CMN Resolution No. 5,077 — Amends Resolutions Nos. 4,557, 4,606, and 4,677

VOTE

RESOLUTION
CMN NO. 5,077, OF MAY 18, 2023

Amends
Resolutions Nos. 4,557, of February 23, 2017, 4,606, of October 19, 2017, and 4,677, of July 31, 2018.

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 May 18, 2023, based on Articles 4, items VIII, X, XI, and XXII, and 22, § 1, of the aforementioned Law, 20, § 1, of Law No. 4,864, of November 29, 1965, 7 and 23, item “a”, of Law No. 6,099, of September 12, 1974, 1, § 1, and 12 of Complementary Law No. 130, of April 17, 2009, and 1, § 2, of Provisional Measure No. 2.192-70, of August 24, 2001,

R E S O L V E S:

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

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

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

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V - participation in the approval process referred to in item II of Article 50;

VI - responsibility for compliance with the provisions of Resolution No. 4,677, of July 31, 2018, which establishes maximum exposure limits per client and maximum limit for concentrated exposures.

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Art. 2. Resolution No. 4,606, of October 19, 2017, shall enter into force with the following alterations:

“Art. 28. ..........................................................................................................

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

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II - to subsidize and participate in the strategic decision-making process related to risk management, assisting the board of directors;

III - to supervise the processes and controls related to the calculation of the RWAS5 amount and the minimum PRS5 requirement; and

IV - to be responsible for compliance with the provisions of Resolution No. 4,677, of July 31, 2018, which establishes maximum exposure limits per client and maximum limit for concentrated exposures.

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Art. 3. Resolution No. 4,677, of July 31, 2018, shall enter into force with the following alterations:

“Art. 2. ............................................................................................................

I - Articles 3 to 18 and 24, for institutions classified in Segment 1 (S1), Segment 2 (S2), Segment 3 (S3), and Segment 4 (S4), as provided in Resolution No. 4,553, of January 30, 2017; or

II - Articles 19 to 24, for institutions classified in Segment 5 (S5), as provided in Resolution No. 4,553, of 2017.

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§ 4. For financial institutions and other institutions authorized to operate by the Central Bank of Brazil that are part of a prudential conglomerate led by a payment institution, the limits referred to in the caput of this article must be met on a consolidated basis, in accordance with the regulation applicable to this type of conglomerate.” (NR)

“Art. 3. The institution mentioned in Article 2, item I, must limit the total of its exposures to the same client to a maximum amount of 25% (twenty-five percent) of Level I of its Reference Equity (PR), defined in CMN Resolution No. 4,955, of October 21, 2021.

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§ 2. For a central credit cooperative that provides centralized resource application services for its affiliated single cooperatives, by adopting a system of reciprocal guarantees among these affiliates, it is permitted to consider the maximum exposure limit per client of 10% (ten percent) of the sum of Level I of the total PR of the affiliates, limited to Level I of the PR of the central, for exposures associated with the following operations:

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“Art. 6. For the purposes of this Title, a client shall be considered the natural or legal person who is a counterparty in exposure to the institution, in accordance with Resolution No. 4,557, of February 23, 2017.

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“Art. 8. The limits referred to in Articles 3 to 5 cover each exposure considered in the calculation of the following portions of the RWA referred to in CMN Resolution No. 4,958, of October 21, 2021, which has a natural or legal person as counterparty:

I - RWACPAD, related to credit risk exposures subject to the calculation of the capital requirement using the standardized approach;

II - RWACIRB, related to credit risk exposures subject to the calculation of the capital requirement using internal risk classification systems (IRB approaches) authorized by the Central Bank of Brazil; and

III - RWADRC, related to credit risk exposures of financial instruments classified in the trading book.

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

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

XIV - exposures of an institution classified in S3 or S4 associated with amounts receivable from institutions issuing payment instruments related to payment transactions; and

XV - exposures of a credit cooperative to shares issued by a non-financial institution that is part of the respective cooperative system, provided that this institution permanently maintains more than 95% (ninety-five percent) of the value of its total assets applied in shares of the cooperative bank that is part of the respective system.

§ 2. After the periods mentioned in § 1, items X and XI, have elapsed, the exposure to the issuer of securities must be considered for the purposes of observing the limits mentioned in the caput.

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“Section I

Of the value of exposures in the banking book

Art. 9. Except as provided for exposures subject to specific treatment, the value of the exposure in the banking book, defined in Resolution No. 4,557, of 2017, must correspond to:

I - its respective value immediately before the application of the Risk Weighting Factor (RWF) for the purposes of calculating the RWACPAD portion mentioned in CMN Resolution No. 4,958, of 2021, in the case of an exposure considered in the calculation of the capital requirement using the standardized approach; and

II - its respective value of the exposure risk indicator parameter used in the calculation of the RWACIRB portion mentioned in CMN Resolution No. 4,958, of 2021, in the case of an exposure considered in the calculation of the capital requirement using internal risk classification systems (IRB approaches) authorized by the Central Bank of Brazil.

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“Section II

Of the value of exposures in the trading book

Art. 9-A. Except as provided for exposures subject to specific treatment, the value of the exposure by title or security in the trading book, defined in Resolution No. 4,557, of 2017, must correspond to the value of its gross exposure (JTD) used in the calculation of the RWADRC portion in accordance with regulations issued by the Central Bank of Brazil.

§ 1. In obtaining the JTD referred to in the caput:

I - a loss factor given default equal to 100% (one hundred percent) must be considered;

II - adjustments resulting from the maturity of the title or security must not be applied; and

III - risk weighting factors must not be applied.

§ 2. The value of the exposure related to positions in the trading book towards a single client composed of a set of connected counterparties, as provided in Article 7, must be the sum of the positive net exposures (long) towards the counterparties that are components of the single client, prohibiting offsetting with negative net exposures (short) towards other counterparties that are components of the single client.” (NR)

“Section I

Of exposures associated with derivatives

Art. 10. For a derivative financial instrument, the following must be recognized distinctly:

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§ 1. For the purposes of the provision in the caput, item I, the value of the exposure to the counterparty must be calculated in accordance with item I of the caput of Article 9.

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“Art. 13. The value of the exposure related to the acquisition of a title in the trading book that permanently meets the requirements listed below must correspond to 20% (twenty percent) of its respective book value:

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

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b) exposures guaranteed by the entities mentioned in items 1 to 3 of item “a” of this item;

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V - the total value of the underlying assets of the respective title exceeds, proven and permanently, by at least 10% (ten percent), the total value of the title guaranteed by them;

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“Section III-A

Of exposures to acquirer or sub-acquirer

Art. 13-A. The value of the exposure to an acquirer or sub-acquirer, referred to in BCB Resolution No. 80, of March 25, 2021, and BCB Resolution No. 150, of October 6, 2021, respectively, held by an institution classified in segments S2, S3, or S4 may correspond to 20% (twenty percent) of its respective book value when the following requirements are met cumulatively and permanently:

I - the exposure must result from the definitive assignment, without co-obligation, of a receivable from a payment arrangement that is part of the Brazilian Payments System, referred to in Resolution No. 4,734, of June 27, 2019;

II - the receivable referred to in item I of the caput:

a) must be constituted, according to the definition of Resolution No. 4,734, of 2019;

b) must be registered in a registration system, according to Resolution No. 4,734, of 2019;

c) must not be subject to collection under the special regimes of institutions authorized to operate by the Central Bank of Brazil, in judicial and extrajudicial reorganization, bankruptcy, judicial liquidation, or in any other reorganization or dissolution regime to which the participant of the payment arrangement through which the aforementioned resources pass is submitted;

d) must benefit from a legal provision that the payment flows of the transactions to which it is linked must be passed on to subsequent participants in the settlement chain until they reach the holder of the exposure, even if they are in the possession of a participant of the payment arrangement submitted to the regimes mentioned in item “c” of item II of the caput of this article; and

e) must benefit from a legal provision that the holding institution automatically subrogates, by operation of law, in the right of its debtor to the credits related to the receivable if the debtor of the receivable is submitted to the regimes mentioned in item “c” of item II of the caput of this article;

III - the acquirer or sub-acquirer referred to in the caput of this article must be subject to a minimum requirement, on an individual or consolidated basis, of:

a) PR, referred to in CMN Resolution No. 4,958, of 2021, or BCB Resolution No. 200, of March 11, 2022;

b) Reference Equity of a Payment Institution (PRIP), referred to in BCB Resolution No. 198, of March 11, 2022; or

c) Simplified Reference Equity (PRS5), referred to in Resolution No. 4,606, of 2017, or BCB Resolution No. 201, of March 11, 2022.

§ 1. If the timely exercise of the right referred to in item II, item “e” of the caput is not ensured through formalized procedures, the Central Bank of Brazil may determine that the value referred to in the caput be 100% (one hundred percent) of its respective book value.

§ 2. Exposures guaranteed by receivables to be constituted, according to the definition of Resolution No. 4,734, of 2019, must be attributed to the final receiving user at their book value.” (NR)

“Art. 14. In the case of exposure in the banking book or in the trading book related to the acquisition of shares of an investment fund or securitization titles, the respective underlying assets held directly or indirectly through another fund or securitization process must be identified.

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

I - the respective investment fund or the issuer of the securitization title or, at the institution's discretion, the issuer of the underlying asset included in the respective portfolio, for the underlying assets whose participation in the fund or in the securitization structure, proportionally to the amount of shares or titles, is less than 0.25% (twenty-five hundredths percent) of Level I of the PR of the institution; or

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§ 2. For the purposes of the provision in § 1, item I, in the case where the investment fund or the issuer of the securitization title is recognized as the counterparty, the value of the exposure to the counterparty must correspond to the percentage of participation, in the fund's portfolio or in the securitization structure, of the amount of underlying assets with values lower than 0.25% (twenty-five hundredths percent) of Level I of the PR of the institution, multiplied by the value of the respective shares or titles.

§ 3. For the purposes of the provision in § 1, item I, in the case where the issuer of the underlying asset included in the investment fund's portfolio or in the securitization structure is recognized as the counterparty, and of the provision in § 1, item II, the value of the exposure to the counterparty must correspond to:

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§ 5. The impossibility of identifying the underlying assets of the investment fund's portfolio or of the securitization title must be duly documented regarding its reasons and be subject to verification.

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§ 9. The criteria that guided the choice of the counterparty among the alternatives mentioned in § 1, item I, must be documented.” (NR)

“Section V

Of exposures associated with repurchase agreements and asset lending operations

Art. 15-A. The value of the exposure to repurchase agreements or asset lending operations subject to the limits referred to in Articles 3 to 5 must be calculated by applying the Comprehensive Approach for the use of financial collateral for credit risk mitigation in the manner established by the Central Bank of Brazil in specific regulation.

Sole Paragraph. It is optional for institutions classified in segments S2, S3, and S4 to apply the Simple Approach in calculating the value of the exposure referred to in the caput.” (NR)

“CHAPTER VI

OF OFFSETTING BETWEEN POSITIONS IN THE TRADING BOOK

Art. 16. Offsetting between the long position and the short position is admitted only for instruments classified in the trading book, in accordance with Resolution No. 4,557, of 2017, provided that the following conditions are met:

I - the long position and the short position refer to instruments of the same issuer, with the same remuneration form, same reference currency, and same maturity date; or

II - the long position and the short position refer to instruments of the same issuer, with distinct remuneration form or reference currency, provided that the instrument to which the long position refers has a payment priority greater than or equal to that of the instrument to which the short position refers, including positions protected by a credit derivative.

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§ 4. The offsetting of the long position with the short position provided for in the caput through protection by a credit derivative instrument implies the simultaneous recognition of an exposure of equal value towards the counterparty.

§ 5. For the purposes of the provision in § 4 of this article, the Central Bank of Brazil may determine the equivalence to a credit derivative of another derivative when this significantly covers the credit risk of the underlying asset.” (NR)

“Art. 17. The mitigation of credit risk through a mitigating instrument used for the purposes of calculating the portions referred to in Article 8 must also be recognized for the purposes of this Resolution.

§ 1. The recognition of credit risk mitigation relative to the original counterparty in accordance with the caput, observed § 8, implies the simultaneous recognition of an exposure towards the provider of the respective mitigating instrument, except in the following cases:

I - ......................................................................................................................

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b) deposits maintained in the institution itself and credit-linked notes of its own issuance; and

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II - the provider or issuer of the instrument is one of the clients mentioned in Article 6, sole paragraph, items I, V, or VI.

§ 2. …………………………......................................................................................

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III - value of financial collaterals, in the case of their recognition in the calculation of the capital requirement for counterparty credit risk; and

IV - value of financial collateral, considering the standardized adjustment factors established by the Central Bank of Brazil, in the case of its recognition through the comprehensive approach for the purposes of calculating the capital requirement, prohibiting the use of internally modeled adjustment factors by the institution.

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§ 8. For the purposes of calculating the value of exposures covered by the RWAIRB portion subject to the limits referred to in Articles 3 to 5, mitigation by collaterals permitted under internal risk classification systems (IRB approaches) that are not recognized under the standardized approach must not be recognized.

§ 9. For the purposes of the provision in item I of § 2 of this article, the Central Bank of Brazil may determine the equivalence to a credit derivative of another derivative when this significantly covers the credit risk related to the underlying asset.” (NR)

“Art. 19. The institution mentioned in Article 2, item II, must limit the total of its exposures to the same client to a maximum amount of 25% (twenty-five percent) of its Simplified Reference Equity (PRS5), in accordance with Resolution No. 4,606, of 2017.

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“Art. 21. For the purposes of this Title, a client shall be considered the natural or legal person who is a counterparty in exposure to the institution, in accordance with Resolution No. 4,606, of 2017.

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“Art. 22. The limits referred to in Articles 19 and 20 cover each credit risk exposure considered in the calculation of the RWARCSimp portion, referred to in Resolution No. 4,606, of 2017, which has a natural or legal person as counterparty.

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

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VI - exposures related to judicial deposits;

VII - exposures associated with amounts receivable from institutions issuing payment instruments related to payment transactions; and

VIII - exposures of a credit cooperative to shares issued by a non-financial institution that is part of the respective cooperative system, provided that this institution permanently maintains more than 95% (ninety-five percent) of the value of its total assets applied in shares of the cooperative bank that is part of the respective system.

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“Art. 23. The value of the exposures mentioned in Articles 19 and 20 must correspond to their respective value immediately before the application of the RWF for the purposes of calculating the RWARCSimp portion, referred to in Resolution No. 4,606, of 2017.” (NR)

“Art. 23-A. The value of the exposure to an acquirer or sub-acquirer, referred to in BCB Resolution No. 80, of 2021, and BCB Resolution No. 150, of 2021, respectively, may correspond to 20% (twenty percent) of its respective book value when the following requirements are met cumulatively and permanently:

I - the exposure must result from the definitive assignment, without co-obligation, of a receivable from a payment arrangement that is part of the Brazilian Payments System, referred to in Resolution No. 4,734, of 2019;

II - the receivable referred to in item I of the caput:

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a) must be constituted, according to the definition in Resolution No. 4,734 of 2019;

b) must be registered in a registration system, according to Resolution No. 4,734 of 2019;

c) must not be subject to collection under the special regimes of institutions authorized to operate by the Central Bank of Brazil, in judicial and extrajudicial reorganization, bankruptcy, judicial liquidation, or in any other recovery or dissolution regime to which the participant of the payment arrangement through which the aforementioned funds pass is submitted;

d) must benefit from a legal provision that the payment flows of the transactions to which it is linked must be passed on to subsequent participants in the settlement chain until they reach the holder of the exposure, even if they are in the possession of a participant of the payment arrangement submitted to the regimes mentioned in item “c” of item II of the caput of this article; and

e) must benefit from a legal provision that the holding institution automatically subrogates, by operation of law, in the right of its debtor to the credits related to the receivable if the debtor of the receivable is submitted to the regimes mentioned in item “c” of item II of the caput of this article;

III - the accreditor or sub-accreditor referred to in the caput of this article must be subject to a minimum requirement, on an individual or consolidated basis, of:

a) PR, as provided for in CMN Resolution No. 4,958 of 2021 or BCB Resolution No. 200 of 2022;

b) Reference Capital of a Payment Institution (PRIP), as provided for in BCB Resolution No. 198 of 2022; or

c) Simplified Reference Capital (PRS5), as provided for in Resolution No. 4,606 of 2017 or BCB Resolution No. 201 of 2022.

§ 1º If the timely exercise of the right referred to in item II, item “e” of the caput is not secured through the adoption of formalized procedures, the Central Bank of Brazil may determine that the value referred to in the caput be 100% (one hundred percent) of the respective book value.

§ 2º Exposures guaranteed by receivables to be constituted, according to the definition in Resolution No. 4,734 of 2019, must be attributed to the final receiving user at the book value.” (NR)

“TITLE IV

ON THE OCCURRENCE OF EXCESSES”
(NR)

Art. 4º The provisions of this Resolution must be observed:

I - from July 1, 2023, regarding the amendments:

a) in Resolution No. 4,557 of 2017;

b) in Resolution No. 4,606 of 2017; and

c) in the following provisions of Resolution No. 4,677 of 2018:

1. arts. 2º, 3º and 6º;

2. §§ 1º and 2º of art. 8º;

3. art. 13;

4. header of Section III-A of Chapter V of Title II and in art. 13-A;

5. art. 14;

6. §§ 1º and 8º of art. 17;

7. arts. 19 and 21 to 23-A; and

8. header of Title IV;

II - from July 1, 2024, regarding the other amendments in Resolution No. 4,677 of 2018.

Art. 5º The following are revoked:

I - on July 1, 2023, the following provisions of Resolution No. 4,677 of 2018:

a) item V of § 2º of art. 17; and

b) art. 25;

II - on July 1, 2024, the following provisions of Resolution No. 4,677 of 2018:

a) item III of art. 9º;

b) the header of Section II of Chapter V of Title II;

c) arts. 11 and 12; and

d) § 2º of art. 16.

Art. 6º This Resolution enters into force on June 1, 2023.

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