CMN Resolution No. 4698 — Amending Resolution No. 4.677 of July 31, 2018, Establishing Maximum Exposure Limits per Client and Maximum Concentrated Exposures

The Central Bank of Brazil, in accordance with Article 9 of Law No. 4,595 of December 31, 1964, makes public that the National Monetary Council, in a session held on November 27, 2018, based on Articles 4, items VIII and X, of the aforementioned Law, Articles 9 and 10 of Law No. 4,728 of July 14, 1965, Article 20, paragraph 1, of Law No. 4,864 of November 29, 1965, Articles 7 and 23, item "a", of Law No. 6,099 of September 12, 1974, Article 1, paragraph 1, and Article 12 of Complementary Law No. 130 of April 17, 2009, and Article 1, paragraph 2, of Provisional Measure No. 2,192-70 of August 24, 2001,

R E S O L V E S:

Article 1. Resolution No. 4,677 of July 31, 2018, shall enter into force with the following amendments:

“Article 4. ...................................................

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§ 2. The limit referred to in the caput does not apply to exposure of a Brazilian subsidiary or agency of a foreign institution listed as globally systemically important by the FSB to another institution listed as globally systemically important.” (NR)

“Article 8. ...................................................

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§ 1. .......................................................

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XIII - exposures related to funds and applications with a maturity of up to one year made in the respective headquarters by a subsidiary or agency of a foreign institution classified in S2, S3, or S4.

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“Article 11. ...................................................

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§ 3. .......................................................

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II - the total exercise value of the rights conferred by the derivative minus its replacement value, in the case of a purchased position in a put option.

§ 4. If the option referred to in § 3, item II, is exercised, the exposure value to the counterparty mentioned in the caput, item I, must correspond to the total exercise value of the rights conferred by the derivative.” (NR)

“Article 13. ...................................................

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IV - ........................................................

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c) exposures to which the RPR of 35% (thirty-five percent) is applied for the purpose of calculating capital requirements, provided that the debtor balance of the financing is permanently less than or equal to 80% (eighty percent) of the most recent assessment value of the collateral; or

d) exposures related to non-residential real estate financing in which the debtor balance of the financing is permanently less than or equal to 60% (sixty percent) of the most recent assessment value of the property and to which an RPR less than or equal to 100% (one hundred percent) is applied;

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“Article 14. ...................................................

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§ 3. For the purposes of the provision in § 1, item II, the exposure value to the counterparty must correspond:

I - for a fund or securitization structure not constituted by different classes of payment priority, to the percentage of participation, in the fund's portfolio or structure, of the underlying assets issued by that counterparty, multiplied by the total value of the quotas or securities; and

II - for a fund or securitization structure constituted by different classes of payment priority, to the sum of exposures to each underlying asset issued by that counterparty, obtained separately for each invested class, according to the following formula:

ExpAsset = PartTranche * min (ValueTranche, ValueAsset), where:

a) ExpAsset = Exposure to the underlying asset;

b) PartTranche = Institution's participation in the payment priority class, in percentage terms;

c) ValueTranche = Total value of the payment priority class; and

d) ValueAsset = Nominal value of the underlying asset.

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“Article 17. ...................................................

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§ 2. .......................................................

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V - value of the exposure to counterparty credit risk calculated in the calculation of the RWACPAD portion mentioned in Resolution No. 4,193 of 2013, for exposure associated with a credit derivative instrument in the swap credit mode classified in the trading portfolio, in the case where the instrument provider or the entity associated with the underlying asset is a non-financial institution.

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“Article 26. ...................................................

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II - starting from January 1, 2020, for institutions classified in S3, S4, or S5.

§ 1. An institution classified in S3, S4, or S5 may begin to observe the provisions of this Resolution starting from January 1, 2019.

§ 2. An institution that begins to observe the provisions of this Resolution ceases to be subject to Resolution No. 2,844 of June 29, 2001.” (NR)

“Article 27-A. The following are revoked:

I - on January 1, 2019, Article 1, item II, of Resolution No. 2,283 of June 5, 1996; and

II - on January 1, 2020:

a) Resolution No. 2,844 of 2001;

b) Article 2 of Resolution No. 3,399 of August 29, 2006; and

c) Articles 23 to 25 of Resolution No. 4,434 of 2015.

Sole paragraph. Starting from January 1, 2020, citations to Resolution No. 2,844 of 2001 shall refer to this Resolution” (NR)

Article 2. The following are revoked:

I - the sole paragraph of Article 26 of Resolution No. 4,677 of 2018; and

II - Article 27 of Resolution No. 4,677 of 2018.

Article 3. This Resolution enters into force on the date of its publication.

Ilan Goldfajn
President of the Central Bank of Brazil