Material name
Date
Material Type
Language
Format
Size
Operational efficiency
Ease of trade and post-trade with the display of the traded price on each leg at the time of trading.
EDS Phase II: Inclusion of Execution Report for (IR1/WI1) and (DR1/WD1)
Inclusion of Execution Report for Ibovespa Futures (IR1 and WI1) and U.S. Dollar Futures (DR1 and WD1) Rollover Transactions
Currently, investors who trade U.S. Dollar Futures (DR1 and WD1) or Ibovespa Futures (IR1 and WI1) rollover transactions receive only the price information on the structure at the time of trading.
With the improvement to be delivered, investors who use these Structured Rollover Transactions will now count on the Execution Report message also in instruments that are part of their composition. Under this model, participants will receive the traded price of the structure and its composition at the time of the transaction is executed.
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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
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07/17/2023
Go-live
Available to the market
Technical details
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Catalog changes
N/A
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Main systems
Sinacor.
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Main related functions
No related functions.
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Certification roadmap
N/A
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What is the Sinacor version?
v22.2
