Circular No. 3984 — Amends Circular No. 3,641 of March 4, 2013 regarding risk-weighted asset calculations for gold, foreign currency, and exchange rate risk exposures

CIRCULAR NO. 3,984, OF FEBRUARY 13, 2020

Amends Circular No. 3,641, of March 4, 2013, which establishes procedures for calculating the risk-weighted asset (RWA) portion related to exposures in gold, foreign currency, and assets subject to exchange rate variation whose capital requirement is calculated using the standardized approach (RWACAM), as provided for in Resolution No. 4,193, of March 1, 2013.

The Collegiate Board of the Central Bank of Brazil, in a session held on February 12, 2019, based on arts. 9, 10, item IX, and 11, item VII, of Law No. 4,595, of December 31, 1964, and considering the provisions of arts. 3, § 2, and 15 of Resolution No. 4,193, of March 1, 2013,

R E S O L V E S:

Art. 1. Circular No. 3,641, of March 4, 2013, shall be amended as follows:

“Art. 1. ............................................................................................................
.........................................................................................................................
§ 3. .................................................................................................................
I - F” defined from the ratio between exposures in gold, foreign currency, and assets and liabilities subject to exchange rate variation (EXP) and Reference Equity (PR), defined in accordance with Resolution No. 4,192, of 2013, considering the following formula:

F = min [0.22 + 8.5 * (
EXP
PR
)
2
; 1]
................................................................................................................” (NR)

Art. 2. The items “a”, “b”, “c” and “d” of item I of § 3 of art. 1 of Circular No. 3,641, of 2013, are hereby revoked.

Art. 3. This Circular enters into force on April 1, 2020.

Otávio Ribeiro Damaso
Director of Regulation

This text does not replace the published version in the DOU of 2/17/2020, Section 1, p. 19, and in Sisbacen.