Limit Rules | B3

 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 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
B3SAO All 20% 4,633,920 50% 9,267,840
CCROO All 20% 4,055,150 50% 8,110,300
CIELO All 20% 8,976,660 50% 17,953,321
CMIGP All 20% 5,117,707 50% 10,235,414
HYPEO All 20% 1,693,766 50% 3,387,533
COGNO All 20% 23,041,474 50% 46,082,949
PCARO All 20% 17,064,846 50% 34,129,692
PETRP All 20% 6,208,604 50% 12,417,209
PSSAO All 20% 1,668,891 50% 3,337,783
USIMA All 20% 6,321,112 50% 12,642,225
VALEO All 20% 3,950,071 50% 7,900,142
BHIAO All 20% 10,948,905 50% 21,897,810
ABEVO All 20% 4,115,226 50% 8,230,452
BBASO All 20% 1,823,486 50% 3,646,973
BBDCP All 20% 3,576,331 50% 7,152,663
CSNAO All 20% 3,591,954 50% 7,183,908
ELETO All 20% 1,320,655 50% 2,641,310
GGBRP All 20% 2,738,225 50% 5,476,451
ITSAP All 20% 5,230,125 50% 10,460,251
ITUBP All 20% 1,595,285 50% 3,190,571
JBSSO All 20% 2,133,105 50% 4,266,211
LRENO All 20% 3,261,578 50% 6,523,157
MGLUO All 20% 36,764,705 50% 73,529,411
NTCOO All 20% 3,013,863 50% 6,027,727
RENTO All 20% 1,019,783 50% 2,039,567
SUZBO All 20% 855,285 50% 1,710,571
WEGEO All 20% 1,264,222 50% 2,528,445

 

* 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.

 

DI x IPCA Spread Futures

Contract month Parameters and position limits
P1 L1 P2 L2
Q24 20% 50,000 50% 100,000
M24 20% 5,000 50% 120,000
N24 20% 5,000 50% 85,000
K24 20% 5,000 50% 200,000
U24 20% 5,000 50% 80,000
V24 20% 5,000 50% 65,000
X24 20% 5,000 50% 60,000
F25 20% 5,000 50% 38,000
K25 20% 83,000 50% 166,000
F26 20% 5,000 50% 23,000
Q26 20% 63,000 50% 126,000
K27 20% 30,000 50% 60,000
Q28 20% 42,000 50% 84,000
Q30 20% 17,000 50% 34,000
Q32 20% 16,000 50% 32,000
K33 20% 12,000 50% 24,000
K35 20% 18,000 50% 36,000
K29 20% 45,000 50% 90,000
Q40 20% 5,000  50% 10,000 
Q50 20% 9,500 50% 19,000
Q60 20% 7,000 50% 14,000
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
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

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
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
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 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 [Pcirc 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 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

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(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.

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.

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 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