On Feb. 23, BRZ CB amended procedures for calculating risk assets.
BRZ CB published Resolution 187 to amend circular no. 3,644, which establishes the procedures for calculating the credit risk exposures of risk-weighted assets (RWA).
Follows BRZ CB Apr. 2020 notice re RWA and capital requirements, see #75696.
Changes in Credit Risk
Credit operations will be amortized based on Energy Development Account (CDE).
Also, credit operations must comply with National Electric Energy Agency, credit rights due by CDE to specified accounts must be transferred fiduciarily/committed to creditor.
CDE's shares re credit operations, must be increased for a liquidity reserve of at least 10% of the sum of principal, financial charges and other operation/admin costs.
Effectiveness
Resolution re credit risk calculations for RWA will be effective on date of publication.
May 2022 Procedures
On May 12, 2022, BRZ CB issued Resolution 229 to establish the procedures for calculating the portion of risk-weighted assets (RWA) re exposures to credit risk.
Subject to the calculation of the capital requirement using a standardized approach (RWA CPAD), dealt with in Resolution no. 200, of Mar. 11, 2022, see #131710.
Resolution 229 enters into force on Jan. 1, 2023.
Jul. 2022 Calculations Update
On Jul. 27, 2022, BRZ CB issued Resolution 232 to amend Circular 3.809 of 2016.
Circular 3.809 established procedures for recognition of mitigating instruments in the calculation of the portion of weighted assets assets (RWA) for exposures to credit risk.
This was subject to the calculation of capital requirement using standardized approach (RWA CPAD) to consolidate provisions of Circular 3.877 of 2018, which is now revoked.
Risk weighted factor (FPR) is applicable to the portion of exposure covered by a guarantee constituted by resources from the State participation fund (FPE).
Alternatively, from Municipal participation fund (FPM) granted in credit until Feb. 2018.
Resolution 232 enters into force on Sep. 1, 2022; revoked Circular 3.877 of 2018.
Document dated Jul. 27, 2022, received Jul. 29, and summarized on Jul. 30, 2022.
Sep. 2022 Calculations Update
On Sep. 1, 2022, BRZ CB issued Resolution 240 to amends Resolution 229 of May 12, 2022, which set procedure for calculating a certain risk-weighted assets (RWA).
Specifically, for calculating portion of RWA re exposures to credit risk, that's subject to the calculation of capital requirement using a standardized approach (RWA CPAD).
Also on Sep. 1, BRZ CB issued Resolution 239 to amend Circular 3.809 of Aug. 2016, which set procedure for recognition of mitigating instruments in RWA CPAD calculation.
Resolutions 240 and 239 enter into force on Jan. 1, 2023.
Nov. 18, 2022 BRZ CB Postponed Effectiveness
On Nov. 18, 2022, BRZ CB issued Resolution 258 to postpone the entry into force of Resolutions 229 of May 12, 2022, 230 of Jul. 27, 2022, and 240 of Sep. 1, 2022.
These resolutions will enter into force on Jul. 1, 2023.
Nov. 25, 2022 BRZ CB RWA Calculations
On Nov. 25, 2022, BRZ CB issued Resolution 266 which updates circular letters' RWA formula to include countercyclical factor (1/F) for Type 3 conglomerate institutions.
Countercyclical factoring must be applied to daily value of the portion of RWA re exposures of interest rate, foreign currency coupon, price index coupon, commodities.
Also, stipulates for conglomerates type 3 to exclude from the operational risk simplified methodology capital calculation certain revenues related to its payment services.
This resolution enters into force on Jul. 1, 2023.
Dec. 2022 BRZ CB Postponed Effectiveness
On Dec. 27, 2022, BRZ CB issued Resolution 275 to postpone Res 239 RWA provisions.
Res 239 (Sep. 2022) set procedures for credit risk RWA using standardized approach.
Delayed the effectiveness of the capital requirement methodology until Jul. 1, 2023.
Finally, Resolution 275 enters into force on Dec. 27, 2022.
Oct. 2023 BRZ CB RWA Amendments
On Oct. 4, 2023, BRZ CB issued BCB Resolution 346 to amend Res. 229 of May 2022.
Resolution creates article 84-A, to set risk-weighted assets (FPR) percent exposures.
For certain products, e.g., court orders, execution process credit rights, exemptions.
Exempts orders, credit rights recorded in balance sheet until base date Jun. 30, 2023.
Provisions established in Resolution 346/2023 come into force effective Jan. 2, 2024.
Nov. 2023 BRZ CB RWA Adjustments
On Nov. 28, 2023, BRZ CB issued Resolution 356 regarding procedures for calculating the portion of risk-weighted assets (RWA) related to the calculation of required capital.
The calculation of RWA for operational risk purposes using an approach RWA OPAD.
RWA OPAD installment value calculated every 6 months, based last 3 annual periods.
Resolution comes into effect on Jan. 1, 2025, except certain provisions Jan. 1, 2026.
In Dec. 2023, BRZ CB updated risk-weighted asset calculations, see #195091.
Jun. 12, 2024 BRZ CB BI Calculation
On Jun. 12, 2024, BRZ CB issued Instruction 479re business indicator (BI) calculation.
Instruction details points to be included in the interest, leasing, and participation component (ILDC); as well as in the services component (SC) for the BI calculation.
Also, details points on the net result of the trading portfolio (NTB), points on administrative expenses, and points on income and expenses re payment services.
This Instruction revokes Circular Letter 3.625 and Regulatory Instruction 390, of 2023.
Instruction 479 comes into force on Jan. 1, 2025.
On Jun. 26, 2024, BRZ CB updated on risk-weighted assets calculation, see #214977.
Regulators
BRZ CB
Entity Types
Bank; Corp; Thrift
Reference
Ins 479, Rpl Cir Lt 3.625, Rpl Ins 390/2023, 6/12/2024; Res 356, Rpl, 11/28/2023; Res 346, 10/4/2023; Res 275, 12/27/2022; Res 266, 11/25/2022; Res 258, 11/18/2022; Res 240, Res 239, 9/1/2022; Res 232, 7/27/2022; Res 230, 7/27/2022; Res 229, 5/12/2022; Res 187, 2/23/2022; Rpl Cir 3.877, 2/8/2018; Rpl Cir 3.809, 8/25/2016;
