Circular No. 2951 — Defines Swap Intermediation and Establishes Procedures for Accounting Registration

CIRCULAR N. 002951

Defines swap intermediation and establishes procedures for accounting registration.

The Collegiate Board of the Central Bank of Brazil, in a session held on November 10, 1999, based on the provisions of Article 4, item XII of Law No. 4,595, of December 31, 1964, by competence delegated by the National Monetary Council, by act of July 19, 1978, and having in view the provisions of Resolutions Nos. 2,399, of June 25, 1997, and 2,606, of May 27, 1999,

DECIDED:

Art. 1. It is established that operations are defined as "swap intermediation" those swap operations carried out within the scope of securities or commodities and futures exchanges that meet, cumulatively, the following requirements:

I - the intermediary institution appears as one of the holders, in each of the operations;

II - they are carried out on the same day, through the same institution, member of a securities or commodities and futures exchange, and of the same clearing member, and registered simultaneously;

III - they have, as reference, the same underlying assets, with the intermediary institution assuming inverse positions in the negotiations referred to in item I;

IV - they are carried out by means of contracts with the guarantee of the securities or commodities and futures exchange;

V - they have, with the exception of the negotiated rates and the inverse positions in the underlying assets, identical characteristics;

VI - the early settlements cover the entirety of the positions assumed in the operation;

VII - the net result of the negotiations is positive for the intermediary institution.

Art. 2. The operations referred to must be supported by a document issued by the securities or commodities and futures exchanges that proves their execution, in accordance with the previous article.

Art. 3. The values resulting from swap intermediation operations referred to in this Circular must be excluded from the information subject to Annexes I and II of Circular Letter No. 2,866, of August 13, 1999.

Art. 4. As a consequence of the provisions of Art. 1, the following accounting subheadings are created in the Accounting Plan of the Institutions of the National Financial System - COSIF:

I - with codes ESTBAN and publication 172 and 184, respectively, and with attributes UBDKIFACTSWEROLMNHZ:

1.8.4.53.10-6 Swap, intended for the recording of values receivable, related to income earned, arising from swap operations, which are not characterized as intermediation; 1.8.4.53.20-9 Swap Intermediation, intended for the recording of net values receivable, related to income earned in swap intermediation operations;

II - with code ESTBAN 300 and with attributes UBDKIFACTSWEROLMNHZ:

3.0.6.10.90-3 Swap Intermediation, intended for the recording of the value of the negotiation parameters, on the date of signing of the contracts;

III - with codes ESTBAN and publication 711 and 715, respectively, and with attributes UBDKIFACTSWEROLMNHZ:

7.1.5.80.50-4 Swap Intermediation, intended for the recording of the net result of the operations.

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

Brasília, November 11, 1999

Luiz Fernando Figueiredo
Director