Circular Letter CVM/SIN 03/20

SECURITIES AND EXCHANGE COMMISSION OF BRAZIL
Rua Sete de Setembro, 111/2-5th and 23-34th Floors – Center – Rio de Janeiro - RJ – CEP: 20050-901 – Brazil Tel.: (21) 3554-8686 - www.cvm.gov.br

Circular Letter No. 3/2020/CVM/SIN
Rio de Janeiro, February 12, 2020

To Administrators of investment funds regulated by CVM Instruction No. 555 Subject: Information contained in the monthly profile of investment funds.

Dear Sirs,

This Circular Letter aims to guide administrators of investment funds regarding the completion of items 13, 14, and 15 of Annex 59 (Monthly Profile) of CVM Instruction No. 555, in order to clarify concepts, standardize criteria used for the calculation of data sent, and thereby improve its use for supervisory purposes by this technical area.

The aforementioned items determine the following:

13) What is the expected daily percentage variation for the fund's assets in the event of a negative 1% variation in the annual interest rate (pre-fixed)? Consider the last business day of the reference month.

14) What is the expected daily percentage variation for the fund's assets in the event of a negative 1% variation in the exchange rate (US$/Real)? Consider the last business day of the reference month.

15) What is the expected daily percentage variation for the fund's assets in the event of a negative 1% variation in stock prices (IBOVESPA)? Consider the last business day of the reference month.

Regarding item 14 of the Monthly Profile, we understand that the total expected effect, as a percentage of the fund's net assets, of a negative 1% variation in the exchange rate (US$/Real) on assets and derivatives whose main risk factor is the variation of the dollar or the currency swap, must be reported.

Similarly, in the calculation of item 15 of the Monthly Profile, the guidance is that the total expected effect, as a percentage of the fund's net assets, of a negative 1% variation in the Ibovespa on assets and derivatives whose main risk factor is the variation in the price of stocks traded on a stock exchange, be reported.

Finally, regarding item 13 of the Monthly Profile, the guidance to fund administrators is to report the total expected effect, as a percentage of the fund's net assets, of a parallel negative variation of 100 basis points across the entire interest rate term structure on assets and derivatives whose main risk factor is the variation of the nominal interest rate (pre-fixed) or the real interest rate (inflation swap). Thus, by way of example, in this item, both pre-fixed bonds (Tesouro Prefixado) and those indexed to inflation (Tesouro IPCA+) in the fund's portfolio will be impacted by the simulation.

Sincerely,

Digitally signed by
DANIEL WALTER MAEDA BERNARDO
Superintendent of Institutional Investor Relations