| Family | Product | Commodity | Risk factor | Contract factor | Day trade reduction | Settlement fee | Permanence fee | |
|---|---|---|---|---|---|---|---|---|
| p | λ | |||||||
| Inflation x U.S. Dollar Spread | DI x IPCA Spread Futures Contract | DAP | See table | 0.00025 x I | 70% | BRL0.01 | BRL0.0093 | 1.00 |
| Neutral DV01 Structured Product | DAI | 0.000625 x I | N/A | N/A | N/A | |||
| Neutral PU Structured Product | DAF | 0.000625 x I | N/A | N/A | N/A | |||
I = inflation index (IPCA) published for month prior to calculation.
Calculation formulas
Risk factor table
| Months to expiration | Risk factor | |
|---|---|---|
| From | To | |
| 1 | 1 | 0.28 |
| 2 | 2 | 0.30 |
| 3 | 3 | 0.32 |
| 4 | 4 | 0.35 |
| 5 | 5 | 0.38 |
| 6 | 6 | 0.41 |
| 7 | 7 | 0.45 |
| 8 | 8 | 0.49 |
| 9 | 9 | 0.53 |
| 10 | 10 | 0.58 |
| 11 | 11 | 0.63 |
| 12 | 12 | 0.68 |
| 13 | 15 | 0.76 |
| 16 | 18 | 0.84 |
| 19 | 21 | 0.92 |
| 22 | 24 | 1.00 |
| 25 | 27 | 1.10 |
| 28 | 30 | 1.20 |
| 31 | 33 | 1.30 |
| 34 | 36 | 1.40 |
| 37 | 42 | 1.50 |
| 43 | 48 | 1.60 |
| 49 | 54 | 1.70 |
| 55 | 60 | 1.80 |
| 61 | 72 | 1.90 |
| 73 | 84 | 2.00 |
| 85 | 96 | 2.10 |
| 97 | 108 | 2.20 |
| 109 | 120 | 2.30 |
| 121 | 132 | 2.40 |
| 133 | 144 | 2.50 |
| 145 | 156 | 2.60 |
| 157 | 168 | 2.70 |
| 169 | 180 | 2.80 |
| More than 180 | 2.80 | |
Volume reduction table
| ADV | Reduction | Addictional value | |
|---|---|---|---|
| From | To | ||
| 1 | 5 | 0% | 0 |
| 6 | 50 | 10% | 0.5 |
| 51 | 150 | 15% | 3 |
| 151 | 500 | 25% | 18 |
| 501 | 1,100 | 30% | 43 |
| 1,101 | 2,200 | 40% | 153 |
| 2,201 | 4,200 | 50% | 373 |
| 4,201 | 6,200 | 55% | 583 |
| 6,201 | 10,000 | 60% | 893 |
| More than 10,000 | 75% | 2,393 | |
