| Family |
Product |
Commodity |
Risck factor |
Contract factor |
Day trade reduction |
Settlement fee |
Permanence fee |
| p |
λ |
| U.S. Interest Rate (SOFR) |
Futures on the U.S. Secured Overnight Financing Rate (SOFR) |
SFR |
See table below
|
USD 0.20 |
70% |
USD 0.00163 |
USD 0,00233 |
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 |
