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 |
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% | 50,000 |
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 |
B3SAO | All | 20% | 4,280,821 | 50% | 8,561,643 |
CCROO | All | 20% | 3,684,598 | 50% | 7,369,196 |
CIELO | All | 20% | 9,157,509 | 50% | 18,315,018 |
CMIGP | All | 20% | 4,048,582 | 50% | 8,097,165 |
HYPEO | All | 20% | 1,342,281 | 50% | 2,684,563 |
COGNO | All | 20% | 24,509,803 | 50% | 49,019,607 |
PCARO | All | 20% | 3,333,333 | 50% | 6,666,666 |
PETRP | All | 20% | 10,548,523 | 50% | 21,097,046 |
PSSAO | All | 20% | 1,989,653 | 50% | 3,979,307 |
USIMA | All | 20% | 6,944,444 | 50% | 13,888,888 |
VALEO | All | 20% | 3,453,038 | 50% | 6,906,077 |
VIIAO | All | 20% | 40,760,869 | 50% | 81,521,739 |
ABEVO | All | 20% | 3,531,073 | 50% | 7,062,146 |
BBASO | All | 20% | 1,166,588 | 50% | 2,333,177 |
BBDCP | All | 20% | 3,615,133 | 50% | 7,230,267 |
CSNAO | All | 20% | 3,848,258 | 50% | 7,696,517 |
ELETO | All | 20% | 1,477,104 | 50% | 2,954,209 |
GGBRP | All | 20% | 1,985,702 | 50% | 3,971,405 |
ITSAP | All | 20% | 5,760,368 | 50% | 11,520,737 |
ITUBP | All | 20% | 1,930,326 | 50% | 3,860,653 |
JBSSO | All | 20% | 2,793,296 | 50% | 5,586,592 |
LRENO | All | 20% | 3,156,565 | 50% | 6,313,131 |
MGLUO | All | 20% | 14,970,059 | 50% | 29,940,119 |
NTCOO | All | 20% | 4,520,795 | 50% | 9,041,591 |
RENTO | All | 20% | 861,920 | 50% | 1,723,840 |
SUZBO | All | 20% | 1,256,281 | 50% | 2,512,562 |
WEGEO | All | 20% | 1,215,953 | 50% | 2,431,906 |
* 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% | 46,000 | 50% | 92,000 |
J24 | 20% | 5,000 | 50% | 115,000 |
M24 | 20% | 5,000 | 50% | 65,000 |
N24 | 20% | 5,000 | 50% | 75,000 |
K24 | 20% | 5,000 | 50% | 95,000 |
U24 | 20% | 5,000 | 50% | 56,000 |
F25 | 20% | 5,000 | 50% | 25,000 |
K25 | 20% | 69,000 | 50% | 138,000 |
F26 | 20% | 5,000 | 50% | 22,000 |
Q26 | 20% | 47,000 | 50% | 94,000 |
K27 | 20% | 21,000 | 50% | 42,000 |
Q28 | 20% | 51,000 | 50% | 102,000 |
Q30 | 20% | 14,000 | 50% | 28,000 |
Q32 | 20% | 9,000 | 50% | 18,000 |
K33 | 20% | 10,000 | 50% | 20,000 |
K35 | 20% | 11,000 | 50% | 22,000 |
K29 | 20% | 20,000 | 50% | 40,000 |
Q40 | 20% | 5,000 | 50% | 10,000 |
Q50 | 20% | 10,000 | 50% | 20,000 |
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 |
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