Base contracts for the average
  • US Dollar Spread Futures Contract Referencing One-Day Repurchase Agreement  (DCO)
  • Forward Rate Agreement on One-Day Repurchase Agreement  x US Dollar Spread (FRO)
Applicable contracts
  • US Dollar Spread Futures Contract Referencing One-Day Repurchase Agreement  (DCO)
  • Forward Rate Agreement on One-Day Repurchase Agreement  x US Dollar Spread (FRO)
  • US Dollar Swap with Reset  Referencing One-Day Repurchase Agreements (SCS)

Specific unit cost calculation

form_unit_cost_individually.png

Where:

Unit Cost = the cost calculated for the exchange fee or the variable registration fee for one contract;

legenda_P.png = average cost calculated for the exchange fee or the variable registration fee, based on the ADV and the tables below, on a progressive way;

Term = term of the operation, in calendar days, limited to a minimum of 30 and maximum of 270 days. For the FRO, the term of the operation is given by difference between the term at the longer and the shorter legs of the contract;

Dollar = the offered PTAX foreign exchange rate on the last day of the month prior to that of the transaction.

Exchange fee and registration fee – fixed and variable components

ADV Exchange fee Registration fee
From To Variable component Fixed component (USD)*
1 100 0.0016816 0.0015925 0.0319502
101 1,000 0.0015135 0.0014332 0.0319502
1,001 1,400 0.0014574 0.0013801 0.0319502
1,401 3,400 0.0013453 0.0012739 0.0319502
3,401 14,850 0.0012892 0.0012209 0.0319502
More than 14,850 0.0011771 0.0011147 0.0319502

* This fee is not charged for OC1 x US Dollar spread futures contract which term is less than 90 days.

Incentive policies

The incentive policies below affect only the exchange fee and the variable registration fee. The fixed registration fee remains the same as described on the table.

  • Daytrade:
    • Futures: 50% of the unit cost calculated for the exchange fee and the variable registration fee of the futures.

SCS Auctions

For the auctions transactions with the US Dollar Swap with Reset  Referencing One-Day Repurchase Agreements (SCS), the exchange fee will be USD 1.00 and the registration fee will be USD 0.0319502.

Permanence fee

Contract Reduction factor (λ) Value per day (p)
OC1 x US Dollar spread 0.84 USD 0.00096
SCS 1.00 USD 0.00096

Settlement fee

For the OC1 x US Dollar spread contracts, a settlement fee of USD 0.11 will be charged per contract at the settlement.