How is DI calculated?

01. QUESTION:

How is the DI calculation performed in routine financial investment allocation (CDI type)?

02. ANSWER:

In the allocation routine, sometimes the monthly allocated value will not match the profitability statement sent by the bank, if the last day of the month falls on a weekend and the bank sent the statement before closing. If the profitability calculation matches the calculation performed by CETIP, the routine has no error.

This difference occurs because:

The DI calculation is performed at night.

Only business days are valid.

That is,

If the asset starts on 1/20/16, on day 1/21/16 one day of DI is added.

To arrive at this value, on early morning from 1/20 to 2/21, the system calculates with the value pertaining January 20.

Be mindful that the final date represents the value calculated in the last routine; that is, it takes profitability into account until the previous day.

For example, suppose DI compensates an asset due on Jan 27... The DI refers to the start date until D-1 of the deadline (in the example, in the routine running early morning from 01/26 to 01/27, the system (CETIP) takes into account values up to Jan 26 when performing the calculation... On the start of the 27th, the calculated value will be available for query/redemption).

In a practical example, we had the following situation:

Financial allocation (monthly yield) performed by the Microsiga Protheus system = BRL 154.46

Monthly yield value shown on statement sent by bank = BRL 135.12

Correct value in accordance with the CETIP website = BRL 154.46.

See the example below:

Financial investment:

• DATE - 1/20/2016
• CDI TYPE INVESTMENT
• NOMINAL RATE 90.00
• OPERATION VALUE BRL 440,005.21 
• PARTIAL REDEMPTION ON 1/28/2016 - BRL 400,061.57 
• ALLOCATION ON 1/31/2016 

MONTHLY YIELD VALUE = BRL 154.46, as calculated below:

If we calculate the value accrued from 1/20 to 1/29, we arrive at the value of BRL 135.12, sent by the bank. However, this is incorrect, as explained below:

If we do this from 1/20 – 1/29, we get 6 days of DI

In this case, Jan 29 is not taken into account in the calculation (this day is calculated Friday night).

If you consider factor 1.00331004, you cause January to have one day less (which is an ERROR).

If we enter 1/20 – 1/30, then it works. In this case, you included the Friday DI (the Saturday DI is not yet calculated, and will not be so because non-business days are not calculated).

The correct factor for January is 1.00378376

If we enter 1/20 – 1/31, we get the same factor, because although the system includes the Saturday DI, it does not exist.

The same reasoning applies if we take into account Feb 1 (notice that the factor is the same for days 30-31-01).

In this case, you are compensating all days before Feb 2 (following this reasoning, Feb 1 is only calculated in early morning from the 1st to the 2nd).

Finally, what matters to the CETIP website is the start date of profitability and the end date of profitability.

If the start date is the 1st and the end date is the 5th, the DI of days 1, 2, 3 and 4 is taken into account (because that of the 5th is only calculated early morning from the 5th to the 6th).