Resolution CMN No. 3897 — Amends Resolutions Nos. 3,464 of June 26, 2007, and 3,490 of August 29, 2007, Regarding Market Risk Management Structure and Calculation of Required Reference Equity (PRE)

RESOLUTION NO. 003897

Amends Resolutions Nos. 3,464, of June 26, 2007, and 3,490, of August 29, 2007, which provide, respectively, on the implementation of a market risk management structure and on the calculation of the Required Reference Equity (PRE).

The Central Bank of Brazil, in accordance with Article 9 of Law No. 4,595, of December 31, 1964, makes public that the National Monetary Council, in a session held on August 25, 2010, based on Article 4, items VIII and XI, of the aforementioned law, in Law No. 4,728, of July 14, 1965, in Article 20 of Law No. 4,864, of November 29, 1965, in Law No. 6,099, of September 12, 1974, in Law No. 10,194, of February 14, 2001, in Article 12 of Complementary Law No. 130, of April 17, 2009, in Article 6 of Decree-Law No. 759, of August 12, 1969,

RESOLVES:

Art. 1. Resolution No. 3,490, of August 29, 2007, is amended by adding Articles 2-A, 2-B, 2-C, and 2-D, with the following wording:

"Art. 2-A. The calculation of the PRE in the manner established in Article 2, § 4, is optional for credit cooperatives that simultaneously meet the following minimum requirements:

I - have total assets less than R$200,000,000.00 (two hundred million reais), in the case of single credit cooperatives, or total assets less than R$100,000,000.00 (one hundred million reais), in the case of central credit cooperatives;

II - do not present exposure to gold, foreign currency, operations subject to exchange rate variation, variation in the price of commodities, variation in the price of stocks, or in financial derivative instruments, except for investments in stocks registered in the permanent asset;

III - do not maintain investments in credit securitization titles, except those issued by the National Treasury;

IV - do not carry out asset lending operations;

V - do not carry out committed operations, except:

a) sale operations with a commitment to repurchase with own assets; or

b) purchase operations with a commitment to resell with fixed-rate federal public titles, indexed to interest rates or price indices;

VI - do not maintain investments in investment fund shares that are not classified as short-term or fixed income, in accordance with Instruction No. 409, of August 18, 2004, of the Securities and Exchange Commission (CVM); and

VII - do not have affiliated institutions that calculate the PRE in the manner established in the caput of Article 2 of this resolution.

Sole Paragraph. The frequency of calculation of the value referred to in item I of the caput shall be defined by the Central Bank of Brazil, provided that:

I - for credit cooperatives in the beginning of their activities, the total asset on the base date of the start of their operations must be considered; and

II - for credit cooperatives resulting from spin-off or merger processes subsequent to the entry into force of this resolution, the calculation of total assets must initially use the first base date after the effective completion of these events.

Art. 2-B. Credit cooperatives must communicate in advance to the Central Bank of Brazil when they opt to change the method of calculating the PRE, observed that:

I - the change must be approved by the board of directors of the cooperative;

II - the option to calculate the PRE in the manner established in Article 2, § 4, requires compliance with the minimum requirements cited in Article 2-A prior to the communication, except for the situations provided for in Articles 2-C and 2-D; and

III - the option to calculate the PRE in the manner established in the caput of Article 2 must be maintained for a minimum period of twelve months counted from the confirmation of receipt by the Central Bank of Brazil of the communication made, provided that:

a) the change in the method of calculating the PRE in a period shorter than defined must be approved by the Central Bank of Brazil, in the manner established by it; and

b) the provisions of items II to VI of the caput of Article 2-A must be observed until the confirmation of receipt by the Central Bank of Brazil of the prior communication.

Art. 2-C. Credit cooperatives, even if not meeting the minimum requirements established in items I to VI of Article 2-A, may be authorized by the Central Bank of Brazil to calculate the PRE in the manner defined in Article 2, § 4, provided that they observe, at a minimum, the following criteria:

I - maintain internal controls and adequate management of risks attributed to their exposures;

II - concentrate their exposures in fixed-income operations;

III - carry out, occasionally, operations of greater complexity:

a) with risk little relevant in relation to that of the other operations;

b) related to the typical activity of the cooperative; and

c) adequately monitored;

IV - have a capitalization degree substantially above the minimum levels.

Sole Paragraph. In the case of affiliated cooperatives, the approval referred to in this article is conditioned on the manifestation of consent of the respective central cooperative, accompanied by an opinion that encompasses all the criteria established in the caput.

Art. 2-D. The Central Bank of Brazil may determine that credit cooperatives calculate the PRE as defined in Article 2, § 4, when the following situations are observed:

I - lack of accuracy or timeliness in providing information regarding the calculation of operational limits and minimum capital standards; or

II - incompatibility of their operations with the internal control or risk management structures, as established by Resolutions Nos. 2,554, of September 24, 1998, 3,380, of June 29, 2006, 3,464, of June 26, 2007, and 3,721, of April 30, 2009.

Sole Paragraph. Credit cooperatives that begin to calculate the PRE in the manner of Article 2, § 4, due to the provision in the caput of this article, must comply with the requirements provided for in items II to VI of Article 2-A, according to a regularization plan approved by the Central Bank of Brazil in the manner of Article 46 of Resolution No. 3,859, of May 27, 2010."

Art. 2. Articles 2 and 3 of Resolution No. 3,490, of 2007, shall enter into force with the following wording:

"Art. 2 ..............................................

.......................................................

§ 4. For credit cooperatives that comply with the provisions of Article 2-A, the calculation of the PRE is permitted in the following manner:

PRE = PSPR, where:

PSPR = simplified portion referring to exposures weighted by the risk weighting factor attributed to them." (NR)

"Art. 3. The institutions mentioned in Article 1, with the exception of those that calculate the PRE in the manner established in Article 2, § 4, must also maintain sufficient PR to cover the interest rate risk of operations not included in the trading portfolio, in the manner of Resolution No. 3,464, of 2007.

.................................................." (NR)

Art. 3. Articles 3 and 5 of Resolution No. 3,464, of June 26, 2007, shall enter into force with the following wording:

"Art. 3 ..............................................

.......................................................

§ 1. The policies and strategies for market risk management must be approved and reviewed, at least annually, by the board of directors of the institution and by the board of directors, if there is one.

§ 2. Credit cooperatives that calculate the PRE in the manner established in Article 2, § 4, of Resolution No. 3,490, of August 29, 2007, are not obliged to carry out the simulations provided for in item V of the caput." (NR)

"Art. 5. The institutions mentioned in Article 1, with the exception of those mentioned in Article 3, § 2, must have a clearly defined policy to determine which operations will be included in the trading portfolio, as well as procedures to ensure that the classification criteria in the trading portfolio will be observed consistently.

................................................." (NR)

Art. 4. Credit cooperatives that meet the requirements of Article 2-A of Resolution No. 3,490, of 2007, but do not opt for the option provided therein, must communicate their decision, approved by their board of directors, to the Central Bank of Brazil, in the manner established by it, by January 1, 2011.

Art. 5. This resolution enters into force on the date of its publication, producing effects from January 1, 2011.

São Paulo, August 25, 2010.

Henrique de Campos Meirelles
President