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
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.