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1
MINISTRY OF FINANCE
NATIONAL PRIVATE INSURANCE COUNCIL (CNSP)
CNSP RESOLUTION No. 321 OF 2015.
Addresses technical provisions; assets reducing the technical provision coverage requirement;
underwriting, credit, operational and market risk capital; adjusted net equity; minimum capital
requirement; solvency regularization plan; retention limits; and criteria covering investments,
accounting standards, independent financial and actuarial auditing and the Audit Committee
with regard to insurance companies, open private pension entities, investment firms and
reinsurers.
THE SUPERINTENDENT OF THE PRIVATE INSURANCE AGENCY (SUSEP), in performance of the
duties assigned under Art. 34, sub-item XI of the addendum to Decree nº 60,459 of March 13,
1967, and taking into consideration the provisions of CNSP Proceeding No. 1/2015 and SUSEP
Proceeding No. 15414.000633/2015-18, announces that the NATIONAL PRIVATE INSURANCE
COUNCIL (CNSP), at an OGM held on May 18, 2015 and based on the provisions of Art. 32, sub-
items I, II, III and XI, Art. 84 of Decree No. 73 of November 21, 1966, Articles 3, sub-items III
and V, 37 and 74 of Supplementary Law No. 109 of May 29, 2001, Articles 3, § 1 and 4 of
Decree No. 261 of February 28, 1967, and Supplementary Law No. 126 of January 15, 2007,
DETERMINES:
Art. 1: To address technical provisions; assets reducing the technical provision coverage
requirement; underwriting, credit, operational and market risk capital; adjusted net equity;
minimum capital requirement; solvency regularization plan; retention limits; and criteria
covering investments, accounting standards, independent financial and actuarial auditing and
the Audit Committee with regard to insurance companies, open private pension entities,
investment firms and reinsurers.
Art. 2: For the purposes of this Resolution, consider:
I - supervised bodies: insurance companies, open private pension entities (OPPE), investment
firms and local reinsurers;
Continuation of CNSP Resolution nº 321, of 2015.
II - associated business: an entity, including one not set up in the form of a company, such as a
partnership, over which the investor has significant influence but which is not a subsidiary nor
a stake in a joint venture.
III - significant influence: the ability to participate in the financial and operational decisions of
the investee, without having formal individual or joint control over those policies.
IV - related companies:
a) associated companies, subsidiaries or equivalent;
b) related legal entities having a direct or indirect stake of 10% (ten percent) or more, through
the management and their relatives, up to the 2nd degree, together or individually, in the
capital of the other;
c) related legal entities having a direct or indirect stake of 10% (ten percent) or more, through
the management and their relatives, up to the 2nd degree, together or individually, in the
capital of the other; related legal entities with a direct or indirect stake of 10% (ten percent) or
more, through the controlling members (in the case of non-profit open private pension
entities) or shareholders of one of them, collectively or individually, in the capital or net
equity, as the case may be, in the other;
d) legal entities whose management is, wholly or in part, the same as that of the supervised
body, with the exception of posts in collegial bodies, provided for in the bylaws or internal
regulations, as long as the occupants do not exercise managerial powers;
e) related legal entities operating in the market under the same brand or trade name; and
V – adjusted net equity (ANE): the book value of the net equity or net worth, as appropriate,
adjusted for additions and deductions to determine, more qualitatively and precisely, the
available resources that enable the supervised body to perform its activities in the face of
fluctuations and adverse situations, which must be net of intangibles, assets whose valuation is
highly subjective or are already guaranteeing similar financial activities, as well as other assets
whose nature is considered by the regulatory body to be unsuitable to safeguard its solvency.
VI – the structure in the format contained in this sub-item:
TITLE I: QUANTITATIVE ELEMENTS ............................................................................................. 4
CHAPTER I: Technical Provisions ................................................................................................. 4
Section I: Insurance companies and OPPEs ................................................................................ 4
Section II: Investment firms ................................................................. 5
Section III: Local Resinsurers ……………......................................................................................... 6
Section IV: General Provisions of this Chapter ………………………………………………………………………. 7
CHAPTER II: Assets that reduce the need to cover Technical Provisions ……………..….…............. 7
CHAPTER III: Risk Capital to cover Underwriting, Credit, Operational and Market Risks …….….. 7
Section I: Risk Capital to cover Underwriting Risk …………………………………………………………………. 8
Section II: Risk Capital to cover Credit Risk ………………………….………………………………………………. 11
Section III: Risk Capital to cover Operational Risk ………………………..………………………………………. 11
Section IV: Risk Capital to cover Market Risk ………………………….……………………………………………. 11
CHAPTER IV: Adjusted Net Equity …………………………………………………………..……………………………. 15
Continuation of CNSP Resolution nº 321, of 2015.
CHAPTER V: Minimum Capital Requirement and Solvency Regularization Plan ….................... 16
Section I: Capital Requirements …............................................................................................. 17
Section II: Net Asset linkage …………………………………………………………………………………………………. 17
Section III: Solvency Regularization Plan …................................................................................ 17
TITLE II: QUALITATIVE ELEMENTS ............................................................................................. 19
CHAPTER I: Retention Limits for Insurance companies, OPPEs and Local Reinsurers …………… 19
CHAPTER II: Investment Criteria ............................................................................................... 21
Section I: Insurance companies, OPPEs, Investment firms and Local Reinsurers .………………… 22
Section II: Investment of Resources Required in Brazil to Guarantee an Admitted Reinsurer’s
Obligations ................................................................................................................................ 27
TITLE III: RULES ON TRANSPARENCY AND DISCLOSURE ............................................................ 25
CHAPTER I: Accounting Standards ............................................................................................ 25
CHAPTER II: Independent actuarial auditors ............................................................................ 25
Section I: Minimum Requirements …........................................................................................ 28
Section II: Independence Requirements ……………….…………………………………………………………….. 26
Section III: Responsibility of the Supervised bodies …………………..…………………………………………. 27
Section IV: Periodic changing of the Independent Actuary …………….…………………………………….. 27
Section V: Documents of the Independent Actuarial Audit …………………………………………………… 27
Section VI: Report of the technically responsible Actuary ……………………….……………………………. 32
Section VII: General Provisions of this Chapter …………………………………………………………………….. 33
CHAPTER III: Independent Accounting Auditors ........................................................................ 34
Section I: Independence Requirements of the Accounting Auditors ........................................ 34
Section II: Obligations ………………………………………………………………………………………………………….. 35
Section III: Responsibility of the Supervised bodies …………………..…………………………………………. 35
Section IV: Periodic changing of the Independent Accounting Auditors ………………………………. 36
Section V: Audit Committee …………………………………………………………..……………………………………. 36
Section VI: Applicability of the General Standards for Independent Accounting Auditors ...... 36
Section VII: Documents of the Independent Accounting Audit …….……………………………………… 40
Section VIII: Certification ……………………………………………………………………………………………………… 41
Section IX: General Provisions of this Chapter ……………………………………………………………………... 41
TITLE IV: FINAL CONSIDERATIONS ............................................................................................ 42
Continuation of CNSP Resolution nº 321, of 2015.
TITLE I
QUANTITATIVE ELEMENTS
CHAPTER I
Technical Provisions
Art. 3: The establishing of Other Technical Provisions (OTP) may be allowed in relation to a
product, plan or portfolio, in addition to those specified in this Chapter, subject to prior
authorization by SUSEP and as long as they are provided for in an actuarial technical note.
Section I
Insurance companies and OPPE
Art. 4: To guarantee their operations, insurers and OPPE must, whenever necessary, make the
following monthly technical provisions:
I – Provision for Unearned Premiums (PUEP);
II – Provision for Claims reported but not yet settled (RBNS);
III – Provision for Claims incurred but not yet reported (IBNR);
IV – Mathematical Provision for Future Benefit Payments (PFBP);
V – Mathematical Provision for Benefits Granted (PBG);
VI – Provision for Supplementary Coverage (PSC);
VII – Provision for Related Expenses (PRE);
VIII – Provision for Technical Surpluses (PTS);
IX – Provision for Financial Surpluses (PFS); and
X – Provision for Redemptions and other unsettled amounts (PRO).
Subsection I
Provisions for Premiums
Art. 5: A PUEP must be set up to cover amounts payable in relation to claims and expenses still
to arise.
Subsection II
Provisions for Claims
Art. 6: An RBNS must be set up to cover amounts that are expected to be paid in settlement of
payments relating to reported claims.
Art. 7: A provision for IBNR must be set up to cover amounts that are expected to be paid in
relation to claims incurred but not reported.
Subsection III
Mathematical Provisions
Art. 8: A PFBP must be set up before the event that generates the benefit has occurred, to
cover the commitments to participants or policyholders.
Art. 9: A PBG must be set up, once the event that generates the benefit has occurred, to cover
the commitments to participants or policyholders.
Continuation of CNSP Resolution nº 321, of 2015.
5
Subsection IV
Other Provisions
Art. 10: A PSC must be set up whenever a shortage in technical provisions is ascertained.
Art. 11: A PRE must be set up to cover the claims expenses.
Art. 12: A PTS must be set up to guarantee the sums for the distribution of technical surpluses
arising from contractual operations, if such is provided for in the contract.
Art. 13: A PFS must be set up to guarantee the sums for distribution of financial surpluses, in
accordance with the prevailing regulations, if such is provided for in the contract.
Art. 14: The PRO covers other amounts outstanding that are not included in the other technical
provisions.
Section II
Investment firms
Art. 15: To guarantee their operations, the investment firms must, whenever necessary, set up,
on a monthly basis, the following technical provisions:
I – Mathematical Provision for Capitalization (MPC)
II – Provision for Distribution of a Bonus (PDB)
III – Provision for Redemption (PR)
IV – Provision for Prize Draws (PPD)
V – Supplementary Provision for Prize Draws (SPPD)
VI – Provision for Prize Draws Payable (PDP) and
VII – Provision for Administrative Expenses (PAE)
Subsection I
Provisions for Redemptions
Art. 16: An MPC must be set up before the event giving rise to redemption has occurred and
must cover the amounts received for capitalization.
Art. 17: A PDB must be set up before the event giving rise to a bonus distribution has occurred
and must cover the amounts determined for the bonus payment.
Art. 18: A PR must be set up that is in effect from the date of the event that gives rise to
redemption of the security and/or the event that gives rise to distribution of the bonus until
the date of settlement, or in accordance with other cases provided for in the legislation.
Continuation of CNSP Resolution nº 321, of 2015.
6
Subsection II
Provisions for Prize Draws
Art. 19: The PPD covers the amounts received for the prize draw and must be set up before the
prize draw has been carried out.
Art. 20: An SPPD must be set up to supplement the coverage of the draws to be carried out.
Art. 21: A PDP must be set up that is in effect from the date the prize draw is held until the
date of settlement, or in accordance with other cases provided for in the legislation.
Subsection III
Other Provisions
Art. 22: A PAE must be set up to cover the anticipated expenses for administration of the
capitalization plans.
Section III
Local Reinsurers
Art. 23: To guarantee their operations, the local reinsurers must, whenever necessary, set up
the following technical provisions:
I – Provision for Unearned Premiums (PUEP)
II – Provision for Claims reported but not yet settled (RBNS)
III – Provision for Claims incurred but not yet reported (IBNR)
IV – Mathematical Provision for Future Benefit Payments (PFBP)
V – Mathematical Provision for Benefits Granted (PBG)
VI – Provision for Supplementary Coverage (PSC)
VII – Provision for Related Expenses (PRE)
VIII – Provision for Technical Surpluses (PTS) and
IX – Provision for Financial Surpluses (PFS)
Subsection I
Provisions for Premiums
Art. 24: A PUEP must be set up to cover the amounts payable in relation to claims and
expenses to be incurred.
Subsection II
Provisions for Claims
Art. 25: An RBNS must be set up to cover the amounts to be settled in relation to reported
claims.
Art. 26: An IBNR claims provision must be set up to cover the amounts to be settled in relation
to claims that have been incurred but not yet reported.
Continuation of CNSP Resolution nº 321, of 2015.
7
Subsection III
Mathematical Provisions
Art. 27: The PFBP should cover the amount of the commitments assumed by local reinsurers in
their pertinent contracts, in order to guarantee the reinsured benefits that have not yet
started to be drawn.
Art. 28: The PBG should cover the amount of the commitments assumed by local reinsurers in
their pertinent contracts, in order to guarantee the reinsured benefits that have already
started to be drawn.
Subsection IV
Other Provisions
Art. 29: A PSC must be set up whenever a shortfall in the technical provisions is ascertained.
Art. 30: A PRE must be set up to cover the expenses in relation to claims.
Art. 31: A PTS must be set up to guarantee the amounts for the distribution of technical
surpluses arising from contractual operations, if such is provided for in the contract.
Art. 32: A PFS must be set up to guarantee the amounts for the distribution of financial
surpluses, in accordance with the prevailing regulations, if such is provided for in the contract.
Section IV
General Provisions of this Chapter
Art. 33: SUSEP shall address any fields or products that, due to their characteristics, should be
excluded from the setting up of any technical provisions dealt with in this Resolution.
CHAPTER II
Assets that reduce the need to cover Technical Provisions
Art. 34: The following may be offered as collateral assets to offset the need for technical
provision coverage, in accordance with the specific regulations published by SUSEP:
I – creditor rights;
II – reducing reinsurance and retrocession assets;
III – reducing judicial deposits; and
IV – reducing deferred acquisition costs.
Single paragraph: The assets provided to reduce the need for coverage of technical provisions
cannot be offered as collateral for other transactions.
Continuation of CNSP Resolution nº 321, of 2015.
CHAPTER III
Risk Capital to cover Underwriting, Credit, Operational and Market Risks
Art. 35: For the purposes of this Chapter, it shall be considered that:
I – underwriting risk: the possibility of incurring losses that confound the expectations of the
supervised body, directly or indirectly related to the technical bases utilized for calculating
premiums, contributions, shares and technical provisions;
II – underwriting risk capital (URC): variable amount of capital that a supervised body must
maintain, at all times, to guarantee the underwriting risk;
III – credit risk: the possibility of incurring losses associated with the policyholder or
counterparty’s, non-compliance with their respective financial obligations under the agreed
terms, and/or devaluation of the receivables due to a reduction in the risk rating of the
policyholder or counterparty;
IV – credit risk capital (CRC): variable amount of capital that a supervised body must maintain,
at all times, to guarantee the credit risk to which it is exposed;
V – operational risk: the possibility of incurring losses as a result of the failure, deficiency or
inadequacy of internal processes, employees or systems, or from fraud or external events,
including legal risk but excluding the risks relating to strategic decisions or the reputation of
the institution;
VI – external events: events occurring outside the supervised body, such as stoppages caused
by riots, strikes, revolts, acts of terrorism, uprisings, natural disasters, fires, blackouts or any
other event not directly related to the activities of the supervised body but that could cause
the failure or collapse of services essential to the performing of its operational activities;
VII – legal risk: the possibility of losses arising from fines, penalties or reparations as a result of
the action of supervisory and control bodies, as well as losses arising from unfavorable
decisions in judicial or administrative proceedings;
VIII – operational risk capital (RCoper): variable amount of capital that a supervised body must
maintain, at all times, to guarantee the operational risk to which it is exposed;
IX – market risk: the possibility of incurring losses due to fluctuations in the financial markets
that bring about changes in the economic appraisal of the assets and liabilities of the
supervised bodies;
X – market risk capital (RCmarket): variable amount of capital that a supervised body must
maintain, at all times, to guarantee the market risk to which it is exposed;
XI – direct reinsurance: reinsurance operations net of loading fee, cancellations, refunds and
discounts;
X – goodwill: an asset that represents future economic benefits to arise from other assets
acquired in a business combination, which are not individually identified and separately
recognized in the books.
Continuation of CNSP Resolution nº 321, of 2015.
Section I
Risk Capital to cover Underwriting Risk
Art. 36: This Section does not apply to transactions within the DPVAT (Personal Injury caused
by Land Vehicles) and DPEM (Personal Injury caused by Watercraft) insurance classes.
Art. 37: The underwriting risk capital of insurers and OPPE is to be calculated using the
standard risk factors listed in Addendums I to VII, following the correlation matrix and
equation shown in Addendum VIII.
§ 1: SUSEP shall regulate specific criteria that, if met by the insurers and OPPE, will enable the
calculation of the underwriting risk capital to be made using the reduced risk factors listed in
Addendums I to VII, following the correlation matrix and equation shown in Addendum VIII.
§ 2: Insurers that, on the date this Resolution comes into force, were already using the
reduced risk factors listed in Addendums I and II to calculate the underwriting risk capital shall
be allowed an adaptation period, to be defined by SUSEP, to bring their procedure into line
with the new criteria referred to in the preceding paragraph.
Art. 38: The portions of underwriting risk capital of the insurers and OPPE defined in
Addendums I, II and VII, the calculation of which depends on the historical data of the
transactions, are only to be calculated using the actual amounts involved.
Single paragraph: In the case of supervised bodies created from a split-off or supervised bodies
receiving portfolios transferred by other supervised bodies, the historical record of the
transactions received shall be treated according to the SUSEP regulations.
Art. 39: Calculation of the underwriting risk capital for insurance transactions shall be
performed on the basis set out in Addendums I, II and III, except in the case of the following:
I - free benefit generator life insurance (VGBL);
II - life insurance with guaranteed update plus performance (VAGP);
III - life insurance with guaranteed remuneration plus performance (VRGP);
IV - life insurance with guaranteed remuneration and no performance update (VRSA);
V - life insurance with immediate income (VRI);
VI - pure endowment;
VII - mixed endowment;
VIII - private individual - funeral insurance (class 1329);
IX - private individual - life (class 1391);
X - private individual - life (run-off) (class 0991); and
XI - other personal insurance structured according to the capitalization financial method or the
terminal funding method.
Art. 40: Addendums IV, V, VI and VII shall be used for calculating the underwriting risk capital
of open private supplementary pension and insurance transactions, except for those
mentioned in the preceding Article.
Art. 41: The underwriting risk capital of investment firms shall be calculated using the standard
risk factors and equations set out in Addendums IX to XII, following the correlation matrix in
Addendum XIII.
Single paragraph: SUSEP shall regulate the specific criteria for the investment firms to be able
to use the reduced risk factors listed in Addendums IX to XII.
Continuation of CNSP Resolution nº 321, of 2015.
Art. 42: The underwriting risk capital of the local insurers shall be comprised of the sum of two
parts:
I – the amount obtained by applying the insurers’ underwriting risk model to the proportional
reinsurance, taking into consideration the corresponding transactions and business lines to
which it relates; and
II – the amount obtained by applying the specific procedure, defined in Article 44, to the non-
proportional reinsurance and all other transactions not listed in item I.
Art. 43: In calculating the portion of underwriting risk capital referred to in item I of Article 42,
the following criteria shall be observed:
I – For risks assumed in Brazil, the business lines shall be defined according to the groups of
classes to which they belong, as shown in the following table:
Group of classes Business line
01 4
02 5
03 6
04 (run-off) 7
05 8
06 9
07 11
08 (run-off) 12
09 13
10 15
11 16
12 17
13 14
14 7
15 7
II – For risks assumed abroad, business line 17 (seventeen) shall be used; and
III – In defining the market segments, Region 2 (two) shall be used.
Art. 44: The specific procedure for obtaining the amount provided for in item II of Art. 42 must
meet the following criteria:
I – For reinsurance coverage structured according to the capitalization financial method and
for the granting of income, the required amount shall be equal to 4% (four percent) of the sum
of the mathematical provisions for benefits to be granted and benefits granted in relation to
direct reinsurance and accepted retrocessions, without deducting ceded retrocessions,
multiplied by the maximum percentage between 85% (eighty five percent) and the ratio
obtained from the sum of the mathematical provisions for benefits to be granted and benefits
granted, net of ceded retrocessions, and the sum mathematical provisions for benefits to be
granted and gross benefits granted, calculated on the last December base date;
Continuation of CNSP Resolution nº 321, of 2015.
II – For reinsurance coverage structured according to the pay-as-you-go or terminal funding
financial methods and risk transactions arising from insurance contracts covering damages, the
greatest of the following amounts:
a) 20% (twenty percent) of the total premiums retained over the last 12 (twelve) months; or
b) 33% (thirty three percent) of the annual average of total claims retained over the last 36
(thirty six) months.
Section II
Risk Capital to cover Credit Risk
Art. 45: This Section does not apply to transactions in the DPVAT and DPEM classes.
Art. 46: The credit risk capital of the supervised bodies shall be comprised of two parts and
shall be calculated according to the terms of Addendums XIV to XVI.
Section III
Risk Capital to cover Operational Risk
Art. 47: The operational risk capital of the supervised bodies is calculated according to the
criteria listed in Addendums XVII to XIX.
Section IV
Risk Capital to cover Market Risk
Art. 48: This Section does not apply to transactions in the DPVAT and DPEM classes.
Art. 49: For the purposes of this Section, it shall be considered that:
I – material cash flows: cash flows that, if omitted or poorly assessed, could, considering their
volume, nature and whether they are individual or collective, lead to material misstatement in
the assessment of market risk;
II – economic value: fair price to be paid or received in relation to a particular item, on the
base date of the cash flow calculation, if it were to be traded in the market or between
interested parties that have the same level of knowledge and bargaining power;
III – standard vertices: predetermined and standardized duration periods for grouping cash
flows according to the fixed interest rate, price index coupon or foreign currency coupon that
affects their economic assessment;
IV – net exposure: positive or negative algebraic sum, in reais, of the economic values of all the
material cash flows, rights and obligations whose valuation is subject to the variations of a
particular index, interest rate, foreign currency, share price or commodity price, which must be
calculated for each standard vertex or, where this does not apply, to the total cash flow; and
V – products with a financial surplus guarantee: insurance or pension products that guarantee
the policyholder or participant a portion of any profitability surplus on the investment
portfolio, expressed as a guaranteed minimum rate.
Single paragraph: The concept defined in item I must not be applied to cash flows arising from
financial assets, with must be estimated in their entirety.
Continuation of CNSP Resolution nº 321, of 2015.
Art. 50: The market risk capital of the supervised bodies is to be calculated as set out in this
Article, in accordance with the methods determined in Addendums XX to XXII.
§ 1: For application of the methodology described in Addendum XXI, the economic values of
the cash flows estimated by the supervised bodies shall be allocated in standard vertices
according to their duration and risk factor, in accordance with the procedure set out in
Addendum XX.
§ 2: For supervised bodies that do not have products with a financial surplus guarantee, or that
choose not to use the option provided for in § 3, the RCmarket shall correspond to the
RCmarket.general defined in Addendum XXI.
§ 3: Supervised bodies that have products with a financial surplus guarantee, provided they
have not yet allocated the surplus to a provision for the individual policyholder or participant,
may choose to calculate the amount of market risk capital for these products (RCmarket.surplus)
separately, according to the methodology set out in Addendum XXII, with the RCmarket in this
case defined by the sum of:
a) RCmarket.general: As defined in Addendum XXI, but considering only the net exposure in
relation to products without a financial surplus guarantee and products with such a guarantee,
for which the supervised body chooses not to use the option provided for in the above clause;
and
b) Ʃni=1 RCmarket.surplus: Sum of the RCmarket.surplus calculated, considering the net exposure for
each group i of products with financial surpluses (freely defined), which should include all the
products for which the supervised body chooses to use the option provided for in the above
clause.
§ 4: The amount of market risk capital that is effectively required shall correspond to:
a) 0% of the RCmarket to December 30, 2016;
b) 50% of the RCmarket between December 31, 2016 and December 30, 2017; or
c) 100% of the RCmarket as of December 31, 2017.
Subsection I
Minimum Criteria for estimating the Cash Flows
Art. 51: The supervised bodies should draw up a methodology manual, which is to be made
available to SUSEP, describing the techniques, assumptions, procedures and materiality criteria
adopted for estimating the cash flows.
Single paragraph: The period for preparation of the first version of the methodology manual
should coincide with that determined by SUSEP for the first submission of data by the
supervised bodies.
Art. 52: The calculation of the market risk capital must not consider cash flows in relation to:
a) Share holdings in subsidiaries or affiliates;
b) Tax credits arising from a tax loss or negative social contribution calculation base;
c) Intangible assets;
d) Real estate and closed-end real estate investment funds;
e) Rights and obligations in relation to the transactions of branches abroad;
f) Works of art;
g) Precious stones;
h) Any other assets excluded from the calculation of Adjusted Net Equity (ANE), in accordance
with the current regulations or a decision by the SUSEP;
i) Any other assets or liabilities excluded by a decision of the SUSEP, contained in a document
providing guidance on the calculating of market risk capital.
Continuation of CNSP Resolution nº 321, of 2015.
Art. 53: All the estimated cash flows must be gross of refunds, reimbursements and related
expenses and, if material, be considered as separate streams.
Art. 54: High frequency payments and receipts may be grouped into annual flows, or over a
shorter time period, the length of which should correspond to half the period considered in
the grouping.
Art. 55: To determine the economic value of the cash flows pertaining to general obligations
and rights in relation to insurance, pension, capitalization and reinsurance contracts, the
future amounts of payments and receipts must be discounted using the risk-free Term
Structure of Interest Rates (TSIR ), established by SUSEP, for the corresponding risk factor,
unless the supervised body has received express permission from the autonomous entity to
use its own TSIR.
Art. 56: When estimating the cash flows pertaining to rights and obligations in relation to
insurance, pension, capitalization and reinsurance contracts, a supervised body must apply
statistical and actuarial methods based on realistic assumptions.
Single paragraph: Where applicable, the supervised body must observe the SUSEP standards
and guidelines in relation to the Liability Adequacy Test (LAT) and adopt the same
methodology and assumptions used to carry out the LAT, except where the contents of this
Resolution or a specific guideline for calculating the market risk capital state the contrary.
Art. 57: Supervised bodies must not include in the market risk capital calculation the cash flows
pertaining to rights and obligations relating to the deferral phase of VGBL and PGBL plans.
Single paragraph: In cases referred to in the above clause, the supervised body must consider
only the cash flows arising from the exercising of the conversion into income option by the
policyholder or participant.
Art. 58: When estimating the cash flows of financial assets, the supervised bodies must not
consider reinvestment activities, but include only the assets that they actually hold at the time
of the appraisal.
Art. 59: For investment funds in which the supervised body holds a stake, the cash flows must
be considered only in proportion to the shares it holds, directly or indirectly.
§ 1: Whenever possible, the supervised body should consider the individual cash flows for each
asset that comprises the investment fund portfolios.
§ 2: In the case provided for in § 1, the cash flows for each investment fund asset should be
grouped according to the risk factor to which it is exposed, in accordance with the provisions
of Addendum XXI.
§ 3: Should it be impossible to identify the risk factor, maturity or net risk exposure of any
asset belonging to an investment fund, at any level, the total shares that the supervised body
holds, directly or indirectly, in that fund should be considered in calculating the corresponding
net exposure to the share risk factor, in accordance with the provisions of Addendum XXI.
Continuation of CNSP Resolution nº 321, of 2015.
Art. 60: The cash flows for financial assets whose profitability is pegged to a percentage of the
DI or Selic rate and whose contractual yield differs from that practiced by the market must be
used by the supervised body to determine the net exposure to the fixed interest rate risk
factor, in accordance with the provisions of Addendum XXI.
§ 1: In the case referred to in the above clause, the economic values of the cash flows must
only be considered in proportion to the difference between the contractual yield and the
market yield on that security.
§ 2: If the contractual yield of the asset exceeds the market yield on that security, the cash
flows, proportional to the difference, shall be considered a unit price oversold exposure. For
the opposite scenario, they shall be considered an overpurchased exposure.
Art. 61: Supervised bodies should estimate the cash flows for financial derivatives.
§ 1: In the case of futures contracts, in determining the net exposure to the risk factors listed
in Addendum XXI, consideration should be given to:
a) a cash flow with the same term and notional amount as the underlying asset; and
b) a cash flow similar to that of item "a" and term and value but with the opposite sign, which
will be considered in the calculation of the net exposure corresponding to the risk factor of
fixed interest rates, in accordance with the provisions of Addendum XXI.
§ 2: In the case of swaps, the cash flows should be considered for both long and short
positions.
§ 3: In the case of options, a cash flow should be included that is calculated as the product of
the delta of the option, the size of the contract and the value of the underlying asset.
Art. 62: Cash flows used for calculating the market risk capital should, at the very least, be
estimated upon the closure of the trial balances for the months of March, June, September
and December.
Single paragraph: SUSEP shall set the deadline for the first submission of data provided for in
this Resolution and shall provide guidance to the supervised bodies as to the form of delivery.
Continuation of CNSP Resolution nº 321, of 2015.
Subsection II
Transitory Provisions of this Chapter
Art. 63: A requirement for market risk capital in any proportion other than 0% of the RCmarket,
as provided for in items "b" and "c" of § 4 of Article 50, will only occur if, by December 31,
2016, regulations come into force that increase the sensitivity of the ANE to variations in the
economic values used to calculate the market risk capital.
§ 1: Alternatively, a new parameter may be introduced for the purpose of calculating the
capital adequacy that would meet the objective set out in the above clause.
§ 2: If the regulations referred to in this Article come into force after the abovementioned
date, the requirement for market risk capital in any proportion other than 0% of the RCmarket
would be as follows:
a) 50% of the RCmarket as of the date on which the aforementioned regulations come into force;
and
b) 100% of the RCmarket 1 (one) year later.
CHAPTER IV
Adjusted Net Equity
Art. 64: Calculation of the ANE shall be based on the accounting net equity or accounting
shareholders' equity, as appropriate, after the following deductions:
I – the value of equity stakes in financial and non-financial companiesa classified as permanent
investments, in Brazil or abroad, considering the added value and goodwill, as well as any
reductions to recovery value;
II – pre-paid expenses unrelated to reinsurance;
III – tax credits arising from tax losses in relation to income tax and a negative social
contribution base;
IV – intangible assets;
V - urban properties and real estate investment funds linked to urban property, considering
revaluations, impairment and depreciation, that exceeds 14% of the total adjusted assets;
VI - rural properties and real estate investment funds linked to rural properties, considering
revaluations, impairment and depreciation;
VII - deferred assets;
VIII - rights and obligations relating to the transactions of branches abroad;
IX - works of art;
X - precious stones; and
Continuation of CNSP Resolution nº 321, of 2015.
XI - credits from the sale of assets listed in the preceding items, observing the deduction rule in
item V in the case of the disposal of urban property.
§ 1: Consider as total adjusted assets, for the purposes of the provisions in item V, the balance
of the total assets net of the deductions listed in Items I, II, III, IV, VI, VII, VIII, IX, X and XI.
§ 2: Real estate investment funds linked to urban or rural property, provided they are open to
public trading, in accordance with the Brazilian Securities Commission (CVM) Instruction
dealing with the public offering of marketable securities, are not liable to the deductions
mentioned in item V and VI.
CHAPTER V
Minimum Capital Requirement and Solvency Regularization Plan
Art. 65. Consider, for the purposes of this Chapter:
I – capital base: the fixed amount of capital that the supervised body must maintain, at all
times, as provided for in Addendums XXIII to XXV, while for supervised bodies operating
exclusively in micro-insurance it shall be 20% (twenty percent) of the amount determined in
Addendum XXIII.
II – risk capital (RC): the variable amount of capital that the supervised body must maintain, at
all times, to guarantee the risks inherent in its operations, as provided for in Addendum XXVI;
III – Minimum Capital Requirement (MCR): the total capital that the supervised body must
maintain in order to operate, equivalent to the higher of the capital base, as defined in
Addendums XXIII to XXV, and the risk capital, as defined in Addendum XXVI;
IV – liquid assets: all the assets accepted by the National Monetary Council (CMN) in 100%
(one hundred percent) coverage of the technical provisions;
V – liquidity in relation to the RC: a situation where the supervised body holds an amount of
liquid assets that is in excess of the need to cover the technical provisions, equivalent to more
than 20% (twenty percent) of the RC;
VI – Solvency Regularization Plan (SRP): a plan that must be sent by a supervised body to the
SUSEP, in the manner determined in this Resolution, aimed at restoring a state of solvency
when there is a shortfall in the ANE in relation to the MCR of up to 50% (fifty percent) or when
the supervised body has insufficient liquidity in relation to the RC.
VII – local reinsurer: a reinsurer domiciled in Brazil and set up as a corporation, which has the
sole purpose the performing of reinsurance and retrocession transactions;
VIII – admitted reinsurer: a reinsurer domiciled abroad, with a representative office in Brazil,
that, meeting the requirements of Supplementary Law No. 126 of January 15, 2007 and the
rules applicable to reinsurance and retrocession activities, has been registered as such by the
Private Insurance Agency (SUSEP) to perform reinsurance and retrocession transactions;
Continuation of CNSP Resolution nº 321, of 2015.
Section I
Capital Requirements
Art. 66: Supervised bodies must show, every month, when closing their monthly trial balances,
an ANE that is equal to or above the MCR and liquidity in relation to the RC.
Art. 67: In the even of an ANE shortfall in relation to the MCR of up to 50% (fifty percent) or a
liquidity shortfall in relation to the RC, the supervised body must submit an SRP, in the manner
provided for in this Chapter, proposing an action plan aimed at restoring a state of solvency.
§ 1: An SRP will only be required if a shortfall is ascertained in 3 (three) consecutive months or,
specifically, in the months of June and December.
§ 2: A worsening of the ANE shortfall to the levels provided for in Articles 68 and 69 shall make
the supervised body subject to special treatment, under the terms of the prevailing legislation.
Art. 68: A supervised body shall be subject to the special treatment of direct management
supervision, pursuant to the prevailing legislation, if its ANE shortfall in relation to the MCR is
greater than 50% (fifty percent) and less than or equal to 70% (seventy percent).
Art. 69: A supervised body shall be subject to being placed in receivership, pursuant to the
prevailing legislation, if its ANE shortfall in relation to the MCR is greater than 70% (seventy
percent).
Section II
Liquid Asset linkage
Art. 70: Liquid assets in excess of the coverage need, as defined in this Chapter, shall be
recorded in an account linked to SUSEP, in accordance with the prevailing legislation.
Section III
Solvency Regularization Plan
Art. 71: The supervised body must submit the SRP to the SUSEP within 45 (forty-five) days from
the date the notification from the SUSEP was received.
Single paragraph: The SRP must be approved by the supervised body’s executive board and, if
there is one, supervisory board or steering committee.
Continuation of CNSP Resolution nº 321, of 2015.
Art. 72: The SRP must contain well-defined deadlines and targets and provide precise details of
the procedures to be adopted in order to resolve any shortfall, including the following
essential features:
I – identification of the factors that contributed to the shortfall;
II – identification of any problems in relation to assets and liabilities, growth of the business,
extraordinary exposure to risk, product diversification, reinsurance and any other factors that
the supervised body considers to be relevant; and
III – proposals for corrective action that the supervised body intends to adopt.
§ 1: The maximum period for the resolution of the ANE shortfall shall be 18 (eighteen) months
from the month following the date of receipt of the notification provided for in the main
clause of Article 71.
§ 2: The maximum period for the resolution of the liquidity shortfall in relation to the RC shall
be 6 (six) months from the month following the date of receipt of the notification provided for
in the main clause of Article 71.
§ 3: In the event of an adverse economic situation in the market of the supervised body or in
the financial situation, SUSEP may extend the periods referred to the preceding paragraphs by
up to 9 (nine) months and 3 (three) months, respectively.
§ 4: The SRP must additionally comply with the supplementary instructions that are issued by
SUSEP in specific regulations or in the notification mentioned in the main clause of Article 71.
Art. 73: The SRP shall be submitted for the decision of the SUSEP Technical Board.
§ 1: The decision mentioned in the above clause shall result in it being approved or rejected,
which shall be announced by the Office for Solvency Monitoring General Coordination (CGSOA)
and, in the case of rejection, confirmed by the SUSEP Steering Committee.
§ 2: In the event of the plan's rejection, SUSEP shall additionally inform the reasons underlying
its decision, and the supervised body shall have one more chance to submit, within a
maximum period of 45 (forty-five) days from the date of receipt of the notification, a new SRP.
§ 3: As long as this does not involve non-compliance with the laws or regulations in force, the
actions proposed in the SRP must be adopted by the supervised body even before the SUSEP
has declared its approval or rejection of the plan.
Continuation of CNSP Resolution nº 321, of 2015.
Art. 74: While carrying out the SRP, in order to facilitate its monitoring, the supervised body
must send to the SUSEP, at specified intervals, any reports that autonomous entity shall deem
to be necessary.
Single paragraph: Whenever it deems necessary, the SUSEP may request a review of the SRP,
which must be approved by the SUSEP Technical Board.
Art. 75: In the event of failure to submit an SRP, rejection of the SRP for the second time or
non-compliance with the SRP, the supervised body shall be subject to the special treatment of
direct management supervision, even if its ANE shortfall in relation to the MCR or liquidity
shortfall in relation to the RC is less than or equal to 50% (fifty percent).
Single paragraph: The SRP must contain an explicit statement that the executive board and, if
there is one, the supervisory board or steering committee are aware that, in the circumstances
provided for in the above clause, the supervised body shall be subject to the special treatment
of direct management supervision.
Art. 76: The SUSEP Steering Committee may, as an alternative to the special treatment in
relation to the situations set out in this Chapter and following analysis of the specific situation
of the supervised body, request the submitting of a new SRP to the SUSEP.
TITLE II
QUALITATIVE ELEMENTS
CHAPTER I
Retention Limits for the Insurance companies, OPPE and Local Reinsurers
Art. 77: For the purposes of this Chapter, it shall be considered that:
I – isolated risk: the object or set of objects of the insurance or pension coverage of risk, the
possibility of being affected by the same loss generating event of which is significant; and
II – risk coverage: coverage for which the generating event is not the participant's survival past
a predetermined date.
Art. 78: The retention limit is the maximum amount of liability that insurers, OPPE and local
reinsurers may retain for each isolated risk, which is determined based on the values of the
respective ANE.
Continuation of CNSP Resolution nº 321, of 2015.
Art. 79: For calculation of the values of the retention limits, the insurers, OPPE and local
reinsurers must make an actuarial technical note, prepared by the technically responsible
actuary, available to SUSEP, observing the following:
I – the calculation must be performed using a scientifically proven method that can generate
consistent results;
II – the actuarial technical note containing the calculation methodology must be submitted to
SUSEP within five (5) business days from the date the request was received;
III – SUSEP may, at any time, as may be necessary in each case, determine for the insurer,
OPPE or local reinsurer the use of a specific method for calculating the retention limits or set
retention limit values that are different to those calculated by the supervised body; and
IV – in the situation provided for in item III of this Article, an insurer, OPPE or local reinsurer
may submit to the SUSEP a request to use its own method, the application of which shall be
dependent upon prior authorization by SUSEP.
Art. 80: The insurers, OPPE and local insurers must calculate their retention limits in the
months of February and August, but they are allowed to calculate new retention limits in the
other months of the year.
§ 1: The calculation base for calculating the values in the months between February and July
must be the ANE for December of the previous year.
§ 2: The calculation base for calculating the values in the months between August and January
must be the ANE for the previous June.
§ 3: The values of the retention limits must be submitted to the SUSEP in accordance with the
specific regulations.
§ 4: The values of the retention limits calculated for a specific base date shall come into effect
from the first day of the month following the calculation month.
§ 5: In the case of a capital increase, in cash or assets, paid in after the December or June base
date, the insurers, OPPE and local reinsurers may, in the month immediately following that
increase, calculate the retention limits based on the ANE for the month of the increase, which
shall come into effect from the first day of the month following the calculation month.
§ 6: For transactions involving the risk coverage of the supplementary pension products of the
insurers and OPPE, the retention limits must be calculated by type of risk coverage.
§ 7: For insurance transactions, the retention limits must be calculated by class.
Continuation of CNSP Resolution nº 321, of 2015.
§ 8: For reinsurance transactions, the retention limits must be calculated by group of classes.
§ 9: The provisions of this Article do not apply to survivor coverage transactions.
Art. 81: Retention limit values calculated by the insurers or OPPE that are less than or equal to
5% of the ANE do not require prior authorization by the SUSEP.
Single paragraph: Subject to prior authorization by the SUSEP, insurers or OPPE may be
allowed to use retention limits with a values greater than 5% of the ANE.
Art. 82: Insurers, OPPE and local insurers may not set retention limits and therefore cannot
accept risks when the amount of the book loss would be greater than the sum of the paid in
capital plus reserves provided for in the net equity.
Art. 83. Insurers, OPPE and local insurers must keep available, in digital format, for inspection
by the SUSEP, during a period of 5 (five) years, all the documentation and statistical data
corroborating their full compliance with the provisions of this Chapter.
CHAPTER II
Investment Criteria
Art. 84: For the purposes of this Chapter, it shall be considered that:
I – colateral assets: assets linked to the securing of the provisions, in accordance with the
guidelines issued by the National Monetary Council (CMN);
II – CPR: Rural Product Note;
III – derivatives: contracts for financial assets or marketable securities whose trading value and
characteristics derive from other assets, that serve as their base of reference;
IV – risk factor: price index, interest rate, share index or asset price whose variations may have
an impact on the market value of the investment portfolio;
V – FIE: specially constituted investment fund or investment fund investing in the shares of
investment funds specially set up to directly or indirectly receive resources from supervised
bodies;
VI – investments: assets and operational formats of insurers, OPPE, investment firms or local
reinsurers, such as options, the forward market, futures and swaps, among others, and the
financial assets and the operational formats held by an admitted reinsurer, relating to the
resources required in Brazil to guarantee its obligations.
VII – portfolio protection: reducing the exposure to certain risk factors, in order to protect the
portfolio against possible variations in the fair value of an asset;
VIII – spot market position synthesis: using derivatives to synthesize financial structures traded
in the spot market;
Continuation of CNSP Resolution nº 321, of 2015.
IX – BM&FBOVESPA (Bolsa de Valores, Mercadorias e Futuros S.A.) - the São Paulo Stock
Exchange;
X – CETIP (Cetip S.A.) - Clearing House for the Custody and Financial Settlement of Securities;
and
XI – SELIC (Sistema Especial de Liquidação e Custódia) - Special System for Settlement &
Custody.
Section I
Insurance companies, OPPE, Investment firms or Local reinsurers
Art. 85: Management of the investments made by insurers, OPPE, investment firms or local
insurers should observe the following:
I – the princíiples of security, profitability, solvency and liquidity; and
II – specific features, such as the characteristics of its liabilities, with a view to maintaining the
necessary economic, financial and actuarial balance between the assets and liabilities.
Subsection I
Recording, Financial Settlement and Custody of Investments
Art. 86: The financial assets, including those comprising an FIE portfolio, should be:
I – held in custody or recorded in a registration system, in the name of the supervised body or
FIE, as appropriate, in specific individual accounts at the BM&FBOVESPA, CETIP or SELIC; or
II – deposited, if acceptable, in a custody account with a financial institution or entity
authorized by the Brazilian Central Bank (BCB) or the Brazilian Securities Commission (CVM) to
provide such service.
§ 1: Derivative transactions must be registered in the name of the insurer, OPPE, investment
firm, local reinsurer or FIE, in a system of registration at an institution duly authorized by the
BCB or CVM.
§ 2: Registration of the CPR used as a collateral asset or as part of an FIE portfolio whose
shares are used as collateral assets must identify any financial institution(s) sharing joint-
liability or state the number of the insurance policy that it secures, the name of the insurer and
the number of the SUSEP process stating the contractual terms and the actuarial technical
note.
§ 3: The insurer, OPPE, investment firm or local insurer needs to authorize the managers of the
systems, the institutions and the entities referred to in items I and II and § 1 to make the
information relating to its investments available to the SUSEP.
Continuation of CNSP Resolution nº 321, of 2015.
§ 4: Exclusively in regard to the investments comprising an FIE portfolio, the insurer, OPPE,
investment firm or local reinsurer, along with the fund management company, must authorize
the systems managers, institutions and entities referred to in items I and II and § 1 to make the
information concerning the composition of that portfolio available to the SUSEP.
§ 5: The provisions of item I apply to the managers of the assets securing the DPVAT insurance
technical provisions.
Art. 87: The property that is among the investments of the insurers, OPPE, investment firms or
local reinsurers is to be registered in their own name at a real estate registry office.
Single paragraph: The property sales contract, as well as any sale against payment in cash or in
installments, should also be registered under the terms of this Article.
Subsection II
Special Conditions for an FIE
Art. 88: In the case of an FIE whose shares are linked to securing technical provisions, repo
transactions can only be carried out in relation to assets securing technical provisions,
according to the CMN regulations.
Art. 89: FIE operations in the derivatives markets:
I - must be carried out exclusively for the protection of the portfolio, which may include
carrying out spot market position synthesis transactions;
II - must not generate, at any time, exposure that exceeds the value of the respective net
equity;
III - must not generate, at any time or cumulatively with the spot positions, exposure in
relation to each risk factor that exceeds the respective net equity;
IV - must not carry out uncovered option sales transactions; and
V - must not be carried out in the "unsecured" category.
Continuation of CNSP Resolution nº 321, of 2015.
§ 1: The use of derivatives by an FIE is conditional upon the fund regulations containing specific
clauses explaining the provisions of items I to V.
§ 2: The exposure resulting from the use of derivatives shall be considered, for classification of
the FIE portfolio within the criteria for diversification defined in its regulations, in its products
sold and in the guidelines issued by the CMN in relation to the collateral assets of technical
provisions.
§ 3: The provisions of item III of this Article shall only apply when the FIE shares are linked to
the securing of technical provisions.
Art. 90: It is forbidden for an FIE to have in its portfolio, directly or indirectly, investments in
the shares of investment funds whose performance in the derivatives markets generates, at
any time, exposure that exceeds the value of their net equity.
Subsection III
Investment Prohibitions
Art. 91: It is forbidden for an insurance company, OPPE, investment firm or local reinsurer to,
directly or indirectly:
I – perform derivative transactions that, at any time, generate exposure that exceeds the total
amount of the spot positions held;
II – perform derivative transactions in the “unsecured” category;
III – invest in the shares of investment funds whose involvement, directly or indirectly, in
derivative markets generates, at any time, exposure that exceeds the value of the respective
net equity;
IV – carry out uncovered option sales transactions;
V – invest funds in portfolios managed by private individuals, or in investment funds whose
portfolios are managed by private individuals;
VI – invest in assets abroad, except in the following cases:
a) those explicitly provided for in the CMN regulations;
b) those explicitly provided for in the regulations of the Brazilian Securities Commission
governing the assets that comprise investment fund portfolios;
c) investments made through affiliates or branches set up abroad, in compliance with Art. 54
of Decree nº 60,459, of March 13, 1967;
d) share holdings of a permanente nature in insurers, OPPE, investment firms, reinsurers or
similar, subject to prior approval by the SUSEP.
VII – invest in the shares of investment funds that do not have procedures for the assessment
and measurement of the investment portfolio risk;
VIII – provide a guarantee, surety or acceptance or take on a joint liability;
IX - grant loans or advances, or open a line of credit in any category to private individuals or
legal entities, especially those listed in Art. 17 of Law No. 7,492, of June 16, 1986, apart from
the exceptions specifically provided for in the current regulations;
Continuation of CNSP Resolution nº 321, of 2015.
X – carry out any commercial, financial or real estate transactions with:
a) its management or members of statutory committees, or their spouses, partners or relatives
up to the second degree;
b) companies in which any of the people referred to in sub-item “a” of this item participate,
except in the case of participation as a shareholder with a stake of up to 5% (five percent); and
c) a counterparty, even if indirectly, who is one of the private individuals defined in sub-item
“a” of this item or an affiliated company;
XI – invest in marketable securities issued by or the joint liability of affiliated companies;
XII – invest in the shares of investment funds whose portfolio contains marketable securities
issued by and/or the joint liability of the insurance company, OPPE, investment firm or local
reinsurer, its controlling shareholders, companies that it holds a direct or indirect controlling
stake in, or affiliated companies or other companies under joint control; and
XIII – invest in assets that were issued by, the joint liability of or otherwise secured by a private
individual.
§ 1: The transactions referred to in item I must be exclusively for the purpose of portfolio
protection and spot market position synthesis;
§ 2: The prohibition on joint liability, referred to in item VIII, does not apply to:
I – insurance company participation in co-insurance or retrocession transactions, or
II – local reinsurer participation in reinsurance or retrocession transactions.
§ 3: The prohibitions referred to in item X of this Article do not apply to:
I – transactions relating to the merger or demerger of assets for purpose of a share capital
increase or reduction;
II – policyholders or participants in plans that, in such status, conduct transactions with an
insurance company, OPPE, investment firm or local reinsurer, when these are in the exclusive
performance of their corporate purpose, in accordance with the specific regulations issued by
the SUSEP;
III – service provision operations, provided that the contractual remuneration is compatible
with market values and the contracts have been approved by and are overseen by the
supervisory board and executive board of the insurance company, OPPE, investment firm or
local reinsurer;
IV – transactions that, respecting the prevailing regulations, are agreed between insurers,
OPPE, investment firms or local reinsurers as a result of operational agreements whose sole
objective is the promotion of product marketing regulated under the National Private
Insurance System (SNSP); and
V – risk transfer agreements made between insurers and reinsurers.
Continuation of CNSP Resolution nº 321, of 2015.
§ 4: The prohibitions referred to in items XI and XII do not apply to securities issued by the
National Treasury to credits securitized by the National Treasury or to securities issued by the
states or municipalities that are the objects of contracts under the terms of Law nº 9,496, of
September 11, 1997, or Provisional Measure nº 2,185-35, of August 24, 2001.
§ 5: The prohibition referred to in item XII does not apply to shares comprising a market index
that is a benchmark for the fund's investment policy, provided that the proportional
participation of each share in that index is observed.
§ 6: The prohibition referred to in item XIII does not apply to:
I – financial assistance granted in accordance with specific regulations issued by the SUSEP; or
II – investments in the shares of investment funds whose portfolio contains assets issued,
under joint liability or in any other way guaranteed by a private individual, as long as the
administrator or management institution considers such assets as low credit risk, based on the
classification made by a rating agency operating in Brazil.
Art. 92: In addition to the provisions of Art. 91, exclusively with regard to collateral assets,
insurance companies, OPPE, investment firms or local reinsurers are prohibited from:
I – offering collateral assets to secure transactions in the futures markets or in any other
situations;
II – selling, pledging or in any other way encumbering collateral assets or the rights deriving
therefrom, without explicit prior authorization from the SUSEP;
III – leasing, lending or pledging marketable securities;
IV – conducting share transactions through private negotiations;
V – offering as collateral shares issued by companies that are not listed for trading in the stock
market or in over the counter markets run by a CVM accredited entity, except in the cases
already authorized by the CMN and approved by the SUSEP, in accordance with paragraphs 4
and 5 of Art.77 of Supplementary Law nº 109, of May 29, 2001;
VI – offering assets that have not been accepted under the terms of the CMN regulations;
VII – offering permanent shareholdings as collateral, except in the cases already authorized by
the CMN and approved by the SUSEP, in accordance with paragraphs 4 and 5 of Art.77 of
Supplementary Law nº 109, of May 29, 2001; or
VIII – offering CPR secured by the insurance company itself or by an affiliated company.
Subsection IV
General Provisions of this Section
Art. 93: The distribution of shares, debentures and other marketable securities, as well as the
subscription bonuses of listed companies and deposit certificates relating to shares that
comprise the investments of insurance companies, OPPE, investment firms, local reinsurers or
FIE must be previously registered with the CVM.
Continuation of CNSP Resolution nº 321, of 2015.
Single paragraph: The provisions of this Article do not apply to cases where the prior
registration of the distribution has been waived by the CVM.
Art. 94: The marketable securities that comprise the investments of insurance companies,
OPPE, investment firms, local reinsurers or FIE shall be identified using an ISIN (International
Securities Identification Number) code.
Section II
Investment of the Funds Required in Brazil to Secure the Liabilities of an Admitted Reinsurer
Art. 95: The funds required in Brazil to secure the liabilities of an admitted reinsurer are to be
held in accounts linked to the SUSEP and must be:
I – deposited, in foreign currency, in a bank authorized to operate in the foreign exchange
market in Brazil; or
II – invested, following conversion into reais, and deposited, in the name of the admitted
reinsurer, with a custodian or registered with a system of registration and deposited in specific
individual accounts held at the BM&FBOVESPA, CETIP or SELIC, as appropriate.
§ 1: The admitted reinsurer shall authorize the financial institution that maintains the account,
referred to in item I, to make available to the SUSEP the information relating to the daily
turnover and balance of such account.
§ 2: The admitted reinsurer shall authorize the managers of the systems, institutions and
entities, referred to in items I and II, to make available to the SUSEP the information pertaining
to its investments.
Art. 96: In relation to the funds required in Brazil to secure its liabilities, it is forbidden for an
admitted reinsurer, directly or indirectly, to:
I – lease, lend or pledge marketable securities;
II – have as a counterparty in its transactions, even if indirectly, the institution responsible for
the management of its investments or investment fund(s), or any of its affiliates;
III – have an affiliated company as a counterparty in its transactions, even if indirectly;
IV – invest in investment funds whose portfolios are managed by private individuals, or in
portfolios that are managed by private individuals;
V – invest in marketable securities issued by and/or the joint liability of the institution
responsible for managing its investments, or those if its affiliates;
VI – invest in marketable securities issued by and/or the joint liability of affiliated companies or
other companies that are under joint control;
VII – invest in investment funds whose portfolio contains marketable securities that were
issued by and/or are the joint liability of:
a) the institution responsible for the management of its investments or those of its controllers,
direct or indirect subsidiaries, affiliated companies or other companies that are under joint
control; or
b) the admitted reinsurer itself, its controllers, its direct or indirect subsidiaries, affiliated
companies or other companies that are under joint control.
Continuation of CNSP Resolution nº 321, of 2015.
VIII – invest in assets that were issued by, are the joint liability of or in any other way are
guaranteed by a private individual;
IX – offer assets that are not accepted under the terms of the CMN regulations.
Art. 97: The marketable securities that comprise the investments of the admitted reinsurer
shall be identified using an ISIN (International Securities Identification Number) code.
TITLE III
RULES GOVERNING TRANSPARENCY AND DISCLOSURE
CHAPTER I
Accounting Standards
Art. 98: The supervised bodies must observe the Accounting Standards, in accordance with the
specific regulations published by the SUSEP.
CHAPTER II
Independent Actuarial Auditing
Art. 99: For the purposes of this Chapter, it shall be considered that:
I – independent actuary: the private individual or legal entity responsible for performing the
independent actuarial audit;
II – technically responsible actuary: the actuary responsible for calculating the technical
provisions, for the actuarial technical notes and for the actuarial information presented by the
supervised bodies to the SUSEP, as well as any other duties provided for in specific regulations;
III – member responsible for the independent actuarial auditing: a person with technical
responsibility, a director, manager, supervisor or any other person in a management role who
is a member of the team responsible for the work of the independent actuarial auditing;
IV – serious error: an error that results in material inaccuracy in the calculation of the technical
provisions or in the actuarial information submitted to the SUSEP;
V – Consistency test: comparison between the established and effectively observed amounts,
for the purpose of assessing the adequacy of the amounts estimated on previous base dates;
and
VI – actuarial recalculation: recalculation of the amounts estimated or determined on previous
base dates, using updated databases or different methodologies and assumptions to those
used originally.
Continuation of CNSP Resolution nº 321, of 2015.
Section I
Minimum Requirements
Art. 100: The members responsible for the independent actuarial auditing must meet, at the
very least, the following requirements:
I – have valid registration and specific certification with the Brazilian Institute of Actuaries
(IBA);
II – have more than 3 (three) years’ experience in providing actuarial services;
III – meet the independence requirements defined in this Chapter; and
IV – meet any other requirements set out in this Resolution and in the rules to be published by
the SUSEP.
Section II
Independence Requirements
Art. 101: Any of the following situations shall be considered non-compliance with the actuarial
auditing independence requirements:
I – any case of impediment or incompatibility for the provision of independent actuarial
auditing services provided for in the IBA rules and regulations received by the SUSEP;
II – existence of a marital or family relationship, without limit to degree in direct bloodline, to
the 3rd degree in terms of a common ancestor or up to the 2nd degree in terms of affinity,
between a member responsible for the independent actuarial auditing, at a supervised body or
at any of its subsidiaries, affiliates or equivalent, and an administrator, controlling shareholder,
partner or employee who has influence over the management of the business or who is
responsible for the actuarial services at the supervised body;
III – a direct or indirect shareholding, of a member responsible for the independent actuarial
auditing, in the supervised body or at any of its subsidiaries, affiliates or equivalent;
IV – existence, on the part of a member responsible for the independent actuarial auditing, of
a direct, immediate or mediate, financial interest or substantial indirect financial interest in the
supervised body, for business dealings of any kind or the carrying out of joint ventures;
V – participation in the provision of independent actuarial auditing services, by a member
responsible for the independent actuarial auditing, at the same supervised body during the
financial year preceding the periodic replacement determined in Art. 109;
VI – existence of a member responsible for the independent actuarial auditing who has or
continues to participate in the consulting services that have provided actuarial services to the
supervised body within the last 3 (three) years; and
VII – existence of a member responsible for the independent actuarial auditing who has or has
had, within the last 2 (two) years, a direct or indirect working relationship, as an employee,
administrator or collaborator on the payroll, with the supervised body.
Continuation of CNSP Resolution nº 321, of 2015.
§ 1: At the time of hiring, the independent actuary must provide a formal declaration stating
that the services shall not be in conflict with the situations described in items I to VII, either at
the time of hiring or throughout the period the services are provided.
§ 2: Should any of the situations described, regarding subsidiaries, affiliates or equivalent, arise
in relation to the the independent actuary, it would mean the prohibition of hiring and
retaining same.
Art. 102: The provisions of this Section do not waive the need for checking, by the supervised
bodies and independent actuaries, of other situations that could affect the independence of
the actuarial auditing services.
Art. 103: Supervised bodies are forbidden to hire a responsible member of the team involved
in the work of the independent actuarial auditing for the preceding year, for a position related
to services that would be considered as impediment or incompatibility for the provision of
independent actuarial auditing services or that would make it possible to influence the
management of the supervised body.
Art. 104: The supervised body should include in the contract for the provision of independent
actuarial auditing services a clause whereby the independent actuary undertakes to deliver a
document containing his or her policy of independence, which should also be made available
to the SUSEP.
Single paragraph: The document referred to in the above clause must show, in addition to the
situations provided for in this Regulation, any others that, at the discretion of the independent
actuary, could affect his or her independence, as well as his or her adopted internal control
procedures for monitoring, identifying and avoiding such situations.
Section III
Responsibility of the Supervised Bodies
Art. 105: Should non-compliance with the requirements of this Resolution be ascertained, the
supervised body shall be held liable and the actuarial services shall be considered void, in
terms of compliance with the regulations issued by the CNSP and the SUSEP.
Art. 106: The supervised bodies must provide independent actuary with all the data,
information and conditions necessary for the effective performance of the services provided.
Art. 107: The supervised bodies should take the necessary steps to immediately replace the
independent actuary in the event that any serious errors committed in the performing of his or
her duties are detected.
Art. 108: The supervised bodies should appoint a technically responsible director to answer to
the SUSEP for the monitoring, supervision and fulfillment of the actuarial procedures provided
for in the current regulations.
Single paragraph: The technically responsible director shall be held accountable for the
information provided and the occurrence of any situations indicating fraud, negligence,
carelessness or incompetence in the performing of his or her duties, without prejudice to the
application of the penalties provided for in the prevailing legislation.
Continuation of CNSP Resolution nº 321, of 2015.
Section IV
Periodic Replacement of the Independent Actuary
Art. 109: The supervised bodies shall, every 5 (five) complete financial years, replace the
independent actuary and the members responsible for the independent actuarial auditing.
§ 1: The return of an independent actuary or member responsible for the independent
actuarial auditing may only take place 3 (three) years after his or her replacement.
§ 2: Supervised bodies are to report to the SUSEP the reasons for the replacement of the
independent actuary or members responsible for the independent actuarial auditing, 15
(fifteen) days prior to the deadline set in the main clause, stating the justifications and
ensuring the independent actuary is aware of the justifications put forward.
§ 3: If the independent actuary disagrees with the reasons stated by the supervised body for
his or her replacement, he or she must send to the SUSEP the reasons for their disagreement,
within 15 (fifteen) days from the date they became aware of same.
Section V
Independent Actuarial Auditing Documents
Art. 110: The supervised bodies must ask the independent actuary to produce the following
documentos:
I – report on the independent actuarial audit;
II – actuarial opinion; and
III – any other documents requested by the SUSEP.
§ 1: In the case of DPVAT insurance, the engaging of independent actuarial auditing services is
the exclusive responsibility of the insurance company managing the consortia.
§ 2: The supervised bodies must keep on file all the documents referred to in this Article, in
digital or electronic format, for a minimum period of 5 (five) years.
Art. 111: The report on the independent actuarial audit should contain conclusive analysis of
the following:
I – the technical provisions, the amounts reducing the coverage requirements for the technical
provisions, databases, retention limits and reinsurance transactions, as provided for in
Addendums XXVII, XXVIII and XXIX;
II – the portfolios and plans showing shortfalls;
III – alignment of the data, assumptions and procedures used in calculating the Minimum
Capital Requirement, defined by the standards set by the SUSEP;
IV – alignment of the data, assumptions and procedures used in applying in-house
methodologies approved by the SUSEP and developed for determining the capital
requirements, where appropriate;
V – the solvency of the supervised body;
VI – the impact of the provisos made by the internal auditors or previous independent auditors
and the opinions of the technically responsible actuary, in relation to technical and actuarial
matters or factors that could affect the solvency of the supervised body; and
Continuation of CNSP Resolution nº 321, of 2015.
VII – any other studies that the independent actuary considers to be necessary.
§ 1: The SUSEP may call for other analyses, in addition to those specified in this Article.
§ 2: The supervised bodies must send to the SUSEP the report on the independent actuarial
audit and the actuarial opinion, together with a plan of action determined by the supervised
body to correct any problems ascertained by the independent actuary.
§ 3: The report on the independent actuarial audit must:
I – contain a clear and objective description of the methodology used in the preparation;
II – be made available to the supervised body by March 31st; and
III – be delivered to SUSEP by April 30th, together with the report of the technically responsible
actuary specified in Art. 113.
§ 4: The report on the independent actuarial auditing of the insurance company responsible
for managing the DPVAT insurance consortia should also be made available to all the
participating supervised bodies by April 30th.
§ 5: The base date for the preparation of the report on the independent actuarial audit is
December 31st of the year preceding its delivery to the SUSEP.
Art. 112: The actuarial opinion must contain:
I – a statement about the quality of the data that formed the basis for the preparation of the
independent actuarial audit, as well as the alignment of such data with those sent to the
SUSEP;
II – a conclusive assessment regarding the adequacy of the technical provisions and the
reinsurance or retrocession assets;
III – other significant situations observed in the analyses and studies performed; and
IV – the signature of the person with technical responsibility for the preparation of the
independent actuarial audit, indicating his or her MIBA registration number and the CNPJ and
CIBA registration numbers of the firm responsible for the preparation of the independent
actuarial audit, as the case may be.
Single paragraph: The actuarial report should be published together with the annual financial
statements.
Section VI
Report of the Technically Responsible Actuary
Art. 113: The technically responsible actuary is to prepare a report containing his or her
opinion about the documents produced by independent actuarial audit mentioned in Art. 110.
§ 1: In the event that the independent actuary confirms a shortfall in the technical provisions
or in the amounts offered to reduce the coverage requirements for the technical provisions,
the technically responsible actuary should present his or her explanation or the new
calculation methodology for same, together with the actuarial recalculation.
§ 2: The provisions of § 1 also apply to any other estimates, in relation to the actuarial
calculations, that have been identified in the independent actuarial audit as being inadequate.
Continuation of CNSP Resolution nº 321, of 2015.
§ 3: The supervised bodies must send to the SUSEP, by the April 30th deadline, the report
referred to in the main clause, bearing the signature of the technically responsible actuary and
of the technical director of the supervised body.
§ 4: The report referred to in the main clause must be kept on file, in digital or electronic
format, for a minimum period of 5 (five) years.
Section VII
General Provisions of this Chapter
Art. 114: The director with technical responsibility, the technically responsible actuary and the
independent actuary shall, individually or jointly, within 10 (ten) business days from the
confirmation of the fact, formally communicate to the SUSEP the existence of any:
I – serious errors;
II – fraud perpetrated by the management of the supervised body;
III - significant fraud perpetrated by employees of the supervised body or by third parties; and
IV – evidence that the supervised body is at risk of insolvency or discontinuation, including
failure to comply with laws and regulations.
Single paragraph: The director with technical responsibility, the technically responsible actuary
and the independent actuary must immediately communicate amongst themselves whenever
any of the events referred to in this Article are identified.
Art. 115: The contracts between the supervised bodies and their respective independent
actuaries must contain specific clauses authorizing access by SUSEP, at any time, upon formal
request, to the working papers of the independent actuary and any documents that have
served as a basis or evidence for the issuing of the reports specified in this Chapter.
Art. 116: The SUSEP has the right to, at any time, approve and/or determine the replacement
of the independent actuary appointed by the supervised body.
Art. 117: The SUSEP, at any time it deems necessary, may require that additional actuarial
services, not provided for in this Chapter, be carried out by independent actuary to be hired by
a supervised body.
Art. 118: In providing actuarial services to the supervised bodies, the actuarial rulings issued by
the IBA and accepted by the SUSEP, as well as the general actuarial standards, must be
observed, provided that they do not conflict with the legal provisions and regulations of the
CNSP and the SUSEP.
Art. 119: The supervised bodies may not hire or retain to perform the duties of an independent
actuary any person who was responsible for a serious error committed in the performing of
their functions, for a period of up to 5 (five) years, depending on the seriousness of the error,
in accordance with the specific regulations.
§ 1: In the event of a recurrence, the period referred to in the above clause shall be doubled.
§ 2: In the event that the error committed was not of a serious nature, the actuary shall be
given a warning, and in the event of a recurrence, the new error shall be considered a serious
one.
Continuation of CNSP Resolution nº 321, of 2015.
Art. 120: The SUSEP is hereby authorized to determine the minimum information to be
included in the documents specified in this Chapter.
Single paragraph: The SUSEP may ask the supervised body to present specific additional
assessments and reports, prepared by its technically responsible actuary or the independent
actuary, according to the needs in each case, as a supplementary supervision tool.
CHAPTER III
Independent Financial Auditing
Art. 121. For the purposes of this Chapter, it shall be considered that:
I – financial conglomerate: any group of companies, including financial holdings, that are
subject to common control or dominant influence and conduct financial activities in at least
two of the following sectors: banking, insurance or securities;
II – insurance group: any group of companies that are subject to common control or dominant
influence and conduct business and/or activities related to insurance, reinsurance, open
supplementary private pensions or capitalization;
III - leading institution within a financial conglomerate or insurance group: the one that
controls the financial conglomerate or insurance group;
IV – subsidiaries: those companies in which the investor, directly or Indirectly, holds the
shareholding rights that ensure a permanent controlling majority in corporate decisions and
the power to elect or dismiss most of the management;
V – equivalent to a subsidiary:
a) an affiliate, agency, branch, office or representative office abroad, whenever the respective
assets and liabilities are not included in the accounts of the investor, pursuant to specific
regulations;
b) a company in which the permanent shareholding rights, as set out in item II of Article 2, are
under joint control or are exercised under a voting agreement, regardless of the voting capital
percentage held; or
c) a fully-owned subsidiary, in which the investor is the only shareholder.
IX - independent financial auditor: private individual or legal entity, duly qualified and
registered with the CVM, engaged to provide independent financial auditing services; and
X - member responsible for the independent financial auditing: a person with technical
responsibility, a director, manager, supervisor or any other person in a management role who
is a member of the team responsible for the work of the independent financial auditing.
Section I
Independence Requirements of the Financial Auditor
Art. 122: In any of the following situations, the supervised bodies cannot hire or retain the
independent financial auditor:
Continuation of CNSP Resolution nº 321, of 2015.
I - impediment or incompatibility for the provision of the independent financial auditing
services provided for in the rules and regulations of the CVM, the CFC or the Brazilian Institute
of Independent Auditors (IBRACON); and
II - payment by the audited supervised body, alone or jointly with any of its subsidiaries,
affiliates or equivalent, of fees and reimbursement of the expenses of the independent
financial auditor, in relation to the base year of the financial statements that are the object of
the financial audit, equivalent to or greater than 25% (twenty-five percent) of the total billing
of the independent financial auditor in that year.
Single paragraph: At the time of hiring, the independent financial auditor must provide a
formal declaration that his or her services shall not correspond to the situations provided for in
items I and II at the time of hiring or during the period when the services are being provided.
Art. 123: The supervised bodies cannot hire a person who is a member of the team responsible
for the work of the auditing of the financial statements of the current and previous financial
years, for a position related to services that would be considered as impediment or
incompatibility for the provision of independent financial auditing services or that would make
it possible to influence the management of the supervised body.
Art. 124: At the time of hiring, the independent financial auditor must provide a document
containing his or her policy of independence, to the supervised body, for its Audit Committee,
and should also be made available, upon request, to the SUSEP.
Single paragraph: The document referred to in the above clause must show, in addition to the
situations provided for in this Regulation, any others that, at the discretion of the independent
financial auditor, could affect his or her independence, as well as his or her adopted internal
control procedures for monitoring, identifying and avoiding such situations.
Section II
Requirements
Art. 125: The financial statements of the supervised bodies must be audited by an independent
financial auditor.
§ 1: The supervised bodies may only hire independent financial auditors, whether private
individuals or legal entities, who are registered with the CVM and meet the minimum
requirements set out in this Chapter and by the SUSEP.
§ 2: Should non-compliance with the provisions of § 1 be ascertained, the manager shall be
held liable, the independent financial auditing services provided shall be considered void and
the supervised body shall submit for authorization by the SUSEP a proposal for replacement of
the independent financial auditor.
Section III
Responsibility of the Supervised Bodies
Art. 126: The supervised bodies are to provide the independent financial auditor with all the
data, information and conditions necessary for effective performance in the provision of the
services, as well as a Management Representation Letter, in accordance with the rules of the
Federal Accounting Board (CFC).
Continuation of CNSP Resolution nº 321, of 2015.
Art. 127: The bodies supervised shall appoint a director responsible for accounting, to answer
to the SUSEP for the monitoring, supervision and compliance with the rules and accounting
procedures established in the prevailing regulations.
§ 1: The director responsible for accounting shall be held accountable for the information
provided and the occurrence of any situations indicating fraud, negligence, carelessness or
incompetence in the performing of his or her duties, without prejudice to the application of
the penalties provided for in the prevailing legislation.
§ 2: At the supervised bodies, where an Audit Committee has not been set up under the terms
of Section V, the director responsible for accounting shall also be responsible for the
monitoring, supervision and compliance with the rules and procedures of independent
financial auditing provided for in the prevailing regulations.
Section IV
Periodic Replacement of the Independent Financial Auditor
Art. 128: The supervised bodies shall, every 5 (five) complete financial years, following the
issuing of the reports of the independent financial auditors on the financial statements closed
on the December 31st base date, replace the independent financial auditor and the members
responsible for the independent financial auditing.
§ 1: The time period established in the above clause for the obligatory periodic replacement of
the independent financial auditor and the responsible members begins in the 2015 financial
year.
§ 2: The return of an independent financial auditor or member responsible for the
independent financial auditing may only take place 3 (three) years after his or her
replacement.
§ 3: Supervised bodies are to report to the SUSEP the reasons for the replacement of the
independent financial auditor or members responsible for the independent financial auditing ,
15 (fifteen) days prior to the deadline set in the main clause, stating the justifications and
ensuring the independent financial auditor is aware of the justifications put forward.
§ 4: If the independent financial auditor disagrees with the reasons stated by the supervised
body for his or her replacement, he or she must send to the SUSEP the reasons for their
disagreement, within 15 (fifteen) days from the date they became aware of same.
Section V
Audit Committee
Art. 129: The supervised bodies that have, at the close of the last 2 (two) financial years,
shown an ANE of more than R$ 500,000,000 (five hundred million reais) or technical provisions
totalling over R$ 700,000,000 (seven hundred million reais) must set up a statutory body
known as an “Audit Committee”, by March 31st of the following financial year.
§ 1: The Audit Committee is to perform its duties as of the financial year in which it is set up.
§ 2: Use of the term “Audit Committee” must be limited to the statutory body set up under the
terms of this Chapter.
§ 3: In the case of supervised bodies participating in a financial conglomerate or insurance
group, the aforementioned conditions will be applicable considering the sum of the ANE or
Technical Provisions of each of the participating supervised bodies in the financial
conglomerate or insurance group.
Continuation of CNSP Resolution nº 321, of 2015.
§ 4: Supervised bodies that do not meet the conditions provided for in the main clause, but
nevertheless choose to set up an Audit Committee, must comply with the provisions of this
Resolution.
Art. 130: The Audit Committee must comprise a minimum of 3 (three) members, each serving
a maximum term of 5 (cinco) years.
§ 1: The number of members, the criteria for their appointment, dismissal, remuneration and
term of office, as well as the duties of the Audit Committee, must all be defined in the by-laws
of the supervised body.
§ 2: At least one of the members of the Audit Committee must be familiar with the accounting
and financial auditing areas in the markets in which the supervised body operates.
§ 3: The knowledge referred to in the previous paragraph must be supported by confirmation
that the following requirements have been met:
I - background compatible with the necessary corporate accounting knowledge;
II –knowledge of generally accepted accounting principles and ability to evaluate the
application of these principles in relation to the main accounting estimates;
III –experience in preparing, auditing, analyzing or evaluating financial statements that have
the level of coverage and complexity comparable to those of the company; and
IV – knowledge of internal controls.
§ 4: An Audit Committee member may only be reinstated 3 (three) years after the end of their
previous term.
§ 5: The function of an Audit Committee member cannot be delegated.
§ 6: In the case of a mandate less than that foreseen in the caput, this may be renewed up to a
maximum of five (5) years.
Art. 131: Supervised bodies that are members of a financial conglomerate or insurance group
may set up a single Audit Committee at the leading institution within the financial
conglomerate or insurance group.
§ 1: If the leading institution within the financial conglomerate or insurance group is not a
supervised body, exercising the option provided for in the above clause is subject to meeting
the requirements contained in this Section.
§ 2: If the option contained in the caput is adopted, the summary report prepared by the
leading institution’s Audit Committee, to comply with the requirements of § 2 of art. 136, must
specifically mention the supervised body and relevant issues related to it, independent of
being relevant to the leading institution within the financial conglomerate or insurance group.
Art. 132: Requirements for membership in the Audit Committee are:
I - Compliance with the rules that set conditions for the exercising of positions in statutory
bodies of supervised bodies;
II – Not being or not having been, during the current and previous fiscal year:
a) an employee or officer of the supervised body or its subsidiaries, affiliates or associated
companies;
Continuation of CNSP Resolution nº 321, of 2015.
b) or member responsible for independent financial auditing in the supervised body; or
c) member of the fiscal council of the supervised body or its subsidiaries, affiliates or
associated companies.
III - Not be a spouse, relative in direct or collateral line, to the third degree, and by affinity, to
the second degree, of the persons mentioned in lines "a" to "c" in the preceding item; and
IV - Not receive any other type of compensation from the supervised body or its subsidiaries,
affiliates or associated companies, other than that relating to his/her function as a member of
the Audit Committee.
Single paragraph: For supervised bodies that are under the control of the federal, state or
Federal District government, the following conditions also apply to exercising the function of
an Audit Committee member:
I - not being or not having been in the current year and the previous one the occupant of any
effective position or be on leave from the respective governments; and
II - not being or not having been in the current year and the previous one the occupant of any
paid position from the respective governments.
Art. 133: The Audit Committee is to report directly to the supervisory board of the supervised
body or of the leading institution within the financial conglomerate or insurance group, as the
case may be.
Single paragraph: if there is no supervisory board, the Audit Committee is to report to the
chairperson or CEO and the general shareholders’ meetings of the supervised body.
Art. 134: The duties of the Audit Committee are:
I - to establish operating rules for its own operation, which must be formalized in writing,
approved by the supervisory board or, if there isn’t one, by the chairperson or CEO of the
supervised body or by the supervisory board of the leading institution within the financial
conglomerate or insurance group and made available to the respective shareholders on the
occasion of a shareholders’ OGM;
II - recommend, to the administration of the supervised body, the company to be hired for the
rendering of independent financial auditing services, as well as the replacement of the current
provider of these services, when considered necessary;
III - review, prior to disclosure, the financial statements relating to the periods ending on June
30th and December 31st, including the notes to the financial statements, the management
reports and the Report of the Independent Auditors on the Financial Statements;
IV - evaluate the effectiveness of the internal and independent accounting audits, including
regarding the verification of compliance with legal requirements and applicable regulations, as
well as internal regulations and codes;
V - evaluate the acceptance, by the management of the supervised body, the
recommendations made by the independent and internal accounting auditors, or the reasons
for their non-acceptance;
VI - evaluate and monitor the processes, systems and controls implemented by management
for the receipt and handling of information about non-compliance by the supervised body with
the legal and regulatory provisions applicable to it, in addition to its internal regulations and
codes, ensuring that they implement effective mechanisms that protect the provider of the
information and his/her confidentiality;
Continuation of CNSP Resolution nº 321, of 2015.
VII – recommend to the chairperson or CEO of the supervised body or to the executive board
of the leading institution within the financial conglomerate or insurance group, correction and
improvement of policies, practices and procedures identified within the scope of its
attributions;
VIII – have a meeting, at least every six months, with the chairperson or CEO of the supervised
body or with the executive board of the leading institution within the financial conglomerate
or insurance group and those responsible for the independent financial auditing and for the
internal financial auditing, to verify compliance with its recommendations or inquiries,
including those relating to the planning of the work of the accounting audit, formalizing,
through minutes, the content of such meetings;
IX - verify, with regard to the meetings provided for in item VIII, compliance by the executive
board of the supervised body with its recommendations;
X – to meet with the Fiscal Council and the supervisory board of the supervised body or of the
leading institution within the financial conglomerate or insurance group, both at its own
request and the Committee’s initiative, to discuss policies, practices and procedures identified
within their respective areas of competences; and
XI – any other duties determined by the SUSEP.
Art. 135: The Audit Committee may, within its attributions, use the services of experts, but not
failing to fulfill its own responsibilities
Art. 136: The Audit Committee must draw up a document known as the Report of the Audit
Committee, at the end of every half year to June 30th and December 31st, containing, at the
very least, the following information:
I –activities carried out in the period within its attributions;
II – assessment of the effectiveness of the supervised body’s internal controls, reporting any
shortcomings that were detected;
III - description of the recommendations submitted to the President or CEO, specifying what
was not addressed, with the respective reasons;
IV - evaluation of the effectiveness of the independent and internal financial auditing,
including on the monitoring of compliance with legal and regulatory requirements applicable
to supervised body in addition to its internal regulations and codes, specifying detected
shortcomings; and
V - assessment of the quality of the financial statements for the respective periods, with
emphasis on the application of accounting practices adopted in Brazil and in compliance with
rules issued by CNSP and SUSEP, presenting detected shortcomings.
§ 1: Supervised bodies must make available to the SUSEP and the supervisory board or, if there
isn’t one, the chairperson or CEO of the supervised body or to the supervisory board of the
leading institution within the financial conglomerate or insurance group, the report referred to
in the provisions of the main clause, for a minimum period of 5 (five) years from when it was
prepared.
§ 2: The supervised bodies must disclose, together with the interim and annual financial
statements of the supervised body or of the leading institution within the financial
conglomerate or insurance group, a summary of the Report of the Audit Committee divulging
the main information contained in that document.
§ 3: In the case of supervised bodies where the summary of the Report of the Audit Committee
was disclosed in the financial statements of the leading institution within the financial
conglomerate or insurance group, that fact must be reported in the notes to the financial
statements of the respective supervised bodies.
Continuation of CNSP Resolution nº 321, of 2015.
Art. 137: Termination of the Audit Committee shall only occur when the supervised body no
longer meets the conditions defined in the main clause of Article 129 and only after it has
fulfilled its duties in relation to the financial years during which it functioned.
Seção VI
Da Aplicabilidade das Normas Gerais de Auditoria Contábil Independente
Art. 138. Na prestação de serviços de auditoria contábil independente para as supervisionadas,
deverão ser observadas as normas e procedimentos de auditoria contábil determinados pela
CVM, pelo CFC, e pelo Ibracon, subsidiariamente às normas do CNSP e da Susep.
Section VI
Applicability of the General Standards of Independent Financial Auditing
Art. 138: The financial auditing standards and procedures determined by the CVM, the CFC and
IBRACON, where they do not conflict with the rules of the CNSP and the SUSEP, are to be
observed in the provision of independent auditing services to the supervised bodies.
Section VII
Independent Financial Auditing Documents
Art. 139: The supervised bodies must ask the independent financial auditor to produce the
following documents:
I – Report of the Independent Auditor on the Financial Statements;
II – Comprehensive report on:
a) the adequacy of the accounting procedures and practices for disclosure of the information
in the financial statements;
b) the adequacy of the internal controls in relation to the risks incurred by the supervised
body, reporting any shortcomings identified in the course of the financial auditing, as well as,
where appropriate, any recommendations with a view to remedying those shortcomings; and
III – any other documents that may be requested by the SUSEP.
§ 1: The reports referred to in item II should include the opinions and action plan of the
supervised body for remedying the identified shortcomings and the deadlines for carrying out
the proposed action.
§ 2: The supervised bodies must maintain, for a minimum period of 5 (five) years, the Report of
the Independent Auditors on the Financial Statements, together with the abovementioned
reports, as well as any other documents relating to the financial audit that was carried out.
Art. 140: The supervised bodies should send to the SUSEP the documents referred to in items I,
II and III of Art. 139, resulting from the examination of the financial statements of June 30th
and December 31st, by October 31st of that same financial year and by April 30th of the
following financial year, respectively.
Art. 141: The quarterly questionnaires contained in the SUSEP Periodic Information Form
should be evaluated by the independent financial auditor and the supervised bodies are
required to submit to the SUSEP the respective report on the financial auditing within the
following specified periods:
a) 1st quarter questionnaire: by May 31st of the same financial year;
b) 2nd quarter questionnaire: by September 30th of the same financial year;
c) 3rd quarter questionnaire: by November 30th of the same financial year; and
d) 4th quarter questionnaire: by March 31st of the following financial year.
Continuation of CNSP Resolution nº 321, of 2015.
§ 1: The report of the independent financial auditor, specified in the main clause, must
describe the previously agreed procedures and the conclusions reached with regard to each
question.
§ 2: The location reinsurers must submit the reports of the financial auditors on the quarterly
questionnaires by the 30th day of the month following those set out in this Article.
Section VIII
Certification
Art. 142: The members responsible for the independent financial auditing of the supervised
bodies must be registered with the National Register of Independent Auditors (CNAI) and,
where applicable, must have passed in a specific examination prepared by the CFC, together
with IBRACON.
§ 1: Retaining certification, on the part of the professional, is conditional upon attending an
ongoing program of education, in the format and under the conditions established by the CFC.
§ 2: In the case of a financial auditor who has not performed the activities provided for in the
main clause for a period of 1 (one) year or more and has not met the requirements of the
ongoing program of education during that period, retaining a license is conditional upon
passing a new certification exam.
§ 3: The requirements mentioned in the main clause do not apply to the specialists who
provide support to the auditing of the financial statements.
Art. 143: The SUSEP is authorized to allow, at its discretion, certification by type of market or
set of activities.
Section IX
General Provisions of this Chapter
Art. 144: The director responsible for accounting, the independent financial auditor and the
Audit Committee, if there is one, must, individually or jointly, within 10 (ten) business days
from confirmation of the fact, formally communicate to the SUSEP the existence of any:
I - failure to comply with laws and regulations that jeopardize the continuity of the supervised
body;
II - fraud perpetrated by the management of the supervised body;
III - significant fraud perpetrated by employees of the supervised body or by third parties; and
IV - errors that result in material inaccuracies in the financial statements of the supervised
body.
§ 1: The concepts of error and fraud established in the rules and regulations of the CFC and/or
IBRACON are to be observed.
Continuation of CNSP Resolution nº 321, of 2015.
§ 2: The independent financial auditor, internal financial auditing and the Audit Committee
must immediately communicate amongst themselves whenever any of the events referred to
in this Article are identified.
Art. 145: The executive board of the supervised body must formally report to the independent
financial auditor and the Audit Committee or the CEO, within 24 (twenty-four) hours of
identification, the occurrence of any of the events referred to in Art. 144.
Art. 146: The contracts between the supervised bodies and the respective independent
financial auditors should include specific clauses authorizing SUSEP access at any time, upon
formal request, to the working papers of the independent financial auditor and to any
documents that have provided the basis or evidence for the issuing of any of the reports
specified in this Chapter.
Art. 147: The SUSEP has the right, at any time, to determine the replacement of the
independent financial auditor designated by the supervised body.
Art. 148: The SUSEP is hereby authorized to determine the minimum amount of information
that is to be included in the documents specified in this Chapter.
TITLE IV
FINAL CONSIDERATIONS
Art. 149: The SUSEP is hereby authorized to issue instructions and edit the supplementary
rules necessary for implementation of the terms of this Resolution.
Art. 150: This Resolution shall come into effect 30 (thirty) days after the publication date, with
the simultaneous revoking of CNSP Resolution nº 86, of August 19, 2002; CNSP Resolution nº
187, of April 29, 2008; CNSP Resolution nº 188, of April 29, 2008; CNSP Resolution nº 190, of
December 16, 2008; CNSP Resolution nº 226, of December 6, 2010; CNSP Resolution nº 228, of
December 6, 2010; Article 10 of CNSP Resolution nº 241, of December 1, 2011; CNSP
Resolution nº 265, of November 6, 2012; CNSP Resolution nº 271, of December 19, 2012; CNSP
Resolution nº 276, of January 30, 2013; CNSP Resolution nº 277, of January 30, 2013; CNSP
Resolution nº 280, of January 30, 2013; CNSP Resolution nº 281, of January 30, 2013; CNSP
Resolution nº 283, of January 30, 2013; CNSP Resolution nº 284, of January 30, 2013; CNSP
Resolution nº 292, of September 6, 2013; CNSP Resolution nº 300, of December 16, 2013;
CNSP Resolution nº 301, of December 16, 2013; CNSP Resolution nº 311, of June 16, 2014,
CNSP Resolution nº 312, of June 16, 2014, CNSP Resolution nº 316, of September 25, 2014;
and CNSP Resolution nº 317, of December 12, 2014.
Brasília, July 15, 2015.
ROBERTO WESTENBERGER
Superintendent of the Private Insurance Agency
Continuation of CNSP Resolution nº 321, of 2015.
------------------------------------------------------------------------------------------------------------------------------
3
ADDENDUM I
UNDERWRITING RISK CAPITAL - RISK OF WRITING/PRICING THE TRANSACTIONS
DEFINED IN ARTICLE 39 HEREOF
(Obs: não foi possível replica alguns símbolos, mas como não têm tradução, é só ver no original)
Art.1: Calculation of the amount of capital relating to the underwriting risk of writing/pricing
the transactions defined in Article 39 of this Resolution is to be based on the risk factors
contained in the tables of this Addendum, applying the following equation:
R.writing.damages = √ Ʃ51 i = 1 Ʃ51 j = 1 ( fprem i .premium m i ).( fprem j .premium m j ) ρprem i, j
Table 1 – Reduced Risk Factors
Risk of Writing/Pricing in Market Segment “i“
Business Line Region
1 2 3
1 0.23 0.23 0.23
2 0.24 0.24 0.24
3
4
5
6
7
8 0.26 0.24
9 0.36 0.36 0.36
10
11
12
13 0.30 0.30 0.30
14
15
16
17
Continuation of CNSP Resolution nº 321, of 2015.
44
Table 2 – Standard Risk Factors
Risk of Writing/Pricing in Market Segment “i“
Business Line Region
1 2 3
1 0.24 0.24 0.24
2
3 0.30 0.30 0.30
4
5
6
7
8 0.26
9 0.42 0.42 0.42
10
11
12
13
14
15
16
17
Continuation of CNSP Resolution nº 321, of 2015.
45
Single paragraph: Consider, for the purposes of this Addendum, the following definitions:
I – business line: the lines defined in Table 4 of Addendum III;
II – fprem i : factor relating to the risk of writing/pricing in market segment “i”;
III – premium m i : the amount of the premium withheld during the 12 months preceding the
month that "m" is calculated for market segment "i", and for premium calculation purposes
only those relating to risks already written should be considered;
IV – retained premiums: calculated according to the following equation: written premiums +
co-insurance premiums accepted – co-insurance premiums ceded – canceled premiums –
returned premiums – reinsurance premiums ceded + retrocession premiums accepted;
V – operational region: the regions defined in Table 3 of Addendum III;
VI – R.writing.damages: the amount of capital relating to the underwriting risk of
writing/pricing the transactions defined in Article 39 of this Resolution;
VII – market segment: a combination of business line and operational region, as defined in
Addendum III, within which the insurer operates or wishes to operate; and
VIII – ρprem i, j : the correlation factor for market segments "i" and "j", concerning the
writing/pricing risk, according to Table 1 of Addendum III.
Continuation of CNSP Resolution nº 321, of 2015.
46
ADDENDUM II
UNDERWRITING RISK CAPITAL - RISK OF CLAIMS PROVISIONS FOR THE TRANSACTIONS
DEFINED IN ARTICLE 39 HEREOF
Art.1: Calculation of the amount of capital relating to the underwriting risk of claims provisions
in relation to the transactions defined in Article 39 of this Resolution is to be based on the risk
factors contained in the tables of this Addendum, applying the following equation:
Rprov.damages = √ Ʃ17 k = 1 Ʃ17 l = 1 ( fprov k .claim m k ).( fprov l .claim m l ) ρprov k, l
Table 1 - Reduced Risk Factors
Risk of Claims Provisions for Business Line “k”
Business Line Fator (f prov k )
1 0.24
2 0.26
3 0.30
4 0.30
5 0.15
6 0.15
7 0.15
8 0.15
9 0.42
10 0.48
11 0.15
12 0.15
13 0.15
14 0.15
15 0.15
16 0.15
17 0.15
Continuation of CNSP Resolution nº 321, of 2015.
47
Table 2 – Standard Risk Factors
Risk of Claims Provisions for Business Line “k”
Business Line Factor (f prov k )
1 0.30
2 0.33
3 0.35
4 0.35
5 0.18
6 0.18
7 0.18
8 0.18
9 0.50
10 0.55
11 0.18
12 0.18
13 0.18
14 0.18
15 0.18
16 0.18
17 0.18
Single paragraph: Consider, for the purposes of this Addendum, the following definitions:
I – business lines: the lines defined in Table 4 of Addendum III;
II – fprov k : factor relating to the risk of claims provisions in business line “k”;
III – Rprov.damages: the amount of capital relating to the underwriting risk of claims provisions
for the transactions defined in Article 39 of this Resolution;
IV – claim m k : the amount of claims retained during the 12 months preceding the month that
“m” is calculated for Business line “k”;
Continuation of CNSP Resolution nº 321, of 2015.
48
V – retained claims: total claims incurred, net of reinsurance; and
VI – ρprov k, l : the correlation factor for business lines "k" and "l", concerning the claims
provision risk, according to Table 2 of Addendum III.
Continuation of CNSP Resolution nº 321, of 2015.
49
ADDENDUM III
UNDERWRITING RISK CAPITAL - CORRELATION MATRICES RELATING TO THE
WRITING/PRICING RISK AND CLAIMS RISK PROVISION AND DEFINITION OF THE MARKET
SEGMENTS
Art.1: The correlation matrix relating to the writing/pricing risk that is to be used in the
equation contained in Addendum I, comprising the correlations between the market segment
pairs, is shown in Table 1 of this Addendum:
Table 1
Correlation Matrix –Writing/Pricing Risk (ρ prem i, j )
i \ j 1 2 3 4 5 6 7 8 9 10
11
12
13
14
15
16
17
18
19
20
1
1.00
0.70
0.80
0.50
0.50
0.40
0.50
0.45
0.40
0.45
0.50
0.50
0.20
0.15
0.15
0.15
0.15
0.15
0.35
0.15
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25 (colocar todos os números no formato inglês, com pontos em vez de virgulas, como na 1ª linha)
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
Continuation of CNSP Resolution nº 321, of 2015.
50
Table 1
Correlation Matrix –Writing/Pricing Risk (ρ prem i, j ) – continued
i \ j 21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
1
0.15
0.60
0.30
0.40
0.40
0.40
0.10
0.12
0.10
0.10
0.10
0.17
0.10
0.10
0.11
0.10
0.35
0.20
0.20
0.25
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25 (colocar todos os números no formato inglês, com pontos em vez de virgulas, como na 1ª linha)
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
Continuation of CNSP Resolution nº 321, of 2015.
51
Table 1
Correlation Matrix –Writing/Pricing Risk (ρ prem i, j ) – continued
i \ j 41 42 43 44 45 46 47 48 49 50 51
1 0.20 0.20 0.10 0.25 0.25 0.10 0.10 0.10 0.10 0.10 0.29
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25 (colocar todos os números no formato inglês, com pontos em vez de virgulas, como na 1ª linha)
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52/53
Art.2: The correlation matrix relating to the claims provision risk risk that is to be used in the
equation contained in Addendum I, comprising the correlations between the business line
pairs, is shown in Table 2 of this Addendum:
Table 2
Correlation Matrix – Claims Provision Risk (ρ prov k, l )
k / l 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17
1 1.00
0.70
0.80
0.89
0.50
0.50
0.50
0.60
0.85
0.85
0.50
0.50
0.52
0.65
0.50
0.50
0.50
2
3
4
5
6
7
8
9
10 (colocar todos os números no formato inglês, com pontos em vez de virgulas, como na 1ª linha)
11
12
13
14
15
16
17
54
Art.3: The market segments are determined by a combination of the operational regions and
and the business lines, as shown in Tables 3 and 4, below:
Table 3
Operational Region
Region States
1
Acre (AC), Alagoas (AL), Amapá (AP), Amazonas (AM), Bahia (BA), Ceará (CE), Federal District (DF), Goiás (GO), Maranhão (MA), Mato Grosso (MT), Mato Grosso do Sul (MS), Pará (PA), Paraíba (PB), Pernambuco (PE), Piauí (PI), Rio Grande do Norte (RN), Roraima (RR), Rondônia (RO), Sergipe (SE), Tocantins (TO)
2 Espírito Santo (ES), Minas Gerais (MG), Paraná (PR), Rio de Janeiro (RJ), Rio Grande do Sul (PAYG), Santa Catarina (SC)
3 São Paulo (SP)
Table 4
Business Lines
Business Line Name of the Business Line
Class Code Name of the Class
1 Residential 0114 Homeowners insurance
2 Condominium 0116 Condo insurance
55
3 Business 0118 Business insurance
0111 Traditional Fire insurance (run-off)
0112 Assistance – Goods in General
0115 Theft
0141 Loss of Profits
4 Other Property 0167 Engineering Risks
0171 Sundry Risks
0173 Bank insurance
0196 Named and Operational Risks
0542 Assistance and Other Coverage – Auto
0743 Stop Loss
5 Special Risks
0234 Petroleum Risks
0272 Nuclear Risks
0274 Satellite insurance
56
6 Civil Liability
0351 General Civil Liability
0310 Directors and Officers (D&O) Civil Liability
0313 Environmental Risk Civil Liability
0378 Professional Civil Liability
7 Hull 0433 Marine insurance (run-off)
0435 Aviation insurance (run-off)
0437 Hangar Civil Liability (run-off)
1417 Port Operator insurance
1433 Marine (Hull)
1535 Aviation (Hull)
1537 Hangar Civil Liability
1597 Air Carrier Civil Liability
57
Table 4
Business Lines – continued
Business Line
Name of the Business Line
Class Code
Name of the Class
8 Auto
0520 Personal Accident - Passengers
0523 Interstate and International Road Carrier Civil Liability (run-off)
0524 Extended Warranty / Warranty Extension – Auto
0525 Green Card international insurance certificate
0526 Popular Used Car insurance
0531 Auto body insurance
0544 International Carrier Personal Injury Civil Liability (run-off)
0553 Optional Civil Liability – Vehicles
0623 Interstate and International Road Carrier Civil Liability – Buses
0628 Optional Civil Liability – Buses
0644 International Carrier Personal Injury Civil Liability – Blue Card international certificate
1428 Optional Civil Liability – Watercraft
1528 Optional Civil Liability – Aircraft
9 Domestic Transport
0621 Transport in Brazil
0654 Road Carrier Civil Liability – Cargo
0655 Carrier Civil Liability – Cargo Deviation
58
10 Other Transport
0622 International Transport
0627 Intermodal Carrier Civil Liability (run-off)
0632 International Carrier Civil Liability – Cargo
0638 Rail Carrier Civil Liability – Cargo
0652 Air Carrier Civil Liability – Cargo
0656 Waterway Carrier Civil Liability – Cargo
0658 Multimodal Carrier Civil Liability – Cargo
11 Financial Risks
0739 Financial Guarantee (run-off)
0740 Private Obligations Guarantee (run-off)
0745 Public Obligations Guarantee (run-off)
0746 Rental Surety insurance
0747 Public Concessions Guarantee (run-off)
0750 Judicial Guarantee (run-off)
0775 Guarantee insurance – Public Sector
0776 Guarantee insurance – Private Sector
59
12 Credit
0748 Domestic Credit insurance
0749 Export Credit insurance
0819 Export Credit – Commercial Risks (run-off)
0859 Export Credit – Political Risks (run-off)
0860 Domestic Credit – Commercial Risks (run-off)
0870 Domestic Credit – Private Individual Risks (run-off)
13 Group Life 0929 Funeral insurance
0993 Life insurance
60
Table 4
Business Lines – continued
Business Line
Name of the Business Line
Class Code
Name of the Class
14 Other Personal
0936 Loss of Pilot’s License
0969 Travel insurance
0977 Credit insurance (except Mortgage and Rural)
0980 Educational insurance
0981 Accident insurance – Individual (run-off)
0982 Accident insurance
0984 Serious or terminal Illness
0987 Unemployment/Loss of Income
0990 Random Events
1336 Loss of Pilot’s License
1369 Travel insurance
1377 Credit insurance (except Mortgage and Rural)
1380 Educational insurance
1381 Accident insurance
1384 Serious or Terminal Illness
1387 Unemployment/Loss of Income
1390 Random Events
61
15 Mortgage
1068 Non-SFH Mortgage insurance (run-off)
1061 Private market Mortgage insurance – Lenders
1065 Private market Mortgage insurance – Other Coverage
16 Rural/Animals
1101 Agricultural insurance (without FESR coverage)
1102 Agricultural insurance (with FESR coverage)
1103 Livestock insurance (without FESR coverage)
1104 Livestock insurance (with FESR coverage)
1105 Aquaculture insurance (without FESR coverage)
1106 Aquaculture insurance (with FESR coverage)
1107 Forest insurance (without FESR coverage)
1108 Forest insurance (with FESR coverage)
1109 Rural Product Note insurance
1130 Farm Products and Improvements insurance
1162 Rural Lien
1163 Rural Lien - Public Financial Institutions (run-off)
1164 Animal insurance
62
17 Others
0195 Extended Warranty / Warranty Extension - Goods in General
1198 Farmers Life insurance
1279 Insurance Abroad
1285 Health – Local Reinsurer
1299 Branches Abroad
- Other classes not listed and not excluded by the regulations
63
ADDENDUM IV
UNDERWRITING RISK CAPITAL - RISK IN THE PROVISIONS FOR INCIDENTS OCCURRING
DURING THE TRANSACTIONS DEFINED IN ARTICLE 40 OF THIS RESOLUTION
Art.1: Calculation of the amount of capital relating to the underwriting risk of the provisions
for incidents occurring during the transactions defined in Article 40 of this Resolution is to be
based on the corresponding risk factor shown in Table 1 of this Addendum, when applying the
following equation:
R.prov.life.pens = risk factor x (IBNR + PBAR / PSL - ER)
Table 1 – Risk Factors for the IBNR and PBAR/RBNS Provisions
Reduced Risk Factor 26%
Standard Risk Factor 31%
Single paragraph: Consider, for the purposes of this Addendum, the following definitions:
I – ER: expected recovery, by the assignor, of claims and benefits incurred and not yet paid,
regarding the ceded risks in relation to the transactions defined in Article 40 of this Resolution;
II – IBNR: sum of the values of the provisions for incidents that had occurred but not been
reported by the base month for calculating the capital, in relation to the transactions defined
in Article 40 of this Resolution;
III – PBAR/RBNS: sum of the benefits of revisions of the values to stabilize and / or claims
provisions to settle in the month basis for calculating the capital, referring to the operations
defined in Article 40 of this Resolution; and soma dos valores das provisões de benefícios a
regularizar e/ou das provisões de sinistros a liquidar, no mês base de cálculo do capital,
referente às operações definidas no Article 40 desta Resolution; e
IV – R.prov.life.pens: the amount of capital relating to the underwriting risk of the provisions
for incidents in relation to the transactions defined in Article 40 of this Resolution, occurring in
the base month for calculating the capital.
64
ADDENDUM V
UNDERWRITING RISK CAPITAL – RISKS OF RISK COVERAGE, DURING THE COVERAGE PERIOD,
OF OPERATIONS IN THE TRANSACTIONS DEFINED IN ARTICLE 40 HEREOF
Art.1: The amount of capital concerning the underwriting risk of risk coverage, during the
period of coverage, structured by the distribution financial system, for transactions defined in
article 40 hereof, will be calculated based on the correspondent risk factors in the tables of this
Article, by the following equation:
Table 1 - Reduced Risk Factors
Contracts Structured as Distribution – period of coverage
basei method coverage factori
Insured Amount (single payment) PAYG Death 0.11%
Insured Amount (single payment) PAYG Disability 0.10%
Amount of monthly income TF Death 19.73%
Amount of monthly income TF Disability 12.77%
65
Table 2 - Standard Risk Factors
Contracts Structured as Distribution – period of coverage
basei method coverage factori
Insured Amount (single payment) PAYG Death 0.13%
Insured Amount (single payment) PAYG Disability 0.11%
Amount of monthly income TF Death 22.74%
Amount of monthly income TF Disability 14.77%
§ 1: Consider, for the purposes of this Article, the following definitions:
I – basei: amount assessed in the base month of the calculation of the capital for each group
“i”, over which the risk factor is applied in order to obtain the request of the capital;
II – insured amount: sum of the retained amounts of insured capitals and guaranteed benefits
in insurance and open supplementary pension contracts, in the base month of the calculation
of the capital, payed as a single payment, for events yet to occur;
III – “i”: groups, defined by the combination of risk coverage and financial methods;
IV – TF: the terminal funding financial method;
V – PAYG: the pay-as-you-go financial method;
VI – R.death.disab.distr: capital amount referring to underwriting risk of risk coverages, during
the period of coverage, structured in the distribution financial method, for transactions
defined in Article 40 of this Resolution, in the base month of the calculation of the capital;
66
VII – monthly income amount: sum of amounts retained from monthly incomes guaranteed in
insurance and open supplementary pension contracts, in the base month of the calculation of
the capital; for events yet to occur; and
VIII – retained amounts: gross values net of amounts granted in reinsurance and coinsurance,
added to amounts accepted in retrocession and coinsurance.
§ 2: If the supervised body has contracts that guarantee an income in any other periodicity
than monthly, in order to obtain the monthly income amount, used as base for the calculation
of the capital, the supervised body will have to change it into monthly amounts in a
proportional way.
§ 3: The supervised bodies, in the transactions listed in item XI of Article 39 in this Resolution,
structured in the financial method of coverage capital distribution, which guarantee death
coverage, in the calculation of underwriting risk capital, will have to use the factors of death
coverage, and for any other guarantees, use the factors of disability coverage shown in Tables
1 and 2 of this Article.
Art.2: The amount of capital referring to underwriting risk of risk coverages, during the period
of coverage, structured in the financial method of capitalization, for transactions defined in
Article 40 of this Resolution, will be calculated based on the corresponding risk factors shown
in the tables of this Article, by the following equation:
§ 1: Consider, for the purposes of this Article, the following definitions:
I – basei: amount of the sum of mathematical provisions for future benefit payments (PFBP), in
the base month of the calculation, for each group “i”;
II – “i”: groups, defined by the combination of the type of coverage, benefit payment method
and contractual interest rate;
III – R.death.disab.cap: amount of capital referring to the underwriting risk of risk coverages,
during the period of coverage, structured in the financial method of capitalization, for
transactions defined in Article 40 of this Resolution, in the base month of calculation of the
capital; and
IV - contractual interest rate: interest rate, in the period of coverage, defined in the technical
bases of the contract.
§ 2: For plans that pay the insured amount or benefit in a single payment, for death coverage,
the risk factors are:
67
Table 3 - Reduced Risk Factors
Benefit for Death in Capitalization – single payment
Contractual interest rate (x)
0% ≤ x ≤ 3% 3% < x ≤ 6% x > 6%
0.18% 1.29% 2.80%
Table 4 - Standard Risk Factors
Benefit for Death in Capitalization – single payment
Contractual interest rate (x)
0% ≤ x ≤ 3% 3% < x ≤ 6% x > 6%
0.25% 1.70% 3.21%
§ 3: For plans that pay the insured amount or benefit in the form of income, for death
coverage, the risk factors are:
68
Table 5 - Reduced Risk Factors
Benefit for Death in Capitalization – payment in the form of income
Contractual interest rate (x)
0% ≤ x ≤ 3% 3% < x ≤ 6% x > 6%
0.14% 1.53% 4.93%
Table 6 - Standard Risk Factors
Benefit for Death in Capitalization – payment in the form of income
Contractual interest rate (x)
0% ≤ x ≤ 3% 3% < x ≤ 6% x > 6%
0.16% 2.09% 5.93%
§ 4: For plans that pay the insured amount or benefit in a single payment, for disability
coverage, the risk factors are:
Table 7 - Reduced Risk Factors
Benefit for Disability in Capitalization – single payment
Contractual interest rate (x)
0% ≤ x ≤ 3% 3% < x ≤ 6% x > 6%
0.18% 1.57% 3.46%
69
Table 8 - Standard Risk Factors
Benefit for Disability in Capitalization – single payment
Contractual interest rate (x)
0% ≤ x ≤ 3% 3% < x ≤ 6% x > 6%
0.23% 2.38% 4.48%
§ 5: For plans that pay the insured amount or benefit in the form of income, for disability
coverage, the risk factors are:
Table 9 - Reduced Risk Factors
Benefit for Disability in Capitalization – payment in the form of income
Contractual interest rate (x)
0% ≤ x ≤ 3% 3% < x ≤ 6% x > 6%
0.10% 1.32% 5.55%
70
Table 10 - Standard Risk Factors
Benefit for Disability in Capitalization – payment in the form of income
Contractual interest rate (x)
0% ≤ x ≤ 3% 3% < x ≤ 6% x > 6%
0.14% 2.27% 7.08%
§ 6: The supervised bodies, in the transactions listed in item XI of Article 39 in this Resolution,
structured by the capitalization financial system, that guarantee death coverage, will have to
use the factors listed in paragraphs 2 and 3 of this Article, and, for the other guarantees, will
have to use the factors listed in paragraphs 4 and 5 of this Article for the calculation of
underwriting risk capital.
71
ADDENDUM VI
UNDERWRITING RISK CAPITAL – SURVIVOR COVERAGE RISKS
Art.1: The amount of capital corresponding to underwriting risk of endowment plans during
the period of coverage, will be calculated based on the corresponding risk factors of the tables
in this Article, by the following equation:
Single paragraph: Consider, for the purposes of this Article, the following definitions:
I – basei : amount of the sum of all mathematical provisions for future benefit payments
(PFBP), in the base month of the calculation of the capital, for each “i” grouping;
II – “i”: groups, defined by the combination of full life expectancy in the contractual table,
calculated in the way it is described in Article 7 of this Addendum, andcontractual interest
rates, following the tables in this Article;
III – R.pureendowm: amount of capital corresponding to underwriting risk of pure endowment
plans, during the period of coverage;
IV – contractual table: biometric table for male gender defined in the technical bases of the
contract; and
V - contractual interest rate: interest rate defined in the technical bases of the contract.
Table 1 – Reduced Risk Factors
Pure Endowment
Contractual interest rate (x)
0% ≤ x ≤ 2%
2% < x ≤ 4%
4% < x ≤ 6%
x > 6%
Full life expectancy in the contractual table at 30 years
Under 50 0.75% 2.35% 5.21% 8.00%
Over 50 0.59% 2.03% 4.72% 7.63%
72
Table 2 - Standard Risk Factors
Pure Endowment
Contractual interest rate (x)
0% ≤ x ≤ 2%
2% < x ≤ 4%
4% < x ≤ 6%
x > 6%
full life expectancy in the contractual table at 30 years
Under 50 1.00% 2.84% 6.17% 9.20%
Over 50 0.82% 2.50% 5.65% 8.75%
Art.2: The amount of capital corresponding to mixed endowment plans’ underwriting risk
during the period of coverage, will be calculated by the following equation:
§ 1: Consider, for the purposes of this Article, the following definitions:
I - Factor.Death.Cap.Only: risk factor shown in tables 3 or 4 of Addendum V, concerning
contractual bases of plan “i”;
73
II - Factor.Endowm: risk fator shown in table 1 or 2 of this Addendum, concerning contractual
bases of plan “i”;
III – “i”: mixed endowment insurance plan;
IV - PFBP.Death: amount of the mathematical provision of benefits not yet granted, in the base
month of calculation of the capital, referring to death coverage of mixed endowment plan “i”;
V - PFBP.Surv: amount of the mathematical provision of benefits not yet granted, in the base
month of calculation of the capital, referring to survival coverage of mixed endowment plan
“i”; and
VI - R.mixedendowm: amount of capital, in the base month of calculation, referring to
underwriting risk of mixed endowment plans, during the period of coverage.
§ 2: If the mixed endowment plan provides disability coverage together with death and
survival coverage, the underwriting risk concerning disability coverage will have to be
calculated along with Addendum V.
Art.3: The capital amount concerning the underwriting risk of mathematical provisions of
granted benefits will be calculated by the following equation:
§ 1: The amount R.PGB1 will be calculated based on the risk factors shown in the tables in this
paragraph, by the following equation:
74
Table 3 – Reduced Risk Factors
PBG – without surpluses nor reversals in the checking account
For plans with monetary correction different from the Referential Rate (RR)
Contractual interest rate (x)
Without contractual table
Contractual table
With full life expectancy of the contractual table at 60 years
Under 23 Over 23
x = 0% 0.12% 2.19% 0.86%
0% < x ≤ 1% 0.25% 2.88% 1.28%
1% < x ≤ 2% 0.69% 3.73% 1.88%
2% < x ≤ 3% 1.37% 4.86% 2.70%
3% < x ≤ 4% 2.29% 6.37% 3.92%
4% < x ≤ 5% 3.64% 7.86% 5.47%
5% < x ≤ 6% 5.39% 9.66% 7.22%
x > 6% 8.93% 12.34% 10.48%
75
Table 4 - Reduced Risk Factors
PBG – without surpluses nor reversals in the checking account
For plans that use the Referential Rate (TR) as an index for monetary correction.
Contractual interest rate (x)
Without contractual table
Contractual table
With full life expectancy of the contractual table at 60 years
Under 23 Over 23
0% < x ≤ 6% 0.05% 1.07% 0.48%
x > 6% 0.21% 1.94% 0.95%
Table 5 - Standard Risk Factors
PBG - without surpluses nor reversals in the checking account
For plans that use a monetary correction index different from the Referential Rate (TR)
Contractual interest rate (x)
Without contractual table
Contractual table
With full life expectancy of the contractual table at 60 years
Under 23 Over 23
x = 0% 0.15% 2.46% 0.98%
0% < x ≤ 1% 0.43% 3.30% 1.47%
1% < x ≤ 2% 0.94% 4.33% 2.20%
2% < x ≤ 3% 1.76% 5.66% 3.18%
3% < x ≤ 4% 2.80% 7.41% 4.55%
4% < x ≤ 5% 4.33% 8.99% 6.26%
5% < x ≤ 6% 6.19% 11.06% 8.21%
x > 6% 10.03% 14.23% 11.96%
76
Table 6 - Standard Risk Factors
PBG - with no surpluses nor reversals in the checking account
For plans that use the Referential Rate (EE) as an index for monetary correction.
Contractual interest rate (x)
Without contractual table
Contractual table
With full life expectancy of the contractual table at 60 years
Under 23 Over 23
0% < x ≤ 6% 0.06% 1.21% 0.54%
x > 6% 0.28% 2.21% 1.09%
77
§ 2: The amount R.PMBC2 will be calculated, based on risk factors in the tables of this
paragraph, by the following equation:
Table 7 – Reduced Risk Factors
PBG – Surpluses that were reverted via income increase
For plans that use a monetary correction index different from the Referential Rate (RR)
Contractual interest rate (x)
Without contractual table
Contractual table
With full life expectancy of the contractual table at 60 years
Under 23 Over 23
x = 0% 0.20% 3.89% 1.96%
0% < x ≤ 1% 0.38% 4.31% 2.40%
1% < x ≤ 2% 0.89% 4.66% 2.96%
2% < x ≤ 3% 1.60% 5.39% 3.52%
3% < x ≤ 4% 2.51% 6.45% 4.37%
4% < x ≤ 5% 3.77% 8.56% 5.53%
5% < x ≤ 6% 5.43% 10.44% 7.91%
x > 6% 9.80% 13.94% 11.50%
78
Table 8 - Reduced Risk Factors
PBG - Surpluses that were reverted via income increase
For plans that use the Referential Rate (RR) as an index for monetary correction.
Contractual interest rate (x)
Without contractual table
Contractual table
With full life expectancy of the contractual table at 60 years
Under 23 Over 23
0% < x ≤ 6% 0.06% 1.28% 0.67%
x > 6% 0.23% 1.99% 1.06%
79
Table 9 - Standard Risk Factors
PBG - Surpluses that were reverted via income increase
For plans that use a monetary correction index different from the Referential Rate (RR)
Contractual interest rate (x)
Without contractual table
Contractual table
With full life expectancy of the contractual table at 60 years
Under 23 Over 23
x = 0% 0.24% 4.42% 2.25%
0% < x ≤ 1% 0.62% 4.91% 2.73%
1% < x ≤ 2% 1.18% 5.39% 3.41%
2% < x ≤ 3% 1.98% 6.19% 4.06%
3% < x ≤ 4% 2.99% 7.60% 4.98%
4% < x ≤ 5% 4.48% 9.84% 6.29%
5% < x ≤ 6% 6.23% 11.94% 8.75%
x > 6% 10.10% 14.59% 12.99%
80
Table 10 - Standard Risk Factors
PBG - Surpluses that were reverted via income increase
For plans that use the Referential Rate (RR) as an index for monetary correction.
Contractual interest rate (x)
Without contractual table
Contractual table
With full life expectancy of the contractual table at 60 years
Under 23 Over 23
0% < x ≤ 6% 0.07% 1.47% 0.74%
x > 6% 0.31% 2.27% 1.21%
§ 3: Consider, for the purposes of this Article, the following definitions:
I – basei: amount of the sum of mathematical provisions for benefits granted (PBG), in the base
month of capital calculation, of the corresponding plans, for each group “i”;
II - “i”: groups, defined by the combination of columns and lines in tables 3, 4, 5, 6, 7, 8, 9 and
10 of this Addendum, considering the index determined for monetary correction.
III - R.PBG: capital amount concerning mathematical provisions for granted benefits, in the
base month of the calculation;
IV- R.PBG1: capital amount , in the base month of the calculation, concerning underwriting risk
of mathematical provisions of granted benefits of plans that do not guarantee financial surplus
or that pay financial surplus directly in the client’s checking account;
V - R. PBG 2: capital amount , in the base month of the calculation, concerning the
underwriting risk of mathematical provisions of granted benefits of plans that divert financial
surplus by increasing the income amount of the client;
VI – contractual table: biometric table, in the period of income concession, for men, defined in
the technical bases of the contract; and
VII – contractual insurance rate: interest rate guaranteed in the period of income concession
and defined in the technical bases of the contract.
§ 4: The factors in the second column of the tables shown this Article, refer to contracts that
pay benefits as a fixed income, without guaranteeing contractual table in during the granting
period.
81
Art.4: The amount of capital concerning the underwriting risk of mathematical provisions of
benefits not yet granted of plans with no guarantees of a minimum remuneration and
monetary correction during the period of deferral will be calculated by the following equation,
based on the risk factors shown in the tables of this Article:
§ 1: Consider, for the purposes of this Article, the following definitions:
I – basei: amount of the sum of PFBPs, in the base month of the calculation of the capital, of
plans with no guarantee of minimum remuneration and monetary correction during the
deferral period, for each “i” group.
II - “i”: groups, defined by the combination of columns and lines in the tables 11 and 12 of this
Addendum;
III – Free Benefit Generator Life Insurance (VGBL): capital amount, in the base month of the
calculation, concerning underwriting risk of PFBPs of plans with no guarantee of minimum
remuneration and monetary correction during the deferral period;
IV – contractual table: biometric table, in the period of income concession, for male gender,
defined in the technical bases of the contract;
V – contractual interest rate: interest rate guaranteed in the period of income concession and
defined in the technical bases of the contract; and
VI - Table BR-EMS: biometric table, elaborated by an independent institution, with recognized
technical capacity, whose criteria of elaboration and update have been previously approved by
SUSEP, according to the specific regulation.
Table 11 – Reduced Risk Factors
Risks in the PFBP
Contractual interest rate (x)
Without contractual table
Contractual table
With full life expectancy of the contractual table at 60 years
Table BR-EMS
Under 23 Over 23
x = 0% 0.01% 0.59% 0.05% 0.02%
0% < x ≤ 1% 0.02% 1.10% 0.22% 0.03%
1% < x ≤ 2% 0.07% 2.03% 0.61% 0.17%
2% < x ≤ 3% 0.49% 3.55% 0.99% 0.59%
3% < x ≤ 4% 1.17% 5.00% 2.58% 1.29%
4% < x ≤ 5% 2.25% 6.23% 4.10% 2.99%
5% < x ≤ 6% 4.00% 7.32% 5.52% 4.66%
82
Table 12 - Standard Risk Factors
Risks in the PFBP
Contractual interest rate (x)
Without contractual table
Contractual table
With full life expectancy of the contractual table at 60 years
Table BR-EMS
Under 23 Over 23
x = 0% 0.02% 0.79% 0.08% 0.03%
0% < x ≤ 1% 0.03% 1.30% 0.42% 0.04%
1% < x ≤ 2% 0.09% 2.74% 1.14% 0.20%
2% < x ≤ 3% 0.57% 4.32% 1.64% 0.68%
3% < x ≤ 4% 1.37% 5.85% 3.31% 1.49%
4% < x ≤ 5% 3.00% 7.16% 4.90% 3.21%
5% < x ≤ 6% 4.84% 8.34% 6.41% 4.90%
83
§ 2: The factors of the second column of tables 11 and 12 of this Addendum, refer to contracts
that offer only the option to pay income as a fixed income, without guaranteeing the
contractual table during the period of concession.
Art.5: The capital amount concerning underwriting risk of mathematical provisions of benefits
not yet granted, for coverage of survival, of plans that guarantee, during the deferral period,
remuneration by means of hiring an index of monetary correction, interest rate or biometric
table, will be calculated by the following equation:
84
§ 1: The amount R.Dif will be calculated, based on risk factors shown in the tables in this
paragraph, by the following equation:
85
Table 13 – Reduced Risk Factors
PFBP risks during the deferral period
For plans with monetary correction different from the Referential Rate (RR)
Contractual interest rate (x)
Financial Capitalization
Actuarial Capitalization
Tables with full life expectancy at 30 years
Under 50 Over 50
x = 0% 0.07% 0.12% 0.08%
0% < x ≤ 1% 0.15% 0.24% 0.16%
1% < x ≤ 2% 0.47% 0.60% 0.48%
2% < x ≤ 3% 0.99% 1.16% 1.00%
3% < x ≤ 4% 1.68% 1.96% 1.73%
4% < x ≤ 5% 2.66% 3.09% 2.77%
5% < x ≤ 6% 3.88% 4.43% 4.06%
x > 6% 6.31% 6.90% 6.59%
86
Table 14 – Reduced Risk Factors
PFBP risks during the deferral period
For plans that use the Referential Rate (RR) as index for monetary correction
Contractual interest rate (x)
Financial Capitalization
Actuarial Capitalization
Tables with full life expectancy at 30
years
Under 50 Over 50
0% < x ≤ 6% 0.02% 0.04% 0.03%
x > 6% 0.13% 0.29% 0.17%
87
Table 15 - Standard Risk Factors
PFBP risks during the deferral period
For plans with monetary correction different from the Referential Rate (RR)
Contractual interest rate (x)
Financial Capitalization
Actuarial Capitalization
Tables with full life expectancy at 30 years
Under 50 Over 50
x = 0% 0.11% 0.15% 0.12%
0% < x ≤ 1% 0.28% 0.39% 0.29%
1% < x ≤ 2% 0.68% 0.81% 0.69%
2% < x ≤ 3% 1.32% 1.49% 1.34%
3% < x ≤ 4% 2.08% 2.39% 2.14%
4% < x ≤ 5% 3.22% 3.73% 3.36%
5% < x ≤ 6% 4.67% 5.27% 4.89%
x > 6% 7.28% 7.91% 7.58%
88
Table 16 - Standard Risk Factors
PFBP risks during the deferral period
For plans that use the Referential Rate (RR) as index for monetary correction
Contractual interest rate (x)
Financial Capitalization
Actuarial Capitalization
Tables with full life expectancy at 30 years
Under 50 Over 50
0% < x ≤ 6% 0.03% 0.05% 0.04%
x > 6% 0.19% 0.36% 0.23%
I – The factors of the second column of tables 13, 14, 15 and 16 of this Addendum refer to
plans structured in the strictly financial capitalization method, while the factors of the third
and fourth columns refer to plans structured in the actuarial capitalization method.
§ 2: The amount R.Con will be calculated based on risk factors in the tables show in this
paragraph, by the equation:
89
Table 17 – Reduced Risk Factors
PFBP risks related to the period of concession
For plans with monetary correction different from the Referential Rate (RR)
Contractual interest rate (x)
Without contractual table
Contractual table
With full life expectancy of the contractual table at 60 years
Table BR-EMS
Under 23 Over 23
x = 0% 0.01% 0.75% 0.06% 0.02%
0% < x ≤ 1% 0.09% 1.32% 0.29% 0.20%
1% < x ≤ 2% 0.24% 2.12% 0.82% 0.49%
2% < x ≤ 3% 0.67% 3.73% 1.40% 0.77%
3% < x ≤ 4% 1.50% 5.22% 2.70% 1.57%
4% < x ≤ 5% 2.44% 6.56% 4.31% 3.41%
5% < x ≤ 6% 4.27% 7.68% 5.77% 5.19%
x > 6% 7.45% 9.46% 8.10%
90
Table 18 – Reduced Risk Factors
PFBP risks related to the period of concession
For plans that use the Referential Rate (RR) as index for monetary correction
Contractual interest rate (x)
Without contractual table
Contractual table
With full life expectancy of the contractual table at 60 years
Under 23 Over 23
0% < x ≤ 6% 0.02% 0.91% 0.18%
x > 6% 0.48% 2.35% 1.33%
91
Table 19 - Standard Risk Factors
PFBP risks related to the period of concession
For plans with monetary correction different from the Referential Rate (RR)
Contractual interest rate (x)
Without contractual table
Contractual table
With full life expectancy of the contractual table at 60 years
Table BR-EMS
Under 23 Over 23
x = 0% 0.02% 1.09% 0.11% 0.03%
0% < x ≤ 1% 0.18% 1.61% 0.59% 0.25%
1% < x ≤ 2% 0.49% 3.09% 1.60% 0.59%
2% < x ≤ 3% 0.81% 4.80% 1.92% 0.92%
3% < x ≤ 4% 1.81% 6.39% 3.70% 1.86%
4% < x ≤ 5% 3.48% 7.86% 5.42% 3.73%
5% < x ≤ 6% 5.47% 9.06% 6.98% 5.55%
x > 6% 8.95% 11.07% 9.54%
92
Table 20 - Standard Risk Factors
PFBP risks related to the period of concession
For plans that use the Referential Rate (RR) as index for monetary correction
Contractual interest rate (x)
Without contractual table
Contractual table
With full life expectancy of the contractual table at 60 years
Under 23 Over 23
0% < x ≤ 6% 0.03% 1.31% 0.24%
x > 6% 0.62% 2.81% 1.74%
I – The factors in tables 17, 18, 19 and 20 of this Addendum refer to contracts that offer the
option to pay income exclusively as a fixed income, without guarantee of contractual table
during the period of concession.
§ 3: Consider, for the purposes of this Article, the following definitions:
I – basei: amount of the sum of PFBPs, in the base moth of the calculation of the capital, of the
concerned plans, of each “i” group;
93
II - “i”: groups, defined by the combination of columns and lines in the tables shown in the
present Article, considering the index determined for monetary correction;
III - R.PFBP.trad: amount of capital, in the base month of the calculation, concerning the risk of
PFBPs, for coverage of survival of plans that guarantee, during the period of deferral,
remuneration by means of hiring a monetary correction index, interest rate or biometric table;
IV- R.Dif: capital amount, in the base month of the calculation, concerning the underwriting
risk of the guarantees contracted during the period of deferral;
V - R.Con: capital amount, in the base month of the calculation, concerning the underwriting
risk during the period of deferral related to the period of concession;
VI – contractual table: in tables 13, 14, 15 and 16, it refers to the biometric table, guaranteed
during the period of deferral; and in tables 17, 18, 19 and 20, it refers to the guarantee, during
the period of income concession; both for male gender and defined in the technical bases of
the contract; and
VII – contractual interest rate: in tables 13, 14, 15 and 16, it refers to the interest rate
guaranteed during the period of deferral; and in tables 17, 18, 19 and 20, it refers to the
guarantee during the period of income concession; both defined in the technical bases of the
contract.
Art.6: The amount of capital concerning the underwriting risk of survival coverages will be
calculated by the following equation:
R.surv = R.pureendowm + Rmixedendowm + R.PBG + R.PFBP . vgbl + R.PFBP.trad
94
Single paragraph: Consider, for the purposes of this Addendum, R.surv as the amount of capital
concerning the underwriting risk of survival coverages, in the base month of the calculation of
the capital.
Art.7: For the purposes of calculation of the underwriting capital, the full life expectancy of
the contractual table will be calculated by the following equation:
Single paragraph: Consider, for the purposes of this Article, the following definitions:
I – e0x: full life expectancy of the contractual table at age x;
II – lx: number of survivors aged x years old, which is equal to lx = lx-1 x (1-qx-1); and
III – qx: death probability, in one year, of an individual x years old in the contractual table.
ADDENDUM VII
UNDERWRITING RISK CAPITAL – ADMINISTRATIVE EXPENSE RISK
IN THE TRANSACTIONS DEFINED IN ARTICLE 40 OF THIS RESOLUTION
Art.1: The amount of capital relating to the underwriting risk involved in administrative
expenses concerning the transactions defined in Article 40 of this Resolution, based on the risk
factors set out in Table 1 in this Article, is to be calculated using the following equation:
R.exps = frisk x C.risk + fsurviv x C.surviv
Table 1 – Risk Factors
Administrative Expense Risk
Reduced Risk Factor Standard Risk Factor
frisk 2.20% 2.60%
fsurviv 0.43% 0.51%
Single paragraph: Consider, for the purposes of this Article, the following definitions:
I – C.risk: the sum of the values of direct premiums and contributions over the past 12 months,
including the base month for calculating the capital, in relation to the distinct policies covering
survivors;
96
II – C.surviv: the sum of the values of direct premiums and contributions over the past 12
months, including the base month for calculating the capital, in relation to the survivor
coverage;
III – direct premiums: calculated according to the following equation: premiums written –
premiums cancelled – returned premiums; and
IV – R.exps: the amount of capital, in the calculation base month, relating to the underwriting
risk involved in administrative expenses concerning the transactions defined in Article 40 of
this Resolution.
97
ADDENDUM VIII
COMPOSITION OF THE UNDERWRITING RISK CAPITAL
Art. 1: The underwriting risk capital of the supervised bodies is to be set up in accordance with
the following equation and tables:
RCundw = √ V' x M x V
Table 1
Correlation Matrix
1.00 0.00 0.00 0.50 0.50 0.25 0.25
0.00 1.00 0.80 0.00 0.00 0.00 0.00
0.00 0.80 1.00 0.25 0.25 0.00 0.25
M = 0.50 0.00 0.25 1.00 0.75 0.25 0.25
0.50 0.00 0.25 0.75 1.00 0.50 0.25
0.25 0.00 0.00 0.25 0.50 1.00 0.25
0.25 0.00 0.25 0.25 0.25 0.25 1.00
98
Table 2
Portions that comprise the Underwriting Risk Capital
R.writ.dams
R.prov.dams
R.prov.life.pens
V = R. death.dis.allot
R.death.dis.cap
R.surviv
R.exps
Single paragraph: Consider, for the purposes of this Addendum, the following definitions:
I – URC: underwriting risk capital;
II – M: the correlation matrix shown in Table 1 of this Addendum;
III – V: the vector formed by the portions that comprise the underwriting risk capital, shown in
Table 2 of this Addendum; and
IV – V’: transposed from vector V.
99
ADDENDUM IX
UNDERWRITING RISK CAPITAL - RISK OF THE PRIZE DRAWS TO BE HELD
(Obs: não foi possível replica alguns simbolos .
Art.1: Consider, for the purposes of this Addendum, the following concepts and notations:
I – R.draws : the amount of capital, in relation to the underwriting risk of the investment firm,
to cover the risk of the prize draws that are to be held.
II – R.drawk : the amount of capital, in relation to the underwriting risk of the investment firm,
to cover the risk of the prize draws that are to be held, for all category/type k capitalization
plans.
III – category/type of capitalization plan: a set of capitalization plans of the same category
(traditional, planned purchase, popular or incentive) and type (single, monthly or periodic
payment), according to the classification shown in Table 1 of this Addendum.
IV – draw prize: the amount given by the investment firm to the prize draw winner, owner of
the savings bond that is picked out in any given prize draw.
V – NDMk : the number of bonds to be included, whether sold or not by the investment firm,
considering all the prize draws that the investment firm is committed to holding, for all series
and all capitalization plans in category/type k, during the 12 months from the reference date.
100
VI – ^mk : estimator of the proportion of unsold or inactive bonds at the time immediately
preceding the holding of each draw that the investment firm is committed to holding, for all
series and all capitalization plans in category/type k, during the 12 months from the reference
date.
VII – ^µk : estimator of the expected value of the draw prize for each bond to be included that
was sold by the investment firm and is active at the time the prize draw is held, considering all
the prize draws that the investment firm is committed to holding, for all series and all
capitalization plans in category/type k, during the 12 months from the reference date.
VIII – ^σk : estimator of the draw prize standard deviation for each bond included that was sold
by the investment firm and is active at the time the prize draw is held, considering all the prize
draws that the investment firm is committed to holding, for all series and all capitalization
plans in category/type k, during the 12 months from the reference date.
IX – fdraw : the value of the standard or reduced risk factor to be used in the equation for
calculating the amount of capital, in relation to the underwriting risk of the investment firm, to
cover the risk of prize draws that are to be held.
Art.2: The amount of capital, in relation to the underwriting risk of the investment firm, to
cover the risk of prize draws that are to be held, is be calculated using the following equation:
R.draws = √ Ʃ12 k=1 Ʃ12 l=1 ρk, l .( R.drawk ).( R.drawl )
101
Where:
R.drawk = fdraw. √ NDMk . [^µ2 k . (1 – ^mk ).( ^mk ) + ^σ2
k . (1 – ^mk ) ]
R.drawl = fdraw. √ NDMl . [^µ2 l . (1 – ^ml ).( ^ml ) + ^σ2 l . (1 – ^ml ) ]
fdraw = the value of the standard or reduced risk factor, according to the provisions of this
Addendum and shown in Table 2.
Art.3: The NDMk , ^mk , ^µk and ^σk are to be calculated on the basis of the criteria and
equations set out in Addendum XXII.
102
Table 1 – Category/Type of Capitalization Plan
Category/Type (k) Category of capitalization plan Type de capitalization plan
1 Traditional Single payment
2 Traditional Monthly payments
3 Traditional Periodic payments
4 Planned purchase Single payment
5 Planned purchase Monthly payments
6 Planned purchase Periodic payments
7 Popular Single payment
8 Popular Monthly payments
9 Popular Periodic payments
10 Incentive Single payment
11 Incentive Monthly payments
12 Incentive Periodic payments
103
Table 2 – Risk Factors
Prize Draws to be Held Risk
fsort
Standard risk factor Reduced risk factor
2.58% 2.33%
104
ADDENDUM X
UNDERWRITING RISK CAPITAL - GUARANTEED PROFITABILITY RISK
(Obs: não foi possível replica alguns símbolos, verificar original
Art.1: Consider, for the purposes of this Addendum, the following concepts and notations:
I – R.profitability: the amount of capital, in relation to the underwriting risk of the investment
firm, to cover the risk of guaranteed profitability.
II – R.profk : the amount of capital, in relation to the underwriting risk of investment firm, to
cover the risk of guaranteed profitability, for all the capitalization plans classified in group k.
III – capitalization plan group: a set of capitalization plans grouped according to the interest
rate offered, the monetary correction index of the Mathematical Provision for Redemption
(MPR) and the type of capitalization plan, according to the classification shown in Table 1 of
this Addendum.
IV – MPRk : the sum of the Mathematical Provision for Redemption made by the investment
firm for all the capitalization plans in group k.
V – fprofk : the value of the standard or reduced risk factor associated with group k that is to
be used in the equation for calculating the amount of capital, in relation to the underwriting
risk of the investment firm, to cover the guaranteed profitability risk.
Art.2: The amount of capital, in relation to the underwriting risk of the investment firm, to
cover the guaranteed profitability risk, is be calculated using the following equation:
R.profitability = √ Ʃ12 k=1 Ʃ12 l=1 ( R.profk ).( R.profl )
105
Where:
R.profk = fprofk . MPRk
R.profl = fprofl . MPRl
fprofk = the value of the standard or reduced risk factor associated with group k, according to
the provisions of this Resolution and shown in Table 2.
fprofl = the value of the standard or reduced risk factor associated with group l, according to
the provisions of this Resolution and shown in Table 2.
106
Table 1 – Capitalization plan groups
Group Interest rate p.a. under the MPR monetary Type of capitalization plan
(k) plan (i) correction index
1 i ≤ 1.23% TR Single payment
2 i ≤ 1.23% TR Monthly/Periodic payments
3 i ≤ 1.23% IPCA or other index Single payment
4 i ≤ 1.23% IPCA or other index Monthly/Periodic payments
5 1.23% < i ≤ 5.55% TR Single payment
6 1.23% < i ≤ 5.55% TR Monthly/ Periodic payments
7 1.23% < i ≤ 5.55% IPCA or other index Single payment
8 1.23% < i ≤ 5.55% IPCA or other index Monthly/ Periodic payments
9 i > 5.55% TR Single payment
10 i > 5.55% TR Monthly/ Periodic payments
11 i > 5.55% IPCA or other index Single payment
12 i > 5.55% IPCA or other index Monthly/ Periodic payments
108
Table 2 – Risk Factors
Guaranteed Profitability Risk
Group (k) Standard risk factor Reduced risk factor
1 0.00% 0.00%
2 0.00% 0.00%
3 0.00% 0.00%
4 0.44% 0.37%
5 0.00% 0.00%
6 0.00% 0.00%
7 0.65% 0.58%
8 5.88% 5.23%
9 0.00% 0.00%
10 0.00% 0.00%
11 2.91% 2.68%
12 8.38% 7.42%
109
ADDENDUM XI
UNDERWRITING RISK CAPITAL - ADMINISTRATIVE EXPENSE RISK
Art.1: Consider, for the purposes of this Addendum, the following concepts and notations:
I – R.expenses : the amount of underwriting risk capital required by the investment firms to
cover the administrative expense risk.
II – SBNR: the net revenue from savings bonds earned by investment firms in the 12 months up
to and including the reference date, considering the earnings from bonds and the return and
cancellation of same.
III – fexp : the value of the standard or reduced risk factor to be applied in the equation for
calculating the amount of underwriting risk capital required by the investment firms to cover
the administrative expense risk.
Art.2: the amount of underwriting risk capital required by the investment firms to cover the
administrative expense risk is to be calculated using the following equation:
R.expenses = fexp . SBNR
Where:
fexp = the value of the standard or reduced risk factor, as provided for in this Addendum and
shown in Table 1.
110
Table 1 – Risk Factors
Administrative Expense Risk
fdraw
Standard risk factor Reduced risk factor
0.57% 0.49%
111
ADDENDUM XII
UNDERWRITING RISK CAPITAL – PROCEDURE FOR CALCULATING THE ESTIMATORS OF THE
PROPORTION OF UNSOLD OR INACTIVE BONDS, THE EXPECTED DRAW PRIZE VALUE AND THE
DRAW PRIZE STANDARD DEVIATION
(Note: It was not possible to replicate some symbols, check original version)
Art.1: Consider, for the purposes of this Addendum, the following concepts and notations:
I – category/type of capitalization plan: a set of capitalization plans of the same category
(traditional, planned purchase, popular or incentive) and type (single, monthly or periodic
payment), according to the classification shown in Table 1 of Addendum IX.
II – NDMk : the number of bonds to be included, whether sold or not by the investment firm,
considering all the prize draws that the investment firm is committed to holding, for all series
and all capitalization plans in category/type k, during the 12 months from the reference date.
III – draw prize: the amount given by the investment firm to the prize draw winner, owner of
the savings bond that is picked out in any given prize draw.
IV – ^mk : estimator of the proportion of unsold or inactive bonds at the time immediately
preceding the holding of each draw that the investment firm is committed to holding, for all
series and all capitalization plans in category/type k, during the 12 months from the reference
date.
V – ^µk : estimator of the expected value of the draw prize for each bond to be included that
was sold by the investment firm and is active at the time the prize draw is held, considering all
the prize draws that the investment firm is committed to holding, for all series and all
capitalization plans in category/type k, during the 12 months from the reference date.
VI – ^σk : estimator of the draw prize standard deviation for each bond included that was sold
by the investment firm and is active at the time the prize draw is held, considering all the prize
draws that the investment firm is committed to holding, for all series and all capitalization
plans in category/type k, during the 12 months from the reference date.
112
VII – ndmk : the number of bonds included, whether sold or not by the investment firm,
considering all the prize draws held by the investment firm, for all series and all capitalization
plans in category/type k, in the 12 months up to the reference date.
VIII – nbsk : the number of bonds included that were sold by the investment firm and were
active at the time the prize draw was held, considering all the prize draws held by the
investment firm, for all series and all capitalization plans in category/type k, in the 12 months
up to the reference date.
IX – bond included in index i: a bond included in a draw held within the 12 months up to the
reference date, whether sold or not by the investment firm, considering all series and all
capitalization plans of a certain category/type, where index i unambiguously identifies that
bond.
X – vk, i : proportion of unsold or inactive bonds at the time immediately preceding the prize
draw for category/type k, whose bonds are included index i.
XI – ΅vk, i : proportion of unsold or inactive bonds on the last day of the month preceding the
holding of the prize draw for category/type k, whose bonds are included index i.
XII – DPk, i : value of the draw prize given by the investment firm to the prize draw winner,
owner of the savings bond included in index i, that is picked out in a category/type k prize
draw.
Art.2: The value of the NDMk is to be calculated by adding up the number of bonds to be
included in all the prize draws that the investment firm is committed to holding during the 12
months from the reference date, for all the capitalization plans in category/type k.
Single paragraph: If the number of bonds to be included in a particular future prize draw is a
random variable, the investment firm must calculate the average of the bonds included in
similar draws held within the 12 months up to the reference date, and use that value as an
estimator of the number of bonds to be included in that future prize draw.
Art.3: ^mk is to be calculated using the following equation:
^mk = 1 / ndmk .( Ʃi vk, i )
113
§ 1: If the investment firm does not have sample data on the proportion of unsold or inactive
bonds at the time immediately preceding the holding of the prize draw (vk, i), the investment
firm may calculate the using the ^mk using the proportion of unsold or inactive bonds on the
last day of the month preceding the holding of the respective draw (΅vk, i), applying the
following equation:
^mk = 1 / ndmk .( Ʃi ΅vk, i )
§ 2: In situations where the plan provides for mandatory inclusion, if the minimum sales
required for mandatory inclusion are reached, for the purpose of calculating the ^mk , it must
considered that the series was fully sold.
Art.4: the ^µk is to be calculated using the following equation:
^µk = 1 / nbsk .( Ʃi DPk, i )
Art.5: the ^σk is to be calculated using the following equation:
^σk = √ 1 / (nbsk – 1) . Ʃi (DPk, i – ^µk)2
Art. 6: If the investment firm does not have sample data on a particular category/type of
capitalization plan, with at least 30 bonds included in the prize draws held in the 12 months up
to the reference date, the investment firm is to calculate the estimators mentioned in this
Addendum using the data from its predictions and planning for the next 12 months.
§ 1: In the situação provided for in the above clause, the investment firm must inform SUSEP
that the calculation of the estimators is to be performed using the data from its predictions
and planning for the next 12 months, as from the reference date.
114
§ 2: SUSEP may, at any time, according to the needs of each case, request from the investment
firm the details and justification for the calculation of the estimators according to the situation
provided for in the above clause, as well as request the revision of the values calculated, or
even indicate the values to be considered.
Art. 7: Sample data relating to prize draws of the "instant award" type can only be considered
for the purpose of calculating the ^mk , ^µk and ^σk , if the investment firm can show that the
estimated percentage of bonds to be included in draws of the "instant award" type,
considering all the draws that the investment firm is committed to holding during the 12
months from the reference date, for all capitalization plans in category/type k, is less than
10%.
§ 1: the calculation of the estimated percentage referred to in the above clause, at less than
10%, must be explained by the investment firm and presented in the actuarial appraisal sent to
SUSEP on an annual basis.
§ 2: SUSEP may, at any times, according to the needs of each case, request the revision of the
estimated percentage, as it may also refuse to accept the explanation presented.
115
ADDENDUM XIII
UNDERWRITING RISK CAPITAL FOR INVESTMENT FIRMS
Art.1: The underwriting risk capital for investment firms is to be set up according to the
following equation and tables:
Table 1
Correlation Matrix
1.00 0.75 0.75
M = 0.75 1.00 0.75
0.75 0.75 1.00
Table 2
Items comprising the Underwriting Risk Capital
R.prizedraws
V = R.profitability
R.expenses
Single paragraph: Consider, for the purposes of this Addendum, the following definitions:
116
I - URC : underwriting risk capital;
II - M: correlação matrix, shown in Table 1 in this Addendum;
III - V: a vector formed by the items that comprise the capital relating to the capitalization
underwriting risk, shown in Table 2 in this Addendum; and
IV - V’: transposed from vector V.
117
ADDENDUM XIV
CREDIT RISK CAPITAL - PORTION 1
Art.1: Portion 1 of the credit risk capital refers to credit risk of exposure, in this Addendum, in
risk transfer transactions that have as counterparty insurers, reinsurers, OPPE and companies
providing capitalization plans.
Art.2: Portion 1 of the credit risk capital is to be calculated by the following equation:
Single paragraph: Consider, for the purposes of this Addendum, the following definitions:
I – cred1 RC : credit risk capital referring to portion 1;
II – fi: risk factor corresponding to counterparty “i”;
III – expi: value of exposure to credit risk of the counterparty ”i”;
IV – ρij: coefficient of the correlation between exposure to counterparties “i” e “j”, being ρij =
0,75 for every i ≠ j, and ρij = 1 if i = j;
V- counterparty “i” or “j”: each reinsurer and the set of insurance companies, of investment
firms and of OPPE debtors of the credits being adressed in the risk analysis.
VI – “r”: total number of counterparties, as defined in item V in this paragraph.
Art.3: The risk factor will be obtained depending on the type and risk rating of the
counterparty, based on the following tables:
118
Type 1 Type 2 Type 3
Level 1 1.93% 2.53% 3.04%
Level 2 – 4.56% 5.48%
Level 3 – 11.36% 13.63%
Table 1: Risk factors corresponding to counterparty “i” or “j”
Standard & Poor’s Co. Moody’s Investor Services Fitch Ratings AM Best
Level 1 AAA
AA+
AA
AA- Aaa
Aa1
Aa2
Aa3 AAA
AA+
AA
AA-
A++
A+
Level 2 A+
A
A- A1
A2
A3 A+
A
A- A
A-
Level 3 BBB+
BBB
BBB- Baa1
Baa2
Baa3 BBB+
BBB
BBB- B++
B+
Table 2: Risk levels of counterparty “i” ou “j” depending on the risk rating given by risk rating
agency.
Types of counterparty
Type 1 insurers, OPPE, companies providing capitalization plans and local reinsurers.
Type 2 admitted reinsurers
Type 3 eventual reinsurers
Table 3: Definition of the types of counterparty
119
§ 1: The supervised bodies will have to use one risk factor for every counterparty, in the way it
is defined in item V of the single paragraph in article 2 of this Addendum.
§ 2: The supervised bodies will be classified, for purposes of calculation of cred1 RC, as risk
level 1.
§ 3: If a reinsurer has more than one risk rating issued by risk rating agencies, and because of
that, presents more than one risk level, in the form of Table 2 in this Article, for purposes of
calculation of cred1 RC, the higher risk rating will be used.
§ 4: The supervised body that, abiding by the current legislation, has exposure to credit risk
having as counterparties reinsurers not certified by SUSEP as locals, admitted or eventual, will
have to consider, for purposes of calculation of cred1 RC, the set of these reinsurers as one
counterparty and apply the risk factors corresponding to risk level 3 and type 3.
Art.4: The value of exposure to credit risk having as counterparty a reisurer for insurers and
local reinsurers, will be the sum of the following amounts, respecting the down payment of
each portion:
I. (+) credits referring to premiums not yet received of overdue portions.
II. (+)credits referring to claims/benefits not yet recovered.
III. (+) credits referring to commissions and other credits not yet recovered
IV. (+) reinsurance and retrocession deferred premiums.
V. (+) amount of deferred commercial expenses referring to commissions payed to the
reinsurer multiplied by the exposure reduction factor (ERF).
VI. (-) provision for credit risk of the reinsurer.
VII. (-) charges, with the reinsurer, referring to amounts recorded as deferred reinsurance and
retrocession premiums and not yet settled.
Single paragraph: The amount of the exposure will have to be calculated separately regarding
every counterparty.
Art.5: The amount of the exposure to credit risk, having as counterparties insurers and OPPE,
for insurers, will be the sum of the following amounts, respecting the down payment of each
portion:
I. (+) credits referring to premiums not yet received from overdue portions of accepted
coinsurance.
II. (+) credits referring to claims not yet recovered from insurers.
III. (+) credits referring to commissions and other credits not yet recovered from insurers.
120
IV. (+) credits not yet received referring to the transaction of insurance portfolio transfer.
V. (+) credits not yet received referring to the transaction of supplementary pension portfolio
transfer.
VI. (+)amount of deferred commercial expenses referring to commissions payed to insurers
due to coinsurance transactions multiplied by the exposure reduction factor (ERF).
VII. (-) provision for credit risk referring to transactions with the insurers and the OPPE
Single paragraph: Insurance companies that still record credits not yet received referring to
contracts of risk transfer will also have to consider these amounts as exposure to credit risk,
net of the respective provision for credit risk.
Art.6: The amount of the exposure to credit risk, having as counterparts insurers, for local
reinsurers, will be the sum of the following amounts, respecting the down payment of each
portion:
I. (+) credits referring to premiums not yet received from overdue portions.
II. (+) credits referring to claims not yet recovered.
III. (+)credits referring to commissions and other credits not yet recovered.
IV. (+) deferred retrocession premiums.
V. (+)amount of deferred commercial expenses referring to commissions payed to insurance
companies multiplied by the exposure reduction factor (ERF)
VI. (-) provision for credit risk referring to transactions with insurance companies.
VII. (-) charges referring to amounts recorded as deferred retrocession premiums and not yet
payed.
Art.7: The amount of exposure to credit risk for the OPPE will be equal to the amount of
credits not yet received referring to supplementary pension portfolio transfers, net of the
respective credit risk provision.
Single paragraph: The OPPE that still have credits not yet received referring to risk transfer
contracts, will also consider these amounts as exposure to credit risk, net of the respective
credit risk provision.
Art.8: The amount of exposure to credit risk for investment firms will be equal to the value of
credits not yet received referring to capitalization portfolio transfers, net of the respective
credit risk provision.
Art.9: The amount of the FRE that will be applied over the amounts of deferred commercial
expenses will be of 12% (twelve per cent).
Art.10. The amounts of exposures to credit risk, which are adressed in articles 4, 5, 6, 7 and 8,
will be calculated by following criteria established in the guide of SUSEP’s Periodic Information
Form, by respecting the chart of accounts of the supervised bodies.
121
ADDENDUM XV
CREDIT RISK CAPITAL - PORTION 2
Art.1: Portion 2 of the credit risk capital refers to the credit risk of exposure in transactions
where the counterparties are not insurers, reinsurers, OPPE or investment firms, identified in
this Addendum.
Art.2: Portion 2 of the credit risk capital is to be calculated by the following equation:
Single paragraph: Consider, for the purposes of this Addendum, the following definitions:
I – RCcred 2: credit risk capital referring to portion 2;
II – RAFi: risk weighting factor referring to exposure “i”; and
III – expi: amount of the credit risk exposure to amounts, investments, credits, saving bonds or
rights “i” registered by the supervised body.
Art.3: The amounts of exposure to credit risk will be calculated by following criteria established
in the guide of SUSEP’s Periodic Information Form, by respecting the chart of accounts of the
supervised bodies.
Art.4: The risk risk weighting factor of 20% (twenty percent) will be applied to the following
exposures:
I – bank deposits;
II – amounts in transit;
III – open market investments;
IV – judicial and fiscal deposits;
V – Investments in fixed-income private bonds issued by financial institutions, with maturity
date in at least 3 months; and
VI – Amounts invested in Guaranteed Time-Deposit asset (DPGE) guaranteed by the Credit
Guarantee Fund (FGC) or with maturity date in at least 3 months.
122
Art.5: The risk weighting factor of 50% (fifty percent) will be applied to the following
exposures :
I – investments in fixed-income private bonds issued by financial institutions, with maturity
date superior to 3 months;
II – amounts invested in DPGE not guaranteed by FGC and with maturity date superior to 3
months; and
III – investments in derivatives resulting from transactions that are not settled in liquidation
systems of clearing houses and of liquidation authorized by the Brazilian Central Bank,
interposing itself to the clearing house as the central counterpart, in the terms of the current
legislation.
Art.6: The risk weighting factor of 75% (seventy-five percent) will be applied on the following
exposures:
I – premiums not yet received concerning overdue portions referring to direct insurance
premiums;
II – contributions not yet received from overdue portions concerning complementary pension
transactions;
III – credits not yet received from financial assistance to participants in plans following the
financial distribution method; and
IV – amount of the deferred commercial expenses concerning commissions payed to brokers,
agents and contracting parties multiplied by the factor that reduces exposure (REF).
Single paragraph: The REF described in item IV of this article will be equal to 12% (twelve
percent).
Art.7: The risk weighting factor of 100% (one hundred percent) will be applied on the following
exposures:
I – investments on non-federal fixed income public bonds;
II – investments on fixed income private bonds that are not issued by financial institutions;
III – investments on variable income bonds not classified as shares, derivatives or gold;
IV – investments not classified as fixed income bonds, variable income bonds or quotas of
investment funds;
V – amounts not yet received concerning credits of transactions with complementary
pensions, except for amounts corresponding to contributions not yet received of overdue
portions and contributions not yet received of active risks;
VI – credits from capitalization transactions, different from the definition described in Article 8
of Addendum XIV in this Resolution;
VII – other operational credits;
123
VIII –bonds and credits not yet received, except for financial assistance to participants, tax and
pension credits and judicial and fiscal deposits; and
IX – checks and payment orders not yet received.
Art.8: The risk weighting factor of 100% (one hundred percent) will have to be applied for
quotas of investment funds.
§ 1: It is possible to apply a risk weighting factor equivalent to the average of the FPRs
applicable to transactions pertaining to the fund portfolio, as if they were executed by the
investing institutions, weighted by the relative participation of each transaction in the total
value of the portfolio.
§ 2: The supervised body that wants to use the possibility in the 1st paragraph of this Article
will have to present to SUSEP, monthly, the results of the calculation referred to in that
paragraph.
§ 3: In the calculation of the risk weighting factor mentioned in the 1st paragraph of this
Article, the transactions present in the fund’s portfolio in the last working day of the month of
calculation will be considered.
§ 4: The monthly calculations of the risk weighting factor will have to be quarterly audited by
an independent accounting auditor, and the report of the audit must be at SUSEP’s disposal.
§ 5: The supervised body will have to inform, by means of the Quarterly Form in SUSEP’s
Periodical Information Form, if the calculations of the risk weighting factors related to the
months adressed in the form have been audited, in the terms of paragraph 4 of this Article,
and the independent accounting auditor who is responsible.
§ 6: Exposure referring to quota fund applications will be deduced, for purposes of calculation
of do RCcred 2, of the amounts of mathematical provisions of benefits not yet granted of PGBL
and VGBL plans.
Art.9: The risk weighting factor of 100% (one hundred percent) will be applied for relative
exposure to tax credits caused by temporal adjustments and the factor of 300%(three hundred
percent) will be applied for exposure relative to other tax and pension credits.
Art.10: The risk weighting factor of 0% (zero percent) will be applied for exposure for which
there is no specific FRP established in articles 4 to 9 of this Addendum.
Art.11: For purposes of evaluation of RCcred 2 c, the amounts of exposures, predicted in
Articles 4 to 9 of this Addendum, will have to be deduced from the respective provisions for
devaluation or for credit risk, depending on the case.
124
Art.12: For purposes of evaluation of RCcred 2, exposure concerning deductions of net book
value realized for calculation of ANE will not be considered.
ADDENDUM XVI
CREDIT RISK CAPITAL
Art. 1: The credit risk capital of the supervised bodies shall be calculated according to the
following equation:
RCcred = √ RCcred 1 2 + RCcred 2 2 + 1.50 X RCcred 1 X RCcred 2
Single paragraph: Consider, for the purposes of this Addendum, the following definitions:
I – RCcred - credit risk capital.
II – RCcred 1 - credit risk capital, portion 1; and
III – RCcred 2 - credit risk capital, portion 2.
126
ADDENDUM XVII
OPERATIONAL RISK CAPITAL
Art.1: The operational risk capital shall be calculated using the following equation:
RCoper = [ 30% x RCothers ; max (OPprem ; OPprov ) ]
§ 1: Consider, for the purposes of this Addendum, the following definitions:
I – RCoper : operational risk capital;
II – RCothers : risk capital calculated according to a specific standard, excluding the portion
related to operational risk and considering all the other risks to which a supervised body is
exposed and the correlations among them;
III – OPprem : the portion of the operational risk capital derived from the premiums earned,
obtained using the following equation:
OPprem = fpremLife x [ PREMLife + max ( 0 ; PREMLife – (fgrowth) x pPREMLife ) ] +
fpremNon-Life x [PREMNon-Life + max ( 0 ; PREMNon-Life – (fgrowth) x pPREMNon-Life ) ]
IV – OPprov : the portion of the operational risk capital derived from the technical provisions,
obtained using the following equation:
OPprov = fprovLife x PROVLife + fprovNon-Life x PROVNon-Life
V – reference date: the month that the operational risk capital calculation refers to;
127
VI – PREMLife : the amount of premiums earned on the products in the Life class, received
within the 12 months from the reference date;
VII – PREMNon-Life : the amount of premiums earned on the products in the Non-Life class,
received within the 12 months from the reference date;
VIII – pPREMLife : the amount of premiums earned on the products in the Life class, received
over the period of the 13th to the 24th month from the reference date;
IX – pPREMNon-Life : the amount of premiums earned on the products in the Non-Life class,
received over the period of the 13th to the 24th month from the reference date;
X – PROVLife : the amount of technical provisions related to the products in the Life class,
calculated in relation to the reference date;
XI – PROVNon-Life : the amount of technical provisions related to the products in the Non-Life
class, calculated in relation to the reference date;
XII – fpremLife : the risk factor to be applied to parts of the equation for calculating the
operational risk capital, corresponding to the premiums earned on the products in the Life
class;
XIII – fpremNon-Life : the risk factor to be applied to parts of the equation for calculating the
operational risk capital, corresponding to the premiums earned on the products in the Non-
Life class;
XIV – fprovLife : the risk factor to be applied to parts of the equation for calculating the
operational risk capital, corresponding to the technical provisions related to the products in
the Life class;
XV – fprovNon-Life : the risk factor to be applied to parts of the equation for calculating the
operational risk capital, corresponding to the technical provisions related to the products in
the Non-Life class;
XVI – fgrowth : the risk factor used in the equation for calculating the operational risk capital,
the effect of which is reflected in the increase of this capital, in the manner provided for in
item III, whenever the volume of earned premiums calculated over the 12 months from the
reference date comes to a greater amount than the total earned premiums calculated during
the period from the 13th to the 24th month.
§ 2: The amounts to be allocated to the risk factors mentioned in items XII to XVI of this Article
are defined in Addendum XVIII.
128
§ 3: Addendum XIX establishes the criteria for classification between the Life and Non-Life
classes of products sold by the supervised bodies, for the purpose of applying the equation
presented in this Addendum.
§ 4: SUSEP shall provide guidance on the methodology for calculating the earned premiums
and technical provisions mentioned in items VI to XI of this Article.
129
ADDENDUM XVIII
OPERATIONAL RISK CAPITAL - VALUES ATTRIBUTED TO THE RISK FATORES IN THE EQUATION
FOR CALCULATING THE CAPITAL
Art. 1: For the purpose of calculating the operational risk capital, the following values should
be attributed to the risk factors provided for in items XII to XVI of Article 1 in Addendum XVII.
RISK FACTOR VALUE
fprem Life 0.25%
fprem Non-Life 0.67%
fprov Life 0.08%
fprov Non-Life 0.41%
fgrowth 110%
130
ADDENDUM XIX
OPERATIONAL RISK CAPITAL – CRITERIA FOR CLASSIFYING PRODUCTS INTO LIFE OR NON-LIFE
CLASSES
Art. 1: Fur purposes of calculation of the operational risk capital, the classification of the
producrts commercialized by the insurance companies into life or non life classes will have to
consider the criteria shown in table below:
CODE OF THE PRODUCTS ACCORDING TO SUSEP CIRCULAR Nº 395/2009
CLASSIFICATION FOR PURPOSES OF CALCULATION OF
OPERATIONAL RISK CAPITAL
GROUP CLASS CLASS
09-People Group All classes LIFE
10-Home 61- non-SFH mortgage insurance-Pr
LIFE
10-Home All classes, except class 61 NON-LIFE
11-Rural 98-Rural Producer’s Life Insurance
LIFE
11-Rural All classes, except class 98 NON-LIFE
13-People Individual
All classes LIFE
All Others All classes NON-LIFE
Art. 2: For purposes of calculation of operational risk capital, products sold by OPPE are
classified as Life class.
Art. 3: For purposes of calculation of operational risk capital, the classification of products
which are sold by investment firms into Life or Non-Life classes will have to consider the
following criteria:
§1: Products for which the capitalization period is until 24 (twenty-four) months will be
classified as Non-Life.
§2: Products for which the capitalization period is superior to 24 (twenty-four) months will be
classified as Life.
131
Art. 4: For purposes of calculation of operational risk capital, products sold by local reinsurers
are classified as Non-Life.
§1 : If a product sold by a local reinsurer has only characteristics inherent to Life class products,
earned premiums and technical provisions regarding this product can be classified as Life for
purposes of calculation of operational risk capital.
§2: What has been established in §1º can only be applied upon SUSEP’s authorization and if it
is possible to assess the amounts listed in the article cited by means of data informed in
SUSEP’s Periodic Information Form.
Art. 5: In case of products not included in the present regulation, only SUSEP will decide its
classification into Life or Non-Life, for purposes of calculation of operational risk capital.
132
ADDENDUM XX
MARKET RISK CAPITAL – CASH FLOW GROUPING IN STANDARD VERTICES
Art. 1: For purposes of application of the methodology for calculating market risk, economic
values of cash flow estimated by the supervised bodies will be grouped in standard vertices
established in Table 1 of this Addendum, following their maturity dates and the risk factors to
which they are exposed, in accordance with what was established in Addendum XXI.
133
Table 1 – Standard Vertices
Period Pre Reference Rate Foreign currency
established coupons and Price Index Coupons
coupons
1 month (21 business days) X X
3 months (63 business days) X X X
6 months (126 business days) X X X
1 year (252 business days) X X X
1.5 years (378 business days) X X X
2 years (504 business days) X X X
2.5 years (630 business days) X X X
3 years (756 business days) X X X
4 years (1,008 business days) X X X
5 years (1,260 business days) X X X
10 years (2,520 business days) X X X
15 years (3,780 business days) X X
20 years (5,040 business days) X
25 years (6,300 business days) X
30 years (7,560 business days) X
35 years (8,820 business days) X
40 years (10,080 business days) X
45 years (11,340 business days) X
50 years (12,600 business days) X
134
§ 1: Cash flows with maturity (Ti) inferior to the term of the first standard vertex defined for
the concerned risk factor (Pfirst) will have to be allocated to this vertex proportionally to the
Ti/Pfirstof their economic values.
§ 2: Cash flows with maturity (Ti) superior to the term of the last standard vertex defined for
the concerned risk factor (Plast), will have to be allocated to this vertex proportionally to the
Ti/Plast of their economic values.
§ 3: Cash flows with maturity (Ti) between the term of the first (Pfirst) and the last standard
vertex (Plast) defined for the concerned risk factor, will have to be allocated to the vertices
adjacent to Ti, in accordance with the following criteria:
a) in the vertex immediately precedent (Pj), the fraction (Pj+1 – Ti)/(Pj+1 – Pj) of the economic
value of the flow will have to be allocated; and
b) in the vertex immediately subsequent (Pj+1), the fraction (Ti – Pj)/(Pj+1 – Pj) of the economic
value of the flow will have to be allocated.
§ 4: Cash flows with maturity (Ti) coinciding with the term of any standard vertex will have to
allocate all their economic values to those vertices.
135
ADDENDUM XXI
RISK CAPITAL BASED ON MARKET RISK - OVERALL
Art. 1: The market risk capital is calculated based on the following equation:
§ 1: Consider, for the purposes of this Addendum, the following definitions:
a) : matrix of market risk factors presented in tables 1 to 9 of this Addendum:
Table 1 – Risk Factor Matrix
A B C D
E F G H
136
Table 2 – Risk Factor Matrix – Section A
pre.21 pre.63 pre.126 pre.252 pre.378 pre.504 pre.630 pre.756 pre.1008 pre.1260 pre.2520 pre.3780 igpm.63 igpm.126 igpm.252 igpm.378 igpm.504 igpm.630 igpm.756 igpm.1008
pre.21
pre.63
pre.126
pre.252
pre.378
pre.504
pre.630
pre.756
pre.1008
pre.1260
pre.2520
pre.3780
igpm.63
igpm.126
igpm.252
igpm.378
igpm.504 No need do change values. They are already in english format.
igpm.630
igpm.756
igpm.1008
igpm.1260
igpm.2520
igpm.3780
igpm.5040
igpm.6300
igpm.7560
igpm.8820
igpm.10080
igpm.11340
igpm.12600
ipca.63
ipca.126
ipca.252
ipca.378
ipca.504
ipca.630
ipca.756
ipca.1008
ipca.1260
ipca.2520
Table 3 – Risk Factor Matrix – Section B
igpm.1260
igpm.2520
igpm.3780
igpm.5040
igpm.6300
igpm.7560
igpm.8820
igpm.10080
igpm.11340
igpm.12600
ipca.63
ipca.126
ipca.252
ipca.378
ipca.504
ipca.630
ipca.756
ipca.1008
ipca.1260
ipca.2520
pre.21
pre.63
pre.126
pre.252
pre.378
pre.504
pre.630
pre.756
pre.1008
pre.1260
pre.2520
pre.3780
igpm.63
igpm.126
igpm.252
igpm.378
igpm.504
No need do change values. They are already in english format.
igpm.630
igpm.756
igpm.1008
igpm.1260
igpm.2520
igpm.3780
igpm.5040
igpm.6300
igpm.7560
igpm.8820
igpm.10080
igpm.11340
igpm.12600
ipca.63
ipca.126
ipca.252
ipca.378
ipca.504
ipca.630
ipca.756
ipca.1008
ipca.1260
ipca.2520
138
Table 4 – Risk Factor Matrix – Section C
ipca.3780
ipca.5040
ipca.6300
ipca.7560
ipca.8820
ipca.10080
ipca.11340
ipca.12600
tr.63
tr.126
tr.252
tr.378
tr.504
tr.630
tr.756
tr.1008
tr.1260
tr.2520
tr.3780
tr.5040
pre.21
pre.63
pre.126
pre.252
pre.378
pre.504
pre.630
pre.756
pre.1008
pre.1260
pre.2520
pre.3780
igpm.63
igpm.126
igpm.252
igpm.378
igpm.504 No need do change values. They are already in english format.
igpm.630
igpm.756
igpm.1008
igpm.1260
igpm.2520
igpm.3780
igpm.5040
igpm.6300
igpm.7560
igpm.8820
igpm.10080
igpm.11340
igpm.12600
ipca.63
ipca.126
ipca.252
ipca.378
ipca.504
ipca.630
ipca.756
ipca.1008
ipca.1260
ipca.2520
139
Table 5 – Risk Factor Matrix – Section D
tr.6300
tr.7560
tr.8820
tr.10080
tr.11340
tr.12600
dollar.30
dollar.90
dollar.180
dollar.360
dollar.540
dollar.720
dollar.900
dollar.1080
dollar.1440
dollar.1800
dollar.3600
igpm
ipca
tr
ibovespa
dollar
commodity
pre.21
pre.63
pre.126
pre.252
pre.378
pre.504
pre.630
pre.756
pre.1008
pre.1260
pre.2520
pre.3780
igpm.63
igpm.126
igpm.252
igpm.378
igpm.504
No need do change values. They are already in english format.
igpm.630
igpm.756
igpm.1008
igpm.1260
igpm.2520
igpm.3780
igpm.5040
igpm.6300
igpm.7560
igpm.8820
igpm.10080
igpm.11340
igpm.12600
ipca.63
ipca.126
ipca.252
ipca.378
ipca.504
ipca.630
ipca.756
ipca.1008
ipca.1260
ipca.2520
140
Table 6 – Risk Factor Matrix – Section E
pre.21 pre.63 pre.126 pre.252 pre.378 pre.504 pre.630 pre.756 pre.1008 pre.1260 pre.2520 pre.3780 igpm.63 igpm.126 igpm.252 igpm.378 igpm.504 igpm.630 igpm.756 igpm.1008
ipca.3780
ipca.5040
ipca.6300
ipca.7560
ipca.8820
ipca.10080
ipca.11340
ipca.12600
tr.63
tr.126
tr.252
tr.378
tr.504
tr.630
tr.756
tr.1008
tr.1260 No need do change values. They are already in english format.
tr.2520
tr.3780
tr.5040
tr.6300
tr.7560
tr.8820
tr.10080
tr.11340
tr.12600
dollar.30
dollar.90
dollar.180
dollar.360
dollar.540
dollar.720
dollar.900
dollar.1080
dollar.1440
dollar.1800
dollar.3600
igpm
ipca
tr
ibovespa
dollar
commodity
141
Table 7 – Risk Factor Matrix – Section F
igpm.1260
igpm.2520
igpm.3780
igpm.5040
igpm.6300
igpm.7560
igpm.8820
igpm.10080
igpm.11340
igpm.12600
ipca.63
ipca.126
ipca.252
ipca.378
ipca.504
ipca.630
ipca.756
ipca.1008
ipca.1260
ipca.2520
ipca.3780
ipca.5040
ipca.6300
ipca.7560
ipca.8820
ipca.10080
ipca.11340
ipca.12600
tr.63
tr.126
tr.252
tr.378
tr.504
tr.630
tr.756
tr.1008
tr.1260 No need do change values. They are already in english format.
tr.2520
tr.3780
tr.5040
tr.6300
tr.7560
tr.8820
tr.10080
tr.11340
tr.12600
dollar.30
dollar.90
dollar.180
dollar.360
dollar.540
dollar.720
dollar.900
dollar.1080
dollar.1440
dollar.1800
dollar.3600
igpm
ipca
tr
ibovespa
dollar
commodity
142
Table 8 – Risk Factor Matrix – Section G
ipca.378
ipca.5040
ipca.6300
ipca.7560
ipca.8820
ipca.10080
ipca.11340
ipca.12600
tr.63
tr.126
tr.252
tr.378
tr.504
tr.630
tr.756
tr.1008
tr.1260
tr.2520
tr.3780
tr.5040
0
ipca.3780
ipca.5040
ipca.6300
ipca.7560
ipca.8820
ipca.10080
ipca.11340
ipca.12600
tr.63
tr.126
tr.252
tr.378
tr.504
tr.630
tr.756
tr.1008
tr.1260 No need do change values. They are already in english format.
tr.2520
tr.3780
tr.5040
tr.6300
tr.7560
tr.8820
tr.10080
tr.11340
tr.12600
dollar.30
dollar.90
dollar.180
dollar.360
dollar.540
dollar.720
dollar.900
dollar.1080
dollar.1440
dollar.1800
dollar.3600
igpm
ipca
tr
ibovespa
dollar
commodity
143
Table 9 – Risk Factor Matrix – Section H
tr.6300
tr.7560
tr.8820
tr.10080
tr.11340
tr.12600
dollar.30
dollar.90
dollar.180
dollar.360
dollar.540
dollar.720
dollar.900
dollar.1080
dollar.1440
dollar.1800
dollar.3600
igpm
ipca
tr
ibovespa
dollar
commodity
ipca.3780
ipca.5040
ipca.6300
ipca.7560
ipca.8820
ipca.10080
ipca.11340
ipca.12600
tr.63
tr.126
tr.252
tr.378
tr.504
tr.630
tr.756
tr.1008
tr.1260 No need do change values. They are already in english format.
tr.2520
tr.3780
tr.5040
tr.6300
tr.7560
tr.8820
tr.10080
tr.11340
tr.12600
dollar.30
dollar.90
dollar.180
dollar.360
dollar.540
dollar.720
dollar.900
dollar.1080
dollar.1440
dollar.1800
dollar.3600
igpm
ipca
tr
ibovespa
dollar
commodity
144
b) : vector of net exposures (NE) in the format described as follows:
E =( ELpre,1 month … ELpre,15 years ELIGPM, 3 months … ELIGPM, 50 years ELIPCA, 3 months …
ELIPCA, 50 years ELTR, 3 monhts … ELTR, 50 years ELexchange1month …
ELexchange, 10 years ELIGPM ELIPCA ELTR ELshares ELcam ELcom )
Where:
I- ELpre, j: net exposure sensible to pre-determined interest rate variations in the standard
vertex j defined in Addendum XX;
II- ELIGPM, j: net exposure sensible to interest rate variations of IGP-M coupon in the standard
vertex j defined in Addendum XX;
III- ELIPCA, j: net exposure sensible to interest rate variations of IPCA coupon in the standard
vertex j defined in Addendum XX;
IV- ELTR, j: net exposure sensible to interest rate variations of TR coupon in the standard vertex j
defined in Addendum XX;
V- ELexchange, j: net exposure sensible to interest rate variations of exchange coupon in the
standard vertex j defined in Addendum XX;
VI- ELIGPM: net exposure subjected to IGP-M variation;
VII- ELIPCA: net exposure subjected to IPCA variation;
VIII- ELTR: net exposure subjected to TR variation;
IX- ELshares : net exposure subjected to variation in prices of shares;
X - ELcam: net exposure subjected to variation in prices of foreing currencies and gold; and
XI - ELcom: net exposure subjected to variation of prices of goods,
c) : transposed from the vector E.
§2: For purposes of the calculation described in the main section, net exposure to Long Term
Interest Rate (TJLP) and to the Base Financial Rate (TBF) will have to be considered as exposure
to TR.
§3o For purposes of the calculation described in the main section, net exposure to IGP-DI will
have to be considered as exposure to IGP-M, and exposure to PIC and INPC will have to be
considered as exposure to IPCA.
145
§4: Cash flow concerning legal liabilities, for those which the supervised body is not capable of
defining an appropriate risk factor, will be considered as exposed to IGP-M.
146
ADDENDUM XXII
MARKET RISK CAPITAL – GROUPS OF PRODUCTS WITH A FINANCIAL SURPLUS GUARANTEE
Art. 1: For each group i of products offering a financial surplus, for which the supervised body
chooses the option provided for in § 3 of Article 50 of this Resolution, the market risk capital
(RCmarket.surplus i) shall be calculated according to the following equation:
RCmarket.surplus i = RCmarket.general i – min [RCmarket.general i x RPsurplus i ; (PFSsurplus i
+ AVsurplus i) x (1 - PEsurplus i / 2 )]
Single paragraph: Consider, for the purposes of this Addendum, the following definitions:
a) RCmarket.general i : as defined in Addendum II, but considering only the net exposure for
the group of products i;
b) RPsurplus i : the lowest percentage of reversal of financial surpluses observed among the
products that comprise group i;
c) PFSsurplus i : total provisions for financial surpluses set up for the products that comprise
group i;
d) AVsurplus i : added value of the assets corresponding to product group i, defined as the
difference between the economic value and the book value of those assets; and
e) PEsurplus i : the estimated percentage erosion of policyholders or participants over the next
3 (three) months for product group i.
147
ADDENDUM XXIII
BASE CAPITAL – Insurance Companies and Open Private Pension Entities
Art. 1o For Insurance companies or OPPE organized as stock companies, the base capital will
be the sum of the fixed portion corresponding to the authorization to operate insurance or
private pension funds with the variable portion for operation in each one of the regions of the
country, listed in the table in the present article.
§ 1o The base capital’s fixed portion corresponds to R$ 1,200,000 (one million, two hundred
thousand reais).
§ 2o The base capital’s variable portion will be determined by the region where the insurance
company or OPPE has been authorized to operate, following the table below:
Region States Variable Portion (in reais)
1 AM, PA, AC, RR, AP, RO 120,000
2 PI, MA, CE 120,000
3 PE, RN, PB, AL 180,000
4 SE, BA 180,000
5 GO, DF, TO, MT, MS 600,000
6 RJ, ES, MG 2,800,000
7 SP 8,800,000
8 PR, SC, RS 1,000,000
Table of Variable Portion by Region
§ 3º The base capital to operate in the whole country corresponds to R$ 15,000,000 (fifteen
million reais).
Art. 2o The base capital for non-profit OPPEO will be equal to zero.
148
ADDENDUM XXIV
BASE CAPITAL – Companies providing Capitalization plans
Art. 1o For companies providing capitalization plans, the base capital will be the sum of the
fixed portion corresponding to authorization to operate capitalizations with variable portions,
depending on the operation in each one of the regions of the country, listed in the table in the
present addendum.
§ 1o The base capital’s fixed portion corresponds to R$ 1,800,000 (one million, eight hundred
thousand reais).
§ 2o The base capital’s variable portion will be determined by the region where the company
providing capitalization plans has been authorized to operate, following the table below:
Region States Variable Portion (in reais)
1 AM, PA, AC, RR, AP, RO 180,000
2 PI, MA, CE 180,000
3 PE, RN, PB, AL 270,000
4 SE, BA 270,000
5 GO, DF, TO, MT, MS 900,000
6 RJ, ES, MG 2,700,000
7 SP 3,600,000
8 PR, SC, RS 900,000
Table of Variable Portion by Region
§ 3o The base capital to operate in the whole country corresponds to R$ 10,800,000 (ten
million, eight hundred thousand reais).
149
ADDENDUM XXV
CAPITAL BASE – Local Reinsurers
Art. 1: For local reinsurers, the capital base that must be maintained, at all times, is R$
60,000,000 (sixty million reais).
150
ADDENDUM XXVI
VENTURE CAPITAL COMPOSITION
Art. 1.º Venture capital for the supervised body will be constituted based on the following
formula:
+VCoper
1.º For the purposes of this addendum, the concepts will be considered to be as follows:
I - VC – Venture capital, in the way it is defined in this Resolution.
II – VCi e VCj – portions of the capital based on risks “i” e “j”, respectively.
III - i, j – element of line “i“ and column “j“ of the correlation matrix in § 3.º of this article.
IV – VCoper – portion corresponding to operational risk capital, defined in this Resolution.
§ 2.º In the calculation of risk capital, VCi e VCj will be replaced by:
I – VCund – portion corresponding to underwriting risk capital, in this Resolution.
II - VCcred – portion corresponding to credit risk capital, in this Resolution.
III – VCmark – portion corresponding to market risk capital, in this Resolution.
§ 3.º The correlation matrix used for calculating the risk capital will be determined based
on table 1:
j i CR und CR cred CR mark
CR subs 1.00 0.50 0.25
CR cred 0.50 1.00 0.25
CR merc 0.25 0.25 1.00
Table I – Correlation Matrix for Calculation of VC
151
Art 2.º The supervised bodies will be able to send their own methodology for verification of
risk capital portions, provided that the following minimum requirements are met:
I – all risk capital portions have to be paid up;
II – the confidence level cannot be under 99%; and
III – the methodology must embrace all risk capital portions and its correlations.
§ 1.º SUSEP can, at any moment, define additional requirements to be observed by the
supervised bodies during the elaboration of their own methodology.
§ 2.º The supervised bodies that elaborate their own methodology can use it only for capital
request assessment after its authorization by SUSEP.
152
ADDENDUM XXVII
Independent Actuarial Audit - Insurance Companies and Open Private Pension Entities
Art. 1.º The independent actuary will have to, aside from evaluating the consistency between
the information used by the insurance company or open private pension entity for the
elaboration of actuarial calculations and financial statements and information in the database
sent to SUSEP, apply the due tests to verify the need of additional documental analysis, with
the purpose of obtaining certainty about the data to be used in the execution of his/her
activities.
Art. 2.º The independent actuary will have to analyze the technical provisions of the insurance
company or open private pension entity, in order to verify if the criteria established by the
current regulation, in actuarial technical notes and in technical bases of the plans are being
observed, and if the guidelines published in SUSEP’s website are being followed.
§ 1.º Methodologies and premises used in the calculation of technical provisions estimated by
supervised bodies will have to be analyzed.
§ 2.º Regardless of the used methodology, consistency tests of the estimated technical
provisions will have to be performed and presented.
§ 3.º The analysis of insurance technical provisions must be performed for each class, and it
may be presented by class grouping, provided that there is technical justification.
§ 4.º The analysis of technical provisions of open private pensions will have to be performed
for each plan, and it may be presented by plan grouping, provided that there is technical
justification and that minimum criteria of separation between new plans and blocked plans are
observed.
§ 5.º Technical provisions gross and net of reinsurance must be analyzed.
Art. 3.º Without prejudice to other analysis the independent actuary may find necessary, aside
from what has been set forth in the previous article, the following procedures for the analysis
of technical provisions must be considered:
I – Provision for Unearned Premiums (PUEP):
a) verify if the criteria for establishment defined in the specific regulation are being observed,
including exchange variation adjustments;
b) verify if the methodology used for defining initial hiring costs is appropriate; and
c) verify if the establishment of Provision for Unearned Premiums (PUEP-RVNE) is appropriate,
by performing consistency tests.
II – Provision for Claims Reported But Not Yet Settled (RBNS):
a) verify if the establishment of provisions is appropriate, including the eventual IBNER
adjustments, by performing consistency tests;
b) verify if the amounts recorded as expectation of receipt of salvage and recovery are
appropriate, by performing consistency tests; and
153
c) present the analysis related to this provision by separating administrative from legal claims.
III – Provision for Claims Incurred But Not Yet Reported (IBNR):
a) verify if the establishment of the provision is appropriate, by performing consistency tests;
and
b) verify if the amounts recorded as expectation of receipt of salvage and recovery are
appropriate, by performing consistency tests.
IV – Mathematical Provision for Future Benefit Payments (PFBP) and Mathematical Provision
for Benefits Granted (PBG): verify if the establishment of provisions is appropriate;
V – Provision for Related Expenses (PRE), Provision for Technical Surpluses (PTS), Provision for
Financial Surpluses (PFS), Provision for Redemptions and other unsettled amounts (PRO) and
Other Technical Provisions (OTP): for each one of those provisions, verify if the established
amounts are appropriate to ensure the fulfilment of the assumed obligations; and
VI – Provision for Supplementary Coverage (PSC):
a) analyze the Liability Adequacy Test (LAT) corresponding to, at least, the base date of
December 31st, verifying if its elaboration followed the specific regulations;
b) verify if the provison’s balance corresponds to the amount calculated in the LAT; and
c) verify if the LAT adjustment, used for purposes of binding guaranteeing assets, is being
considered by observing the specific regulation.
Single paragraph. This article does not apply to estimated technical provisions which amounts
are defined exclusively by SUSEP, in accordance with specific regulation.
Art. 4o The independent actuary will have to verify if the amounts offered as assets that
reduce the need to cover technical provisions by guaranteeing assets are being used in
accordance with the specific regulations, and follow the guidelines published in SUSEP’s
website, considering the following aspects:
I – credit rights:
a) verify if these amounts refer to premiums receivable, not due, corresponding to risks to be
incurred;
b) verify if the premiums base used to calculate credit rights corresponds to PUEP’s premiums
base used for calculation;
c) analyze the appropriateness and consistency of the balance related to PUEP-RVNE’s credit
rights.
II – reducing legal deposits:
a) verify if these amounts refer to amounts directly related to technical provisions; and
154
b) analyze if these amounts are being counted twice with reducing reinsurance assets.
III – reducing deferred acquisition costs:
a) verify if these amounts refer to expenses directly related to the amount of commercial
premiums and if they were deferred in accordance with each risk’s validity; and
b) verify if these amounts are calculated exclusively based on expenses effectively settled.
IV – reducing reinsurance assets:
a) analyze these amounts by type of contract and by type of reinsurance asset;
b) analyze if the reinsurance assets that reduce PUEP and PUEP-RVNE are being calculated
based on effectively paid and adequately deferred premiums.
c) verify if reinsurance assets that reduce RBNS correspond exclusively to recovery of claims
not yet settled; and
d) analyze if the recorded assets are in accordance with rules established by reinsurance
contracts.
§ 1.º The independent actuary will have to verify if amounts offered as reducing coverage
needs were not counted twice, and if the sum of the reducing amounts is not superior to the
corresponding technical provision.
§ 2.º The independent actuary will have to assess, aside from assets that reduce the need to
cover Technical Provisions, the appropriateness of reinsurance assets and of reinsurer credits
recorded in the balance sheet.
Art. 5.º Regarding reinsurance operations, the independent actuary must verify the accordance
with:
I – the minimum percentage of obligatory contracts with local reinsurers;
II – the limits for intra-group reinsurance operations with companies based overseas;
III – the limits for reinsurance operations with eventual reinsurers;
IV – the limits for risk transfer.
Art. 6o The independent actuary will have to verify the appropriateness of the used retention
limits, when applicable.
§ 1o It must be verified if the maximum value of responsibility retained in each risk individually
is inferior or equal to the corresponding retention limit informed, and if the specific
regulations and guidelines published in SUSEP’s website are being observed.
§ 2o The independent actuary will have to assess the calculation methodology used for
defining retention limits.
Art. 7o Operations relative to classes whose technical provisions have specific regulation must
be analyzed separately, in accordance with the specific features of each kind of operation.
155
ADDENDUM XXVIII
Independent Actuarial Audit - Capitalization
Art. 1.º The independent actuary will have to, aside from assessing the consistency of
information used by the companies providing capitalization plans for the elaboration of
actuarial calculations and financial statements’ information and information in the database
sent to SUSEP, apply the due tests to verify the need of additional documental analysis, with
the purpose of obtaining certainty about the data to be used in the execution of his/her work.
Art. 2.º The independent actuary will have to analyze the technical provisions of the
companies providing capitalization plans, by verifying if the criteria established by the current
regulation, in the actuarial technical notes and in the technical bases of the plans are being
observed, following the guidelines published in SUSEP’s website.
Art. 3.º In addition to what has been set forth in the previous article, the technical provision
analysis has to considerate, at least, the following items:
I – Mathematical Provision for Capitalization (MPC): present cash flow and verify if the return
on the applications is sufficient to ensure updating and capitalization of the bonds sold;
II – Provision for Distribution of a Bonus (PDB): present cash flow;
III – Provision for Redemption (PR): present cash flow;
IV – Provision for Prize Draws (PPD): present cash flow and verify if the prize draw fund raising
is sufficient to ensure the undertaken commitments;
V – Supplementary Provision for Prize Draws (SPPD):
a) analyze methodology for calculation of provisions; and
b) verify if the established amounts are appropriate when a comparison between the expected
amount of prize draws that will occur and the amount of Provision for Prize Draws is made.
VI – Provision for Prize Draws Payable (PDP): present cash flow;
VII – Provision for Administrative Expenses (PAE):
a) analyze methodology for calculation of provisions; and
b) verifiy if established amounts are appropriate and can ensure coverage of the plans’
administrative expenses.
VIII – Other Technical Provisions (OTP): verify if the criteria of establishment defined in
regulations and/or in actuarial technical notes are being observed.
Single paragraph. The analysis of technical provisions can be performed by plan or by plan
grouping.
156
ADDENDUM XXIX
Independent Actuarial Audit - Reinsurance
Art. 1.º The independent actuary will have to, aside from evaluating the consistency
between the information used by the local reinsurer for the elaboration of actuarial
calculations and financial statements information and information in the database sent to
SUSEP, apply the due tests to verify the need of additional documental analysis, with the
purpose of obtaining certainty about the data to be used in the execution of his/her activities.
Art. 2.º The independent actuary will have to analyze the technical provisions of the
local insurer, in order to verify if the criteria established by the current regulations, in the
actuarial technical notes and in the technical bases of the plans are being observed, and if the
guidelines published in SUSEP’s website are being followed.
§ 1.º Methodologies and premises used in the calculation of technical provisions
estimated by local reinsurers will have to be analyzed.
§ 2.º Regardless of the used methodology, consistency tests of the estimated technical
provisions will have to be performed and presented.
§ 3.º The analysis of reinsurance technical provisions must be performed by group or,
provided that there is technical justification, by group set or business line.
§ 4.º Technical provisions gross and net of retrocession must be analyzed.
§ 5.º The analysis of technical provisions will be performed in accordance with the type of
reinsurance contract.
Art. 3.º Without prejudice to other analysis the independent actuary may find necessary, aside
from what has been set forth in the previous article, the following procedures for the analysis
of technical provisions must be considered:
I – Provision for Unearned Premiums (PUEP):
a) verify the appropriateness of the provision establishment;
b) analyze if the premises used in the calculation of the provision are appropriate;
c) analyze adjustments due to exchange variations;
d) verify if the establishment of the Provision for Unearned Premiums for ongoing and not
issued risks (PUEP-RVNE) is appropriate, by performing consistency tests.
II – Provision for Claims reported but not yet settled (RBNS):
a) verify if the establishment of the provision was appropriate, including eventual IBNER
adjustments, by performing consistency tests; and
b) present the analysis related to this provision by separating administrative from legal claims.
III – Provision for Claims incurred but not yet reported (IBNR): verify if the establishment of the
provision is appropriate, by performing consistency tests;
157
IV – Mathematical Provision for Future Benefit Payments (PFBP) and Mathematical Provision
for Benefits Granted (PBG): verify if the establishment of the provision is appropriate;
V – Provision for Related Expenses (PRE), Provision for Technical Surpluses (PTS), Provision for
Financial Surpluses (PFS) and Other Technical Provisions (OTP): for each one of the provisions,
verify if the amounts identified are appropriate in order to ensure the fulfilment of each of the
undertaken obligations; and
VI – Provision for Supplementary Coverage (PSC):
a) analyze the Liability Adequacy Test (LAT) referring to, at least, the base date of December
31st, verifying if it was elaborated according to the specific regulation;
b) verify if the balance of the provision corresponds to the amounts identified at TAP; and
c) verify if the TAP adjustment, used for binding guaranteeing assets, is being considered in
accordance with the specific regulation.
Art. 4.º The independent actuary will have to verify if the amounts offered as amounts that
reduce the need of technical provision coverage by guaranteeing assets are being used in
accordance with the specific regulations, and follow the guidelines published in SUSEP’s
website, considering, at least, the aspects below:
I – credit rights: verify if these amounts are appropriate;
II – reducing judicial deposits:
a) verify if these amounts refer to amounts directly related to technical provisions; and
b) analyze if these amounts are being counted twice with reducing retrocession assets.
III – reducing deferred acquisition costs:
a) verify if these amounts refer exclusively to brokerage expenses, and if they are deferred in
the same way as PUED; and
b) verify if these amounts are calculated based exclusively on expenses effectively paid up.
IV – reducing retrocession assets:
a) analyze these amounts by type of contract and type of retrocession asset;
b) analyze if the retrocession asses that reduce PUEP and PUEP-RNVE are being calculated
based on the premiums effectively paid up and deferred in an appropriate manner;
c) verify if the retrocession assets that reduce RBNS correspond exclusively to recovery of
losses not yet paid; e
d) analyze if the recorded assets follow the rules set up by retrocession contracts.
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§ 1o The independent actuary will have to verify if the amounts offered as reducing need of
coverage were not counted twice, and if the sum of the reducing amounts is not superior to
the corresponding technical provision.
§ 2o The independent actuary will have to assess , aside from retrocession assets that reduce
need of coverage of the technical provisions, if the retrocession assets and credits from the
retrocessionaire recorded in the balance sheet are appropriate.
Art. 5o Regarding retrocession operations, the independent actuary will have to verify the
compliance with:
I – limits for intra-group retrocession operations with companies based overseas;
II – limits for retrocession operations with eventual reinsurers, and;
III – risk transfer limits.
Art. 6o The independent actuary will have to verify if the retention limits used by the local
reinsurer are appropriate.
§ 1o It must be verified if the maximum value of responsibility retained in each risk separately
is inferior of equal to the corresponding retention limit informed, observing the specific
regulations and the guidelines published in SUSEP’s website.
§ 2o The independent actuary will have to assess the methodology of calculation used for
defining retention limits.