DI Rates

Structured DV01 Neutral Transaction On DI Future

• The product

  The structured DV01 neutral transaction on DI Future, is a structured transaction that combines two DI Future maturities in opposite side (Buy or Sell) with quantities calibrated in order to equalize the DV01 value of both maturities.

  Because it is a structured transaction, the Product does not represent a new future contract and there is no open positions in the end of the day, but allow the simultaneous trading of two different DI Future maturities.

• Specifications

  Underlying	Percentage rate differential between both maturities.
  Ticker	DII
  Quotation	Expressed as a percentage rate, to three decimal places.
  Round-lot	Multiples of 5 contracts, with a minimum of 5 contracts.
  Contract months	All months.

• Benefits
  • More efficiency on trading strategies on DI1
  • Fee schedule model based on strategie´s risk
  • Eliminates the execution risk in independent order books