One-day Interbank Deposit Futures | B3

One-day Interbank Deposit Futures

  • The DI Future Contract has as underlying asset the average daily rate of Interbank Deposits (DI), calculated and published by B3, between the trading date, inclusive, and the maturity date, exclusive, this product can be used to hedge and management risk of interest rate assets/liabilities referenced in DI.

    The contract has as notional value BRL 100,000 at the maturity date, and unit price (PU) is BRL 100,000 discounted the trading rate. As the position is daily updated by the DI Rate through the update dynamics by the correction factor , the investor who carries the position until maturity receives daily adjustments that added together, will be equivalent to the difference between the fixed rate and the the over rate, in the financial amount of the trading.

    The Volume-Weighted Average Price (VWAP) is the methodology used to calculate the DI Futures settlement prices, using a ten-minute window (4:10 pm to 4:20 pm). The algorithm avoids price distortions, even in high volatility scenarios, by pricing all maturities at the same time.

    For more details on the DI Futures pricing model, visit the DI Futures pricing manual by clicking here.

  • UnderlyingThis is a standardized interest rate futures contract based on the DI rate published by B3, accumulated up until the expiration of the contract, which is traded on the exchange market operated by B3 S.A. – Brasil, Bolsa, Balcão (B3).
    Contract sizeUnit price (UP) times the Brazilian Real (R$) value of each point.
    QuotationExpressed as a percentage rate per annum compounded daily based on a 252-day year, to three decimal places.
    Tick size0.002 of an interest rate point for contracts with a maturity of up to 3 months; 0.005 of an interest rate point for contracts with maturity from 4 to 60 months; and 0.01 of an interest rate point for contracts with maturity over 60 months.
    Round-lot1 contract.
    Last trading dayLast trading session preceding the expiration date.
    Expiration dateThe first trading session of the contract month.
    Contract monthsAll months
    Settlement on expirationCash settlement.