Caucion Calculator

Overview

The Caucion Calculator provides precise calculations for repo operations (caucion colocadora and tomadora), including all fees, market rights, and net interest returns.

What is Caucion? Caucion is a collateralized money market instrument in Argentina, similar to repurchase agreements (repos). You can either place cash to earn interest (colocadora) or borrow cash by paying interest (tomadora).

Caucion Types

Caucion Colocadora

Lending MoneyYou place cash in the market, earning interest secured by securities as collateral.Use case: Earn returns on idle cash

Caucion Tomadora

Borrowing MoneyYou borrow cash from the market, paying interest and providing securities as collateral.Use case: Finance purchases, cover settlement needs

How Caucion Works

Caucion Colocadora (Placing)

Place Order

Offer to lend cash at a specific TNA (annual nominal rate) and term

Match and Settlement

Your order matches with a taker, cash is transferred

Wait for Maturity

Securities are held as collateral during the term

Receive Principal + Interest

At maturity, receive your cash plus interest, minus fees

Caucion Tomadora (Taking)

Take Order

Accept an offer to borrow cash at a specific TNA and term

Receive Cash

Cash is credited, securities are locked as collateral

Use Borrowed Funds

Finance purchases or cover settlement needs

Repay Principal + Interest

At maturity, repay the cash plus interest plus all fees

Calculation Formula

The caucion calculator implements the complete fee structure:

public class Caucion
{
    // Constants (BYMA rates as of 2023)
    const decimal DerechosMercadoTasaDiaria = 0.045m / 100 / 90;
    const decimal GastosGarantiaTasaDiaria = 0.045m / 100 / 90;
    const decimal IVAPorcentaje = 0.21m;
    
    // Core calculation
    Tasa = Math.Abs(TNA / 100 * Dias / 365);
    Interes = ImporteBruto * Tasa;
    ImporteConInteres = ImporteBruto + Interes;
    
    // Fee calculations
    Arancel = ImporteConInteres * (ArancelTNA / 100 * Dias / 365);
    DerechosMercado = ImporteConInteres * DerechosMercadoTasaDiaria * Dias;
    GastosGarantia = EsColocadora ? 0 : 
        ImporteConInteres * GastosGarantiaTasaDiaria * Dias;
    
    // Total fees
    Gastos = Arancel + DerechosMercado + GastosGarantia;
    IVAGastos = Gastos * IVAPorcentaje;
    TotalGastos = Gastos + IVAGastos;
    
    // Net amounts
    if (EsColocadora) {
        InteresNeto = Interes - TotalGastos;  // Interest received minus costs
        ImporteNeto = ImporteConInteres - TotalGastos;
    } else {
        InteresNeto = Interes + TotalGastos;  // Interest paid plus costs
        ImporteNeto = ImporteConInteres + TotalGastos;
    }
}

Fee Components

1. Broker Commission (Arancel)

Caucion Colocadora TNA: Rate charged when placing caucion (lending) Caucion Tomadora TNA: Rate charged when taking caucion (borrowing)

Broker commissions are broker-specific and vary widely. Configure your ALyC’s exact rates in ChuchoBot settings for accurate calculations.

Calculation:

Arancel = (Principal + Interest) × (ArancelTNA / 100) × (Days / 365)

2. Market Rights (Derechos de Mercado)

Charged by BYMA on all caucion operations:

Rate: 0.045% annualized, up to 90 days
Applied to: Principal + Interest
Applies to: Both colocadora and tomadora

Calculation:

Daily Rate = 0.045% / 100 / 90 = 0.000005
Derechos = (Principal + Interest) × Daily Rate × Days

3. Guarantee Costs (Gastos de Garantía)

Administration fee for collateral management:

Rate: 0.045% annualized, up to 90 days
Applied to: Principal + Interest
Applies to: Only tomadora (borrower pays)
Colocadora: Zero guarantee costs

Calculation:

Daily Rate = 0.045% / 100 / 90 = 0.000005

If Tomadora:
    Gastos Garantía = (Principal + Interest) × Daily Rate × Days
If Colocadora:
    Gastos Garantía = 0

4. VAT (IVA)

Value-added tax on all fees:

Rate: 21%
Applied to: Arancel + Derechos + Gastos Garantía

Calculation:

IVA = (Arancel + Derechos + Gastos Garantía) × 21%

Complete Example: Caucion Colocadora

Parameters:

Principal: $100,000
TNA: 40%
Days: 7
Broker TNA (Colocadora): 1%

Calculation:

1. Interest Rate:
   Tasa = 40% / 100 × 7 / 365 = 0.007671 (0.7671%)

2. Gross Interest:
   Interes = $100,000 × 0.007671 = $767.10
   
3. Principal + Interest:
   ImporteConInteres = $100,000 + $767.10 = $100,767.10

4. Broker Commission:
   Arancel = $100,767.10 × (1% / 100) × (7 / 365) = $19.33

5. Market Rights:
   Daily Rate = 0.045% / 100 / 90 = 0.000005
   Derechos = $100,767.10 × 0.000005 × 7 = $3.53

6. Guarantee Costs (Colocadora):
   GastosGarantia = $0 (only for tomadora)

7. Total Fees (before VAT):
   Gastos = $19.33 + $3.53 + $0 = $22.86

8. VAT:
   IVA = $22.86 × 21% = $4.80

9. Total Fees:
   TotalGastos = $22.86 + $4.80 = $27.66

10. Net Interest (what you actually earn):
    InteresNeto = $767.10 - $27.66 = $739.44

11. Net Amount Received:
    ImporteNeto = $100,767.10 - $27.66 = $100,739.44

12. Effective Return:
    Effective TNA = ($739.44 / $100,000) × (365 / 7) × 100 = 38.56%

Result: On a 40% TNA caucion colocadora, your effective return is 38.56% after all fees (3.6% reduction).

Complete Example: Caucion Tomadora

Parameters:

Principal needed: $100,000
TNA: 45%
Days: 3
Broker TNA (Tomadora): 2%

Calculation:

1. Interest Rate:
   Tasa = 45% / 100 × 3 / 365 = 0.003699 (0.3699%)

2. Interest to Pay:
   Interes = $100,000 × 0.003699 = $369.90
   
3. Principal + Interest:
   ImporteConInteres = $100,000 + $369.90 = $100,369.90

4. Broker Commission:
   Arancel = $100,369.90 × (2% / 100) × (3 / 365) = $16.51

5. Market Rights:
   Derechos = $100,369.90 × 0.000005 × 3 = $1.51

6. Guarantee Costs (Tomadora pays):
   GastosGarantia = $100,369.90 × 0.000005 × 3 = $1.51

7. Total Fees (before VAT):
   Gastos = $16.51 + $1.51 + $1.51 = $19.53

8. VAT:
   IVA = $19.53 × 21% = $4.10

9. Total Fees:
   TotalGastos = $19.53 + $4.10 = $23.63

10. Net Interest + Fees:
    InteresNeto = $369.90 + $23.63 = $393.53

11. Total to Repay:
    ImporteNeto = $100,369.90 + $23.63 = $100,393.53

12. Effective Cost:
    Effective TNA = ($393.53 / $100,000) × (365 / 3) × 100 = 47.86%

Result: On a 45% TNA caucion tomadora, your effective cost is 47.86% after all fees (6.4% increase). Tomadora is more expensive due to guarantee costs.

Configuring Commission Rates

For accurate calculations, configure your broker’s caucion rates:

Open the Settlement Term Arbitrage scanner
Look for fields:
- Comisión Tomadora (TNA)
- Comisión Colocadora (TNA)
Enter your broker’s rates (check with your ALyC)

These rates are saved and used across all caucion calculations in ChuchoBot, including settlement arbitrage P&L.

Common Broker Rates (Examples)

Broker Type	Colocadora TNA	Tomadora TNA
Full-service	0.5% - 2%	1% - 3%
Discount	0.1% - 1%	0.5% - 2%
Premium	2% - 5%	3% - 6%

These are examples only. Always verify with your specific broker. Rates can vary significantly.

Settlement Days Calculation

Caucion settlement follows market calendar rules:

public static int GetDiasLiquidacion24H()
{
    // Try to find caucion instrument to determine actual settlement
    for (var caucionDiasLiq = 1; caucionDiasLiq < 10; caucionDiasLiq++)
    {
        var caucionTicker = GetCaucionPesosTicker(caucionDiasLiq);
        var caucionInstrument = Argentina.Data
            .GetInstrumentDetailOrNull(caucionTicker);
        if (caucionInstrument != null)
        {
            return caucionDiasLiq;
        }
    }
    
    // Default: 1 day, or 3 days on Friday
    var diasLiq = DateTime.Today.DayOfWeek == DayOfWeek.Friday ? 3 : 1;
    return diasLiq;
}

Friday Rule: 24hs settlement on Friday typically means 3 days (Monday settlement) due to the weekend.

Use Cases for Caucion

Caucion Colocadora Use Cases

Earn on Idle Cash

Instead of leaving pesos uninvested, place them in caucion to earn daily returns.

Settlement Arbitrage (Part 1)

When you sell CI and buy 24hs, place the CI proceeds in caucion to earn interest during the settlement gap.

Short-Term Parking

Park cash overnight or for a few days while deciding on next investment.

Hedge Against Devaluation

Caucion rates often track inflation expectations, providing some protection.

Caucion Tomadora Use Cases

Settlement Arbitrage (Part 2)

When you buy CI and sell 24hs, take caucion to finance the CI purchase until 24hs settlement.

Cover Short-Term Liquidity

Bridge temporary cash shortfalls without selling investments.

Leverage Positions

Borrow to increase position sizes (caution: adds risk).

T+1 Settlement Coverage

Finance purchases that settle before your cash arrives.

Caucion in Settlement Arbitrage

Caucion is integral to settlement term arbitrage:

Scenario 1: Venta CI / Compra 24hs

1. Sell GGAL in CI → Receive $100,000 today
2. Buy GGAL in 24hs → Pay $99,500 tomorrow
3. Place $100,000 caucion for 1 day @ 40% TNA

Result:
- Spread profit: $500
- Caucion interest (net): ~$106
- Total P&L: ~$606 (before transaction fees)

Scenario 2: Compra CI / Venta 24hs

1. Buy SPY in CI → Pay $50,000 today
2. Sell SPY in 24hs → Receive $50,300 tomorrow  
3. Take $50,000 caucion for 1 day @ 45% TNA

Result:
- Spread profit: $300
- Caucion cost (net): ~$62
- Total P&L: ~$238 (before transaction fees)

The Settlement Arbitrage Scanner automatically calculates caucion costs/earnings in the P&L column using your configured rates.

Risk Considerations

Counterparty Risk (Minimal)

Caucion is collateralized and cleared through BYMA, making default risk very low. However, it’s not zero.

Rate Volatility

Caucion rates can change rapidly based on market liquidity and central bank policy.

Opportunity Cost

Returns from caucion may underperform other investments during bull markets.

Fees Eat Returns on Short Terms

For very short periods (1-2 days), fees can consume a significant portion of interest.

Not BCRA-Insured

Unlike bank deposits, caucion is not covered by deposit insurance.

Best Practices

Configure Accurate Broker Rates

Using incorrect rates makes all P&L calculations unreliable. Verify with your ALyC.

Consider Net Returns

Always calculate after-fee returns. The posted TNA is not what you actually earn.

Match Term to Needs

Don’t lock cash in multi-day caucion if you might need it tomorrow.

Compare to Alternatives

Check if FCI (money market funds) offer better net returns for your time horizon.

Monitor Weekend Effect

Friday caucion often has different rates due to the 3-day settlement period.

Caucion vs Other Cash Alternatives

Product	Typical Return	Liquidity	Fees	Best For
Caucion	Market TNA	T+days	Moderate	Short-term (1-7 days)
Money Market FCI	Slightly lower	T+1	Low	Medium-term (1+ weeks)
Time Deposit	Fixed	Locked	Low	Fixed periods
Savings Account	Low	Immediate	None	Emergency reserves

Technical Details

Caucion Ticker Format

Caucion instruments are identified by:

Format: MERV - XMEV - PESOS - {Days}D

Examples:
- 1-day caucion: MERV - XMEV - PESOS - 1D
- 7-day caucion: MERV - XMEV - PESOS - 7D
- 30-day caucion: MERV - XMEV - PESOS - 30D

Rate Quotation

Caucion rates are quoted as TNA (Tasa Nominal Anual):

Not compounded
Simple interest calculation
Annualized for comparison purposes

Converting TNA to effective rate:

Effective Rate = TNA / 100 × (Days / 365)

Example: 40% TNA for 7 days
Effective = 0.40 × (7 / 365) = 0.7671%

Settlement Arbitrage

Caucion financing is essential for settlement arbitrage operations

Market Data

Real-time caucion rates available via WebSocket

Official References

Technical Reference

The caucion calculator is implemented in:

Caucion.cs - Core calculation logic with all fee formulas
Settlement.cs - Settlement day determination
FrmCaucion.cs - Standalone caucion calculator UI
SettlementTermTrade.cs - Integration with settlement arbitrage

Getting Started

Configuration

Core Features

Guides

Troubleshooting

​Overview

​Caucion Types

Caucion Colocadora

Caucion Tomadora

​How Caucion Works

​Caucion Colocadora (Placing)

​Caucion Tomadora (Taking)

​Calculation Formula

​Fee Components

​1. Broker Commission (Arancel)

​2. Market Rights (Derechos de Mercado)

​3. Guarantee Costs (Gastos de Garantía)

​4. VAT (IVA)

​Complete Example: Caucion Colocadora

​Complete Example: Caucion Tomadora

​Configuring Commission Rates

​Common Broker Rates (Examples)

​Settlement Days Calculation

​Use Cases for Caucion

​Caucion Colocadora Use Cases

​Caucion Tomadora Use Cases

​Caucion in Settlement Arbitrage

​Scenario 1: Venta CI / Compra 24hs

​Scenario 2: Compra CI / Venta 24hs

​Risk Considerations

​Best Practices

​Caucion vs Other Cash Alternatives

​Technical Details

​Caucion Ticker Format

​Rate Quotation

​Related Features

Settlement Arbitrage

Market Data

​Official References

​Technical Reference

Build docs developers (and LLMs) love

Overview

Caucion Types

How Caucion Works

Caucion Colocadora (Placing)

Caucion Tomadora (Taking)

Calculation Formula

Fee Components

1. Broker Commission (Arancel)

2. Market Rights (Derechos de Mercado)

3. Guarantee Costs (Gastos de Garantía)

4. VAT (IVA)

Complete Example: Caucion Colocadora

Complete Example: Caucion Tomadora

Configuring Commission Rates

Common Broker Rates (Examples)

Settlement Days Calculation

Use Cases for Caucion

Caucion Colocadora Use Cases

Caucion Tomadora Use Cases

Caucion in Settlement Arbitrage

Scenario 1: Venta CI / Compra 24hs

Scenario 2: Compra CI / Venta 24hs

Risk Considerations

Best Practices

Caucion vs Other Cash Alternatives

Technical Details

Caucion Ticker Format

Rate Quotation

Related Features

Official References

Technical Reference