Prices in line with the underlying asset
With the new methodology, it is expected that BDR benchmark prices will follow the price trading history on B3 and resemble the price of the underlying asset traded on the originating exchange.
New Methodology to Calculate BDR Benchmark Prices
B3 will change the current methodology used in the BDR reference price with the addition of a financial value cap per trade in order to establish this value as the reference price.
The main goal of this initiative is to reduce the possibility of manipulation and mitigate fluctuations in asset prices.
Sign up and follow up the project
Product benefits
Less BDR price fluctuation
The new calculation mitigates asset price fluctuations and establishes a minimum financial value parameter for the trade to be considered a benchmark price.
Learn about the new methodology
The new calculation of the proposed benchmark price will be subject to the following rules.
At the end of every regular trading session, B3’s system will calculate the reference prices for NP BDR and ETF BDR using the rules described below.
If there are trades registered with NP BDR or ETF BDR on B3 during the closing call, the reference price will correspond to the last trade that occurred within this interval on B3 (call price), as long as:
1) At least one single trade has reached the minimum financial value of BRL100k; (BRL100k is a configurable parameter)
2) If no trades occurred on B3 during the closing call, or if criterion 1 is not met, the following will be considered:
- The price of the last underlying asset trade carried out on the stock exchange where it is traded, adjusted by parity and exchange rate. The price capture end time must follow the current rule that is in production.
- If no NP BDR or ETF BDR trades are executed above the minimum financial value or with the underlying asset during the day, the reference price will be the last reference price calculated and published by B3.
Timeline
-
02/26/2024
Go-live
Available to the market
Technical details
-
Catalog changes
No catalog changes
-
Main systems
No system impacted
-
Main related functions
No functions impacted
-
Certification roadmap
No impact
-
What is the Sinacor version?
No impact
