OCT - Survey Rate Futures


Survey Rate futures trading specifications


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



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