Circular Letter No. 2.564

CIRCULAR LETTER NO. 002564 ------------------------ Provides for the remittance of the information required by art. 30 of the Regulation Annex to Circular no. 2.594, of 21.07.95. The information relating to "balances of investments", as per item I of art. 30 of the Regulation in question, must be provided by the values representing the simple arithmetic average of the balances of each item specified below, calculated for the business days of the week and reported by the 4th (fourth) business day following the calculation period, or the next business day, in the case of that being a non-business day: I - Financial assets held in the fund's portfolio: a) securities issued by the National Treasury; b) securities issued by the Central Bank; c) securities issued by the States; d) securities issued by the Municipalities; e) CDB/RDB; f) debentures; g) mortgage notes; h) bills of exchange; i) gold; j) "warrants", commercial contracts for the purchase and sale of products, goods and/or services for future delivery or provision and securities or certificates representing such contracts; k) "export notes"; l) shares received as a result of the conversion of debentures; m) other financial assets and operational modalities, except operations with derivatives; II - repurchase operations. 2. The information relating to "positions held in derivative markets", as per item V of the Regulation in question, must be provided daily, in accordance with the following: I - in the case of futures and forward markets: a) algebraic sum of the differences, against and in favor of the fund's portfolio, calculated between the value of the contracts on the contracting date and the value of the contracts on the base date; b) total value corresponding to the collateral margins effectively required; II - in the case of the options market, including "box" operations, the algebraic sum of the differences, against and in favor of the fund's portfolio, calculated between the values of the premiums paid or received, as the case may be, and the values of said premiums on the base date; III - in the case of "swap" operations, the algebraic sum of the differences calculated in each contract held in the portfolio, on the base date. 3. The information in item 2 above, as well as that mentioned in items II, III and IV of art. 30 of the Regulation in question, may be provided with a lag of up to 3 (three) business days, except for that relating to the last business day of the calculation period of the deposits with the Central Bank, referred to in Circulars nos. 2.595 and 2.596, both of 21.07.95, which must be provided by the business day immediately preceding the date of constitution of those deposits. 4. Until a specific SISBACEN transaction to be used is disclosed, the administering institutions must provide said information to DEASF/DIAFI, via transaction PMSG750 (mail) of SISBACEN. Brasilia, 28 July 1995 Department of Special Studies and Monitoring of the Financial System Ronaldo Fonseca
de Paiva Head