| Family | Product | Commodity | Risck factor | Contract factor | Day trade reduction | Settlement fee | Permanence fee | |
|---|---|---|---|---|---|---|---|---|
| p | λ | |||||||
| Mexican Overnight TIIE Funding Rate (TIIE) | Futures on the Mexican Overnight TIIE Funding Rate (TIIE) | TIE | See table below | MXN 3.00 | 70% | MXN 0.02473 | MXN 0.03533 | 0.73 |
Calculation formulas
Single Fee = Contract Factor x (1 - Reduction for ADV) x Risk Factor
Risk factor table
| Months to expiration | Risk factor | |
|---|---|---|
| From | To | |
| 1 | 1 | 0.01 |
| 2 | 2 | 0.04 |
| 3 | 3 | 0.08 |
| 4 | 6 | 0.18 |
| 7 | 9 | 0.36 |
| 10 | 12 | 0.55 |
| 13 | 15 | 0.77 |
| 16 | 18 | 0.97 |
| 19 | 21 | 1.18 |
| 22 | 24 | 1.37 |
| 25 | 27 | 1.55 |
| 28 | 30 | 1.70 |
| 31 | 33 | 1.84 |
| 34 | 36 | 1.97 |
| 37 | 42 | 2.15 |
| 43 | 48 | 2.34 |
| 49 | 54 | 2.54 |
| 55 | 60 | 2.70 |
| 61 | 72 | 2.86 |
| 73 | 84 | 3.04 |
| 85 | 96 | 3.20 |
| 97 | 108 | 3.43 |
| 109 | 120 | 3.52 |
| 121 | 132 | 3.59 |
| 133 | 144 | 3.66 |
| 145 | 156 | 3.73 |
| 157 | 168 | 3.80 |
| 169 | 180 | 3.88 |
| More than 180 | 3.88 | |
Volume reduction table
| ADV | Reduction | Additional value | |
|---|---|---|---|
| From | To | ||
| 1 | 3,000 | 0% | 0 |
| 3,001 | 12,000 | 15% | 450 |
| 12,001 | 21,000 | 20% | 1,050 |
| 21,001 | 35,000 | 30% | 3,150 |
| 35,001 | 60,000 | 40% | 6,650 |
| 60,001 | 100,000 | 45% | 9,650 |
| 100,001 | 160,000 | 50% | 14,650 |
| 160,001 | 350,000 | 55% | 22,650 |
| 351,001 | 650,000 | 70% | 75,150 |
| More than 650,000 | 80% | 140,150 | |
