Resolução BCB nº 437 — Establishes procedures for calculating the risk-weighted asset portion for credit risk exposures subject to the simplified standardized approach capital requirement – RWARCSimp

RESOLUTION BCB NO. 437, OF NOVEMBER 28, 2024

Establishes the procedures for calculating the portion of risk-weighted assets regarding credit risk exposures subject to the capital requirement calculation via the simplified standardized approach – RWARCSimp.

The Collegiate Board of the Central Bank of Brazil, in a session held on November 28, 2024, based on the provisions of Arts. 9, 10, caput, item IX, and 11, caput, item VII, of Law No. 4,595, of December 31, 1964, Art. 9-A of Law No. 4,728, of July 14, 1965, and Arts. 9, caput, item II, and 15 of Law No. 12,865, of October 9, 2013, and in view of the provisions of Art. 11, caput, item II and sole paragraph, of Resolution No. 4,606, of October 19, 2017, Art. 9, caput, item II, of BCB Resolution No. 201, of March 11, 2022, and Art. 6, caput, item II, of BCB Resolution No. 198, of March 11, 2022,

RESOLVES:

CHAPTER I
OBJECT OF APPLICATION

Art. 1 This Resolution establishes the procedures for calculating the portion of risk-weighted assets regarding credit risk exposures subject to the capital requirement calculation via the simplified standardized approach – RWARCSimp, as provided for in Resolution No. 4,606, of October 19, 2017, and BCB Resolutions Nos. 198 and 201, both of March 11, 2022.

CHAPTER II
GENERAL PROVISIONS

Art. 2 The RWARCSimp portion must correspond to the sum of the products of the exposure values by their respective Risk Weighting Factors – RWFs.

Art. 3 The calculation of the RWARCSimp portion must be performed with information registered according to the criteria of the Accounting Standard of Institutions Regulated by the Central Bank of Brazil – Cosif, observed that:

I - information registered in equity accounts that record liabilities must not be used, except if related to provisions for elements not recorded on the balance sheet, or to equity, and to income statement accounts; and

II - the value used corresponds to the balance of the accounting items, unless otherwise specifically provided in this Resolution.

Sole paragraph. In this Resolution, references to the classification of institutions by type refer to that provided for in BCB Resolution No. 436, of November 28, 2024.

CHAPTER III
EXPOSURES

Art. 4 For the calculation of the RWARCSimp portion, exposure is considered any item registered in the accounting statements that represents:

I - an element of Current Assets, Long-Term Receivables, and Permanent Assets;

II - the provision of suretyship, guarantee, joint obligation, or any other form of personal guarantee for the fulfillment of a third party's financial obligation;

III - credit commitment; (Revised, effective January 31, 2025, by BCB Resolution No. 452, of January 21, 2025.)

IV - contracted credit to be disbursed; or (Revised, effective January 31, 2025, by BCB Resolution No. 452, of January 21, 2025.)

V - the absolute value of the negative adjustment registered in equity as provided for in Art. 8, caput, item I, letter “g”, and §§ 3 and 4, of Resolution No. 4,606, of October 19, 2017, Art. 3, caput, item I, letter “g”, and §§ 3 and 4, of BCB Resolution No. 198, of March 11, 2022, and Art. 7, caput, item I, letter “g”, and §§ 3 and 4, of BCB Resolution No. 201, of March 11, 2022, as applicable. (Included, effective January 31, 2025, by BCB Resolution No. 452, of January 21, 2025.)

§ 1 Clearing accounts may be used for better identification and measurement of the assets described in item I of the caput.

§ 2 The following shall not be considered exposures:

I - assets deducted from:

a) Simplified Reference Equity – PRS5, as provided for in Resolution No. 4,606, of October 19, 2017, and BCB Resolution No. 201, of March 11, 2022; and

b) Reference Equity of a Payment Institution – PRIP, as provided for in BCB Resolution No. 198, of March 11, 2022;

II - interdependent operations;

III - checks and bills to be credited to customer accounts, when the release of the respective funds is linked to effective clearing;

IV - linked active operations, carried out according to the provisions of Resolution No. 2,921, of January 17, 2002;

V - shares of Credit Rights Investment Funds – FIDC associated with sale or transfer operations of underlying assets that remain, in their entirety, registered as assets of the institution;

VI - credit operations carried out within the scope of the Emergency Access to Credit Program in the receivables guarantee modality – Peac-Maquininhas, established by Law No. 14,042, of August 19, 2020;

VII - for institutions subject to the calculation of the RWASP portion, relative to the capital requirement calculation for risks associated with payment services:

a) amounts receivable from issuers of payment instruments related to acting as an acquirer, as defined in Art. 3, caput, item III, of BCB Resolution No. 80, of March 25, 2021, covered by the “ADQ” component of the RWASP portion;

b) amounts receivable from acquirers of payment instruments related to acting as a sub-acquirer, as defined in BCB Resolution No. 150, of October 6, 2021, covered by the “ADQ” component of the RWASP portion;

c) net resources corresponding to the balances of electronic currencies maintained in payment accounts, as provided for in Art. 22 of BCB Resolution No. 80, of March 25, 2021; and

d) amounts receivable resulting from instant payment transactions; and

VIII - for Type 2 institutions:

a) the provisions of items III and IV of the caput; and

b) amounts receivable from final paying users where the institution acts as an issuer of post-paid cards.

CHAPTER IV
RISK CATEGORIES

Art. 5 The exposures provided for in Art. 4 must be classified into:

I - reduced credit risk categories I, II, and III;

II - standard credit risk category; or

III - elevated credit risk category.

Art. 6 The following RWF must be applied:

I - 0% (zero percent), for the reduced credit risk category I;

II - 35% (thirty-five percent), for the reduced credit risk category II;

III - 75% (seventy-five percent), for the reduced credit risk category III;

IV - 100% (one hundred percent), for the standard credit risk category; and

V - for the elevated credit risk category, 100% (one hundred percent) divided by F, where F corresponds:

a) to the minimum percentage of PRS5 requirement provided for in Resolution No. 4,606, of October 19, 2017, or in BCB Resolution No. 201, of March 11, 2022, as applicable; or

b) to the factor F’ defined in BCB Resolution No. 198, of March 11, 2022, for Type 2 institutions.

Art. 7 The reduced credit risk category I must correspond to the following asset-registered elements:

I - aggregated up to the 3rd level of Cosif bookkeeping:

a) available funds, except if related to bank deposits or foreign currencies;

b) securities linked to the Central Bank of Brazil; and

c) credits linked to the Central Bank of Brazil, official banks, and the Housing Finance System – SFH associated with interbank relationships, gross of specific provisions; and

II - booked from the 4th level:

a) gold investments;

b) federal public bonds in the country not linked to any commitment or purpose;

c) advances of contributions to the Credit Guarantee Fund – FGC and to the Credit Cooperatives Guarantee Fund – FGCoop; and

d) presumed credit.

Sole paragraph. The following asset-registered elements created after the issuance of this Resolution must be added to the reduced risk category I:

I - cash available in national currency; or

II - operations with the Central Bank of Brazil and the National Treasury, or with securities issued by them in the country, except when linked to any commitment or purpose.

Art. 8 The reduced credit risk category II must correspond to the following asset-registered elements:

I - aggregated up to the 3rd level of Cosif bookkeeping:

a) bank deposits;

b) foreign currency holdings;

c) investments in committed operations;

d) investments in Interbank Deposits;

e) investments in Savings Deposits;

f) foreign currency investments associated with interbank liquidity applications;

g) other interbank liquidity applications;

h) securities linked to the provision of guarantees;

i) securities subject to committed operations with free movement;

j) securities linked to lending operations;

k) interbank transfers; and

l) credit rights linked to operations acquired in assignment, without substantial transfer of risks and benefits, including:

1. payment transactions related to acquiring or sub-acquiring services; and

2. amounts receivable from final users related to post-paid payment transactions; and

II - booked from the 4th level:

a) private fixed-income securities in the country from institutions authorized to operate by the Central Bank of Brazil, except when eligible for Reference Equity – PR, as provided for in CMN Resolution No. 4,955, of October 21, 2021, to PRS5, or to PRIP;

b) fixed-income securities linked to committed sale operations with a commitment to repurchase;

c) credit operations and credit rights framed in emergency credit programs regulated by federal laws that contain mechanisms for reducing credit risk for the creditor institution; and

d) credit rights from payment transactions acquired with substantial transfer of risks and benefits, related to acquiring or sub-acquiring services.

§ 1 For a committed operation or lending operation of a security or financial instrument, the balance of the respective accounting item must be multiplied by:

I - 5% (five percent), in the case of purchase with a commitment to resell, mentioned in item I, letter “c”, of the caput; and

II - 105% (one hundred and five percent), in the case of sale with a commitment to repurchase and of securities or financial instruments lent, mentioned in item I, letters “i” and “j”, and item II, letter “b”, of the caput.

§ 2 The provisions for the elements mentioned in item I, letters “k” and “l”, and item II, letter “d”, of the caput may be used in an aggregated manner, including provisions for other elements booked in the same 3rd level accounting item.

§ 3 The calculation provided for in § 2 cannot result in a value lower than zero.

§ 4 The following asset-registered elements created after the issuance of this Resolution must be added to the reduced risk category II: those representing the credit risk related to operations with financial institutions and other institutions authorized to operate by the Central Bank of Brazil, or operations with securities issued by them in the country, except if related to equity participations or subordinated debt instruments.

Art. 9 The reduced credit risk category III must correspond to the following elements:

I - aggregated up to the 3rd level of Cosif bookkeeping:

a) credit operations;

b) leasing operations;

c) other credits related to operations with characteristics of granting credit; and

d) sureties, guarantees, joint obligations, and financial guarantees provided, as provided for in Art. 4, caput, item II; and

II - booked from the 4th level:

a) amounts that issuers of post-paid payment instruments have to receive from final users related to payment transactions corresponding to the sum of rights:

1. not linked to assignments;

2. assigned, without substantial transfer of risks and benefits; and

3. acquired, with substantial transfer of risks and benefits;

b) credit commitments and SFH financing promises committed, but not yet formalized, as provided for in Art. 4, caput, item III; (Revised, effective January 31, 2025, by BCB Resolution No. 452, of January 21, 2025.)

c) values of credit to be disbursed and installments of SFH financing to be disbursed, as provided for in Art. 4, caput, item IV; and (Revised, effective January 31, 2025, by BCB Resolution No. 452, of January 21, 2025.)

d) absolute value of the negative adjustment registered in equity as provided for in Art. 4, caput, item V. (Included, effective January 31, 2025, by BCB Resolution No. 452, of January 21, 2025.)

§ 1 In the calculation of letters “a” to “c” of item I of the caput, the following are deducted:

I - linked active operations, carried out according to the provisions of Resolution No. 2,921, of January 17, 2002; and

II - credit operations and credit rights related to emergency credit programs regulated by federal laws, mentioned in Art. 8, caput, item II, letter “c”.

§ 2 The calculation provided for in § 1 cannot result in a value lower than zero.

§ 3 The balance of the accounting items related to the element provided for in item II, letter “b”, of the caput must be multiplied by 40% (forty percent).

§ 4 As provided for in Art. 4, § 2, item VIII, the provisions of item II, letters “a”, items 1 and 2, “b”, and “c”, of the caput do not apply to Type 2 institutions.

§ 5 The balance of the accounting item related to the element provided for in item II, letter “d”, of the caput must be multiplied by 133.33% (one hundred and thirty-three and thirty-three hundredths percent). (Included, effective January 31, 2025, by BCB Resolution No. 452, of January 21, 2025.)

Art. 10 The standard credit risk category must correspond to the following asset-registered elements:

I - private securities of non-financial entities and other fixed-income securities, when in the country;

II - investment fund shares, except if related to FIDC;

III - financial derivative instruments;

IV - relationships with correspondent banks associated with interbank relationships, gross of specific provisions;

V - other credits and other values and assets, aggregated at the 2nd level; and

VI - other elements for which there is no specific classification in this Resolution.

§ 1 For the financial derivative instrument mentioned in item III of the caput, the balance of the respective accounting item must be multiplied by 105% (one hundred and five percent).

§ 2 The provisions for the elements mentioned in item V of the caput may be used in an aggregated manner, including provisions for other elements booked in the same 3rd level accounting item.

§ 3 The calculation provided for in § 2 cannot result in a value lower than zero.

§ 4 The Type 2 institution, exempted in the manner of Art. 4, § 4, of BCB Resolution No. 198, of March 11, 2022, must apply the RWF provided for in the caput for the intangible asset not deducted from PRIP.

Art. 11 The elevated credit risk category must correspond to exposures related to investment in FIDC shares.

Art. 12 An RWF of 20% (twenty percent) must be applied to resources transferred to cooperative banks, confederations, or central cooperatives, gross of specific provisions.

CHAPTER V
TRANSITIONAL PROVISIONS

Art. 13 The following RWF must be applied for the reduced credit risk category II:

I - 20% (twenty percent), until June 30, 2025;

II - 27.5% (twenty-seven and five tenths percent), until December 31, 2025; and

III - that determined in Art. 6, caput, item II, from January 1, 2026.

Art. 14 The following RWF must be applied for the element mentioned in Art. 9, caput, item II, letter “c”, of the reduced risk category III:

I - 50% (fifty percent), until June 30, 2025;

II - 62.5% (sixty-two and five tenths percent), until December 31, 2025; and

III - that determined in Art. 6, caput, item III, from January 1, 2026.

CHAPTER VI
FINAL PROVISIONS

Art. 15 Circular No. 3,862, of December 7, 2017, published in the Official Gazette of the Union on December 11, 2017, and rectified in the Official Gazette of the Union on December 12, 2017, is hereby revoked.

Art. 16 This Resolution enters into force on January 1, 2025.

OTÁVIO RIBEIRO DAMASO
Director of Regulation