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QUESTIONS AND ANSWERS

Resolution BCB No. 313, of April 26, 2023.

Scope

1) If a financial instrument subject to the calculation of required capital for credit‑risk exposures of financial instruments classified in the trading book (RWADRC) presents, by its characteristics, exposures related to counterparty credit risk, how should these be treated?

The counterparty credit‑risk exposures of a financial instrument subject to the RWADRC calculation must have their required capital calculated in the manner set out in Resolution BCB No. 229, of May 12, 2022.

2) If a financial instrument subject to the calculation of required capital for credit‑risk exposures of financial instruments classified in the trading book (RWADRC) presents, by its characteristics, exposures related to the variation of its value due to the counterparty’s credit quality (CVA), how should these be treated?

The CVA risk exposures of a financial instrument subject to the RWADRC calculation must have their required capital calculated in the manner set out in Resolution BCB No. 291, of February 8, 2023.

DRCNSEC

3) Should a derivative financial instrument whose underlying asset is an equity or credit index be considered for the calculation of the DRC components?

Yes, a derivative financial instrument whose underlying asset is an equity or credit index must be considered for the calculation of the DRC. When the index is not related to instruments resulting from a securitization process, it must be considered in the DRCNSEC component. When the index is related to instruments resulting from a securitization process, but is not considered a CTP credit index, it must be considered in the DRCSEC component. When the index is a CTP credit index, it must be considered in the DRCCTP component.

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4) How must the T factor referred to in art. 5 be applied to equity positions for the calculation of the DRCNSEC component?

The definition of the T‑factor value for the calculation of the gross exposure (JTD) of a specific equity position must be based on consistent and verifiable criteria, in accordance with §3 of art. 5 of Resolution BCB No. 313. Among these criteria, for example, one may consider the purpose pursued when establishing a specific position, thus allowing the use of different T‑factor values for distinct positions, regardless of whether they relate to the same equity.

5) What treatment must be applied to a mutual‑fund share for the calculation of the DRCNSEC component? In particular, how should the Loss Factor and the T Factor applicable to the determination of its gross exposure (JTD) be determined?

A share of an investment fund not related to a payment‑priority class structure and classified in the trading book must be included among the positions covered by the DRCNSEC component. The calculation of its gross exposure (JTD) must be performed as if the share were an equity, as determined in §7 of art. 4 of Resolution BCB No. 313, including for the determination of the applicable Loss Factor and T Factor.

DRCSEC and DRCCTP

6) For the determination of the DRCSEC and DRCCTP components, what characteristics of a financial instrument define it as a securitization?

For the calculation of the DRC, as defined in Resolution BCB No. 313, for a financial instrument to be considered a securitization it must result from a securitization process, as defined in art. 19 of Resolution BCB No. 229.

7) How must the DRC reference of a securitized position be determined for the calculation of the DRCSEC and DRCCTP components?

The calculations of DRCSEC and DRCCTP do not require the definition of a DRC reference, unlike DRCNSEC. In these two components, for the definition of a net exposure, only gross exposures that share the criteria listed in art. 20, when dealing with DRCSEC, or in art. 31, when dealing with DRCCTP, may be offset.

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Version Control

Version	Reference	Changes
1.0	March 2025	-