Resolution BCB No. 229 — Procedures for Calculating the Risk-Weighted Asset Component for Credit Risk Exposures under the Standardized Approach — BCB — BR

Frequently Asked Questions (FAQ) - Resolution BCB No. 229

RESOLUTION BCB NO. 229, OF MAY 12, 2022

Establishes the procedures for calculating the portion of risk-weighted assets (RWA) referring to credit risk exposures subject to the calculation of the capital requirement through the standardized approach (RWACPAD), as dealt with in Resolution CMN No. 4,958, of October 21, 2021, and Resolution BCB No. 200, of March 11, 2022.

The Collegiate Board of the Central Bank of Brazil, in a session held on May 11, 2022, based on the provisions of arts. 9, 10, item IX, and 11, item VII, of Law No. 4,595, of December 31, 1964, and art. 9, item II, of Law No. 12,865, of October 9, 2013, and having in view art. 3, § 2, of Resolution CMN No. 4,958, of October 21, 2021, arts. 3, item III, and 14, of Resolution No. 4,282, of November 4, 2013, and art. 3, § 2 of Resolution BCB No. 200, of March 11, 2022,

R E S O L V E:

TITLE I
PRELIMINARY PROVISIONS

SINGLE CHAPTER
OF THE OBJECT AND SCOPE OF APPLICATION

Art. 1 This Resolution establishes the procedures for calculating the portion of risk-weighted assets (RWA) referring to credit risk exposures subject to the calculation of the capital requirement through the standardized approach (RWACPAD), as dealt with in Resolution CMN No. 4,958, of October 21, 2021, and Resolution BCB No. 200, of March 11, 2022.

Art. 2 The RWACPAD portion must be equal to the sum of the products of the exposure values by their respective Risk Weighting Factors (RWF).

§ 1 In the determination of the RWACPAD portion, the recognition of instruments mitigating credit risk is admitted, in accordance with Circular No. 3,809, of August 25, 2016.

§ 2 Without prejudice to the provisions of the main text, the additional amount related to participation in mutualized guarantee funds of central counterparties (Participation in Mutualized Guarantee Funds of Central Counterparties - ParcDF) also composes the RWACPAD portion, as established in this Resolution.

TITLE II
OF THE DEFINITION AND VALUE OF EXPOSURES

CHAPTER I
OF THE DEFINITION OF EXPOSURE

Art. 3 The RWACPAD portion must include in its calculation exposures classified in the banking book and trading book, according to the definitions established in art. 26 of Resolution No. 4,557, of February 23, 2017 and in the corresponding regulation applicable to the Type 3 prudential conglomerate.

Art. 3 The RWACPAD portion must include in its calculation: (Redacted, effective from 7/1/2024, by Resolution BCB No. 395, of 6/26/2024.)

I - all exposures classified in the banking book; and (Included, effective from 7/1/2024, by Resolution BCB No. 395, of 6/26/2024.)

II - exposures related to the credit risk of counterparty of transactions classified in the trading book. (Included, effective from 7/1/2024, by Resolution BCB No. 395, of 6/26/2024.)

§ 1 Exposures referring to direct investments in stocks and commodities (commodities) covered by the portion related to exposures to market risk subject to the calculation of the capital requirement through the standardized approach (RWAMPAD) or internal model authorized by the Central Bank of Brazil (RWAMINT) of the RWA amount, as dealt with in Resolution CMN No. 4,958, of 2021, and Resolution BCB No. 200, of 2022, must not be included in the calculation of the RWACPAD portion.

§ 2 The RWACPAD portion must include in its calculation exposures to financial derivative instruments referenced in stocks or commodities (commodities), even if subject to the RWAMPAD or RWAMINT portion.

§ 3 For the purposes of the provisions in the main text, the definitions of banking book and trading book established in art. 26 of Resolution No. 4,557, of February 23, 2017, and in art. 26 of Resolution BCB No. 265, of November 25, 2022, must be considered. (Included, effective from 7/1/2024, by Resolution BCB No. 395, of 6/26/2024.)

Art. 4 For the calculation of the RWACPAD portion, the following are considered exposures:

I - the application of financial resources in assets and rights and the expense or expenditure recorded in assets;

II - any advance granted;

III - any financial derivative instrument that composes the institution's own portfolio;

IV - the credit limit;

V - credit to be disbursed within 360 (three hundred and sixty) calendar days;

VI - the provision of suretyship, guarantee, joint liability, or any other form of personal guarantee for the fulfillment of a financial obligation of third parties (fidejussory guarantee);

VII - the committed operation, lending of securities or operation with a financial derivative instrument, carried out in the name of a client, with settlement or liquidation carried out in a clearinghouse or provider of these services, in which an entity interposes itself as a central counterparty, in accordance with § 7;

VIII - asset or right delivered or made available by a client due to the operations listed in item VII, except when the institution does not assume any obligations, including the obligation to reimburse the client in case of default by third parties;

IX - the exposure associated with counterparty credit risk, as defined by § 3 of art. 21 of Resolution No. 4,557, of 2017, and in the corresponding regulation applicable to the Type 3 prudential conglomerate;

IX - the exposure associated with counterparty credit risk, as defined by art. 21, § 3, of Resolution No. 4,557, of February 23, 2017, and by art. 19, § 3, of Resolution BCB No. 265, of November 25, 2022, as applicable; (Redacted, effective from 1/1/2025, by Resolution BCB No. 447, of 12/19/2024.)

X - asset or right delivered or made available by the institution to a third party, when its return is conditioned on the compliance of that third party or any other party, without prejudice to the provisions of item I; and

asset or right delivered or made available by the institution to a third party,
when its return is conditioned on the compliance of that third party or any other party, without prejudice to the provisions of item I; (Redacted, effective from 1/31/2025, by Resolution BCB No. 452, of 1/21/2025.)

~~XI - any asset, including investment fund shares, that the institution has committed to acquire.~~

any asset, including investment fund shares, that the institution
has committed to acquire; and (Redacted, effective from 1/31/2025, by Resolution BCB No. 452, of 1/21/2025.)

XII

the absolute value of the negative adjustment recorded in equity as per
art. 4, main text, item I, letter “i”, of Resolution CMN No.
4,955, of October 21, 2021, and art. 3, main text, item I, letter “i”, of Resolution BCB No. 199, of March 11, 2022, as applicable. (Included, effective from 1/31/2025, by Resolution BCB No. 452, of 1/21/2025.)

§ 1 The following are not considered exposures:

I - joint liabilities and other forms of retention of risks and benefits arising from operations of sale or transfer of financial assets that remain recorded in the institution's assets, in accordance with specific regulation;

II - shares of funds and securitization notes associated with operations of sale or transfer of financial assets that remain recorded in the institution's assets, in accordance with specific regulation, in proportion between the amount of transferred assets that remain recorded in the institution's assets and the total value of the assets of the respective fund or securitization process;

~~III - interdependence operations and other operations carried out with institutions that integrate the prudential conglomerate, when eliminated by accounting criterion;~~

III - interdependence operations and other operations that represent exposure to institutions that integrate the prudential conglomerate; (Redacted, effective from 1/2/2025, by Resolution BCB No. 438, of 11/28/2024.)

IV - equity elements deducted in the calculation of Reference Equity (PR), as defined in arts. 5 to 9 of Resolution CMN No. 4,955, of October 21, 2021, and in arts. 4 to 8 of Resolution BCB No. 199, of March 11, 2022, gross of deferred tax liabilities associated with them subtracted for the purpose of calculating PR;

V - operations with financial derivative instruments carried out in the over-the-counter market in which the institution acts exclusively as an intermediary, not assuming rights or obligations arising from the fluctuation of the replacement value or default of any of the parties;

VI - credit derivative operations in which the institution acts as the risk-transferring counterparty and holds the reference asset of the derivative, respecting the following aspects:

a) the credit derivative meets the conditions for recognition as a credit risk mitigating instrument provided for in Circular No. 3,809, of 2016; and

b) only the value equal to or less than the value of the held credit asset must be considered;

VII - checks, bills, credit documents (DOCs) and other payment instruments to be credited to client accounts, when there is no assumption of rights or obligations arising from these instruments, including in case of default by any of the parties;

VIII - linked active operations, as specified in Resolution No. 2,921, of January 17, 2002, when there is no assumption of rights or obligations arising from these operations, including in case of default by any of the parties and up to the limit of the respective linked liabilities;

IX - import letters of credit issued by the institution, linked to an import foreign exchange contract, provided that the total delivery of the national currency equivalent has occurred;

X - credit operations with public sector bodies and entities regarding the highlighting of a portion of PR, in accordance with art. 4 of Resolution CMN No. 4,995, of March 24, 2022;

XI - the portion of credit operations covered by the Emergency Program for Employment Support, instituted by Law No. 14,043, of August 19, 2020, funded with Union resources;

XII - the portion of credit operations carried out within the scope of the Emergency Program for Access to Credit in the receivables guarantee modality (Peac-Maquininhas), instituted by Law No. 14,042, of August 19, 2020, to be reimbursed to the Union;

~~XIII - operations to be settled for the sale of foreign currency and gold with immediate settlement or of securities in the spot market that remain registered in assets; and~~

XIII - operations to be settled for the sale of foreign currency and gold with immediate settlement or of securities in the spot market that remain registered in assets; (Redacted, effective from 7/1/2023, by Resolution BCB No. 266, of 11/25/2022.)

XIV - operations to be settled for the purchase or sale of foreign currency and gold with immediate settlement or of securities in the spot market carried out in the name of clients, that remain registered in assets.

~~XV - for conglomerates classified as Type 3 and classified in Segment 2 (S2), Segment 3 (S3) or Segment 4 (S4), in accordance with Resolution BCB No. 197, of March 11, 2022:(Included, effective from 7/1/2023, by Resolution BCB No. 266, of 11/25/2022.)~~

XV - for institutions or conglomerates subject to the calculation of the RWASP portion relative to the calculation of the capital required for risks associated with payment services, defined in Resolution BCB No. 200, of 2022: (Redacted, effective from 1/1/2024, by Resolution BCB No. 363, of 12/14/2023.)

a) amounts receivable from issuers of payment instruments relating to the institution's activity as an acquirer, as defined in art. 3, item III, of Resolution BCB No. 80, of March 25, 2021, covered by the “ADQ” component of the risk-weighted assets formula relative to the calculation of the capital required for risks associated with payment services (RWASP), defined in Resolution BCB No. 200, of 2022;~~(Included, effective from 7/1/2023, by Resolution BCB No. 266, of 11/25/2022.)~~

a) amounts receivable from issuers of payment instruments relating to the institution's activity as an acquirer, as defined in art. 3, item III, of Resolution BCB No. 80, of March 25, 2021, covered by the “ADQ” component of the RWASP portion; (Redacted, effective from 1/1/2024, by Resolution BCB No. 363, of 12/14/2023.)

b) amounts receivable from acquirers of payment instruments relating to the institution's activity as a sub-acquirer, as defined in Resolution BCB No. 150, of October 6, 2021, covered by the “ADQ” component of the risk-weighted assets formula relative to the calculation of the capital required for risks associated with payment services (RWASP), defined in Resolution BCB No. 200, of 2022; and~~(Included, effective from 7/1/2023, by Resolution BCB No. 266, of 11/25/2022.)~~

c) net resources corresponding to balances of electronic money held in payment accounts, as provided for in art. 22 of Resolution BCB No. 80, of 2021. (Included, effective from 7/1/2023, by Resolution BCB No. 266, of 11/25/2022.)

§ 2 Exposures of consolidated entities, including consolidated investment funds, in accordance with specific regulation, must be considered as if they were held entirely by the institution, except when eliminated by accounting criterion.

§ 3 The exposure related to counterparty credit risk, when provided for in this Resolution, is additional to any other exposure arising from the underlying asset or operation carried out.

§ 4 The credit limit, as referred to in item IV of the main text, is the formalized operation, including through an adhesion contract, with the following characteristics:

I - the operation consists of a promise to disburse resources to a counterparty up to a specific amount; and

II - the value to be drawn by the counterparty is uncertain.

§ 5 Credit to be disbursed, as referred to in item V of the main text, is the future disbursement related to the contracted credit operation, regardless of whether it is conditioned on the debtor fulfilling previously specified conditions.

§ 6 The types of guarantees, as referred to in item VI of the main text, include those linked to:

I - credit limit;

II - credit to be disbursed within 360 (three hundred and sixty) calendar days; and

III - operation with a financial derivative instrument, own or third-party, including that carried out in the over-the-counter market.

§ 7 For the operation mentioned in item VII of the main text, the following must be considered:

I - the exposure to counterparty credit risk with respect to the client; and

II - the exposure to counterparty credit risk with respect to a third party, including the central counterparty, except when the institution does not assume reimbursement obligations to the respective client.

§ 8 The exposure referred to in item X of the main text includes the constitution of a guarantee linked to the own or third-party operation through an asset owned by the institution, except if this asset:

I - is identified as owned by the institution; and

II - is promptly returned to the institution in case of liquidation, bankruptcy, or similar proceeding suffered by the counterparty.

§ 9 The asset delivered or made available to a counterparty within the scope of linked active operations, as specified in Resolution No. 2,921, of 2002, is included in item X of the main text.

§ 10. The exposure referred to in item XI of the main text does not include those related to committed operations, lending of securities or operation with a financial derivative instrument. (Included, effective from 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

CHAPTER II
OF THE VALUE OF EXPOSURES

Section IGeneral Provisions

Art. 5 The value of the exposures referred to in art. 4 must be determined according to the criteria established in the Accounting Standard of Institutions Regulated by the Central Bank of Brazil (Cosif), except for specific provision in accordance with this Resolution.

§ 1 In the absence of a criterion established in Cosif and of a specific provision, the value of the exposure must correspond to the market value.

§ 2 Marking to market, when provided for for the purposes of calculating the RWACPAD portion, must be carried out in a consistent and verifiable manner, even if not adopted in Cosif.

~~Art. 6 For the calculation of the exposure value, respective received advances, provisions, and income to be appropriated must be deducted.~~

Art. 6 For the calculation of the exposure value, adjustments related to provisions must be deducted. (Redacted, effective from 1/2/2025, by Resolution BCB No. 438, of 11/28/2024.)

§ 1 The value of the exposure, after the deductions mentioned in the main text, must be equal to or greater than zero.

§ 2 The application of the Credit Conversion Factor (CCF), when necessary for the calculation of the exposure value, must occur prior to the deductions mentioned in the main text.

§ 3 In the case of exposures recorded in assets, the following must be considered in the exposure value: (Included, effective from 1/2/2025, by Resolution BCB No. 438, of 11/28/2024.)

I - transaction costs and received values that compose the effective interest rate of the financial instrument; (Included, effective from 1/2/2025, by Resolution BCB No. 438, of 11/28/2024.)

II - premium or discount earned in the acquisition of the financial instrument; (Included, effective from 1/2/2025, by Resolution BCB No. 438, of 11/28/2024.)

III - present value adjustment, by the original effective interest rate, of the cash flows contracted in restructured operations; and (Included, effective from 1/2/2025, by Resolution BCB No. 438, of 11/28/2024.)

IV - fair value adjustment, including the adjustment related to hedge accounting. (Included, effective from 1/2/2025, by Resolution BCB No. 438, of 11/28/2024.)

Section IIAdvances

Art. 7 The value of the exposure related to the granting of an advance must correspond to the advanced value, plus interest and other charges incurred.

Sole paragraph. In the case of an asset or right delivered in advance in an operation to be settled for the purchase or sale of foreign currency, gold, or securities, two exposures to the same counterparty are considered:

I - the advance granted, as per the main text; and

II - the original operation.

Section IIILeasing

~~Art. 8 The value of the exposure related to a financial leasing operation must correspond to the amount of the present value of the installments plus the guaranteed residual value.~~

Art. 8 For a financial leasing operation, according to criteria established in Cosif, the following must be considered: (Redacted, effective from 1/2/2025, by Resolution BCB No. 438, of 11/28/2024.)

I - the exposure related to the underlying asset, which must correspond to the book value of the unguaranteed residual value, if it exists; and (Included, effective from 1/2/2025, by Resolution BCB No. 438, of 11/28/2024.)

II - the exposure related to the credit risk of the debtor, which must correspond to the amount of the present value of the receivable past due and future installments plus the guaranteed residual value, if it exists. (Included, effective from 1/2/2025, by Resolution BCB No. 438, of 11/28/2024.)

~~Sole paragraph. The provisions of art. 9 apply to a financial leasing operation in which there is no contractual provision for the payment of a guaranteed residual value.~~

Sole paragraph. (Revoked, effective from 1/2/2025, by Resolution BCB No. 438, of 11/28/2024.)

~~Art. 9 For an operational leasing operation, the following must be considered:~~

Art. 9º For operating lease transactions, according to criteria established in Cosif, the following must be considered: (Redacted, effective 2/1/2025, by Resolution BCB No. 438, of 11/28/2024.)

~~I - the exposure related to the asset object; and~~

I - the exposure related to the asset object, which must correspond to the book value of the leased asset; and (Redacted, effective 2/1/2025, by Resolution BCB No. 438, of 11/28/2024.)

~~II - the exposure related to the credit risk of the debtor.~~

II - the exposure related to the credit risk of the debtor, which must correspond to the receivable installments past due. (Redacted, effective 2/1/2025, by Resolution BCB No. 438, of 11/28/2024.)

~~§ 1º The value of the exposure related to the asset object must correspond to the book value of the leased asset.~~

§ 1º (Revoked, effective 2/1/2025, by Resolution BCB No. 438, of 11/28/2024.)

~~§ 2º The value of the exposure related to the credit risk of the debtor must correspond to the receivable installments past due.~~

§ 2º (Revoked, effective 2/1/2025, by Resolution BCB No. 438, of 11/28/2024.)

Section IV Repo Transactions and Lending of Securities and Financial Instruments

Art. 10. For repo transactions or lending of securities and financial instruments, the following must be considered:

I - the exposure related to the asset object, in the case of the following transactions carried out with own asset object:

a) sale with commitment to repurchase; and

b) lending of securities and financial instruments; and

II - the exposure related to counterparty credit risk, in the case of the following transactions:

a) purchase with commitment to resell;

b) sale with commitment to repurchase; and

c) lending of securities and financial instruments.

§ 1º The value of the exposure related to the asset object must correspond to the book value of the asset.

§ 2º The value of the exposure related to counterparty credit risk must correspond:

I - to the book value of the resale, in the case of purchase with commitment to resell; or

II - to the book value of the asset object, in the case of sale with commitment to repurchase and lending of securities and financial instruments transactions.

§ 3º The value of the exposure related to the asset object and the value of the exposure related to counterparty credit risk must be marked to market, in accordance with § 2º of Art. 5º, when this procedure is required for credit risk mitigation purposes, according to Circular No. 3.809, of 2016.

§ 4º For institutions classified in Segment 2 (S2), Segment 3 (S3), or Segment 4 (S4), in accordance with Resolution No. 4.553, of January 30, 2017, or Resolution BCB No. 197, of March 11, 2022, the calculation of the exposure value referred to in item II of the caput is optional through the multiplication of the book value of the transaction by the percentage of 5% (five percent).

§ 5º The option provided in § 4º is limited to transactions:

I - cleared in the Special Settlement and Custody System (Selic) or in a system operated by a Qualified Central Counterparty (QCCP), as defined in Art. 67, § 1º, located in Brazil, and

II - in which the traded asset object is a Federal Public Security referenced or indexed in Reais.

§ 6º In the event of using the option referred to in §§ 4º and 5º, the recognition of credit risk mitigation referred to in Circular No. 3.809, of 2016, is prohibited in the exposure referred to in item II of the caput.

Section V Financial Derivative Instruments

Art. 11. The value of the exposure related to the transaction with a financial derivative instrument must correspond:

~~I - to the value calculated:~~

I - to the value of the exposure related to counterparty credit risk calculated: (Redacted, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

a) in the manner of the SA-CCR Approach, provided for in Annex I of this Resolution, or

~~b) in the manner of the CEM Approach, provided for in Annex II of this Resolution; or~~

b) in the manner of the CEM Approach, provided for in Annex II of this Resolution; and (Redacted, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

~~II - to the notional value of the contract, in the case of a credit derivative, classified in the banking book, in which the institution acts as the risk receiver.~~

II - to the notional value of the contract, in the case of a credit derivative in which the institution acts as the risk receiver. (Redacted, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

§ 1º Transactions with financial derivative instruments include transactions for future settlement purchase or sale of foreign currency, gold, securities and financial instruments, or any asset capable of being classified in the asset classes provided for in the SA-CCR and CEM approaches.

~~§ 2º In the calculation of the value of the exposure related to counterparty credit risk of financial derivative instruments, referred to in item II of the caput, it must be observed that:~~

§ 2º In the calculation of the value of the exposure related to counterparty credit risk of financial derivative instruments it must be observed that: (Redacted, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

I - financial derivative instruments must be marked to market daily, in a consistent and verifiable manner, even if this marking is not adopted for accounting purposes; and

II - the exposure value must be calculated considering the time period expressed in years, composed of 252 (two hundred and fifty-two) business days, and truncated to eight decimal places.

§ 3º The institution classified in Segment 1 (S1), in accordance with Resolution No. 4.553, of 2017, must adopt the SA-CCR Approach, in the manner established in Annex I of this Resolution.

§ 4º The institution classified in S2, S3, or S4 must adopt the CEM Approach, in the manner established in Annex II of this Resolution, with the option to use the SA-CCR Approach.

§ 5º Once the option referred to in § 4º is exercised, the use of the SA-CCR Approach must be maintained for at least 2 (two) consecutive fiscal years.

§ 6º In the case of § 4º, both the adoption of the SA-CCR Approach and the return to the use of the CEM Approach must:

I - be communicated to the Central Bank of Brazil with a minimum advance notice of 3 (three) months relative to, respectively, the start and end of their use; and

II - be used in the fiscal year immediately following the formalization of the communication.

§ 7º The Central Bank of Brazil may determine that an institution classified in S2, S3, or S4 use the SA-CCR Approach or the CEM Approach, considering:

I - the adequacy of the institution's risk management structure to transactions with financial derivative instruments; and

II - the relevance of these instruments:

a) in its business model;

b) in its operating revenue; or

c) in the amount of derivatives traded in the over-the-counter market or with a central counterparty.

Section VI Exposures Related to Intermediation, Clearing, or Settlement of Transactions Carried Out on Behalf of a Client to be Settled with a Central Counterparty

Art. 12. The value of the exposure related to counterparty credit risk, referred to in Art. 4º, § 7º, items I and II, in a repo transaction or lending of securities and financial instruments, carried out on behalf of a client, with intermediation, clearing, or settlement carried out in a clearinghouse or service provider for these services, in which an entity interposes itself as a central counterparty must correspond:

I - to the market value of the transaction, in the case of purchase with commitment to resell; and

II - to the market value of the asset object, in the case of sale with commitment to repurchase and lending of securities and financial instruments.

Sole Paragraph. Observing the provisions of Circular No. 3.809, of 2016, the asset delivered or made available by the client as collateral for the transaction mentioned in the caput is recognized as financial collateral in both exposures mentioned in Art. 4º, § 7º, items I and II.

Art. 13. The value of the exposure related to counterparty credit risk, referred to in Art. 4º, § 7º, items I and II, in a transaction with a financial derivative instrument, carried out on behalf of a client, with intermediation, clearing, or settlement carried out in a clearinghouse or service provider for these services, in which an entity interposes itself as a central counterparty, must correspond to the value calculated in accordance with Art. 11, as if the transaction were held by the institution itself.

Sole Paragraph. Observing the provisions of Circular No. 3.809, of 2016, the asset made available by the client as collateral for the transaction mentioned in the caput is recognized as financial collateral in both exposures mentioned in Art. 4º, § 7º, items I and II.

Art. 14. For institutions classified in S2, S3, or S4, the use of information provided by a QCCP, as defined in Art. 67, § 1º, when located in Brazil, is optional for calculating the exposure value mentioned in Arts. 12 and 13.

§ 1º For the purposes of the provision in the caput, the calculation of a single consolidated value per client is admitted.

§ 2º Observing the provisions of Circular No. 3.809, of 2016, the asset made available by the client as collateral for the transaction mentioned in the caput is recognized as financial collateral, provided that this instrument is included in the information provided by the QCCP.

Art. 15. The value of the exposure related to counterparty credit risk arising from assets made available by the client, referred to in Art. 4º, item VIII, must correspond to the market value of the asset.

Section VII Investment Funds

Art. 16. The value of the exposure related to investment in investment fund shares must correspond to the total value of the fund's exposures, in proportion to the institution's participation in the fund's net equity, with the fund's exposures being identified in the manner of Art. 17 or, when not possible, inferred in the manner of Art. 18.

Sole Paragraph. If it is not possible to apply the treatment provided in the caput, the value of the exposure related to investment in investment fund shares must correspond to the book value of the acquired shares and will be subject to the treatment established in Art. 59, item II.

Art. 17. The exposures of the investment fund must be identified and treated as if they were held by the institution, in accordance with this Resolution.

§ 1º An exposure is considered identified when there is sufficient information to determine the appropriate Risk Weighting Factor (FPR) in accordance with Title III of this Resolution.

§ 2º For the identification of the investment fund's exposures, the latest available information published with a delay of up to 30 (thirty) calendar days from the base date for calculating the RWACPAD portion must be used.

§ 3º The use of information with a delay of up to 90 (ninety) calendar days from the base date for calculating the RWACPAD portion is permitted for the identification of the fund's exposures, if the investment fund has positions or transactions that could be harmed by their disclosure, as defined by the Securities and Exchange Commission (CVM), or the equivalent authority abroad.

§ 4º If the fund carries out transactions with financial derivative instruments, the value of the exposure to counterparty credit risk associated with these instruments must be calculated in accordance with the provisions of Art. 11.

§ 5º If it is verified that it is impossible to determine the replacement value in a transaction with a financial derivative instrument included in the fund's portfolio, for the application of the provisions of Art. 11, the following provisions must be observed:

I - the replacement value must correspond to the sum of the notional values of the derivatives associated with each clearing set, in the case of the institution using the SA-CCR Approach, in the manner established in Annex I of this Resolution; or

II - the replacement value must correspond to the notional value of the derivative, in the case of the institution using the CEM Approach, in the manner established in Annex II of this Resolution.

§ 6º If it is verified that it is impossible to determine the value corresponding to the future potential gain in a transaction with a financial derivative instrument included in the fund's portfolio, for the application of the provisions of Art. 11, the following provisions must be observed:

I - the future potential gain value must correspond to the sum of the notional values of the derivatives associated with each clearing set multiplied by 15% (fifteen percent), in the case of using the SA-CCR Approach, in the manner established in Annex I of this Resolution; and

II - the Future Exposure Potential Factor must correspond to 15% (fifteen percent), in the case of using the CEM Approach, in the manner established in Annex II of this Resolution.

§ 7º The value of the respective exposures must be multiplied by 120% (one hundred and twenty percent) if, for the identification or measurement of the investment fund's exposures, the institution uses information that is not:

I - public domain; or

II - made available by the fund administrator and kept at the disposal of the Central Bank of Brazil.

§ 8º If the institution does not identify the entirety of the investment fund's exposures, the value of the unidentified portion will correspond to the value of the fund's assets minus the amount identified in the manner of this article and will be subject to the treatment established in Art. 59, item II.

Art. 18. If it is not possible to identify the exposures in the manner provided for in Art. 17, the investment fund's exposures must be inferred through the use of information related to the asset portfolio present in the fund's current regulations, considering:

I - the limits of its composition by asset type; and

II - the leverage policy.

~~§ 1º The value of the investment fund's exposure in each asset type provided for in the regulations (Ei) must correspond to the result of the following formula:~~

~~~~Ei = AF X (1 + leverage) X i, where:~~~~

§ 1º The value of the investment fund's exposure in each asset type provided for in the regulations or applicable regulation (Ei) must correspond to the result of the following formula:

Ei = NE X leverage X i, where: (Redacted, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

~~I - AF corresponds to the total value of the fund's asset portfolio;~~

I - NE corresponds to the total value of the fund's net equity; (Redacted, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

~~II - “leverage” corresponds to the maximum leverage limit of the fund's portfolio; and~~

II - “leverage” corresponds to the maximum limit of the ratio between total assets and fund net equity, as provided for in the regulations or applicable regulation; and (Redacted, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

~~III - i corresponds to the maximum percentage of investment in each asset type, as provided for in the regulations.~~

III - i corresponds to the maximum percentage of investment in each asset type, as provided for in the regulations or applicable regulation. (Redacted, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

§ 2º If the sum of the maximum percentages referred to in § 1º, item III, is greater than 100% (one hundred percent), the asset types provided for in the regulations associated with the lowest FPRs must be disregarded, partially or entirely, successively, until the sum reaches 100% (one hundred percent).

§ 2º If the sum of the maximum percentages referred to in § 1º, item III, is greater than 100% (one hundred percent), the asset types provided for in the regulations or applicable regulation associated with the lowest FPRs must be disregarded, partially or entirely, successively, until the sum of the percentage of the remaining assets reaches 100% (one hundred percent). (Redacted, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

§ 3º If the fund's regulations authorize the carrying out of transactions with financial derivative instruments, the provisions of §§ 4º to 6º of Art. 17 must be observed, considering that the respective notional value corresponds to the value of the fund's asset portfolio multiplied by the maximum leverage limit provided for in the regulations.

§ 3º If the fund's regulations or applicable regulation authorize the carrying out of transactions with financial derivative instruments, the provisions of §§ 4º to 6º of Art. 17 must be observed, considering that the respective notional value corresponds to the value of the fund's asset portfolio multiplied by the maximum leverage limit provided for in the regulations or applicable regulation. (Redacted, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

§ 4º If the institution is unable to infer a portion of the fund's exposures, including due to the prohibition provided for in § 5º, its respective value will correspond to the remaining value of the fund's asset portfolio, multiplied by the maximum leverage limit provided for in the regulations, and will be subject to the treatment established in Art. 59, item II.

§ 4º If the institution is unable to infer a portion of the fund's exposures, including due to the prohibition provided for in § 5º, its respective value will correspond to the remaining value of the fund's asset portfolio, multiplied by the maximum leverage limit provided for in the regulations or applicable regulation, and will be subject to the treatment established in Art. 59, item II. (Redacted, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

§ 5º It is prohibited to infer the exposure of an investment fund whose share was acquired through another investment fund whose share, equally, was acquired through investment by the institution in an investment fund share.

§ 6º If the fund's current regulations do not provide for a maximum leverage limit, the value of the exposure related to investment in investment fund shares must correspond to the book value of the acquired shares and will be subject to the treatment established in Art. 59, item II.

§ 6º If there is no provision for a maximum leverage limit in the regulations or applicable regulation, the value of the exposure related to investment in investment fund shares must correspond to the book value of the acquired shares and will be subject to the treatment established in Art. 59, item II. (Redacted, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

Section VIII Exposures to Securitization Processes

Art. 19. For securitization processes, the following definitions must be used, when applicable:

I - traditional securitization is the process in which the cash flow associated with a set of underlying assets is used to remunerate securitization titles structured in, at least, two classes of payment prioritization, in which there is the transfer of the underlying assets;

II - synthetic securitization is the process in which the cash flow associated with a set of underlying assets is used to remunerate securitization titles structured in, at least, two classes of payment prioritization, in which the credit risk related to the underlying assets is transferred through a credit derivative or any other instrument that allows such transfer;

III - underlying assets are the credit rights, securities, or financial instruments, including credit derivatives, that serve as collateral for the securitization process;

IV - underlying assets in default are those for which at least one of the events referred to in Art. 24 of Resolution No. 4.557, of 2017, is verified, and in the corresponding regulation applicable to the Type 3 prudential conglomerate;

IV - underlying assets in default are those for which at least one of the events referred to in Art. 24 of Resolution No. 4.557, of February 23, 2017, and Art. 22 of Resolution BCB No. 265, of November 25, 2022, is verified, as applicable; (Redacted, effective 1/1/2025, by Resolution BCB No. 447, of 12/19/2024.)

V - securitization title is the security or financial instrument, including credit derivative, whose remuneration is associated with the cash flow of the underlying assets;

VI - implicit support is the assumption of any non-contractual obligation, with the objective of covering losses of investors in securitization titles;

VII - senior class is the class of securitization titles that presents the highest payment priority in the same issuance, compared to the other classes; and

VIII - re-securitization is the securitization process whose underlying assets include securitization titles.

§ 1º Exposures to processes structured in only one class of payment prioritization must be calculated as exposures to investment funds.

§ 2º Exposures to senior securitization tranches may be treated as exposures to investment funds.

§ 3º In transactions involving securitization titles issued by a special purpose entity (SPE), all assets of the SPE associated with the securitization process, including any reserve fund, must be considered among the underlying assets.

Art. 20. In securitization processes where the institution provides implicit support, exposures associated with securitization tranches benefiting from such support must be considered as if they were fully held by the institution.

Section IX — Exposures Not Recorded on the Balance Sheet

Art. 21. The value of each exposure mentioned in Art. 4, items IV, V, VI, and X, must be determined by multiplying the sum of their respective future contractual disbursements, minus any values already recorded as assets of the institution, by the corresponding Credit Conversion Factor (CCF).

Art. 21. The value of each exposure mentioned in Art. 4, items IV, V, VI, X, and XI, must be determined by multiplying the sum of their respective future contractual disbursements, minus any values already recorded as assets of the institution, by the corresponding Credit Conversion Factor (CCF). (Amended, effective July 1, 2023, by BCB Resolution No. 323, of June 14, 2023.)

§ 1º In the event that it is not possible to determine the maximum limit of future contractual disbursements, the value considered in the sum referred to in the main text must be calculated:

I - in accordance with Art. 11, in the case of an operation linked to a financial derivative instrument;

II - in accordance with Arts. 16, 17, and 18, in the case of an operation linked to an investment fund;

III - in accordance with Arts. 19 and 20, in the case of an operation linked to securitization processes; and

IV - according to the principles established in this Resolution for a direct exposure to the object linked to the contract, in other cases.

§ 2º A CCF of 10% (ten percent) must be applied to the credit limit:

I - cancellable unconditionally and unilaterally by the institution, without prior notice to the interested party; or

II - unilaterally by the institution due to deterioration of the borrower's credit risk profile, according to criteria defined in the institution's credit risk management policy, under Resolution No. 4.557, of 2017, and the corresponding regulation applicable to the Type 3 prudential conglomerate.

II - unilaterally by the institution due to deterioration of the borrower's credit risk profile, according to criteria defined in the institution's credit risk management policy, under Resolution No. 4.557, of February 23, 2017, and BCB Resolution No. 265, of November 25, 2022, as applicable. (Amended, effective January 1, 2025, by BCB Resolution No. 447, of December 19, 2024.)

§ 3º A CCF of 20% (twenty percent) must be applied to the operation linked to international trade of goods, in which the shipment of goods is associated with a payment guarantee for the operation, with an original maturity of up to 1 (one) year.

§ 4º A CCF of 40% (forty percent) must be applied to the credit limit:

~~I - cancellable due to any condition not specified in § 2, item II; or~~

I - cancellable due to any condition not specified in § 2, item II; (Amended, effective July 1, 2023, by BCB Resolution No. 323, of June 14, 2023.)

~~II - non-cancellable.~~

II - cancellable, when, for any reason, the institution is not effectively able to cancel it; or (Amended, effective July 1, 2023, by BCB Resolution No. 323, of June 14, 2023.)

III - non-cancellable. (Added, effective July 1, 2023, by BCB Resolution No. 323, of June 14, 2023.)

§ 5º A CCF of 50% (fifty percent) must be applied to the operation relating to:

I - bid bonds and participation in auctions;

II - performance bonds, including clauses of perfect functioning and compliance with service levels;

III - guarantee of supply of goods;

IV - guarantee of distribution of securities in primary and secondary markets, through public offering, under specific regulation; and

V - suretyship or guarantee provided in fiscal, judicial, or administrative proceedings.

§ 6º A CCF of 100% (one hundred percent) must be applied to the exposure relating to:

I - suretyship guarantee, when no specific CCF is established;

II - credit to be released within 360 (three hundred and sixty) calendar days;

III - asset, including investment fund shares, that the institution has committed to acquire; and

IV - asset or right delivered or made available by the institution to a third party, including due to the need to constitute a guarantee, under Art. 4, item X, except if:

a) related to a repurchase agreement and securities lending or borrowing; or

b) granted as collateral for a transaction with a financial derivative instrument included in the institution's own portfolio, in the case of using the SA-CCR approach.

§ 7º The provision in item IV of § 6 does not eliminate the exposure related to the asset or right registered as an asset of the institution.

§ 8º In calculating the value of the exposure related to the suretyship guarantee associated with an operation not recorded on the Balance Sheet, the lowest CCF applicable to the guarantee or to the guaranteed operation must be applied to the value of the guarantee.

Art. 21-A. The value of the exposure mentioned in Art. 4, main text, item XII, must correspond to the value established by Art. 4, main text, item I, letter “i”, and §§ 8 and 9, of CMN Resolution No. 4.955, of October 21, 2021, and by Art. 3, main text, item I, letter “i”, and §§ 8 and 9, of BCB Resolution No. 199, of March 11, 2022, as applicable. (Added, effective January 31, 2025, by BCB Resolution No. 452, of January 21, 2025.)

TITLE
III
OF
RISK WEIGHTING APPLICABLE TO EXPOSURES

CHAPTER I
GENERAL PROVISIONS

Art. 22. In applying the Risk Weighting Factor (RWF) to exposures considered in the calculation of the RWACPAD portion, the following general provisions must be met:

I - for an exposure for which there is no specific determination, under this Resolution, an RWF of 100% (one hundred percent) must be applied;

II - an exposure characterized as a non-performing asset, under Resolution No. 4.557, of 2017, and the corresponding regulation applicable to the Type 3 prudential conglomerate, regardless of the counterparty or type of operation, must be weighted as provided in Art. 66;

II - an exposure characterized as a non-performing asset, under Resolution No. 4.557, of February 23, 2017, and BCB Resolution No. 265, of November 25, 2022, as applicable, regardless of the counterparty or type of operation, must be weighted as provided in Art. 66 or according to a specific provision of this Resolution, whichever is higher; (Amended, effective January 2, 2025, by BCB Resolution No. 438, of November 28, 2024.)

III - an exposure to a non-financial private legal entity, not secured by real estate, subject to the provisions of items II and V of this article, must be classified in the following order:

a) retail exposure, if the requirements established in Art. 46 are met; or

b) exposure to a non-financial private legal entity, if the requirements established in Arts. 35, 36, and 41 are met;

IV - an exposure secured by real estate, regardless of the counterparty and subject to the provision of item II of this article, must be weighted according to Arts. 49 to 54, even if it results in an RWF higher than that applicable without recognition of said collateral;

V - an exposure relating to a non-financial private legal entity must be weighted according to Arts. 37 to 40, when the concepts of specialized financing defined in said articles are met; and

VI - external credit assessment, when provided for determining the applicable RWF, must be:

a) issued by a credit rating agency registered or recognized in Brazil by the CVM;

b) the issuer rating, updated, for securities, if available; and

c) the one with the highest degree of risk, if more than one is available, observing the precedence of letter “b”.

§ 1º If the estimation of expected losses associated with credit risk, as defined by Resolution No. 4.557, of 2017, and the corresponding regulation applicable to the Type 3 prudential conglomerate, indicates that the external credit rating granted is not compatible with the risk of the exposure, the rating referred to in item VI must have its degree of risk upgraded, within the respective scale, to reflect the estimation performed.

§ 1º If the estimation of expected losses associated with credit risk, as defined by Resolution No. 4.557, of February 23, 2017, and BCB Resolution No. 265, of November 25, 2022, as applicable, indicates that the external credit rating granted is not compatible with the risk of the exposure, the rating referred to in item VI of the main text must have its degree of risk upgraded, within the respective scale, to reflect the estimation performed. (Amended, effective January 1, 2025, by BCB Resolution No. 447, of December 19, 2024.)

§ 2º For institutions classified in S2, S3, or S4, the application of the RWF referred to in item I of the main text to an exposure for which a specific RWF is established is optional, provided that:

I - it has not been characterized as a non-performing asset; and

II - the possibility of applying an RWF higher than that provided in item I of the main text is not provided for.

§ 3º The following are considered as a single counterparty:

I - entities forming part of the same prudential conglomerate, in accordance with specific regulation, for the purposes of Arts. 29 to 33, excluding investment funds and entities associated with securitization processes;

II - non-financial private legal entities that are connected counterparties through a control relationship, under Art. 22, § 2, of Resolution No. 4.557, of 2017, and the corresponding regulation applicable to the Type 3 prudential conglomerate; and

II - non-financial private legal entities that are connected counterparties through a control relationship, under Art. 22, § 2, of Resolution No. 4.557, of February 23, 2017, and Art. 20, § 2, of BCB Resolution No. 265, of November 25, 2022, as applicable; and (Amended, effective January 1, 2025, by BCB Resolution No. 447, of December 19, 2024.)

III - natural and legal persons, classified under the retail exposure criteria, under Art. 46, considered connected counterparties, under Art. 22 of Resolution No. 4.557, of 2017, and the corresponding regulation applicable to the Type 3 prudential conglomerate.

III - natural and legal persons, classified under the retail exposure criteria, under Art. 46, considered connected counterparties, under Art. 22 of Resolution No. 4.557, of February 23, 2017, and Art. 20 of BCB Resolution No. 265, of 2022, as applicable. (Amended, effective January 1, 2025, by BCB Resolution No. 447, of December 19, 2024.)

§ 4º When the use of public domain information is provided for determining the RWF under this Resolution, the use of information up to 120 (one hundred and twenty) calendar days old from the date to which the information refers is permitted.

CHAPTER II
RWF APPLIED TO EXPOSURES TO SOVEREIGNS AND THEIR CURRENCIES

Art. 23. An RWF of 0% (zero percent) must be applied to exposures:

I - to the Union and to the Central Bank of Brazil;

II - to cash holdings in Brazilian reais; and

III - to presumptive credits, under Laws No. 12.838, of July 9, 2013, and No. 14.257, of December 1, 2021, or Provisional Measure No. 992, of July 16, 2020.

Art. 24. Exposures relating to:

I - transactions with central governments of foreign jurisdictions and their respective central banks, as well as securities issued by them, denominated in the local currency of the jurisdiction; and

II - cash holdings in the local currency of the jurisdiction, as well as exposures to an asset represented by said currency,

may receive the RWF applied by the regulatory authority of the foreign jurisdiction, regardless of their external credit rating.

Sole Paragraph. The treatment provided in the main text may only be applied if the following conditions are met:

I - the institution's funding is carried out in the local currency of the jurisdiction and in an amount compatible with the exposures cited in the main text; and

II - the exposures are recorded on the balance sheet of the subsidiary located in the same jurisdiction.

Art. 25. The following RWFs must be applied to exposures to central governments of foreign jurisdictions and their respective central banks, according to their respective external credit rating:

I - 0% (zero percent), for a rating equal to or higher than AA- or equivalent;

II - 20% (twenty percent), for a rating equal to or higher than A- and lower than AA- or equivalent;

III - 50% (fifty percent), for a rating equal to or higher than BBB- and lower than A- or equivalent;

IV - 100% (one hundred percent), for a rating equal to or higher than B- and lower than BBB- or equivalent, or when there is no rating;

V - 150% (one hundred and fifty percent), for a rating lower than B- or equivalent.

Sole Paragraph. The provisions of the main text apply to exposures relating to cash holdings in foreign currencies issued in the respective jurisdictions, as well as exposures to an asset represented by said foreign currencies, according to the rating of the sovereign entity of the jurisdiction.

Art. 26. The RWF applicable to exposures relating to cash holdings, under Arts. 23 to 25, cannot be lower than 20% (twenty percent), if the cash holdings were not in the direct possession of the institution.

Sole Paragraph. The provision in the main text does not apply to exposures to cash holdings under the custody of an entity whose liquidation, bankruptcy, or similar proceeding does not impose restrictions on the transfer of funds to the direct possession of the institution.

CHAPTER III
RWF APPLIED TO EXPOSURES TO MULTILATERAL ORGANIZATIONS AND MULTILATERAL DEVELOPMENT ENTITIES

Art. 27. An RWF of 0% (zero percent) must be applied to exposures to the following multilateral organizations and Multilateral Development Entities (MDEs):

I - World Bank Group, comprising the International Bank for Reconstruction and Development (IBRD), the International Finance Corporation (IFC), the Multilateral Investment Guarantee Agency (MIGA), and the International Development Association (IDA);

II - Inter-American Development Bank (IDB);

III - African Development Bank (AfDB);

IV - Asian Development Bank (ADB);

V - European Bank for Reconstruction and Development (EBRD);

VI - European Investment Bank (EIB);

VII - European Investment Fund (EIF);

VIII - Nordic Investment Bank (NIB);

IX - Caribbean Development Bank (CDB);

X - Islamic Development Bank (IsDB);

XI - Council of Europe Development Bank (CEB);

XII - Bank for International Settlements (BIS);

XIII - International Monetary Fund (IMF);

XIV - International Finance Facility for Immunization (IFFIm);

XV - Asian Infrastructure Investment Bank (AIIB);

XVI - European Central Bank (ECB);

XVII - European Union (EU);

XVIII - European Stability Mechanism (ESM); and

XIX - European Financial Stability Facility (EFSF).

Art. 28. The following RWF must be applied to an exposure to an MDE not mentioned in Art. 27, according to its respective external credit rating:

I - 20% (twenty percent), for a rating equal to or higher than AA- or equivalent;

II - 30% (thirty percent), for a rating equal to or higher than A- and lower than AA- or equivalent;

III - 50% (fifty percent), for a rating equal to or higher than BBB- and lower than A- or equivalent, or when there is no rating;

IV - 100% (one hundred percent), for a rating equal to or higher than B- and lower than BBB- or equivalent; and

V - 150% (one hundred and fifty percent), for a rating lower than B- or equivalent.

Sole Paragraph. For the purposes of this Resolution, an MDE is considered to be an institution constituted by a group of jurisdictions or international organizations, legally and operationally independent from its founders, with the objective of providing financial or professional advisory for the development of economic or social projects.

CHAPTER IV
RWF APPLIED TO EXPOSURES TO FINANCIAL INSTITUTIONS AND OTHER SPECIFIED INSTITUTIONS

Section I — Classification into Risk Categories

Art. 29. For the purposes of calculating the RWACPAD portion, the following must be classified into risk categories A, B, or C:

~~I - financial institutions and other institutions authorized to operate by the Central Bank of Brazil; and~~

I - financial institutions and other institutions authorized to operate by the Central Bank of Brazil subject to the regulations listed in Art. 30; (Amended, effective July 1, 2023, by BCB Resolution No. 323, of June 14, 2023.)

II - financial institutions located abroad with which consolidated financial statements are not prepared, under Cosif;

III - clearing houses or clearing and settlement service providers, under Law No. 10.214, of March 27, 2001, considered systemically important under specific regulation; and

IV - entities operating financial market infrastructures located abroad and subject to regulation consistent with the principles established by the Committee on Payments and Market Infrastructures (CPMI) and the International Organization of Securities Commissions (IOSCO).

Sole Paragraph. The classification of the institutions mentioned in the main text, as well as the application of their respective RWFs, under Art. 33, must be aligned with the institution's risk management structure, as defined by Resolution No. 4.557, of 2017, and the corresponding regulation applicable to the Type 3 prudential conglomerate, including with regard to documentation and credit risk management procedures.

Sole Paragraph. The classification of the institutions mentioned in the main text, as well as the application of their respective RWFs, under Art. 33, must be aligned with the institution's risk management structure, as defined by Resolution No. 4.557, of February 23, 2017, and BCB Resolution No. 265, of November 25, 2022, as applicable, including with regard to documentation and credit risk management procedures. (Amended, effective January 1, 2025, by BCB Resolution No. 447, of December 19, 2024.)

Art. 30. The institution mentioned in Art. 29 must be classified in risk category A if it meets the minimum requirements and the Common Equity Tier 1 Capital Add-on, when applicable, under the following normative acts or, in the case of item II of Art. 29, their equivalents abroad:

I - CMN Resolution No. 4.958, of 2021, when applicable to the counterparty;

II - Resolution No. 4.606, of October 19, 2017, when applicable to the counterparty;

III - Resolution No. 4.615, of November 30, 2017, when applicable to the counterparty;

~~IV - Circular No. 3.681, of November 4, 2013, when applicable to the counterparty; and~~

IV - BCB Resolution No. 198, of March 11, 2022; (Amended, effective July 1, 2023, by BCB Resolution No. 323, of June 14, 2023.)

~~V - BCB Resolution No. 200, of 2022.~~

V - BCB Resolution No. 200, of 2022; and (Amended, effective July 1, 2023, by BCB Resolution No. 323, of June 14, 2023.)

VI - BCB Resolution No. 201, of March 11, 2022. (Added, effective July 1, 2023, by BCB Resolution No. 323, of June 14, 2023.)

§ 1º In the absence of publicly available information regarding the minimum requirements and Common Equity Tier 1 Capital Add-on provided for in the main text, the counterparty must be classified in risk category C.

§ 1º In the absence of publicly available information within sixty days after the base dates of March 31, June 30, and September 30, or within ninety days after the base date of December 31: (Amended, effective July 1, 2023, by BCB Resolution No. 323, of June 14, 2023.)

I - regarding compliance with the minimum requirements provided for in the main text, the institution must be classified in risk category C; or (Added, effective July 1, 2023, by BCB Resolution No. 323, of June 14, 2023.)

II - regarding compliance with the Additional Core Capital provided in the caput, the institution must be classified in risk category B, provided it meets the minimum requirements. (Included, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

§ 2º The provisions of the caput do not include any additional requirements applicable individually to the counterparty that are not publicly available.

§ 3º The entities mentioned in items III and IV of art. 29 considered as QCCP are classified in risk category A.

§ 4º In the case of financial institutions headquartered abroad, information provided by the counterparty may be considered, even if not publicly available. (Included, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

§ 5º An institution that becomes subject to the regulation listed in this article may be classified in risk category A until the first deadline referred to in § 1º has elapsed. (Included, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

Art. 31. The institution mentioned in art. 29 that satisfies the conditions mentioned in art. 30, but does not comply with the Additional Core Capital, or its equivalent abroad, must be classified in risk category B.

~~§ 1º In the absence of publicly available information regarding the minimum requirements provided in the caput of art. 30, the counterparty must be classified in risk category C.~~

§ 1º (Revoked, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

§ 2º The provisions of the caput do not include any additional requirements applicable individually to the counterparty that are not publicly available.

§ 3º If the counterparty is not subject to compliance with the Additional Core Capital, or its equivalent abroad, in accordance with current regulation, classification in risk category B is prohibited.

Art. 32. The institution mentioned in art. 29 that is not in the other risk categories or that presents high credit risk must be classified in risk category C.

§ 1º Without prejudice to the adoption of the processes and procedures provided for in Resolution No. 4.557, of 2017, and the corresponding regulation applicable to the prudential conglomerate Type 3, the following events imply high credit risk:

§ 1º Without prejudice to the adoption of the processes and procedures provided for in Resolution No. 4.557, of February 23, 2017, and Resolution BCB No. 265, of November 25, 2022, as applicable, the following events imply high credit risk: (Wording given, effective 1/1/2025, by Resolution BCB No. 447, of 12/19/2024.)

I - non-compliance with the minimum requirements listed in the caput of art. 30, observing the provisions of §§ 1º and 2º of that article; and

II - existence of a report by an independent auditor contained in financial statements for the most recent available reporting period in which there has been an adverse opinion or substantial doubt regarding the counterparty's operational continuity.

§ 2º The entities mentioned in items III and IV of art. 29 not considered as QCCP are classified in risk category C.

Section IID of the RPFs Applicable to Risk Categories

~~Art. 33. The following RPF must be applied to the exposure to the institution mentioned in art. 29:~~

Art. 33. The following RPF must be applied to the exposure to the institution mentioned in art. 29, except if related to corporate equity holdings or subordinated debt instruments: (Wording given, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

I - if classified in risk category A:

a) 20% (twenty percent), in the case of an operation with an original maturity of 90 (ninety) calendar days or less; and

b) 40% (forty percent), in other cases;

II - if classified in risk category B:

a) 50% (fifty percent), for an operation with an original maturity of 90 (ninety) calendar days or less; and

b) 75% (seventy-five percent), in other cases; and

III - if classified in risk category C, 150% (one hundred and fifty percent).

§ 1º The RPF referred to in item I, subsection “b”, of the caput, may be 30% (thirty percent), provided that the following indicators of the counterparty are simultaneously equal to or greater than:

I - 14% (fourteen percent), in the case of the Core Capital ratio; and

II - 5% (five percent), in the case of the Leverage Ratio (LR).

§ 2º The RPF provided in § 1º may be applied when the counterparty headquartered abroad, in accordance with item II of art. 29, has equivalent indicators that meet the requirements set forth in that paragraph.

§ 3º An RPF of 20% (twenty percent) must be applied for exposure to an institution classified in risk category A, or an RPF of 50% (fifty percent) for exposure to an institution classified in risk category B, related to:

I - an operation linked to international trade of goods, in which the shipment of goods is associated with a payment guarantee for the operation, with an original maturity of up to 1 (one) year; and

II - a right representative of an operation carried out by a singular cooperative, central cooperative, confederation, or cooperative bank that has as a counterparty an institution part of the same cooperative system, except if related to investment in corporate equity.

§ 4º For exposure resulting from a bilateral agreement for compensation and settlement of obligations, in accordance with Circular No. 3.809, of 2016, the following must be applied:

I - 30% (thirty percent), for a counterparty classified in risk category A, meeting the provisions of §§ 1º and 2º;

II - 40% (forty percent), for a counterparty classified in risk category A; and

III - 75% (seventy-five percent), for a counterparty classified in risk category B.

§ 5º The RPF applicable to the exposure mentioned in the caput must not be lower than the RPF applicable to the central government of the jurisdiction where the obligation is registered when it is denominated or indexed in a currency different from the local currency of the jurisdiction.

§ 6º The provisions of § 5º do not apply to exposure related to an operation linked to international trade of goods, in which the shipment of goods is associated with a payment guarantee for the operation, with an original maturity of up to 1 (one) year.

CHAPTER V
OF THE RPF APPLIED TO EXPOSURES TO BONDS WITH SPECIFIC CHARACTERISTICS (COVERED BONDS)

Art. 34. The RPF established in this article must be applied to exposure related to a bond that permanently meets the requirements listed below:

I - when in Brazil, issued by a multiple bank, commercial bank, investment bank, credit, financing and investment company, savings bank, mortgage company, or savings and loan association;

II - when abroad, issued by a bank or entity that conducts real estate credit;

III - be legally subject to specific regulation intended to protect its holders;

IV - have as underlying assets only:

a) exposures to:

Union, including the Central Bank of Brazil;
central government of a foreign jurisdiction, including its respective central bank;
national or foreign government entity of non-central scope; or
EMDs, as treated in arts. 27 and 28;

b) exposures guaranteed by the entities mentioned in items 1 to 4 of subsection “a”;

c) exposures related to residential real estate financing in which the outstanding balance of each financing is less than or equal to 80% (eighty percent) of the most recent appraisal value of the collateral;

d) exposures related to non-residential real estate financing in which the outstanding balance of each financing is less than or equal to 60% (sixty percent) of the most recent appraisal value of the collateral;

e) financial derivative instruments, exclusively for hedge purposes, in accordance with the specific regulation applicable to these bonds; or

f) financial resources derived from the assets comprising the asset portfolio;

V - the total value of the underlying assets of the respective bond exceeds, demonstrably, by at least 10% (ten percent) of the total value of the bond guaranteed by them;

VI - the rights associated with the bond are fully covered by the underlying assets, in accordance with the specific regulation for these bonds; and

VII - in the event of discontinuation of the issuing institution, the underlying assets of the bond are primarily used to pay its charges and amortization.

§ 1º The following RPF must be applied to the exposure mentioned in the caput:

I - in the case of an issuing institution classified in risk category A, as treated in art. 30:

a) 15% (fifteen percent), if the indicators applicable to the issuer meet the provisions of §§ 1º and 2º of art. 33;

b) 20% (twenty percent), if the provisions of §§ 1º and 2º of art. 33 are not met;

II - in the case of an issuing institution classified in risk category B, as treated in art. 31, 35% (thirty-five percent); or

III - in the case of an issuing institution classified in risk category C, as treated in art. 32, 100% (one hundred percent).

§ 2º Instruments that do not meet the provisions of the caput are subject to the provisions of art. 33.

CHAPTER VI
OF THE RPF APPLIED TO EXPOSURES TO NON-FINANCIAL LEGAL ENTITIES

Section I of the RPF Applied to Exposures to Large-Scale Non-Financial Legal Entities with Low Credit Risk

Art. 35. An RPF of 65% (sixty-five percent) must be applied to exposures to a large-scale non-financial private legal entity that presents low credit risk.

§ 1º For the purposes of the caput, a large-scale non-financial private legal entity that presents low credit risk is one that cumulatively meets the following requirements:

~~I - financial statements for the most recent available reporting period, audited by an independent auditor registered with the CVM or an equivalent authority abroad;~~

I - disclose financial statements for the most recent available reporting period, audited by an independent auditor registered with the CVM or an equivalent authority abroad; (Wording given, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

II - total assets greater than R$240,000,000.00 (two hundred and forty million reais) or annual gross revenue greater than R$300,000,000.00 (three hundred million reais) in the most recent available social year;

II - hold total assets greater than R$240,000,000.00 (two hundred and forty million reais) or annual gross revenue greater than R$300,000,000.00 (three hundred million reais) in the most recent available social year; (Wording given, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

III - no exposure characterized as a problematic asset in the institution, in accordance with Resolution No. 4.557, of 2017, and the corresponding regulation applicable to the prudential conglomerate Type 3; and

III - not be a counterparty in an exposure characterized as a problematic asset in the institution, in accordance with Resolution No. 4.557, of 2017, and the corresponding regulation applicable to the prudential conglomerate Type 3; and~~(Wording given, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)~~

III - not be a counterparty in an exposure characterized as a problematic asset in the institution, in accordance with Resolution No. 4.557, of February 23, 2017, and Resolution BCB No. 265, of November 25, 2022, as applicable; and (Wording given, effective 1/1/2025, by Resolution BCB No. 447, of 12/19/2024.)

~~IV - have a default index (DI) in the Central Bank's Credit Information System (SCR) less than or equal to 0.05% (five hundredths of a percent), measured according to the following formula:~~

IV - have a default index (DI) in the Central Bank's Credit Information System (SCR) less than or equal to 0.05% (five hundredths of a percent), measured according to the following formula: (Wording given, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

a) CV>14 = overdue credits in the active portfolio for more than 14 (fourteen) calendar days;

b) CB48 = credits written off as losses for up to 48 (forty-eight) months; and

c) CA = active portfolio; and

~~V - have its shares or own-issued securities traded on a stock exchange or organized over-the-counter market subject to government regulation and supervision, in Brazil or abroad.~~

V - have its shares or own-issued securities listed on a stock exchange or registered in an organized over-the-counter market subject to government regulation and supervision, in Brazil or abroad. (Wording given, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

§ 2º The sums mentioned in the formula of item IV of § 1º include the information available in the SCR regarding the 180 (one hundred and eighty) calendar days prior to the month of calculation of the RWACPAD portion.

~~§ 3º For the purposes of meeting the requirement referred to in item V of § 1º, shares or securities issued by an entity that holds control of the counterparty are recognized.~~

§ 3º For the purposes of meeting the requirement referred to in item V of § 1º, the shares or securities: (Wording given, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

I - may be issued by an entity that holds control of the counterparty; and (Included, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

II - must have been the subject of a public offering. (Included, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

§ 4º In the case of the absence of information in the SCR for the calculation of the sums mentioned in the formula of item IV of § 1º, a large-scale non-financial private legal entity that presents low credit risk may be considered one that: (Included, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

I - meets the requirements of items I, II, III, and V of § 1º; and (Included, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

II - presents adequate capacity to fulfill its financial obligations in a timely and robust manner in the face of adverse changes in the economic cycle and in its business environment conditions. (Included, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

Section II of the RPF Applied to Exposures to Small or Medium-Scale Legal Entities

Art. 36. An RPF of 85% (eighty-five percent) must be applied to exposures to a small or medium-scale non-financial private legal entity.

Sole paragraph. For the purposes of the caput, a counterparty is considered a small or medium-scale legal entity, not eligible for the provisions of art. 46, whose total assets are less than R$240,000,000.00 (two hundred and forty million reais) and whose annual gross revenue is less than R$300,000,000.00 (three hundred million reais) in the most recent available social year.

Section III of the RPF Applied to Exposures to Specialized Financing

Art. 37. An RPF of 100% (one hundred percent) must be applied to exposures related to specialized financing classified as specific object financing and commodities financing.

§ 1º For the purposes of the caput, specific object financing is an operation for the acquisition of goods with the following characteristics:

I - the main source of resources for payment of obligations related to the financing consists of the revenues generated by the financed goods themselves and not by the entity sponsoring it;

II - the main guarantee of the operation consists of the financed goods themselves; and

III - the borrower does not have resources to pay off the financing without the revenues generated by the financed goods.

§ 2º For the purposes of the caput, commodities financing is an operation for the acquisition of commodities or receivables linked to commodities, with the following characteristics:

I - the main source of resources for payment of obligations related to the financing consists of the revenue from the sale of the financed commodities or the receivables associated with them, as well as the financial results of the receivables themselves, and not from other revenues generated by the entity acquiring the commodities; and

II - the borrower does not have resources to pay off the financing without the revenue from the sale of the commodities or without the financial results of the receivables associated with them.

Art. 38. An RPF of 130% (one hundred and thirty percent) must be applied to exposures related to specialized financing classified as project financing.

Sole paragraph. For the purposes of the caput, project financing is an operation with the following characteristics:

I - the main source of resources for payment of obligations related to the financing consists of the revenues generated by the financed project itself and not by the entity sponsoring it;

II - the main guarantee of the operation consists of the revenues mentioned in item I; and

III - the borrower does not have resources to pay off the financing without the revenues generated by the financed project itself.

Art. 39. An RPF of 100% (one hundred percent) may be applied to exposure related to project financing, as treated in art. 38, during the operational phase.

Sole paragraph. For the purposes of the caput, a project is considered in the operational phase if:

I - current cash flows within 360 (three hundred and sixty) calendar days are positive and sufficient for the settlement of all contractual obligations to be paid within the same interval;

II - projected cash flows are sufficient for the settlement of all future contractual obligations; and

III - the counterparty's long-term liability is decreasing.

Art. 40. An RPF of 80% (eighty percent) may be applied to exposure related to high-quality project financing, as treated in art. 38, during the operational phase, in accordance with the sole paragraph of art. 39.

Sole paragraph. For the purposes of the caput, a project is of high quality if:

I - the counterparty:

a) has adequate capacity to honor its financial obligations punctually as agreed, according to the credit risk assessment carried out by the institution, during the course of the operation;

b) does not act to the detriment of creditors' interests, including being prohibited from issuing new onerous liabilities without the consent of these; and

~~c) has financial resources, or contracted credit limits, compatible with the projected financial demands of the financed project;~~

c) has financial resources, or contracted credit limits, compatible with the projected financial demands of the financed project; (Wording given, effective 7/1/2023, by Resolution BCB No. 240, of 9/1/2022.)

II - the project's profitability:

a) is contractually established, regardless of the actual use of the service or the supply of the goods resulting from the project; and

b) derives predominantly from an entity whose applicable RPF, in accordance with this Resolution, is equal to or less than 80% (eighty percent);

III - the project's assets and rights constitute collateral in favor of creditors;

IV - the majority investor, or controller, of the counterparty has provided loss protection, to which the requirement mentioned in item II, subsection “b”, equally applies in the event of early termination of the financed project; and

V - the institution, in the event of liquidation, bankruptcy, similar measure, or counterparty default:

~~a) is in a privileged position in the list of creditors; and~~

a) has preference in the list of creditors relative to, at a minimum, unsecured creditors; and (Wording given, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

~~b) has the right to assume control of the project.~~

b) has the right to assume control of the project, including all assets and contracts necessary for its operation. (Wording given, effective 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

Section IV of the RPF Applied to Exposures to Other Non-Financial Legal Entities

Art. 41. An RPF of 100% (one hundred percent) must be applied to exposures to non-financial private legal entities without a specific RPF.

CHAPTER VII
OF THE RPF APPLIED TO INVESTMENTS IN CORPORATE EQUITY OR SUBORDINATED DEBT INSTRUMENTS

Section I of the RPF Applied to Significant Investments in Corporate Equity Not Deducted from Capital Base Calculation

Art. 42. An RPF of 250% (two hundred and fifty percent) must be applied to exposures related to significant investments in corporate equity not deducted in the Capital Base calculation, in accordance with art. 8º, § 8º, of Resolution CMN No. 4.955, of 2021, and art. 7º, § 7º, of Resolution BCB No. 199, of 2022.

Section II of Other Corporate Equity Holdings and Subordinated Debt Instruments

Art. 43. The following RPF must be applied to exposure related to investment in corporate equity:

I - 400% (four hundred percent) for equity participation, or a title convertible therein, in an entity:

a) not listed on a stock exchange subject to government regulation and supervision, in Brazil or abroad; and

b) not operationally integrated into the activity of the investing institution; and

II - 100% (one hundred percent), for equity participation in an entity part of the same cooperative system, when the participation is made by a singular cooperative, central cooperative, confederation, or cooperative bank; and

III - 250% (two hundred and fifty percent), in other cases.

§ 1º For the purposes of the caput, equity participation, direct or indirect, is considered to be an investment in a private law legal entity, with or without voting rights, including through a financial derivative instrument, that:

I - is non-redeemable, offering return only through participation in profits, its sale, or the liquidation of the issuer;

II - does not represent an obligation on the part of the issuer; and

III - represents a residual right over the assets of the issuer.

§ 2º The item I of the caput does not apply to investments in equity participations classified in the Permanent Assets of the investing institution, in accordance with Cosif.

Art. 44. A Risk Weighting Factor (FPR) of 150% (one hundred and fifty percent) must be applied to exposure related to subordinated debt instruments.

Sole paragraph. The provisions of the caput also apply to exposures related to instruments not deducted from the Capital Requirement (PR) calculation that meet the provisions of item V of art. 8 of Resolution CMN No. 4.955, of 2021, or item V of art. 7 of Resolution BCB No. 199, of 2022.

Art. 45. A Risk Weighting Factor (FPR) of 1,250% (one thousand, two hundred and fifty percent) must be applied to the portion of exposure related to significant equity participation in a non-financial private law legal entity that exceeds:

I - individually, 15% (fifteen percent) of the Capital Requirement (PR) of the investing institution; or

II - in aggregate, 60% (sixty percent) of the Capital Requirement (PR) of the investing institution.

§ 1º For the purposes of the provisions of the caput, equity participation is considered significant when the institution holds more than 10% (ten percent) of the share capital of the investee.

§ 2º The treatment provided for in art. 43 must be applied to equity participations in non-financial private law legal entities that do not exceed the limits established in the caput.

CHAPTER VIII
OF THE RISK WEIGHTING FACTOR APPLIED TO RETAIL EXPOSURES

Art. 46. A Risk Weighting Factor (FPR) of 75% (seventy-five percent) must be applied to retail exposure.

§ 1º For the purposes of this Resolution, exposures are considered retail if they have the following characteristics, cumulatively:

I - correspond to a financial product or service intended for a natural person or a small-sized legal entity;

II - do not correspond to operations:

a) secured by real estate;

b) committed;

c) securities lending; and

d) with financial derivative instruments;

III - do not exceed the total limit of R$5,000,000.00 (five million reais) per counterparty; and

IV - present a sum of current exposures with the same counterparty lower than 0.2% (two tenths of a percent) of the amount of retail exposures.

§ 2º For the purposes of verifying the limits referred to in § 1º, items III and IV:

I - the values of all operations with the same counterparty must be considered, applying the Credit Conversion Factor (FCC) and without deducting the respective provisions; and

II - the following must be disregarded:

a) the values of operations secured by residential real estate; and

b) the effects of credit risk mitigation, as provided for in Circular No. 3.809, of 2016.

§ 3º For the purposes of this Resolution, a small-sized legal entity is considered a counterparty with gross annual revenue lower than R$15,000,000.00 (fifteen million reais) in the most recent available fiscal year.

§ 4º In the case of natural and legal persons considered as a single counterparty, in accordance with art. 22, § 3º, item III, the limits provided for classification as retail exposure must be met individually and jointly.

§ 5º The Risk Weighting Factor (FPR) provided for in the caput also applies to exposure where the counterparty is a natural person or a small-sized legal entity in the situations provided for:

I - in art. 52, item II, for exposure secured by completed real estate;

II - in art. 54, item I, for exposure linked to real estate where there is no dependence on the cash flow generated by the real estate for the fulfillment of the financial obligation represented by the exposure.

II - in art. 54, § 1º, item I, for exposure linked to real estate where there is no dependence on the cash flow generated by the real estate for the fulfillment of the financial obligation represented by the exposure. (Amended, effective from 7/1/2023, by Resolution BCB No. 240, of 9/1/2022.)

§ 6º In the case of § 5º, the value of the mentioned exposures remains disregarded in the verification of the limits referred to in § 1º, items III and IV.

Art. 47. A Risk Weighting Factor (FPR) of 45% (forty-five percent) must be applied to retail exposure related to:

I - a post-paid payment instrument where no delay, installment, or any other form of financing of the invoice balance has occurred in the last 360 (three hundred and sixty) calendar days; and

II - a credit limit where no withdrawal has occurred in the last 360 (three hundred and sixty) calendar days.

Sole paragraph. For the purposes of the caput, a situation that does not result in the incidence of interest or other charges, except for tax charges, does not constitute delay, installment, or withdrawal.

Art. 48. A Risk Weighting Factor (FPR) of 100% (one hundred percent) must be applied to exposure to a natural person that is not secured by real estate and does not meet the requirements described in arts. 46 and 47.

CHAPTER IX
OF THE RISK WEIGHTING FACTOR APPLIED TO REAL ESTATE-SECURED EXPOSURES

Art. 49. For the determination of the Risk Weighting Factor (FPR) applicable to real estate-secured exposures, the characteristics of the operation must be considered, including:

I - the dependence on the cash flow generated by the real estate for the fulfillment of the financial obligation represented by the exposure; and

II - the purpose of the use of the real estate.

§ 1º For the purposes of this Resolution, exposure is secured by real estate when:

I - the real estate given as collateral is completed, proven by means of a "habite-se" or equivalent document for real estate abroad, issued by a competent public authority, except in the case of rural real estate intended for agriculture, livestock, extraction, or environmental preservation;

II - the right to execute the collateral represented by the real estate has legal support in all relevant jurisdictions, including in other countries where it must or may produce effects, and is capable of being exercised in a timely manner;

III - the collateral provided is constituted:

a) in the form of mortgage:

in first degree, or
in subordinate degree, provided that the institution is the mortgagee creditor of all other preferential degrees and when the contract allows, regardless of notice or judicial interpellation, to consider the other operations due in advance, in case of default of any of them; or

~~b) fiduciary alienation of the property;~~

b) in the form of fiduciary alienation of the property, provided that the institution can, in accordance with applicable legislation, initiate the procedure for the execution of the real estate independently of any other fiduciary creditors, observing the provisions of § 11; (Amended by Resolution BCB No. 384, of 6/5/2024.)

IV - the institution's credit granting policy considers the debtors' payment capacity consistently over time;

V - the appraisal value of the collateral at the date of credit granting is:

a) used for the purpose of determining the applicable Risk Weighting Factor (FPR); and

b) obtained in a prudent, conservative, and independent manner from the credit granting process, and should not exceed its market value, when this can be determined; and

VI - the information related to the credit granting process, including those related to the collateral appraisal and the debtor's payment capacity, are documented by the institution, in alignment with what is established by Resolution No. 4.557, of 2017, and the corresponding regulation applicable to the Type 3 prudential conglomerate.

VI - the information related to the credit granting process, including those related to the collateral appraisal and the debtor's payment capacity, are documented by the institution, in alignment with what is established by Resolution No. 4.557, of February 23, 2017, and by Resolution BCB No. 265, of November 25, 2022, as applicable. (Amended, effective from 1/1/2025, by Resolution BCB No. 447, of 12/19/2024.)

§ 2º To comply with the requirement established by item IV of § 1º, objective metrics must be adopted to evaluate the debtor's payment capacity and their limits specified, in alignment with the institution's risk management structure, as defined by Resolution No. 4.557, of 2017, and the corresponding regulation applicable to the Type 3 prudential conglomerate, including regarding the establishment of documentation and procedures for credit risk management.

§ 2º To comply with the requirement established by item IV of § 1º, objective metrics must be adopted to evaluate the debtor's payment capacity and their limits specified, in alignment with the institution's risk management structure, as defined by Resolution No. 4.557, of February 23, 2017, and by Resolution BCB No. 265, of November 25, 2022, as applicable, including regarding the establishment of documentation and procedures for credit risk management. (Amended, effective from 1/1/2025, by Resolution BCB No. 447, of 12/19/2024.)

§ 3º The fulfillment of the financial obligation represented by the exposure must be considered dependent on the cash flow generated by the respective real estate when:

I - the cash flow generated by the real estate corresponds to at least 50% (fifty percent) of the debtor's cash flow;

II - the debtor has no other means to pay off the financing as agreed without the cash flow generated by the real estate; or

III - the deterioration of the cash flow generated by the real estate is a sufficient condition for the exposure to be characterized as a problematic asset, in accordance with Resolution No. 4.557, of 2017, and the corresponding regulation applicable to the Type 3 prudential conglomerate.

III - the deterioration of the cash flow generated by the real estate is a sufficient condition for the exposure to be characterized as a problematic asset, in accordance with Resolution No. 4.557, of February 23, 2017, and by Resolution BCB No. 265, of November 25, 2022, as applicable. (Amended, effective from 1/1/2025, by Resolution BCB No. 447, of 12/19/2024.)

§ 4º The assessment of cash flow generation dependency provided for in § 3º must be carried out at the date of credit granting, with the institution allowed to update it.

§ 5º Among the forms of cash flow generation by the real estate are:

I - rent, leasing, or other operations with the same economic meaning;

II - the sale of production occurring on it, in the case of rural real estate, and

III - the expectation of sale of the property.

§ 6º The dependency of cash flow generation by the real estate must not be considered when it serves as the residence of the natural person debtor.

§ 7º The use of the real estate for residential purposes must be verified by the nature of the real estate and by compliance with all laws and regulations applicable to its occupation for this purpose, with mixed use being admitted provided that the non-residential use represents a value equal to or lower than 20% (twenty percent) of the built area.

§ 8º In the case of multiple exposures secured by the same real estate, including those granted by other institutions, the balance value, when necessary for the determination of the Risk Weighting Factor (FPR), must consider the sum of the respective amounts due.

§ 8º In the case of multiple credit operations secured by the same real estate, including those granted by other institutions, the balance value, when necessary for the determination of the Risk Weighting Factor (FPR), must be calculated separately for each exposure and include the sum of the amounts due in all operations that have collateral with priority equal to or higher than the product of the execution of the collateral in accordance with applicable legislation. (Amended by Resolution BCB No. 384, of 6/5/2024.)

§ 9º In the case of exposure secured by multiple real estates, only that one in which the criterion referred to in § 7º is met individually by each real estate serving as collateral shall be treated as exposure secured by residential real estate. (Added, effective from 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

§ 10. The "habite-se" requirement provided for in item I of § 1º may be considered met through proof of registration of construction in the property's deed at the real estate registry office, in cases where the law dispenses with the "habite-se". (Added, effective from 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)

§ 11. If the institution cannot, in accordance with applicable legislation, initiate the procedure for the execution of the real estate independently of any other fiduciary creditors, it is permitted as an alternative criterion, for the purposes of item III, letter "b", of § 1º, to consider as own exposure the sum of exposures secured under the form of fiduciary alienation of the respective property with priority over the exposure of the institution and include it in the calculation of the metrics applicable for the duration of the contract related to the exposure held by the institution. (Added by Resolution BCB No. 384, of 6/5/2024.)

§ 12. In the calculation of the balance value mentioned in § 8º and the sum referred to in § 11, the values related to credit operations granted by other institutions must be updated, at least, in the months of June and December of each calendar year, allowing the use of information: (Added by Resolution BCB No. 384, of 6/5/2024.)

I - obtained in consultation with other creditor institutions, with the authorization of the fiduciary grantor; or (Added by Resolution BCB No. 384, of 6/5/2024.)

II - registered in the public registry office, with the institution updating the values assuming the normal course of the operation. (Added by Resolution BCB No. 384, of 6/5/2024.)

§ 13. For the purposes of item V of § 1º, the substitution or addition of real estate collateral is equivalent to the granting of a new credit operation, with an increase in the value of the original collateral property prohibited. (Added, effective from 1/2/2025, by Resolution BCB No. 438, of 11/28/2024.)

Art. 50. The following Risk Weighting Factor (FPR) must be applied to exposure secured by residential real estate when there is no dependence on the cash flow generated by the real estate for the fulfillment of the obligation:

I - 20% (twenty percent), when the balance value is less than or equal to 50% (fifty percent) of the appraisal value of the collateral;

II - 25% (twenty-five percent) when the balance value is greater than 50% (fifty percent) and less than or equal to 60% (sixty percent) of the appraisal value of the collateral;

III - 30% (thirty percent) when the balance value is greater than 60% (sixty percent) and less than or equal to 80% (eighty percent) of the appraisal value of the collateral;

IV - 40% (forty percent) when the balance value is greater than 80% (eighty percent) and less than or equal to 90% (ninety percent) of the appraisal value of the collateral;

V - 50% (fifty percent) when the balance value is greater than 90% (ninety percent) and less than or equal to 100% (one hundred percent) of the appraisal value of the collateral; or

VI - 70% (seventy percent) when the balance value is greater than 100% (one hundred percent) of the appraisal value of the collateral.

Art. 51. The following Risk Weighting Factor (FPR) must be applied to exposure secured by residential real estate when there is dependence on the cash flow generated by the real estate for the fulfillment of the obligation:

I - 30% (thirty percent), when the balance value is less than or equal to 50% (fifty percent) of the appraisal value of the collateral;

II - 35% (thirty-five percent) when the balance value is greater than 50% (fifty percent) and less than or equal to 60% (sixty percent) of the appraisal value of the collateral;

III - 45% (forty-five percent) when the balance value is greater than 60% (sixty percent) and less than or equal to 80% (eighty percent) of the appraisal value of the collateral;

IV - 60% (sixty percent) when the balance value is greater than 80% (eighty percent) and less than or equal to 90% (ninety percent) of the appraisal value of the collateral;

V - 75% (seventy-five percent) when the balance value is greater than 90% (ninety percent) and less than or equal to 100% (one hundred percent) of the appraisal value of the collateral; or

VI - 105% (one hundred and five percent) when the balance value is greater than 100% (one hundred percent) of the appraisal value of the collateral.

Art. 52. The following Risk Weighting Factor (FPR) must be applied to exposure secured by non-residential real estate when there is no dependence on the cash flow generated by the real estate for the fulfillment of the obligation:

I - the lower value between 60% (sixty percent) and the Risk Weighting Factor (FPR) applicable to the debtor, when the balance value is less than or equal to 60% (sixty percent) of the appraisal value of the collateral; or

II - the Risk Weighting Factor (FPR) applicable to the debtor, when the balance value is greater than 60% (sixty percent) of the appraisal value of the collateral.

Art. 53. The following Risk Weighting Factor (FPR) must be applied to exposure secured by non-residential real estate when there is dependence on the cash flow generated by the real estate for the fulfillment of the obligation:

I - 70% (seventy percent), when the balance value is less than or equal to 60% (sixty percent) of the appraisal value of the collateral;

II - 90% (ninety percent), when the balance value is greater than 60% (sixty percent) and less than or equal to 80% (eighty percent) of the appraisal value of the collateral; or

III - 110% (one hundred and ten percent), when the balance value is greater than 80% (eighty percent) of the appraisal value of the collateral.

Art. 54. A Risk Weighting Factor (FPR) of 150% must be applied to exposure linked to real estate that does not meet the provisions of arts. 49 to 53.

§ 1º In the case of exposure related to a real estate development, the following Risk Weighting Factor (FPR) may be applied:

I - the Risk Weighting Factor (FPR) applicable to the counterparty, including legal entities, when the asset segregation institute is adopted, as provided for in Law No. 4.591, of December 16, 1964; or

II - 100% (one hundred percent), when the following conditions are met:

a) regarding the characteristics of the operation:

the exposure is related to a real estate development of a residential nature;

~~2. the financed value represents less than 50% (fifty percent) of the estimated value of the development, when completed; and~~

the financed value is less than or equal to 50% (fifty percent) of the estimated value of the development, when completed; and (Amended, effective from 7/1/2023, by Resolution BCB No. 323, of 6/14/2023.)
the constitution of the collateral meets the provisions of item III of § 1º of art. 49; and

b) regarding the institution's policies:

the institution's credit granting policy must consider the counterparty's payment capacity consistently over time, observing the provisions of § 2º of art. 49; and
the appraisal value of the collateral at the date of credit granting must be obtained in a prudent, conservative, and independent manner from the credit granting process, and should not exceed its market value, when this can be determined.

§ 2º In the case of exposure related to an autonomous unit of a real estate development under construction already sold, item I of § 1º may be applied, provided that the acquirer assumes the obligations related to the real estate financing.

§ 3º In the case of exposure not related to a real estate development, the application of the Risk Weighting Factor (FPR) applicable to the counterparty is permitted, provided that the fulfillment of the financial obligation represented by the exposure is not considered dependent on the cash flow generated by the respective real estate.

CHAPTER X
OF CURRENCY MISMATCHES

Art. 55. The Risk Weighting Factor (FPR) applicable to retail exposures or exposures secured by residential real estate denominated or indexed in a currency different from the currency in which the debtor's income source is denominated or indexed must correspond to the lower of:

I - the original Risk Weighting Factor (FPR) multiplied by 150% (one hundred and fifty percent); and

II - 150% (one hundred and fifty percent).

Sole paragraph. The provisions of the caput do not apply to exposure where the debtor has protection against exchange rate variations that covers at least 90% (ninety percent) of the installment value.

CHAPTER XI
OF THE RISK WEIGHTING FACTOR APPLIED TO DERIVATIVE EXPOSURES AND THE PROVISION OF SURETY GUARANTEES

Section I - Of the Risk Weighting Factor Applied to Derivative Exposures

Art. 56. To the credit risk exposure to counterparty arising from transactions with financial derivative instruments, the same Risk Weighting Factor (FPR) applicable to the counterparty must be applied, in accordance with this Resolution.

Art. 57. To exposure to a credit derivative in which the institution acts as the risk receiver, the same Risk Weighting Factor (FPR) applicable to the reference entity of the credit derivative must be applied, in accordance with this Resolution.

§ 1º For a credit derivative referencing a set of entities where protection is fully triggered from a credit event of any entity in the set, the corresponding RWF applicable to the sum of the respective RWFs for each entity in the set must be applied, in accordance with this Resolution, limited to 1,250% (one thousand two hundred and fifty percent).

§ 2º In the case of a credit derivative referencing more than one entity where protection is fully triggered only from more than one credit event, it is permitted to exclude from the sum established in § 1º the smallest RWFs, limited in number to a quantity lower than the number of credit events that trigger the protection established in the credit derivative.

§ 3º A securitization instrument is considered to be a credit derivative referencing more than one entity where protection is limited to a percentage of the first losses and the institution acts as the risk recipient.

Section II
RWF Applied to Suretyship Guarantees

Art. 58. The RWF applicable to the credit operation with the same counterparty must be applied to the exposure related to the provision of aval, guarantee, or any other form of personal guarantee, in accordance with this Resolution.

Sole paragraph. An exposure must be equated to a credit derivative when the object of the guarantee includes more than one entity or more than one operation, when the entirety of losses is not covered.

CHAPTER XII
RWF APPLIED TO EXPOSURES TO INVESTMENT FUNDS

Art. 59. In the case of exposure related to investment in fund shares, the following must be applied:

I - the RWF applicable to the respective counterparty, in accordance with this Resolution, when the exposure to the fund is identified or inferred through the procedures provided for in arts. 17 and 18; or

II - an RWF of 1,250% (one thousand two hundred and fifty percent), when:

a) the value of the exposure corresponds to the book value of the acquired shares, in the form of the sole paragraph of art. 16 or § 6º of art. 18; or

b) the option established in § 8º of art. 17 or in § 4º of art. 18 has been used.

§ 1º The institution is permitted to apply an RWF of 150% (one hundred and fifty percent) to the portion of fund exposures identified in the form of art. 17 of which the eventual characterization as problematic asset is unknown, in accordance with art. 24 of Resolution No. 4.557, of 2017, and the corresponding regulation applicable to the Type 3 prudential conglomerate, when cumulatively:

§ 1º The institution is permitted to apply an RWF of 150% (one hundred and fifty percent) to the portion of fund exposures identified in the form of art. 17 of which the eventual characterization as problematic asset is unknown, in accordance with art. 24 of Resolution No. 4.557, of February 23, 2017, and art. 22 of BCB Resolution No. 265, of November 25, 2022, as applicable, when cumulatively: (Wording given, from 1/1/2025, by BCB Resolution No. 447, of 12/19/2024.)

I - the exposures are credit operations; and

II - the sum of these exposures is less than 5% (five percent) of the total nominal value of the fund portfolio.

§ 2º For institutions classified in S2, S3, or S4, the application of the 150% (one hundred and fifty percent) RWF is permitted to the exposure inferred through the procedures provided for in art. 18, provided that the possibility of applying an RWF higher than 150% (one hundred and fifty percent) is not provided for.

§ 3º The resulting value of the risk-weighted exposure to the investment fund identified or inferred through the procedures provided for in arts. 17 and 18 is limited to the value obtained by applying the 1,250% (one thousand two hundred and fifty percent) RWF to the book value of the acquired shares.

Art. 60. To exposures to investment funds not covered in art. 59, an RWF of 100% (one hundred percent) must be applied, even if the investment fund is part of a prudential conglomerate, in accordance with specific regulation.

CHAPTER XIII
RWF APPLIED TO EXPOSURES TO SECURITIZATION PROCESSES

Art. 61. For the application of the RWF to exposure by title of securitization, the following definitions must be used:

I - attachment point (A) is the percentage of accumulated losses in the value of the underlying assets from which there is a reduction in remuneration in a specific class of payment priority of the securitization instrument;

II - detachment point (D) is the percentage of accumulated losses in the value of the underlying assets from which there is a total loss of the value of a specific class of payment priority of the securitization instrument; and

III - default rate (W) is the percentage of underlying assets in default.

Sole paragraph. The parameters A and D must consider all assets of the securitization process that absorb losses before the payment priority class of the securitization instrument, including reserve fund.

Art. 62. The RWF applicable to the value of the exposure by title of securitization must correspond:

I - to 1/F, if D ≤ KA, in which:

a) D = detachment point; and

b) KA = hypothetical capital adjusted for default, as provided for in art. 63;

II - to 1/F * KSSFA(KA), if A ≥ KA, in which:

a) A = attachment point;

b) KA = hypothetical capital adjusted for default, as provided for in art. 63; and

c) KSSFA(KA) = capital applicable to securitization, as provided for in art. 64; or

III - to the result of the following formula:

a) A = attachment point;

b) D = detachment point;

c) KA = hypothetical capital adjusted for default, as provided for in art. 63; and

d) KSSFA(KA) = capital applicable to securitization, as provided for in art. 64.

§ 1º F corresponds to the factor defined in art. 4º of Resolution CMN No. 4.958, of 2021, for Type 1 conglomerates and in arts. 4º and 11 of BCB Resolution No. 200, of 2022, for Type 3 conglomerates.

§ 1º F corresponds to the factor defined in art. 4º of Resolution CMN No. 4.958, of October 21, 2021, and in art. 4º of BCB Resolution No. 200, of March 11, 2022, as applicable. (Wording given, from 1/1/2025, by BCB Resolution No. 447, of 12/19/2024.)

§ 2º The RWF provided for in the main text must not be less than 25% (twenty-five percent).

§ 3º The RWF referred to in the main text, item I, must also be applied if:

I - the underlying assets of the securitization instrument cannot be completely identified;

II - the institution is unaware of the percentage of underlying assets in default that correspond to more than 5% (five percent) of the total nominal value of the securitization instrument portfolio; or

III - the securitization instrument is associated with re-securitization.

Art. 63. The hypothetical capital adjusted for default (KA) must correspond to the result of the following formula:

KA = (1 – W) * KSA + W * 0.5, in which:

I - W = default rate; and

II - KSA = hypothetical capital, which must correspond to the result of the following formula:

a) RWAHIP = amount of risk-weighted assets calculated for the underlying assets, in accordance with this Resolution;

~~b) F = factor defined in art. 4º of Resolution CMN No. 4.958, of 2021, for Type 1 conglomerates and in arts. 4º and 11 of BCB Resolution No. 200, of 2022, for Type 3 conglomerates; and~~

b) F = factor defined in art. 4º of Resolution CMN No. 4.958, of October 21, 2021, and in art. 4º of BCB Resolution No. 200, of March 11, 2022, as applicable; and (Wording given, from 1/1/2025, by BCB Resolution No. 447, of 12/19/2024.)

c) V = total value of the exposure corresponding to the underlying assets calculated in accordance with this Resolution, disregarding any application of credit risk mitigation instruments.

Sole paragraph. If W cannot be determined, observing the provisions of art. 62, § 3º, item II, KA must correspond to the result of the following formula:

I - 𝜃 = ratio between the nominal value of the underlying assets whose default condition is known by the institution and the total nominal value of the underlying assets; and

II - K'A = hypothetical capital adjusted for default calculated according to the formula established in the main text for the underlying assets whose default condition is known by the institution.

Art. 64. The capital applicable to securitization (KSSFA(KA)) must correspond to the result of the following formula:

I - e = Napier's constant;

II - KA = hypothetical capital adjusted for default, as provided for in art. 63;

III - A = attachment point; and

IV - D = detachment point.

Art. 65. In the case of a synthetic securitization process in which the institution acts as the risk transferor, retaining credit risk equivalent to the senior class, and the risk recipient counterparty made an advance that exempts it from any obligation to make future disbursements in accordance with the instrument associated with the securitization process, the RWF applicable to the exposure related to the underlying assets must correspond to the result of the following formula:

(1 – PP) * FPRSEC, in which:

I - PP = percentage of the value of the underlying assets to which the institution is not exposed to credit risk; and

II - FPRSEC = RWF related to a securitization instrument that reproduces the credit risk retained by the institution after the synthetic securitization process.

§ 1º For the application of the treatment of the main text, the synthetic securitization process must meet the following requirements:

I - the institution must substantially transfer the credit risk associated with the underlying assets;

II - the transfer of credit risk of the underlying assets cannot be subject to restrictions or conditions that modify the portion of risk transferred, such as:

a) fixing conditions under which the transfer of risk is not applicable, even in the occurrence of a credit event;

b) option to cancel the instrument associated with the synthetic securitization process due to deterioration of the credit quality of the underlying assets;

c) obligation to replace the underlying assets;

d) provision for an increase in the cost of the transfer of credit risk due to deterioration of the credit quality of the underlying assets;

e) provision for an increase in the return rate due to deterioration of the credit quality of the underlying assets; and

f) possibility of providing guarantees, real or suretyship of any nature, to the underlying assets after the substantial transfer of credit risk associated with them;

III - contracts related to the securitization process must be subject to a qualified legal opinion supporting their enforceability in any relevant jurisdiction;

IV - contracts related to the securitization process must not provide for the right to repurchase securitization instruments before their maturity;

V - the term of the instrument associated with the synthetic securitization process must be sufficient for the transfer of credit risk of the underlying assets; and

VI - the instrument associated with the synthetic securitization process cannot have as counterparty an affiliated entity, with which the institution prepares consolidated financial statements.

§ 2º The substantial transfer of credit risk of the underlying assets is verified by the same criteria applicable to the sale or assignment of assets, in accordance with specific regulation.

§ 3º In the case where the risk recipient counterparty is an institution listed in art. 27, the requirement referred to in the main text for the risk recipient to make an advance that exempts it from any obligation to make future disbursements in accordance with the instrument associated with the securitization process is waived. (Included, from 7/1/2023, by BCB Resolution No. 323, of 6/14/2023.)

CHAPTER XIV
RWF APPLIED TO EXPOSURES TO PROBLEMATIC ASSETS

Art. 66. The following RWF must be applied to exposure characterized as a problematic asset in accordance with Resolution No. 4.557, of 2017, and the corresponding regulation applicable to the Type 3 prudential conglomerate:

Art. 66. The following RWF must be applied to exposure characterized as a problematic asset in accordance with Resolution No. 4.557, of February 23, 2017, and BCB Resolution No. 265, of November 25, 2022, as applicable: (Wording given, from 1/1/2025, by BCB Resolution No. 447, of 12/19/2024.)

~~I - 150% (one hundred and fifty percent), if the respective provision is less than 20% (twenty percent) of the debtor balance related to the credit operation;~~

~~I - 150% (one hundred and fifty percent), if the respective provision is less than 20% (twenty percent) of the debtor balance related to the exposure characterized as a problematic asset;(Wording given, from 7/1/2023, by BCB Resolution No. 323, of 6/14/2023.)~~

I - 150% (one hundred and fifty percent), if the respective provision is less than 20% (twenty percent) of the debtor balance or the value determined in accordance with art. 21, as applicable, related to the exposure characterized as a problematic asset; (Wording given, from 1/2/2025, by BCB Resolution No. 438, of 11/28/2024.)

II - 100% (one hundred percent), in the following cases:

~~a) if the respective provision is greater than or equal to 20% (twenty percent) and less than 50% (fifty percent) of the debtor balance related to the credit operation; or~~

a) if the respective provision is greater than or equal to 20% (twenty percent) and less than 50% (fifty percent) of the debtor balance related to the~~~~exposure characterized as a problematic asset; or~~(Wording given, from 7/1/2023, by BCB Resolution No. 323, of 6/14/2023.)~~

a) if the respective provision is greater than or equal to 20% (twenty percent) and less than 50% (fifty percent) of the debtor balance or the value determined in accordance with art. 21, as applicable, related to the exposure characterized as a problematic asset; or (Wording given, from 1/2/2025, by BCB Resolution No. 438, of 11/28/2024.)

b) the exposure has residential real estate guarantee independent of the cash flow generated by the property to fulfill the financial obligation, regardless of the amount of the respective provision; and

~~III - 50% (fifty percent), if the provision is greater than or equal to 50% (fifty percent) of the debtor balance related to the credit operation.~~

~~III - 50% (fifty percent), if the provision is greater than or equal to 50% (fifty percent) of the debtor balance related to the exposure characterized as a problematic asset.(Wording given, from 7/1/2023, by BCB Resolution No. 323, of 6/14/2023.)~~

III - 50% (fifty percent), if the provision is greater than or equal to 50% (fifty percent) of the debtor balance or the value determined in accordance with art. 21, as applicable, related to the exposure characterized as a problematic asset. (Wording given, from 1/2/2025, by BCB Resolution No. 438, of 11/28/2024.)

~~Sole paragraph. The debtor balance mentioned in this article must consider the value net of accounting write-downs (impairment), made in accordance with the criteria established in Cosif.~~

Sole paragraph. The debtor balance or the value determined in accordance with art. 21, as applicable, mentioned in this article must: (Wording given, from 1/2/2025, by BCB Resolution No. 438, of 11/28/2024.)

I - consider the value net of accounting write-downs, made in accordance with the criteria established in Cosif; and (Included, from 1/2/2025, by BCB Resolution No. 438, of 11/28/2024.)

II - disregard the multiplication by the corresponding FCC, in the case of the exposures referred to in art. 21. (Included, from 1/2/2025, by BCB Resolution No. 438, of 11/28/2024.)

CHAPTER XV
EXPOSURES TO BE SETTLED WITH CENTRAL COUNTERPARTIES

Section I
Common Provisions

Art. 67. Exposures to central counterparties, qualified or not, must follow the provisions of this article and arts. 68 to 77, when related to the assets and operations listed below:

I - participation in a mutualized guarantee fund of a central counterparty;

II - the increase in participation in the fund mentioned in item I of an unqualified central counterparty, which the institution has committed to realize;

III - the committed operation, securities lending, or derivative financial instrument, which constitutes the institution's own portfolio, to be settled with a central counterparty;

IV - the asset owned by the institution made available as collateral in favor of a central counterparty, except if this asset:

a) is identified as owned by the institution; and

b) is promptly returned to the institution in the event of settlement, bankruptcy, or similar measure by the counterparty;

V - the committed operation, securities lending, or derivative financial instrument, carried out in the name of a client, with intermediation, clearing, or settlement carried out in a clearinghouse or provider of these services, in which an entity acts as a central counterparty, as provided for in art. 4º, item VII, considering, separately:

a) the exposure to credit risk of the counterparty in relation to the client, according to art. 4º, § 7º, item I; and

b) the exposure to credit risk of the counterparty in relation to a third party, including the central counterparty, except when the institution does not assume reimbursement obligations to the respective client, according to art. 4º, § 7º, item II; and

VI - the asset or right delivered or made available by the client as a result of the operations listed in item V, except when the institution does not assume any obligations, including the obligation to reimburse the client in the event of default by third parties, according to art. 4º, item VIII.

§ 1º A QCCP is considered to be an entity that acts as a central counterparty in operations to be settled in clearinghouses or clearing and settlement service providers, which meets the following characteristics:

I - its systems are authorized by the Central Bank of Brazil, in accordance with Law No. 10.214, of 2001, and specific regulation;

II - is subject to regulation and supervision consistent with the principles established by the CPMI and IOSCO; or

III - is recognized as qualified by the Central Bank of Brazil, in accordance with Circular No. 3.772, of December 1, 2015.

§ 2º It is the institution's responsibility to document compliance with the provisions of item II of § 1º.

§ 3º The following are not considered QCCP:

I - the central counterparty whose recognition mentioned in item III of § 1º has already been denied by the Central Bank of Brazil, in accordance with art. 3º of Circular No. 3.772, of 2015; and

II - the other central counterparties headquartered in the jurisdiction where the entity referred to in item I of this paragraph is authorized to conduct business.

§ 4º The institution may limit the value of the RWACPAD portion related to the total exposures to a QCCP, including from participation in a mutualized fund, to the value determined if the central counterparty did not meet the provisions of § 1º.

§ 5º Exposures related to the operations mentioned in items III, IV, V, and VI of the main text to a central counterparty that has ceased to be recognized as a QCCP may continue to receive the treatment provided for in arts. 69 to 74 for a period of 90 (ninety) calendar days.

Section II
RWF Applied to Exposures in QCCP

Subsection I
Participation in Mutualized Guarantee Fund

~~Art. 68. For participation in a mutualized guarantee fund of a QCCP, the value of ParcDF, as provided for in art. 2º, § 2º, item I, must be calculated according to the following formula:~~

Art. 68. For participation in a mutualized guarantee fund of a QCCP, the value of ParcDF, as provided for in art. 2º, § 2º, must be calculated according to the following formula: (Wording given, from 7/1/2023, by BCB Resolution No. 240, of 9/1/2022.)

I - KQCCP = hypothetical regulatory capital of the QCCP, as provided in the sole paragraph;

II - DFPróprio = value of the institution's participation in the fund;

III - DFQCCP = value of the QCCP's participation in the fund; and

IV - DFCM = total value of the fund, minus the value of the participation mentioned in item III.

Sole paragraph. The KQCCP, reported by the central counterparty, is calculated according to the following formula:

EADi refers to the exposure to which the central counterparty is subject as a result of the operations to be settled with the clearing member “i”.

Subsection II
Operations in QCCP

Operations of Own Ownership

Art. 69. An RWF of 2% (two percent) must be applied to the exposure related to the operation referred to in art. 67, item III, carried out directly with a QCCP, to be settled in the systems mentioned in art. 67, § 1º.

Art. 70. The following RWF must be applied to the exposure related to the operation that constitutes the institution's own portfolio, as provided for in art. 67, item III, carried out with a QCCP through a financial institution not part of the prudential conglomerate:

I - 2% (two percent), if the following requirements are cumulatively met:

a) the operation is registered in the QCCP:

in the name of the owner of the operation; or
in the name of the clearing member, segregated from the own operations of this member, in the case of multiple clients in a single operation;

b) the terms of the contract signed between the parties allow for the adoption of the necessary measures and procedures for the timely settlement or transfer of assets, including any collateral provided, in the event of settlement, bankruptcy, similar measure, or default of any entity in the chain of responsibility between the owner of the operation and the QCCP;

c) the owner of the operation is protected from any losses resulting from settlement, bankruptcy, similar measure, or default:

of any entity within the responsibility chain between it and the QCCP; and
of other clients, in the case of multiple clients in a single operation; and

d) the contract signed between the parties has legal force in all relevant forums, including in other jurisdictions in which it must or may produce effects;

II - 4% (four percent), if the requirements referred to in items “a”, “b” and “d” of item I are met; or

III - Applicable FPR to the financial institution counterparty, according to Chapter IV of this Title III, in other cases.

Of Operations Conducted on Behalf of Clients

Art. 71. The following FPR must be applied to the exposure referred to in Art. 67, item V, item “b”:

I - 2% (two percent), if the institution acts as a clearing member; or

II - the established in Art. 70, if the respective requirements are met, when carried out through an institution not part of the prudential conglomerate.

Sole paragraph. For the purposes of item II of the main text, the contracting client with the institution is considered the owner of the operation.

Art. 72. The applicable FPR to the counterparty, under the terms of this Resolution, must be applied to the exposure referred to in Art. 67, item V, item “a”.

Of Assets Provided as Collateral to QCCP

Art. 73. An FPR of 2% (two percent) must be applied to the exposure related to the asset or right, owned by the institution or a client, delivered or provided as collateral to QCCP, referred to in Art. 67, items IV and VI, respectively, if the institution acts as a clearing member.

Art. 74. The following FPR must be applied to the exposure related to the asset or right, owned by the institution or a client, delivered or provided as collateral to QCCP, referred to in Art. 67, items IV and VI, respectively, through an institution not part of the prudential conglomerate:

I - 2% (two percent), if the following requirements are met:

a) the asset or right delivered or provided as collateral is identified:

in the QCCP, as provided by the owner of the operation; or
in a segregated manner from the own operations of the entities within the responsibility chain between the multiple clients and the QCCP, in the case of multiple clients in a single operation;

b) the terms of the contract signed between the parties allow for the adoption of the necessary measures and procedures for the timely liquidation or transfer of the traded assets, including any collateral provided, in the event of liquidation, bankruptcy, similar proceeding, or default of any entity within the responsibility chain between the owner of the operation and the QCCP;

c) the owner of the operation is protected from any losses resulting from the liquidation, bankruptcy, similar proceeding, or default:

of any entity within the responsibility chain between the owner of the operation and the QCCP; and
of other clients, in the case of multiple clients in a single operation; and

d) the contract signed between the parties has legal force in all relevant forums, including in other jurisdictions in which it must or may produce effects;

II - 4% (four percent), if the requirements “a”, “b” and “d” mentioned in item I are met; or

III - Applicable FPR to the financial institution counterparty, according to Chapter IV of this Title III, in other cases.

Section IIIDo FPR Applied to Exposures to Non-Qualified CCP

Art. 75. An FPR of 1,250% (one thousand, two hundred and fifty percent) must be applied to the exposure related to participation in a mutualized guarantee fund of a non-qualified central counterparty, referred to in Art. 67, item I.

Sole paragraph. The treatment referred to in the main text also applies to the increase in participation in a mutualized guarantee fund of a non-qualified central counterparty, contingent and future, which may be required by the central counterparty, referred to in Art. 67, item II.

Art. 76. The applicable FPR to the financial institution counterparty according to Chapter IV of this Title III must be applied to exposures to non-qualified central counterparties mentioned in Art. 67, items III, IV, V, item “b”, and VI.

Art. 77. The applicable FPR to the counterparty, under the terms of this Resolution, must be applied to the exposure referred to in Art. 67, item V, item “a”.

CHAPTER XVI
OF OTHER EXPOSURES

Art. 78. In calculating the RWACPAD portion related to an asset or right delivered or provided by the institution to third parties, including due to the constitution of guarantees referred to in Art. 4, item X, the following must be risk-weighted, concurrently:

I - the exposure related to the asset element recorded in the institution's assets, multiplied by the corresponding FPR; and

II - the unrecorded exposure referred to in Art. 21, § 6, item IV, multiplied by the highest FPR, among those related to its restitution.

Art. 79. An FPR of 0% (zero percent) must be applied to the following exposures:

I - investment in gold as a financial asset or exchange instrument, as well as exposure to the asset represented by the gold financial asset or exchange instrument; and

II - advance of contribution to the Credit Guarantee Fund (FGC) or to the Credit Cooperativism Guarantee Fund (FGCoop).

Art. 80. An FPR of 20% (twenty percent) must be applied to exposures related to:

I - rights resulting from the novation of debts of the Wage Variation Compensation Fund (FCVS), referred to in Law No. 10,150, of December 21, 2000; and

II - operations with a non-financial private legal entity part of the same cooperative system, when carried out by a singular cooperative, central cooperative, confederation, or cooperative bank.

Art. 81. An FPR of 50% (fifty percent) must be applied:

I - to credit exposures to the FGC or FGCoop; and

II - to exposures related to credit operations to be amortized based on resources from the Energy Development Account (CDE), as provided in item XV of Art. 13 of Law No. 10,438, of April 26, 2002, added by Provisional Measure No. 950, of April 8, 2020, provided that the following conditions are met cumulatively:

a) the credit operations must be in compliance with the provisions of Decree No. 10,350, of May 18, 2020, and the regulation of the National Energy Agency;

~~b) the credit rights owed by the CDE to the Covid Account must be assigned fiduciarily or pledged in favor of the lending institution; and~~

b) the credit rights owed by the CDE to the Covid Account or the Water Scarcity Account must be assigned fiduciarily or pledged in favor of the lending institution; and (Amended, effective 1/7/2023, by Resolution BCB No. 240, of 1/9/2022.)

c) the CDE quotas, specific for the amortization of credit operations, must be increased to constitute a liquidity reserve equivalent to at least 10% (ten percent) of the sum of the principal, financial charges, and other administrative costs related to the operation.

Art. 82. An FPR of 100% (one hundred percent) must be applied to exposures to tax credits from temporary differences that do not depend on future profitability for their utilization during the institution's operation.

Art. 82-A. An FPR of 100% (one hundred percent) must be applied to the exposure related to the absolute value of the negative adjustment recorded in equity, referred to in Art. 4, main text, item XII. (Added, effective 31/1/2025, by Resolution BCB No. 452, of 21/1/2025.)

Art. 83. An FPR of 250% (two hundred and fifty percent) must be applied to exposures related to tax credits resulting from temporary differences that depend on the generation of future profits or tax revenues for their realization, not deducted in the PR calculation, mentioned in Art. 8, § 8, of CMN Resolution No. 4,955, of 2021, or in Art. 7, § 7, of BCB Resolution 199, of 2022.

Art. 84. An FPR of 300% (three hundred percent) must be applied to exposures related to tax credits resulting from income tax fiscal loss and negative base of Social Contribution on Net Profit (CSLL), not deducted in the PR calculation, as provided in CMN Resolution No. 4,955, of 2021, and BCB Resolution No. 199, of 2022.

Art. 84-A. Subject to the limit of 10% (ten percent) of Principal Capital, apply:

I - FPR of 100% (one hundred percent) to the portion of exposure related to writs of execution issued against the Union, which does not exceed the limit referred to in the main text;

II - FPR of 150% (one hundred and fifty percent) to the portion of exposure related to writs of execution issued against states, the Federal District, and municipalities, which does not exceed the limit referred to in the main text;

III - FPR of 200% (two hundred percent) to the portion of exposure related to credit rights in execution process or in the phase of enforcement of judgment against the Union, which does not exceed the limit referred to in the main text;

IV - FPR of 300% (three hundred percent) to the portion of exposure related to credit rights in execution process or in the phase of enforcement of judgment against states, the Federal District, and municipalities, which does not exceed the limit referred to in the main text;

V - FPR of 600% (six hundred percent) to the portion of exposure related to writs of execution issued against the Union, states, the Federal District, and municipalities, which exceeds the limit referred to in the main text;

VI - FPR of 1,250% (one thousand two hundred and fifty percent) to the portion of exposure related to:

a) credit rights in execution process or in the phase of enforcement of judgment against the Union, states, the Federal District, and municipalities, which exceeds the limit referred to in the main text; and

b) writs of execution or credit rights in execution process or in the phase of enforcement of judgment against the Union, states, the Federal District, and municipalities, originating from assignment, which have not been the subject of public registration.

§ 1º The provisions of the main text include writs of execution issued or credit rights in execution process or in the phase of enforcement of judgment against autonomous entities, foundations, public companies, and mixed-economy companies subject to the writs of execution regime, observing the provisions of this article regarding the respective federated entity.

§ 2º For the purpose of meeting the limit established in the main text, exposures related to writs of execution issued or credit rights in execution process or in the phase of enforcement of judgment must be considered in an aggregated manner.

§ 3º In cases where the aggregate of exposures related to writs of execution issued or credit rights in execution process or in the phase of enforcement of judgment exceeds the limit established in the main text, for the purpose of applying the FPR, the portions mentioned in items I to IV of the main text must be considered proportionally to the relative participation of the respective exposures in relation to the aggregate.

§ 4º The treatment provided in this article does not apply to writs of execution issued or credit rights in execution process or in the phase of enforcement of judgment registered in the balance sheet by the base date of June 30, 2023:

I - resulting from own judicial actions; or

II - acquired from third parties, whose assignment was the subject of public registration by June 30, 2023.

§ 5º The application of the provisions of § 4º is permitted for writs of execution issued after June 30, 2023, provided that:

I - the credit rights that originated these writs of execution were registered in the assets by June 30, 2023; and

II - the assignment of the credit rights that originated these writs of execution was the subject of public registration by June 30, 2023, in the case of assets acquired from third parties.

§ 6º Regardless of the date of acquisition of the writs of execution or credit rights in execution process or in the phase of enforcement of judgment by an unconsolidated investment fund, the FPRs established in the main text apply to the portions of the fund's exposures, observing the provisions of Arts. 17, 18, and 59, item I.

(Art. 84-A added, effective 2/1/2024, by Resolution BCB No. 346, of 4/10/2023.)

TITLE IV
FINAL PROVISIONS

CHAPTER I
TRANSITIONAL PROVISIONS

~~Art. 85. For exposures related to equity participations or subordinated debt instruments, as provided in Arts. 43 and 44, the FPR must be applied according to the following schedule:~~

Art. 85. For exposures related to equity participations, as provided in Art. 43, the FPR must be applied according to the following schedule: (Amended, effective 1/7/2023, by Resolution BCB No. 240, of 1/9/2022.)

I - regarding the equity participations referred to in Art. 43, item I:

a) until December 31, 2023, 100% (one hundred percent);

b) until December 31, 2024, 160% (one hundred and sixty percent);

c) until December 31, 2025, 220% (two hundred and twenty percent);

d) until December 31, 2026, 280% (two hundred and eighty percent);

e) until December 31, 2027, 340% (three hundred and forty percent); and

f) from January 1, 2028, the FPR determined under the terms of this Resolution; and

II - regarding the equity participations referred to in Art. 43, item III:

a) until December 31, 2023, 100% (one hundred percent);

b) until December 31, 2024, 130% (one hundred and thirty percent);

c) until December 31, 2025, 160% (one hundred and sixty percent);

d) until December 31, 2026, 190% (one hundred and ninety percent);

e) until December 31, 2027, 220% (two hundred and twenty percent); and

f) from January 1, 2028, the FPR determined under the terms of this Resolution.

Art. 86. An FPR of 50% (fifty percent) must remain applied to exposures related to financing for the construction of real estate, provided that:

I - guaranteed by fiduciary alienation or mortgage, in the first degree, and adopting the institution of affected property, referred to in Law No. 4,591, of 1964; and

II - contracted or acquired until December 31, 2023.

CHAPTER II
COMPLEMENTARY PROVISIONS

Art. 87. A detailed report outlining the calculation of the RWACPAD portion must be sent to the Central Bank of Brazil, in the manner established by it.

Sole paragraph. The information used for the calculation of the RWACPAD portion must be kept available to the Central Bank of Brazil for a period of 5 (five) years.

Art. 88. The following are revoked:

I - Circular No. 3,644, March 4, 2013;

II - Circular No. 3,848, September 18, 2017; and

III - Circular No. 3,904, June 6, 2018.

Sole paragraph. References to Circular No. 3,644, of 2013, shall henceforth refer to this Resolution.

~~Art. 89. This Resolution enters into force on January 1, 2023.~~

Art. 89. This Resolution enters into force on July 1, 2023. (Amended, effective 1/12/2022, by Resolution BCB No. 258, of 18/11/2022.)

Otávio Ribeiro Damaso
Director of Regulation

ANNEX I TO RESOLUTION BCB NO. 229, OF MAY 12, 2022

Establishes the procedures for calculating the value of the exposure related to counterparty credit risk arising from operations with financial derivative instruments through the SA-CCR Approach.

CHAPTER I
OF THE SCOPE OF APPLICATION

Art. 1. This Annex provides for the procedures for calculating the value of the exposure related to counterparty credit risk of operations with financial derivative instruments through the SA-CCR Approach.

Sole paragraph. The calculation referred to in this Annex applies to financial derivative instruments classified in the banking book and to financial derivative instruments classified in the trading book, as defined in the current regulation. (Added, effective 1/7/2024, by Resolution BCB No. 313, of 26/4/2023.)

CHAPTER II
OF DEFINITIONS AND CLASSIFICATIONS

Section IDo Exposure Value

Art. 2. The total value of the exposure related to the credit risk of a specific counterparty, arising from operations with financial derivative instruments, must be equal to the sum of the exposure calculated for each clearing set, calculated in accordance with the provisions of Art. 3 of this Annex.

Art. 3. The exposure value for each clearing set must be calculated as follows:

EXP = 1.4 * (RC + GPF), where:

I - RC = replacement value; and

II - GPF = gross positive fair value.

§ 1. A clearing set is composed of financial derivative instruments traded with the same counterparty, subject to the same bilateral agreement for clearing and settlement of obligations that meets the conditions established in Art. 13 of Circular No. 3,809, of August 25, 2016.

§ 2. The financial derivative instrument not included in a bilateral agreement for clearing and settlement of obligations is treated as a clearing set composed of a single instrument.

§ 3. Values, notionals, and market values denominated or indexed in foreign currency are converted into national currency based on the exchange rate on the date of calculating the exposure value.

Art. 4. The RC related to a clearing set composed of financial derivative instruments traded without variation margin must be calculated as follows:

RC = Max {V - C; 0}, where:

I - V = sum of the market values of the financial derivative instruments; and

II - C = net value of financial collateral calculated in the manner established in Art. 5, §§ 1 and 3, of this Annex.

Sole paragraph. For the purposes of this Annex, variation margin corresponds to the value of financial collateral constituted to protect the institution and the counterparty from the fluctuation of the market value of financial derivative instruments.

Art. 5. The RC related to a clearing set composed of financial derivative instruments traded with variation margin must be calculated as follows:

RC = Max {V - C; THMTA - NICA; 0}, where:

I - V = as defined in Art. 4, item I, of this Annex;

II - C = net value of financial collateral, including those constituted as variation margin;

III - THMTA = maximum value of accumulated financial results that does not trigger the constitution of additional variation margin by the counterparty; and

IV - NICA = net value of financial collateral constituted, excluding those constituted as variation margin.

§ 1. C is calculated as follows:

C = ∑ Crec (1 - Hc - Hfx) - ∑ Cdep (1 + Hc), where:

I - Crec = market value of financial collateral constituted by the counterparty in favor of the institution, including when constituted as variation margin;

II - Hc = standardized adjustment factor, referred to in Art. 9, item V and § 2, of Circular No. 3,809, of 2016, associated with the financial collateral constituted as Crec or Cdep;

III - Hfx = standardized adjustment factor, referred to in Art. 9, item VI and § 1, of Circular No. 3,809, of 2016, associated with the currency mismatch in which the exposure and the financial collateral are denominated or indexed; and

IV - Cdep = market value of financial collateral constituted by the institution in favor of the counterparty, including when constituted as variation margin.

§ 2. NICA is calculated as follows:

NICA = ∑ ICArec (1 - Hc - Hfx) - ∑ ICAdep (1 + Hc), where:

I - ICArec = market value of financial collateral constituted by the counterparty in favor of the institution;

II - ICAdep = market value of financial collateral constituted by the institution in favor of the counterparty;

III - Hc = standardized adjustment factor, referred to in Art. 9, item V and § 2, of Circular No. 3,809, of 2016, associated with the financial collateral constituted as ICArec or ICAdep; and

IV - Hfx = as defined in § 1, item III.

§ 3. In calculating Cdep and ICAdep, financial collateral that will be promptly returned to the institution in the event of liquidation or bankruptcy of the counterparty is not considered.

§ 4. Transactions occurring in the over-the-counter market, in which only the institution constitutes variation margin, are treated as without variation margin.

§ 5. In calculating the total value of the exposure related to the credit risk of a specific counterparty, the use of financial collateral must comply with the provisions contained in Circular No. 3,809, of 2016.

Art. 6. The institution may limit the exposure value related to a clearing set composed of financial derivative instruments traded with variation margin to the exposure value calculated as if the financial derivative instruments had been traded without margin.

Art. 7. The institution may equate to zero the exposure value related to the issuance of an option traded without variation margin, where the respective premium has been settled and the option forms a clearing set composed solely of it.

Art. 8. The exposure value related to the credit risk of a counterparty of a set composed solely of a swap of credit traded without variation margin may be limited, at the institution's discretion, to the value of the premium to be settled, in the case of the institution acting as the recipient of the risk.

Sole paragraph. For the purposes of the main text, the institution may remove a credit derivative from a clearing set and treat it as traded without variation margin.

Section IIDo Asset Classes

Art. 9. For the calculation of the GPF value, financial derivative instruments must be classified in at least one of the following asset classes:

I - interest rate;

II - exchange rate;

III - credit;

IV - equities; or

V - commodities.

§ 1. The classification of financial derivative instruments in an asset class is performed based on their respective primary risk factors.

§ 2. For the purposes of this Annex, primary risk factor corresponds to the variable that determines the market value of the underlying asset of the financial derivative instrument.

§ 3. In determining the primary risk factor of a financial derivative instrument that has more than one risk factor, the one to which the market value of the instrument presents greater sensitivity is considered, according to a consistent and verifiable methodology.

§ 4. The Central Bank of Brazil may require that financial derivative instruments be classified simultaneously in more than one asset class.

Section IIIDo Clearable Transaction Sets

Art. 10. For the calculation of the GPF, financial derivative instruments must be allocated to clearable transaction sets, classified in the following categories, according to the asset classes to which they belong:

I - base clearable transaction sets;

II - sets of compensable volatility transactions; and

III - sets of regular compensable transactions.

§ 1º A set of base compensable transactions is formed by derivative financial instruments that possess:

I - their respective cash flows dependent on two distinct risk factors belonging to the same asset class; and

II - their respective long and short positions denominated in the same currency.

§ 2º Each set referred to in § 1º is formed by derivative financial instruments that possess the same pair of risk factors.

§ 3º The sets of volatility compensable transactions and regular compensable transactions are formed by derivative financial instruments according to the following conditions for each asset class:

I - interest rate: one set for each currency to which the derivative financial instruments refer;

II - exchange rate: one set for each currency pair to which the derivative financial instruments refer;

III - credit: a single set;

IV - equities: a single set; and

V - commodities: one set for each of four categories:

a) energy;

b) metal;

c) agricultural; and

d) other commodities.

§ 4º The sets of volatility compensable transactions are formed by derivative financial instruments that refer to the volatility of at least one risk factor.

§ 5º The sets of regular compensable transactions are formed by derivative financial instruments that are not classified in the sets of base compensable transactions nor in the volatility transaction sets.

§ 6º Each derivative financial instrument may compose only one set of compensable transactions, except in the situation provided for in Art. 9º, § 4º, of this Annex.

Section IV Calculation of GPF

Art. 11. GPF must be calculated according to the following formula:

GPF = Multiplier * VAA, where:

a) V = sum of the market values of the derivative financial instruments; and

b) C = net value of financial collateral, calculated as established in Art. 5º, §§ 1º and 3º, of this Annex; and

II - VAA = aggregate additional value.

Sole Paragraph. VAA is calculated through the following formula:

VAA = ∑VA (asset class), where VA(asset class) corresponds to the additional value relative to the derivative financial instruments of a specific asset class.

CHAPTER III
OF THE CALCULATION OF THE ADDITIONAL VALUE OF ASSET CLASSES

Section I Additional Value of the Interest Rate Asset Class

Art. 12. The additional value relative to the derivative financial instruments of the interest rate asset class (VAjuros) must be equal to the sum of the relative additional value (VA) determined for each set of compensable transactions, according to the following formula:

VAjuros = ∑ VA

§ 1º VA is calculated through the following formula:

VA = FS * VN, where:

I - FS = adjustment factor relative to the set of compensable transactions; and

II - VN = notional value relative to the set of compensable transactions.

§ 2º FS corresponds to:

I - 0.5% (five tenths of one percent), for sets of regular compensable transactions;

II - 0.25% (twenty-five hundredths of one percent), for sets of base compensable transactions; or

III - 2.5% (two and five tenths percent), for sets of volatility compensable transactions.

§ 3º VN is calculated through the following formula:

VN = [(VNE1)² + (VNE2)² + (VNE3)² + 1.4 * VNE1 * VNE2 + 1.4 * VNE2 * VNE3 + 0.6 * VNE1 * VNE3]¹/², where:

VNEk is equal to the effective notional value relative to the set of compensable transactions and the maturity category “k”.

§ 4º The maturity category “k” is determined according to the remaining term of the derivative financial instrument, being equal to:

I - 1 (one), if the remaining term is less than 1 (one) year;

II - 2 (two), if the remaining term is equal to or greater than one year, and less than 5 (five) years; or

III - 3 (three), if the remaining term is equal to or greater than 5 (five) years.

§ 5º VNEk is calculated through the following formula:

VNEk = ∑ δ * VNA * MF, where:

I - δ = standardized delta relative to the derivative financial instrument, defined in Art. 19 of this Annex;

II - VNA = adjusted notional value, relative to the derivative financial instrument of maturity “k”; and

III - MF = maturity factor relative to the derivative financial instrument, calculated as defined in Art. 20 of this Annex.

§ 6º VNA is calculated through the following formula:

VNA = DS * VN, where:

I - DS = standardized maturity relative to the derivative financial instrument, calculated as defined in Art. 21 of this Annex; and

II - VN = notional value of the derivative financial instrument, observing the provisions of Art. 22 of this Annex.

§ 7º The remaining term of the derivative financial instrument referred to in § 4º corresponds to the period between the valuation date and:

I - the maturity date of the instrument;

II - the maturity date of the underlying derivative financial instrument, if the traded derivative financial instrument is an option; or

III - the next payment date of the exposure, if there is provision for settlement on previously established dates, provided that the market value of the traded derivative financial instrument equals zero on that date.

Section II Additional Value of the Exchange Rate Asset Class

Art. 13. The additional value relative to the derivative financial instruments of the exchange rate asset class (VAcâmbio) must be equal to the sum of the relative additional value (VA) determined for each set of compensable transactions, according to the following formula:

VAcâmbio = ∑ VA

§ 1º VA is calculated through the following formula:

VA = FS * │VNE│, where:

I - │VNE│ = absolute value of the effective notional value relative to the set of compensable transactions; and

II - FS = adjustment factor relative to the set of compensable transactions.

§ 2º FS corresponds to:

I - 4% (four percent), for sets of regular compensable transactions; or

II - 20% (twenty percent), for sets of volatility compensable transactions.

§ 3º VNE is equal to the sum of the value determined for each derivative financial instrument, according to the following formula:

VNE = ∑ δ * VNA * MF, where:

I - δ = standardized delta relative to the derivative financial instrument, defined in Art. 19 of this Annex;

II - VNA = adjusted notional value, relative to the derivative financial instrument; and

III - MF = maturity factor relative to the derivative financial instrument “i”, calculated as defined in Art. 20 of this Annex.

§ 4º VNA corresponds to:

I - the notional value of the position denominated or indexed in foreign currency converted to national currency, as provided in Art. 3º, § 3º, of this Annex, if the derivative financial instrument presents only one position denominated or indexed in foreign currency; or

II - the greater value of the notional values relative to the two positions, converted to national currency, as provided in Art. 3º, § 3º, of this Annex, if the derivative financial instrument presents both positions denominated or indexed in foreign currencies.

§ 5º In determining VNA, the provisions of Art. 22 of this Annex must be observed.

Section III Additional Value of the Credit Asset Class

Art. 14. The additional value for the derivative financial instruments of the credit asset class (VAcrédito) must be equal to the sum of the relative additional value (VA) determined for each set of compensable transactions, according to the following formula:

VAcrédito = ∑ VA

§ 1º VA is calculated through the following formula:

VA = [(∑t ρt * VAt)² + ∑t (1- ρt²) * (VAt)²]¹/², where:

I - VAt = additional value relative to the derivative financial instruments referenced to entity “t” and that compose the set of compensable transactions; and

II - ρt = correlation factor relative to the credit derivative financial instruments related to entity “t”.

§ 2º The factor ρt corresponds to:

I - 50% (fifty percent), if entity “t” is a legal entity; or

II - 80% (eighty percent), if entity “t” is represented by a credit index.

§ 3º VAt is calculated through the following formula:

VAt = VNE * FS, where:

I - VNE = effective notional value relative to the derivative financial instruments referenced to an entity and that compose the set of compensable transactions; and

II - FS = adjustment factor relative to the entity and the set of compensable transactions.

§ 4º FS, for a set of regular compensable transactions and for a legal entity, corresponds to:

I - 0.54% (fifty-four hundredths of one percent), if the entity:

a) has issued shares that are included in relevant stock exchange indices subject to government regulation and supervision; or

b) is associated with a Risk Weighting Factor (RWF) less than or equal to 85% (eighty-five percent), according to the provisions of this Resolution; or

II - 6% (six percent), in other cases.

§ 5º FS, for a set of base compensable transactions and for a legal entity, corresponds to:

I - 0.27% (twenty-seven hundredths of one percent), if the entity satisfies at least one of the conditions set forth in § 4º, item I; or

II - 3% (three percent), if the entity does not satisfy any of the conditions set forth in § 4º, item I.

§ 6º FS, for a set of volatility compensable transactions and for a legal entity, corresponds to:

I - 2.7% (two and seven tenths percent), if the entity satisfies at least one of the conditions set forth in § 4º, item I; or

II - 30% (thirty percent), if the entity does not satisfy any of the conditions set forth in § 4º, item I.

§ 7º FS, for a set of compensable transactions and for an entity represented by a credit index, corresponds to the result of the following formula:

FS = (∑t αt * FSt) * µ, where:

I - αt = relative participation of entity “t”, a legal entity, in the credit index;

II - FSt = adjustment factor associated with entity “t”, a legal entity, determined according to the provisions of § 4º; and

III - µ = multiplier associated with the set of compensable transactions, corresponding to:

a) 1 (one), for sets of regular compensable transactions;

b) 0.5 (five tenths), for sets of base compensable transactions; or

c) 5 (five), for sets of volatility compensable transactions.

§ 8º The formula set forth in § 7º for determining FS may be replaced by the following formula:

FS = 0.0106 * µ

§ 9º VNE is equal to the sum of the value determined for each derivative financial instrument, by entity, according to the following formula:

VNE = ∑ δ * VNA * MF, where:

I - δ = standardized delta relative to the derivative financial instrument, defined in Art. 19;

II - VNA = adjusted notional value of the derivative financial instrument referenced to the entity; and

III - MF = maturity factor relative to the derivative financial instrument, calculated as defined in Art. 20 of this Annex.

§ 10. VNAt is calculated through the following formula:

VNAt = DS * VNt, where:

I - DS = standardized maturity relative to the derivative financial instrument referenced to entity “t”, calculated as defined in Art. 21 of this Annex; and

II - VNt = notional value of the derivative financial instrument referenced to entity “t”, observing the provisions of Art. 22 of this Annex.

Section IV Additional Value of the Equities Asset Class

Art. 15. The additional value relative to the derivative financial instruments of the equities asset class (VAações) must be equal to the sum of the relative additional value (VA) determined for each set of compensable transactions, according to the following formula:

VAações = ∑ VA

§ 1º VA is calculated through the following formula:

VA = [(∑t ρt * VAt)² + ∑t (1- ρt²) * (VAt)²]¹/², where:

I - VAt = additional value relative to the derivative financial instruments referenced to entity “t” and that compose the set of compensable transactions; and

II - ρt = correlation factor for the derivative financial instruments relative to entity “t”.

§ 2º The factor ρt corresponds to:

I - 50% (fifty percent), if entity “t” is a legal entity; or

II - 80% (eighty percent), if entity “t” is represented by an equity index.

§ 3º VAt is calculated through the following formula:

VAt = VNE * FS, where:

I - VNE = effective notional value relative to the derivative financial instruments referenced to a specific entity and that compose the set of compensable transactions; and

II - FS = adjustment factor relative to the entity and the set of compensable transactions.

§ 4º FS, for a set of regular compensable transactions and for an entity, corresponds to:

I - 32% (thirty-two percent), if the entity is a legal entity; or

II - 20% (twenty percent), if the entity is represented by an equity index.

§ 5º FS, for a set of base compensable transactions and for the entity, corresponds to:

I - 16% (sixteen percent), if the entity is a legal entity; or

II - 10% (ten percent), if the entity is represented by an equity index.

§ 6º FS, for the set of volatility compensable transactions and for the entity, corresponds to:

I - 160% (one hundred and sixty percent), if the entity is a legal entity; or

II - 100% (one hundred percent), if the entity is represented by an equity index.

§ 7º VNE is equal to the sum of the value determined for each derivative financial instrument, by entity, according to the following formula:

VNE = ∑ δ * VNA * MF, where:

I - δ = standardized delta relative to the derivative financial instrument, defined in Art. 19 of this Annex;

II - VNA = adjusted notional value of the derivative financial instrument referenced to the entity; and

III - MF = maturity factor relative to the derivative financial instrument, calculated as defined in Art. 20 of this Annex.

§ 8º VNA of the derivative financial instrument is calculated as follows:

I - for an instrument that composes a regular or base set of compensable transactions:

VNA = P * N, where:

a) P = market price of one unit of the share issued by an entity, calculated according to the provisions of Circular No. 3,082, of January 30, 2002, and Resolution No. 4,277, of October 31, 2013; and

b) N = number of units of the share issued by the entity, relative to the derivative financial instrument and that composes the compensation set; and

II - for an instrument that composes a set of volatility compensable transactions:

VNA = VR * CN, where:

a) VR = volatility indicator of the share or equity index; and

b) CN = contracted notional value relative to the share or equity index.

§ 9º In determining VNA, the provisions of Art. 22 of this Annex must be observed.

Section V Additional Value of the Commodities Asset Class

Art. 16. The additional value relative to the derivative financial instruments of the commodities asset class (VAcomm) must be equal to the sum of the relative additional value (VA) determined for each set of compensable transactions, according to the following formula:

VAcomm = ∑ VA

§ 1º VA is calculated through the following formula:

VA = [(0.4 * ∑v VAv)² + 0.84 * ∑v VAv²]¹/², where VAv is equal to the additional value relative to the derivative financial instruments referenced to commodities of type “v” and that compose the set of compensable transactions.

§ 2º VAv is calculated through the following formula:

VAv = VNE * FS, where:

I - VNE = effective notional value relative to the derivative financial instruments referenced to commodities of type “v” and that compose the set of compensable transactions; and

II - FS = adjustment factor relative to the type of commodities that compose the set of compensable transactions.

§ 3º FS, for sets of regular compensable transactions, corresponds to:

I - 40% (forty percent), for the type of commodity electric energy; or

II - 18% (eighteen percent), for the other types of commodities.

§ 4º FS, for sets of base compensable transactions, corresponds to:

I - 20% (twenty percent), for the type of commodity electric energy; or

II - 9% (nine percent), for the other types of commodities.

§ 5º FS, for sets of volatility compensable transactions, corresponds to:

I - 200% (two hundred percent), for the type of commodity electric energy; or

II - 90% (ninety percent), for the other types of commodities.

§ 6º VNE is equal to the sum of the value determined for each derivative financial instrument, by type of commodity, according to the following formula:

VNE = ∑ δ * VNA * MF, where:

I - δ = standardized delta relative to the derivative financial instrument, defined in Art. 19;

II - VNA = adjusted notional value of the derivative financial instrument, of the type of commodity that composes the set of compensable transactions; and

III - MF = maturity factor relative to the derivative financial instrument, calculated as defined in Art. 20.

§ 7º VNA of the derivative financial instrument is calculated as follows:

I - for an instrument that composes a regular or base set of compensable transactions:

VNA = P * N, where:

a) P = market price of one unit of the commodity, calculated according to the provisions of Circular No. 3,082, of 2002, and Resolution No. 4,277, of 2013; and

b) N = number of units of the commodity, relative to the derivative financial instrument that composes the compensation set; and

II - for an instrument that composes a set of volatility compensable transactions:

VNA = VR * CN, where:

a) VR = volatility indicator relative to the commodity; and

b) CN = contracted notional value relative to the commodity.

§ 8º In determining VNA, the provisions of Art. 22 of this Annex must be observed.

CHAPTER IV
OF MULTIPLE MARGIN AGREEMENTS

Art. 17. The exposure relative to the compensation set associated with multiple margin agreements must be calculated according to the following formula:

EXP = ∑ EXPsub, where EXPsub is equal to the exposure associated with a subset formed by derivative financial instruments covered by only one of these agreements.

Sole Paragraph. The value of EXPsub is determined according to the provisions of Art. 3º of this Annex.

Art. 18. If the institution has entered into a margin agreement that has two or more compensation sets, the exposure associated with these sets must be calculated as follows:

EXP = 1.4 * (RCdcc + GPFdcc), where:

I - RCdcc = replacement value relative to the compensation sets covered by the compensation agreement; and

II - GPFdcc = future potential gain relative to the compensation sets covered by the compensation agreement.

§ 1º RCdcc is calculated through the following formula:

RCdcc = max {Σcc max {Vcc ; 0} - max {Cam; 0};0} + max {Σcc min { Vcc ; 0} – min {Cam; 0}; 0}, where:

I - Vcc = market value of the derivative financial instruments that compose one of the compensation sets covered by the agreement; and

II - Cam = net value of financial collateral relative to all compensation sets covered by the agreement, calculated as established in Art. 5º, §§ 1º and 3º, of this Annex.

§ 2º GPFdcc is calculated as follows:

GPFdcc = ∑ GPFcc, where GPFcc is equal to the future potential gain relative to one of the compensation sets covered by the agreement.

§ 3º If Cam is equal to or less than GPFdcc, calculated as set forth in § 2º, GPFcc must be determined as if it were composed of derivative financial instruments traded without margin deposits, and GPFdcc must be recalculated.

CHAPTER V
OF STANDARDIZED PARAMETERS

Section I Standardized Delta

Art. 19. The standardized delta relative to the derivative financial instrument (δ) must correspond to:

I - in the case of a call option, to the result of the following formula:

Φ = cumulative standard normal distribution function;
P = market price of the underlying asset of the option;
K = exercise price of the option;
λj = smallest value to be added in the context of zero or negative interest rates, if the ratio P/K is non-positive, to be applied to all options of the interest rate class, denominated in currency “j”;
T = period until the last date on which the option can be exercised; and
σ = standardized volatility associated with the option, defined in the sole paragraph; or

II - in the case of a put option, to the result of the following formula:

III - in the case of a derivative financial instrument referenced to a class of payment priority of a securitization operation, to the result of the following formula:

A = percentage of accumulated losses in the value of the underlying assets from which there is a reduction in the remuneration of the payment priority class; and
D = percentage of accumulated losses in the value of the underlying assets from which there is a total loss of value of a specific payment priority class; or

IV - in the case of other derivative financial instruments:

a) δ = 1, for a long position; or

b) δ = - 1, for a short position.

§ 1º The standardized volatility (σ) assumes the following values:

I - 50% (fifty percent), for the interest rate class;

II - 15% (fifteen percent), for the exchange rate class;

III - for the credit class:

a) 100% (one hundred percent), for options referenced to legal entities; or

b) 80% (eighty percent), for credit options referenced to a credit index; and

IV - for the equities class:

a) 120% (one hundred and twenty percent), for options referenced to legal entities; or

b) 75% (seventy-five percent), for options referenced to an equity index; and

V - for the commodities class:

a) 150% (one hundred and fifty percent), for options referenced to commodities that belong to the electric energy type; or

b) 70% (seventy percent), for options referenced to the other commodities.

§ 2º If the position of the traded derivative instrument cannot be promptly identified as long or short, the institution must verify which risk factor most sensitizes its market value, observing the provisions of Art. 9º, § 3º, of this Annex, treating the position as long, if the predominant risk factor is from the long position, or as short, if it is from the short position.

Section II Maturity Factor

Art. 20. The maturity factor relative to the derivative financial instrument (MF) must be calculated through the following formula:

§ 1º M corresponds to the period, in business days, between the valuation date of the exposure and:

I - the maturity date of the instrument;

II - the maturity date of the underlying derivative financial instrument, if the traded derivative financial instrument is an option; or

§ 2º For the purpose of applying the formula defined in item I of the caput, M corresponds to, at minimum, 10 (ten) business days.

§ 3º MPOR is equal to:

I - 5 (five) business days, if the financial derivative instrument is cleared through a central counterparty and is subject to a daily exposure settlement agreement;

II - (5 + RPM - 1), if the financial derivative instrument is cleared through a central counterparty;

III - 10 (ten) business days, if the financial derivative instrument is not cleared through a central counterparty and is subject to a daily exposure settlement agreement;

IV - (10 + RPM - 1), if the financial derivative instrument is not cleared through a central counterparty and is part of a netting set with fewer than 5 (five) thousand financial derivative instruments; and

V - 20 (twenty) business days, in the case of netting sets composed of at least 5 (five) thousand financial derivative instruments not cleared through central counterparties.

§ 4º RPM corresponds to the number of business days provided for the settlement of the exposure related to the derivative instrument.

§ 5º The MPOR established in § 3º is doubled for the netting set in which, over a period of 2 (two) quarters, at least two discrepancies regarding exposure values between the institution and the counterparty have occurred, and at least one of the discrepancies has exceeded the prescribed settlement period for the exposure without being closed.

Section IIIDate of Maturity Calculation

Art. 21. The standardized maturity of the financial derivative instrument (DS) must be calculated as follows:

§ 1º S is equal to:

I - the period between the date of exposure assessment and the start of the term:

a) of the underlying financial derivative instrument of the traded instrument; or

b) of the traded financial derivative instrument, in other cases; or

II - zero, for the financial derivative instrument in force.

§ 2º E is equal to the period between the date of exposure assessment and the maturity date:

I - of the underlying financial derivative instrument of the traded instrument; or

II - of the traded financial derivative instrument, in other cases.

§ 3º For the purpose of applying the formula defined in the caput, the value of E corresponds to, at minimum, S plus 10 (ten) business days.

Section IVSpecifics of Notional Values

Art. 22. The NV, when not clearly identified or when it does not remain constant until the maturity date, must be determined considering the specific conditions established in the contract.

§ 1º If the determination of the financial result depends on a formula, the NV is calculated by applying it, with reference to the moment of assessment, including regarding market values of assets and any terms.

§ 2º For a swap that has a trajectory of variation of the contractual notional value over time, the NV is equal to the time-weighted average of the contractual notional value, considering the remaining term.

§ 3º For a leveraged swap, the NV is equal to the contractual notional value multiplied by the respective leverage factor.

§ 4º For the financial derivative instrument where there are multiple principal exchanges, the NV is equal to the contractual notional value multiplied by the number of payments to be made.

§ 5º For the financial derivative instrument where there are periodic settlements of accumulated balances on previously established dates, the NV is equal to zero on the date the settlement is effected.

§ 6º If an option, to be exercised if the underlying asset reaches or exceeds the predetermined exercise price (digital or binary option), can be reproduced by purchasing or selling two or more options that can only be exercised on the same maturity date, the NV is determined considering the options used in its reproduction, as if traded separately.

§ 7º For an option, to be exercised on predetermined dates, that has a swap as its underlying asset, the NV is calculated considering that S is equal to the period between the date of exposure assessment and the next date on which there is the possibility of exercise.

§ 8º If the exercise price of an option, unknown at the time of payment of its premium, is a multiple of the price of the underlying asset on a future date, the NV is calculated considering:

I - S = period between the date of exposure assessment and the date on which the exercise price is defined; and

II - T = period between the date on which the exercise price is defined and the maturity date of the option.

§ 9º If an option, which establishes limits for fluctuations in asset prices or interest rates for certain payment intervals, can be reproduced by options that can only be exercised on their respective maturity dates, the NV is determined from the sum of the notional values of these options, whereby for the options that limit fluctuations in the payment interval:

I - S = T = period between the date of exposure assessment and the start of the payment interval; and

II - E = period between the date of exposure assessment and the end of the payment interval, considering the provisions of art. 21, § 3º, of this Annex.

ANNEX II TO RESOLUTION BCB NO. 229, OF MAY 12, 2022

Establishes the procedures for calculating the value of the exposure related to counterparty credit risk arising from operations with financial derivative instruments through the CEM Approach.

CHAPTER I
SCOPE OF APPLICATION

Art. 1º This Annex provides for the procedures for calculating the value of the exposure related to counterparty credit risk of operations with financial derivative instruments through the CEM Approach.

Sole Paragraph. The calculation referred to in this Annex applies to financial derivative instruments classified in the banking book and to financial derivative instruments classified in the trading book, as defined in current regulation. (Included, effective July 1, 2024, by Resolution BCB No. 313, of April 26, 2023.)

CHAPTER II
EXPOSURE VALUE

Art. 2º The value of the exposure related to counterparty credit risk arising from an operation with a financial derivative instrument, except for credit derivatives, must correspond to its replacement value, if positive, plus the future potential gain, as provided in art. 3º of this Annex.

Art. 3º The future potential gain arising from a transaction with a financial derivative instrument must be determined by multiplying the notional value of the financial derivative instrument by the respective Future Potential Exposure Factor (FPEF).

~~§ 1º The notional value denominated or indexed in foreign currency is converted into national currency as provided in art. 7º, § 3º, of this Annex.~~

§ 1º The values, notional and market, denominated or indexed in foreign currency are converted into national currency based on the exchange rate of the date of assessment of the exposure value. (Redacted, effective July 1, 2023, by Resolution BCB No. 323, of June 14, 2023.)

§ 2º The FPEF corresponds to the greater of the values related to the active and passive positions of the financial derivative instrument, according to the remaining term.

§ 3º In the case of operations that provide for settlements of values related to periodic adjustments, with respective updating of their terms and conversion of their market value to zero, the remaining term must be considered until the next settlement date, limiting the FPEF to a minimum value of 0.5% (five tenths of a percent) in operations with a remaining term greater than 1 (one) year.

§ 4º The values related to the benchmarks "interest rate" and "price index" are 0% (zero percent), 0.5% (five tenths of a percent) and 1.5% (one and five tenths percent), for the remaining term of the transaction less than 1 (one) year, from 1 (one) to 5 (five) years and greater than 5 (five) years, respectively.

§ 5º The values related to the benchmarks "exchange rate" and "gold" are 1% (one percent), 5% (five percent) and 7.5% (seven and five tenths percent), for the remaining term of the transaction less than 1 (one) year, from 1 (one) to 5 (five) years and greater than 5 (five) years, respectively.

§ 6º The values related to the benchmark "stocks" are 6% (six percent), 8% (eight percent) and 10% (ten percent), for the remaining term of the transaction less than 1 (one) year, from 1 (one) to 5 (five) years and greater than 5 (five) years, respectively.

§ 7º The values related to other benchmarks not mentioned in §§ 3º to 6º are 10% (ten percent), 12% (twelve percent) and 15% (fifteen percent), for the remaining term of the transaction less than 1 (one) year, from 1 (one) to five years and greater than 5 (five) years, respectively.

§ 8º For the purposes of this article, the remaining term corresponds to the period between the date of assessment of the exposure value and:

I - the maturity date of the instrument;

II - the maturity date of the underlying financial derivative instrument, if the traded financial derivative instrument is an option; or

III - the next payment date of the exposure, if there is provision for settlement on previously established dates, provided that the market value of the traded financial derivative instrument equals zero on this date.

CHAPTER III
CREDIT DERIVATIVES

Art. 4º The value of the exposure related to counterparty credit risk arising from a transaction with a credit financial derivative instrument must correspond to its replacement value, if positive, plus the future potential gain, as provided in art. 5º of this Annex.

Art. 5º The future potential gain arising from a transaction with a credit derivative must be determined by multiplying the notional value of the financial derivative instrument by the respective FPEF.

§ 1º The notional value denominated or indexed in foreign currency is converted into national currency based on the exchange rate of the date of assessment of the exposure value.

§ 2º The FPEF corresponds to the following values:

I - 5% (five percent), for underlying assets that represent exposures to financial institutions and other institutions authorized to operate by the Central Bank of Brazil; and

II - 10% (ten percent), for other underlying assets.

§ 3º For the institution receiving the risk in a transaction with a credit derivative in the swap credit modality, the FPG may be limited to the value of the premium to be settled.

CHAPTER IV
DERIVATIVES SUBJECT TO AGREEMENTS FOR NETTING AND SETTLEMENT OF OBLIGATIONS

Art. 6º The value of the exposure related to counterparty credit risk arising from transactions with financial derivative instruments, including credit derivatives, subject to a bilateral agreement for the netting and settlement of obligations that satisfies the conditions established in art. 13 of Circular No. 3,809, August 25, 2016, must correspond to the result of the sum:

I - the net replacement value, if positive; and

II - the net future potential gain (Net FPG), determined according to art. 7º of this Annex.

§ 1º The exposure value mentioned in the caput is determined per counterparty for the set of financial derivative instruments subject to the same agreement for the netting and settlement of obligations.

§ 2º The net replacement value mentioned in item I of the caput is defined as the sum of the replacement values of operations with financial derivative instruments, determined per counterparty for the set of operations subject to the same agreement for the netting and settlement of obligations.

Art. 7º The net future potential gain must be determined according to the following formula:

Net FPG = Gross FPG * (0.4 + 0.6 * NGR), where:

I - Gross FPG = sum of future potential gains calculated per transaction with the same counterparty according to arts. 3º and 5º of this Annex; and

II - NGR = ratio between the net replacement value, if positive, and the sum of the positive replacement values of the operations subject to an agreement for the netting and settlement of obligations, calculated according to the following formula:

a) n = number of operations with the same counterparty; and

b) MtMi = replacement value of the financial derivative instrument “i”.

Sole Paragraph. The NGR is equal to zero in cases where the net replacement value is not positive.

Resolution BCB No. 229 — Procedures for Calculating the Risk-Weighted Asset Component for Credit Risk Exposures under the Standardized Approach

Lineage: Amended

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