Call Option on Average One-Day

Interbank Deposit Rate Index Contract

– Specifications –
1. Definitions
Contract (specifications): The terms and rules under which the transactions shall be executed and settled.
Traded contract: One round lot (contract size) traded under the terms and rules defined in these
specifications.
Series: A set of characteristics of the option contract that determine its expiration date and
strike price. The series is identified by a specific code established by BM&F.
Purchase of a contract: A transaction where the participant is the holder, that is, the participant has the right
to buy the underlying asset at the strike price.
Sale of a contract: A transaction where the participant is the writer, that is, if exercised by the holder the
participant has the obligation to sell the underlying asset at the strike price.
Reserve: A business day for the purpose of the operations performed on the financial market,
pursuant to the provisions of the National Monetary Council.
Business day: The day that is a trading day at BM&F.
2. Underlying asset
The Average One-Day Interbank Deposit Rate Index (IDI), as defined in Annex I.
3. Price quotation
Option premium in index points. Each index point shall be equivalent to the Brazilian Real (R$) value
established by BM&F.
4. Minimum price fluctuation
0.01 of an index point.
5. Maximum daily price fluctuation
There are no price fluctuation limits. The Exchange, however, may establish them, at its own discretion.
6. Contract size
Each option contract shall be based on the value of the Average One-Day Interbank Deposit Rate Index (IDI),
times the Brazilian Real value of each index point.
7. Strike prices
Strike prices shall be established and published by BM&F and shall be expressed in index points.
8. Contract months
All months.
9. Number of authorized contract months
As authorized by BM&F.
10. Last trading day
The last business day of the month preceding the contract month.
11. Expiration date
The first business day of the contract month.
12. Day trading
Buying and selling on the same trading session the same number of contracts of the same series shall be offset
provided these transactions are performed on behalf of the same customer through the same Brokerage House and
registered by the same Clearing member, or executed by the same Local and registered by the same Clearing
Member. These transactions shall be cash settled on the following business day, and their amounts shall be
calculated in accordance with item 13.
13. Premium cash settlement
Premiums shall be cash settled on the business day following the trading day by the following formula:
VLP = P × M
Where:
VLP = the premium settlement value per contract;
P = the option premium;
M = the Brazilian Real value of each index point, as established by BM&F.
14. Exercise
This is a European option, and it shall be automatically exercised on the expiration date whenever the exercise
cash settlement value, as defined in item 15, is positive and there is no abandon request from the holder.

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15. Settlement conditions on exercise
Exercised positions shall only be cash settled, by crediting the proceeds to the buyer and debiting the seller.
An exercise shall be processed on the expiration date, and the cash settlement value shall be calculated by the
following formula:
VL = ( IDI v − PE ) × M
Where:
VL = the exercise cash settlement value per contract;
IDIv = the Average One-Day Interbank Deposit Rate Index (IDI) on the expiration date;
PE = the strike price;
M = the Brazilian Real value of each index point, as established by BM&F.
• Special provisions
Should for any reason the CETIP – Custody and Settlement delay or not publish the Average One-Day Interbank
Deposit Rate (ID) used in the calculation of the Average One-Day Interbank Deposit Rate Index (IDI) value for
one or more days, BM&F may at its own discretion:
(a) Postpone the contract settlement up until an official disclosure by the CETIP; or
(b) Close out the outstanding positions at the last available settlement price.
In either case, BM&F may also index the settlement value by arbitrating an opportunity cost, to be defined at its
discretion, from the previously established settlement date to the effective cash settlement date.
Should the CETIP make a change in the calculating/publishing criteria of the rate used in the calculation of the
index underlying this contract, BM&F may at its discretion:
(a) Change the formula for the calculation of the index underlying this contract, so as to attain the same results
as before; or
(b) Close out the outstanding positions at the last available settlement price.
Regardless of the situations described above, at any time BM&F may, at its own discretion, close out open
positions based on an arbitrated price at any time, should it consider that the index value published by the CETIP
and/or the last available settlement price are not representative for this purpose.
16. Margin requirements for writers
Collateral, whose amounts shall be calculated in accordance with the criteria published by BM&F, shall be
required from all option writers and may be updated daily.
17. Assets eligible to meet margin requirements
Those assets and securities accepted by the BM&F Derivatives Clearinghouse.
18. Primary contract registration
BM&F may allow the special registration of positions in this contract resulting from auctions carried out by
the Central Bank of Brazil for specific series. The conditions for such a registration shall be defined by the
Exchange through a Circular Letter. The positions thus created shall be freely traded, subject to the specifications
herein, as of the date authorized by BM&F.
19. Trading costs
• Fees
Consist of the Exchange and Registration Fees, which are calculated as per BM&F methodology.
Trading costs shall be due on the first business day following the trade date.
20. Further regulations
This contract shall be subject to Annex I and, where applicable, to the legislation in force and to BM&F rules,
regulations and procedures, as defined in its Bylaws, Operating Rules and Circular Letters, as well as to the
specific rules set forth by the Brazilian governmental authorities that may affect the terms stated herein.
Should there be situations not covered by this contract, governmental measures or any other fact that affect the
formation, calculation or publication of its variable, or even imply its discontinuity, BM&F may, at its own
discretion, take the measures it deems necessary for the contract’s cash settlement or continuity on an
equivalent basis.

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 Annex I
Definition of the Average One-Day Interbank Deposit Rate Index
(IDI)
The Average One-Day Interbank Deposit Rate Index (IDI) shall be defined as the theoretical value of 100,000.00 points
on the date, established by BM&F, when its indexation by the Average One-Day Interbank Deposit Rate (ID) calculated
by the CETIP – Custody and Settlement initiates, in accordance with the following formula:

⎛i ⎞
IDI t = IDI t −1 × ⎜ t −1 + 1 ⎟
⎝ 100 ⎠
Where:
IDIt = the Average One-Day Interbank Deposit Rate Index (IDI) on day “t,” to two decimal places;
IDIt–1 = the Average One-Day Interbank Deposit Rate Index (IDI) on day “t–1,” to two decimal places;
it–1 = the Average One-Day Interbank Deposit Rate (ID) calculated by CETIP, corresponding to the previous day
and expressed as a percentage rate per day (the daily compound rate ) to seven decimal places.

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