B3 determines position limits according to the open interest of customers or groups of customers acting in concert.

Two limits are defined for each instrument, taken from the maximum between a determined percentage of the total quantity of open interest contracts on the market and a fixed quantity of contracts (defined by B3) in accordance with the following formulas:

Limit1 = maximum [P1 × Q; L1]
Limit2 = maximum [P2 × Q; L2]

Where:

Q = total quantity of open interest in instrument i.
P1 and P2 = percentage applied to quantities of open interest, Qi, in reference to instrument i.
L1 and L2 = fixed quantities of contracts, established by B3, in reference to instrument i.

The position limits in PNP and PL aggregation level are defined in accordance with the following formula:

Limit = maximum [ P1=P2 = 75% × Q; 2 x L2 defined for customers or groups of customers]

Details about the calculation methodology of the limits and the B3 procedures in case of violations are contained in the Risk Management Manual.

Parameters Position Limits

Forward contracts, security lending and options contracts based on assets traded in equity market

Aggregation Level Limit (% do Free Float)
Investor and Group of Investors                                                  5%
Full trading participant and Settlement participant                                                 15%

Financial futures contracts

Futures contract Contract month Parameters and position limits
P1 L1 P2 L2
BVMF FTSE/JSE Top40 (JSE) All 20% 500 50% 1,000
BVMF Hang Seng (HSI) All 20% 500 50% 1,000
BVMF MICEX (MIX) All 20% 500 50% 1,000
BVMF SENSEX (BSE) All 20% 500 50% 1,000
BVMF S&P 500 (ISP) All 20% 5,000 50% 10,000
CDS Brasil All 20% 3,000 50% 6,000
Cupom cambial (DDI) e swap cambial com ajuste (SCC) All 20% 10,000 50% 20,000
Cupom cambial com ajuste Selic (DCO) e swap cambial com ajuste Selic (SCS) All 20% 10,000 50% 20,000
Cupom de IGP-M (DDM) All 20% 1,500 50% 3,000
Dólar (DOL) All 20% 10,000 50% 20,000
Dólar Australiano (AUD) All 20% 3,000 50% 6,000
Dólar Canadense (CAD) All 20% 3,000 50% 6,000
Dólar da Nova Zelândia (NZD) All 20% 500 50% 1,000
Euro (EBR) All 20% 3,000 50% 6,000
Franco Suíço (CHF) All 20% 3,000 50% 6,000
Global Bonds All 20% 3,000 50% 6,000
IBrX-50 (BRI) All 20% 7,000 50% 14,000
Iene (JPY) All 20% 3,000 50% 6,000
IGP-M (IGM) All 20% 5,000 50% 10,000
Índice Ibovespa (IND) All 20% 12,000 50% 24,000
Índice Merval (IMV) All 20% 50 50% 100
Índice Nikkei (INK) All 20% 600 50% 1,200
IPCA (IAP) All 20% 1,500 50% 3,000
IUAN (CNY) All 20% 150 50% 300
Libra Esterlina (GBP) All 20% 3,000 50% 6,000
Lira Turca (TRY) All 20% 590 50% 5,900
Ouro (OZ1) All 20% 3,000 50% 6,000
Peso Chileno (CLP) All 20% 250 50% 500
Peso Mexicano (MXN) All 20% 1,250 50% 2,500
Rande da África do Sul (ZAR) All 20% 2,000 50% 4,000
US T-Note (T10) All 20% 3,000 50% 6,000
Dólar (WDO) All 20% 50,000 50% 100,000
Euro (WEU) All 20% 15,000 50% 30,000
Ibovespa (WIN) 1º maturities 20% 60,000 50% 200,000
Others 20% 60,000 50% 120,000
Euro (EUP) All 20% 15,000 50% 30,000
Iene (JAP) All 20% 15,000 50% 30,000
Libra Esterlina (GBR) All 20% 11,500 50% 23,000
Dólar Australiano (AUS) All 20% 20,500 50% 41,000
Dólar Canadense (CAN) All 20% 15,000 50% 30,000
Franco Suíço (SWI) All 20% 15,000 50% 30,000
Dólar da Nova Zelândia (NZL) All 20% 15,000 50% 30,000
Coroa Sueca (SEK) All 20% 5,000 50% 10,000
Coroa Norueguesa (NOK) All 20% 5,000 50% 10,000
Peso Mexicano (MEX) All 20% 5,000 50% 10,000
Rande da África do Sul (AFS) All 20% 5,000 50% 10,000
Peso Chileno (CHL) All 20% 750 50% 5,000
Iuan (CNH) All 20% 750 50% 7,500
Rublo Russo (RUB) All 20% 750 50% 7,500
Lira Turca (TUQ) All 20% 750 50% 7,500
Peso Argentino por Real (ARB) All 20% 750 50% 3,710
Peso Argentino por Dólar (ARS) All 20% 750 50% 1,500
Micro S&P 500 (WSP) All 20% 5,000 50% 10,000
B3SAO All 20% 519,210 50% 1,038,421
CCROO All 20% 1,428,571 50% 2,857,142
CIELO All 20% 3,229,974 50% 6,459,948
CMIGP All 20% 1,950,078 50% 3,900,156
HYPEO All 20% 744,490 50% 1,488,981
COGNO All 20% 2,434,274 50% 4,868,549
PCARP All 20% 311,448 50% 622,897
PETRP All 20% 4,232,983 50% 8,465,966
PSSAO All 20% 423,728 50% 847,457
USIMA All 20% 2,965,599 50% 5,931,198
VALEO All 20% 2,481,635 50% 4,963,271
VVARO All 20% 2,910,360 50% 5,820,721

DI x IPCA Spread Futures

Contract month Parameters and position limits
P1 L1 P2 L2
G20 20% 5,000 50% 30,000
H20 20% 5,000 50% 15,000
K20 20% 5,000 50% 10,000
Q20 20% 10,000  50% 40,000 
F21 20% 5,000  50% 30,000 
K21 20% 35,000  50% 70,000 
Q22 20% 25,000  50% 50,000 
K23 20% 15,000  50% 30,000 
Q24 20% 30,000  50% 60,000 
K25 20% 4,500 50% 9,500
Q26 20% 10,000  50% 15,000 
Q28 20% 15,000  50% 25,000 
Q30 20% 5,000  50% 10,000 
K35 20% 5,000  50% 20,000 
Others 20% 5,000  50% 10,000 

DI futures contract

The position limits for each DI futures contract month are calculated by the ratio between the duration of the theoretical contract expiring in one year (252 business days) and the duration of the contract month in question.

Contract's duration
(business days until expiration)
Parameters and position limits
P1 L1 P2 L2
To 63 20% 255,000 50% 450,000
Between 64 e 84 20% 150,000 50% 300,000
Between 85 e 105 20% 135,000 50% 270,000
Between 106 e 126 20% 125,000 50% 250,000
Between 127 e 189 20% 120,000 50% 240,000
Between 190 e 252 20% 105,000 50% 210,000
Between 253 e 378 20% 85,000 50% 170,000
Between 379 e 504 20% 75,000 50% 150,000
Between 505 e 630 20% 70,000 50% 140,000
Between 631 e 756 20% 65,000 50% 130,000
Between 757 e 1.008 20% 50,000 50% 100,000
Between 1,009 e 1,260 20% 35,000 50% 70,000
Between 1,261 e 1,512 20% 24,000 50% 48,000
Between 1,513 e 1,764 20% 21,500 50% 43,000
Between 1,765 e 2,016 20% 19,500 50% 39,000
Between 2,017 e 2,268 20% 18,000 50% 36,000
Between 2,269 e 2,520 20% 16,500 50% 33,000
Above de 2,521 20% 15,000 50% 30,000

OC1 futures contract

The position limits for each OCI futures contract month are calculated by the ratio between the duration of the theoretical contract expiring in one year (252 business days) and the duration of the contract month in question.

Contract's duration
(business days until expiration)
Parameters and position limits
P1 L1 P2 L2
To 63 20% 162,000 50% 486,000
Between 64 e 84 20% 123,000 50% 369,000
Between 85 e 105 20% 99,000 50% 297,000
Between 106 e 126 20% 83,000 50% 249,000
Between 127 e 189 20% 57,000 50% 171,000
Between 190 e 252 20% 44,000 50% 132,000
Between 253 e 378 20% 30,000 50% 90,000
Between 379 e 504 20% 24,000 50% 72,000
Between 505 e 630 20% 20,000 50% 60,000
Between 631 e 756 20% 18,000 50% 54,000
Between 757 e 1.008 20% 15,000 50% 45,000
Between 1.009 e 1.260 20% 13,000 50% 39,000
Between 1.261 e 1.512 20% 12,000 50% 36,000
Between 1.513 e 1.764 20% 11,000 50% 33,000
Between 1.765 e 2.016 20% 11,000 50% 33,000
Between 2.017 e 2.268 20% 11,000 50% 33,000
Between 2.269 e 2.520 20% 11,000 50% 33,000
Above de 2.521 20% 10,000 50% 30,000

Commodity futures contracts

Futures contract Duration until expiration Parameters and position limits
P1 L1 P2 L2
Arabica coffee (ICF & KFE) - Sep & Dec contract months Fewer than 22 business days 25% 1.100 50% 2.200
Arabica coffee (ICF & KFE) - Sep & Dec contract months 65 to 23 business days 25% 1.500 50% 3.000
Arabica coffee (ICF & KFE) - Sep & Dec contract months 253 to 66 business days 25% 2.000 50% 4.000
Arabica coffee (ICF & KFE) - Sep & Dec contract months 379 to 254 business days 25% 1.500 50% 3.000
Arabica coffee (ICF & KFE) - Sep & Dec contract months More than 380 business days 25% 1.100 50% 2.200
Arabica coffee (ICF & KFE) Other maturities 25% 1.100 50% 2.200
Cash-settled corn (CCM)  All 25% 4.000 50% 8.000
Corn price basis (CTM/COP/CRV/CPG) Fewer than 126 business days 25% 2.000 50% 4.000
Corn price basis (CTM/COP/CRV/CPG) More than 127 business days 25% 1.400 50% 2.800
Live cattle (BGI) All 25% 1.800 50% 3.600
Cash settled soybean (SFI) All 25% 2.200 50% 4.400
CME Group mini-sized soybean (SJC) All 25% 2.200 50% 4.400
Anhydrous fuel ethanol (ETN) All 25% 1.200 50% 2.400
Cash settled hydrous ethanol (ETH) All 25% 1.200 50% 2.400
Cash-settled crystal sugar (ACF) All 25% 1.200 50% 2.400
CME Group light sweet crude oil (WTI) All 25% 3.000 50% 6.000

Financial options on actuals and on futures

According to the Circular Letter 033-2010-DP dated 23/08/2010, the open interest limits for options contracts becomes to consider delta-equivalent positions, as its respective L(t) shown below.

Option's underlying Option's expiration Parameters and position limits
P1 L1 P2 L2
BVMF S&P 500 (ISP) All 25% 1,250 50% 2,500
US Dollar (DOL) All 25% 1,100 50% 2,200
IDI Index (IDI) To 126 business days  25% 10,000 50% 30,000
IDI Index (IDI) Between 127 and 252 business days 25% 7,000 50% 20,000
IDI Index (IDI) Between 253 and 504 business days 25% 3,500 50% 10,000
IDI Index (IDI) Above 504 business days 25% 1,200 50% 3,500
ITC Index To 126 business days 25% 2,100 50% 6,300
ITC Index Between 127 and 252 business days 25% 1,900 50% 5,700
ITC Index Between 253 and 504 business days 25% 1,400 50% 4,200
ITC Index Above 504 business days 25% 1,000 50% 3,000
DI Futures (D11, D12, D13, D14, D15, D16, D17) To 126 business days 25% 20,750 50% 62,250
DI Futures (D11, D12, D13, D14, D15, D16, D17) Between 127 and 252 business days 25% 11,000 50% 33,000
DI Futures (D11, D12, D13, D14, D15, D16, D17) Between 253 and 504 business days 25% 6,000 50% 18,000
DI Futures (D11, D12, D13, D14, D15, D16, D17) Above 504 business days  25% 2,500 50% 7,500
Gold (OZ1) All 25% 800 50% 1,600
Dólar (WDO)  All 25% 12,500 50% 25,000

*Value in reference to the duration of the contract underlying the option, that is, the duration of the futures contract.

Options on commodity futures

Option's underlying Option's expiration Parameters and position limits
P1 L1 P2 L2
Arabica coffee (ICF & KFE) All 25% 500 50% 1.000
Live cattle (BGI) All 25% 450 50% 900
Cash settled soybean (SFI) All 25% 450 50% 900
CME Group mini-sized soybean (SJC) All 25% 450 50% 900
Cash-settled corn (CCM) All 25% 1.500 50% 3,000
Cash settled hydrous ethanol (ETH) All 25% 450 50% 900
Cash-settled crystal sugar (ACF) All 25% 300 50% 600