B3 S A Brasil Bolsa Balcão : 118-2020-PRE-Circular Letter

September 17, 2020 118/2020-PRE

C I R C U L A R L E T T E R

To: B3's Market Participants - BM&FBOVESPA Segment

Re: Fee Policy for One-Day Interbank Deposit Futures (DI1)

A new fee policy for One-Day Interbank Deposit Futures (DI1) will enter into effect on November 30, 2020. The HFT DI Short Vertices Program will end on the same day.

Furthermore, a new model for calculating the permanence fee on One-Day Interbank Deposit Futures (DI1) comes into effect on October 30, 2020. The new model grants an additional reduction in the permanence fee for offsetting (opposite) positions in the same contract month, in the same investor's account and via the same settlement participant.

Release 20.1 of Sinacor is compliant with the new permanence fee calculation model. More information about the release can be obtained by calling [phone] or emailing [e-mail].

As of October 30, 2020, this Circular Letter revokes and replaces, solely for One- Day Interbank Deposit Futures (DI1):

• Circular Letter 101/2003-DG (Sep. 22, 2003), Annex, Section I (3)
• Circular Letter 044/2011-DP (Oct. 25, 2011), Annex, Section on Post-Trade Fees, item 2
• Circular Letter 084/2014-DP (Nov. 13, 2014), Annex, Section I, "Permanence Fee"

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118/2020-PRE

As of November 30, 2020, this Circular Letter revokes and replaces:

• The rest of Circular Letter 084/2014-DP (Nov. 13, 2014), Annex, Section I
• Circular Letter 026/2018-PRE (Jun. 14, 2018)
• Circular Letter 056/2019-PRE (August 1, 2019)

The new fee policy is set out in Annex I to this Circular Letter.

The new model for calculating the permanence fee is exemplified in Annex II to this Circular Letter.

Fee schedules are available at http://www.b3.com.br/en_us, Product and services, Fee schedules, Listed equities and derivatives, Interest rates and inflation, DI rates.

Further clarification can be obtained from Support for Settlement Processes and

Services by calling [phone] or emailing [e-mail].

Gilson Finkelsztain	José Ribeiro de Andrade
Chief Executive Officer	Chief Product and Client Officer

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Annex I to Circular Letter 118/2020-PRE

Fee Policy for DI Rate Family

1. Fee model

The fee model for the DI rate product family consists of an exchange fee and registration fee, both calculated on the basis of average daily volume (ADV); a permanence fee; and a settlement fee.

ADV is based on trading volume for One-Day Interbank Deposit Futures (DI1). All trades in DI1 futures pay the above fees.

1. Exchange fee and registration fee - calculation steps

1. ADV

ADV is calculated on the last business day of each week and consists of the average number of contracts traded in the previous 21 trading sessions.

The quantity of contracts traded is adjusted for contract length and expiration:

n Qaj = Qj × 252

where:

Qaj is the adjusted quantity of contracts for contract month j Qj is the quantity of contracts traded for contract month j

n is the number of business days between the trade date and the contract expiration date

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The result is rounded to zero decimal places.

ADV is calculated as follows:

∑

= 21

The result is rounded to zero decimal places.

2.2. Average price

Once ADV has been determined, it is applied to the fee schedule in force on the trade date to obtain the average price (̅) of the exchange and registration fees, calculated progressively as shown in the following table:

Progressive table

Floor	Cap	Value tier
D1	U1	V1
D2	U2	V2
D3	U3	V3
...	...	...
Di-1	Ui-1	Vi-1
Di	Ui	Vi
Dn	Un	Vn

The average exchange fee and registration fee can be expressed mathematically as follows:

• min(ADV, U1) × V1 + ∑ni=2−1[max ((min(ADV, Ui) − Ui−1),0) × Vi] + max(ADV − Un−1),0) × Vn
  P =

ADV

where:

ADV is ADV calculated as described in 2.1 above U is the upper limit (cap) for each tier

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