Circular No. 3671 — Establishes the methodology for calculating the Selic Rate

CIRCULAR NO. 3,671, OF OCTOBER 18, 2013

Establishes the methodology for calculating the Selic Rate.

The Collegiate Board of the Central Bank of Brazil, in a session held on October 16 and 17, 2013, using the competence described in Art. 2 of Decree No. 3,088, of June 21, 1999, and considering the provisions of Art. 2 of Circular No. 2,900, of June 24, 1999,

RESOLVES:

Art. 1 For the purposes of calculating the Selic Rate, the purchase and sale operations of federal securities with a resale commitment assumed by the buyer conjugated with a repurchase commitment assumed by the seller for settlement on the next business day are considered, provided that the counterparties are:

I - two distinct participants of the Special Settlement and Custody System (Selic); or

II - a participant and a participant's client, provided that the counterparties have distinct liquidators in Selic.

Sole Paragraph. The universe referred to in the caput does not include forward committed operations, those registered on a date subsequent to the date on which they were effectively carried out, those with post-fixed rates, and those that aim for temporary access to specific securities.

Art. 2 The Selic Rate, expressed in annual form with two decimal places, is calculated according to the following formula:

n
S Rj j = 1 252
Selic Rate = {[(------------------------) - 1] x 100} % a.a., where:
n
S Ij j = 1

I - n: number of operations that make up the calculation base; II - Rj: financial value of the repurchase/resale of the j-th committed operation; and III - Ij: financial value of the purchase/sale of the j-th committed operation.

§ 1 The calculation base referred to in this article corresponds to the universe of operations defined in Art. 1 with the following exclusions:

I - committed operations with a daily factor (Rj/Ij) equal to or less than 1 (one) or greater than 2 (two); and

Circular No. 3,671, of October 18, 2013 Page 2 of 2

II - 5% (five percent) of the financial value of the remaining repurchases/resales – and the corresponding purchases/sales that gave rise to them – observing the following cuts, based on the sample distribution of these operations:

a) if symmetric: a cut of 5% (five percent) of the value of repurchases/resales relative to the operations with the highest and lowest daily factors, with 2.5% (two and five-tenths percent) of the cut applied to each of the considered extremes;

b) if positively asymmetric: a cut of 5% (five percent) of the value of repurchases/resales applied to the operations with the highest daily factors; or

c) if negatively asymmetric: a cut of 5% (five percent) of the value of repurchases/resales applied to the operations with the lowest daily factors.

§ 2 For the purposes of the provision in § 1, the First Pearson Asymmetry Coefficient (SKp1) defines the distribution as:

I - symmetric if the modulus of SKp1 is less than or equal to 0.3 (three-tenths); II - positively asymmetric if SKp1 is greater than +0.3 (three-tenths positive); and III - negatively asymmetric if SKp1 is less than -0.3 (three-tenths negative).

Art. 3 In the event that the calculation base for a given day, provided for in Art. 2, is less than 50% (fifty percent) of the corresponding simple arithmetic average calculated in the 5 (five) previous business days, the Selic Rate is defined based on the following formula:

Selic Rate = Target for the Selic Rate + Residual Difference, where:

I - Target for the Selic Rate: target, defined by the Monetary Policy Committee, in effect on the date of the event; and

II - Residual Difference: simple arithmetic average of the difference, calculated in the 5 (five) business days prior to the date of the event, between the daily Selic Rate and its respective target.

Art. 4 The Open Market Operations Department (Demab) is authorized to issue complementary norms and adopt the necessary measures for the execution of the provisions of this Circular.

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

Art. 6 Article 1 of Circular No. 2,761, of June 18, 1997, is repealed.

Carlos Hamilton Vasconcelos Araújo
Acting Director of Monetary Policy

This text does not replace the one published in the DOU of 10/21/2013, Section 1, p. 18, and in Sisbacen.