Registration of Options with CCP Parameters in Percentage

Mandatory

Registration of Options with CCP Parameters in Percentage

A flexibility that allows Option parameters such as Strike, Barrier and Cap Options to be indicated in percentage instead of absolute value

B3 will make changes to the registration of Flexible Options with CCP to allow indication of parameters in percentage format instead of absolute value, as currently occurs.

We will add a field titled "Parameters in %?" which, when marked "Yes", will indicate that the values entered for Strike, Barrier and Cap Options will be read as percentages applied to the closing price of the Option’s underlying asset.

Project Tags:

Completed

OTC

Derivatives

Product benefits

Early registration

With this change, it will no longer be necessary to wait for the stock market to close (EOD trades) to learn about the values of the Option parameters and, therefore, register the trades

Further details about the update

FInd out how Options with CCP will look like.

We will create a field in the Option registration (“Parameters in %?”) with domains “Empty” (default) and “YES”.

This field will be available on screen and through the CCP OPTION CONTRACT REGISTRATION file.

If this field is completed with the “YES” option, the parameters will be read as a percentage.

If “Empty” is indicated, the parameters will be read as Absolute Value, as currently occurs.

If the values are completed with percentages, we will calculate the conversion rate to absolute value. That is, the indicated percentage (2 decimals) will be multiplied by the price of the underlying asset at the end of the registration day by adopting the truncation rule.

After the conversion, the absolute value will be returned to the files CONCILIAÇÃO DE POSIÇÃO DERIVATIVOS G015_199 and CONCILIAÇÃO DE POSIÇÃO DE DERIVATIVOS COM CCP – NEGBALCÃO. That way there will be no impact on these files, nor will the new field (“Parameters in %?”) be displayed.