Circular No. 3930 - Provisions on the Disclosure of the Pillar 3 Report

CIRCULAR Nº 3.930, OF FEBRUARY 14, 2019

Provides for the disclosure of the Pillar 3 Report.

The Collegiate Board of the Central Bank of Brazil, in a session held on February 13, 2019, based on the provisions of Articles 9, 10, item IX, and 11, item VII, of Law No. 4.595, of December 31, 1964, and having in view the provisions of Article 31, item II, of Resolution No. 4.192, of March 1, 2013, Articles 12, § 2º, and 15, item III, of Resolution No. 4.193, both of March 1, 2013, and Article 56 of Resolution No. 4.557, of February 23, 2017,

RESOLVES:

CHAPTER I
OF THE OBJECT, SCOPE OF APPLICATION, AND PRELIMINARY PROVISIONS

Art. 1 This Circular provides for the disclosure of the Pillar 3 Report.

Art. 2 Institutions classified in Segment 1 (S1), Segment 2 (S2), Segment 3 (S3), or Segment 4 (S4), in accordance with Resolution No. 4.553, of January 30, 2017, must disclose a document called the Pillar 3 Report.

§ 1º Subject to the segmentation established in Chapter III and summarized in the summary table in Annex I, the Pillar 3 Report must contain information regarding:

I - prudential indicators and risk management; II - comparison between accounting and prudential information; III - capital composition; IV - macroprudential indicators; V - leverage ratio (LR); VI - liquidity indicators; VII - credit risk; VIII - counterparty credit risk (CCR); IX - securitization exposures; X - market risk; XI - risk of variation of interest rates on instruments classified in the banking book (IRRBB); and XII - remuneration of administrators.

§ 2º The Pillar 3 Report must be prepared on a consolidated basis for institutions that are part of the same prudential conglomerate, as established in Resolution No. 4.280, of October 31, 2013.

§ 3º The description of the risk management structure and the capital management structure required by Article 56 of Resolution No. 4.557, of February 23, 2017,

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will be evidenced through the disclosure of qualitative information on risk management provided for in this Circular.

§ 4º For the purposes of preparing the Pillar 3 Report, information regarding the portion related to exposures to credit risk subject to the capital requirement calculation using the standardized approach (RWACPAD), provided for in Resolution No. 4.193, of March 1, 2013, must be segregated as follows:

I - exposures to credit risk in the strict sense, understood as credit risk not associated with the topics listed in items II to VI, as detailed in Section VII of Chapter II; II - exposures to CCR, as detailed in Section VIII of Chapter II; III - adjustment associated with the variation in the value of derivatives due to variation in the credit quality of the counterparty (CVA), provided for in Article 35 of Circular No. 3.644, of March 4, 2013; IV - acquisition of shares issued by unconsolidated funds; V - securitization exposures, as detailed in Section IX of Chapter II; and VI - items not deducted from the calculation of Reference Equity (RE), in accordance with Articles 27 and 30 of Circular No. 3.644, of 2013.

Art. 3 The information in the Pillar 3 Report must be disclosed according to the fixed or flexible format tables established by the Central Bank of Brazil.

§ 1º Provided that there is no alteration in the order of presentation and the respective numbering in the tables established by the Central Bank of Brazil, the following are admitted for tables with fixed format:

I - the addition of lines or columns; and
II - the suppression, duly justified, of lines or columns whose information is not considered relevant.

§ 2º The form of presentation of the information required in tables with flexible format is discretionary.

§ 3º Tables with fixed format must be disclosed with their respective headers.

§ 4º In exceptional cases where the disclosure of information required in the Pillar 3 Report violates confidentiality or property clauses, the corresponding specific item may not be disclosed, provided it is justified in an additional comment to the respective table.

§ 5º The information in the Pillar 3 Report must be accompanied by additional comments containing supplementary information in the form required in each table.

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CHAPTER II
OF THE DISCLOSURE OF INFORMATION

Section I
Of Prudential Indicators and Risk Management

Art. 4 The information in the Pillar 3 Report regarding prudential indicators and risk management must be disclosed according to the following tables established by the Central Bank of Brazil:

I - quantitative information on prudential requirements (table KM1); II - overview of the institution's risk management (table OVA); and III - overview of risk-weighted assets (table OV1).

Sole Paragraph. The comparison required in table KM1 with information prior to the effective date of this Circular is waived.

Section II
Of the Comparison Between Accounting and Prudential Information

Art. 5 The comparison between accounting and prudential information must be disclosed according to the following tables established by the Central Bank of Brazil:

I - explanation of differences between values recorded in accounting statements and values of exposures subject to prudential treatment (table LIA); II - differences between the scope of accounting consolidation and the scope of prudential treatment, as well as the detailing of values associated with risk categories (table LI1); III - main causes of differences between values considered in prudential regulation and exposure values (table LI2); IV - prudential adjustments (table PV1).

§ 1º For the purposes of calculating the differences mentioned in the caput, the values considered in prudential regulation must be compared with the values of the consolidated balance sheet included in the published financial statements or, in their absence, the consolidated balance sheet prepared in accordance with the Accounting Plan of the Institutions of the Financial System (Cosif).

§ 2º The information provided in table LIA mentioned in the caput must be complemented with the list of institutions and entities that are part of the prudential conglomerate.

§ 3º In the case where the scope of accounting consolidation is different from the scope of prudential consolidation, the information provided in table LIA must also be complemented with:

I - list of institutions and entities that are part of the scope of consolidation of the balance sheet included in the published financial statements and are not part of the prudential conglomerate; and

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II - total assets, equity, area of operation, and brief description of the main activity of the institutions and entities mentioned in item I.

Section III
Of Capital Composition

Art. 6 The information in the Pillar 3 Report regarding capital composition must be disclosed according to the following tables established by the Central Bank of Brazil:

I - main characteristics of the instruments that make up Reference Equity (table CCA); II - composition of Reference Equity (RE), as established in Resolution No. 4.192, of March 1, 2013 (table CC1); and III - reconciliation of Reference Equity with the balance sheet (table CC2).

§ 1º Information on the instruments comprising RE with identical characteristics, except for the issuance date, as defined in table CCA, may be provided in an aggregated manner.

§ 2º The institution subject to the disclosure of table CCA must disclose and keep updated, on its website, the terms and conditions of the contracts of the instruments that make up its RE, in a manner that allows knowledge of their essential characteristics.

§ 3º For the purposes of the disclosure mentioned in the caput, the direct or indirect acquisition of the instruments mentioned in Article 8 of Resolution No. 4.192, of 2013, or of a portion of the share capital amount of any other entity, must be considered:

I - significant, if greater than 10% (ten percent) of the respective amount issued by the institution or entity; and II - insignificant, if less than 10% (ten percent) of the respective amount issued by the institution or entity.

§ 4º The detailing of the consolidated balance sheet presented in table CC2 must be sufficient to allow the identification of relevant elements reported in table CC1.

§ 5º The balance sheet mentioned in item III of the caput corresponds to that mentioned in § 1º, of Article 5º.

Art. 7 For the purposes of disclosing information required in table CC1, the following must be considered:

I - the Basel Index (BI) calculated according to the following formula:

BI = RE / RWA, where:

RE = Reference Equity, calculated in accordance with Article 2 of Resolution No. 4.192, of 2013; and

RWA = amount of risk-weighted assets, calculated in accordance with Resolution No. 4.193, of 2013;

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II - the Tier 1 Index (T1I) calculated according to the following formula:

T1I = Tier 1 / RWA, where:

Tier 1 = portion of RE calculated in accordance with Resolution No. 4.192, of 2013; and

III - the Common Equity Index (CEI) calculated according to the following formula:

CEI = Common Equity / RWA,

where:

Common Equity = portion of RE calculated in accordance with Resolution No. 4.192, of 2013.

Sole Paragraph. In the case where the institution discloses supplementary capitalization indices defined in this Circular, the respective calculation methodology must be explicit.

Section IV
Of Macroprudential Indicators

Art. 8 The information in the Pillar 3 Report regarding macroprudential indicators must be disclosed according to the following tables established by the Central Bank of Brazil:

I - indicators used to characterize a financial institution as globally systemically important (table GSIB1); and II - geographic distribution of exposures to credit risk considered in the calculation of the Countercyclical Capital Buffer (CCyB), provided for in Resolution No. 4.193, of 2013 (table CCyB1).

Sole Paragraph. Table GSIB1 must be disclosed only by institutions subject to the calculation of information for the assessment of Global Systemic Importance (GSI), provided for in Circular No. 3.751, of March 19, 2015.

Section V
Of the Leverage Ratio (LR)

Art. 9 The information in the Pillar 3 Report regarding the Leverage Ratio must be disclosed according to the following tables established by the Central Bank of Brazil:

I - comparison between information from financial statements and that used to calculate the Leverage Ratio, provided for in Circular No. 3.748, of February 27, 2015 (table LR1); and II - detailed information on the Leverage Ratio (table LR2).

Sole Paragraph. The financial statements mentioned in item I of the caput correspond to those mentioned in § 1º, of Article 5º.

Section VI
Of Liquidity Indicators

Art. 10 The information in the Pillar 3 Report regarding liquidity indicators must be disclosed according to the following tables established by the Central Bank of Brazil:

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I - qualitative information on liquidity risk management (table LIQA); II - Short-Term Liquidity Indicator, provided for in Circular No. 3.749, of March 5, 2015 (table LIQ1); and III - Long-Term Liquidity Indicator, provided for in Circular No. 3.869, of December 19, 2017 (table LIQ2).

§ 1º The values of table LIQ1 must be calculated from the simple average of daily values observed in the quarter regarding the reported base date.

§ 2º The number of daily observations used in the calculation of the average values disclosed as required in § 1º must be reported.

§ 3º Relevant restrictions or impediments, existing or possible, to the transfer of resources between institutions that are part of the conglomerate must be evidenced in the field intended for comments of table LIQ1.

§ 4º Qualitative information facilitating the understanding of the composition and evolution of Available Stable Funding (ASF) and Required Stable Funding (RSF), provided for in Circular No. 3.869, of 2017, must be evidenced in the field intended for comments of table LIQ2.

Section VII
Of Credit Risk

Art. 11 The information in the Pillar 3 Report regarding credit risk in the strict sense defined in Article 2º, § 4º, item I, must be disclosed according to the following tables established by the Central Bank of Brazil:

I - qualitative information on credit risk management (table CRA); II - credit quality of exposures (table CR1); III - changes in the stock of abnormal ongoing operations (table CR2); IV - additional information on the credit quality of exposures (table CRB); V - information on instruments mitigating credit risk (table CRC); VI - overview of credit risk mitigation techniques (table CR3); VII - standardized approach – exposures and effects of credit risk mitigation (table CR4); and VIII - standardized approach – segregation of exposures by counterparty and by risk weighting factor (table CR5).

§ 1º The information disclosed in tables CRA, CRC, CR3, CR4, and CR5 covers all operations mentioned in Article 2º, § 4º, item I.

§ 2º The information disclosed in tables CR1, CR2, and CRB covers only:

I - credit granting, comprising loans, financing, leasing operations, interbank liquidity operations, and other similar operations; II - debt securities, comprising credit titles, promissory notes, debentures, and other instruments with similar characteristics, except securitization titles; and

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III - off-balance sheet operations, comprising guarantees provided, credit limits, except those cancellable unconditionally and unilaterally, and credits to be released within 360 days.

§ 3º The abnormal ongoing operations mentioned in item III of the caput correspond:

I - until December 31, 2021, to operations overdue for more than ninety days; II - from January 1, 2022, to exposures characterized as problematic assets, as provided in Resolution No. 4.557, of 2017.

Section VIII
Of Counterparty Credit Risk (CCR)

Art. 12 The information in the Pillar 3 Report regarding CCR must be provided according to the following tables established by the Central Bank of Brazil:

I - qualitative information on counterparty credit risk management (table CCRA); II - analysis of exposures to counterparty credit risk by approach used (table CCR1); III - standardized approach - segregation of CCR exposures by counterparty and by risk weighting factor (table CCR3); IV - financial collateral associated with exposures to counterparty credit risk (table CCR5); V - information on counterparty credit risk associated with credit derivatives (table CCR6); and VI - information on counterparty credit risk associated with exposures to central counterparties (table CCR8).

§ 1º Information regarding CCR refers only to derivative operations, repo operations, and securities lending operations.

§ 2º Derivative operations include operations for the future settlement purchase or sale of foreign currency, gold, or securities.

Section IX
Of Securitization Exposures

Art. 13 The information in the Pillar 3 Report regarding securitization exposures must be disclosed according to the following tables established by the Central Bank of Brazil:

I - qualitative information on risk management of securitization exposures (table SECA); II - securitization exposures classified in the banking book (table SEC1); III - securitization exposures classified in the trading book (table SEC2); IV - securitization exposures in the banking book and capital requirements - institution as originator or sponsor (table SEC3); and V - securitization exposures in the banking book and capital requirements - institution as investor (table SEC4).

§ 1º A financial institution is considered a sponsor counterparty if it administers or advises a securitization process, participates in the public placement of securitization titles, or provides liquidity or credit enhancement to securitization titles.

§ 2º Processes similar to securitization structured in only one class of payment prioritization should not be considered for the purposes of the disclosure mentioned in the caput, and the respective information should be disclosed together with that relating to shares of acquired funds, mentioned in Article 2º, § 4º, item IV.

Section X
Of Market Risk

Art. 14 The information in the Pillar 3 Report regarding market risk must be disclosed according to the following tables established by the Central Bank of Brazil:

I - qualitative information on market risk management (table MRA); II - standardized approach - risk factors associated with market risk (table MR1); III - qualitative information on the internal models approach for market risk (table MRB); IV - information on the variation of the RWAMINT portion (table MR2); V - values of internal models for market risk (table MR3); and VI - comparison of Value at Risk (VaR) estimates with actual and hypothetical results (table MR4).

§ 1º Institutions authorized to use internal models for market risk for the calculation of the daily value regarding the RWAMINT portion must also disclose the amount of risk-weighted assets using the standardized approach (RWAMPAD), provided for in Resolution No. 4.193, of 2013, according to table MR1.

§ 2º The information required in tables MRB, MR2, MR3, and MR4 must be disclosed only by institutions authorized to use internal models for market risk for the calculation of the daily value regarding the RWAMINT portion.

Art. 15 In addition to the information required in Article 14, the total exposure associated with financial derivative instruments by category of market risk factor must be disclosed, segmented between long and short positions, segregated as follows:

I - operations with proprietary derivatives settled through a central counterparty, subdivided into those conducted in Brazil and abroad; II - operations with proprietary derivatives not settled through a central counterparty, subdivided into those conducted in Brazil and abroad.

§ 1º For the purpose of calculating the exposure value associated with a derivative with non-linear characteristics, the variation in the derivative's price relative to the variation in the price of the respective underlying asset (delta) multiplied by the quantity of contracts and their size must be considered.

§ 2º The segregation by market risk factor mentioned in the caput must correspond to the following categories:

I - interest rates;
II - exchange rates;
III - stock prices; and
IV - commodity prices.

Section XI
Of the Risk of Variation of Interest Rates on Instruments Classified in the Banking Book (IRRBB)

Art. 16 The information in the Pillar 3 Report regarding IRRBB must be disclosed according to the following tables established by the Central Bank of Brazil:

I - qualitative information on IRRBB management (table IRRBBA); and II - quantitative information on IRRBB (table IRRBB1).

§ 1º The calculation of metrics for the variation of economic value (ΔEVE) and variation in financial intermediation results (ΔNII), as defined in Circular No. 3.876, of January 31, 2018, must:

I - consider all relevant repricing flows, except those mentioned in Article 26 of Circular No. 3.876, of 2018; and II - use the standardized shock scenarios described in Article 11 of Circular No. 3.876, of 2018.

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§ 2º The disclosure mentioned in the caput must be accompanied by explanatory notes that allow:

I - monitoring the sensitivity of economic value and financial intermediation results to interest rate variations; II - verifying the assumptions used by the financial institution in its IRRBB management system; III - having an overview of IRRBB management; and IV - interpreting the disclosed data.

§ 3º The institution must inform whether, in the calculation of ΔEVE using the standardized approach, the repricing flows include commercial margins and other spread components.

Section XII
Of Remuneration of Administrators

Art. 17 The information in the Pillar 3 Report regarding the remuneration of administrators must be disclosed according to the following tables established by the Central Bank of Brazil:

I - qualitative information on the remuneration policy, provided for in Resolution No. 3.921, of November 25, 2010 (table REMA); II - remuneration attributed during the reference year (table REM1); III - extraordinary payments (table REM2); and IV - deferred remuneration (table REM3).

CHAPTER III
OF THE SEGMENTATION OF DISCLOSURE

Art. 18 Institutions classified in S1 must publish all tables mentioned in Articles 4 to 17, observing the provisions of Article 8, sole paragraph.

Art. 19 Institutions classified in S2 must disclose the following tables:

I - prudential indicators and risk management: KM1, OVA, and OV1; II - comparison between accounting and prudential information: LIA, LI1, LI2, and PV1; III - capital composition: CCA, CC1, and CC2; IV - macroprudential indicators: CCyB1; V - Leverage Ratio: LR1 and LR2; VI - liquidity indicators: LIQA; VII - credit risk: CRA, CR1, CR2, CRB, CRC, CR3, CR4, and CR5; VIII - counterparty credit risk: CCRA, CCR1, CCR3, CCR5, CCR6, and CCR8; IX - securitization exposures: SECA, SEC1, SEC2, SEC3, and SEC4;

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X - market risk: MRA and MR1;
XI - interest rate risk in the banking book: IRRBBA and IRRBB1; and XII - remuneration of executives: REMA, REM1, REM2 and REM3.

Sole paragraph. In addition to what is required in the caput, institutions classified in S2 must disclose the tables MRB, MR2, MR3 and MR4 when authorized to use internal models for market risk to calculate the daily value related to the RWAMINT portion.

Art. 20. Institutions classified in S3 must disclose the following tables:
I - prudential indicators and risk management: KM1, OVA and OV1; II - liquidity indicators: LIQA; III - credit risk: CRA, CR1, CR2 and CRB; IV - counterparty credit risk: CCRA; V - securitization transactions: SECA; and VI - market risk: MRA and MR1.

Sole paragraph. In addition to what is required in the caput, institutions classified in S3 must disclose the following tables:
I - CCA, CC1 and CC2, when they issue instruments eligible for Additional Capital or Tier 2 of the PR; and II - MRB, MR2, MR3 and MR4, when authorized to use internal models for market risk to calculate the daily value related to the RWAMINT portion.

Art. 21. Institutions classified in S4 must disclose the OVA table regarding prudential indicators and risk management.

Sole paragraph. In addition to what is required in the caput, institutions classified in S4 must disclose the following tables:
I - CCA, CC1 and CC2, when they issue instruments eligible for Additional Capital or Tier 2 of the PR; and II - MRA, MR1, MRB, MR2, MR3 and MR4, when authorized to use internal models for market risk to calculate the daily value related to the RWAMINT portion.

CHAPTER IV
OF THE DISCLOSURE FREQUENCY

Art. 22. The information in the Pillar 3 Report must be disclosed with the following frequency:
I - quarterly, regarding the base dates of March 31, June 30, September 30 and December 31, for the requirements established in Art. 15 and the following tables:

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a) KM1 and OV1; b) LR2; c) LIQ1 and LIQ2; d) MR1, MR2, MR3 and MR4; II - semi-annual, regarding the base dates of June 30 and December 31, for the information required in item I and for the following tables:
a) CCA, CC1 and CC2; b) CCyB1; c) LR1; d) CR1, CR2, CR3, CR4 and CR5; e) CCR1, CCR3, CCR5, CCR6 and CCR8; and f) SEC1, SEC2, SEC3 and SEC4; III - annual, regarding the base date of December 31, for the information required in Arts. 4 to 17.

§ 1st The information from tables CCA, CC1 and CC2 must be updated whenever there is a relevant change, covering occurrences of issuance, redemption or repurchase, extinction or conversion, or any other material change in the nature of the instrument that makes up the PR.

§ 2nd The Pillar 3 Report must be disclosed within a maximum period of sixty days counted from the base dates of March 31, June 30 and September 30, and of ninety days counted from the base date of December 31.

CHAPTER V
OF THE FINAL PROVISIONS

Art. 23. The Pillar 3 Report must be available in a single location, publicly accessible and easy to locate, in a specific section on the institution's website.

§ 1st The institution subject to the publication of financial statements must inform, together with these, the location of the Pillar 3 Report on its website.

§ 2nd The Pillar 3 Report must remain available on the institution's website for a period of five years counted from the date of its disclosure.

§ 3rd The information required in the Pillar 3 Report must also be available in the form of open data, according to specifications established by the Central Bank of Brazil.

§ 4th The Pillar 3 Report with a base date of December 31 must be accompanied by a summary description of the main aspects of the information disclosure policy referred to in Art. 12 of Resolution No. 4,193, of 2013.

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Art. 24. The Pillar 3 Report must be immediately rectified in the event that inconsistencies in the respective information are identified.

Sole paragraph. The occurrence of a rectification in the manner of the caput must be explicitly stated.

Art. 25. Circular No. 3,692, of December 16, 2013, shall enter into force with the following alteration:

“Art. 5th For an institution issuing instruments eligible for Additional Capital or Tier 2 of the PR, classified in Segment 3 (S3) or in Segment 4 (S4), according to Resolution No. 4,553, of January 30, 2017, the Pillar 3 Report must include the tables referring to capital composition mentioned in Art. 6th of Circular No. 3,930, of February 14, 2019.” (NR)

Art. 26. Circular No. 3,876, of 2018, shall enter into force with the following alteration:

“Art. 44. ..........................................................................................................
Sole paragraph. An institution shall be considered as having potentially high exposure to IRRBB if the ΔEVE measure disclosed in the Pillar 3 Report is greater than 15% (fifteen percent) of Tier 1 of the PR.” (NR)

Art. 27. The following are revoked:
I - Circular No. 3,678, of October 31, 2013;
II - §§ 1st to 3rd of Art. 5th of Circular No. 3,692, of 2013; III - Arts. 24 to 26 of Circular No. 3,748, of 2015; IV - Annexes I and II of Circular No. 3,748, of 2015; V - Arts. 46 to 49 of Circular No. 3,749, of 2015; VI - The Sole Annex of Circular No. 3,749, of 2015; VII - Arts. 18 to 20 of Circular No. 3,751, of 2015; VIII - Annexes 1 and 2 of Circular No. 3,751, of 2015; IX - Art. 5th of Circular No. 3,769, of October 29, 2015; X - Art. 4th of Circular No. 3,849, of September 18, 2017; XI - The Sole Annex of Circular No. 3,849, of 2017; XII - Arts. 27 to 30 of Circular No. 3,869, of 2017; XIII - Annexes I and II of Circular No. 3,869, of 2017; XIV - Arts. 39 to 42 of Circular No. 3,876, of 2018; XV - Annex II of Circular No. 3,876, of 2018; XVI - Art. 2nd of Circular No. 3,919, of December 5, 2018; and XVII - The Sole Annex of Circular No. 3,919, of 2018.

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§ 1st The information published to meet the requirements in the circulars mentioned in the items of the caput must be maintained on the institution's website for a period of three years from the respective base date.

§ 2nd For the disclosure of information regarding the base date of December 31, 2019, the disclosure requirements contained in the circulars mentioned in the items of the caput must be considered.

Art. 28. This Circular enters into force on January 1, 2020.

Otávio Ribeiro Damaso
Director of Regulation

This text does not replace the published in the DOU of 2/18/2019, Section 1, p. 12-15, and in Sisbacen.

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ANNEX I
Tables Format Frequency Segmentation
Prudential Indicators and Risk Management
KM1 - Quantitative information on prudential requirements Fixed Quarterly S1 to S3 OVA - Overview of the institution's risk management Flexible Annual S1 to S4 OV1 - Overview of risk-weighted assets (RWA) Fixed Quarterly S1 to S3 Comparison between accounting and prudential information LIA - Explanation of differences between values recorded in financial statements and values of exposures subject to prudential treatment Flexible Annual S1 and S2 LI1 - Differences between the scope of accounting consolidation and the scope of prudential treatment, as well as the detail of values associated with risk categories Fixed Annual S1 and S2 LI2 - Main causes of differences between values considered in prudential regulation and exposure values Flexible Annual S1 and S2 PV1 - Prudential adjustments (PVA) Fixed Annual S1 and S2 Capital Composition CCA - Main characteristics of Reference Equity (PR) instruments Flexible Semi-annual S1, S2 and institutions issuing Additional Capital or Tier 2 CC1 - Composition of Reference Equity (PR) Fixed Semi-annual S1, S2 and institutions issuing Additional Capital or Tier 2

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CC2 - Reconciliation of Reference Equity (PR) with the balance sheet Flexible Semi-annual S1, S2 and institutions issuing Additional Capital or Tier 2 Macroprudential Indicators GSIB1 - Indicators used to characterize a financial institution as globally systemically important (GSIBs) Fixed Annual Institution subject to the provisions of Circular No. 3,751, of 2015 CCyB1 - Geographic distribution of credit risk exposures considered in the calculation of the Countercyclical Buffer (ACP) Fixed Semi-annual S1 and S2 Leverage Ratio LR1 - Comparison between information from financial statements and those used to calculate the Leverage Ratio (RA) Fixed Semi-annual S1 and S2 LR2 - Detailed information on the Leverage Ratio Fixed Quarterly S1 and S2 Liquidity Indicators LIQA - Qualitative information on liquidity risk management Flexible Annual S1 to S3 LIQ1 - Short-Term Liquidity Indicator (LCR) Fixed Quarterly S1 LIQ 2- Long-Term Liquidity Indicator (NSFR) Fixed Quarterly S1 Credit Risk CRA - Qualitative information on credit risk management Flexible Annual S1 to S3 CR1 - Credit quality of exposures Fixed Semi-annual S1 to S3 CR2 - Changes in the stock of ongoing operations abnormally Fixed Semi-annual S1 to S3 CRB - Additional information on the credit quality of exposures Flexible Annual S1 to S3 CRC - Information on instruments mitigating credit risk Flexible Annual S1 and S2

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CR3 - Overview of credit risk mitigation techniques Fixed Semi-annual S1 and S2 CR4 - Standardized Approach – exposures and effects of credit risk mitigation Fixed Semi-annual S1 and S2 CR5 - Standardized Approach - segregation of exposures by counterparty and by risk weighting factor (RWF) Fixed Semi-annual S1 and S2 Counterparty Credit Risk (CCR) CCRA - Qualitative information on counterparty credit risk (CCR) management Flexible Annual S1 to S3 CCR1 - Analysis of exposures to counterparty credit risk (CCR) by approach used Fixed Semi-annual S1 and S2 CCR3 - Standardized Approach – segregation of CCR exposures by counterparty and by risk weighting factor Fixed Semi-annual S1 and S2 CCR5 - Financial collateral associated with exposures to counterparty credit risk Fixed Semi-annual S1 and S2 CCR6 - Information on counterparty credit risk associated with credit derivatives Fixed Semi-annual S1 and S2 CCR8 - Information on counterparty credit risk associated with exposures to central counterparties Fixed Semi-annual S1 and S2 Securitization Exposures SECA - Qualitative information on risk management of securitization exposures Flexible Annual S1 to S3 SEC1 - Securitization exposures classified in the banking book Flexible Semi-annual S1 and S2 SEC2 - Securitization exposures classified in the trading book Flexible Semi-annual S1 and S2

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SEC3 - Banking book securitization exposures and capital requirements - institution as originator or sponsor Fixed Semi-annual S1 and S2 SEC4 - Banking book securitization exposures and capital requirements - institution as investor Fixed Semi-annual S1 and S2 Market Risk MRA - Qualitative information on market risk management Flexible Annual S1 to S3 MR1 - Standardized Approach – risk factors associated with market risk Fixed Semi-annual S1 to S3 MRB - Qualitative information on the internal models approach for market risk Flexible Annual Financial institution authorized to use internal models MR2 - Information on variations in the RWAMINT portion Fixed Quarterly MR3 - Values of internal models for market risk Fixed Quarterly MR4 - Comparison of VaR estimates with actual and hypothetical results Flexible Quarterly IRRBB IRRBBA - objectives and policies for IRRBB management Flexible Annual S1 and S2 IRRBB1 - Qualitative information on IRRBB Fixed Annual S1 and S2 Remuneration of Executives REMA - Remuneration policy Flexible Annual S1 and S2 REM1 - Remuneration attributed during the reference year Flexible Annual S1 and S2 REM2 - Extraordinary payments Flexible Annual S1 and S2 REM3 - Deferred remuneration Flexible Annual S1 and S2