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
BOE Sets Out Its Thinking on Regulatory Capital and Climate Risks
The Bank of England (BOE) published a working paper that aims to understand the climate-related disclosures of UK financial institutions.
OSFI Finalizes on Climate Risk Guideline, Issues Other Updates
The Office of the Superintendent of Financial Institutions (OSFI) is seeking comments, until May 31, 2023, on the draft guideline on culture and behavior risk, with final guideline expected by the end of 2023.
BIS Paper Examines Impact of Greenhouse Gas Emissions on Lending
BIS issued a paper that investigates the effect of the greenhouse gas, or GHG, emissions of firms on bank loans using bank–firm matched data of Japanese listed firms from 2006 to 2018.
HMT Mulls Alignment of Ring-Fencing and Resolution Regimes for Banks
The HM Treasury (HMT) is seeking evidence, until May 07, 2023, on practicalities of aligning the ring-fencing and the banking resolution regimes for banks.
BCBS Report Examines Impact of Basel III Framework for Banks
The Basel Committee on Banking Supervision (BCBS) published results of the Basel III monitoring exercise based on the June 30, 2022 data.
PRA Consults on Prudential Rules for "Simpler-Regime" Firms
Among the recent regulatory updates from UK authorities, a key development is the first-phase consultation, from the Prudential Regulation Authority (PRA), on simplifications to the prudential framework that would apply to the simpler-regime firms.
DNB Publishes Multiple Reporting Updates for Banks
DNB, the central bank of Netherlands, updated the list of additional reporting requests and published additional data quality checks and XBRL-Formula linkbase documents for the first quarter of 2023.
NBB Sets Out Climate Risk Expectations, Issues Reporting Updates
The National Bank of Belgium (NBB) published a communication on climate-related and environmental risks, issued an update on XBRL reporting
EBA Updates Address Securitization Standards and DGS Guidelines
The European Banking Authority (EBA) published the final draft of the regulatory technical standards that set out conditions for assessment of homogeneity of the underlying exposures in simple, transparent, and standardized (STS) securitizations.
FSB Publishes Letter to G20, Sets Out Work Priorities for 2023
The Financial Stability Board (FSB) published a letter intended for the G20 Finance Ministers and Central Bank Governors, highlighting the work that FSB will take forward under the Indian G20 Presidency in 2023