In 2013, shortly after scandals involving the manipulation of exchange rates and interest rates became public, the International Organization of Securities Commissions (IOSCO) published a report in response to a consultation on rules applicable to financial benchmarks. Not surprisingly, concerns were raised about the fragility of certain benchmarks, particularly in terms of integrity and continuity.
In Brazil, in transactions carried out in the financial and capital markets, one of the benchmark parameters most commonly adopted is the Interbank Deposit (DI) rate. It serves as a benchmark for numerous bank loans (transactions between banks and clients), raising of funds through debentures, and various financial investments (e.g., DI funds), among other transactions.
In very simple terms, the rate (DI) used in all these situations derives from the interest rate used in interbank transactions. More specifically, the DI rate is calculated on the basis of interbank loans between institutions that are not members of the same conglomerate, based on pre-fixed rates and with a one-day term.
Therefore, determination of the DI rate for a date is always done according to certain procedures, through which a universe of eligible transactions is subject to scrutiny. The methodology used has remained fairly constant over time, although it has undergone occasional targeted improvements.
It so happens that, some years ago, there has been a significant reduction in the number of transactions carried out in the interbank market. In 2013, for example, when the DI rate began to show large deviations from the Selic rate (which traditionally accompanied it pari passu), this situation was officially recognized for the first time, and Cetip (succeeded by B3 - Brasil, Bolsa, Balcão S.A.) decided to change its calculation methodology, such that if, on a given day, there were less than ten transactions in the interbank market, the historical correlation between the DI rate and the Selic rate was used for the purposes of calculating the rate.
On October 1, 2018, following the recommendations of the Iosco (especially regarding the sufficiency of data for calculation of the benchmark, covered by Principle 7), the methodology for calculating the DI rate used by B3 was based on an observation, or lack thereof, of two conditions: (i) the number of transactions eligible for calculating the rate is equal to or greater than 100; and (ii) the sum of the volumes of transactions eligible for the rate calculation is equal to or greater than R$ 30 billion. The new rule, therefore, confers more transparency and robustness to the benchmark, which now depends on two variables: number and size of the transactions. Thus, if at least one of the two conditions above is not observed on a certain calculation date, the DI rate released will be equal to the Selic Over rate.
In view of this change, it may be possible to revisit the bases that led to the promulgation of the Superior Court of Justice's Precedent No. 176, of 1996, which states that "... a contractual provision is void that subjects the debtor to the interest rate disclosed by Anbid/Cetip," because this rate is supposedly "... submitted to the whim of one of the parties." This is because, with the new methodology, the risk that the DI rate may be manipulated is more remote, if not practically nonexistent.