Family |
Products |
Commodity |
Risk factor |
Contract factor |
Day trade reduction |
Settlement fee |
Permanence 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
![tarifa_unica_outright_EN.png](data/files/9D/B6/6C/5D/B0F41810C493CD08AC094EA8/tarifa_unica_outright_EN.png)
Risk factor table
Months to expiration |
Risk factor |
From |
To |
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 |
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.