Instrument delivers greater efficiency in pricing DI Futures

This Monday (the 28^th), B3, the stock exchange of Brazil, makes available to the market a new strategy for negotiating DI Futures. The Trade at Settlement of DI Futures (DIT), which allows trading DI Futures at the settlement price of the trading day plus a rate spread.

DIT allows trading DI Futures plus a spread (positive, negative, or flat) on the settlement price of the day at any time throughout the trading session (9:00 a.m. to 4:20 p.m.*).

The strategy, in line with international practices, tends to be widely used by funds, which usually trade contracts at values close to the settlement price.

Benefits of using DIT: Every DIT trade generates a DI Futures trade (DI1) of the same type and quantity.

The difference is the transaction price being generated in DI Futures, which will be a spread to the daily settlement rate.

When trying to replicate the DI1 settlement price by operating within the mark-to-market window, it is possible that this operation does not happen exactly at the settlement price. By using DIT, a trader has a price guarantee (settlement price + negotiated spread), mitigating these possible errors.

This instrument comes to complement the DI1 for the purpose of facilitating trading at the settlement price and strengthening the mark-to-market window.

To learn more about DI Futures trading with DIT, visit the project page on the B3 Clientes website or click here to watch the Technical Workshop on this strategy and here to access the presentation material.

*The published trading hours will take effect after the implementation of the new VWAP pricing model. Until then, trading hours will be from 09:00 a.m. to 04:00 p.m.