DI x U.S. Dollar Spread Fees

Family	Product	Commodity	Risk factor	Contract factor	Day trade reduction	Settlement fee	Permanence fee
Family	Product	Commodity	Risk factor	Contract factor	Day trade reduction	Settlement fee	p	λ
DI1 x U.S. Dollar Spread	One-Day Interbank Deposit Rate Futures Contract	DDI	See table	USD1.00	70%	USD0.11	USD0.00096	0.84
	Forward Rate Agreement on DI x U.S. Dollar Spread¹	FRC		USD1.00		N/A	N/A	N/A
	Neutral DV01 Structured Product	FRI		USD4.00		N/A	N/A	N/A
	Neutral PU Structured Product	FRF		USD4.00		N/A	N/A	N/A
	DI x U.S. Dollar Swap with Reset²	SCC		USD1.00		USD0.11	USD0.00096	1.00

¹FRCs are treated as outrights with term defined by the long leg.

²U.S. Dollar swaps trading volume is not considered for the ADV calculation.

Calculation formulas

Risk factor table

Months to expiration		Risk factor
From	To	Risk factor
1	1	0.14
2	2	0.18
3	3	0.36
4	4	0.54
5	5	0.66
6	6	0.72
7	7	0.77
8	8	0.83
9	9	0.88
10	10	0.94
11	11	0.99
12	12	1.05
13	15	1.10
16	18	1.16
19	21	1.21
22	24	1.27
25	27	1.32
28	30	1.38
31	33	1.43
34	36	1.49
37	42	1.54
43	48	1.60
49	54	1.65
55	60	1.71
61	72	1.76
73	84	1.82
85	96	1.87
97	108	1.93
109	120	1.98
121	132	2.04
133	144	2.09
145	156	2.15
157	168	2.20
169	180	2.26
More than 180		2.26

Volume reduction table

ADV		Reductionção	Additional value
From	To	Reductionção	Additional value
1	300	0%	0
301	1,100	10%	30
1,101	2,500	20%	140
2,501	4,500	25%	265
4,501	8,000	30%	490
8,001	12,000	40%	1,290
12,001	25,000	50%	2,490
25,001	50,000	55%	3,740
50,001	70,000	60%	6,240
More than 70,000		75%	16,740

SCC Auction

For transactions executed in auctions of DI x U.S. Dollar Swaps with Reset (SCC), the exchange fee is USD1.00 and the registration fee is USD0.0319502.

Learn more

Calculation Rules

Product DI x U.S. Dollar Spread

Product FRC