OC1 x U.S. Dollar Spread Fees

Family	Products	Commodity	Risk factor	Contract factor	Day trade reduction	Settlement fee	Permanence fee
Family	Products	Commodity	Risk factor	Contract factor	Day trade reduction	Settlement fee	p	λ
OC1 x U.S. Dollar Spread	U.S. Dollar Spread Futures Contract Referencing One-Day Repurchase Agreements	DCO	See table	USD1.00	70%	USD0.11	USD0.00096	0.84
	Forward Rate Agreement on One-Day Repurchase Agreements x U.S. Dollar Spread	FRO		USD1.00		N/A	N/A	N/A
	U.S. Dollar Swap with Reset Referencing One-Day Repurchase Agreements¹	SCS		USD1.00		USD0.11	USD0.00096	1.00

¹U.S. Dollar swaps trading volume is not considered for the ADV calculation

Calculation formulas

Risk factor table

Months to expiration		Risk factor
From	To	Risk factor
1	1	0.14
2	2	0.18
3	3	0.36
4	4	0.54
5	5	0.66
6	6	0.72
7	7	0.77
8	8	0.83
9	9	0.88
10	10	0.94
11	11	0.99
12	12	1.05
13	15	1.10
16	18	1.16
19	21	1.21
22	24	1.27
25	27	1.32
28	30	1.38
31	33	1.43
34	36	1.49
37	42	1.54
43	48	1.60
49	54	1.65
55	60	1.71
61	72	1.76
73	84	1.82
85	96	1.87
97	108	1.93
109	120	1.98
121	132	2.04
133	144	2.09
145	156	2.15
157	168	2.20
169	180	2.26
More than 180		2.26

Volume reduction table

ADV		Reduction	Additional value
From	To	Reduction	Additional value
1	300	0%	0
301	1,100	10%	30
1,101	2,500	20%	140
2,501	4,500	25%	265
4,501	8,000	30%	490
8,001	12,000	40%	1,290
12,001	25,000	50%	2,490
25,001	50,000	55%	3,740
50,001	70,000	60%	6,240
More than 70,000		75%	16,740

Auctions of SCC and SCS

For transactions executed in auctions of U.S. Dollar Swaps with Reset Referencing One-Day Repurchase Agreements (SCS), the exchange fee is USD .00 and the registration fee is USD0.0319502.

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Calculation Rules

Product OC1 x U.S. Dollar Spread

Product FRO

Product Swap SCS