ID x U.S. Dollar Swap With Reset – 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. The Day’s Updated Position: The updated net balance of all contracts traded for the same series by the same customer through the same Brokerage House or by the same Local, in both cases cleared by the same Clearing Member. A position shall be defined by the following characteristics: series; customer, Brokerage House and Clearing Member, or Local and Clearing Member; value of the Final Value leg; value of the Spread Rate leg; and position type (long or short). Final Value leg: The net balance of the Final Values of all contracts traded for the same series. Spread Rate leg: The net balance of the Current Spread Rate Values of all contracts traded for the same series. Series: The set of features of the contract corresponding to the expiration date, the date when the appreciation of the spread rate leg initiates, and the trading code. Final Value of a contract: The value of the contract size, as defined in item 6. Initial Value of a contract: The Final Value of a traded contract discounted by the applicable ID x U.S. Dollar spread rate. Final Spread Rate Value of a contract: The Initial Value indexed by the interest rate referred to in item 2. Current Spread Rate Value of a contract: The Initial Value indexed by the ID x U.S. Dollar spread rate, defined by the capitalized average rates, as defined in item 2, for the period beginning on the trade date up to and including the day preceding the update. Long: The right to receive the updated value of the Spread Rate leg and the obligation to pay the value of the Final Value leg on the settlement date of the series. Short: The right to receive the value of the Final Value leg and the obligation to pay the value of the updated Spread Rate leg on the settlement date of the series. Purchase of a contract: A transaction where the participant enters into a long position in a contract. Sale of a contract: A transaction where the participant enters into a short position in a contract. Reserve: A business day for the purpose of the financial market transactions, pursuant to the provisions set forth by the National Monetary Council (CMN). Business day: The day that is a trading day at BM&F. 2. Underlying asset The spread between the interest rate and the exchange rate variation, defined as follows: (a) The compound interest rate, defined for this purpose as the capitalized Average One-Day Interbank Deposit Rate (ID), calculated by the the CETIP – Custody and Settlement, for the period beginning on the trade date up to and excluding the expiration date; (b) The exchange rate variation, measured by the exchange rate of Brazilian Reals (R$) per U.S. Dollar for cash delivery, traded in the foreign exchange market, pursuant to the provisions of Resolution No. 3265/2005 of the National Monetary Council (CMN), calculated and published by the Central Bank of Brazil (BACEN) through SISBACEN, transaction PTAX800, option “5,” closing offered quotation, for settlement in two days, utilizing the maximum of six decimal places, also published by BACEN with the denomination “closing PTAX,” pursuant to Communication 10742, of February 17, 2003, and verified on the period beginning on the business day preceding the trade date up to and excluding the expiration date. 3. Price quotation Prices shall be quoted in the ID x U.S. Dollar spread rate, which represents the spread between the rates defined in item 2 expressed as a linear percentage rate per annum based on a 360-day year, to two decimal Bolsa de Mercadorias & Futuros places for regular trades and three decimal places for cross trades and primary contract registration, pursuant to the provisions set forth in item 14. 4. Minimum price fluctuation 0.01 of an interest rate point. 5. Maximum daily price fluctuation As established by BM&F. The price fluctuation limit for the first month shall be suspended on the last three days of trading, with the second month’s synthetic ID x US Dollar spread rate becoming the basis of calculation for all other months. The Exchange may alter the price fluctuation limit applicable to any contract month at any time, even during a trading session, by communicating this to the market with a 30 minute-advance notice. 6. Contract size US$50,000.00 (fifty thousand U.S. Dollars) of Final Value. 7. Expiration date As established by BM&F. Each authorized date shall characterize a series. On the expiration date, trades with the expiring series shall not be allowed. 8. Calculation of the Initial Value of a traded contract The calculation of the Initial Value for each contract shall be made by the following formula: ⎡ ⎤ ⎢ ⎥ UN ⎥ VI = ⎢ io ⎞ ⎢⎛ ⎥ × n + 1 ⎟⎠ ⎢⎣ ⎜⎝ 360 × 100 ⎥⎦ Where: VI = the Initial Value per contract; UN = the contract size, pursuant to item 6; = the ID x U.S. Dollar spread rate traded between the parties, pursuant to item 3; io n = the number of calendar days beginning on the trade date up to and excluding the expiration date. 9. Daily update of a position Any and all trades (taking into account those performed by the same customer through the same Brokerage House and under the responsibility of the same Clearing Member; or those performed by the same Local under the responsibility of the same Clearing Member) executed on the sametrading session for the same series shall be consolidated, that is, the Final Values of the long contracts shall be offset against the Final Values of the short contracts. The same shall also occur with the Initial Values, thereby generating the PLD, or the Day’s Net Position (either long or short) on the respective series. The Previous Day’s Updated Position (PDAt–1) on the same series shall be updated to the respective date by indexing the value of the Spread Rate leg by the difference between CETIP’s ID rate, corresponding to the previous day, and the exchange rate variation of Brazilian Reals per U.S. Dollar, corresponding to the previous day, and by maintaining the value of the Final Value leg constant. This procedure shall generate the Previous Day’s Position Updated for the Day (PDAAt), as follows: ⎛ ⎞ ⎜ FC t ⎟ PDAA t = PDA t −1 × ⎜ ⎟ ⎜ TC t −1 ⎟ ⎝ TC t − 2 ⎠ Where: FCt = the indexation factor on day “t,” defined by the following formula: m DI t − j ⎞ ⎛ FC t = ∏ ⎜ 1 + 100 ⎟⎠ j=1 ⎝ TCt–1 1 252 Where: DIt–j = the ID rate, corresponding to the jth business day preceding day “t,” to six decimal places; m = the number of reserves between day “t” and the previous day’s trading session; = the exchange rate of Brazilian Reals per U.S. Dollar, as defined in item 2(b), corresponding to day “t–1”; Bolsa de Mercadorias & Futuros TCt–2 = the exchange rate of Brazilian Reals per U.S. Dollar, as defined in item 2(b), corresponding to day “t–2.” The Day’s Net Position and the Previous Day’s Position Updated for the Day (PLD and PDAA) shall be consolidated by offsetting their respective Final Value and Spread Rate legs. This procedure shall generate the Day’s Updated Position (either long or short), as defined in item 1, and shall be repeated until the expiration date of the series. Should, on a certain day, the CETIP ID rate refer to a period (number of days) different from that to be considered in the indexation of the Spread Rate leg, BM&F, at its own discretion, may arbitrate a rate for that specific day. 10. Daily reset The positions of each customer (the Day’s Updated Position) shall be reset daily based upon the BM&F reference rate for ID x U.S. Dollar spread trades (specially created for the daily reset) adjusted to the time to maturity of the series. The corresponding values shall be cash settled on the following business day and calculated by the following formula: ⎡ ⎤ ⎢ ⎥ VF ⎞ ⎛ i ⎥ × TC t −1 × ⎜ a + 1⎟ APt = ⎢ CC t − ⎠ ⎝ i 100 ⎛ ⎞ ⎢ s × n⎟ + 1 ⎥ ⎜⎝ ⎢⎣ ⎥⎦ ⎠ 360 × 100 Where: APt = the reset value of the position corresponding to day “t”; CCt = the value of the Spread Rate leg relating to the Day’s Updated Position (the Day’s Net Position consolidated with the Previous Day’s Position Updated for the Day) corresponding to the respective series; VF = the value of the Final Value leg; = the BM&F reference rate for ID x U.S. Dollar spread trades, specially created for the daily reset, is expressed as a linear percentage rate per annum based on a 360-day year and corresponding to the reset date for the time to maturity of the position; n = the time to maturity of the position in calendar days counted from the reset date up to and excluding the expiration date; TCt–1 = as defined in item 9; = the CETIP ID rate corresponding to the reset date. ia Should the reset value be positive, it shall be credited to the buyer, that is, to the holder of the long position, and debited to the seller, that is, to the holder of the short position. Should the opposite occur, the reset value shall be credited to the seller and debited to the buyer. After the reset is calculated, the value of the Spread Rate leg for the position shall become the value of the Final Value leg, discounted by the following formula: CCa = VF is ⎛ ⎞ × n⎟ + 1 ⎜⎝ ⎠ 360 × 100 Where: CCa = the value of the Spread Rate leg after the reset calculation; VF, is and n = as defined above. After the reset is calculated, should the values of the Spread Rate leg and Final Value leg become equal to zero, the position shall be automatically closed out, what shall be evidenced in a document to be issued by BM&F. 11. Settlement conditions On the expiration date and after their last update, positions shall be cash settled at BM&F by the customer (through the Brokerage House and the Clearing Member) or by the Local (through the Clearing Member). The settlement value of the position shall be the difference between the value of the Spread Rate leg and the value of the Final Value leg times the exchange rate defined in item 2(b) and corresponding to the previous day. Should the value of the Spread Rate leg be larger than the value of the Final Value leg, the settlement value shall be credited to the buyer, that is, to the holder of the long position, and debited to the seller, that is, to the holder of the short position. Should the opposite occur, the settlement value shall be credited to the seller and debited to the buyer. Bolsa de Mercadorias & Futuros • Special provisions IShould for any reason BACEN and/or the CETIP delay or not publish the exchange rate and/or the ID rate for one or more days, BM&F may at its own discretion: (a) Postpone the contract settlement up until an official disclosure by BACEN and/or the CETIP; or (b) Cash settle the contract by an arbitrated value. In either case, BM&F may also index the settlement value by arbitrating an opportunity cost from the expiration date to the effective cash settlement date. Furthermore, should the CETIP and/or the Central Bank change the criteria for the calculation and/or publication of the rates underlying this contract, BM&F may at its own discretion: (a) Alter the formula for the calculation of the settlement value, so as to attain the same results as before; or (b) Cash settle the contract by an arbitrated price. Regardless of the situations described above, BM&F may, at its own discretion, arbitrate a value to settle the contract at any time, should it not consider the rates used in the calculation of the settlement value to be representative for this purpose. 12. Margin requirements Determined by BM&F in accordance with the margin calculation criteria for liquid assets. 13. Assets eligible to meet margin requirements Those assets and securities accepted by the BM&F Derivatives Clearinghouse. 14. 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. The conditions for this registration shall be defined by the Exchange through a Circular Letter. The positions thus created shall be freely traded, pursuant to the specifications herein, as of the date authorized by BM&F. 15. Trading costs • Fees Consist of the Exchange, Registration and Permanence Fees, which are calculated as per BM&F methodology. Trading costs shall be due in the BM&F clearing process on the first business day following the trade date, except for the Permanence Fee, which shall be due on the day defined by BM&F. The trades executed on the same day by the same Brokerage House for proprietary account or Local and registered by the same Clearing Member for the same expiration date and opposed in side—purchase or sale— shall pay no more than 25% of the Exchange Fee. 16. Rounding off criteria All calculations relating to the Initial Value of a contract, the Day’s Net Position, the Previous Day’s Updated Position and the Day’s Updated Position shall be made and maintained up to seven decimal places. The values reported daily for the positions, as well as the values to be cash settled, shall be rounded off by the universal criteria to two decimal places, which is the universal criteria. 17. Further regulations This contract shall be subject, 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 any situations not covered by this contract, as well as governmental measures or any other facts that affect the formation, calculation or publication of its variables, or even imply their 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. Changes in the number of reserves for a contract month which is being traded, as set forth in Resolution 2516, of June 29, 1998, are the exclusive responsibility of the original contracting parties, that is, they are not BM&F’s responsibility. BM&F’s responsibility for the guarantee of the settlement of the positions assumed on this contract is identical to that concerning the other contracts it authorizes to be traded with the guarantee feature. Bolsa de Mercadorias & Futuros