Family | Product | Commodity | Risck factor | Contract factor | Day trade reduction | Settlement fee | Permanence fee | |
---|---|---|---|---|---|---|---|---|
p | λ | |||||||
DI1 Futures | One-Day Interbank Deposit Rate Futures Contract | DI1 | See table | BRL1.00 | 70% | BRL0.01166 | BRL0.00816 | 0.73 |
Trade at Settlement of DI1 Futures | DIT | BRL1.25 | N/A | N/A | N/A | |||
Neutral DV01 Structured Product | DII | BRL2.00 | N/A | N/A | N/A | |||
Neutral PU Structured Product | DIF | BRL2.50 | N/A | N/A | N/A |
Calculation formulas
Risk factor table
Months to expiration | Risk factor | |
---|---|---|
From | To | |
1 | 1 | 0.01 |
2 | 2 | 0.04 |
3 | 3 | 0.08 |
4 | 6 | 0.18 |
7 | 9 | 0.36 |
10 | 12 | 0.55 |
13 | 15 | 0.77 |
16 | 18 | 0.97 |
19 | 21 | 1.18 |
22 | 24 | 1.37 |
25 | 27 | 1.55 |
28 | 30 | 1.70 |
31 | 33 | 1.84 |
34 | 36 | 1.97 |
37 | 42 | 2.15 |
43 | 48 | 2.34 |
49 | 54 | 2.54 |
55 | 60 | 2.70 |
61 | 72 | 2.86 |
73 | 84 | 3.04 |
85 | 96 | 3.20 |
97 | 108 | 3.43 |
109 | 120 | 3.52 |
121 | 132 | 3.59 |
133 | 144 | 3.66 |
145 | 156 | 3.73 |
157 | 168 | 3.80 |
169 | 180 | 3.88 |
More than 180 | 3.88 |
Volume reduction table
ADV | Reduction | Additional value | |
---|---|---|---|
From | To | ||
1 | 3,000 | 0% | 0 |
3,001 | 12,000 | 15% | 450 |
12,001 | 21,000 | 20% | 1,050 |
21,001 | 35,000 | 30% | 3,150 |
35,001 | 60,000 | 40% | 6,650 |
60,001 | 100,000 | 45% | 9,650 |
100,001 | 160,000 | 50% | 14,650 |
160,001 | 350,000 | 55% | 22,650 |
351,001 | 650,000 | 70% | 75,150 |
More than 650,000 | 80% | 140,150 |