Circular No. 3862 — Establishes procedures for calculating the simplified risk-weighted assets portion (RWAS5) for credit risk exposures under the simplified standardized approach (RWARCSimp)

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 Article 11, sole paragraph, 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 portion of risk-weighted assets in simplified form (RWAS5) regarding credit risk exposures subject to the calculation of the capital requirement through the simplified standardized approach (RWARCSimp), as provided for in Resolution No. 4.606 of October 19, 2017.

CHAPTER II

OF THE CALCULATION OF THE RWARCSimp PORTION

Article 2. The RWARCSimp portion, as provided for in Resolution No. 4.606 of 2017, must be equal to the sum of the products of the exposures by their respective Risk Weighting Factors (RWF).

CHAPTER III

OF THE DEFINITION OF EXPOSURE

Article 3. For the determination of the RWARCSimp amount, exposure is considered to be any item recorded in the financial statements that represents:

I - application of financial resources in assets and rights;

II - expenses or costs recorded in assets;

III - any advances granted by the institution;

IV - provision of guarantee, suretyship, joint liability, or any other form of personal guarantee for the fulfillment of financial obligations of third parties; or

V - values of contracted credits to be disbursed.

§ 1. For the determination of the exposure value, active provisions and income to be appropriated must be deducted.

§ 2. In operations to be settled for the purchase or sale of foreign currency and gold with immediate settlement, the determination of the RWARCSimp amount must consider:

I - the exposure related to counterparty credit risk, in the case of a sale operation; and

II - the exposure related to the asset object of the operation and the exposure related to counterparty credit risk, in the case of a purchase operation.

§ 3. The asset object or financial resources that have been delivered in advance in the operations referred to in § 2 are considered advance operations.

§ 4. For the purpose of determining the RWARCSimp amount, the following exposures must not be considered:

I - assets deducted from the Simplified Reference Equity (PRS5), as provided for in Resolution No. 4.606 of 2017;

II - interdependence operations;

III - checks to be cleared deposited in customer accounts, when the release of the respective resources is linked to effective clearing, in accordance with current regulations; and

IV - linked active operations, carried out according to the provisions of Resolution No. 2.921 of January 17, 2002.

Article 4. The value of the exposures referred to in Article 3 must be determined according to the criteria established in the Chart of Accounts of the Institutions of the National Financial System (Cosif).

§ 1. In repurchase agreement operations, the value of the exposure must correspond to the book value:

I - of the resale, in the case of a purchase operation with a commitment to resell; or

II - of the asset object of the operation, in the case of a sale operation with a commitment to repurchase.

§ 2. In operations to be settled for the purchase or sale of foreign currency and gold with immediate settlement, the value of the exposure must correspond:

I - to the book value of the asset, for the exposure related to the asset object; and

II - to 1% (one percent) of the value of the operation, for the exposure related to counterparty credit risk.

§ 3. The value of the exposures related to the granting of advances, mentioned in Article 3, item III, must correspond to the advanced value.

CHAPTER IV

OF THE RISK WEIGHTING FACTORS

Article 5. An RWF of 0% (zero percent) must be applied to the following exposures:

I - values held in cash, in national currency;

II - values held in cash, in foreign currencies, as well as exposures to the asset object represented by the aforementioned foreign currencies;

III - investments in gold as a financial asset and foreign exchange instruments, as well as exposures to the asset object represented by gold as a financial asset and foreign exchange instruments;

IV - operations with the National Treasury and with the Central Bank of Brazil, as well as investments in securities issued by them, except those linked to repurchase agreement operations; and

V - advances of contributions to the Credit Guarantee Fund (FGC) and to the Credit Cooperativism Guarantee Fund (FGCoop).

Article 6. An RWF of 2% (two percent) must be applied to exposures resulting from operations for the purchase or sale of foreign currency and gold with immediate settlement, to be settled in clearing systems or clearing and settlement service providers, in which an entity acts as a central counterparty.

Article 7. An RWF of 20% (twenty percent) must be applied to the following exposures:

I - freely movable deposits held in banking establishments;

II - net liquidity transferred as a result of the cooperative act known as financial centralization;

III - repurchase agreement operations carried out with securities issued by the National Treasury or by the Central Bank of Brazil;

IV - operations to be settled for the purchase or sale of foreign currency and gold with immediate settlement carried out with financial institutions and other institutions authorized to operate by the Central Bank of Brazil;

V - advances granted in the operations referred to in item IV; and

VI - rights resulting from the novation of debts of the Wage Variation Compensation Fund (FCVS), as provided for in Law No. 10.150 of December 21, 2000.

Article 8. An RWF of 50% (fifty percent) must be applied to the following exposures:

I - time deposits in financial institutions, provided they are not subject to a special regime, as well as exposures that have as their asset object the securities issued by them;

II - interbank deposits; and

III - values of contracted credits to be disbursed.

Article 9. An RWF of 75% (seventy-five percent) must be applied to the following exposures:

I - operations to be settled for the purchase or sale of foreign currency carried out with natural persons or legal entities, observing the provisions of item IV of Article 7;

II - credit operations;

III - leasing operations; and

IV - advances granted.

Article 10. An RWF of 100% (one hundred percent) must be applied to the following exposures:

I - investments in investment fund shares;

II - other sale repurchase agreement operations with a commitment to repurchase; and

III - operations for which no specific RWF is established.

CHAPTER V

FINAL PROVISIONS

Article 11. This Circular enters into force on February 18, 2018.

Article 12. Circular No. 3.643 of March 4, 2013 is hereby revoked.

Otávio Ribeiro Damaso
Regulation Director