|
Underlying asset |
Toral Survey Rate for $ 100.000 to $ 499.999.- deposits for up to a 59-day-term |
Trading hours |
10:00 am to 3:00 pm / Second trading session: 5 minutes |
Contract size |
$ 120.000.- |
Minimum trading unit |
1 contract and multiples thereof |
|
1 contract |
Quotation |
It shall be quoted in (100 - NOM) to 2 decimal places
If the rate is NOM 3.58%, the number to be entered shall be 96.42 (100 - 3.58). |
Minimum price fluctuation |
0.01 |
Tick value |
$ 1.- (120.000 x 0.01 / 1200) |
Closing price determination (art. 13.2 and 39.2) |
Art. 39.2 of the Operational Regulation and amendments. The minimum amount to determine closing price is 4 contracts ($480,000.-) |
Final settlement (fixing) |
Survey rate reported by the BCRA based on the daily survey of fixed-term deposits interest rates paid by banks for $1,000,000 to $ 499.999 deposits with a maturity of up to 59 days, conducted among all banks having headquarters or subsidiaries in the City of Buenos Aires or Gran Buenos Aires (according to SISCEN-0002), or whichever replaces it |
Daily MTM calculation |
First day:
MTM (t) = MO x [PN – PC (t)] / 12
Following days:
MTM (t) = MO x [PC(t-1) – PC (t)] /12
Where
MO: Number of contracts x Contract size
PN: strike price
PC (t): closing price corresponding to day "t" reported by MAE for OCT Trades
PC (t-1) : closing price corresponding to day "t-1" reported by MAE for OCT Trades |
Final Settlement Price Calculation |
Fixing = MO x [PC(t-1) – PF] / 12
Where
MO: Number of contracts x Contract size
PC (t-1) : closing price corresponding to day "t-1" reported by MAE for OCT Trades
PF: Fixing price |
Trade valuation |
CC x VC x PN
CC: Number of contracts
VC: Contract size
PN: Traded price |
Impact on credit lines
(set in dollars) |
Valuation x (PA /100) / TC
Where
Valuation: see previous
PA: Utilization percentage
TC: Exchange rate |
Impact on credit lines
(set in pesos) |
Valuation x (PA /100)
Where
Valuation: see previous
PA: Utilization percentage |
Impact on guarantees |
Valuation x PG
Where
Valuation: see above
PG: Guarantees percentage |