BCB Resolution No. 46 — Methodology for Calculating and Disclosing the Selic Rate

Demab/Gabin-2003/115

RESOLUTION BCB NO. 46, OF NOVEMBER 24, 2020

Provides for the calculation methodology and disclosure of the Selic Rate.

The Collegiate Board of the Central Bank of Brazil, in a session held on November 24, 2020, using the competence described in Article 2 of Decree No. 3,088, of June 21, 1999, and having regard to the provisions of Article 1 of the Regulation Annexed to Circular No. 3,868, of December 19, 2017,

R E S O L V E:

Article 1. For the purposes of calculating the Selic Rate, the operations of purchase and sale of federal bonds with a commitment to resell assumed by the buyer conjugated with a commitment to repurchase assumed by the seller for settlement on the next business day, which have as counterparties:

I - two distinct participants of the Special Settlement and Custody System (SELIC); or

II - a participant and a client of a participant, provided that the counterparties have distinct liquidators in SELIC.

§ 1. Items I and II of the caput do not apply to operations settled through a central counterparty, which shall be considered for the purposes of calculating the Selic Rate.

§ 2. The universe referred to in the caput does not include committed operations:

I - forward;

II - with post-fixed rates;

III - registered on the same day they were carried out, but settled in SELIC or reported to this system after 6:30 PM or after 1:00 PM, on December 24, if a business day, and on the last business day of each year;

IV - registered on a date subsequent to that on which they were effectively carried out;

V - which aim for temporary access to specific titles, settled by the compensated results in the form of conjugated operations; and

VI - which aim to provide liquidity in the Instant Payment System.

§ 3. In operations with the involvement of an intermediary institution, all stages of the purchase and sale operation of federal bonds with a commitment to resell and repurchase are evaluated for the purposes of meeting the criteria established in this article.

Article 2. The Selic Rate, expressed in annual form, in percentage terms, considering the convention of 252 (two hundred and fifty-two) business days, with two decimal places, is calculated according to the following formula:

I - n corresponds to the number of operations that make up the calculation base;

II - Rj corresponds to the financial value of the repurchase/resale of the j-th committed operation; and

III - Ij corresponds to the financial value of the purchase/sale of the j-th committed operation.

§ 1. The calculation base referred to in this article corresponds to the universe of operations defined in Article 1, excluding:

I - committed operations with a daily factor (Rj/Ij) equal to or lower than 1 (one) or higher than 2 (two); and

II - 5% (five percent) of the financial value of the remaining repurchases/resales – and the corresponding purchases/sales that gave rise to them – observing the following cuts, based on the sample distribution of these operations:

a) if symmetric: a cut of 5% (five percent) of the value of repurchases/resales relative to operations with the highest and lowest daily factors, with 2.5% (two and five-tenths percent) of the cut applied to each of the extremes considered;

b) if positively asymmetric: a cut of 5% (five percent) of the value of repurchases/resales applied to operations with the highest daily factors; or

c) if negatively asymmetric: a cut of 5% (five percent) of the value of repurchases/resales applied to operations with the lowest daily factors.

§ 2. For the purposes of the provision in § 1, the First Pearson Coefficient of Asymmetry (SKp1) defines the distribution as:

I - symmetric if the modulus of SKp1 is less than or equal to 0.3 (three-tenths);

II - positively asymmetric if SKp1 is greater than +0.3 (three-tenths positive); and

III - negatively asymmetric if SKp1 is less than -0.3 (three-tenths negative).

Article 3. In the event that the calculation base for a given day, provided for in Article 2, cannot be determined, including due to the absence of data, or if the sum of the financial values of the repurchases and resales of the committed operations that make it up is less than 50% (fifty percent) of the corresponding simple arithmetic mean calculated in the 5 (five) previous business days, the Selic Rate is defined based on the following formula:

Selic Rate = Target for the Selic Rate + Residual Difference, in which:

I - Target for the Selic Rate corresponds to the target defined by the Monetary Policy Committee in effect on the reference date; and

II - Residual Difference corresponds to the simple arithmetic mean of the difference, calculated in the 5 (five) business days prior to the reference date, between the effective Selic Rate and its respective target.

Article 4. The Selic Rate will be calculated and disclosed on the reference day itself by 7:00 PM, except on December 24, if a business day, and on the last business day of each year, when it will be calculated and disclosed by 1:30 PM.

Article 5. The times established in item III of § 2 of Article 1 and in Article 4 may be altered, at the discretion of the Central Bank of Brazil, in the event of extraordinary facts, in which case the eventual alteration will be informed, on the same day, through a notice from SELIC to its participants.

Article 6. The Open Market Operations Department (Demab) is authorized to adopt the measures deemed necessary for the execution of the provisions of this Resolution.

Article 7. Circular No. 3,671, of October 18, 2013, is revoked.

Article 8. This Resolution enters into force on the date of its publication.

Bruno Serra Fernandes
Monetary Policy Director