The table below shows the Risk Management parameters as per the B3 Clearinghouse Risk Management Manual.
Last updated: 17/10/2025
| Risk Management – Published Parameters | |
| B3&FBOVESPA Clearinghouse Risk Management Manual section | Parameter |
| 4.3 Post-trade risk monitoring | |
| 4.3.2 Operating balance | |
| 4.3.2.1 Intraday risk of full trading participants or settlement participants | |
| 1) n-Largest Aggregations per CORE 2 Document | Greater or equal to 2 |
| 2) n-Largest Aggregations per CORE 0 Document | Greater or equal to 2 |
| 6.1 - Eligibility criteria: The clearinghouse will not accept the collateral constituition an assets: ii) to whitch is attributed, a maximum haircut for participant's risk calculation purpose, greater than a defined parameter |
greater or equal to 60% |
| 6.1.1 - Eligible assets – Share of a stock e Certificates of deposit of shares of a stock (units) | |
| 3) Number of months ended for calculation of the closing price average of each stock, UNIT or ETF accepted as collateral | m1 = 4 months |
| 4) Percentage of trading floor presence | p1 = 100% |
| 5) Number of months ended for the calculation of percentage of trading floor presence | m2 = 4 months |
| 6) Minimum median of the daily number of trades | q = 1,500 |
| 7) Number of months ended for the calculation of the median of trades | m3 = 4 months |
| 8) Minimum median of the daily financial volume traded | v1 = 6,000,000 |
| 9) Number of months ended for calculation of the median of the daily financial volume traded | m4 = 4 months |
| 10) Minimum volume of free float percentage considered | v2 = 1,000,000 |
| 11) Number of months ended for calculation of the median of the daily volume Free float | m5 = 4 months |
| 12) Free float percentage | p2 = 100% |
| 6.1.1 - Eligible assets - Debentures | |
| 13) Issuer´s credit rating by all credit rating agencies that rate it | r1 = AAA |
| 14) Average maturity (duration) | y1 = 10 years |
| 15) Number of months ended for calculation of the daily financial volume | m1= 12 months |
| 16) Minimum median of the daily financial volume traded | v1= 500.000 |
| 17) Issuance Volume | v2 = 300.000.000 |
| 18) Difference between the indicative rate of the debenture and the indicative rate of the government bond with equivalent average time to maturity (duration) and index | s1= 200 bps |
| 19) Number of months ended for the calculation of percentage of trading floor presence | m2 = 6 months |
| 20) Percentage of trading sessions | p1 = 25% |
| 6.3 Limits for accepting assets as collateral | |
| 6.3.1 Limits for bank LCs, CDs, LCIs and LCAs | |
| 6.3.1.2 Deposit limits per participant or group of participants for the securities issued by guarantee issuing banks | |
| 21) Percentage of the deposit limit of the issuing bank equivalent to the deposit limit per participant or group of participants under securities issued by this issuing bank | p1 = 25% |
| 6.3.1.3 Limits for deposits through trading participants, full trading participants, settlement participants, or clearing members linked to guarantee issuing banks | |
| 22) Percentage of the deposit limit of the issuing bank equivalent to the deposit limit via trading participant, full trading participant, settlement participant, or clearing member linked to this issuing bank | p2 = 0% |
| 6.3.2 Deposit limit for bank CDs, LCIs and LCA with no early redemption clauses | |
| 23) Deposit limit for bank CDs, LCIs and LCA with no early redemption clause or with early redemption clauses after a future date (by participant or group of participants). | L = BRL 5,000,000 |
| 6.3.3 Deposit limits for federal government bonds as third-party collateral | |
| 24) Percentage of limit for third-party collateral will be strictly declared to each investor or group of investors. | p = 100%; TPLinvestors ≤ BRL 1,000,000,000 |
| 6.3.4 Acceptance limits for shares of stocks, ADRs, BDRs, ETF shares, certificates of deposit of shares (units), debentures and shares of stock traded abroad | |
| 25) Parameter set for each asset i based on liquidity measure. | c(i) = 3 |
| 26)Acceptance limit for Debentures per issuance serie (by participant or group of participants) | FixedLimit1(i,j) = BRL 100.000.000 |
| p1(i,j) = 5% | |
| 27)Acceptance limit for Debentures per group of issuers | FixedLimit2(k) = BRL 100.000.000 |
| p2(k) = 5% | |
| 28)Acceptance limit for Debentures per duration | Until 5 years: d(T) = 5% FixedLimit3(T) = BRL 1.500.000.000 |
| Between 5 and 8 years: d(T) = 4% FixedLimit3(T) = BRL 500.000.000 |
|
| Between 8 and 10 years: d(T) = 2% FixedLimit3(T) = BRL 100.000.000 |
|
| 6.3.4.1 Limit for depositing collateral subject to wrong way risk | |
| 29) Limit for depositing collateral subject to wrong way risk | LDcorrel,c = BRL 250.000 |
| 6.3.5 Utilization limits for illiquid collateral | |
| 30) Utilization limit for illiquid collateral (by participant or group of participants). | BRL 7,500,000,000 – Liquidity Resource Amount used in CORE0 |
| 6.3.9 Limits of sovereign bonds deposited abroad | |
| 31) Debt securities issued by the Dutch Treasury (by participant or group of participants) | Fixed rate DSLs with maturity between 1 and 10 years EUR 100.000.000 |
| 32) Debt securities issued by the CanandianTreasury (by participant or group of participants) | Fixed rate bonds with maturity in 10 years USD 400.000.000 |
| 33) Debt securities issued by the Mexican Treasury (by participant or group of participants) | CETES with maturity between 3 months and 10 years BONOS with maturity between 1 and 10 years USD 100.000.000 |
| 34) Debt securities issued by the French Treasury (by participant or group of participants) | Fixed rate OATs with maturity between 1 and 10 years EUR 300.000.000 |
| 35) Debt securities issued by the German Treasury (by participant or group of participants) | BRL 7.500.000.000 |
| 36) Debt securities issued by the US Treasury (by participant or group of participants) | BRL 7.500.000.000 |
| 7.4 Closeout strategy | |
| 7.6 Determining risk measures | |
| 7.6.2 Transitory loss | |
| 7.6.2.1 Temporary liquidity needs | |
| 37) Positions sets eligible to utilize the liquidity provision | |
| First Set | Positions in the spot market (to be settled), in the equities forward market, in the options equities market, equities market, fixed income ETF markets and govenment debt securities lending market, in the repo positions in governament debt, in the stock futures market, in the IBOVESPA futures market, in the IBOVESPA B3 BR+ futures market and in the SMALL CAPS Index futures market. |
| 7.6.6 Minimum margin for options | |
| 38) Minimum delta defined for written option position | δmin = 10% |
| 39) Minimum delta defined for purchased option position | δmin = 15% |
| 7.7 Module CORE0 – Risk calculation of allocated positions under the collateralization mode by investors | |
| 40) Maximum initial value assigned by the Clearinghouse available for use as a liquidity resource for investors. | VRLCORE0 = BRL 7,500,000,000 |
| 7.8 Module CORE1 – Risk calculation for unallocated transactions | |
| 41) Maximum initial value assigned by the Clearinghouse available for use as a liquidity resource for unallocated positions. | VRLCORE1 = BRL 1,400,000,000 |
| 7.9 Module CORE2 – Risk of allocated positions collateralized by full trading participants or settlement participants | |
| 7.9.1 Risk calculation | |
| 42) Maximum initial value assigned by the Clearinghouse of liquidity resources for unallocated and collateralized positions by participants. | VRLCORE2 = BRL 2,300,000,000 |