04 - Statistics and Contract Specifications | B3

04 - Statistics and Contract Specifications

 

The DI1 contract has changed its specifications ( Tick Size, Round Lot, Contract Months, Trading Hours) we are working in the vídeo updates. Please, consider the text information

Contract specifications

Underlying Effective interest rate, defined as the capitalized daily Interbank Deposit (DI) rates verified on the period between the trading day and the last trading day
Ticker DI1
Bloomberg Ticker OD
Contract Size Unit price (PU) multiplied by the amount in Brazilian Reals (BRL) of each point (BRL1.00). Each DI1 Futures Contract is worth 100,000 points at expiration
Quotation Effective annual interest rate based on a 252-business day year, to three decimal places
Tick Size 1st to 3rd contract month: 0.002% 4th to 60th contract month: 0.005% Other contract months: 0.01%
Round lot 1 Contracts
Last Trading Day Last trading day preceding the expiration date
Expiration Date 1st business day of the contract month
Contract Months To 1 year: monthly From 1 to 5 years: quarterly on a January cycle From 6 to 15 years: annualy on a January cycle
Contract Months Cash Settlement. Based on contract size at expiration: 100,000 points (100,000 BRL)
RV01 Brazilian Real (BRL) value of a 1 basis point change in the interest rate. Because the DI1 is a contract traded on the spot rate, its RV01 is variable and depends on both (i) the maturity of the contract traded and (ii) the days to its maturity

 

Trading Hours

Regular Trading Hours 9:00 a.m. to 6:00 p.m.
*The adjustment price is calculated using the VWAP methodology between 4:10 p.m and 4:20 p.m.

 

Ticker Symbol Definition

The ticker symbol that investors will find on their trading screen is composed of 3 parts: AAA (ticker) + B (contract month) + C (expiration year).

The table below shows the code letter for each month:

January February March April May June July August Septemper October November December
F G H J K M N Q U V X Z

The table below shows the code letter for each month:

Ticker Symbol Definition

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