Circular No. 3368 — Establishes Procedures for Calculating the Patrimônio de Referência Exigido (PRE) Portion Related to Exposures Subject to Commodity Price Variation (PCOM)

Circular No. 3368, of September 12, 2007 1

CIRCULAR NO. 3,368

Establishes the procedures for calculating the portion of the Required Reference Equity (PRE) related to exposures subject to the variation in commodity prices (commodities) (PCOM), as provided for in Resolution No. 3,490, of 2007.

The Collegiate Board of the CENTRAL BANK OF BRAZIL, in a session held on September 12, 2007, based on the provisions of Articles 10, item IX, with the renumbering given by Law No. 7,730, of January 31, 1989, and 11, item VII, of Law No. 4,595, of December 31, 1964, and considering the provisions of Article 6 of Resolution No. 3,490, of August 29, 2007,

DECIDED:

Art. 1 The daily calculation of the portion of the Required Reference Equity (PRE) related to exposures subject to the variation in commodity prices (commodities) (PCOM), as provided for in Resolution No. 3,490, of August 29, 2007, must be carried out based on the following formula:

F' = factor applicable to the sum of net exposures (ELi), equal to 0.15 (fifteen hundredths); n = number of types of commodities on which the exposures are referenced; F_IV = factor applicable to the gross exposure (EB), equal to 0.03 (three hundredths); ELi = net exposure of commodity "i", representing the value, in reais, determined by the absolute value of the sum of all purchased positions minus the absolute value of the sum of all sold positions referenced in commodity type "i", including those held through financial derivative instruments; EB = gross exposure, representing the sum of the absolute values, in reais, of each purchased position and each sold position referenced in commodities.

§ 1 The calculation referred to in the caput applies to operations subject to the variation in commodity prices traded in organized exchange or over-the-counter markets, including financial derivative instruments, with the exception of operations referenced in active financial gold or foreign exchange instruments.

Circular No. 3368, of September 12, 2007 2

§ 2 Institutions must keep available to the Central Bank of Brazil the criteria used to determine the assets considered in each type of commodity.

Art. 2 For the determination of net exposures (ELi) and gross exposure (EB), the number of standard units obtained from the reference commodity (sacks, arrobas, etc.) must be multiplied by the respective market value, in reais, of the commodity in the spot market.

§ 1 The methodology for determining the market value, in reais, of exposures subject to the variation in commodity prices must be established based on consistent and verifiable criteria, in accordance with current regulations.

§ 2 In the case of options contracts, the value representative of the exposure must be obtained by multiplying the market value of the underlying asset by the quantity of contracts, by their size, and by the delta of the option, which is defined as the variation in the price of the option relative to the variation in the price of the underlying asset.

§ 3 The values of positions held as a result of investments in investment fund shares must be treated consistently:
I - Based on the proportional composition of their portfolios; or, in the event of impossibility II - As a position in a commodity.

§ 4 Operations in which the institution acts exclusively as an intermediary, assuming no rights or obligations with respect to the parties, do not form part of the PCOM portion calculation base.

§ 5 It is the responsibility of the institution within the conglomerate responsible for submitting accounting information to the Central Bank of Brazil to perform the consolidated calculation of the PCOM portion.

Art. 3 A report detailing the calculation of the PCOM portion must be sent to the Department of Financial System Monitoring and Information Management (DESIG) of the Central Bank of Brazil, in the manner to be established by it.

Sole Paragraph. Institutions must keep available to the Central Bank of Brazil, for a period of five years, the information used for the daily calculation of the PCOM portion, as well as the methodology used for determining the market value of the respective operations.

Art. 4 This Circular enters into force on the date of its publication, producing effects from July 1, 2008.

Brasília, September 12, 2007.

Alexandre Antonio Tombini
Director

This text does not replace the published version in the DOU and Sisbacen