Limit Rules | B3

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

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

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

Aggregation Level Limit (% do 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

Aggregation Level Limit (% of Free Float)
Option 35%
Forward 15%
Securities Lending - BTB 25%
Future 5%

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

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 SENSEX (BSE) All 20% 500 50% 1,000
BVMF S&P 500 (ISP) All 20% 5,000 50% 10,000
CDS Brasil All 20% 3,000 50% 6,000
Cupom cambial (DDI) e swap cambial com ajuste (SCC) All 20% 10,000 50% 20,000
Cupom cambial com ajuste Selic (DCO) All 20% 50 50% 100
Cupom de IGP-M (DDM) All 20% 1,500 50% 3,000
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 (EBR) All 20% 3,000 50% 6,000
Franco Suíço (CHF) All 20% 3,000 50% 6,000
Global Bonds 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
IGP-M (IGM) All 20% 5,000 50% 10,000
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
IPCA (IAP) All 20% 50 50% 100
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
Ouro (OZ1) All 20% 3,000 50% 6,000
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% 15,000 50% 30,000
Iene (JAP) All 20% 15,000 50% 30,000
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% 10,000
Futuro de DAX (DAX) All 20% 200 50% 400
Euro Stoxx 50 (ESX) All 20% 700 50% 1.4000
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% 15,000
Rublo Russo (RUB) All 20% 7.500 50% 15,000
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
B3SAO All 20% 3,924,646 50% 7,849,293
CCROO All 20% 4,273,504 50% 8,547,008
CIELO All 20% 21,834,061 50% 43,668,122
CMIGP All 20% 3,563,791 50% 7,127,583
HYPEO All 20% 1,555,693 50% 3,111,387
COGNO All 20% 18,450,184 50% 36,900,369
PCARO All 20% 1,942,501 50% 3,885,003
PETRP All 20% 9,181,050 50% 18,362,100
PSSAO All 20% 1,010,917 50% 2,021,835
USIMA All 20% 3,101,736 50% 6,203,473
VALEO All 20% 3,279,118 50% 6,558,237
VIIAO All 20% 6,485,084 50% 12,970,168
PCARI All 20% 1.491.792 50% 2.983.585

 

* 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
G22 20% 5,000 50% 52,900
H22 20% 5,000 50% 49,900
J22 20% 5,000 50% 40,200
Q22 20% 52,000 50% 128,600
F23 20% 5,000 50% 36,400
K23 20% 48,000 50% 98,800
F24 20% 5,000 50% 22,600
Q24 20% 31,000 50% 62,000
K25 20% 22,000 50% 44,000
Q26 20% 42,000 50% 84,000
K27 20% 4,000 50% 8,000
Q28 20% 20,000 50% 40,000
Q30 20% 17,000 50% 34,000
Q32 20% 3,000 50% 6,000
K35 20% 8,000 50% 16,000
Q40 20% 5,000  50% 10,000 
K45 20% 5,000 50% 10,000
Q50 20% 12,000 50% 24,000
K55 20% 14,000 50% 28,000
Q60 20% 3,000 50% 6,000
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
Corn price basis (CTM/COP/CRV/CPG) Fewer than 126 business days 25% 2.000 50% 4.000
Corn price basis (CTM/COP/CRV/CPG) More than 127 business days 25% 1.400 50% 2.800
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
Cash settled soybean (SFI) All 25% 2.200 50% 4.400
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
Anhydrous fuel ethanol (ETN) All 25% 1.200 50% 2.400
Cash settled hydrous ethanol (ETH) All 25% 1.200 50% 2.400
Cash-settled crystal sugar (ACF) All 25% 1.200 50% 2.400
CME Group light sweet crude oil (WTI) All 25% 3.000 50% 6.000

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% 3,000

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
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 & KFE) All 25% 500 50% 1.000
Live cattle (BGI) All 25% 450 50% 900
Cash settled soybean (SFI) All 25% 450 50% 900
CME Group mini-sized soybean (SJC) All 25% 450 50% 900
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
Cash-settled crystal sugar (ACF) All 25% 300 50% 600

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