Resolution BCB No. 171 — Global Systemic Importance Assessment (GSIA) Information Calculation and Submission

RESOLUTION
BCB NO. 171, OF DECEMBER 9, 2021

Provides for the calculation of information for the assessment of global systemic importance (GSIA) of financial institutions and for the submission of such information to the Central Bank of Brazil.

The Collegiate Board of the Central Bank of Brazil, in a session held on December 9, 2021, based on the provisions of Articles 10, item IX, 11, item VII, and 37 of Law No. 4,595, of December 31, 1964,

R E S O L V E S:

CHAPTER I
PRELIMINARY PROVISIONS

Section I
Object and Scope of Application

Art. 1. This Resolution provides for the information for the assessment of global systemic importance (GSIA) of financial institutions and the conditions for calculation and submission to the Central Bank of Brazil of such information.

Art. 2. The GSIAs comprise:

I - the global systemic importance index (GSII); and

II - the set of auxiliary indicators.

Art. 3. The provisions of this Resolution apply to institutions classified in Segment 1 (S1) that have a "Gross Total Exposure" greater than €200,000,000,000.00 (two hundred billion euros).

§ 1. The information referred to in the caput must be calculated by converting the values into reais, based on a specific quotation published on the website mentioned in Article 15 of this Resolution and relative to the base date mentioned in Article 4 of this Resolution.

§ 2. The provisions of the caput do not apply to institutions whose exposures in the Country are included in the GSIAs of an institution headquartered in another jurisdiction.

§ 3. The "Gross Total Exposure" mentioned in the caput is calculated by summing the exposures referred to in Article 5 of Circular No. 3,748, of February 27, 2015, which provides for the methodology for calculating the Leverage Ratio.

§ 4. The sum of the exposures mentioned in § 3 must be calculated on a consolidated basis, including in the consolidation insurance companies directly or indirectly controlled by entities belonging to the prudential conglomerate.

§ 5. For the purposes of the consolidation mentioned in § 4, the characterization of control must follow the criteria established by the specific regulation applicable to the preparation of the consolidated accounting documents of the prudential conglomerate.

Section II
Procedures for Calculating Financial Information for the Assessment of Global Systemic Importance (GSIA)

Art. 4. The information referred to in this Resolution must have as its base date December 31, except for the provisions of items I, III, and IV of Article 12 and XII of Article 16, the information of which must correspond to the calendar year.

Art. 4. The information referred to in this Resolution must have as its base date December 31, except for the provisions of items I, III, IV, and IV-A of Article 12 and XII of Article 16, the information of which must correspond to the calendar year. (Revised by Resolution BCB No. 357, of 11/28/2023.)

Art. 5. For institutions that are part of a prudential conglomerate, the calculation of the GSIAs must be performed on a consolidated basis.

Sole paragraph. For the purposes of the calculation referred to in the caput:

I - the respective advances received, provisions, and revenues to be appropriated must be deducted from the values of the operations referred to in this Resolution;

II - the valuation procedures must follow the criteria established in the Accounting Plan of the Institutions of the Financial System (Cosif);

III - operations denominated in foreign currency must be calculated in reais, by converting their respective values, based on the quotations used for the preparation of balance sheets and statements, according to the criteria established in Cosif; and

IV - insurance companies directly or indirectly controlled by entities belonging to the prudential conglomerate must be included in the consolidation scope for the purposes of calculating the balances provided for in Articles 7, 9, 10, 11, and 13, items I and III.

CHAPTER II
CALCULATION OF THE GLOBAL SYSTEMIC IMPORTANCE INDEX

Section I
General Provisions

Art. 6. The GSII, referred to in Article 2, item I, must be calculated based on the following formula:

I - "Size" = indicator referring to the institution's relative participation in global banking activity;

II - "Interconnectedness" = indicator referring to the institution's relative degree of connection with the institutions referred to in § 1 and § 2 of Article 8 and with the global capital market;

III - "Substitutability" = indicator referring to the institution's relative participation in the global supply of financial services;

IV - "Complexity" = indicator referring to the relative complexity of the institution's operations; and

V - "Offshore Activity" = indicator referring to the institution's relative international activities.

Sole paragraph. The value of the GSII must correspond to the nearest integer to the result obtained according to the formula referred to in the caput.

Section II
Calculation of the "Size" Indicator

Art. 7. The "Size" indicator is calculated based on the following formula:

I - "Gross Total Exposure" = value defined according to the provisions of § 3 of Article 3; and

II - GTE = value defined according to item I of Article 15.

Section III
Calculation of the "Interconnectedness" Indicator

Art. 8. The "Interconnectedness" indicator is calculated based on the following formula:

I - "Interfinancial Asset" = amount of assets and rights held against the entities mentioned in § 1 and § 2 of this article;

II - "Interfinancial Liability" = amount of obligations assumed against the entities mentioned in § 1 and § 2 of this article;

III - "Securities" = amount of funding instruments issued by the institution; and

IV - IFA, IFL, and S = values defined according to the provisions of items II, III, and IV of Article 15.

§ 1. For the purposes of calculating the amounts mentioned in items I and II of the caput, only operations with the following counterparties or issuing entities, headquartered in the Country or abroad, must be considered:

I - financial institutions and other institutions authorized to operate by the Central Bank of Brazil, with the exception of the National Bank for Economic and Social Development (BNDES);

II - other legal entities whose sole corporate purpose is equity participation in the entities mentioned in item I of the caput;

III - investment funds and investment funds in fund shares, in accordance with current regulations;

IV - pension funds and open complementary pension entities;

V - insurance, reinsurance, and capitalization companies;

VI - clearinghouses and settlement and payment service providers; and

VII - asset managers.

§ 2. Private Equity funds are included in item III of § 1.

Art. 9. The "Interfinancial Asset," referred to in Article 8, item I, consists of the sum of the values corresponding to the assets and rights held by the institution, as follows:

I - deposits made without the issuance of a certificate, except in margin accounts, including interfinancial deposits, loans, and financing granted;

II - deposits made with the issuance of a certificate;

III - unused value of the credit limit granted, considering both the unconditional and unilateral non-cancellable credit limit and the unconditional and unilateral cancellable credit limit, as defined, respectively, in the sole paragraph of Article 19 and the sole paragraph of Article 20 of Circular No. 3,748, of 2015;

IV - guaranteed debt securities without subordination clauses;

V - unguaranteed debt securities without subordination clauses;

VI - debt securities with subordination clauses;

VII - promissory notes with an original maturity of up to 1 (one) year;

VIII - the amount of net positions in each share, if positive, plus the investments in shares of the entities mentioned in items III and IV of § 1 and in § 2 of Article 8;

IX - exposures resulting from committed operations and loans of securities, observing the provisions of § 2 and § 3 of this article; and

X - exposures resulting from operations with financial derivative instruments carried out in the over-the-counter market, observing the provisions of § 4 and § 5 of this article.

§ 1. The amount of assets and rights resulting from loans and financing classified in the category "operations with substantial retention of risks and benefits" must be included in the calculation of item I of the caput, according to specific regulation applicable to the classification of operations for the sale or transfer of financial assets.

§ 2. The value of the exposure resulting from a committed operation and a loan of securities, referred to in item IX of the caput, observing the provisions of § 3 of this article, must correspond to the result, if positive:

I - of the book value of the resale minus the book value of the asset subject to the operation, in the case of a purchase operation with a commitment to resell;

II - of the book value of the asset subject to the operation minus the financial resources received, in the case of a sale operation with a commitment to repurchase and in the case of a loan of securities in which the institution acts as the lending counterparty; and

III - of the financial resources delivered minus the book value of the received asset subject, in the case of a loan of securities in which the institution acts as the receiving counterparty.

§ 3. For committed operations and loans of securities subject to agreements for the settlement and payment of obligations within the National Financial System (SFN), governed by Resolution No. 3,263, of February 24, 2005, the value of the exposure referred to in item IX of the caput must correspond to the result, if positive, of the sum of the financial resources and securities delivered to the counterparty referred to in the agreement minus the sum of the financial resources and securities received from it.

§ 4. The value of the exposure resulting from an operation with a financial derivative instrument carried out in the over-the-counter market, referred to in item X of the caput, whose replacement value is greater than or equal to zero, must correspond to its replacement value, plus the future potential gain.

§ 5. The replacement value and future potential gain mentioned in § 4 must be calculated using the SA-CCR Approach, as established in Articles 6 to 26 of Circular No. 3,904, of June 6, 2018.

Art. 10. The "Interfinancial Liability," referred to in Article 8, item II, consists of the sum of the values corresponding to the obligations assumed by the institution, as follows:

I - deposits received without the issuance of a certificate, including interfinancial deposits, from:

a) multiple banks, commercial banks, savings banks, development banks, investment banks, credit cooperatives, mortgage companies, credit, financing, and investment companies, microentrepreneur credit companies, leasing companies, real estate credit companies, and savings and loan associations, consortium administrators; and

b) other entities referred to in § 1 and § 2 of Article 8;

II - loans and financing taken;

III - unused value of the credit limit taken, considering both the unconditional and unilateral non-cancellable credit limit and the unconditional and unilateral cancellable credit limit, as defined respectively in the sole paragraph of Article 19 and the sole paragraph of Article 20 of Circular No. 3,748, of 2015;

IV - obligations resulting from committed operations and loans of securities, observing the provisions of § 2 and § 3 of this article; and

V - obligations resulting from operations with financial derivative instruments carried out in the over-the-counter market, observing the provisions of § 4 and § 5 of this article.

§ 1. The amount of obligations resulting from loans and financing classified in the category "operations with substantial retention of risks and benefits" must be included in the calculation of item II of the caput, according to specific regulation applicable to the classification of operations for the sale or transfer of financial assets.

§ 2. The value of the obligation resulting from a committed operation and a loan of securities, referred to in item IV of the caput, observing the provisions of § 3 of this article, must correspond to the result, if positive:

I - of the book value of the asset subject to the operation minus the book value of the resale, in the case of a purchase operation with a commitment to resell;

II - of the financial resources received minus the book value of the asset subject to the operation, in the case of a sale operation with a commitment to repurchase and in the case of a loan of securities in which the institution acts as the lending counterparty; and

III - of the book value of the received asset subject minus the financial resources delivered, in the case of a loan of securities in which the institution acts as the receiving counterparty.

§ 3. For committed operations and loans of securities subject to agreements for the settlement and payment of obligations within the SFN, governed by Resolution No. 3,263, of 2005, the value of the obligation referred to in item IV of the caput must correspond to the result, if positive, of the sum of the financial resources and securities received from the counterparty referred to in each agreement minus the sum of the financial resources and securities delivered to it.

§ 4. The value of the obligation resulting from an operation with a financial derivative instrument carried out in the over-the-counter market, referred to in item V of the caput, whose replacement value is less than zero, must correspond to the absolute value of its replacement value, plus the future potential gain.

§ 5. The replacement value and future potential gain mentioned in § 4 must be calculated using the SA-CCR Approach, as established in Articles 6 to 26 of Circular No. 3,904, of 2018.

Art. 11. The "Securities," referred to in Article 8, item III, consist of the sum of the values corresponding to the securities that are in circulation and issued by the institutions that make up the consolidated calculation mentioned in Article 5, sole paragraph, item IV, as follows:

I - guaranteed debt securities without subordination clauses;

II - unguaranteed debt securities without subordination clauses;

III - debt securities with subordination clauses;

IV - promissory notes with an original maturity of less than 1 (one) year;

V - deposits received with the issuance of a certificate or receipt;

VI - shares; and

VII - other forms of funding with subordination clauses not included in item III.

§ 1. The value of the shares referred to in item VI of the caput must be determined by multiplying the total number of shares issued and in circulation by the respective stock exchange quotation on the calculation base date.

§ 2. The values referred to in item V of the caput are excluded from the deposits received with the issuance of a certificate or receipt that are not transferable and are not held by financial institutions.

Section IV
Calculation of the "Substitutability" Indicator

Art. 12. The "Substitutability" indicator is calculated based on the following formula:

Art. 12. The "Substitutability" indicator is calculated based on the following formula:

(Revised by Resolution BCB No. 357, of 11/28/2023.)

I - "Payments" = sum of the gross value of payments made to third parties in the Country or abroad, in each calendar year, denominated in the currencies indicated by the Basel Committee on Banking Supervision, according to information available on the website https://www.bis.org/bcbs/gsib/reporting_instructions.htm;

II - "Custody" = sum of the values corresponding to the stock of securities, securities, and other financial assets of third parties, including gold, received in custody and held by the institution itself or by fiduciary depositaries;

III - "Origination" = sum of the values corresponding to origination operations of securities issued by third parties, excluding financial derivative instruments, carried out in the Country or abroad, in each calendar year, observing the provisions of § 3 to § 5 of this article, classified as:

a) equity participations, including direct and indirect participations in companies, with or without voting rights, including through embedded derivative instruments, and convertible bonds; and

b) other instruments not included in item "a";

IV - "Trading Volume" = sum of the purchase and sale operations of securities, observing the provisions of § 6 and § 7 of this article; and

IV - "Fixed Income Trading Volume" = sum of the purchase and sale operations of fixed income securities; (Revised by Resolution BCB No. 357, of 11/28/2023.)

IV-A - "Other Trading Volume" = sum of the purchase and sale operations of securities of other modalities that are not fixed income, and (Included by Resolution BCB No. 357, of 11/28/2023.)

V - PAY, CUST, ORIG, and TRD = values defined according to the provisions of items V, VI, VII, and VIII of Article 15.

V - PAY, CUST, ORIG, TRDFI, and TRDO = values defined according to the provisions of items V, VI, VII, VIII, and VIII-A of Article 15. (Revised by Resolution BCB No. 357, of 11/28/2023.)

§ 1. For the purposes of the provisions of the caput, a third party is considered to be an entity that is not part of the prudential conglomerate of the institution reporting the GSIAs.

§ 2. In the calculation of "Custody," referred to in item II of the caput, third-party financial assets administered by the institution but whose custody is not its responsibility must not be considered.

§ 3. For the purposes of calculating "Origination," mentioned in item III of the caput, the following must be considered:

I - all subscribed values, in proportion to the institution's participation in the origination process; and

II - the values of the financial derivative instruments embedded in the securities.

§ 4. In operations contracted under the best efforts regime, the calculation of the origination value referred to in item III of the caput must consider only the securities effectively sold.

§ 5. The equity participations referred to in item III, item "a", of the caput include instruments that have the same structure as those eligible for the composition of equity in accordance with Cosif.

§ 6. For the purposes of calculating "Trading Volume," referred to in item IV of the caput, market values must be reported, on the contractual date of purchase or sale of the securities, without any recognition of compensation, including operations carried out on own account or on behalf of third parties.

§ 6. For the purposes of calculating the "Fixed Income Trading Volume" and "Other Trading Volume" indicators, referred to in items IV and IV-A of the caput, respectively, market values must be reported, on the contractual date of purchase or sale of the securities, without any recognition of compensation, including operations carried out on own account or on behalf of third parties. (Revised by Resolution BCB No. 357, of 11/28/2023.)

§ 7. In the calculation referred to in § 6, the following must not be considered:

I - securities issued by federal, state, or municipal governments or by central banks;

II - intragroup transactions, defined as those carried out with or between companies over which the institution mentioned in Article 3 holds direct or indirect control;

III - derivatives;

IV - the values related to committed operations or loans of securities, except in the case of committed operations with free movement whose title has been sold;

V - the values related to the provision of settlement and payment services; and

VI - the values paid as commissions and other costs associated with the operations mentioned in § 6.

§ 8. If the real is included in the list of currencies referred to in item I of the caput, the amounts processed directly in the Reserve Transfer System (STR) must be considered, except for transfer orders related to mandatory deposits, rediscounting by the Central Bank of Brazil, and currency in circulation.

Section V
Calculation of the "Complexity" Indicator

Art. 13. The "Complexity" indicator is calculated based on the following formula:

I - "Over-the-counter Derivatives" = sum of the reference values of operations with financial derivative instruments carried out in the over-the-counter market and settled in:

a) settlement systems of clearinghouses or settlement and payment service providers; and

b) other environments;

II - "Instruments not eligible for LCR" = financial instruments not eligible to compose the High-Quality Liquid Assets (HQLA) stock, as provided in Circular No. 3,749, of March 5, 2015, which must be calculated by:

a) the sum of the values corresponding to securities classified, according to criteria established by the specific regulation applicable to the registration and accounting valuation of securities, in the following categories:

1. "securities for trading"; and

2. "securities available for sale"; and

b) the deduction of the values corresponding to assets classified in the categories "securities for trading" and "securities available for sale" classified as follows:

1. Level 1 HQLA, as defined in Article 6 of Circular No. 3,749, of 2015; and

2. Level 2 HQLA, as defined in Articles 7, 8, and 9 of Circular No. 3,749, of 2015;

III - "Level 3 Assets" = sum of the values of financial instruments valued according to the model evaluation methodology, as provided in Resolution No. 4,277, of October 31, 2013; and

IV - OTC, INLCR, and L3A = values defined according to the provisions of items IX, X, and XI of Article 15.

Section VI
Calculation of the "Offshore Activity" Indicator

Art. 14. The "Offshore Activity" indicator is calculated based on the following formula:

I - "External Asset" = consolidated position of international assets plus the active positions of foreign branches calculated based on the International Banking Statistics (EBI) document, governed by specific regulation of the Central Bank of Brazil;

II - "External liabilities" = sum of the values corresponding to:

a) liabilities in any currency of banking units located in the Country whose counterparties are residents abroad;

b) liabilities in any currency of banking units located abroad whose counterparties are non-resident locals, with the exception of residents in the Country;

c) liabilities in non-local currency of banking units abroad with local residents; and

d) passive positions of branches abroad, calculated based on the EBI; and

III -
AE and PE = values defined as set forth in items XII and XIII of art.
15.

§ 1º For purposes of calculating items I and II of the caput, operations with financial derivative instruments must not be considered.

§ 2º For the purposes of this Resolution, a banking unit is considered to be a branch, subsidiary, branch office, agency, headquarters, or similar entity with identical operational nature, located in a specific country.

Art.
15. For purposes of calculating GSII, the following information published by the Basel Committee on Banking Supervision, available at the website https://www.bis.org/bcbs/gsib/denominators.htm, must be used:

I -
ETB = value corresponding to the denominator Total exposures as defined for use in the Basel III leverage ratio;

II -
AIF = value corresponding to the denominator Intra-financial system assets;

III -
PIF = value corresponding to the denominator Intra-financial system liabilities;

IV -
TVM = value corresponding to the denominator Securities outstanding;

V -
PAG = value corresponding to the denominator Payments;

VI -
CUST = value corresponding to the denominator Assets under custody;

VII

• ORIG = value corresponding to the denominator Values of underwritten transactions
  in debt and equity markets;

VIII - VNE = value corresponding to the denominator Trading volume;

VIII

• VNERF = value corresponding to the denominator Trading
  volume fixed income; (Revised by Resolution BCB No.
  357, of 28/11/2023.)

VIII-A

• VNEO = value corresponding to the denominator Trading
  volume equities and other securities; (Included by Resolution BCB No. 357, of 28/11/2023.)

IX -
DB = value corresponding to the denominator Notional amount of over-the-counter (OTC) derivatives;

X -
INLCR = value corresponding to the denominator Trading and available-for-sale securities;

XI -
AN3 = value corresponding to the denominator Level 3 assets;

XII -
AE = value corresponding to the denominator Cross-jurisdictional claims; and

XIII

• PE = value corresponding to the denominator Cross-jurisdictional liabilities.

Sole paragraph. The information referred to in the caput must be calculated by converting the respective values into reais, based on a specific quote published on the website mentioned in the caput and relative to the base date mentioned in art. 4º.

CHAPTER III
OF AUXILIARY INDICATORS

Art.
16. The auxiliary indicators, referred to in art. 2º, item II, comprise the amounts related to:

I - to current and long-term payable liabilities, in accordance with Cosif, deducted from values corresponding to:

a) social and statutory liabilities;

b) tax liabilities for capital increase;

c) provisions for capital increase; and

d) provisions for payments to be made;

II - to total deposits, deducted from values corresponding to deposits:

a) mentioned in art. 10, item I, letter “a”;

b) with issuance of certificates received from the institutions referred to in § 1º and § 2º of art. 8º;

c) received from central banks; and

d) backed by a counterparty not eligible for classification of its exposures in the “retail” category, as defined in § 1º and § 2º of art.
24 of Circular No. 3,644, of March 4, 2013;

III - to operating revenues, in accordance with Cosif;

IV - to net revenue, which consists of the value referred to in item III minus the value corresponding to financial intermediation expenses;

V - to net external revenue, corresponding to the value referred to in item IV from banking units located abroad;

VI - to the sum of financial resources delivered in cases of purchase commitment operations with resale commitment and of securities borrowed by loan and of the accounting values of assets delivered in cases of sale commitment operations with repurchase commitment and of securities lent by loan;

VII - to the sum of financial resources received in cases of sale commitment operations with repurchase commitment and operations relating to securities lent by loan and of the accounting values of assets in cases of purchase commitment operations with resale commitment and operations relating to securities borrowed by loan;

VIII

• to the sum of replacement values of operations with financial derivative instruments carried out in the over-the-counter market whose replacement value is greater than or equal to zero;

IX - to the sum of replacement values of operations with financial derivative instruments carried out in the over-the-counter market whose replacement value is less than zero;

X - to the number of jurisdictions in which the institution has a banking unit, considering, including, the Country;

XI - to securities classified in the category “securities held to maturity”, according to criteria established by the specific regulation applicable to the registration and accounting evaluation of securities; and

XII - to the gross value of payments made to third parties not part of the prudential conglomerate of the institution subject to the calculation of GSII carried out in the Country or abroad, in each calendar year, processed through payment and resource transfer systems or through a correspondent bank, denominated in the currencies indicated by the Basel Committee on Banking Supervision, according to information available on the website https://www.bis.org/bcbs/gsib/reporting_instructions.htm.

CHAPTER IV
OF SUBMISSION OF INFORMATION TO THE CENTRAL BANK OF BRAZIL

Art.
17. Reports on the calculation of GSII must be sent to the Central Bank of Brazil, in the format to be defined by it, within a maximum period of 90 (ninety) days after the respective base date of calculation:

I - by the lead institution of each conglomerate, in the case of consolidated information; and

II - by the other financial institutions subject to the calculation of GSII, not belonging to conglomerates, in the case of providing information for each entity.

CHAPTER V
OF FINAL PROVISIONS

Art.
18. Subject to the provisions of § 2º of art. 3º, the Department of Banking Supervision (Desup) may, within up to 15 (fifteen) days after the respective base date of
calculation, in accordance with art. 4º, determine the application of the provisions set forth in this Resolution to institutions that do not meet the criteria defined in art. 3º, if the information related to the indicators referred to in arts. 6º or 16 are considered relevant.

Art.
19. The director responsible for disclosing information that demonstrate the
institution's compliance with prudential requirements, indicated in accordance with art. 56-A of Resolution No. 4,557, of February 23, 2017, is responsible for the information referred to in this Resolution.

Art.
20. Institutions subject to the calculation of GSII must keep available to the
Central Bank of Brazil, for a minimum period of 5 (five) years, the documentation that served as support for the preparation of the information referred to in this Resolution.

Art.
21. The following are repealed:

I - Circular No. 3,751, of March 19, 2015; and

II - art. 2º of Circular No. 3,923, of December 19, 2018.

Art.
22. This Resolution enters into force on January 1, 2022.

Otávio Ribeiro Damaso
Director of Regulation