Resolution BCB No. 313 — Establishes the procedures for the daily calculation, using a standardized approach, of the portion of risk‑weighted assets (RWA) related to the calculation of required capital for credit‑risk exposures of financial instruments classified in the trading book

The document clarifies that counterparty credit‑risk exposures of instruments subject to the RWADRC calculation must be capital‑calculated according to Resolution BCB No. 229, while CVA exposures must follow Resolution BCB No. 291. It states that derivative instruments whose underlying is an equity or credit index are included in DRC calculations, assigned respectively to the DRCNSEC, DRCSEC or DRCCTP component depending on the index type. The T‑factor for equity positions must be set based on consistent, verifiable criteria per art. 5§3, and investment‑fund shares not linked to payment‑priority structures are treated like equities for DRCNSEC exposure, with loss and T factors determined as in art. 4§7. Finally, it defines securitization instruments as those resulting from a securitization process (art. 19 of Resolution 229) and notes that DRCSEC and DRCCTP do not require a DRC reference, allowing offset only of gross exposures meeting the criteria of arts. 20 and 31.

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Version 1.0

QUESTIONS AND ANSWERS

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

Scope

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.

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Lineage: Amended

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Timeline

Amended 1 time · last 2024-12-19

2024-12-19BCBBCB Resolution No. 447 of December 19, 2024amends

Source: Banco Central do Brasil — original document · Summary generated with machine assistance and reviewed before publication; the authoritative text is the regulator's original document. How RegAlert works