ID X IGP-M SPREAD FUTURES CONTRACT. Specifications

Transcription

1 ID X IGP-M SPREAD FUTURES CONTRACT Specifications 1. Definitions IGP-M ID Rate Unit price (PU) Reserve day The General Market Price Index, expressed in index points, with a base value of 100 in August 1994, calculated by the Brazilian Institute of Economics (IBRE) of the Getulio Vargas Foundation (FGV). The Average One-day Interbank Deposit Rate (ID), calculated by CETIP Custody and Settlement, expressed as an effective rate based on a 252-day year. Value in points corresponding to 100,000, discounted by the interest rate described in item 2. A business day for financial market trading purposes, as established by the National Monetary Council. Business day A day on which there is a trading session at BM&FBOVESPA. BM&FBOVESPA BM&FBOVESPA S.A. Bolsa de Valores, Mercadorias e Futuros. 2. Underlying asset IGP-M spread, defined for these purposes as the interest rate obtained from the calculation of the difference between the compounded ID rate in the period as of the transaction date until the day before the expiration date, and the IGP-M variation in the period as of the transaction date until and including the expiration date. 3. Price quotation Effective annual interest rate, based on a 252-business days year, to two decimal places. 4. Ticker Symbol DDM. 5. Tick size 0.01%. 6. Contract size PU multiplied by the Brazilian Reals value of each point, with the value of each point being BRL0.002, multiplied by the pro rata value of the IGP-M, as defined in item 10.

2 XXX/2015-XX Contract months All months. 8. Expiration date The first business day of the contract month. If this is not a business day the expiration date shall be on the immediately subsequent business day. 9. Last trading day The business day immediately preceding the expiration date. 10. Daily settlement of accounts (variation margin) For purposes of calculating variation margin on outstanding positions, the criteria below shall be followed: a. Offsetting positions Buy and sell transactions, originally contracted in rates, will be transformed into sell and buy transactions, respectively, in PU. b. Calculation of the variation margin The outstanding positions at the end of every trading session, after being transformed into PU, will be adjusted based on the day s settlement price, established in accordance with BM&FBOVESPA rules, with settlement in cash on the subsequent business day. The variation margin will be calculated up to and including the expiration date, in accordance with the following formulas: b.1) For positions initiated on the day b.2) For positions outstanding on the previous day [ ] Where: = the variation margin value corresponding to date t and expressed in Brazilian Reals; = the settlement price for the corresponding contract month on date t ; = the traded price in PU, calculated in the following manner after the close of trading:

3 XXX/2015-XX.3. = traded interest rate, as defined in item 2; = number of reserve days between the trade date (including) and the expiration date (excluding); = the Brazilian Real value of each PU point, as established in item 6; = pro rata IGP-M value, calculated for day t, in accordance with the following formula: = IGP-M value in reference to the month prior to the date t; = forecast IGP-M for the following month of publication of the ; = number of reserve days following the first business day of the month of day t, up until and including day t; = number of reserve days as of the first business day of the month of day t, to the day before the first business day of the following month. = number of contracts; = settlement price of the contract on day t 1, for the respective contract month; = correction factor of day t, defined by the formula below, considering the reserve days between the last trading session and the settlement calculation day: = ID rate, in reference to the j-th day prior to day t; = pro rata IGP-M rate calculated for day t; = pro rata IGP-M rate calculated for day t-k; = number of reserve days between the last trading day (including) and the day t (excluding). On the expiration date the settlement price will be 100,000. The variation margin value (ADt) calculated as shown above, if positive, shall be credited to the buyer of the position in PU (original seller in rates) and debited from the seller of the

4 XXX/2015-XX.4. position in PU (original buyer in rates). Should the calculation above present a negative value, it shall be debited from the buyer of the position in PU and credited to the seller of the position in PU. If on a determined date the published ID rate refers to a period (number of days) different to that to be considered in the correction of the settlement price, BM&FBOVESPA may arbitrate a rate at its exclusive discretion for that specific day. If IBRE/FGV changes the IGP-M calculation base from the one valid on the day preceding the day to which the variation margin refers, to a new base date, thus altering item 6, BM&FBOVESPA shall proceed to the adjustment of the contract or of the multiplier M, in order to maintain the same trading conditions for the contract. In any case, BM&FBOVESPA may arbitrate the settlement price of the contract or the price of the variables used in its calculation. 11. Settlement conditions on expiration On the expiration date and after the last settlement, open positions shall be cash settled by BM&FBOVESPA by means of the registration of an offsetting transaction (long or short) on the same number of contracts, by the price quotation (PU) of 100,000 points. Cash settlement shall be made on the business day following the expiration date. 12. Special provisions Should for any reason CETIP or IBRE/FGV delay or not publish the ID Rate or IGP-M defined in item 1 for one or more days, BM&FBOVESPA may at its own discretion: (a) postpone the contract settlement up until an official disclosure by CETIP or IBRE/FGV; or (b) close out the outstanding positions at the last available settlement price. Should IBRE/FGV definitively stop calculating/publishing IGP-M, BM&FBOVESPA will end trading in this Contract, closing out the outstanding positions at the last available settlement price. Should IBRE/FGV change the IGP-M calculation criterion from the one valid on the day preceding the day to which the variation margin refers, to a new base date, thus altering item 6, BM&FBOVESPA will determine a new value for the multiplier M, in order to maintain the same trading conditions for the contract. Should IBRE/FGV make an unpredictable change to the IGP-M calculation criteria, thus altering the behavior of the index, BM&FBOVESPA may at its discretion: a. change the settlement value calculation formula so as to attain an equivalent result to that obtained with the original IBRE/FGV criterion; or

5 XXX/2015-XX.5. b. adopt the index points for the IGP-M that best reflect the contract s underlying asset, should more than one IGP-M value be published for the same period due to the change in methodology. In the hypothesis of IBRE/FGV rectifying an index point after its publication, the rectification will only be included in the calculations foreseen in these specifications if it is announced before the expiration of the positions subject to rectification. BM&FBOVESPA may also in any case and at its own discretion arbitrate a price for the settlement of this Contract if it considers the last rate published by CETIP and/or index point published by IBRE/FGV and/or last available settlement price not to be representative. In any case, BM&FBOVESPA may arbitrate a settlement price for the contract or the price of the variables used in its calculation. 13. Further provisions This Contract shall be subject, where applicable, to the prevailing legislation and to BM&FBOVESPA rules, regulations and procedures, as defined in its Bylaws, Rules, Manuals, Circular Letters and External Communications, as well as to the specific rules set forth by the Brazilian governmental authorities that may affect the terms stated herein. Should there be situations not covered by this Contract, as well as governmental measures and any other fact affecting the formation, calculation or disclosure of its variables, or which imply their discontinuity, BM&FBOVESPA may at its sole discretion take the measures it deems necessary for the contract s cash settlement or continuity on an equivalent basis.