Circular No. 3861 — Procedures for calculating the simplified risk-weighted assets portion for gold, foreign currency, and exchange rate exposure

CIRCULAR No. 3,861, OF DECEMBER 7, 2017

Establishes the procedures for calculating the simplified risk-weighted assets portion (RWAS5) related to exposure to gold, foreign currency, and assets subject to exchange rate variation using the simplified standardized approach (RWACAMSimp), as provided for in Resolution No. 4,606, of October 19, 2017.

The Collegiate Board of the Central Bank of Brazil, in a session held on December 7, 2017, based on the provisions of Articles 9, 10, item IX, and 11, item VII, of Law No. 4,595, of December 31, 1964, and considering the provisions of Article 11 of Resolution No. 4,606, of October 19, 2017,

RESOLVES:

CHAPTER I
OF THE OBJECT OF APPLICATION

Article 1. This Circular establishes the procedures for calculating the simplified risk-weighted assets portion (RWAS5) related to exposure to gold, foreign currency, and assets subject to exchange rate variation using the simplified standardized approach (RWACAMSimp), as provided for in Resolution No. 4,606, of October 19, 2017.

CHAPTER II
OF THE CALCULATION OF THE RWACAMSimp PORTION

Article 2. The value of the RWACAMSimp portion must be determined monthly based on the following formula:

RWACAMSimp = (β · EXPSimp) / F', where:

I - F' = minimum PRS5 requirement established in Article 12 of Resolution No. 4,606, of 2017; II - β = 25% (twenty-five percent); and III - EXPSimp = value of the exposure related to investment in gold, foreign currency, and assets and liabilities subject to exchange rate variation.

§ 1. The amount EXPSimp corresponds to the sum of investments in gold, foreign currency holdings, and purchased exchange to be settled, net of sold exchange to be settled.

§ 2. The exposures mentioned in item III must be determined in reais, by converting the respective values, based on the quotations used for the preparation of balance sheets and financial statements, according to the criteria established in the Accounting Plan of the Institutions of the Financial System (Cosif).

§ 3. The base date for determining the portion mentioned in the caput must be the last business day of each month.

Article 3. For institutions that are part of a prudential conglomerate in accordance with Cosif, the calculation of the RWACAMSimp amount must be based on consolidated accounting statements.

Article 4. The data used in the calculation of the RWAS5 amount must be reconciled with audited information semi-annually and annually.

CHAPTER III
OF THE FINAL PROVISION

Article 5. This Circular enters into force on February 18, 2018.

Otávio Ribeiro Damaso
Director of Regulation

This text does not replace that published in the Official Gazette of the Union (DOU) of 12/11/2017, Section 1, p. 62, corrected in the DOU of 12/12/2017, Section 1, p. 24/25, and in Sisbacen.