazilian Institute of Geography and Statistics (IBGE) for the annual GDP of Brazil at market prices and current values referring to the penultimate year relative to the base date for calculating the ACPSistêmico portion.

§ 2 On the date of calculating the FIS, the most recent available information regarding Total Exposure and GDP referred to in § 1 of this article must be used.

§ 3 Once the FIS has been calculated, it must be maintained until the next calculation base date, even if there is a subsequent revision of the information used in its calculation.

§ 4 For the calculation of the FIS value for 2016, the value of Total Exposure must correspond to the value of total assets on the base date of December 31, 2014, recorded in the individual balance sheet or in the financial conglomerate balance sheet, if the institution is part of a financial conglomerate, in accordance with the Accounting Plan of the Institutions of the National Financial System (Cosif).

Art. 4 A report detailing the calculation of the ACPSistêmico portion must be sent to the Financial System Monitoring Department (Desig), in the manner to be established by it.

Art. 5 The values of the ACPSistêmico portion, the FIS, and the value of Total Exposure mentioned in Article 3, relating to the base dates of March 31, June 30, September 30, and December 31, must be disclosed in a single location, publicly accessible and easily located, in a specific section on the institution's website.

§ 1 The information referred to in the main text must be available together with the information regarding risk management, the calculation of the amount of risk-weighted assets (RWA), and the calculation of Reference Equity (PR), as provided for in Article 18 of Circular No. 3.678 of October 31, 2013.

§ 2 The location of the information mentioned in the main text must be informed together with the published financial statements.

§ 3 The information referred to in the main text 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.

Art. 6 This Circular enters into force on the date of its publication.

Otávio Ribeiro Damaso
Regulation Director