BCB Issues Rules on Credit Risk and Reporting Requirements for Banks
BCB proposed two resolutions related to structured finance and credit derivative operations of financial institutions and finalized two resolutions on calculations under the standardized approach for credit risk and on reporting of certain risk data by banks. The final Resolution No. 83 amends Circular No. 3.809 on procedures for recognition of credit risk mitigation instruments in the calculation of risk-weighted assets under the standardized approach for credit risk; this resolution enters into force on May 01, 2021. Additionally, the final Resolution No. 84, which enters into force on May 03, 2021, relates to the reporting of exposures to market risk and interest rate risk in the banking book (IRRBB).
According to the Resolution No. 84, financial institutions and other institutions authorized to operate by BCB under Segments 1, 2, 3 or 4 (S1/S2/S3/S4) must prepare and send to BCB the information related to these exposures. This information related to exposures must be calculated using the base date of the last working day of each month and must be sent monthly by the leading institution of each conglomerate, on a consolidated basis, and by the other BCB-authorized institutions that do not belong to conglomerates
Out of the two proposals issued recently by BCB, one contains the draft the National Monetary Council (CMN) resolution that provides for credit derivative operations in the country by institutions authorized to operate by BCB. The second proposal is for a CMN resolution that provides for conditions for the issuance of the Structured Transactions Certificate by the specified financial institutions. The two proposals are aimed to update the regulatory requirements and remove barriers to the realization of credit derivatives and the issuance of Structured Transactions Certificate referenced to credit risk, to improve the credit risk management tools available to the domestic financial market. The comment period for both the consultations ends on May 10, 2021.
Related Links (in Portuguese)
- Resolution on Credit Risk Approach
- Circular on Credit Risk Approach
- Resolution on Reporting
- News on Proposed Regulations
- Consultation Papers
Comment Due Date: May 10, 2021
Effective Date: May 01, 2021/May 03, 2021
Keywords: Americas, Brazil, Banking, Credit Risk, Market Risk, IRRBB, Basel, Derivatives, Standardized Approach, Regulatory Capital, Reporting, BCB
Featured Experts

María Cañamero
Skilled market researcher; growth strategist; successful go-to-market campaign developer

Nicolas Degruson
Works with financial institutions, regulatory experts, business analysts, product managers, and software engineers to drive regulatory solutions across the globe.

Nick Jessop
Scenario modeling expert; risk management specialist; quantitative financial modeler
Previous Article
APRA Updates Validation and Derivation Rules in March 2021Related Articles
EC Consults on PSD2 and Open Finance; EU Reaches Agreement on DORA
The European Commission (EC) published a public consultation on the review of revised payment services directive (PSD2) and open finance.
EC Mandates ESAs to Propose Amendments to SFDR Technical Standards
The European Commission (EC) has issued two letters mandating the European Supervisory Authorities (ESAs) to jointly propose amendments to the regulatory technical standards under Sustainable Finance Disclosure Regulation or SFDR.
EBA Examines Supervisory Practices, Issues Deposits Reporting Template
The European Banking Authority (EBA) published its annual report on convergence of supervisory practices for 2021. Additionally, following a request from the European Commission (EC),
US Agency Publications Address Basel, Reporting, and CECL Developments
The Farm Credit Administration published, in the Federal Register, the final rule on implementation of the Current Expected Credit Losses (CECL) methodology for allowances
SEC Extends Comment Period on Climate Risk Disclosures
The U.S. Securities and Exchange Commission (SEC) looks set to intensify focus on crypto-assets and cyber risk and extended the comment period on the proposed rules to enhance and standardize climate-related disclosures for investors.
APRA Reduces Committed Liquidity Facility, Issues Other Updates
The Australian Prudential Regulation Authority (APRA) announced reduction in the aggregate Committed Liquidity Facility and issued an update on the operational preparedness for zero and negative market interest rates.
CMF Consults on Basel Rules, Presents Roadmap to Address Climate Risks
The Commission for the Financial Market (CMF) in Chile published capital adequacy ratios (as of February 2022, January 2022, and December 2021) for 17 banks and for the banking system.
PRA Issues Statement on NPEs and Policy on Trading Activity Wind-Down
The Prudential Regulation Authority (PRA) issued a statement on the European Banking Authority (EBA) guidelines on management of non-performing exposures (NPEs) and forborne exposures.
EBA Updates Standards for 2023 Benchmarking of Internal Approaches
The European Banking Authority (EBA) updated the implementing technical standards that specify the data collection for the 2023 supervisory benchmarking exercise in relation to the internal approaches used in market risk, credit risk, and IFRS 9 accounting.
EIOPA Responds to Stakeholder Views on Blockchain in Insurance
The European Insurance and Occupational Pensions Authority (EIOPA) published a feedback statement on the responses received to the consultation on blockchain and smart contracts in insurance.