Circular No. 3150 — Establishes criteria for the accounting recognition and valuation of derivative financial instruments contracted in association with funding or investment operations

CIRCULAR NO. 003150

Establishes criteria for the accounting recognition and valuation of derivative financial instruments, contracted in association with funding or investment operations.

The Executive Board of the Central Bank of Brazil, in a session held on September 11, 2002, based on 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 considering the provisions of Article 22 of Law No. 6,385 of December 7, 1976, with the alterations introduced by Article 14 of Law No. 9,447 of March 14, 1997,

DECIDED:

Art. 1 Alter Article 2 of Circular 3,082 of January 30, 2002, which shall now read as follows:

"Art. 2 The operations with derivative financial instruments referred to in the preceding article must be valued at market value, at least at the time of monthly statements and balance sheets, computing the appreciation or depreciation in counterpart to an appropriate revenue or expense account, in the result of the period, observing, where applicable, the provisions of Articles 3 to 5.

Sole Paragraph 1 For the purposes of the valuation provided for in the caput, the methodology for calculating the market value is the responsibility of the institution and must be established based on consistent and verifiable criteria, which take into account independence in data collection regarding the rates practiced in their trading desks, and may use as a parameter:

I - the average representative trading price on the day of calculation or, when not available, the average representative trading price on the previous business day;

II - the probable net realizable value obtained through the adoption of a pricing technique or model;

III - the price of a similar financial instrument, taking into account, at a minimum, the payment and maturity terms, credit risk, and currency or index;

IV - the value of the daily adjustment in the case of operations carried out in the futures market.

Sole Paragraph 2 When the derivative financial instrument is contracted in association with a funding or investment operation, the appreciation or depreciation resulting from the market value adjustment may be disregarded, provided that:

I - its negotiation or settlement separately from the associated operation is not permitted;

II - in the cases of early settlement of the associated operation, it occurs at the contracted value;

III - it is contracted for the same term and with the same counterparty as the associated operation." (NR)

Art. 2 This circular enters into force on the date of its publication.

Brasília, September 11, 2002

Tereza Cristina Grossi Togni
Director