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Analysis of the disclosure level by Brazilian financial institutions following the Basel Capital Accord (Basel II)--a multiple case study/Analise do nivel de transparencia das instituicoes financeiras Brasileiras em relacao ao acordo com o Novo Acordo de Capitais (Basileia II)--um estudo de caso multiplo.

1. INTRODUCTION

Public disclosure and supervisory information that promote safety and soundness in banking systems. (Basel Committee, Enhancing Bank Transparency, 1998).

he bank activity, through its nature, implies the exposure of the financial institution to several types of risks, namely: credit; country and transparency; market; liquidity; operational; legal; and reputation. These factors require so much from the regulatory and supervisory bodies as well as from the institutions actions that aim at preserving the interests of several agents who interact with the financial system as a way of avoiding situations such as the situations of a number of financial institutions, from retail banks to insurance companies, which after recording multi-billion losses, were sold or went bankrupt in the last year as a result of the financial crisis, which originated in the United States and spread through Europe, especially. Therefore, the disclosure on the risks incurred and their management is fundamental for a more appropriate assessment of returns earned.

The discipline of the market constitutes one of the three fundamental pillars of the structure established in the New Capitals Accord (Basel II) by the Basel Bank Supervisory Committee, hereinafter referred to as "Committee. The logic of a New Capitals Accord, whose proposes has been discussed since 1999, is based on the need to build a structure with greater flexibility and sensitivity to risks, more adequate and adaptable to constant financial transformations and to the evolution of the practices of supervision and risk management. For the Committee, transparency is a key element for a financial system effectively supervised, safe and healthy. "The Committee strongly supports the concept of transparency. The Committee sees the increase of disclosure, the intensification of transparency and market discipline becoming an increasingly important tool and would encourage all member countries to adopt the recommendations contained in this document as soon as possible". (Basel Committee, 2000; p. 3)

Recent studies, conducted by Xavier (2003) and Goulart (2003), indicate that the level of disclosure of financial institutions in Brazil, if compared to the disclosure criteria recommended by the Bank for International Settlements (BIS), is incipient. Xavier (2003) emphasizes that, from the items researched, only 26% was disclosed by Brazilian banks, whereas international banks, analyzed in a research conducted by the Basel Committee disclosed 63% of these items. However, these studies do not reveal the possible reasons that would lead to the low adherence in relation to the BIS recommendations. In this context, this study proposes to analyze what the level of adherence of the disclosure practiced by the financial institutions is in relation to the recommendations of the Committee and how the financial institutions assess potential changes in the standard of disclosure practiced.

2. THEORETICAL REFERENTIAL ON DISCLOSURE

For Healy and Palepu, the demand for disclosure and for financial disclosure arises out of the existence of asymmetric information and of conflicts of interest among managers and investors.

"Corporate disclosure is essential for the operational of an efficient capitals market". (Healy and Palepu, 2001, page 1) Verrecchia (2001, p.1) emphasizes that there is no unified theory on disclosure. The author highlights that in the literature on disclosure there is no central paradigm, there is no well-integrated theory or a concept that gives rise to all subsequent researches. According to the author, the current literature on disclosure is characterized by an "eclectic, highly idiosyncratic group, of economic models, each trying to examine a small piece of the total puzzle of disclosure". The eclecticisms will be increased by the fact that disclosure is a subject that covers three different areas: accounting, finance and economics, and, therefore, acquires characteristics from all of these areas.

Notwithstanding, in this research, the vision proposed by Healy and Palepu (2001) will be adopted. It divides the theory on disclosure into the following topics:

--Regulation of disclosure and financial reporting;

--The role of auditors and intermediaries in the disclosure process;

--Factors that influence management decisions on disclosure;

--Consequences of disclosure decisions and disclosure.

For Healy and Palepu (2001), the empirical research on voluntary disclosure focus on the international role of financial reports for the capitals market. Such researches depart from the premise that, even in an efficient market, managers have superior information in relation to that provided to external investors regarding the future expected performance of the company. Authors argue that, if the accounts regulation and audit worked perfectly (i.e., guarantee ideal disclosure), external investors would be informed about the changes in the business of the company. On the other hand, if this regulation were imperfect, which would constitute the most probable possibility, managers would face the decision of balancing the level of disclosure adopted in relation to the capitals market for contractual, political or corporate governance reasons, and the superior knowledge held with respect to the company's performance.

3. BIS DISCLOSURE MODEL

In public consultations that preceded the publication of the final version of the New Accord, the Committee presented a vast set of recommendations and requirements in relation to the disclosure of information, both of a quality and quantitative nature. The large quantity generated concerns with respect to the possibility of ending up by confusing the market, instead of informing it on key aspects in relation to the financial institution. In the final version of the document "International Convergence of Capital Measurement and Capital Standards: a Revised Framework" published in June 2004, the quantity of information was significantly reduced. But, this information started to be considered essential to support the objective of Pillar III: facilitate market discipline. In this document, the Committee emphasizes that the logical foundation of Pillar III is sufficiently strong to ensure the introduction of disclosure requirements for the banks that use the structure proposed in the New Accord. Moreover, some of these disclosures will constitute qualification criteria for the use of internal methodologies or for recognition of transactions and instruments in particular.

The disclosure requirements are divided into three comprehensive categories of information: Scope of Application; Capital (structure and adjustment); and Exposure to Risks. Moreover, the Committee established a general principle of disclosure in which the institutions must have a formal policy of disclosure approved by the Board of Directors that deals with the information that will be disclosed, as well as that of internal controls on the disclosure process. The objective of the category "Scope of Application" is to provide the market participants with information that favor the assessment of how the recommendations of the new Accord apply to the structure of the group to which the financial institution belongs and how the other group entities are treated for purposes of adjustment of capital. The category "Capital" provides for the supply of information on the amount, components and characteristics of capital for regulatory purposes to the market participants. Moreover, it provides for the disclosure of information that permits to assess the capital of the institution. This information will permit to assess the capacity of the financial institution to absorb eventual losses resulting from its activities. The category "Exposure to Risk" must supply the market participants with the elements necessary to understanding of the risks inherent to the activities of the financial institution--credit risk, market risk, interest rate risk and operational risk--in addition to techniques used to identify, measure, monitor and control these risks. This category includes information related to operations that may alter the risk profile of the institution: mitigation of credit risk; and securitization of assets.

4. RESEARCH IN BRAZIL ON DISCLOSURE OF FINANCIAL INSTITUTIONS

In the study "Contribution to the Improvement of the Level of Transparency of Banks in Brazil", Andrezo (2000) conducted a critical analysis of COSIF in light of international models (IASC, SEC, BIS) with the objective of identifying which information a bank must disclose in Brazil to be able to better assess its performance and financial situation. He concludes that it is possible to expand the Brazilian rules on disclosure requirements on information to the public by the banks, so that the market itself can collaborate indirectly with the supervision performed by the Central Bank of Brazil. To this effect, it proposes the simplification of the Balance Sheet, greater detailing of the Statement of Result, presentation of average balances of the main accounts of assets and liabilities, segregation of assets and liabilities according to the incidence of interest (earnings or financial charges), qualitative information in connection with the criteria adopted for classification of credit at a certain risk level, rules of renegotiation of credits, concentrations and exposure to risk, etc).

In the study "Transparency of the Accounting Statements of Banks in Brazil: Case Study on the Perspective of the Accord "Basel 2", Xavier (2003) analyzed the transparency of the accounting statements of the principal Brazilian banks in light of the recommendations of the "Basel 2" Accord. The objectives of its research were, to: (i) specify the relationship existing between transparency of accounting statements and bank supervision and (ii) compare the degree of transparency of the accounting statements published by the main Brazilian banks and the disclosure criteria which shall be established by this agreement.

The author examined the statements of 10 Brazilian banks, selected by the representativeness of their assets, shareholders equity and net profit in the National Financial System. These banks were segregated considering the following criteria: with shares traded in the Stock Exchange and with shares traded in the stock exchange. According to the author, in Brazil, the banks disclose spontaneously items of little aggregate value. It highlights that the banks belonging to the group without shares traded in the stock exchange basically the information required by the regulation, whereas another group publishes an expressively superior quantity of data, however constituted by general data and not conclusive on the real situation of the companies. It emphasizes that international banks disclose, on average, more items considered qualitative, while Brazilian banks tend to disclose a greater number of quantitative items. It concludes the research as follows: "The disclosure of banks in Brazil is incipient, as only 26% of items researched were selected, near the minimum required by the Brazilian legislation in force, while international banks, analyzed in a research conducted by the Basel Committee disclosed 63% of items". However, the research highlights the existence of controversial questions that deserve deeper study: movement of the group of banks listed in Bovespa, which restricted the disclosure of information of 2001 to 2002 and the movement of the group of banks not listed, which increased disclosure of information. In the study "Account Evidencing of Market Risk by Financial Institutions in Brazil", Goulart (2003) analyzed the degree of evidencing in connection with the issues related to market risk by financial institutions with performance in Brazil considering as a parameter the recommendations of evidencing of the Basel Bank Supervision Committee.

The author examined the statements, in the period 1997 to 2002, of 4 Brazilian banks: Banco do Brasil, Bradesco, Itau and Unibanco, in addition to 1 bank of foreign origin: Banco Santander Banespa, which constituted the set of banks, in the domestic market, with more advanced practices of evidencing in the area of market risk. The author highlights the excessive use of statistical and visual resources in certain annual reports to the detriment of the informative content, which is not in line with the objective of effectiveness of the accounting evidence (provision of useful information for decision-making). The disclosure of information without a standard format is considered a factor that compromises or at least hinders comparisons among different institutions.

It concludes that the bank evidencing in the domestic market, despite showing indicators of evolution in the area of market risks still presents an incipient level when compared to the practices of evidencing of institutions of the international financial system. It identifies the need for improvement of the level of bank evidencing in Brazil. Moreover, it points out as an object of future investigation the more detailed and accurate identification of the reasons that lead the financial institutions to superior practices of evidencing to the legally required ones.

5. RESEARCH METHODOLOGY

5.1. Nature of the Research

Having in view that this study intends to analyze the level of transparency of the financial institutions in relation to the new capitals accord (Basel II), the research can be classified as analytical or explanatory, as it intends to analyze and explain how or why the facts are happening and, with respect to media, the research is qualitative, as, in addition to examining, it intends to cause to reflect on the data evidenced (Collis and Hussey, 2005). With respect to typology, it is a multiple case study as it intends to make comparisons between the different cases, as describes Yin (1981) and Roesch (2005). Regarding the collection of data, these will be obtained through the examination of documents and interviews on which the content analysis will be made.

5.2 Selection Criteria and Collection and Analysis of Data

In 2006, the selection of institutions took as a basis the differentiated levels of corporate governance implemented by BOVESPA, namely: Level 1; Level 2 and Novo Mercado. Nossa Caixa and Banco do Brasil were the only financial institutions listed in Novo Mercado. Bradesco and Unibanco, in addition to Itau, constituted the three financial institutions listed in Level 1. In Level 2, there were no financial institutions listed. Notwithstanding, for reasons of accessibility, the following financial institutions were selected to compose the research: Nossa Caixa, Bradesco and Unibanco.

Initially, the collection of data was made based on periodical reports provided by the financial institutions aimed at analyzing the evolution of the disclosure level practiced selected in the period of 2001 to 2005, having in view the regulation in force at the time. Moreover, the current standards of disclosure of the institutions selected were compared with the recommendations of the Committee on Transparency and Market Discipline.

A field research was conducted, between February and April 2006 through semi-structured interviews with key persons of selected institutions, accredited to answer the questions, with the objective of obtaining data and information that permitted to analyze the determining factors of the disclosure decisions by the financial institutions in the period analyzed, as well as the expectations with respect to adoption of superior disclosure standards, having in view the recommendations made by the Committee and by the Central Bank of Brazil in connection with the implementation of Pillars II and III for all the institutions of the National Financial System.

In the course of analysis of the cases, having in view the requirements of confidentiality by the answering financial institutions, disclosure conditions will not be identified by institution. Considerations will be made of the state of disclosure without mentioning each specifically.

Additionally a set of data was collected in connection with the fiscal years 2006 and 2007, which would permit a more updated view of the adherence level of the information disclosed by the selected financial institutions, per category of disclosure.

6. RESULT OF THE RESEARCH IN CONNECTION WITH ADHERENCE TO THE NEW ACCORD

In this topic, the results obtained from analysis of the information presented by the financial institutions selected, in a consolidated manner, in the fiscal years 2004 and 2005, in relation to the research conducted by the Committee on Transparency (Public Disclosures by Banks: Results of the 2001 Disclosure Survey) and to the recommendations of the Committees set forth of Pillar III--Market Discipline (International Convergence on Capital Measurement and Standards: A Revised Structure--Pillar III). Additionally, information is presented in connection with fiscal years 2006 and 2007.

Initially, it should be highlighted the expectation in connection with the implementation of the New Capitals Accord by the financial institutions, represented in the Administration Report in the form of specific comments about the risk management and alignment to best international practices of risk management. One of the institutions emphasizes that it is conditions of complying with the guidelines of the New Accord in the schedule established by BACEN and, moreover, have as its objective comply with the qualification requirements for the use of advanced risk management model for purposes of verification of the regulatory capital, including for the management of the operational risk level, which represents one of the innovative points of the New Accord.

With respect to the research conducted by the Transparency Committee (Public Disclosures by Banks: Results of the 2001 Disclosure Survey), the Table 1 presents the average percentage of disclosure of the items researched in the reports by the financial institutions analyzed, in 2005 and 2004, which was 33% and 31%, respectively. For 2007 and 2006, the average percentage of disclosure was 35% and 32%. Even if the percentages obtained in the research performed by Xavier (2003) were superior, these percentages are far less than those raised in the research conducted by the Committee and performed with internationally active financial institutions (2001).

Even with respect to Table 1, the level of adherence of the disclosures of a qualitative nature, especially in the categories Securitization Activities, Internal Models for Market Risk and Credit Derivatives. The introduction of securitization operations as an instrument to obtain additional funding and use of credit derivatives for mitigation of risks in the Brazilian financial institutions, as well as the development of internal models of management of market risk can be considered as important factors in the evolution of this type of disclosure. Table 2 demonstrates the level of adherence of the information disclosed by the financial institutions selected by category of disclosure.

In the category of disclosure "Capital Structure", the evolution observed in the period 2004 to 2005 is due to the evidencing of new instruments of capture of resources by two financial institutions in 2005: perpetual bonus. The lack of a standard of disclosure of information with respect to the composition of the equity of reference of the institutions impairs its comparison and assessment. One of the institutions analyzed presents in an explanatory notice the information with respect to the formation of the reference equity by levels (level 1 and 2), as well as the impact of reduction in connection with the excess of tax credits established by regulation. The two other institutions presented only the aggregate value of the reference equity and one of them has also disclosed the existing margin in relation to the minimum equity required by the regulation.

The second category, which contemplates the adequacy of capital, did not present alterations in the disclosure performed by the institutions analyzed. It should be emphasized more objective information with respect to the equity of reference and the value of assets weighted by risk, known as the Basel Index or Solvability Index, and the equity value of reference, were evidenced by all the institutions. However, the same frequency is not observed when dealing with presenting more detailed information with respect to the exposure to risk of the assets of the balance sheet or to analysis of the alterations in the capital structure of the institution. Only one of the financial institutions disclosed information on the alterations occurred in the period of composition of the reference equity and of the assets weighted by risk, which permit to analyze the impacts on the Basel Index.

Notwithstanding the importance of the third category "Internal Models for Market Risk" for financial institutions, significant alterations were observed in the period analyzed. The three institutions disclosed in a specific explanatory note information on market risk management, especially the use of the Value at Risk ("V@R") model. However, the disclosure of parameters (trust level, holding period and observation period) employees in the internal model is still very limited, being restricted basically to the trust level of the model.

Two institutions presented quantitative information, not audited, only with respect to the aggregate "V@R" per risk factor (pre, foreign exchange coupon, TR, income variable, etc) at the end of the period, but they did not disclose information on the minimum, average and maximum "V@R", during the period. Once again, the inexistence of standards of disclosure impairs comparison among the financial institutions: one of the institutions mentions having included in the calculation of the "V@R" of the current fiscal year positions held abroad, but the two institutions do not evidence objectively the portfolios covered by the internal model.

Information on procedures for validation of the internal model used, i.e., the use of techniques of backtesting was evidenced only by one of the institutions and, even then, concisely: "the methodology applied and the statistical models existing are validated daily using backtesting techniques". With respect to the performance of stress tests in the model, the three institutions mentioned that they perform simulations with stress scenarios in the internal model, but only one of them mentions that the results of these simulations are analyzed and used as support for operationalization of hedge policies.

The categories "Internal and External Rating", "Credit Risk Modeling " and "Quality of Assets" reflect basically compliance with the information requirements established in Resolution 2.682. Information on basic parameters considered in the internal process of risk rating was presented by two financial institutions in 2004 and by only one institution in 2005. With respect to the use of "credit scoring", two institutions mentioned its used in the decision process of concession of credit, but did not disclose more specific information involving this model.

With respect to the category "Securitization Activities", even if it did not present alterations in the period analyzed, certain considerations must be made. From 2003, two of the institutions analyzed used securitization operations as a way of obtaining additional resources for their transactions. However, only one of the institutions evidenced this information objectively in an explanatory note--the use of the term securitization--and highlighted its responsibility of redeeming the instruments issued in the case of default or termination of the transactions of the specific purpose entities (EPEs). Moreover, it presented information on the nature of the assets associated to the instruments issued, as well as the objectives of the institution with these transactions: "accords to optimize its funding and administration of liquidity activities through Specific Purpose Entities (EPEs)".

The category of disclosure "Credit Derivatives and Credit Enhancements" presented evolution in 2007, reflecting the performance of credit swaps by one of the financial institutions analyzed as a form of mitigation of credit risk. However, such transactions are not very diffused in Brazil.

With respect to the category "Derivatives", the percentages observed portray basically the information necessary to compliance with the information requirements established in Resolution No. 3.082 of BACEN, which covers the registration and accounting assessment of derivative financial instruments. The three institutions presented general information in connection with the objectives and policy of use of derivative financial instruments, in addition to the market value of these instruments. Two institutions presented including definitions with respect to the type of operations that could be characterized as derivative financial instruments: future contracts, swap contracts and option contracts.

From the eleven categories of disclosure, the category "Accounting and Presentation Policies" presents the highest level of adherence, but alterations were not observed in the period analyzed. This is because information with respect to the method of assessment of assets, the policy of recognition of revenues and the basis for determination of the time when the assets are considered due (with problems) compose part of the information usually presented in the explanatory note "Main Accounting Practices" or are presented in the explanatory note of credit transactions in compliance with Resolution 2.682.

In relation to the category "Other Risks", it is highlighted the evidencing practiced by the three institutions with respect to the existence of legal contingencies--presenting a brief description of the values provisioned by nature of the process (labor, civil and fiscal)--and the information on management of liquidity risk, but the latter are limited to general disclosures of the qualitative nature: concept of liquidity risk used in its management. Only one of the institutions presented, even if partially, the parameters used in the management of liquidity risk, related to the following items: composition of liquid assets, behavior of the variation of liquidity, minimum liquidity required, contingency plan, study of liquidity in the secondary market of public instruments, application of holding period of the liquidity of the institution and profile of behavior of deposits (ABC Curve). In relation to the operational risk, the institutions presented only conceptual definitions about this risk regarding the development of internal models for the management of this risk and the perspective of compliance with the orientations of the New Accord.

With respect to the recommendations of the Committee of Pillar III--Market Discipline (International Convergence of Measurement and Capital Standards: A Revised Structure--Pillar III), Table 3 presents the average percentage of the items researched of the financial institutions analyzed. In 2007 and 2005, the average disclosure percentage was 21% and 20%, respectively. It highlights, once again, the adherence level of the disclosures of a qualitative nature, especially in the categories Scope of Application and Capital.

Table 4 demonstrates the adherence level of the information disclosed by the financial institutions per category of disclosure. From the three categories, the category "Capital" is the one that presents the highest level of adherence, with average percentage of disclosure of 48% of items researched.

With respect to the subcategory Capital Structure, one should highlight the disclosure of items researched by, at least, two of the institutions selected, resulting in an average percentage of disclosure of 73%. In relation to the subcategory Capital Adjustment, it should be highlighted the disclosure of more detailed information in connection with the legal requirement of capital by nature of risk (credit, market, operational), it was not performed by any of the institutions analyzed. As mentioned previously, more objective information, such as the ratio between reference equity and value of assets weighted by risk and value of reference equity was evidenced by all institutions. The average percentage of disclosure in this subcategory was 28%.

In the category of disclosure "Scope of Application", the average percentage of disclosure was 33%, highlighting the evidencing by 100% of the institutions analyzed of two of the items of disclosure: information relative to the applicability of the accord structure (individual or consolidated) and information on the consolidation process. It should be highlighted that, today, the financial institutions may choose for the consolidated verification of the operational limits instead of individual verification. With respect to the category "Exposure to Risks", the average percentage was the lowest among the categories analyzed: 11% and 12%. From the nine subcategories presented in Table 5, only four were the purpose of disclosure, even if partial, by the financial institutions: "Credit Risk", "Securitization", "Mitigation of Credit Risk" and "Operational Risk". In the first, the adherence level reflects compliance with the requirements of information established in Resolution 2.682: general qualitative disclosure in connection with credit risk and criteria adopted for the characterization of credits due and for the provisioning of credits; exposures by sector, exposure by maturity; movement of provisions and segregation of specific provisions (minimum value according to Resolution 2.682) and general (added value established based on the experience of the Administration). With respect to subcategory "Securitization", only one of the institutions analyzed presented information which complied with two items, from the total of ten items, in connection with the objectives of the institution with the activity of securitization and outstanding exposures of these transactions, which is why the average percentage of disclosure was 7%. With respect to subcategory "Mitigation of Credit Risk", only one of the institutions analyzed presented in 2007 information, which complied, even if partially, one of the three items in connection with the instruments that mitigate credit risk.

With respect to the five subcategories of "Exposure to Risk", in which there was no disclosure by the financial institutions analyzed, such fact is due, partly, to the stage in which is found the implementation of a new capital structure (Basel II) by BACEN, as shall be commented below.

The use of the approach based on internal ratings (Internal Ratings Based--IRB) by the financial institutions for credit risk is contemplated in the Communication BACEN 12.746, of December 9, 2004, for bigger institutions. However, in the transition period, all the financial institutions shall adopt the simplified standard approach, which represents the current approach (1988 Accord) with the incorporation of enhancements associated to risk exposures, which explains the adherence observed in relation to the items of disclosure which deal with the IRB method.

In relation to the subcategories "Market Risk" and "Equity Participations", the absence of adherence in the disclosures performed by the institutions portrays the difference between the Amendment to the 1988 Accord, published in 1996, and its implementation by BACEN in the Brazilian financial market. Despite the requirement of capital to cover the market risk not being altered in the New Accord, the implementation of the new structure by BACEN, set forth in Communication 12.746, provides for the implementation of the current structure of verification of the capital requirements for coverage of this type of risk by including exposures in connection with commodities and shares, as well as permission for the use of internal systems (proprietary models) of risk management.

To this effect, BACEN has recently put in a public hearing Notice No. 26, until mid July 2006, drafts of rules to be submitted to the CMN, which contemplated the verification of the required net equity--PLE (or required reference equity--PRE) in connection with the exposures subject to commodity price variations (commodities), to the risk of transactions subject to share price variations and exposures subject to variation of the coupon of the US dollar and those of transactions with US dollar denominated instruments, in addition to revision of the portions of PLE in connection with: the exposures weighted by risk factor, which includes the use of instruments that mitigate risks; risk of exposures in gold, foreign currency; and exposures subject to the variation of prefixed interest rates denominated in reais.

With respect to subcategory "Operational Risk", the disclosures made by the institutions do not meet the information requirements established for this type of risk, being limited to conceptual definitions and general comments regarding the development of internal models for the management of this type of risk and compliance with the orientations of the New Accord, despite the provisions set forth in Resolution 3.380, of June 29, 2006. This Resolution contemplates the implementation of the operational risk management structure, including minimum activities to be performed by the structure implemented and the need to disclose the operational risk management structure in an explanatory note to the accounting statements.

Notwithstanding the perception of benefits with respect to the improvement of risk management practices and the intention of the institutions to adopt disclosure standards adherent to the New Accord (Basel II), the average disclosure percentage observed reflects the conservative position of the institutions in relation to disclosure, which intend to follow strictly the implementation schedule established by BACEN through Communication 12.746 and adjusted by Communication 16.137, by virtue of the uncertainties relating to the adjustments necessary to the characteristics of the legislation and of the Brazilian financial market.

7. CONCLUSION

The objective of this research is to investigate the determining factors of the disclosure adopted in the Annual Report by the Brazilian financial institutions in light of the recommendations of BIS on transparency and disclosure.

For the accomplishment of the objectives intended by the research, three financial institutions participating in one of the special listing segments of BOVESPA were identified (Level 1, Level 2 and New Market), which constituted the case study. The data necessary were obtained by analysis of the disclosure performed by these institutions in the Annual Report and by semi-structure interviews with executives of these institutions, which were analyzed in light of the literature on disclosure and recommendations of BIS on disclosure and transparency.

The analysis of the disclosure adopted in the Annual Report, in the period 2001 to 2005, permitted to observe an evolution in the disclosure of the information provided by the financial institutions analyzed in terms of number of explanatory notes and enhancement of the content presented, especially in the case of the institution which performed the first public offering of shares in the fiscal year 2005. However, with the exception of one of the institutions that takes the attitude of harmonizing the information disclosed in the Annual Report in Brazil with those disclosed abroad, and, consequently, discloses a larger quantity of information, the information disclosed by the other institutions comply basically with the disclosure requirements already contemplated in the regulation.

The adherence to the recommendations of the Committee was assessed by comparison between the disclosure by the financial institutions in the Annual Report and the recommendations of the Transparency Committee (Public Disclosures by Banks: Results of the 2001 Disclosure Survey) and Market Discipline (International Convergence of Measurement and Standards of Capital: A Revised Structure--Pillar III).

As a result of the first comparison, in the fiscal years of 2005 and 2004, the adherence observed was 33% and 31%, respectively. For 2007 and 2006, these percentages reached 35% and 32%. Even if superior to the percentages obtained in the research conducted by Xavier (2003), of 26% in 2002, such percentages are much beneath those raised in the research conducted by the Committee and performed with internationally active financial institutions, of 63% in 2001.

In relation to the second comparison, the adherence observed was even lower: 20% of items researched for the fiscal year of 2005 and 21% of items researched for the fiscal year 2007. It is highlighted the low adherence of the category "Risk Exposure", of 11% of items researched, in part, due to the fact that the use of the approach based on internal classifications (IRB) was contemplated in Communication 12.746, of December 9, 2004, only for larger institutions and, moreover, being subject to the use of the simplified standard approach--current approach with the incorporation of enhancements associated to risk--at a first moment.

With respect to the subcategory "Operational Risk", despite the absence of adherence verified in the disclosures made by the financial institutions, it is expected that the quality and quantity of information about the management of this type of risk will be increased, having in view the publication of Resolution 3,380, which covers the implementation of the operational risk management structure by financial institutions.

Notwithstanding the position that the regulation represents the minimum to be complied in terms of disclosure of information, the financial institutions showed a conservative attitude when questioned about the adoption of disclosure standards adherent to the recommendations of the Committee voluntarily (before implementation by BACEN). By assessing the potential changes in the standard of disclosure practiced, the institutions emphasized the need to closely assess, in Internal Committees, the information to be evidenced and wait for the implementation of a New Accord by BACEN by virtue of the adjustments to be made given the stage of development of the Brazilian market, in addition to the intention of following the schedule established by the regulatory and supervisory body.

Therefore, the events of transactions in the capitals market and proprietary costs configure determining factors of the level of disclosure practiced by the financial institution, in light of the theory on disclosure. In addition to the regulation applicable to financial institutions, important disclosure factors stand out: the role of external audit in assuring the quality of disclosure practiced; benchmark in relation to the information presented by other financial institutions and by strategic partners; and comments and questions presented by investors and market analysts in institutional presentations.

Finally, it is important to emphasize that transparency in disclosure of information by disclosure must be considered as a continuous process, an ideal to be reached, especially in financial institutions, in which exposure to risks is inherent to its transactions. The establishment of disclosure standards by the regulatory and supervisory body is fundamental to ensure disclosure by financial institutions of a group of essential information, especially in relation to the risks incurred, adequately, which will make it possible to compare the financial institutions among themselves and provide the conditions necessary to reach the objective intended in the New Accord, in connection with the control exercised by the market: market discipline.

Editor's note: This paper was accepted by Alexsandro Broedel Lopes.

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Elizabeth de Almeida Neves Di Beneditto ([dagger])

BNDES

Raimundo Nonato Sousa da Silva ([yen])

College of IBMEC Rio de Janeiro

Received in 05/16/2008; revised in 10/19/2008; accept in 04/12/2008.

Corresponding authors:

([dagger]) Manager of BNDES

Address: Rua Real Grandeza, no. 190, 503, Rio de Janeiro/RJ, 22281036.

e-mail: elne@uninet.com.br

Telephone: (21) 2286 7447

([yen]) Adjunct Professor III College IBMEC Rio de Janeiro

Address: Av. Presidente Wilson, 118 sala 1 117--Centro--Rio de janeiro--RJ 20.030-020

e-mail: nonato@ibmecrj.br

Telephone: (21) 4503 4124
Table 1--Average % of Disclosure by Nature

Nature of the Disclosure        2007    2006    2005    2004

Qualitative Disclosures         43%     40%     39%     38%
Quantitative Disclosures        32%     28%     30%     28%
Qualitative and Quantitative    28%     25%     31%     28%
  Disclosures
Average % of items disclosed    35%     32%     33%     31%

Nature of the Disclosure        2002    2001    2001_Bis

Qualitative Disclosures         24%     24%     67%
Quantitative Disclosures        29%     27%     61%
Qualitative and Quantitative    21%     19%     60%
  Disclosures
Average % of items disclosed    26%     25%     63%

Table 2--Average % of Disclosure per Category

Disclosure Category                    2007    2006    2005    2004

1. Capital Structure                   40%     38%     43%     38%
2. Capital Adjustment                  38%     38%     38%     38%
3. Internal Models for Market Risk     23%     19%     19%     19%
4. Internal and External Rating        42%     42%     33%     42%
5. Credit Risk Model                   33%     40%     33%     33%
6. Securitization Activities           17%     17%     17%     17%
7. Quality of Assets                   41%     38%     38%     38%
8. Credit Derivatives and              11%     0%      0%      0%
  "Credit Enhancements"
9. Derivatives                         33%     22%     33%     22%
10. Geographic and Business            47%     40%     47%     40%
  Diversification
11. Accounting and Presentation        57%     57%     57%     57%
  Policies
12. Other Risks                        47%     40%     40%     40%

Disclosure Category                    2002    2001    2001_Bis

1. Capital Structure                   39%     37%     81%
2. Capital Adjustment                  29%     29%     54%
3. Internal Models for Market Risk     16%     13%     68%
4. Internal and External Rating        25%     30%     46%
5. Credit Risk Model                   20%     20%     33%
6. Securitization Activities           1%      3%      45%
7. Quality of Assets                   31%     31%     61%
8. Credit Derivatives and              0%      0%      35%
  "Credit Enhancements"
9. Derivatives                         34%     29%     62%
10. Geographic and Business            31%     28%     65%
  Diversification
11. Accounting and Presentation        59%     59%     84%
  Policies
12. Other Risks                        18%     16%     84%

Table 3--Average % of Disclosure by Nature

By Nature                   2007    2005    Qty. Items

Qualitative Disclosures     22%     20%     23
Quantitative Disclosures    20%     19%     40
% General Average           21%     20%     63

Table 4--Average % of Disclosure per Category

Per Category               2007    2005    Qty.
                                           Items

1. Scope of Application    33%     33%     6
2. Capital                 49%     48%     11
3. Exposure to Risks       12%     11%     46
% General Average          21%     20%     63

Table 5--Average % of Disclosure of Category Exposure to Risks

Risk Exposure                                   2007   2005    Qty.
                                                               Items

3.1 Credit Risk                                 54%    54%     8

3.2 Credit Risk: disclosures to portfolios      0%
subject to the standardized method and                 0%      2
weighting of supervision risk in IRB methods

3.3 Credit Risk : disclosures to portfolios     0%     0%      6
subject to the IRB method

3.4 Mitigation of Credit Risk (Disclosure       11%    0%      3
for Standard Approach, and IRB)

3.5 Securitization                              7%     7%      10

3.6 Market Risk                                 0%     0%      6

3.7 Operational Risk (Standardized Method)      11%    0%      3

3. 8 Equity Participations 0%                   0%     0%      6

3.9 Risk of Interest Rate in Bank               0%     0%      2
Registration

Average % of Category                           12%    11%     63


1. INTRODUCAO

Public disclosure and supervisory information that promote safety and soundness in banking systems. (Basel Committee, Enhancing Bank Transparency, 1998).

Atividade bancaria, por sua natureza, implica a exposicao da instituicao financeira a diversos tipos de riscos, a saber: de credito; pais e de transferencia; de mercado; de liquidez; operacional; legal; e de reputacao. Esses fatores exigem tanto de orgaos reguladores e supervisores como tambem das proprias instituicoes acoes que visem preservar os interesses de diversos agentes que interagem com o sistema financeiro como forma de evitar situacoes como a de uma serie de instituicoes financeiras, de bancos de varejo a seguradoras, que depois de registrarem perdas bilionarias, foram vendidos ou quebraram no ultimo ano, em decorrencia da crise financeira que se originou nos Estados Unidos e se alastrou pela Europa, principalmente. Posto isso, o disclosure sobre os riscos incorridos e a sua gestao e fundamental para uma avaliacao mais apropriada dos retornos auferidos.

A disciplina de mercado constitui um dos tres pilares fundamentais da estrutura estabelecida no Novo Acordo de Capitais (Basileia II) pelo Comite de Supervisao Bancaria da Basileia, doravante denominado "Comite. A logica de um Novo Acordo de Capitais, cuja proposta vem sendo discutida desde 1999, baseia-se na necessidade de construir uma estrutura com maior flexibilidade e sensibilidade aos riscos, mais adequada e adaptavel as constantes transformacoes financeiras e a evolucao das praticas de supervisao e gestao de riscos.

Para o Comite, a transparencia e um elemento chave para um sistema financeiro efetivamente supervisionado, seguro e saudavel. "O Comite apoia fortemente o conceito de transparencia. O Comite ve o aumento do disclosure, a intensificacao da transparencia e a disciplina de mercado se tornando uma ferramenta cada vez mais importante de supervisao e encorajaria a todos os paises membros a adotar as recomendacoes contidas nesse documento assim que possivel". (Basel Committee, 2000; p. 3)

Estudos recentes, realizados por Xavier (2003) e Goulart (2003), indicam que o nivel de disclosure das instituicoes financeiras no Brasil, se comparado com os criterios de divulgacao recomendados pelo Bank for International Settlements (BIS), e incipiente. Xavier (2003) ressalta que, dos itens pesquisados, apenas 26% foi divulgado pelos bancos brasileiros, ao passo que bancos internacionais, analisados em uma pesquisa conduzida pelo Comite da Basileia, divulgaram 63% desses itens. Porem, esses estudos nao revelam as possiveis razoes que levariam a baixa aderencia em relacao as recomendacoes do BIS.

Nesse contexto, o presente estudo pretende analisar qual e o nivel de aderencia do disclosure praticado pelas instituicoes financeiras em relacao as recomendacoes do Comite e como as instituicoes financeiras avaliam mudancas potenciais no padrao de disclosure praticado.

2. REFERENCIAL TEORICO SOBRE DISCLOSURE

Para Healy e Palepu, a demanda por disclosure e pela divulgacao financeira surge da existencia de informacao assimetrica e de conflitos de interesse entre gestores e investidores.

"O disclosure corporativo e essencial para o funcionamento de um mercado de capitais eficiente". (Healy e Palepu, 2001, p. 1)

Verrecchia (2001, p.1) ressalta que nao existe uma teoria unificada sobre o disclosure. O autor destaca que na literatura sobre disclosure nao ha um paradigma central, nao ha uma teoria bem integrada ou um conceito que origine todas as pesquisas subsequentes. Segundo o autor, a literatura atual sobre disclosure e caracterizada por "um conjunto ecletico, altamente idiossincratico, de modelos economicos, cada um tentando examinar uma pequena peca do quebra-cabecas total do disclosure". O ecletismo seria aumentado pelo fato de que o disclosure e um assunto que abrange tres areas distintas: contabilidade, financas e economia, e por isso adquire caracteristicas de todas essas areas.

Nao obstante, na presente pesquisa, sera adotada a visao proposta por Healy e Palepu (2001), que divide a teoria sobre disclosure nos seguintes topicos:

--Regulacao do disclosure e da divulgacao financeira (financial reporting);

--O papel dos auditores e intermediarios no processo de disclosure;

--Fatores que influenciam as decisoes gerenciais de disclosure;

--Consequencias das decisoes de divulgacao e disclosure.

Para Healy e Palepu (2001), as pesquisas empiricas sobre disclosure voluntario focalizam o papel informacional dos relatorios financeiros para o mercado de capitais. Tais pesquisas partem da premissa de que, mesmo em um mercado eficiente, os gestores detem informacoes superiores em relacao as disponibilizadas aos investidores externos no que diz respeito ao desempenho futuro esperado para a empresa. Os autores argumentam que, caso a regulamentacao contabil e de auditoria funcionasse perfeitamente (ou seja, garantisse um disclosure ideal), os investidores externos seriam comunicados sobre mudancas nos negocios da empresa. Por outro lado, caso essa regulamentacao fosse imperfeita, constituindo a possibilidade mais provavel, os gestores se defrontariam com a decisao de equilibrar o nivel disclosure adotado em relacao ao mercado de capitais por razoes contratuais, politicas ou de governanca corporativa e o conhecimento superior detido a respeito da performance da empresa.

3. MODELO DE DISCLOSURE DO BIS

Em consultas publicas que antecederam a edicao da versao final do Novo Acordo, o Comite apresentou um vasto conjunto de recomendacoes e de exigencias em relacao a divulgacao de informacoes, tanto de natureza qualitativa quanto quantitativa. A grande quantidade de informacoes gerou preocupacoes quanto a possibilidade de acabar por confundir o mercado, em vez que informa-lo sobre aspectos chave referentes a instituicao financeira. Na versao final do documento "International Convergence of Capital Measurement and Capital Standards: a Revised Framework" publicado em junho de 2004, a quantidade de informacoes se reduziu significativamente. Porem, essas informacoes passaram a ser consideradas essenciais para sustentar o objetivo do Pilar III: facilitar a disciplina de mercado. Nesse documento, o Comite ressalta que o fundamento logico do Pilar III e suficientemente forte para assegurar a introducao de exigencias de divulgacao para os bancos que utilizem a estrutura proposta no Novo Acordo. Ademais, algumas dessas divulgacoes constituirao criterios de qualificacao para o uso de metodologias internas ou para o reconhecimento de transacoes e instrumentos em particular.

As exigencias de divulgacao se dividem em tres abrangentes categorias de informacao: Escopo de Aplicacao; Capital (estrutura e adequacao); e Exposicao a Riscos. Alem disso, o Comite estabeleceu um principio geral de divulgacao em que as instituicoes devem ter uma politica formal de divulgacao aprovada pelo Conselho de Administracao que trate das informacoes que serao divulgadas, assim como dos controles internos sobre o processo de divulgacao. A categoria "Escopo de Aplicacao" tem como objetivo prover aos participantes de mercado informacoes que propiciem a avaliacao de como as recomendacoes do Novo Acordo se aplicam a estrutura do grupo a que pertence a instituicao financeira e como as outras entidades do grupo sao tratadas para fins de adequacao de capital. A categoria "Capital" preve o fornecimento de informacoes sobre o montante, componentes e caracteristicas do capital para fins regulatorios aos participantes de mercado. Alem disso, preve a divulgacao de informacoes que permitam avaliar a adequacao de capital da instituicao. Essas informacoes permitirao avaliar a capacidade da instituicao financeira de absorver eventuais perdas decorrentes de suas atividades. A categoria "Exposicao ao Risco" deve fornecer aos participantes do mercado os elementos necessarios a compreensao dos riscos inerentes as atividades da instituicao financeira--risco de credito, risco de mercado, risco de taxa de juros e risco operacional--alem das tecnicas utilizadas para identificar, mensurar, monitorar e controlar esses riscos. Incluem-se nessa categoria as informacoes relativas a operacoes que podem alterar o perfil de risco da instituicao: mitigacao do risco de credito; e securitizacao de ativos.

4. PESQUISAS NO BRASIL SOBRE DISCLOSURE DE INSTITUICOES FINANCEIRAS

No estudo "Contribuicao a Melhoria do Nivel de Transparencia dos Bancos no Brasil", Andrezo (2000) realizou uma analise critica do COSIF a luz de modelos internacionais (IASC, SEC, BIS) com o objetivo de identificar quais informacoes um banco deve divulgar no Brasil a fim de que se possa melhor avaliar seu desempenho e sua situacao financeira. Conclui que e possivel ampliar as regras brasileiras sobre exigencias de divulgacao de informacoes ao publico por parte dos bancos, a fim de que o proprio mercado possa colaborar indiretamente com a supervisao realizada pelo Banco Central. Nesse sentido, propoe a simplificacao do Balanco Patrimonial, o detalhamento maior da Demonstracao de Resultado, apresentacao de saldos medios das principais contas de ativos e passivos, segregacao dos ativos e passivos conforme a incidencia de juros (rendimento ou encargo financeiro), informacoes qualitativas quanto aos criterios adotados para a classificacao de operacoes de credito em determinado nivel de risco, regras de renegociacao de creditos, concentracoes e exposicoes a riscos, etc).

No estudo "Transparencia das Demonstracoes Contabeis dos Bancos no Brasil: Estudo de Caso sob a Perspectiva do Acordo "Basileia 2", Xavier (2003) analisou a transparencia das demonstracoes contabeis dos principais bancos brasileiros sob a luz das recomendacoes do Acordo "Basileia 2". Os objetivos da sua pesquisa foram: (i) explicitar a relacao existente entre transparencia das demonstracoes contabeis e a supervisao bancaria e (ii) comparar o grau de transparencia das demonstracoes contabeis publicadas pelos principais bancos brasileiros com os criterios de divulgacao que deverao ser estabelecidos por este acordo.

O autor examinou as demonstracoes de 10 bancos brasileiros, selecionados pela representatividade de seus ativos, patrimonio liquido e lucro liquido no Sistema Financeiro Nacional. Esses bancos foram segregados considerando o seguinte criterio: com acoes negociadas na bolsa de valores e sem acoes negociadas na bolsa de valores. Segundo o autor, no Brasil, os bancos divulgam espontaneamente itens de pouco valor agregado. Destaca que os bancos pertencentes ao grupo sem acoes negociadas em bolsa divulgam, basicamente, as informacoes exigidas pela regulamentacao, ao passo que o outro grupo publica uma quantidade de dados expressivamente superior, porem constituida de dados gerais e nao conclusivos sobre a real situacao das empresas. Ressalta que os bancos internacionais divulgam, na media, mais itens considerados qualitativos, enquanto os bancos brasileiros tendem a divulgar mais itens quantitativos. Concluiu a pesquisa da seguinte forma: "A divulgacao dos bancos no Brasil e incipiente, uma vez que foram divulgados apenas 26% dos itens pesquisados, proximo ao minimo exigido pela legislacao brasileira em vigor, enquanto que os bancos internacionais, analisados em uma pesquisa conduzida pelo Comite da Basileia, divulgaram 63% dos itens". Porem, a pesquisa destaca a existencia de questoes controversas que merecem estudo mais aprofundado: movimento do grupo de bancos listado na Bovespa que restringiu a divulgacao de informacoes de 2001 para 2002 e o movimento do grupo de bancos nao listados que aumentou a divulgacao de informacoes.

No estudo "Evidenciacao Contabil do Risco de Mercado por Instituicoes Financeiras no Brasil", Goulart (2003) analisou o grau de evidenciacao quanto a questoes relativas ao risco de mercado pelas instituicoes financeiras com atuacao no Brasil considerando como parametro as recomendacoes de evidenciacao do Comite de Supervisao Bancaria da Basileia.

O autor examinou as demonstracoes, no periodo de 1997 a 2002, de 4 bancos brasileiros: Banco do Brasil, Bradesco, Itau e Unibanco, alem de 1 banco de origem estrangeira: Banco Santander Banespa, que constituiam o conjunto de bancos, no mercado domestico, com praticas mais avancadas de evidenciacao na area de risco de mercado. O autor destaca a utilizacao excessiva de recursos esteticos e visuais em alguns relatorios anuais em detrimento do conteudo informativo, o que nao condiz com o objetivo de eficacia da evidenciacao contabil (provisao de informacao util para a tomada de decisoes). A divulgacao de informacoes sem um formato padrao e considerado um fator que compromete ou pelo menos dificulta as comparacoes entre diferentes instituicoes.

Conclui que a evidenciacao bancaria no mercado domestico, apesar de mostrar indicadores de evolucao na area de riscos de mercado, ainda apresenta nivel incipiente de transparencia quando comparado com as praticas de evidenciacao de instituicoes do sistema financeiro internacional.

Identifica a necessidade de melhoria do nivel de evidenciacao bancaria brasileira. Alem disso, aponta como objeto de investigacao futura a identificacao mais detalhada e precisa das razoes que levam as instituicoes financeiras a praticas de evidenciacao superiores as legalmente demandadas.

5. METODOLOGIA DA PESQUISA

5.1. Natureza da Pesquisa

Tendo em vista que o presente estudo pretende analisar o nivel de transparencia das instituicoes financeiras em relacao ao novo acordo de capitais (Basileia II), a pesquisa pode ser classificada como analitica ou explanatoria, pois pretende analisar e explicar como ou por que os fatos estao acontecendo e, quanto aos meios, a pesquisa e qualitativa, pois alem de examinar pretende fazer uma reflexao sobre os dados evidenciados (Collis e Hussey, 2005). Quanto a tipologia e um estudo de caso multiplo pois pretende fazer comparacoes entre diferentes casos, conforme descrevem Yin (1981) e Roesch (2005). No tocante a coleta de dados estes serao obtidos atraves de exame de documentos e entrevistas sobre os quais sera feita analise de conteudo.

5.2 Criterios de Selecao e Coleta e Analise de dados

Em 2006, a selecao das instituicoes tomou como base os niveis diferenciados de governanca corporativa implantados pela BOVESPA, a saber: Nivel 1; Nivel 2 e Novo Mercado. A Nossa caixa e o Banco do Brasil eram as unicas instituicoes financeiras listadas no Novo Mercado. O Bradesco e o Unibanco, alem do Itau, constituiam as tres instituicoes financeiras listadas no Nivel 1. No Nivel 2, nao haviam instituicoes financeiras listadas. Nao obstante, por razoes de acessibilidade, foram selecionadas as seguintes instituicoes financeiras para compor a pesquisa: Nossa Caixa, Bradesco e Unibanco.

Inicialmente a coleta de dados foi feita com base em relatorios periodicos disponibilizados pelas instituicoes financeiras visando analisar a evolucao do nivel de disclosure praticado selecionadas no periodo de 2001 a 2005, tendo em vista a regulamentacao vigente a epoca. Alem disso, foram comparados os padroes de disclosure atuais das instituicoes selecionadas com as recomendacoes do Comite sobre Transparencia e Disciplina de Mercado.

Foi feita uma pesquisa de campo, entre fevereiro e abril de 2006 atraves de entrevistas semi-estruturadas com pessoas chave das instituicoes selecionadas, credenciadas para responder as questoes, com o objetivo de obter dados e informacoes que permitissem analisar os fatores determinantes das decisoes de disclosure pelas instituicoes financeiras no periodo analisado, bem como as expectativas quanto a adocao de padroes de disclosure superiores, tendo em vista as recomendacoes efetuadas pelo Comite e o Comunicado do Banco Central do Brasil quanto a implementacao dos Pilares II e III para todas as instituicoes do Sistema Financeiro Nacional.

No decorrer da analise dos casos, tendo em vista a exigencia de confidencialidade por parte das instituicoes financeiras respondentes, nao serao feitas identificacoes por instituicao de suas condicoes de disclosure. Serao feitas consideracoes do estado de disclosure das instituicoes sem mencionar especificamente cada uma.

Adicionalmente foi coletado um conjunto de dados relativos aos exercicios de 2006 e 2007 que permitiram uma visao mais atualizada do nivel de aderencia das informacoes divulgadas pelas instituicoes financeiras selecionadas, por categoria de divulgacao.

6. RESULTADO DA PESQUISA QUANTO A ADERENCIA AO NOVO ACORDO

Neste topico, sao apresentados os resultados obtidos a partir da analise das informacoes apresentadas pelas instituicoes financeiras selecionadas, de forma consolidada, nos exercicios de 2004 e 2005, em relacao a pesquisa conduzida pelo Comite sobre Transparencia (Public Disclosures by Banks: Results of the 2001 Disclosure Survey) e as recomendacoes do Comite constantes do Pilar III--Disciplina de Mercado (Convergencia Internacional de Mensuracao e Padroes de Capital: Uma Estrutura Revisada--Pilar III). Adicionalmente, sao apresentadas informacoes relativas aos exercicios de 2006 e 2007.

Inicialmente cabe destacar a expectativa quanto a implementacao do Novo Acordo de Capitais pelas instituicoes financeiras, representada no Relatorio de Administracao sob a forma de comentarios especificos a respeito da gestao de riscos e o alinhamento as melhores praticas internacionais de gestao de riscos. Uma das instituicoes ressalta estar em condicoes de atender as orientacoes do Novo Acordo no cronograma estabelecido pelo BACEN e, ainda, ter como objetivo atender aos requisitos de qualificacao para o uso de modelos avancados de gestao de riscos para fins de apuracao do capital regulatorio, inclusive para a gestao do risco operacional, que representa um dos pontos inovadores do Novo Acordo.

Quanto a pesquisa conduzida pelo Comite sobre Transparencia (Public Disclosures by Banks: Results of the 2001 Disclosure Survey), a Tabela 1 apresenta o percentual medio de divulgacao dos itens pesquisados nos relatorios das instituicoes financeiras analisadas, em 2005 e 2004, que foi de 33% e 31%, respectivamente. Para 2007 e 2006, o percentual medio de divulgacao foi de 35% e 32%. Ainda que superiores aos percentuais obtidos na pesquisa realizada por Xavier (2003), esses percentuais estao muito aquem daqueles levantados na pesquisa conduzida pelo Comite e realizada com instituicoes financeiras internacionalmente ativas (2001).

Ainda com relacao a Tabela 1 destaca-se o nivel de aderencia das divulgacoes de natureza qualitativa, especialmente nas categorias Atividades de Securitizacao, Modelos Internos para Risco de Mercado e Derivativos de Credito. A introducao de operacoes de securitizacao como instrumento para obtencao de funding adicional e a utilizacao de derivativos de credito para mitigacao de riscos nas instituicoes financeiras brasileiras, bem como o desenvolvimento dos modelos internos para gestao do risco de mercado podem ser considerados fatores importantes na evolucao observada desse tipo de divulgacao. A Tabela 2 demonstra o nivel de aderencia das informacoes divulgadas pelas instituicoes financeiras selecionadas por categoria de divulgacao.

Na categoria de divulgacao "Estrutura de Capital", a evolucao observada no periodo de 2004 para 2005 se deve a evidenciacao de novos instrumentos de captacao de recursos por duas instituicoes financeiras em 2005: bonus perpetuo. A falta de um padrao de divulgacao de informacoes quanto a composicao do patrimonio de referencia das instituicoes prejudica a sua comparacao e avaliacao. Uma das instituicoes analisadas apresenta em nota explicativa a informacao quanto a formacao do patrimonio de referencia por niveis (nivel 1 e 2), bem como o impacto da reducao referente ao excesso de creditos tributarios estabelecida pela regulamentacao. As duas outras instituicoes apresentaram apenas o valor global do patrimonio de referencia, e uma delas divulgou tambem a margem existente em relacao ao patrimonio minimo exigido pela regulamentacao.

A segunda categoria, que trata da adequacao de capital, nao apresentou alteracoes na divulgacao realizada pelas instituicoes analisadas. Cabe destacar que informacoes mais objetivas como a relacao entre o patrimonio de referencia e valor dos ativos ponderados pelo risco, conhecido como Indice de Basileia ou Indice de Solvabilidade, e o valor do patrimonio de referencia, foram evidenciadas por todas as instituicoes. Porem, a mesma frequencia nao e observada quando se trata de apresentar informacoes mais detalhadas quanto a exposicao a risco dos ativos do balanco ou a analise das alteracoes na estrutura de capital da instituicao. Apenas uma das instituicoes financeiras divulgou informacoes sobre as alteracoes ocorridas no periodo na composicao do patrimonio de referencia e dos ativos ponderados pelo risco que permitam analisar os impactos sobre o Indice de Basileia.

Nao obstante a importancia da terceira categoria "Modelos Internos Para Risco de Mercado" para as instituicoes financeiras, nao foram observadas alteracoes significativas no periodo analisado. As tres instituicoes divulgaram em nota explicativa especifica informacoes sobre o gerenciamento do risco de mercado, especialmente o uso do modelo Value at Risk ("V@R"). Porem, a divulgacao de parametros (nivel de confianca, holding period e observation period) empregados no modelo interno ainda e muito limitada, restringindo-se basicamente ao nivel de confianca do modelo.

Duas instituicoes apresentaram informacoes quantitativas, nao auditadas, apenas quanto "V@R" global por fator de risco (pre, cupom cambial, TR, renda variavel, etc) ao final do periodo, porem nao divulgaram informacoes sobre o "V@R" minimo, medio e maximo ao longo do periodo. Mais uma vez, a inexistencia de padroes de divulgacao prejudica a comparacao entre as instituicoes financeiras: uma das instituicoes menciona ter incluido no calculo do "VaR" do exercicio corrente posicoes detidas no exterior, porem as duas instituicoes nao evidenciam objetivamente as carteiras cobertas pelo modelo interno.

Informacoes sobre procedimentos para validacao do modelo interno empregado, ou seja, o uso tecnicas de backtesting foi evidenciado apenas por uma das instituicoes e, ainda assim, de forma concisa: "a metodologia aplicada, e os modelos estatisticos existentes, sao validados diariamente utilizando-se tecnicas de backtesting". Quanto a realizacao de testes de stress no modelo, as tres instituicoes mencionaram que executam simulacoes com cenarios de stress no modelo interno, porem apenas uma delas menciona que os resultados dessas simulacoes sao analisados e utilizados como suporte para operacionalizacao de politicas de hedge (protecao).

As categorias "Rating Interno e Externo", "Modelagem de Risco de Credito" e "Qualidade dos Ativos" refletem basicamente o atendimento aos requerimentos de informacao estabelecidos na Resolucao 2.682. Informacoes sobre parametros basicos considerados no processo interno de classificacao de risco (rating) foram apresentadas por duas instituicoes financeiras em 2004 e por apenas uma instituicao em 2005. Quanto a utilizacao de sistemas de "credit scoring", duas instituicoes mencionaram a sua utilizacao no processo decisorio de concessao de credito, porem nao divulgaram informacoes mais especificas envolvendo esse modelo.

Quanto a categoria "Atividades de Securitizacao", ainda que nao tenha apresentado alteracoes no periodo analisado, algumas consideracoes devem ser efetuadas. A partir de 2003, duas das instituicoes analisadas empregaram operacoes de securitizacao como forma de obter recursos adicionais para suas operacoes. No entanto, apenas uma das instituicoes evidenciou essa informacao de forma objetiva em nota explicativa--o uso do termo securitizacao--e destacou a sua responsabilidade de resgatar os titulos emitidos em caso de inadimplencia ou encerramento das operacoes das entidades de proposito especifico (EPEs). Alem disso, apresentou informacoes sobre a natureza dos ativos associados aos titulos emitidos, bem como os objetivos da instituicao com essas operacoes: "acordos para otimizar suas atividades de captacao e administracao de liquidez por meio de Entidades de Proposito Especifico (EPEs)".

A categoria de divulgacao "Derivativos de Credito e Credit Enhancements" apresentou evolucao em 2007, refletindo a realizacao de swaps de credito por uma das instituicoes financeiras analisadas como forma de mitigacao do risco de credito. Porem tais operacoes ainda estao pouco difundidas no Brasil.

Quanto a categoria "Derivativos", os percentuais observados retratam basicamente a divulgacao de informacoes necessarias ao atendimento dos requerimentos de informacao estabelecidos na Resolucao 3.082 do BACEN, que trata do registro e da avaliacao contabil de instrumentos financeiros derivativos. As tres instituicoes apresentaram informacoes gerais quanto aos objetivos e a politica de utilizacao de instrumentos financeiros derivativos, alem do valor de mercado desses instrumentos. Duas instituicoes apresentaram inclusive definicoes quanto aos tipos de operacoes caracterizaveis como instrumentos financeiros derivativos: contratos a termo e futuros, contratos de swap e contratos de opcoes.

Das onze categorias de divulgacao, a categoria "Politicas Contabeis e de Apresentacao" e a que apresenta o maior nivel de aderencia, porem nao foram observadas alteracoes no periodo analisado. Isso por que as informacoes quanto ao metodo de avaliacao de ativos, a politica de reconhecimento de receitas e a base para determinacao do momento em que os ativos sao considerados vencidos (com problemas) compoem parte das informacoes usualmente apresentadas na nota explicativa "Principais Praticas Contabeis" ou sao apresentadas na nota explicativa de operacoes de credito em atendimento a Resolucao 2.682.

Em relacao a categoria "Outros Riscos", destaca-se a evidenciacao praticada pelas tres instituicoes quanto a existencia de contingencias legais--apresentando breve descricao e valores provisionados por natureza de processo (trabalhista, civel e fiscal)--e as informacoes sobre o gerenciamento do risco de liquidez, porem essas ultimas se limitaram a divulgacoes gerais de natureza qualitativa: conceito do risco de liquidez e controles empregados na sua gestao. Apenas uma das instituicoes apresentou, ainda que parcialmente, os parametros empregados no gerenciamento do risco de liquidez, relacionando os seguintes itens: composicao dos ativos liquidos, comportamento da variacao de liquidez, liquidez minima requerida, plano de contingencia, estudo de liquidez no mercado secundario de titulos publicos, aplicacao do holding period da liquidez da instituicao e perfil do comportamento dos depositos (Curva ABC). Em relacao ao risco operacional, as instituicoes apresentaram apenas definicoes conceituais sobre esse risco e comentarios gerais no que diz respeito ao desenvolvimento de modelos internos para gestao desse risco e a perspectiva de atendimento as orientacoes do Novo Acordo.

Quanto as recomendacoes do Comite constantes do Pilar III--Disciplina de Mercado (Convergencia Internacional de Mensuracao e Padroes de Capital: Uma Estrutura Revisada--Pilar III), a Tabela 3 apresenta o percentual medio de divulgacao dos itens pesquisados nos relatorios das instituicoes financeiras analisadas. Em 2007 e 2005, o percentual medio de divulgacao foi de 21% e 20%, respectivamente. Destaca-se, mais uma vez, o nivel de aderencia das divulgacoes de natureza qualitativa, especialmente nas categorias Escopo de Aplicacao e Capital.

A Tabela 4 demonstra o nivel de aderencia das informacoes divulgadas pelas instituicoes financeiras por categoria de divulgacao. Das tres categorias de divulgacao, a categoria "Capital" e a que apresenta maior nivel de aderencia, com percentual medio de divulgacao de 48% dos itens pesquisados.

Quanto a subcategoria Estrutura de Capital, cabe destacar a divulgacao dos itens pesquisados por, no minimo, duas das instituicoes selecionadas, resultando em um percentual medio de divulgacao de 73%. Em relacao a subcategoria Adequacao de Capital, cabe ressaltar que a divulgacao de informacoes mais detalhadas quanto a exigencia de capital por natureza do risco (credito, mercado, operacional) nao foi realizada por qualquer das instituicoes analisadas. Como mencionado anteriormente, informacoes mais objetivas, como a relacao entre o patrimonio de referencia e valor dos ativos ponderados pelo risco e o valor do patrimonio de referencia, foram evidenciadas por todas as instituicoes. O percentual medio de divulgacao nessa subcategoria foi de 28%.

Na categoria de divulgacao "Escopo de Aplicacao", o percentual medio de divulgacao foi de 33%, destacando-se a evidenciacao por 100% das instituicoes analisadas de dois dos itens de divulgacao: informacoes relativas a aplicabilidade da estrutura do acordo (individual ou consolidado) e informacoes sobre o processo de consolidacao. Cabe destacar que, hoje, as instituicoes financeiras podem optar pela apuracao consolidada dos limites operacionais em vez da apuracao individual. Quanto a categoria "Exposicao a Riscos", o percentual medio de divulgacao foi o mais baixo dentre as categorias analisadas: 11% e 12%. Das nove subcategorias apresentadas na Tabela 5, apenas quatro constituiram objeto de divulgacao, ainda que parcial, pelas instituicoes financeiras: "Risco de Credito", "Securitizacao", "Mitigacao do Risco de Credito" e "Risco Operacional". Na primeira, o nivel de aderencia reflete basicamente o atendimento aos requerimentos de informacao estabelecidos na Resolucao 2.682: divulgacao qualitativa geral quanto ao risco de credito e criterios adotados para a caracterizacao de creditos vencidos e para o provisionamento de creditos; exposicoes por setor; exposicao por vencimento; movimentacao das provisoes e segregacao de provisoes especificas (valor minimo segundo a Resolucao 2.682) e gerais (valor adicional estabelecido com base na experiencia da Administracao). Quanto a subcategoria "Securitizacao", apenas uma das instituicoes analisadas apresentou informacoes que atendessem a dois itens, do total de dez itens, relativos aos objetivos da instituicao com a atividade de securitizacao e as exposicoes em aberto dessas operacoes, razao pela qual o percentual medio de divulgacao foi de 7%. Quanto a subcategoria "Mitigacao do Risco de Credito", apenas uma das instituicoes analisadas apresentou em 2007 informacoes que atendessem, ainda que parcialmente, a um dos tres itens relativos a instrumentos mitigadores de risco de credito.

Quanto as cinco subcategorias de "Exposicao a Riscos", em que nao houve divulgacao por parte das instituicoes financeiras analisadas, tal fato se deve, em parte, ao estagio em que se encontra a implementacao da nova estrutura de capital (Basileia II) pelo BACEN, como sera comentado a seguir.

O uso da abordagem baseada em classificacoes internas (Internal Ratings Based--IRB) pelas instituicoes financeiras para o risco de credito e previsto no Comunicado BACEN 12.746, de 9 de dezembro de 2004, para as instituicoes de maior porte. Porem, no periodo de transicao, todas as instituicoes financeiras deverao adotar a abordagem padrao simplificada, que representa a abordagem atual (Acordo de 1988) com a incorporacao de aprimoramentos associados as caracteristicas das exposicoes ao risco, o que explica a aderencia observada em relacao aos itens de divulgacao que tratam do metodo IRB.

Em relacao as subcategorias "Risco de Mercado" e "Participacoes Patrimoniais", a ausencia de aderencia nas divulgacoes realizadas pelas instituicoes retrata a diferenca existente entre a Emenda ao Acordo de 1988, publicada em 1996, e a sua implementacao pelo BACEN no mercado financeiro brasileiro. Apesar do requerimento de capital para cobertura do risco de mercado nao ter sido alterado no Novo Acordo, a implementacao da nova estrutura pelo BACEN, constante do Comunicado 12.746, preve a complementacao da estrutura atual de apuracao da exigencia de capital para cobertura desse tipo risco mediante a inclusao das exposicoes relativas a commodities e acoes, bem como a permissao para o uso de sistemas internos (modelos proprietarios) de gestao de risco.

Nesse sentido, o BACEN colocou recentemente em audiencia publica o edital no. 26, ate meados de julho de 2006, minutas de normativos a serem submetidas ao CMN que tratam da apuracao do patrimonio liquido exigido--PLE (ou patrimonio de referencia exigido--PRE) referentes as exposicoes sujeitas a variacao do preco de mercadorias (commodities), ao risco das operacoes sujeitas a variacao do preco de acoes e as exposicoes sujeitas a variacao da taxa do cupom do dolar dos Estados Unidos e daquelas operacoes com titulos denominados em dolares dos Estados Unidos, alem da revisao das parcelas do PLE relativas: as exposicoes ponderadas por fator de risco, o que inclui o uso de instrumentos mitigadores de risco; risco das exposicoes em ouro, em moeda estrangeira e em operacoes sujeitas a variacao cambial; e as exposicoes sujeitas a variacao de taxas de juros prefixadas denominadas em real.

Quanto a subcategoria "Risco Operacional", as divulgacoes realizadas pelas instituicoes nao atendem aos requerimentos de informacao estabelecidos para esse tipo de risco, se limitando a definicoes conceituais e comentarios gerais no que diz respeito ao desenvolvimento de modelos internos para gestao desse tipo risco e atendimento as orientacoes do Novo Acordo, apesar das disposicoes constantes da Resolucao 3.380, de 29 de junho de 2006. Esta Resolucao trata da implementacao de estrutura de gerenciamento do risco operacional, incluindo atividades minimas a serem exercidas pela estrutura implementada e a necessidade de divulgacao da estrutura para gerenciamento do risco operacional em nota explicativa as demonstracoes contabeis

Nao obstante a percepcao dos beneficios quanto a melhoria das praticas de gestao de risco e a intencao das instituicoes em adotar padroes de disclosure aderentes ao Novo Acordo (Basileia II), o percentual medio de divulgacao observado reflete o posicionamento conservador das instituicoes em relacao ao disclosure, que pretendem seguir estritamente o cronograma de implementacao estabelecido pelo BACEN, por meio do Comunicado 12.746 e ajustado pelo Comunicado 16.137, em virtude das incertezas referentes as adaptacoes necessarias as caracteristicas da legislacao e do mercado financeiro brasileiro.

7. CONCLUSAO

A presente pesquisa teve por objetivo investigar os fatores determinantes do disclosure adotado no Relatorio Anual pelas instituicoes financeiras brasileiras a luz das recomendacoes do BIS sobre transparencia e disclosure.

Para a consecucao dos objetivos pretendidos pela pesquisa, foram identificadas tres instituicoes financeiras participantes de um dos segmentos especial de listagem da BOVESPA (Nivel 1, Nivel 2 e Novo Mercado) que constituiram o estudo de casos. Os dados necessarios para subsidiar a pesquisa foram obtidos por meio da analise do disclosure praticado por essas instituicoes no Relatorio Anual e por meio de entrevistas semi-estruturadas com executivos dessas instituicoes, os quais foram analisados a luz da literatura sobre disclosure e das recomendacoes do BIS sobre disclosure e transparencia.

A analise do disclosure adotado no Relatorio Anual, no periodo de 2001 a 2005, permitiu observar uma evolucao na divulgacao das informacoes prestadas pelas instituicoes financeiras analisadas, em termos de numero de notas explicativas e de aprimoramento do conteudo apresentado, especialmente no caso da instituicao que realizou a primeira oferta publica de acoes no exercicio de 2005. Porem, a excecao de uma das instituicoes que adota a postura de harmonizar as informacoes divulgadas no Relatorio Anual no Brasil com aquelas divulgadas no Exterior e, por conseguinte, divulga uma quantidade maior de informacoes, as informacoes divulgadas pelas demais instituicoes atendem basicamente a requerimentos de disclosure ja previstos na regulamentacao.

A aderencia as recomendacoes do Comite foi avaliada por meio da comparacao entre o disclosure adotado pelas instituicoes financeiras no Relatorio Anual e as recomendacoes do Comite sobre Transparencia (Public Disclosures by Banks: Results of the 2001 Disclosure Survey) e Disciplina de Mercado (Convergencia Internacional de Mensuracao e Padroes de Capital: Uma Estrutura Revisada--Pilar III).

Como resultado da primeira comparacao, nos exercicios de 2005 e 2004, a aderencia observada foi de 33% e 31%, respectivamente. Para 2007 e 2006, estes percentuais atingiram 35% e 32%. Ainda que superiores aos percentuais obtidos na pesquisa realizada por Xavier (2003), de 26% em 2002, tais percentuais estao muito aquem daqueles levantados na pesquisa conduzida pelo Comite e realizada com instituicoes financeiras internacionalmente ativas, de 63% em 2001.

Em relacao a segunda comparacao, a aderencia observada foi ainda menor: 20% dos itens pesquisados para o exercicio de 2005 e 21% dos itens pesquisados para o exercicio de 2007. Destaca-se a baixa aderencia da categoria "Exposicao a Riscos", de 11% dos itens pesquisados, em parte, devido ao fato de que o uso da abordagem baseada em classificacoes internas (IRB) estar prevista no Comunicado 12.746, de 9 de dezembro de 2004, apenas para as instituicoes de maior porte e, ainda assim, estar condicionado ao uso da abordagem padrao simplificada--abordagem atual com a incorporacao de aprimoramentos associados as caracteristicas das exposicoes ao risco--em um primeiro momento.

Quanto a subcategoria "Risco Operacional", apesar da ausencia de aderencia verificada nas divulgacoes realizadas pelas instituicoes financeiras, espera-se que a qualidade e a quantidade de informacoes a respeito do gerenciamento desse tipo de risco sejam incrementadas, tendo em vista a edicao da Resolucao 3.380, que trata da implementacao de estrutura de gerenciamento do risco operacional pelas instituicoes financeiras.

Nao obstante o posicionamento de que a regulamentacao representa o minimo a ser atendido em termos de divulgacao de informacoes, as instituicoes financeiras apresentaram uma postura conservadora quando questionadas a respeito da adocao de padroes de disclosure aderentes as recomendacoes do Comite de forma voluntaria (antes da implementacao pelo BACEN). Ao avaliar as mudancas potenciais no padrao de disclosure praticado, as instituicoes ressaltaram a necessidade de avaliar detidamente, em Comites internos, as informacoes a serem evidenciadas e de aguardar a implementacao do Novo Acordo pelo BACEN em virtude das adaptacoes a serem realizadas frente ao estagio de desenvolvimento do mercado brasileiro, alem da intencao de seguir o cronograma estabelecido pelo orgao regulador e supervisor.

Portanto, configuram fatores determinantes do nivel de disclosure praticado pelas instituicoes financeiras, a luz da teoria sobre disclosure, as hipoteses de transacoes no mercado de capitais e de custos proprietarios. Alem da regulamentacao aplicavel as instituicoes financeiras, destacam-se como fatores importantes de disclosure: o papel da auditoria externa em assegurar a qualidade da divulgacao praticada; benchmark em relacao as informacoes apresentadas por outras instituicoes financeiras e por parceiros estrategicos; e comentarios e duvidas apresentados por investidores e analistas de mercado em apresentacoes institucionais.

Finalmente, e importante ressaltar que a transparencia na divulgacao de informacoes por meio do disclosure deve ser considerada como um processo continuo, um ideal a ser alcancado, especialmente nas instituicoes financeiras, em que a exposicao a riscos e inerente as suas operacoes. O estabelecimento de padroes de disclosure pelo orgao regulador e supervisor e fundamental para assegurar a divulgacao pelas instituicoes financeiras de um conjunto de informacoes essenciais, principalmente em relacao aos riscos incorridos, na forma adequada, o que tornara possivel comparar as instituicoes financeiras entre si e propiciara as condicoes necessarias para alcancar o objetivo pretendido no Novo Acordo quanto ao controle exercido pelo mercado: a disciplina de mercado.

Nota do Editor: Este artigo foi aceito por Alexsandro Broedel Lopes.

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Elizabeth de Almeida Neves Di Beneditto ([dagger])

BNDES

Raimundo Nonato Sousa da Silva ([yen])

Faculdades IBMEC Rio de Janeiro

Recebido em 12/10/2007; revisado em 09/10/2008; aceito em 12/12/2008.

Correspondencia com autores:

([dagger]) Gerente do BNDES

Endereco: Rua Real Grandeza, no. 190, 503, Rio de Janeiro/RJ, 22281036.

e-mail: elne@uninet.com.br

Telefone: (21) 2286 7447

([yen]) Professor Adjunto III Faculdades IBMEC Rio de Janeiro

Endereco: Av. Presidente Wilson, 118 sala 1117--Centro--Rio de janeiro--RJ 20.030-020

e-mail: nonato@ibmecrj.br

Telefone: (21) 4503 4124
Tabela 1--% Medio de Divulgacao por Natureza

Natureza de Divulgacao         2007    2006    2005    2004

Divulgacoes Qualitativas       43%     40%     39%     38%
Divulgacoes Quantitativas      32%     28%     30%     28%
Divulgacoes Qualitativas e     28%     25%     31%     28%
  Quantitativas
% medio de itens divulgados    35%     32%     33%     31%

Natureza de Divulgacao         2002    2001    2001_Bis

Divulgacoes Qualitativas       24%     24%     67%
Divulgacoes Quantitativas      29%     27%     61%
Divulgacoes Qualitativas e     21%     19%     60%
  Quantitativas
% medio de itens divulgados    26%     25%     63%

Tabela 2--% Medio de Divulgacao por Categoria

Categoria de Divulgacao                2007    2006    2005    2004

1. Estrutura de Capital                40%     38%     43%     38%
2. Adequacao de Capital                38%     38%     38%     38%
3. Modelos Internos para Risco de      23%     19%     19%     19%
  Mercado
4. Rating Interno e Externo            42%     42%     33%     42%
5. Modelagem de Risco de Credito       33%     40%     33%     33%
6. Atividades de Securitizacao         17%     17%     17%     17%
7. Qualidade dos Ativos                41%     38%     38%     38%
8. Deriv. de Credito e "Credit         11%     0%      0%      0%
  Enhancements"
9. Derivativos                         33%     22%     33%     22%
10. Diversificacao Geografica e        47%     40%     47%     40%
  de Negocios
11. Politicas Contabeis e de           57%     57%     57%     57%
  Apresentacao
12. Outros Riscos                      47%     40%     40%     40%

Categoria de Divulgacao                2002    2001    2001_Bis

1. Estrutura de Capital                39%     37%     81%
2. Adequacao de Capital                29%     29%     54%
3. Modelos Internos para Risco de      16%     13%     68%
  Mercado
4. Rating Interno e Externo            25%     30%     46%
5. Modelagem de Risco de Credito       20%     20%     33%
6. Atividades de Securitizacao         1%      3%      45%
7. Qualidade dos Ativos                31%     31%     61%
8. Deriv. de Credito e "Credit         0%      0%      35%
  Enhancements"
9. Derivativos                         34%     29%     62%
10. Diversificacao Geografica e        31%     28%     65%
  de Negocios
11. Politicas Contabeis e de           59%     59%     84%
  Apresentacao
12. Outros Riscos                      18%     16%     84%

Tabela 3--% Medio de Divulgacao por Natureza

Por Natureza                 2007    2005    Qtd. Itens

Divulgacoes Qualitativas     22%     20%     23
Divulgacoes Quantitativas    20%     19%     40
% Medio Geral                21%     20%     63

Tabela 4--% Medio de Divulgacao por Categoria

Por Categoria             2007    2005    Qtd. Itens

1. Escopo de Aplicacao    33%     33%     6
2. Capital                49%     48%     11
3. Exposicao a Riscos     12%     11%     46
% Medio Geral             21%     20%     63

Tabela 5--% Medio de Divulgacao da Categoria Exposicao a Riscos

Exposicao a Riscos                              2007    2005    Qtd.
                                                                Itens

3.1 Risco de Credito                            54%     54%     8
3.2 Risco de Credito: divulgacoes para
  carteiras sujeitas ao metodo padronizado      0%      0%      2
  e ponderacoes de risco de supervisao nos
  metodos IRB
3.3 Risco de Credito: divulgacoes para          0%      0%      6
  carteiras sujeitas ao metodo de IRB
3.4 Mitigacao do Risco de Credito               11%     0%      3
  (Divulgacao para Abordagem Padrao e IRB)
3.5 Securitizacao                               7%      7%      10
3.6 Risco de Mercado                            0%      0%      6
3.7 Risco Operacional (Metodo Padronizado)      11%     0%      3
3.8 Participacoes Patrimoniais                  0%      0%      6
3.9 Risco de Taxa de Juros no Registro          0%      0%      2
  Bancario
% Medio da Categoria                            12%     11%     63
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