Circular No. 3961 — Amends Circular No. 3,639 of March 4, 2013, Establishing Procedures for Calculating Risk-Weighted Assets for Commodity Exposures

The Collegiate Board of the Central Bank of Brazil, in a session held on September 24, 2019, based on Articles 9, 10, item IX, and 11, item VII, of Law No. 4,595 of December 31, 1964, and considering the provisions of Articles 3, paragraph 2, and 15 of Resolution No. 4,193 of March 1, 2013,

R E S O L V E:

Art. 1 Circular No. 3,639 of March 4, 2013, shall be amended as follows:

“Art. 1 ........................................................

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§ 1-A In the calculation of the gross exposure of positions in financial derivative instruments that have the same underlying asset, the same maturity date, the same delivery location, and are denominated in the same currency, only the absolute value of the difference between the long positions and the short positions shall be considered.

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Art. 2 This Circular enters into force on January 1, 2020.

Otávio Ribeiro Damaso
Regulation Director