Resolution No. 4600: Defines the methodology for calculating the Long-Term Rate (TLP) and the corresponding fixed interest rate under Law No. 13,483 of September 21, 2017

RESOLUTION NO. 4,600, OF SEPTEMBER 25, 2017

Defines the calculation methodology for the Long-Term Rate (TLP) and the corresponding fixed interest rate, as provided for in Law No. 13,483, of September 21, 2017.

The Central Bank of Brazil, in accordance with Art. 9 of Law No. 4,595, of December 31, 1964, makes public that the National Monetary Council, in an extraordinary session held on September 25, 2017, based on Art. 4 of Law No. 13,483, of September 21, 2017,

RESOLVES:

Art. 1 The Long-Term Rate (TLP), as provided for in Law No. 13,483, of September 21, 2017, shall be calculated monthly, for each portion of resources mentioned in Art. 2 of the aforementioned Law, applied to a specific financing operation, according to the following formula:

TLPi,m = (1 + πm-2)^(ndup/ndmp) * (1 + πm-1)^(ndus/ndms) * (1 + Ji)^(ndup+ndus)/252 - 1, where:

I - TLPi,m corresponds to the rate to be applied during the reference month m to the portion of resources i applied in a financing operation, expressed with six decimal places and mathematical rounding;

II - πm-1 corresponds to the percentage variation of the Broad National Consumer Price Index (IPCA), calculated and published by the Brazilian Institute of Geography and Statistics (IBGE), referring to the first month prior to the reference month m, expressed in unit form with four decimal places;

III - πm-2 corresponds to the percentage variation of the Broad National Consumer Price Index (IPCA), calculated and published by the Brazilian Institute of Geography and Statistics (IBGE), referring to the second month prior to the reference month m, expressed in unit form with four decimal places;

IV - ndup is equal to the number of business days between the 1st (inclusive) and the 15th (exclusive) of the reference month m on which the portion of resources i was applied in a financing operation;

V - ndus is equal to the number of business days between the 15th (inclusive) and the last day (inclusive) of the reference month m on which the portion of resources i was applied in a financing operation;

VI - ndmp is equal to the total number of business days between the 15th of the first month prior to the reference month m (inclusive) and the 15th of the reference month m (exclusive);

VII - ndms is equal to the total number of business days between the 15th of the reference month m (inclusive) and the 15th of the first month following the reference month m (exclusive); and

VIII - Ji corresponds to the fixed interest rate relative to the remuneration of the portion of resources i applied in a financing operation, expressed in unit form, with four decimal places and mathematical rounding.

Sole Paragraph. The interest rate “Ji” mentioned in item VIII of the caput of this article shall be:

I - valid for the entire period during which the portion of resources i remains applied to a specific financing operation; and

II - fixed based on the interest rate “Jm” and the adjustment factor “ak” mentioned in Arts. 2 and 4 of this Resolution, respectively, in effect in the month of contracting the financing operation to which the portion of resources i was applied, according to the following formula:

Ji = ak * Jm / 100

Art. 2 The fixed interest rate mentioned in the caput of Art. 3 of Law No. 13,483, of 2017, rate “Jm”, shall correspond to the simple arithmetic mean of the rates calculated on each business day, relative to the five-year vertices of the term structure of interest rates of the National Treasury Bonds, Series B (NTN-B).

§ 1 The rate “Jm” shall have monthly validity, starting on the first business day of each calendar month, and shall be expressed in percentage terms, with two decimal places, in annual form, considering the convention of 252 business days.

§ 2 The average mentioned in the caput of this article shall be calculated based on the rates available in the three months immediately prior to the date of its definition, counted from date to date.

Art. 3 The term structure of interest rates referred to in the caput of Art. 2 shall be estimated daily, through a parametric model that utilizes a methodology of minimizing errors relative to market prices of NTN-B.

§ 1 The database for the calculation of the market prices mentioned in the caput of this article shall be composed of definitive operations carried out in the secondary market, registered in the Special Settlement and Custody System (Selic), for all available maturities of NTN-B.

§ 2 The following shall be excluded from the database, according to criteria of the Central Bank of Brazil:

I - NTN-B of a specific maturity date that are systematically not traded in the secondary market; and

II - operations carried out with prices unreasonably divergent from the average market price.

§ 3 If it is not possible to adequately estimate the price of NTN-B of one or more maturities, due to insufficient negotiations in the secondary market, at the discretion of the Central Bank of Brazil, indicative prices that have broad acceptance as price references in the national financial market shall be used.

§ 4 In the event of impossibility of the estimation mentioned in the caput of this article, including due to insufficient information on negotiations in the secondary market and, simultaneously, absence of the indicative prices mentioned in § 3 of this article, estimated parameters based on data from the immediately preceding business day may be adopted.

Art. 4 The adjustment factor mentioned in § 1 of Art. 3 of Law No. 13,483, of 2017, factor “ak”, shall be expressed with two decimal places and mathematical rounding, calculated based on the following formula:

ak = a0 + (k*(1-a0))/5, where:

I - a0 = (TJLP* - π*) / ((1 + π*) * J*), which corresponds to the first adjustment factor referred to in § 2 of Art. 3 of Law No. 13,483, of 2017;

II - TJLP* corresponds to the Long-Term Interest Rate (TJLP) in effect on January 1, 2018, expressed in unit form;

III - π* corresponds to the expectation of the percentage variation of the IPCA mentioned in § 3 of Art. 3 of Law No. 13,483, of 2017, for the twelve months subsequent to the date of publication of the interest rate J* referred to in item IV, expressed in unit form with four decimal places; and

IV - J* corresponds to the rate “Jm” in effect on January 1, 2018, expressed in unit form with four decimal places.

Sole Paragraph. The index “k” and the variable “k” mentioned in the caput of this article assume the values 0, 1, 2, 3, and 4 in 2018, 2019, 2020, 2021, and 2022, respectively, and the value 5 from 2023 onwards.

Art. 5 The Central Bank of Brazil shall calculate and publish the adjustment factor “ak”, referred to in Art. 4 of this Resolution, and the interest rate “Jm”, referred to in Art. 2 of this Resolution, on the last business day of the month immediately prior to the month of their validity.

Sole Paragraph. The publication mentioned in the caput shall also be made electronically.

Art. 6 The Central Bank of Brazil is authorized to issue norms and adopt measures deemed necessary for the execution of the provisions of this Resolution.

Art. 7 This Resolution enters into force on the date of its publication.

Ilan Goldfajn
President of the Central Bank of Brazil

This text does not replace the published in the DOU of 9/26/2017, Section 1, p. 11/12, and in Sisbacen.