Position limits query

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

For derivatives market, 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 (including extended trading periods and after-hours).
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

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 S&P 500 (ISP)	All	20%	5,000	50%	10,000
Futuro padronizado do Índice DAX	All	20%	200	50%	400
Futuro de Euro Stoxx 50 (ESX)	All	20%	700	50%	1,400
Cupom cambial (DDI)	All	20%	10,000	50%	20,000
Cupom cambial com ajuste Selic (DCO)	All	20%	50	50%	100
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 (EUR)	All	20%	3,000	50%	8,500
Franco Suíço (CHF)	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
Índice Ibovespa (IND)*	First and Second expiration date	20%	24,000	50%	48,000
Índice Ibovespa (IND)*	Others expirations date **	20%	12,000	50%	24,000
Índice Ibovespa (IND)*	V26	20%	500	50%	500
Índice Ibovespa (IND)*	Z26	20%	500	50%	500
Índice Merval (IMV)	All	20%	50	50%	100
Índice Nikkei (INK)	All	20%	600	50%	1,200
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
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%	10,000	50%	20,000
Euro (EUP)	All	20%	30,000	50%	100,000
Iene (JAP)	All	20%	15,000	50%	45,000
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%	20,000
Futuro de DAX (DAX)	All	20%	200	50%	400
Euro Stoxx 50 (ESX)	All	20%	700	50%	1,400
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%	25,000
Rublo Russo (RUB)	All	20%	5	50%	10
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
Swap cambial com ajuste Selic (SCS)	All	20%	10,000	50%	20,000
IFIX (XFI)	All	20%	550	50%	1,100
Bitcoin (BIT)	All	20%	1,500	50%	1,500
ABEVO	First and Second expiration date	20%	4,205,214	50%	16,820,858
ABEVO	Third expiration date	20%	3,364,172	50%	14,718,251
ABEVO	Fourth expiration date	20%	3,364,172	50%	14,718,251
ABEVO	Fifth expiration date	20%	3,364,172	50%	12,615,643
ABEVO	Sixth expiration date	20%	3,364,172	50%	12,615,643
B3SAO	First and Second expiration date	20%	4,472,272	50%	35,778,175
B3SAO	Third expiration date	20%	4,472,272	50%	31,305,903
B3SAO	Fourth expiration date	20%	3,577,818	50%	26,833,631
B3SAO	Fifth expiration date	20%	2,683,363	50%	22,361,360
B3SAO	Sixth expiration date	20%	2,683,363	50%	22,361,360
BBASO	First and Second expiration date	20%	1,832,845	50%	7,331,378
BBASO	Third expiration date	20%	1,466,276	50%	6,414,956
BBASO	Fourth expiration date	20%	1,466,276	50%	6,414,956
BBASO	Fifth expiration date	20%	1,466,276	50%	5,498,534
BBASO	Sixth expiration date	20%	1,466,276	50%	5,498,534
BBDCP	First and Second expiration date	20%	3,840,246	50%	30,721,966
BBDCP	Third expiration date	20%	3,840,246	50%	26,881,720
BBDCP	Fourth expiration date	20%	3,072,197	50%	23,041,475
BBDCP	Fifth expiration date	20%	2,304,147	50%	19,201,229
BBDCP	Sixth expiration date	20%	2,304,147	50%	19,201,229
CCROO	First and Second expiration date	20%	828,912	50%	1,657,825
CCROO	Third expiration date	20%	497,347	50%	994,695
CCROO	Fourth expiration date	20%	497,347	50%	828,912
CCROO	Fifth expiration date	20%	331,565	50%	663,130
CCROO	Sixth expiration date	20%	331,565	50%	497,347
CIELO	First and Second expiration date	20%	3,717,472	50%	7,434,944
CIELO	Third expiration date	20%	2,973,978	50%	5,576,208
CIELO	Fourth expiration date	20%	1,858,736	50%	3,717,472
CIELO	Fifth expiration date	20%	1,486,989	50%	2,602,230
CIELO	Sixth expiration date	20%	743,494	50%	1,858,736
CMIGP	First and Second expiration date	20%	4,780,115	50%	9,560,229
CMIGP	Third expiration date	20%	3,824,092	50%	7,170,172
CMIGP	Fourth expiration date	20%	2,390,057	50%	4,780,115
CMIGP	Fifth expiration date	20%	1,912,046	50%	3,346,080
CMIGP	Sixth expiration date	20%	956,023	50%	2,390,057
COGNO	First and Second expiration date	20%	12,820,513	50%	25,641,026
COGNO	Third expiration date	20%	7,692,308	50%	15,384,615
COGNO	Fourth expiration date	20%	7,692,308	50%	12,820,513
COGNO	Fifth expiration date	20%	5,128,205	50%	10,256,410
COGNO	Sixth expiration date	20%	5,128,205	50%	7,692,308
CSNAO	First and Second expiration date	20%	2,032,520	50%	4,065,041
CSNAO	Third expiration date	20%	1,219,512	50%	2,439,024
CSNAO	Fourth expiration date	20%	1,219,512	50%	2,032,520
CSNAO	Fifth expiration date	20%	813,008	50%	1,626,016
CSNAO	Sixth expiration date	20%	813,008	50%	1,219,512
ELETO	First and Second expiration date	20%	1,371,366	50%	5,485,464
ELETO	Third expiration date	20%	1,097,093	50%	4,799,781
ELETO	Fourth expiration date	20%	1,097,093	50%	4,799,781
ELETO	Fifth expiration date	20%	1,097,093	50%	4,114,098
ELETO	Sixth expiration date	20%	1,097,093	50%	4,114,098
GGBRP	First and Second expiration date	20%	2,744,237	50%	5,488,474
GGBRP	Third expiration date	20%	2,195,390	50%	4,116,356
GGBRP	Fourth expiration date	20%	1,372,119	50%	2,744,237
GGBRP	Fifth expiration date	20%	1,097,695	50%	1,920,966
GGBRP	Sixth expiration date	20%	548,847	50%	1,372,119
HYPEO	First and Second expiration dateo	20%	1,911,315	50%	3,822,630
HYPEO	Third expiration date	20%	1,146,789	50%	2,293,578
HYPEO	Fourth expiration date	20%	1,146,789	50%	1,911,315
HYPEO	Fifth expiration date	20%	764,526	50%	1,529,052
HYPEO	Sixth expiration date	20%	764,526	50%	1,146,789
ITSAP	First and Second expiration date	20%	5,107,252	50%	20,429,009
ITSAP	Third expiration date	20%	4,085,802	50%	17,875,383
ITSAP	Fourth expiration date	20%	4,085,802	50%	17,875,383
ITSAP	Fifth expiration date	20%	4,085,802	50%	15,321,757
ITSAP	Sixth expiration date	20%	4,085,802	50%	15,321,757
ITUBP	First and Second expiration date	20%	1,564,456	50%	12,515,645
ITUBP	Third expiration date	20%	1,564,456	50%	10,951,189
ITUBP	Fourth expiration date	20%	1,251,564	50%	9,386,733
ITUBP	Fifth expiration date	20%	938,673	50%	7,822,278
ITUBP	Sixth expiration date	20%	938,673	50%	7,822,278
JBSSO	First and Second expiration dateo	20%	1,714,678	50%	3,429,355
JBSSO	Third expiration date	20%	1,371,742	50%	2,572,016
JBSSO	Fourth expiration date	20%	857,339	50%	1,714,678
JBSSO	Fifth expiration date	20%	685,871	50%	1,200,274
JBSSO	Sixth expiration date	20%	342,936	50%	857,339
LRENO	First and Second expiration date	20%	3,790,751	50%	7,581,501
LRENO	Third expiration date	20%	3,032,600	50%	5,686,126
LRENO	Fourth expiration date	20%	1,895,375	50%	3,790,751
LRENO	Fifth expiration date	20%	1,516,300	50%	2,653,525
LRENO	Sixth expiration date	20%	758,150	50%	1,895,375
MGLUO	First and Second expiration date	20%	8,944,544	50%	17,889,088
MGLUO	Third expiration date	20%	7,155,635	50%	13,416,816
MGLUO	Fourth expiration date	20%	4,472,272	50%	8,944,544
MGLUO	Fifth expiration date	20%	3,577,818	50%	6,261,181
MGLUO	Sixth expiration date	20%	1,788,909	50%	4,472,272
NTCOO	First and Second expiration date	20%	3,248,863	50%	6,497,726
NTCOO	Third expiration date	20%	2,599,090	50%	4,873,294
NTCOO	Fourth expiration date	20%	1,624,431	50%	3,248,863
NTCOO	Fifth expiration date	20%	1,299,545	50%	2,274,204
NTCOO	Sixth expiration date	20%	649,773	50%	1,624,431
PCARO	First and Second expiration date	20%	4,807,692	50%	9,615,385
PCARO	Third expiration date	20%	1,602,564	50%	4,807,692
PCARO	Fourth expiration date	20%	1,602,564	50%	3,205,128
PCARO	Fifth expiration date	20%	320,513	50%	1,602,564
PCARO	Sixth expiration date	20%	320,513	50%	1,602,564
PETRP	First and Second expiration date	20%	6,709,608	50%	34,889,962
PETRP	Third expiration date	20%	5,099,302	50%	26,838,433
PETRP	Fourth expiration date	20%	4,562,534	50%	24,154,589
PETRP	Fifth expiration date	20%	4,025,765	50%	21,470,746
PETRP	Sixth expiration date	20%	3,488,996	50%	18,786,903
PSSAO	First and Second expiration date	20%	491,965	50%	983,929
PSSAO	Third expiration date	20%	163,988	50%	491,965
PSSAO	Fourth expiration date	20%	163,988	50%	327,976
PSSAO	Fifth expiration date	20%	32,798	50%	163,988
PSSAO	Sixth expiration date	20%	32,798	50%	163,988
RENTO	First and Second expiration date	20%	1,104,728	50%	4,418,913
RENTO	Third expiration date	20%	883,783	50%	3,866,549
RENTO	Fourth expiration date	20%	883,783	50%	3,866,549
RENTO	Fifth expiration date	20%	883,783	50%	3,314,185
RENTO	Sixth expiration date	20%	883,783	50%	3,314,185
SUZBO	First and Second expiration date	20%	1,020,825	50%	4,083,299
SUZBO	Third expiration date	20%	816,660	50%	3,572,887
SUZBO	Fourth expiration date	20%	816,660	50%	3,572,887
SUZBO	Fifth expiration date	20%	816,660	50%	3,062,474
SUZBO	Sixth expiration date	20%	816,660	50%	3,062,474
USIMA	First and Second expiration date	20%	3,097,893	50%	6,195,787
USIMA	Third expiration date	20%	1,858,736	50%	3,717,472
USIMA	Fourth expiration date	20%	1,858,736	50%	3,097,893
USIMA	Fifth expiration date	20%	1,239,157	50%	2,478,315
USIMA	Sixth expiration date	20%	1,239,157	50%	1,858,736
VALEO	First and Second expiration date	20%	3,801,703	50%	19,768,856
VALEO	Third expiration date	20%	2,889,294	50%	15,206,813
VALEO	Fourth expiration date	20%	2,585,158	50%	13,686,131
VALEO	Fifth expiration date	20%	2,281,022	50%	12,165,450
VALEO	Sixth expiration date	20%	1,976,886	50%	10,644,769
WEGEO	First and Second expiration date	20%	1,323,802	50%	5,295,208
WEGEO	Third expiration date	20%	1,059,042	50%	4,633,307
WEGEO	Fourth expiration date	20%	1,059,042	50%	4,633,307
WEGEO	Fifth expiration date	20%	1,059,042	50%	3,971,406
WEGEO	Sixth expiration date	20%	1,059,042	50%	3,971,406

* According to the Risk Management Manual ( section 5.1.1), an instrument is definded by the set of futures contracts on the same underlying with the same maturity, therefore, future contracts are consolidated with their respective mini contracts.

** Except expiration date october and december 2026

DI x IPCA Spread Futures

Contract month	Parameters and position limits
	P1	L1	P2	L2
U24	20%	5,000	50%	150,000
V24	20%	5,000	50%	100,000
X24	20%	5,000	50%	65,000
Z24	20%	5,000	50%	80,000
F25	20%	5,000	50%	80,000
G25	20%	5,000	50%	55,000
K25	20%	60,000	50%	120,000
Q26	20%	54,000	50%	108,000
K27	20%	40,000	50%	80,000
Q28	20%	38,000	50%	76,000
K29	20%	36,000	50%	72,000
Q30	20%	16,000	50%	32,000
Q32	20%	15,000	50%	30,000
K33	20%	11,000	50%	22,000
K35	20%	20,000	50%	40,000
Q50	20%	11,000	50%	22,000
Q60	20%	6,000	50%	12,000
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	Parameters and position limits
	P1	L1	P2	L2
All	20%	300	50%	600

Commodity futures contracts

Futures contract	Duration until expiration	Parameters and position limits
		P1	L1	P2	L2
Arabica coffee (ICF) - Mar, Sep & Dec contract months	Up to 22 business days	25%	1.100	50%	2.200
Arabica coffee (ICF) - Mar, Sep & Dec contract months	23 to 65 business days	25%	1.500	50%	3.000
Arabica coffee (ICF) - Mar, Sep & Dec contract months	66 to 253 business days	25%	2.000	50%	4.000
Arabica coffee (ICF) - Mar, Sep & Dec contract months	254 to 379 business days	25%	1.500	50%	3.000
Arabica coffee (ICF) - Mar, Sep & Dec contract months	More than 380 business days	25%	1.100	50%	2.200
Arabica coffee (ICF)	Other maturities	25%	1.100	50%	2.200
Conilon Robusta coffee (CNL) - Jan, Mar, Sep  & Nov months	Up to 22 business days	25%	700	50%	1,400
Conilon Robusta coffee (CNL) - Jan, Mar, Sep  & Nov months	23 to 65 business days	25%	1,000	50%	2,000
Conilon Robusta coffee (CNL) - Jan, Mar, Sep  & Nov months	66 to 253 business days	25%	1,300	50%	2,600
Conilon Robusta coffee (CNL) - Jan, Mar, Sep  & Nov months	254 to 379 business days	25%	1,000	50%	2,000
Conilon Robusta coffee (CNL) - Jan, Mar, Sep  & Nov months	More than 380 business days	25%	700	50%	1,400
Conilon Robusta coffee (CNL)	Other maturities	25%	700	50%	1,400
Cash-settled corn (CCM)	All	25%	4.000	50%	8.000
Live cattle (BGI) - Oct month	Up to 22 business days	25%	3,500	50%	7,000
Live cattle (BGI) - Oct month	23 to 65 business days	25%	3,500	50%	7,000
Live cattle (BGI) - Oct month	66 to 253 business days	25%	3,500	50%	7,000
Live cattle (BGI) - Oct month	254 to 379 business days	25%	1,500	50%	3,000
Live cattle (BGI) - Oct month	More than 380 business days	25%	500	50%	1,000
Live cattle (BGI) - Jan, Feb, May, Nov & Dec months	Up to 22 business days	25%	3,500	50%	7,000
Live cattle (BGI) - Jan, Feb, May, Nov & Dec months	23 to 65 business days	25%	1,500	50%	3,000
Live cattle (BGI) - Jan, Feb, May, Nov & Dec months	66 to 253 business days	25%	500	50%	1,000
Live cattle (BGI) - Jan, Feb, May, Nov & Dec months	254 to 379 business days	25%	500	50%	1,000
Live cattle (BGI) - Jan, Feb, May, Nov & Dec months	More than 380 business days	25%	500	50%	1,000
Live cattle (BGI) - Other months	Up to 22 business days	25%	1,500	50%	3,000
Live cattle (BGI) - Other months	More than 22 business days	25%	500	50%	1,000
CME Group mini-sized soybean (SJC)	All	25%	2.200	50%	4.400
FOB Santos soybean with Cash settled (SOY)	All	25%	600	50%	1,200
Cash settled hydrous ethanol (ETH)	All	25%	1.200	50%	2.400

According to the Risk Management Manual ( section 5.1.1), for instruments underlying futures or options contracts in the commodity derivatives market with physical delivery and maturity or expiration dates on the first contract month, B3 may set the following Limits 1 and 2 that consider the convergence factor.

Market	Asset	D(i,1)=D(i,2)	Alpha(i,1)	Alpha(i,2)	Q_E
Future	ICF	10	100%	100%	1,000
Future	CNL	10	100%	100%	1,000

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
IBOVESPA Index (IBOV11)	To 126 business days	25%	3,000	50%	30,000
IBOVESPA Index (IBOV11)	Between 127 and 252 business days	25%	3,000	50%	25,000
IBOVESPA Index (IBOV11)	Between 253 and 378 business days	25%	3,000	50%	20,000
IBOVESPA Index (IBOV11)	Between 379 and 504 business days	25%	3,000	50%	15,000
IBOVESPA Index (IBOV11)	Between 505 and 588 business days	25%	3,000	50%	5,000
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

*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)	All	25%	500	50%	1.000
Conilon Robusta coffee future (CNL)	All	25%	2,900	50%	5,800
Live cattle (BGI)	All	25%	450	50%	900
CME Group mini-sized soybean (SJC)	All	25%	1,350	50%	2,700
FOB Santos soybean with Cash settled (SOY)	All	25%	300	50%	600
Cash-settled corn (CCM)	All	25%	2,250	50%	4,500
Cash settled hydrous ethanol (ETH)	All	25%	450	50%	900

Options on COPOM

Option's underlying	Option's expiration	Parameters and position limits
		P1	L1	P2	L2
Selic interest rate (CPM)	All	50%	15.000	50%	15.000

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

For equity market, two limits are defined for each instrument, in accordance with the following formulas:

Limit1 = minimum [P_circ x FF; maximum [P1 x Q; L1]] e Limit2 = minimum [P_circ x FF; maximum [P2 x Q; L2]]

Where:

P_circ = percentage, established by B3, of underlying asset;
FF = underlying asset free float;;
P1 e P2 = parameters, established by B3, for underlying asset;
Q = the mediano f the quantity underlying asset traded daily over a given period of time define by B3
L1 e L2 = the fixed quantity, defined by B3, for underlying asset;

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

Limit = mininum [P_circ x FF; maximum [(4 x P2) x Q; 4 x L2]] -> P2 e L2 definidos por cliente ou grupo de clientes

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

Position limit for contracts traded in the cash equities market - Market aggregation level

Asset Class		Pcirc (% of Free Float)
Securities Lending - BTB		35%
Option		25%
Forward		15%
Future		5%
Flexibles Options (OTC)	Call without barrier	5%
	Call with barrier	5%
	Put without barrier	5%
	Put with barrier	5%

B3 considers as a free float, for each asset class:

Asset Class	Free Float
Stocks/Units	Total quantity of the underlying asset outstanding
BDRs	Total quantity of the underlying asset outstanding in reference exchange
National ETFs	Minimum of the underlying assets outstanding components of portfolio, proportional of index composition
Fixed Income and Crypto ETFs/REITs/FIPs	Total quantity of shares registered in depositary
International ETFs	Portfolio composed with a single asset: total of quantity of composition asset shares outstanding registered in reference exchange
	Portfolio composed with a two or more assets: total quantity of shares outstanding registered in B3 depositary

For Fixed Income and Crypto ETFs

The PCirc parameter for Government Bond, Corporate Debt and Cryptocurrencies ETFs for all aggregation levels follow the formula:

P_circ,2  = max [ 5% ; MIN [ (Limite Net Asset Value / Share Value) / Free Float ; 100%] ]

Where Limit Net Asset Value (NAV) is defined as:

ETF Class	Limit NAV (BRL)	Minimum NAV (BRL)
Government Bond	100,000,000	2,000,000,000
Corporate Debt	25,000,000	500,000,000
Cryptocurrencies	25,000,000	500,000,000

ETFs whose Net Asset Value (NAV) is less than or equal to the Minimum NAV defined in the table above would have their P_Circ,2 parameter increased, so that the position concentration limit for investors, group of investors and participant aggregations is at least equivalent to the values described in the table above, Limit NAV, or 100% of their NAV, whichever is lower.

Therefore, the following market position concentration limit table will apply only to ETFs that fall within the Net Asset Value range described in the table above:

Market Position Limits (% of Free Float)		NAV < Minimum NAV	NAV ≥ Minimum NAV
Securities Lending - BTB		≤ 100%	35%
Forward		≤ 100%	15%
Options		0%	5%
Future		0%	25%
Flexibles Options (OTC)	Call without barrier	0%	5%
	Call with barrier	0%	5%
	Put without barrier	0%	5%
	Put with barrier	0%	5%

Position Limits by Instruments Group

For each primitive risk factor (PRF), groups of instruments are defined that share exposure to this PRF. This is an additional control to the already existing one, which establishes limits per instruments.

The aggregated position for the groups of instruments will be given in the number of equivalent contracts of a pivot instrument of the group, which is a representative instrument of that PRF:

Q (Inv) =  ∑ _{C ∈ Inv} (Q_c (Inv) x Δ_GF,c)

Where:

Q_c(Comit) = Total quantity of contract c, long (positive) or short (negative), of investor Inv;

Δ_GF,c = The factor that converts contract c into equivalent quantities of the pivot instrument of the instrument group GF;

The factor Δ_GF,c that converts positions into equivalent quantities of the pivot instrument is calculated using a reference parameter of the PRF:

Δ_GF,c = refParameter_instrument / refParameter_pivot

The reference parameters for each PRF are described in the table below:

PRF Name	Reference Parameter
		PRE	DV01

The limits for an instrument group will be calculated with reference to the pivot instrument parameters.

Limit₁ = max [P1 x Q; L1];

Limit₂ = max [P2 x Q; L2].

Where:

Q = Total quantity of open interest in pivot instrument (including extended trading periods and after-hours).

 P1 e P2 = Percentage applied to quantities of open interest, in reference to instrument group.

 L1 e L2 = Fixed quantities of contracts, established by B3, in reference to instrument group.

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

Additional Margin

The additional margin to be required of a participant in case of violation of any position limits is calculated according to the following formula:

 AddMargin_i = (MaxTM_i x ExcessLimit_i,1 x p_i,1) + (MaxTM_i x ExcessLimit_i,2 x p_i,2)

Where:

MaxTM_i: the maximum theoretical margin for instrument i
ExcessLimit₁ and ExcessLimit₂: the position in instrument i in excess of Limit₁ or Limit₂ respectively;
p_i,1 e p_i,2: the percentage set by B3 for Limit_i,n violations, whose value depends on the participant portfolio, for instrument i;

1) Instruments of financial and commodity derivatives markets and futures contracts on assets traded in the cash equities market – exchange traded.

Rule	pi,1	pi,2
Aggregate quantity* > Instrument Daily Liquidity Limit	30%	100%
Aggregate quantity* <= Instrument Daily Liquidity Limit	50%	100%

* Participant aggregate quantity (according to rules at item 5.2.1 in Clearinghouse risk management manual).

2) Instruments of options contracts traded in the financial and commodity derivatives markets – exchange traded.

pi,1	pi,2
50%	100%

3) Instruments of forward contracts and securities lending agreements on assets traded in the equities and corporate debt markets and options contracts on assets traded in the equities and corporate debt markets.

Regra	pi,1	pi,2
0 < Days to settle exceeded position* <= 1	11%	100%
1 < Days to settle exceeded position* <= 2	16%	100%
2 < Days to settle exceeded position* <= 3	21%	100%
3 < Days to settle exceeded position* <= 4	26%	100%
4 < Days to settle exceeded position* <= 5	31%	100%
5 < Days to settle exceeded position* <= 6	36%	100%
6 < Days to settle exceeded position* <= 7	40%	100%
7 < Days to settle exceeded position* <= 8	45%	100%
8 < Days to settle exceeded position* <= 9	49%	100%
9 <Days to settle exceeded position*	54%	100%

* Days to settle exceeded position = Aggregate quantity (according to rules at itens 5.2.2 e 5.2.4 in Clearinghouse risk management manual) in excess of Limit_i,1.

4) For the following instruments, positions held by an investor will be netted by the positions on opposite sides (long or short) of other instruments with similar risk factors on same expiration and registered under the responsibility of a particular full trading participant or settlement participant.

Asset	Asset to net
SCS	DDI e DOL
DOL	SCS
DDI	SCS
DI1	OC1
OC1	DI1

Hedge Exemptions

B3 may adopt an exception limit to investors with positions in commodity derivatives market that are demonstrably necessary for hedging.

The exception limit is given by:

LIMIT_{2 new}  = MAX (LIMIT_{2 original}; LIMIT_exemption)

The excess position for these is calculated by:

EXCESS_{2 new}  = MAX (POSITION  - LIMIT_{2 new}; 0)

The positions of groups or participants whose investor with assigned exemption will have an increase in the values of limits proportional to the exception consumption value according to:     

CONSUMPTION_exemption  (Inv) = MIN (LIMIT_{2 new} - LIMIT_{2 original}; EXCESS_{2 original})

Exception limits are assigned to groups/participants as a limit increment, defined by the amount of exemption consumed by each group member/participant. 

INCREMENT_Limit 2  (Group/PNP) = ∑ _{Inv ∈ GROUP/PNP}  CONSUMPTION _exemption  (Inv)

Resulting in new limits for these groups or participants, given by:

LIMIT_{2 new} = LIMIT_{2 original}  + INCREMENT_{Limit_2}