CMN Resolution No. 4926 — Amends Resolution No. 4557 of February 23, 2017, regarding risk management structure, capital management structure, and information disclosure policy

CMN RESOLUTION NO. 4,926, OF JUNE 24, 2021

Amends
Resolution No. 4,557, of February 23, 2017, which provides for the risk management structure, the capital management structure, and the information disclosure policy.

The Central Bank of Brazil, in accordance with Art. 9 of Law No. 4,595, of December 31, 1964, makes public that the National Monetary Council, in a session held on June 24, 2021, based on Arts. 4, item VIII, of the aforementioned Law, 2, item VI, and 9 of Law No. 4,728, of July 14, 1965, 20, § 1, of Law No. 4,864, of November 29, 1965, 6 of Decree-Law No. 759, of August 12, 1969, 7 and 23, item “a”, of Law No. 6,099, of September 12, 1974, 1, item II, of Law No. 10,194, of February 14, 2001, and 1, § 1, of Complementary Law No. 130, of April 17, 2009,

R E S O L V E D:

Art. 1. Resolution No. 4,557, of February 23, 2017, shall enter into force with the following alterations:

“Art. 25-A. Instruments subject to market risk, as defined in Art. 25, must be managed by a trading desk structure.

§ 1. For the purposes of this Resolution, the following are defined:

I - trading desk as a group of traders or trading books with clearly defined and documented business strategies and organization, subject to the institution’s market risk management process; and

II - trading book as the specific managerial unit for managing a determined trading activity of instruments.

§ 2. The trading desk structure must be defined and documented by the institution taking into consideration its organizational structure and the criteria and procedures established by the Central Bank of Brazil.

§ 3. The granularity of the trading desk structure must be adequate to the institution’s trading volume and the types of instruments traded.” (NR)

“Art. 25-B. Each trading desk referred to in Art. 25-A must manage exclusively instruments subject to market risk.” (NR)

“Art. 26. The trading portfolio is formed by instruments, including derivatives, held for trading purposes and that meet the following conditions:

I - are free from legal impediments to sale; and

II - are valued daily at market value, according to criteria defined by current regulation.

§ 1-A. Adjustments to the market value of the instrument resulting from the valuation referred to in item II of the main text must be recognized in counterpart to an adequate revenue or expense account, in the period results of the institutions.

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§ 3. Instruments subject to temporary legal impediments may be classified in the trading portfolio, provided they are documented based on consistent and verifiable criteria.”(NR)

“Art. 26-A. In extraordinary situations duly justified, the Central Bank of Brazil may authorize, according to criteria and procedures established by it, the exceptional classification of instruments that meet the provisions of Art. 26 in the banking portfolio or the reclassification of instruments between the trading and banking portfolios.” (NR)

“Art. 27-A. For the purposes of this Resolution, internal risk transfer corresponds to the internal registration of an operation with derivative instruments that allows the transfer of risks within the banking portfolio, between the banking portfolio and the trading portfolio, or within the trading portfolio, of the same prudential conglomerate.

§ 1. Internal risk transfers between the banking portfolio and the trading portfolio or within the trading portfolio must be registered in trading desks.

§ 2. To produce effects in the capital requirement, internal risk transfers from the banking portfolio to the trading portfolio must be registered in a dedicated trading desk previously authorized by the Central Bank of Brazil.

§ 3. The criteria and procedures regarding internal risk transfers will be established by the Central Bank of Brazil, including with respect to the production of effects in the capital requirement.

§ 4. Until December 1, 2022, it is optional for institutions that do not have a dedicated trading desk authorized by the Central Bank of Brazil to recognize in their capital requirement the effects of the internal risk transfers referred to in this article.” (NR)

“Art. 29. ..........................................................................................................

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II - adequate documentation of:

a) reclassifications of instruments between the trading and banking portfolios; and

b) internal risk transfers, including those that do not produce effects for capital requirement purposes.” (NR)

“Art. 44. ........................................................................................................

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

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IV - support and participate in the strategic decision-making process related to risk management and, when applicable, to capital management, assisting the board of directors;

V - participate in the approval process referred to in item II of Art. 50.

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“Art. 48. ..........................................................................................................

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II - ....................................................................................................................

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g) the capital contingency plan referred to in Art. 40, item V;

h) the information disclosure policy referred to in Art. 56; and

i) the policies referred to in Art. 27;

................................................................................................................” (NR)

“Art. 50. It is the responsibility of the institution’s management:

I - conduct, in accordance with the policies and strategies referred to in Art. 7, item I, activities that imply the assumption of risks;

II - approve proposals for reclassification of instruments between the trading and banking portfolios; and

III - request authorization for the constitution of a dedicated trading desk, referred to in Art. 27-A, § 2, and forward it for information to the Board of Directors, if existing.” (NR)

“Art. 59. ...........................................................................................................

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VIII - manage in a trading desk structure the instruments subject to market risk, as provided in Arts. 25-A and 25-B, except in cases where the institution requests authorization for the constitution of a dedicated trading desk, referred to in Art. 27-A, § 2;

IX - perform operational risk scenario analyses as provided in Art. 33, item VI and § 2;

X - comply with the provisions of Art. 45, §§ 4 to 6, in the constitution of the risk committee.” (NR)

“Art. 60. ..........................................................................................................

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XII - manage in a trading desk structure the instruments subject to market risk, as provided in Arts. 25-A and 25-B, as well as document the reclassifications of instruments between the trading and banking portfolios as provided in Art. 29, item II, item “a”, and the internal risk transfers as provided in Art. 29, item II, item “b”;

XIII - document in the RAS the levels of appetite for IRRBB for the economic value approaches referred to in Art. 30, § 3;

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Art. 2. The following provisions of Resolution No. 4,557, of 2017, are hereby repealed:

I - Art. 26, § 1; and

II - the sole paragraph of Art. 29.

Art. 3. This Resolution enters into force on March 1, 2022.

Roberto de Oliveira Campos Neto
President of the Central Bank of Brazil