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Project Tags:

Completed

Interest rate and currencies

Listed

Product benefits

Learn How the Product Works in Detail and What Changes

Upon delivery at the time of trading, investors will receive the final value of the difference between the short leg and the long leg, besides the values for each leg.

 

Structured rollover transactions benchmarked to Ibovespa Futures (IR1 and WI1) and to U.S. Dollar Futures (DR1 and WD1) will have, for each trade, the Execution Report available for the

instruments (legs) that compose them. The Execution Report will also be available for the rollover instrument itself with the trade information.

 

For technical information on changes to the FIX messages that will be received, consult the support materials:

 

-Entry Point Messaging Guidelines – pg. 115 – 15.6.1 EDS Execution Report

-Message Specs tag SecondaryExecID – Section 3.4

 

 

 

Currently, when investors carry out a rollover transaction, they receive the final value of the difference between the short leg and the long leg at the time of trading. However, they do not receive the value for each leg at the time of the transaction (the value for each leg is disclosed only at post-trade).

Upon delivery at the time of trading, investors will receive the final value of the difference between the short leg and the long leg, besides the values for each leg.

In addition, the Execution Report that composes the index scrolling operation will be sent.

All types of investors wishing to migrate their positions to a future date and seeking more liquidity on certain asset maturities in their portfolio. And also investors interested in arbitrage or speculation with price differentials between maturities.

Timeline

  • Go-live

    Available to the market

Technical details

  • Catalog changes

    N/A

  • Main systems

    Sinacor.

  • Main related functions

    No related functions.

  • Certification roadmap

    N/A

  • What is the Sinacor version?

    v22.2

Material name

Date

Material Type

Language

Format

Size

CE 005-2023-VNC Rolagem Pares de Moeda em USD

01/17/2023

-

-

pdf

93KB

EC 005-2023-VNC Rollover USD Pairs and EDS

01/17/2023

-

-

pdf

102KB

EntryPointMessageSpecs - Manual v2.18 20210528

05/28/2021

-

-

pdf

992KB

EntryPointMessagingGuidelines - Manual v2.9.15 20210528

05/28/2021

-

-

pdf

5MB