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.
***During the 5 days preceding the First expiration date, the fixed position limit parameter L2 of the Second expiration date becomes 25% of the Open Interest for the First expiration date.
DI x IPCA Spread Futures
Contract month | Parameters and position limits | |||
---|---|---|---|---|
P1 | L1 | P2 | L2 | |
Z24 | 20% | 5,000 | 50% | 100,000 |
F25 | 20% | 5,000 | 50% | 80,000 |
G25 | 20% | 5,000 | 50% | 85,000 |
H25 | 20% | 5,000 | 50% | 75,000 |
J25 | 20% | 5,000 | 50% | 60,000 |
K25 | 20% | 60,000 | 50% | 120,000 |
F26 | 20% | 5,000 | 50% | 13,000 |
Q26 | 20% | 49,000 | 50% | 98,000 |
K27 | 20% | 33,000 | 50% | 66,000 |
Q28 | 20% | 31,000 | 50% | 62,000 |
K29 | 20% | 35,000 | 50% | 70,000 |
Q30 | 20% | 16,000 | 50% | 32,000 |
Q32 | 20% | 13,000 | 50% | 26,000 |
K33 | 20% | 11,000 | 50% | 22,000 |
K35 | 20% | 19,000 | 50% | 38,000 |
Q40 | 20% | 5,000 | 50% | 10,000 |
K45 | 20% | 5,000 | 50% | 10,000 |
Q50 | 20% | 11,000 | 50% | 22,000 |
K55 | 20% | 5,000 | 50% | 10,000 |
Q60 | 20% | 5,000 | 50% | 10,000 |
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 |
Live cattle (BGI) - Oct month | Up to 126 business days | 25% | 4.000 | 50% | 8.000 |
Live cattle (BGI) - Oct month | More than 126 business days | 25% | 1.500 | 50% | 3.000 |
Live cattle (BGI) - Jan, Feb, May, Nov & Dec months | Up to 126 business days | 25% | 4.000 | 50% | 8.000 |
Live cattle (BGI) - Jan, Feb, May, Nov & Dec months | 127 to 252 business days | 25% | 1.500 | 50% | 3.000 |
Live cattle (BGI) - Jan, Feb, May, Nov & Dec months | More than 252 business days | 25% | 500 | 50% | 1.000 |
Live cattle (BGI) - Other months | Up to 22 business days | 25% | 4.000 | 50% | 8.000 |
Live cattle (BGI) - Other months | 23 to 63 business days | 25% | 1.500 | 50% | 3.000 |
Live cattle (BGI) - Other months | More than 63 business days | 25% | 500 | 50% | 1.000 |
Cash-settled corn (CCM) - Sep & Nov months | Up to 252 business days | 25% | 10.000 | 50% | 20.000 |
Cash-settled corn (CCM) - Sep & Nov months | More than 252 business days | 25% | 4.000 | 50% | 8.000 |
Cash-settled corn (CCM) - Jan, Mar & May months | Up to 126 business days | 25% | 10.000 | 50% | 20.000 |
Cash-settled corn (CCM) - Jan, Mar & May months | More than 126 business days | 25% | 4.000 | 50% | 8.000 |
Cash-settled corn (CCM) - Jul month | Up to 63 business days | 25% | 10.000 | 50% | 20.000 |
Cash-settled corn (CCM) - Jul month | More than 63 business days | 25% | 4.000 | 50% | 8.000 |
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 [Pcirc x FF; maximum [P1 x Q; L1]] e Limit2 = minimum [Pcirc x FF; maximum [P2 x Q; L2]]
Where:
Pcirc = percentage, established by B3, of underlying asset;
FF = underlying asset free float;;
P1 e P2 = parameters, established by B3, for underlying asset;
Q = the median of the 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 [Pcirc x FF; maximum [(4 x P2) x Q; 4 x L2]] -> P2 e L2 definidos por cliente ou grupo de clientes
Aggregation Level: Investor and Group of Investors | ||
---|---|---|
Market | Pcirc (% of Free Float) | |
Securities Lending - BTB | 10% | |
Forward | 10% | |
Option | 10% | |
Future | 5% | |
Flexibles Options (OTC) | Call without barrier | 5% |
Call with barrier | 5% | |
Put without barrier | 5% | |
Put with barrier | 5% |
Aggregation Level: Full Trading Participant and Settlement Participant | ||
---|---|---|
Market | Pcirc (% of Free Float) | |
All | 15% |
Security Lending contracts based on assets traded in equity market within broker-dealer accounts
Within broker-dealer accounts, for equity market, two limits are defined for each instrument, in accordance with the following formulas:
Limit1 = minimum [Pcirc x FF; maximum [P1 x Q; L1]] e Limit2 = minimum [Pcirc x FF; maximum [P2 x Q; L2]]
Where:
Pcirc = percentage, established by B3, of underlying asset;
FF = underlying asset free float;;
P1 e P2 = parameters, established by B3, for underlying asset. P1 = 40 and P2 = 40, in these cases.
Q = the median of the 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;
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:
Pcirc,2 = max [ 10% ; MIN [ (Limit 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 PCirc,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.
Groups of Instruments of Financial Derivatives
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 (Qc (Inv) x ΔGF,c)
Where:
Qc(Comit) = Total quantity of contract c, long (positive) or short (negative), of investor Inv;
ΔGF,c = The factor that converts contract c into equivalent quantities of the pivot instrument of the instrument group GF;
The factor ΔGF,c that converts positions into equivalent quantities of the pivot instrument is calculated using a reference parameter of the PRF:
ΔGF,c = refParameterinstrument / refParameterpivot
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.
Groups of Instruments of Equity Assets
The amount of aggregated position for groups of equity asset instruments will be given in quantities of the underlying asset. It is provided by the sum of quantities in the lending, forward, and listed options markets of the same nature.
Short Position = Borrower + Potential Delivery in Options + Short Forward
Long Position = Lender + Potential Receipt in Options + Long Forward
The aggregated limits for equity market assets are given by the following formula:
Limit1 = MIN [Pcirc x FF; MAX [P1 x Q; L1]] and Limit2 = MIN [Pcirc x FF; MAX [P2 x Q; L2]]
Where:
Pcirc = percentage, established by B3, of underlying asset;
FF = underlying asset free float;
P1 e P2 = parameters, established by B3. P1 = 25 and P2 = 50, in these cases;
Q = the median of the underlying asset traded daily over a given period of time established by B3
L1 e L2 = fixed quantities, established by B3, for the instrument;
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:
AddMargini = (MaxTMi x ExcessLimiti,1 x pi,1) + (MaxTMi x ExcessLimiti,2 x pi,2)
Where:
MaxTMi: the maximum theoretical margin for instrument i
ExcessLimit1 and ExcessLimit2: the position in instrument i in excess of Limit1 or Limit2 respectively;
pi,1 e pi,2: the percentage set by B3 for Limiti,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.
Rule | 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 Limiti,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:
LIMIT2 new = MAX (LIMIT2 original; LIMITexemption)
The excess position for these is calculated by:
EXCESS2 new = MAX (POSITION - LIMIT2 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:
CONSUMPTIONexemption (Inv) = MIN (LIMIT2 new - LIMIT2 original; EXCESS2 original)
Exception limits are assigned to groups/participants as a limit increment, defined by the amount of exemption consumed by each group member/participant.
INCREMENTLimit 2 (Group/PNP) = ∑ Inv ∈ GROUP/PNP CONSUMPTION exemption (Inv)
Resulting in new limits for these groups or participants, given by:
LIMIT2 new = LIMIT2 original + INCREMENTLimit_2