CODIFIED CIRCULAR LETTER

NORMATIVE INSTRUCTION BCB NO. 101, OF APRIL 26, 2021

Provides
on the procedures for transmitting information regarding exposures to market risk, to the risk of variation in interest rates on instruments classified in the banking book (IRRBB), and to exposures related to the calculation of Risk-Weighted Assets (RWA) for market risk, used for the purpose of calculating the minimum requirements for Reference Equity (PR), Tier 1, Core Capital, and the Core Capital Add-on, as provided for in Resolution BCB No. 84, of March 31, 2021.

The Head of the Financial System Monitoring Department (Desig), in the exercise of the authority granted to him by Articles 23, item I, letter “a”, and 77, item IV, of the Internal Regulations of the Central Bank of Brazil, annexed to Ordinance No. 84,287, of February 27, 2015, and having regard to the provisions of CMN Resolutions Nos. 4,192 and 4,193, both of March 1, 2013, 4,553, of January 30, 2017, and 4,557, of February 23, 2017, Circular No. 3,876, of January 31, 2018, and Resolution BCB No. 84, of March 31, 2021,

RESOLVES:

Art. 1º Financial institutions and other institutions authorized to operate by the Central Bank of Brazil classified in Segment 1 (S1), Segment 2 (S2), Segment 3 (S3), or Segment 4 (S4), in accordance with Article 2 of Resolution No. 4,553, of January 30, 2017, must transmit to the Central Bank of Brazil the information referred to in Resolution BCB No. 84, of March 31, 2021, through document 2060 - Market Risk Statement (DRM), in accordance with the Annex to this Normative Instruction BCB.

§ 1º The transmission referred to in the main text must be carried out monthly, by the fifth business day of the month following the respective data base date.

§ 2º The information necessary to prepare the document indicated in the main text is available on the Central Bank of Brazil’s website at the electronic address https://www.bcb.gov.br/estabilidadefinanceira/leiautedocumentoscrd.

§ 3º The provisions of this Normative Instruction apply to all prudential conglomerates classified in S1, S2, S3, or S4, as established in Resolution No. 4,553, of January 30, 2017, and Resolution BCB No. 197, of March 11, 2022. (Added, effective 7/1/2023, by Normative Instruction BCB No. 394, of 6/23/2023.)

§ 4º The provisions of this Normative Instruction do not apply: (Added, effective 7/1/2023, by Normative Instruction BCB No. 394, of 6/23/2023.)

I - to payment institutions not belonging to a prudential conglomerate; and (Added, effective 7/1/2023, by Normative Instruction BCB No. 394, of 6/23/2023.)

II - to institutions belonging to a Type 2 prudential conglomerate. (Added, effective 7/1/2023, by Normative Instruction BCB No. 394, of 6/23/2023.)

Art. 2º The information referred to in Article 1 comprises:

I - exposures to market risk, as provided for in CMN Resolution 4,557, of February 3, 2017;

II - exposures related to the calculation of Risk-Weighted Assets (RWA) for market risk, used for the purpose of calculating the minimum requirements for Reference Equity (PR), Tier 1, Core Capital, and the Core Capital Add-on, as provided for in CMN Resolutions Nos. 4,192 and 4,193, both of March 1, 2013; and

III - exposures to the risk of variation in interest rates on instruments classified in the banking book (IRRBB), as provided for in Circular No. 3,876, of January 31, 2018.

Art. 3º As provided for in Article 2 of Resolution BCB No. 84, of 2021, the DRM must be submitted:

I - by the leading institution of each conglomerate, on a consolidated basis, for institutions belonging to the same conglomerate, in accordance with the consolidation adopted for the calculation of Reference Equity; and

I - by the leading institution of each prudential conglomerate, on a consolidated basis, regarding the information of the institutions belonging to the conglomerate, in accordance with the consolidation adopted for the calculation of Reference Equity; (Revised, effective 7/1/2023, by Normative Instruction BCB No. 394, of 6/23/2023.)

II - by financial institutions and other institutions authorized to operate by the Central Bank of Brazil, not belonging to conglomerates.

II - by financial institutions and other institutions authorized to operate by the Central Bank of Brazil, not belonging to a prudential conglomerate, and by cooperatives not part of organized systems of three or two levels; and (Revised, effective 10/1/2023, by Normative Instruction BCB No. 394, of 6/23/2023.)

III - by cooperative banks, by credit confederations, by service confederations constituted by central credit cooperatives, or by central credit cooperatives, regarding the information of all cooperatives belonging to organized systems of three or two levels, on an individual basis. (Added, effective 10/1/2023, by Normative Instruction BCB No. 394, of 6/23/2023.)

§ 1º Payment institutions that are the leaders of a Type 3 prudential conglomerate are included in item I. (Added, effective 7/1/2023, by Normative Instruction BCB No. 394, of 6/23/2023.)

§ 2º The information referred to in the main text must be transmitted starting from the first data base date on which the institution authorized to operate by the Central Bank of Brazil is in effective operation. (Added, effective 7/1/2023, by Normative Instruction BCB No. 394, of 6/23/2023.)

Art. 4º The institutions mentioned in Article 3 must use consistent and verifiable criteria to calculate exposures and necessary timeframes in accordance with the filling instructions for the DRM.

Art. 5º The institutions mentioned in Article 3 must report the same cash flow values used as the basis for calculating the amount of risk-weighted assets (RWA), which correspond to the components of the RWAMPAD portions, related to exposures to market risk for the purpose of determining the standardized model for the minimum requirements of Reference Equity (PR), Tier 1, Core Capital, and the Core Capital Add-on, as provided for in Article 3, § 1º, of CMN Resolution No. 4,193, of March 1, 2013.

Art. 6º Standardized parameters necessary for the calculation of exposures to Market Risk factors are available in the Time Series Management System (SGS) on the Central Bank of Brazil’s website at the electronic address https://www3.bcb.gov.br/sgspub/localizarseries/localizarSeries.do?method=prepararTelaLocalizarSeries.

Art. 7º The institutions mentioned in Article 3 must indicate an employee qualified to answer any questions regarding the information provided in accordance with this Normative Instruction.

Art. 8º The indications referred to in Article 4 of Resolution BCB No. 84, of 2021, and in Article 7 of this Normative Instruction BCB must be recorded and kept updated in the Information System on Entities of Interest to the Central Bank (Unicad), as provided for in Circular No. 3,165, of December 4, 2002.

Art. 9º The following are revoked:

I - Circular Letter No. 2,914, of May 29, 2000;

II - item II of Article 1 of Circular Letter No. 3,521, of September 20, 2011;

III - the sole paragraph of Article 1 of Circular Letter No. 3,573, of November 16, 2012;

IV - Circular Letter No. 3,687, of December 26, 2014;

V - Circular Letter No. 3,733, of October 28, 2015;

VI - Circular Letter No. 3,873, of April 3, 2018;

VII - Circular Letter No. 3,878, of April 19, 2018;

VIII - Circular Letter No. 3,971, of September 2, 2019.

Art. 10. This Normative Instruction enters into force on May 3, 2021.

Gilneu Francisco Astolfi Vivan

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Annex to Normative Instruction BCB No. 101, of April 26, 2021

Codification of the DRM and its other characteristics.

Document Code: 2060.

Document Name: Market Risk Statement (DRM).

Submission Frequency: Monthly.

Submission Deadline: Fifth business day of the month following the corresponding data base.

Data Base: The last business day of each month.

Responsible Unit for Curation: Financial System Monitoring Department (Desig).

Submission Method: Electronic means.

Submission System: Electronic File Transfer System (STA), available on the Central Bank of Brazil’s website at the address https://sta.bcb.gov.br/sta/

Submission Format: XML (eXtensible Markup Language).

Submission Validation: Anticipated.

Submission Validation Scheme: XSD (XML Schema Definition).

Additional Elements for Submission: layout, in XML format; models, in Excel format; XSD validation schemes; example files; validator program; and filling instructions, available on the Central Bank of Brazil’s website at the address https://www.bcb.gov.br/estabilidadefinanceira/leiautedocumentoscrd.

Responsible Director for Submission: Director responsible for the capital management structure - CMN Resolution No. 4,557, of 2017.

Responsible Director Registration: In the “Links - Inclusion - Responsible Director by Area of Activity” module of Unicad.

Registration of Employee Designated to Answer Questions: In the “Links - Inclusion - Internal Audit / Ombudsman / Resp. for Sending Information” module of Unicad.

Electronic Address for Resolving Questions Regarding the Submission of the Document: drm-envio@bcb.gov.br.

Electronic Address for Resolving Questions Regarding the Filling of the Document: drm-preenchimento@bcb.gov.br.

Institutions Obligated to Submit the DRM: All financial institutions and other institutions authorized to operate by the Central Bank of Brazil classified in Segment 1 (S1), Segment 2 (S2), Segment 3 (S3), or Segment 4 (S4), in accordance with CMN Resolution No. 4,553, of January 30, 2017.