Circular No. 3639 — Establishes procedures for calculating the risk-weighted asset (RWA) portion for commodity price risk exposures under the standardized approach

CIRCULAR NO. 3,639, OF MARCH 4, 2013

Establishes the procedures for calculating the risk-weighted asset (RWA) portion, referring to exposures subject to commodity price variation (commodities) whose capital requirement is calculated through the standardized approach (RWACOM), as provided for in Resolution No. 4,193, of March 1, 2013.

The Collegiate Board of the Central Bank of Brazil, in an extraordinary session held on March 1, 2013, based on the provisions of Arts. 9, 10, item IX, and 11, item VII, of Law No. 4,595, of December 31, 1964, and Arts. 3, § 2, and 15 of Resolution No. 4,193, of March 1, 2013,

RESOLVES:

Art. 1 The daily calculation of the risk-weighted asset (RWA) portion, relating to exposures subject to commodity price variation (commodities) whose capital requirement is calculated through the standardized approach (RWACOM), as provided for in Resolution No. 4,193, of March 1, 2013, must be carried out based on the following formula:

RWA_COM = F * F''' * Σ (from i=1 to n) [ (ELi + EB) * F^IV ]

where:
I - F = factor established in Art. 4 of Resolution 4,193, of 2013; II - F''' = factor applicable to the sum of net exposures (ELi), equal to 0.15 (fifteen hundredths); III - n = number of types of commodities in which the exposures are referenced; IV - F^IV = factor applicable to gross exposure (EB), equal to 0.03 (three hundredths); V - ELi = net exposure of commodity “i”, representing the value, expressed in reais, determined by the absolute value of the sum of all long positions minus the absolute value of the sum of all short positions referenced in commodity type “i”, including those held through financial derivative instruments; and VI - EB = gross exposure, representing the sum of the absolute values, expressed in reais, of each long position and each short position referenced in commodities.

§ 1 The calculation referred to in the caput applies to operations subject to the price variation of commodities 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.

§ 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, expressed in reais, of the commodity in the spot market.

§ 1 The methodology for determining the market value, expressed in reais, of exposures subject to commodity price variation 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 of the option price relative to the variation of the underlying asset price.

§ 3 The values of positions held as a result of investments in investment fund shares must be treated consistently based on the proportional composition of their portfolios or, if impossible, 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 RWACOM portion calculation base.

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

Art. 3 A report detailing the determination of the RWACOM portion must be sent to the Central Bank of Brazil, in the manner to be established.

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 RWACOM portion, as well as the methodology used for determining the market value of the respective operations.

Art. 4 This Circular enters into force on October 1, 2013.

Art. 5 Circular No. 3,368, of September 12, 2007, is hereby revoked, effective October 1, 2013.

Sole Paragraph. Citations to Circular No. 3,368, of 2007, shall henceforth refer to this Circular.

Luiz Awazu Pereira da Silva
Director of Regulation of the Financial System

This text does not replace the published in the DOU of 3/6/2013, Section 1, p. 17, and in Sisbacen.