The table below shows the Risk Management parameters as per the B3 Clearinghouse Risk Management Manual.
Last updated: 08/04/2022
| Risk Management – Published Parameters | |
| B3&FBOVESPA Clearinghouse Risk Management Manual section | Parameter |
| 4.3 Post-trade risk monitoring | |
| 4.3.2 Operating balance | |
| 4.3.2.1 Intraday risk of full trading participants or settlement participants | |
| 1) n-Largest Aggregations per CORE 2 Document | Greater or equal to 2 |
| 2) n-Largest Aggregations per CORE 0 Document | Greater or equal to 2 |
| 6.1 - Eligibility criteria: The clearinghouse will not accept the collateral constituition an assets: ii) to whitch is attributed, a maximum haircut for participant's risk calculation purpose, greater than a defined parameter |
greater or equal to 60% |
| 6.1.1 - Eligible assets – Share of a stock e Certificates of deposit of shares of a stock (units) | |
| 1) Number of months ended for calculation of the closing price average of each stock, UNIT or ETF accepted as collateral | m1 = 4 months |
| 2) Percentage of trading floor presence | p1 = 100% |
| 3) Number of months ended for the calculation of percentage of trading floor presence | m2 = 4 months |
| 4) Minimum median of the daily number of trades | q = 1,500 |
| 5) Number of months ended for the calculation of the median of trades | m3 = 4 months |
| 6) Minimum median of the daily financial volume traded | v1 = 6,000,000 |
| 7) Number of months ended for calculation of the median of the daily financial volume traded | m4 = 4 months |
| 8) Minimum volume of free float percentage considered | v2 = 1,000,000 |
| 9) Number of months ended for calculation of the median of the daily volume Free float | m5 = 4 months |
| 10) Free float percentage | p2 = 100% |
| 6.3 Limits for accepting assets as collateral | |
| 6.3.1 Limits for bank LCs, CDs, LCIs and LCAs | |
| 6.3.1.2 Deposit limits per participant or group of participants for the securities issued by guarantee issuing banks | |
| 11) Percentage of the deposit limit of the issuing bank equivalent to the deposit limit per participant or group of participants under securities issued by this issuing bank | p1 = 25% |
| 6.3.1.3 Limits for deposits through trading participants, full trading participants, settlement participants, or clearing members linked to guarantee issuing banks | |
| 12) Percentage of the deposit limit of the issuing bank equivalent to the deposit limit via trading participant, full trading participant, settlement participant, or clearing member linked to this issuing bank | p2 = 0% |
| 6.3.2 Deposit limit for bank CDs, LCIs and LCA with no early redemption clauses | |
| 13) Deposit limit for bank CDs, LCIs and LCA with no early redemption clause (by participant or group of participants). | L = 5,000,000 |
| 6.3.3 Deposit limits for federal government bonds as third-party collateral | |
| 14) Percentage of limit for third-party collateral will be strictly declared to each investor or group of investors. | p <= 25% |
| 6.3.4 Acceptance limits for shares of stocks, ADRs, ETF shares and certificates of deposit of shares (units) | |
| 15) Parameter set for each asset i based on liquidity measure. | c(i) = 3 |
| 6.3.5 Utilization limits for illiquid collateral | |
| 16) Utilization limit for illiquid collateral (by participant or group of participants). | 7,500,000,000 – Liquidity Resource Amount used in CORE0 |
| 7.4 Closeout strategy | |
| 7.6 Determining risk measures | |
| 7.6.2 Transitory loss | |
| 7.6.2.1 Temporary liquidity needs | |
| 23) Positions sets eligible to utilize the liquidity provision | |
| First Set | Positions in the spot market (to be settled), in the equities forward market, in the options equities market, equities market, fixed income ETF markets and govenment debt securities lending market, in the repo positions in governament debt, in the stock futures market, in the IBOVESPA futures market, and in the SMALL CAPS Index futures market |
| 7.6.6 Minimum margin for options | |
| 24) Minimum delta defined for written option position | δmin = 10% |
| 25) Minimum delta defined for purchased option position | δmin = 15% |
| 7.7 Module CORE0 – Risk calculation of allocated positions under the collateralization mode by investors | |
| 26) Maximum initial value assigned by the Clearinghouse available for use as a liquidity resource for investors. | VRLCORE0 = R$ 7,500,000,000 |
| 7.8 Module CORE1 – Risk calculation for unallocated transactions | |
| 27) Maximum initial value assigned by the Clearinghouse available for use as a liquidity resource for unallocated positions. | VRLCORE1 = R$ 1,400,000,000 |
| 7.9 Module CORE2 – Risk of allocated positions collateralized by full trading participants or settlement participants | |
| 7.9.1 Risk calculation | |
| 28) Maximum initial value assigned by the Clearinghouse of liquidity resources for unallocated and collateralized positions by participants. | VRLCORE2 = R$ 2,300,000,000 |