Resolution BCB No. 54 — Disclosure of the Pillar 3 Report

Resolution No. 54

RESOLUTION BCB NO. 54, OF DECEMBER 16, 2020

Provides for the disclosure of the Pillar 3 Report.

The Collegiate Board of the Central Bank of Brazil, in a session held on December 15, 2020, based on the provisions of Arts. 9, 10, item IX, and 11, item VII, of Law No. 4.595, of December 31, 1964, Arts. 9, item II, and 15 of Law No. 12.865, of October 9, 2013, and in view of the provisions of Art. 56 of Resolution No. 4.557, of February 23, 2017, Resolution CMN No. 4.955, of October 21, 2021, Resolution BCB No. 199, of March 11, 2022, and Art. 63 of Resolution BCB No. 265, of November 25, 2022, (Amended, effective July 1, 2023, by Resolution BCB No. 306, of March 23, 2023.)

RESOLVES:

CHAPTER I

OF THE OBJECT, SCOPE OF APPLICATION, AND PRELIMINARY PROVISIONS

Art. 1 This Resolution provides for the disclosure of the Pillar 3 Report.

Art. 2 Institutions classified in Segment 1 – S1, Segment 2 – S2, Segment 3 – S3, or Segment 4 – S4, in accordance with Resolution No. 4.553, of January 30, 2017, or in accordance with Resolution BCB No. 436, of November 28, 2024, must disclose a document called the Pillar 3 Report. (Amended, effective January 1, 2025, by Resolution BCB No. 447, of December 19, 2024.)

§ 1º Subject to the segmentation established in Chapter III and summarized in a summary table in Annex I, the Pillar 3 Report must contain information regarding:

I - prudential indicators and risk management;

II - comparison between accounting and prudential information;

III - capital composition;

IV - macroprudential indicators;

V - leverage ratio (LR);

VI - liquidity indicators;

VII - credit risk;

VIII - counterparty credit risk (CCR);

IX - securitization exposures;

X - market risk;

XI - interest rate risk in instruments classified in the banking book (IRRBB); (Amended, effective July 1, 2023, by Resolution BCB No. 306, of March 23, 2023.)

XII - executive remuneration; (Amended, effective July 1, 2023, by Resolution BCB No. 306, of March 23, 2023.)

XIII - comparison between RWA calculated under the standardized approach and the internal models approach; (Amended, effective January 1, 2025, by Resolution BCB No. 355, of November 28, 2023.)

XIV - linked assets; and (Amended, effective January 1, 2025, by Resolution BCB No. 355, of November 28, 2023.)

XV - operational risk. (Included, effective January 1, 2025, by Resolution BCB No. 355, of November 28, 2023.)

§ 2º The Pillar 3 Report must be prepared on a consolidated basis for institutions belonging to the same prudential conglomerate, as established in the regulation governing the preparation of consolidated accounting documents. (Amended, effective July 1, 2023, by Resolution BCB No. 306, of March 23, 2023.)

§ 3º The description of the risk management structure and the capital management structure established in the current regulations shall be evidenced through the disclosure of qualitative information on risk management provided for in this Resolution. (Amended, effective July 1, 2023, by Resolution BCB No. 306, of March 23, 2023.)

§ 4º For the purposes of preparing the Pillar 3 Report, information regarding the portion related to credit risk exposures subject to the capital requirement calculation under the standardized approach (RWACPAD) must be segregated as follows: (Amended, effective July 1, 2023, by Resolution BCB No. 306, of March 23, 2023.)

I - exposures to credit risk in the strict sense, understood as credit risk not associated with the topics listed in items II to VI, as detailed in Section VII of Chapter II;

II - exposures to CCR, as detailed in Section VIII of Chapter II;

III - (Revoked, effective July 1, 2023, by Resolution BCB No. 306, of March 23, 2023.)

IV - acquisition of shares issued by non-consolidated investment funds;

V - securitization exposures, as detailed in Section IX of Chapter II; and

VI - items not deducted from the calculation of Reference Equity (RE). (Amended, effective July 1, 2023, by Resolution BCB No. 306, of March 23, 2023.)

Art. 3 The information in the Pillar 3 Report must be disclosed according to the fixed or flexible format tables established by the Central Bank of Brazil.

§ 1º Provided that there is no change in the order of presentation and the respective numbering in the tables established by the Central Bank of Brazil, the following are admitted for tables with fixed format:

I - the addition of rows or columns, with a view to greater granularity of information; and

II - the suppression, duly justified, of rows or columns whose information is not considered relevant.

§ 2º The form of presentation of the information required in tables with flexible format is discretionary.

§ 3º Tables with fixed format must be disclosed with their respective headers.

§ 4º In exceptional cases where the disclosure of information required in the Pillar 3 Report violates confidentiality or property clauses, the corresponding specific item may not be disclosed, provided it is justified in an additional comment to the respective table.

§ 5º The information in the Pillar 3 Report must be accompanied by additional comments containing supplementary information in the form required in each table.

CHAPTER II

OF THE DISCLOSURE OF INFORMATION

Section I

Of Prudential Indicators and Risk Management

Art. 4 The information in the Pillar 3 Report regarding prudential indicators and risk management must be disclosed according to the following tables established by the Central Bank of Brazil:

I - quantitative information on prudential requirements (table KM1);

II - overview of the institution's risk management (table OVA); and

III - overview of risk-weighted assets (table OV1).

Section II

Of the Comparison between Accounting and Prudential Information

Art. 5 The comparison between accounting and prudential information must be disclosed according to the following tables established by the Central Bank of Brazil:

I - explanation of differences between values recorded in accounting statements and values of exposures subject to prudential treatment (table LIA);

II - differences between the scope of accounting consolidation and the scope of prudential treatment, as well as the detailing of values associated with risk categories (table LI1);

III - main causes of differences between values considered in prudential regulation and exposure values (table LI2); and

IV - prudential adjustments (table PV1).

§ 1º For the purposes of calculating the differences mentioned in the caput, the values considered in prudential regulation must be compared with the values of the consolidated balance sheet included in the published financial statements or, in their absence, the consolidated balance sheet prepared in accordance with the Accounting Plan of Institutions of the National Financial System (Cosif).

§ 2º The information provided in table LIA mentioned in the caput must be complemented with the list of institutions and entities comprising the prudential conglomerate.

§ 3º In the event that the scope of accounting consolidation is different from the scope of prudential consolidation, the information provided in table LIA must also be complemented with:

I - list of institutions and entities that are part of the scope of consolidation of the balance sheet included in the published financial statements and are not part of the prudential conglomerate; and

II - total assets, equity, area of operation, and brief description of the main activity of the institutions and entities mentioned in item I considered relevant.

Section III

Of Capital Composition

Art. 6 The information in the Pillar 3 Report regarding capital composition must be disclosed according to the following tables established by the Central Bank of Brazil:

I - main characteristics of the instruments comprising Reference Equity (table CCA);

II - composition of Reference Equity (RE) (table CC1); and (Amended, effective July 1, 2023, by Resolution BCB No. 306, of March 23, 2023.)

III - reconciliation of Reference Equity with the balance sheet (table CC2).

§ 1º Information on the instruments comprising RE with identical characteristics, except for the issuance date, may be provided in an aggregated manner, according to the definition of table CCA.

§ 2º The institution subject to the disclosure of table CCA must disclose and keep updated on its website the terms and conditions of the contracts of the instruments comprising its RE, in a manner that allows knowledge of their essential characteristics.

§ 3º The detailing of the consolidated balance sheet presented in table CC2 must be sufficient to allow the identification of relevant elements reported in table CC1.

§ 4º The balance sheet mentioned in item III of the caput corresponds to that mentioned in § 1º of Art. 5.

Art. 7 For the purposes of disclosing information required in table CC1, the following must be considered:

I - the Basel Index (BI) calculated according to the following formula:

RE = Reference Equity; and

RWA = amount of risk-weighted assets;

(Item I amended, effective July 1, 2023, by Resolution BCB No. 306, of March 23, 2023.)

II - the Tier 1 Index (T1I) calculated according to the following formula:

Tier 1 = portion of RE corresponding to the sum of Core Capital and Supplementary Capital;

(Item II amended, effective July 1, 2023, by Resolution BCB No. 306, of March 23, 2023.)

III - the Core Capital Index (CCI) calculated according to the following formula:

(Item III amended, effective July 1, 2023, by Resolution BCB No. 306, of March 23, 2023.)

Sole paragraph. In the event that the institution discloses capitalization indices supplementary to those defined in this Resolution, the respective calculation methodology must be explicit.

Section IV

Of Macroprudential Indicators

Art. 8 The information in the Pillar 3 Report regarding macroprudential indicators must be disclosed according to the following tables established by the Central Bank of Brazil:

I - indicators used to characterize a financial institution as globally systemically important (table GSIB1); and

II - geographic distribution of credit risk exposures considered in the calculation of the Countercyclical Buffer (table CCyB1). (Amended, effective July 1, 2023, by Resolution BCB No. 306, of March 23, 2023.)

Sole paragraph. Table GSIB1 must be disclosed only by institutions subject to the calculation of information for the assessment of Global Systemic Importance (GSI), as provided for in Circular No. 3.751, of March 19, 2015.

Section V

Of the Leverage Ratio (LR)

Art. 9 The information in the Pillar 3 Report regarding the Leverage Ratio must be disclosed according to the following tables established by the Central Bank of Brazil:

I - comparison between information from financial statements and those used to calculate the Leverage Ratio, as provided for in Circular No. 3.748, of February 27, 2015 (table LR1); and

II - detailed information on the Leverage Ratio (table LR2).

Sole paragraph. The financial statements mentioned in item I of the caput correspond to those mentioned in § 1º of Art. 5.

Section VI

Of Liquidity Indicators

Art. 10. The information in the Pillar 3 Report regarding liquidity indicators must be disclosed according to the following tables established by the Central Bank of Brazil:

I - qualitative information on liquidity risk management (table LIQA);

II - Short-Term Liquidity Indicator, as provided for in Circular No. 3.749, of March 5, 2015 (table LIQ1); and

III - Long-Term Liquidity Indicator, as provided for in Circular No. 3.869, of December 19, 2017 (table LIQ2).

§ 1º The values of table LIQ1 must be calculated from the simple average of daily values observed in the quarter regarding the reported base date.

§ 2º The number of daily observations used in the calculation of the average values disclosed as required in § 1º must be reported.

§ 3º Relevant restrictions or impediments, existing or possible, to the transfer of resources between institutions comprising the conglomerate must be evidenced in the field designated for comments in table LIQ1.

§ 4º Qualitative information facilitating the understanding of the composition and evolution of Available Stable Funding (ASF) and Required Stable Funding (RSF) amounts, as provided for in Circular No. 3.869, of 2017, must be evidenced in the field designated for comments in table LIQ2.

Section VII

Of Credit Risk

Art. 11. The information in the Pillar 3 Report regarding credit risk in the strict sense defined in Art. 2, § 4º, item I, must be disclosed according to the following tables established by the Central Bank of Brazil:

I - qualitative information on credit risk management (table CRA);

II - credit quality of exposures (table CR1);

III - changes in the stock of classified non-performing assets (CR2); (Amended by Resolution BCB No. 306, of March 23, 2023.)

IV - additional information on the credit quality of exposures (table CRB);

V - information on instruments mitigating credit risk (table CRC);

VI - overview of credit risk mitigation techniques (table CR3);

VII - standardized approach – exposures and effects of credit risk mitigation (table CR4); and

VIII - standardized approach – segregation of exposures by counterparty and by risk weighting factor (table CR5).

§ 1º The information disclosed in tables CRA, CRC, CR3, CR4, and CR5 covers all operations mentioned in Art. 2, § 4º, item I.

§ 2º The information disclosed in tables CR1, CR2, and CRB covers only:

I - credit granting, comprising loans, financing, lease operations, interbank liquidity operations, and other similar operations;

II - debt securities, comprising credit titles, promissory notes, debentures, and other instruments with similar characteristics, except securitization titles; and

III - off-balance sheet operations, comprising guarantees provided, credit limits, except those cancellable unconditionally and unilaterally, and credits to be disbursed within three hundred and sixty days.

§ 3º (Revoked, effective July 1, 2023, by Resolution BCB No. 306, of March 23, 2023.)

Art. 11-A. The information in the Pillar 3 Report regarding the calculation of the capital requirement for credit risk exposures through internal risk classification systems (IRB approaches) (RWACIRB) must be disclosed according to the following tables established by the Central Bank of Brazil:

I - qualitative information on IRB approaches (Table CRE);

II - IRB: Credit risk exposures by portfolio and PD intervals (table CR6); (Amended by Resolution BCB No. 355, of November 28, 2023.)

III - mitigating effect of credit derivatives on RWACIRB (Table CR7);

IV - information on variations in RWACIRB (Table CR8);

V - comparison between estimated and observed losses (backtesting) of the PD parameter by category, subcategory, and portfolio (Table CR9);

Sole paragraph. The tables referred to in the caput must be disclosed only by institutions authorized to use IRB approaches in the calculation of the capital requirement for credit risk exposures.

(Article 11-A included, effective July 1, 2023, by Resolution BCB No. 306, of March 23, 2023.)

Section VIII

Of Counterparty Credit Risk (CCR)

Art. 12. The information in the Pillar 3 Report regarding CCR must be provided according to the following tables established by the Central Bank of Brazil:

I - qualitative information on counterparty credit risk management (table CCRA);

II - analysis of counterparty credit risk exposures by approach used (table CCR1);

III - standardized approach - segregation of CCR exposures by counterparty and by risk weighting factor (table CCR3);

IV - financial collateral associated with counterparty credit risk exposures (table CCR5);

V - information on counterparty credit risk associated with credit derivatives (table CCR6); and

VI - information on counterparty credit risk associated with exposures to central counterparties (table CCR8).

§ 1º The information relating to CCR refers only to derivative transactions, committed transactions, and asset lending transactions.

§ 2º Derivative transactions include transactions for the future settlement of foreign currency, gold, or securities.

Section IX

Of Securitization Exposures

Art. 13. The information in the Pillar 3 Report relating to securitization exposures must be disclosed according to the following tables established by the Central Bank of Brazil:

I - qualitative information on the risk management of securitization exposures (table SECA);

II - securitization exposures classified in the banking book (table SEC1);

III - securitization exposures classified in the trading book (table SEC2);

IV - securitization exposures in the banking book and capital requirements - institution as originator or sponsor (table SEC3); and

V - securitization exposures in the banking book and capital requirements - institution as investor (table SEC4).

§ 1º A financial institution is considered a sponsoring counterparty if it administers or advises on a securitization process, participates in the public placement of securitization securities, or provides liquidity or credit enhancement to securitization securities.

§ 2º Processes similar to securitization structured in only one class of payment priority should not be considered for the purposes of the disclosure mentioned in the caput, and the respective information should be disclosed together with that relating to fund units acquired, mentioned in art. 2, § 4, item IV.

Section X

Of Market Risk

Art. 14. The information in the Pillar 3 Report relating to market risk must be disclosed according to the following tables established by the Central Bank of Brazil:

I - qualitative information on market risk management (table MRA);

II - standardized approach - risk factors associated with market risk (table MR1);

III - qualitative information on the internal models approach for market risk (table MRB);

IV - information on the variation of the RWAMINT portion (table MR2);

V - values of internal models for market risk (table MR3); and

VI - comparison of Value at Risk (VaR) estimates with actual and hypothetical results (table MR4).

§ 1º Institutions authorized to use internal models for market risk to calculate the daily value relating to the RWAMINT portion must also disclose the amount of risk-weighted assets using the standardized approach (RWAMPAD), as provided for in Resolution No. 4,193, of 2013, according to table MR1.

§ 1º Institutions authorized to use internal models for market risk to calculate the daily value relating to the RWAMINT portion must also disclose the amount of risk-weighted assets using the standardized approach (RWAMPAD). (Amended, effective 1/7/2023, by BCB Resolution No. 306, of 3/23/2023.)

§ 2º The information required in tables MRB, MR2, MR3, and MR4 must be disclosed only by institutions authorized to use internal models for market risk to calculate the daily value relating to the RWAMINT portion.

Art. 15. In addition to the information required in art. 14, the total exposure associated with financial derivative instruments must be disclosed by category of market risk factor, segmented between long and short positions, segregated as follows:

I - transactions with proprietary derivatives settled through a central counterparty, subdivided into those conducted in Brazil and abroad;

II - transactions with proprietary derivatives not settled through a central counterparty, subdivided into those conducted in Brazil and abroad.

§ 1º To determine the exposure value associated with a derivative with non-linear characteristics, the variation in the derivative's price relative to the variation in the price of the respective underlying asset (delta) must be considered, multiplied by the number of contracts and their size.

§ 2º The segregation by market risk factor mentioned in the caput must correspond to the following categories:

I - interest rates;

II - exchange rates;

III - stock prices; and

IV - commodity prices (commodities).

Section XI

Of Interest Rate Risk in the Banking Book (IRRBB)

Art. 16. The information in the Pillar 3 Report relating to IRRBB must be disclosed according to the following tables established by the Central Bank of Brazil:

I - qualitative information on IRRBB management (table IRRBBA); and

II - quantitative information on IRRBB (table IRRBB1).

§ 1º The calculation of economic value variation (ΔEVE) and net interest income variation (ΔNII) metrics, as defined in Circular No. 3,876, of January 31, 2018, must:

I - consider all relevant repricing flows, except those mentioned in art. 26 of Circular No. 3,876, of 2018; and

II - use the standardized shock scenarios described in art. 11 of Circular No. 3,876, of 2018.

§ 2º The disclosure mentioned in the caput must be accompanied by explanatory notes that allow:

I - monitoring the sensitivity of economic value and net interest income to interest rate variations;

II - verifying the assumptions used by the financial institution in its IRRBB management system;

III - having an overview of IRRBB management; and

IV - interpreting the disclosed data.

§ 3º The institution must inform whether, in the calculation of ∆EVE using the standardized approach, the repricing flows include commercial margins and other spread components.

Section XII

Of Executive Compensation

Art. 17. The information in the Pillar 3 Report relating to executive compensation must be disclosed according to the following tables established by the Central Bank of Brazil:

I - qualitative information on the compensation policy, as provided for in Resolution No. 3,921, of November 25, 2010 (table REMA);

I - qualitative information on the compensation policy, in accordance with current regulations (REMA); (Amended, effective 1/1/2025, by BCB Resolution No. 447, of 12/19/2024.)

II - compensation attributed during the reference year (table REM1);

III - extraordinary payments (table REM2); and

IV - deferred compensation (table REM3).

Section XIII

Of the Comparison Between RWA Calculated Using the Standardized Approach and the Internal Models Approach

(Section XIII included, effective 1/7/2023, by BCB Resolution No. 306, of 3/23/2023.)

Art. 17-A. The information in the Pillar 3 Report relating to the comparison between RWA calculated using the standardized approach and the internal models approach must be disclosed according to the following tables established by the Central Bank of Brazil:

I - comparison between RWA calculated using the standardized approach and the internal models approach by risk type (table CMS1); and

II - comparison between RWACPAD and RWACIRB by category, subcategory, and portfolio (table CMS2).

Sole paragraph. The tables referred to in the caput must be disclosed only by institutions authorized to use internal models in the calculation of capital requirements.

Section XIV

Of Linked Assets

(Section XIV included, effective 1/7/2023, by BCB Resolution No. 306, of 3/23/2023.)

Art. 17-B. The information in the Pillar 3 Report relating to linked assets must be disclosed according to the Linked Asset table (Table ENC), established by the Central Bank of Brazil.

Section XV

Of Operational Risk

(Section XV included, effective 1/1/2025, by BCB Resolution No. 355, of 11/28/2023.)

Art. 17-C. The information in the Pillar 3 Report relating to operational risk must be disclosed according to the following tables established by the Central Bank of Brazil:

I - qualitative information on operational risk management (table ORA);

II - operational loss history (table OR1);

III - composition of the Business Indicator (BI) (table OR2); and

IV - capital requirement for operational risk (table OR3).

CHAPTER III

OF DISCLOSURE SEGMENTATION

Art. 18. Institutions classified in S1 must publish all tables mentioned in arts. 4 to 17, subject to the provisions of art. 8, sole paragraph.

Art. 18. Institutions classified in S1 must publish all tables mentioned in art. 4 to art. 17-B, subject to the provisions of art. 8, sole paragraph, and art. 11-A, sole paragraph. (Amended, effective 1/7/2023, by BCB Resolution No. 306, of 3/23/2023.)

Art. 18. Institutions classified in S1 must publish all tables mentioned in arts. 4 to 17-C, subject to the provisions of art. 8, sole paragraph, and art. 11-A, sole paragraph. (Amended, effective 1/1/2025, by BCB Resolution No. 355, of 11/28/2023.)

Art. 19. Institutions classified in S2 must disclose the following tables:

I - prudential indicators and risk management: KM1, OVA, and OV1;

II - comparison between accounting and prudential information: LIA, LI1, LI2, and PV1;

III - capital composition: CCA, CC1, and CC2;

IV - macroprudential indicators: CCyB1;

V - Leverage Ratio: LR1 and LR2;

VI - liquidity indicators: LIQA;

VII - credit risk: CRA, CR1, CR2, CRB, CRC, CR3, CR4, and CR5;

VIII - counterparty credit risk: CCRA, CCR1, CCR3, CCR5, CCR6, and CCR8;

IX - securitization exposures: SECA, SEC1, SEC2, SEC3, and SEC4;

X - market risk: MRA and MR1 and the information referred to in art. 15;

XI - interest rate risk in the banking book: IRRBBA and IRRBB1; and

XI - interest rate risk in the banking book: IRRBBA and IRRBB1; (Amended, effective 1/1/2025, by BCB Resolution No. 355, of 11/28/2023.)

XII - executive compensation: REMA, REM1, REM2, and REM3.

XII - executive compensation: REMA, REM1, REM2, and REM3; and (Amended, effective 1/1/2025, by BCB Resolution No. 355, of 11/28/2023.)

XIII - operational risk: ORA, OR1, OR2, and OR3. (Included, effective 1/1/2025, by BCB Resolution No. 355, of 11/28/2023.)

Sole paragraph. In addition to what is required in the caput, institutions classified in S2 must disclose tables MRB, MR2, MR3, and MR4 when authorized to use internal models for market risk to calculate the daily value relating to the RWAMINT portion.

Sole paragraph. In addition to what is required in the caput, institutions classified in S2 must disclose the following tables: (Amended, effective 1/7/2023, by BCB Resolution No. 306, of 3/23/2023.)

I - MRB, MR2, MR3, and MR4 when authorized to use internal models for market risk to calculate the daily value relating to the RWAMINT portion; (Included, effective 1/7/2023, by BCB Resolution No. 306, of 3/23/2023.)

II - CRE, CR6, CR7, CR8, and CR9 when authorized to use IRB approaches in the calculation of capital requirements for exposures to credit risk; and (Included, effective 1/7/2023, by BCB Resolution No. 306, of 3/23/2023.)

III - CSM1 and CSM2 relating to the comparison between RWA calculated using the standardized approach and the internal models approach. (Included, effective 1/7/2023, by BCB Resolution No. 306, of 3/23/2023.)

Art. 20. Institutions classified in S3 must disclose the following tables:

I - prudential indicators and risk management: KM1, OVA, and OV1;

II - liquidity indicators: LIQA;

III - credit risk: CRA, CR1, CR2, and CRB;

IV - counterparty credit risk: CCRA;

V - securitization transactions: SECA;

VI - market risk: MRA, MR1, and the information referred to in art. 15; and

VI - market risk: MRA, MR1, and the information referred to in art. 15; (Amended, effective 1/1/2025, by BCB Resolution No. 355, of 11/28/2023.)

VII - interest rate risk in the banking book: IRRBBA and IRRBB1.

VII - interest rate risk in the banking book: IRRBBA and IRRBB1; and (Amended, effective 1/1/2025, by BCB Resolution No. 355, of 11/28/2023.)

VIII - operational risk: ORA, OR2, and OR3. (Included, effective 1/1/2025, by BCB Resolution No. 355, of 11/28/2023.)

Sole paragraph. In addition to what is required in the caput, institutions classified in S3 must disclose the following tables:

I - CCA, CC1, and CC2, when they issue instruments eligible for Supplementary Capital or Tier II of CR; and

I - CCA, CC1, and CC2, when they issue instruments eligible for Supplementary Capital or Tier II of CR; (Amended, effective 1/1/2025, by BCB Resolution No. 355, of 11/28/2023.)

II - MRB, MR2, MR3, and MR4, when authorized to use internal models for market risk to calculate the daily value relating to the RWAMINT portion.

II - MRB, MR2, MR3, and MR4, when authorized to use internal models for market risk to calculate the daily value relating to the RWAMINT portion; and (Amended, effective 1/1/2025, by BCB Resolution No. 355, of 11/28/2023.)

III - OR1, when authorized to use the ILM for the calculation relating to the RWAOPAD portion. (Included, effective 1/1/2025, by BCB Resolution No. 355, of 11/28/2023.)

Art. 21. Institutions classified in S4 must disclose the OVA table relating to prudential indicators and risk management.

Sole paragraph. In addition to what is required in the caput, institutions classified in S4 must disclose the following tables:

I - CCA, CC1, and CC2, when they issue instruments eligible for Supplementary Capital or Tier II of CR; and

II - MRA, MR1, MRB, MR2, MR3, and MR4, when authorized to use internal models for market risk to calculate the daily value relating to the RWAMINT portion.

CHAPTER IV

OF DISCLOSURE FREQUENCY

Art. 22. The information in the Pillar 3 Report must be disclosed with the following frequency:

I - quarterly, for the reference dates of March 31, June 30, September 30, and December 31, for the requirements established in art. 15 and the following tables:

a) KM1 and OV1;

b) LR2;

c) LIQ1 and LIQ2;

d) MR1, MR2, MR3, and MR4;

e) CR8; and (Included, effective 1/7/2023, by BCB Resolution No. 306, of 3/23/2023.)

f) CMS1; (Included, effective 1/7/2023, by BCB Resolution No. 306, of 3/23/2023.)

II - semi-annually, for the reference dates of June 30 and December 31, for the information required in item I and for the following tables:

a) CCA, CC1, and CC2;

b) CCyB1;

c) LR1;

d) CR1, CR2, CR3, CR4, and CR5;

d) CR1, CR2, CR3, CR4, CR5, CR6, and CR7; (Amended, effective 1/7/2023, by BCB Resolution No. 306, of 3/23/2023.)

e) CCR1, CCR3, CCR5, CCR6, and CCR8; and

e) CCR1, CCR3, CCR5, CCR6, and CCR8; (Amended, effective 1/7/2023, by BCB Resolution No. 306, of 3/23/2023.)

f) SEC1, SEC2, SEC3, and SEC4;

f) SEC1, SEC2, SEC3, SEC4; (Amended, effective 1/7/2023, by BCB Resolution No. 306, of 3/23/2023.)

g) CMS2; and (Included, effective 1/7/2023, by BCB Resolution No. 306, of 3/23/2023.)

h) ENC; and (Included, effective 1/7/2023, by BCB Resolution No. 306, of 3/23/2023.)

III - annually, for the reference date of December 31, for the information required in arts. 4 to 17.

III - annually, for the reference date of December 31, for the information required in arts. 4 to 17-B. (Amended, effective 1/7/2023, by BCB Resolution No. 306, of 3/23/2023.)

III - annually, for the reference date of December 31, for the information required in arts. 4 to 17-C. (Amended by BCB Resolution No. 355, of 11/28/2023.)

§ 1º The information in tables CCA, CC1, and CC2 must be updated whenever there is a relevant change, covering occurrences of issuance, redemption, or repurchase, extinction or conversion, or any other material change in the nature of the instrument that makes up CR.

§ 2º The Pillar 3 Report must be disclosed within a maximum period of sixty days counted from the reference dates of March 31, June 30, and September 30, and of ninety days counted from the reference date of December 31.

§ 3º The information in table CCyB1 must be updated whenever there is a change in the value for the percentage of the countercyclical capital buffer in each jurisdiction “i” (CCyBj), including when the jurisdiction is Brazil. (Included by BCB Resolution No. 355, of 11/28/2023.)

CHAPTER V

FINAL PROVISIONS

Art. 23. The Pillar 3 Report must be available in a single location, publicly accessible and easily located, in a specific section on the institution's website.

§ 1º The institution subject to the publication of financial statements must inform, together with these, the location of the Pillar 3 Report on its website.

§ 2º The Pillar 3 Report must remain available on the institution's website for a period of five years counted from the date of its disclosure.

§ 3º The information required in the Pillar 3 Report must also be available in the form of open data, according to specifications established by the Central Bank of Brazil.

§ 4º The Pillar 3 Report with a reference date of December 31 must be accompanied by a summary description of the main aspects of the information disclosure policy referred to in art. 56 of Resolution No. 4,557, of 2017.

§ 4º The Pillar 3 Report with a reference date of December 31 must be accompanied by a summary description of the main aspects of the information disclosure policy established in the resolution that provides for the risk management structure, the capital management structure, and the information disclosure policy. (Amended, effective 1/7/2023, by BCB Resolution No. 306, of 3/23/2023.)

§ 5º In the event of changes to the tables referred to in art. 3, the requirement to make available in the form of open data may be suspended by the Central Bank of Brazil for the period necessary to alter the specifications referred to in § 3 and the consequent system adaptations by institutions and conglomerates referred to in art. 2, subject to the following conditions:

I - the suspension will be expressly established in an act of the Central Bank of Brazil; and

II - the suspension will not affect the other obligations established in this Resolution, nor will it dispense with the disclosure referred to in the caput.

(Sole paragraph 5 included by BCB Resolution No. 355, of 11/28/2023.)

Art. 24. The Pillar 3 Report must be immediately rectified if inconsistencies in the respective information are identified.

Sole paragraph. The occurrence of a rectification in the manner of the caput must be explicitly stated.

Art. 25. The following are revoked:

I - art. 5 of Circular No. 3,692, of December 16, 2013;

II - arts. 1 to 25 of Circular No. 3,930, of February 14, 2019;

III - arts. 27 and 28 of Circular No. 3,930, of 2019;

IV - arts. 2 and 3 of Circular No. 3,938, of April 17, 2019; and

V - Circular No. 4,003, of February 16, 2020.

Art. 26. This Resolution enters into force on January 1, 2021.

Otávio Ribeiro Damaso

Director of Regulation

ANNEX I (Annex I with wording given by BCB Resolution No. 355, of 11/28/2023.)
	Tables	Format	Frequency	Segmentation
Prudential indicators and risk management	KM1 - Quantitative information on prudential requirements	Fixed	Quarterly	S1 to S3
OVA - Overview of the institution's risk management	Flexible	Annual	S1 to S4
OV1 - Overview of risk-weighted assets (RWA)	Fixed	Quarterly	S1 to S3
Comparison between accounting and prudential information	LIA - Explanation of differences between values recorded in financial statements and values of exposures subject to prudential treatment	Flexible	Annual	S1 and S2
LI1 - Differences between the scope of accounting consolidation and the scope of prudential treatment, as well as the detailing of values associated with risk categories	Fixed	Annual	S1 and S2
LI2 - Main causes of differences between values considered in prudential regulation and exposure values	Flexible	Annual	S1 and S2
PV1 - Prudential adjustments (PVA)	Fixed	Annual	S1 and S2
Capital composition	CCA - Main characteristics of Reference Equity (PR) instruments	Flexible	Semi-annual	S1, S2 and institutions issuing Additional or Tier 2 Capital
CC1 - Composition of Reference Equity (PR)	Fixed	Semi-annual
CC2 - Reconciliation of Reference Equity (PR) with the balance sheet	Flexible	Semi-annual
Macroprudential indicators	GSIB1 - Indicators used to characterize a financial institution as globally systemically important (G-SIBs)	Fixed	Annual	Institution subject to the provisions of Circular No. 3,751, of 2015
CCyB1 - Geographical distribution of exposures to credit risk considered in the calculation of Countercyclical Buffer (CCyB)	Fixed	Semi-annual	S1 and S2
Leverage Ratio	LR1 - Comparison between financial statement information and that used to calculate the Leverage Ratio (LR)	Fixed	Semi-annual	S1 and S2
LR2 - Detailed information on the Leverage Ratio	Fixed	Quarterly	S1 and S2
Liquidity indicators	LIQA - Qualitative information on liquidity risk management	Flexible	Annual	S1 to S3
LIQ1 - Short-Term Liquidity Indicator (LCR)	Fixed	Quarterly	S1
LIQ 2 - Long-Term Liquidity Indicator (NSFR)	Fixed	Quarterly	S1
Credit risk	CRA - Qualitative information on credit risk management	Flexible	Annual	S1 to S3
CR1 - Credit quality of exposures	Fixed	Semi-annual	S1 to S3
CR2 - Changes in the stock of operations classified as non-performing assets	Fixed	Semi-annual	S1 to S3
CRB - Additional information on the credit quality of exposures	Flexible	Annual	S1 to S3
CRC - Information on credit risk mitigation instruments	Flexible	Annual	S1 and S2
CR3 - Overview of credit risk mitigation techniques	Fixed	Semi-annual	S1 and S2
CR4 - Standardized approach – exposures and effects of credit risk mitigation	Fixed	Semi-annual	S1 and S2
CR5 - Standardized approach - segregation of exposures by counterparty and by risk weighting factor (RWF)	Fixed	Semi-annual	S1 and S2
CRE - Qualitative information on IRB approaches	Flexible	Annual	Mandatory for institutions using the IRB approach
CR6 - Exposures to credit risk by variation of the PD parameter for each category, subcategory and portfolio	Fixed	Semi-annual
CR7 - Mitigating effect of credit derivatives on RWACIRB	Fixed	Semi-annual
CR8 - Information on variations in RWACIRB	Fixed	Quarterly
CR9 - Comparison between estimated and observed losses (backtesting) of the PD parameter by category, subcategory and portfolio	Flexible	Annual
Counterparty credit risk (CCR)	CCRA - Qualitative information on counterparty credit risk (CCR) management	Flexible	Annual	S1 to S3
CCR1 - Analysis of exposures to counterparty credit risk (CCR) by approach used	Fixed	Semi-annual	S1 and S2
CCR3 - Standardized approach – segregation of CCR exposures by counterparty and by risk weighting factor	Fixed	Semi-annual	S1 and S2
CCR5 - Financial collateral associated with exposures to counterparty credit risk	Fixed	Semi-annual	S1 and S2
CCR6 - Information on counterparty credit risk associated with credit derivatives	Fixed	Semi-annual	S1 and S2
CCR8 - Information on counterparty credit risk associated with exposures to central counterparties	Fixed	Semi-annual	S1 and S2
Securitization exposures	SECA - Qualitative information on risk management of securitization exposures	Flexible	Annual	S1 to S3
SEC1 - Securitization exposures classified in the banking book	Flexible	Semi-annual	S1 and S2
SEC2 - Securitization exposures classified in the trading book	Flexible	Semi-annual	S1 and S2
SEC3 - Banking book securitization exposures and capital requirements - institution as originator or sponsor	Fixed	Semi-annual	S1 and S2
SEC4 - Banking book securitization exposures and capital requirements - institution as investor	Fixed	Semi-annual	S1 and S2
Market risk	MRA - Qualitative information on market risk management	Flexible	Annual	S1 to S3
MR1 - Standardized approach - risk factors associated with market risk	Fixed	Quarterly	S1 to S3
MRB - Qualitative information on the internal models approach for market risk	Flexible	Annual	Financial institution authorized to use internal models
MR2 - Information on variations in the RWAMINT portion	Fixed	Quarterly
MR3 - Values of internal models for market risk	Fixed	Quarterly
MR4 - Comparison of VaR estimates with actual and hypothetical results	Flexible	Quarterly
IRRBB	IRRBBA - objectives and policies for IRRBB management	Flexible	Annual	S1 to S3
IRRBB1 - Quantitative information on IRRBB	Fixed	Annual	S1 to S3
Administrator remuneration	REMA - Remuneration policy	Flexible	Annual	S1 and S2
REM1 - Remuneration attributed during the reference year	Flexible	Annual	S1 and S2
REM2 - Extraordinary payments	Flexible	Annual	S1 and S2
REM3 - Deferred remuneration	Flexible	Annual	S1 and S2
Comparison between RWA Calculated under the Standardized Approach and the Internal Models Approach	CMS1 - Comparison between RWA calculated under the standardized approach and the internal models approach by risk type	Fixed	Quarterly	Financial institution authorized to use internal models
CMS2 - comparison between RWACPAD and RWACIRB by category, subcategory and portfolio	Fixed	Semi-annual
Linked assets	ENC - Linked Asset	Fixed	Semi-annual	S1
Operational Risk	ORA - Qualitative information on operational risk management	Flexible	Annual	S1 to S3
OR1 - Operational loss history	Fixed	Annual	S1, S2, and S3 authorized to use ILM
OR2 - Composition of the Business Indicator (BI)	Fixed	Annual	S1 to S3
OR3 - Capital requirement for operational risk	Fixed	Annual	S1 to S3