Circular No. 2402 — Establishes procedures for the registration and operational limits of swap operations

CIRCULAR NO. 002402

Establishes procedures for the registration and operational limits of "swap" operations.

The Board of Directors of the Central Bank of Brazil, based on Art. 4, item XII, of Law No. 4,595, of December 31, 1964, by competence delegated by the National Monetary Council, and having in view the provisions of Resolution No. 2,042, of January 13, 1994,

D E C I D E D:

Art. 1 Establish the following procedures for the registration of "swap" operations:

I - the respective values must be accounted for in compensation accounts;

II - revenues and expenses must be recognized as effective, individualized by contract, in counterpart to their respective balance sheet accounts, observing the procedures for monthly appropriation of results.

Paragraph 1 Offsetting of amounts receivable with amounts payable, revenues with expenses, as well as values of contracts of any nature, relating to the operations in question, is not permitted.

Paragraph 2 In the calculation of monthly results, adjustment of previously registered values is permitted, provided that they are within the same semester and relate to the same contract.

Art. 2 For the purpose of verifying compliance with the operational limits provided for in the current regulation to which institutions authorized to operate by the Central Bank are subject, the following must be computed:

I - in the risk diversification limit, the amounts receivable, per client, registered in an active balance sheet account;

II - in the debt limit, the amounts payable, registered in a passive balance sheet account.

Art. 3 The following account titles and subtitles with UBICTL attributes are created in the Accounting Plan of the Institutions of the National Financial System - COSIF:

I - "SWAP OPERATIONS" - DIFFERENTIAL RECEIVABLE, code 1.8.4.53.00-3, with the function of registering revenues receivable resulting from "swap" operations (ESTBAN codes 172 and publication 184);

II - "SWAP OPERATIONS" - DIFFERENTIAL PAYABLE, code 4.9.5.53.00-6, with the function of registering expenses payable resulting from "swap" operations (ESTBAN code 500 and publication 495);

III - "Swap", code 7.1.6.50.40-3, with the function of registering revenues resulting from "swap" operations;

IV - "Swap", code 8.1.5.50.40-7, with the function of registering expenses resulting from "swap" operations;

V - "Swap", code 3.0.6.10.60-4, with the function of registering "swap" operations, contract by contract, with offsetting between them not permitted. Monthly updates must be made by adopting the lowest accumulated value among the contracted parameters.

Art. 4 The procedures provided for in this Circular apply to "swap" operations carried out within the scope of stock, commodity, and/or futures exchanges.

Art. 5 This Circular enters into force on the date of its publication.

Art. 6 Article 3 of Circular No. 2,328, of July 7, 1993, is hereby revoked.

Brasília, January 13, 1994

Cláudio Ness Mauch
Director of Norms and Organization of the Financial System