The securities deposited as collateral are for the most part valued in accordance with the stress scenarios defined by the B3 Risk Technical Committee for primitive risk factors. The valuation of these securities occurs in the risk calculation process and depends on the composition of the participant’s portfolio of positions and collateral. In this way the same security can take on distinct values if deposited by distinct participants.

Collateral in local currency, in bank letters of credit and in bank CDs is not valued based on stress scenarios. The value of this collateral is obtained respectively by the full value deposited, the value warranted and the value of the issue. 

The minimum value of securities to be deposited as collateral can be consulted here.