Circular No. 3684 — Establishes standardized methodology for market value sensitivity analysis of Structured Operations Certificates (COE)

The Collegiate Board of the Central Bank of Brazil, in a session held on November 19, 2013, based on Art. 9 of Law No. 4,595 of December 31, 1964, and Arts. 5, item II, and 18 of Resolution No. 4,263 of September 5, 2013,

R E S O L V E:

Art. 1 For the purposes of carrying out the sensitivity analysis referred to in Art. 5 of Resolution No. 4,263 of September 5, 2013, the financial institution issuing a Structured Operations Certificate (COE) must estimate the percentage variations in the market value of the certificate, corresponding to:

I - parallel shocks of 50 (fifty) basis points and 200 (two hundred) basis points, negative and positive, in terms of annual rates, for underlying assets represented by interest rates and price indices; and

II - shocks of 5% (five percent) and 20% (twenty percent), negative and positive, in the value of the underlying asset, for other cases.

§ 1 The financial institution issuing the COE must inform the asset registry and settlement system administrator, in addition to the values mentioned in the caput, the underlying asset of the certificate used in the sensitivity analysis.

§ 2 In the case of a certificate referenced to more than one underlying asset, only the results of the shocks performed on its main underlying asset must be reported.

Art. 2 The financial institution issuing the COE must forward the information mentioned in Art. 1 by the third business day following the last day of the month.

Art. 3 The procedures used in the analysis mentioned in Art. 1 must be consistent, verifiable, and documented.

Art. 4 The information used to carry out the sensitivity analysis established in Art. 1 must remain available to the Central Bank of Brazil for a minimum period of 10 (ten) years, counted from the maturity date of each certificate.

Art. 5 This Circular enters into force on January 6, 2014.

Luiz Edson Feltrim Anthero de Moraes Meirelles Deputy Director of Regulation Director of Supervision