Basel Committee on Banking Supervision

Basel Committee on Banking Supervision

Regulatory Consistency Assessment Programme (RCAP) Assessment of Basel NSFR regulations ? Brazil

March 2019

This publication is available on the BIS website ().

? Bank for International Settlements 2019. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated.

ISBN 978-92-9259-259-2 (online)

Contents

Glossary ................................................................................................................................................................................................. 1 Preface ................................................................................................................................................................................................... 2 Executive summary ........................................................................................................................................................................... 3 Response from the BCB .................................................................................................................................................................. 4 1 Assessment context................................................................................................................................................................. 5

1.1 Status of the NSFR implementation ........................................................................................................................ 5 1.2 Regulatory system .......................................................................................................................................................... 5 1.3 Structure of the banking sector ................................................................................................................................ 5 1.4 Scope of the assessment ............................................................................................................................................. 6 2 Assessment findings ............................................................................................................................................................... 7 2.1 Assessment grades and summary of findings..................................................................................................... 7 2.2 Detailed assessment findings..................................................................................................................................... 8 2.3 Observations on the NSFR implementation in Brazil ....................................................................................... 8 Annexes ............................................................................................................................................................................................... 10 Annex 1: RCAP Assessment Team and Review Team .......................................................................................................10 Annex 2: List of Basel standards and implementing regulations issued by the Brazilian authorities............11 Annex 3: Key liquidity indicators of the Brazilian banking system ..............................................................................12 Annex 4: Rectifications made by the BCB..............................................................................................................................13 Annex 5: Areas where Brazilian rules are stricter than the Basel standards.............................................................14 Annex 6: Elements of the NSFR subject to national discretion.....................................................................................15

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Glossary

ASF BCB BCBS BIS BRL C CCP CMN CNJ DA DL D-SIB GAAP GDP G-SIB HQLA IM LC LCR LEX LTV MNC NC NSFR OSFI RCAP RSF SFN SIG S1?5 VM

available stable funding Banco Central do Brasil (Central Bank of Brazil) Basel Committee on Banking Supervision Bank for International Settlements Brazilian real compliant (grade) central counterparty Conselho Monet?rio Nacional (National Monetary Council) National Justice Council derivative asset derivative liability domestic systemically important bank generally accepted accounting principles gross domestic product global systemically important bank high-quality liquid assets initial margin largely compliant (grade) Liquidity Coverage Ratio large exposures loan-to-value materially non-compliant (grade) non-compliant (grade) Net Stable Funding Ratio Office of the Superintendent of Financial Institutions Regulatory Consistency Assessment Programme required stable funding Brazilian national financial system Supervision and Implementation Group Segments 1?5 variation margin

Regulatory Consistency Assessment Programme ? Brazil

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