Structured DV01 Neutral Transaction on FRC | B3

Structured DV01 Neutral Transaction on FRC

  • The structured DV01 neutral transaction on FRC, is a structured transaction that combines two FRC 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 are no open positions in the end of the day, but allow the simultaneous trading of two different FRC maturities.

  • UnderlyingPercentage rate differential between both maturities.
    TickerFRI
    QuotationExpressed as a percentage rate, to three decimal places.
    Round-lotMultiples of 10 contracts, with a minimum of 30 contracts.
    Contract monthsAll months.
    • More efficiency on trading strategies on DI1
    • Fee schedule model based on strategie´s risk
    • Eliminates the execution risk in independent order books