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
NGFS Seeks Public Feedback on Climate Risk Assessment Scenarios
The Network for Greening the Financial System (NGFS) launched its first user feedback survey on climate scenarios, with the feedback period ending on February 27, 2023.
EBA Launches Stress Tests for Banks, Issues Other Updates
The European Banking Authority (EBA) launched the 2023 European Union (EU)-wide stress test, published annual reports on minimum requirement for own funds and eligible liabilities (MREL) and high earners with data as of December 2021.
EBA Proposes Standards for IRRBB Reporting Under Basel Framework
The European Banking Authority (EBA) proposed implementing technical standards on the interest rate risk in the banking book (IRRBB) reporting requirements, with the comment period ending on May 02, 2023.
FED Issues Further Details on Pilot Climate Scenario Analysis Exercise
The U.S. Federal Reserve Board (FED) set out details of the pilot climate scenario analysis exercise to be conducted among the six largest U.S. bank holding companies.
US Agencies Issue Several Regulatory and Reporting Updates
The Board of Governors of the Federal Reserve System (FED) adopted the final rule on Adjustable Interest Rate (LIBOR) Act.
ECB Issues Multiple Reports and Regulatory Updates for Banks
The European Central Bank (ECB) published an updated list of supervised entities, a report on the supervision of less significant institutions (LSIs), a statement on macro-prudential policy.
HKMA Keeps List of D-SIBs Unchanged, Makes Other Announcements
The Hong Kong Monetary Authority (HKMA) published a circular on the prudential treatment of crypto-asset exposures, an update on the status of transition to new interest rate benchmarks.
EU Issues FAQs on Taxonomy Regulation, Rules Under CRD, FICOD and SFDR
The European Commission (EC) adopted the standards addressing supervisory reporting of risk concentrations and intra-group transactions, benchmarking of internal approaches, and authorization of credit institutions.
CBIRC Revises Measures on Corporate Governance Supervision
The China Banking and Insurance Regulatory Commission (CBIRC) issued rules to manage the risk of off-balance sheet business of commercial banks and rules on corporate governance of financial institutions.
HKMA Publications Address Sustainability Issues in Financial Sector
The Hong Kong Monetary Authority (HKMA) made announcements to address sustainability issues in the financial sector.