Normative Instruction BCB No. 528 — Amends the Filling Instructions and Layout of Document Code 2061 - Operational Limits Statement (DLO)

Resolution No. 222

NORMATIVE INSTRUCTION
BCB No. 528, OF OCTOBER 2, 2024

Amends the Filling Instructions and the Layout of document code 2061 - Demonstrativo de Limites Operacionais (DLO), as provided for in Normative Instruction BCB No. 81, of February 23, 2021.

The Head of the Department of Financial System Monitoring (Desig), in the exercise of the authority conferred by art. 23, item I, letter “a”, of the Internal Regulations of the Central Bank of Brazil, annexed to Resolution BCB No. 340, of September 21, 2023, based on art. 85, item I, letter “b” of said Regulations, and having in view the provisions of Resolutions CMN Nos. 4,677, of July 31, 2018, 4,955 and 4,958, both of October 21, 2021, in art. 29-B of Circular No. 3,809, of August 25, 2016, in Resolutions BCB Nos. 200, of March 11, 2022, 291, of February 8, 2023, 303, of March 16 of 2023, 319, of May 18, 2023, 324, of June 14, 2023, and 395, of June 26, 2024, and in Normative Instruction BCB No. 81, of February 23, 2021,

R E S O L V E :

Art. 1º The new versions of the Filling Instructions and the Layout of document code 2061 - Demonstrativo de Limites Operacionais (DLO) shall enter into force, as of the base date of December 2024, available on the Central Bank of Brazil’s internet page, at the electronic address https://www.bcb.gov.br/estabilidadefinanceira/leiautedocumentoscrd.

Art. 2º The following modifications were made to the Filling Instructions:

I - in Chapter
II - General Guidelines: inclusion of item 15;

II - in Chapter
III - General Guidelines on the XML File: inclusion of item 11;

III - in Chapter
IV - Specific Guidelines: inclusion of item 10;

IV - in Table
003 - Accounts:

a) alteration of the description of the function of accounts 730.10, 730.20 and 861; and

b) inclusion of account 730.10.10;

V - in Table
004 - Element Code: inclusion of codes 92, 93, 94, 95, 96, 97 and 98;

VI - in Table
011 - Risk Mitigators: inclusion of domain 532;

VII - in Table
024 - Element Type: inclusion of domain 62;

VIII - in Table
029 - Registration System:

a) alteration of the application of domain 5;

b) alteration of the descriptions of domains 5 and 9; and

c) inclusion of domains 10, 11, 12, 13 and 14;

IX - in Table
033 - Exposure Type: inclusion of domain 20;

X - in Table
035 - Exposure Origin: alteration of the table description;

XI - in Table
049 - Code of the category, subcategory and portfolios eligible for IRB:

a) alteration of the description of domain 01; and

b) inclusion of domains 02, 03, 04, 05 and 06;

XII - inclusion of Tables 050, 051, 052 and 053.

Art. 3º The following modifications were made to the Layout:

I - in Annex
003 - Account Code: inclusion of account 730.10.10;

II - in Annex
004 - Element Code: inclusion of codes 92, 93, 94, 95, 96, 97 and 98;

III - in Annex
011 - Risk Mitigator Code: inclusion of code 532;

IV - in Annex
024 - Element Type: inclusion of code 62;

V - in Annex 029 - Registration System:

a) alteration of the descriptions of codes 5 and 9; and

b) inclusion of domains 10, 11, 12, 13 and 14;

VI - in Annex
033 - Exposure Type: inclusion of code 20;

VII - in Annex
035 - Exposure Origin: alteration of the annex description;

VIII - in Annex 049 - Code of the category, subcategory and portfolios eligible for IRB:

a) alteration of the description of code 01; and

b) inclusion of codes 02, 03, 04, 05 and 06;

IX - inclusion of Annexes 050, 051, 052 and 053.

Art. 4º This Normative Instruction enters into force on the date of its publication.

ANDRÉ MAURÍCIO TRINDADE DA ROCHA

NOTE

The Operational Limits Statement (DLO), document code 2061, whose normative basis is Resolution BCB No. 69, of February 10, 2021, which alters and consolidates the procedures for the transmission of information related to the calculation of limits and regulatory standards, reflects the prudential regulation provided for in several Resolutions issued by the National Monetary Council (CMN) and by the Central Bank of Brazil (BCB), with the Normative Instruction BCB (IN BCB) No. 81, of February 23, 2021, consolidating the procedures for the transmission of this information through the aforementioned document.

2.           For each regulatory limit and standard, the cited document contains two sets of  
   

information: i) the calculation of the institution's situation; and ii) the calculation of the regulatory requirement and the margin (or shortfall) of the institution in relation to the limit considered. Furthermore, the DLO is composed of various accounts that must be filled in by financial institutions and other institutions authorized to operate by the Central Bank of Brazil (IFs).

3.           BCB Resolutions Nos. 303, of March 16, 2023, and 395, of June 26, 2024, deal with  
   

the calculation of the portion of risk-weighted assets (RWA) corresponding to credit risk exposures subject to the capital requirement calculation through internal credit risk classification systems (IRB approaches) - RWACIRB. The current data structure of RWACIRB requires information based on the publication framework of the Pillar 3 Report, of semi-annual frequency. The alteration now proposed for the DLO will make it possible to receive these information monthly, thereby improving the monitoring of these exposures. Furthermore, it is proposed to create a specific domain for non-accounting exposure in RWACPAD, destined to certain operations that, although not recorded in accounting, are subject to calculation by RWACIRB, enabling more precise and efficient treatment in the calculation of regulatory capital.

4.           BCB Resolution No. 324, of June 14, 2023, altered Circular No. 3,809, of  
   

August 25, 2016, which establishes the procedures for the recognition of mitigating instruments in the calculation of the portion of risk-weighted assets (RWA) relating to credit risk exposures subject to the calculation of the capital requirement through the standardized approach (RWACPAD). This regulatory alteration, among other things, authorized the substitution of the exposure, in whole or in part, by exposures related to operations with third parties, upon authorization by the Central Bank of Brazil, in the case of surety guarantee provision provided by law in relation to the obligation of another financial institution. As a result of this regulatory update, it is proposed the establishment of a specific mitigator domain for this type of operation.

5.           In passing, a specific domain was created to identify  
   

exposures with differentiated treatment related to certain payment services in the calculation of exposures for the Client Exposure Limit (LEC), to enable precise reconciliation between the data reported in the DLO and the data reported in the Credit Information System (SCR).

6.           Finally, a new block of information was included so that there is data at a  
   

granular level for each instrument issued by institutions that possess Level I and Level II instruments in the composition of their Reference Equity (PR). Furthermore, new domains were created and some existing domains were modified, facilitating the integration of this information with the information existing in the debt instrument registrars. The provision of this detailed and updated information will enable the verification of values at clearing houses, thereby improving monitoring and analysis of the composition of the PR by financial institutions and by the BCB.

7.           Thus, this BCB Normative Instruction aims to promote adjustments in the filling instructions and layout of the DLO, valid as of December 1, 2024, in order to:
   

I - detail the RWACIRB information, with inclusion of information based on the publication framework – Pillar 3;

II - include specific domain of non-exposure in RWACPAD, for non-accounting exposures, but subject to RWACIRB calculation;

III - include specific mitigator for surety guarantee operations provided by law in relation to the obligation of another financial institution;

IV - include domain to characterize exposures with differentiated treatment in the calculation of LEC exposures relative to certain payment services; and

V - detail the capital instruments issued by institutions that possess Level I and Level II instruments in the composition of their PR.

8.           Decree No. 10,411, of June 30, 2020, regulates the carrying out of regulatory impact analysis (AIR) as a prerequisite for the issuance of normative acts. However, in its art. 4º, the Decree establishes the hypotheses for dispensing with the carrying out of AIR. This BCB IN falls under the hypothesis provided for in item V - normative act that aims to preserve liquidity, solvency or soundness: b) of the financial, capital and foreign exchange markets.
   

9.           Having in view the issuance of the normative acts cited in paragraph 3, which establish the procedures for the monthly calculation of RWACIRB, and aiming to enable institutions to correctly calculate and report the requested values, it becomes necessary to alter the DLO so that institutions can send monthly to the Central Bank the  
   

information according to the Pillar 3 framework. Furthermore, the data regarding the mitigator for surety guarantee operations, LEC exposures to certain payment services, and Level I and Level II capital instruments, as described in paragraphs 4, 5 and 6, must also be sent through specific accounts and domains of the DLO.

10.        These measures aim to allow adequate monitoring of limits in order to avoid  
    

that institutions have exposures that put their solidity at risk, which could bring, considering the interconnections existing in the National Financial System (SFN), contagion and systemic risks, potentially impacting the soundness of the SFN, thus justifying the classification of this BCB IN under letter “b”, item V of art. 4 of said Decree.

11.        Thus, based on the provisions of paragraphs 8, 9 and 10, I understand that the issuance of this present  
    

Normative Instruction is exempt from carrying out AIR.

ANDRÉ MAURÍCIO TRINDADE DA
ROCHA
Head of the Department of Financial System Monitoring – Desig