DI Rates

Structured FRA Transaction On DI Future

• The product

  The structured forward rate agreement 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 Unit Price (UP) 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	Forward rate between both maturities, compounded daily based on a 252-day year.
  Ticker	DIF
  Quotation	Expressed as a percentage rate per annum compounded daily based on a 252-day year, 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