Circular No. 3.046

CIRCULAR N. 003046 ------------------ Establishes procedures for the preparation and submission of information necessary for the monitoring and control of the exposure of operations denominated in Real and remunerated based on pre-fixed interest rates, as addressed in Circular No. 2.972, of 2000. The Collegiate Board of the Central Bank of Brazil, in a session held on 11 July 2001, based on the provisions of art. 37 of Law No. 4.595, of 31 December 1964, and on art. 3, item IX, of Law No. 4.728, of 14 July 1965, and in view of the provisions of Regulation Annex IV to Resolution No. 2.099, of 17 August 1994, as amended by Resolution No. 2.692, of 24 February 2000, D E C I D E D: Art. 1 Establish that financial institutions and other institutions authorized to operate by the Central Bank of Brazil, except credit cooperatives, development agencies and microentrepreneur credit societies, must submit the following information to the Department of Registration and Information of the Financial System (DECAD), in thousands of Reais: I - the value at risk, VaR t Standard, of the set of operations denominated in Real and remunerated based on pre-fixed interest rates for day "t", as addressed in the formula described in art. 1 of Circular No. 2.972, of 23 March 2000; II - the value of the portion of Required Shareholders' Equity (PLE) to cover the risk arising from the exposure of operations denominated in Real and remunerated based on pre-fixed interest rates to the variation of interest rates practiced in the market, EC(JUROS PRÉ).t, calculated in accordance with the formula described in art. 1 of Circular No. 2.972, of 2000; III - "Statement of Operations Exposed to the Variation of Pre-fixed Interest Rates (Financial Institutions/Financial Conglomerates)", contained in CADOC as model No. 36005-0, annexed to this Circular; IV - "Statement of Operations Exposed to the Variation of Pre-fixed Interest Rates (Consolidated in the Form of Resolution No. 2.723/2000)", contained in CADOC as model No. 36006-9, annexed to this Circular, relating to financial statements prepared on a consolidated basis, under the terms of art. 3 of Resolution No. 2.723, of 31 May 2000 (economic-financial consolidated), as amended by Resolution No. 2.743, of 28 June 2000. Paragraph 1 In providing the information addressed in this article, it must be observed that: I - institutions not belonging to a financial conglomerate and those that are members of a financial conglomerate that have not opted for the calculation of limits on a consolidated basis must submit the information addressed in the caput, items I, II and III, on an individual basis; II - the lead institution responsible for preparing and submitting the information relating to a financial conglomerate that has opted for the calculation of limits on a consolidated basis must submit the information addressed in the caput, items I, II and III, on a consolidated basis; III - the controlling institutions responsible for
preparing and submitting the Economic-Financial Consolidated document (CONEF), addressed in Circular No. 2.984, of 15 June 2000, must submit the information addressed in the caput, item IV. Paragraph 2 The information addressed in the caput, items I and II, must be calculated daily and submitted, by the third business day after day "t", through transaction PESP500 of the Central Bank Information System (SISBACEN). Paragraph 3 The document addressed in the caput, item III, must be prepared monthly and submitted in accordance with the deadlines defined in art. 1, item I and paragraph 6, of Circular No. 2.946, of 27 October 1999, using the PSTAW10 application (Exchange of Information via internet), addressed in Letter-Circular No. 2.847, of 13 April 1999, in a layout to be disclosed by DECAD and the Department of Information Technology (DEINF). Paragraph 4 The document addressed in the caput, item IV, must be prepared monthly and submitted within thirty consecutive days counted from day "t", using the PSTAW10 application, in a layout to be disclosed by DECAD and DEINF. Paragraph 5 The documents addressed in the caput, items III and IV, must contain data used for the calculation of EC(JUROS PRE),t, referring to the first business day of the subsequent month (day "t"). Art. 2 Institutions and conglomerates that do not permanently hold exposures in operations denominated in Real and remunerated based on pre-fixed interest rates are exempt from submitting the information addressed in this Circular, as well as those that present EC(JUROS PRÉ),t, lower than R$3.000.000,00 (three million reais) or 10% (ten percent) of the value of the Reference Shareholders' Equity (PR), whichever is lower. Sole paragraph. Institutions must previously notify DECAD of their classification in the situations addressed for the purposes of the provisions of the caput, by email or by a document signed by the administrator referred to in art. 3 of Resolution No. 2.692, of 24 February 2000, and any change in said condition must be immediately reported. Art. 3 The institutions referred to in art. 1 must maintain mechanisms that enable the recovery, for a minimum period of two years, of information relating to: I - the process of calculating the value of the portion of PLE to cover the risk arising from the exposure of operations denominated in Real and remunerated based on pre-fixed interest rates; II - the methodology adopted for determining the term structure of the interest rate and the criteria used for generating the cash flows of the operations in question. Art. 4 The information addressed in art. 1 may be requested by the Department of Direct Supervision (DESUP) or by the Department of Indirect Supervision (DESIN), for an institution or group of institutions, at a frequency different from that determined in this Circular. Art. 5 The institutions referred to in art. 1 must inform DECAD and keep updated the name, the registration number in the Individual Taxpayer Registry
(CPF) and the telephone number of the employee responsible for providing the information. Art. 6 Failure to comply with the provisions of this Circular shall subject the offending institution to the provisions of Resolution No. 2,194 of 31 August 1995. Art. 7 This Circular enters into force on the date of its publication, producing effects as of 1 October 2001. Brasília, 12 July 2001 Sérgio Darcy da Silva Alves Director --------------------------------------------------------------------- The annexes to this Circular are available to interested parties at the Regional Offices and at the Headquarters of the Central Bank of Brazil.