Increasing Decimal Places

Mandatory

New rounding rule for FRA on DI1 (DIF) and FRA on DAP (DAF) short leg price brings greater accuracy to investors

FRA on DI1 (Structured Forward Rate Agreement transactions on Future Interbank Deposit), also known as DIF, and FRA on DAP (Structured Forward Rate Agreement transactions on DI x IPCA Spread Future), also known as DAF will gain more accuracy by increasing one decimal place in the price defined for the transaction short leg (from three to four decimal places).

The improvement will reduce distortions caused by the current rounding of three decimal places, ensuring that the final transaction price is more in line with the market price.

Therefore, transaction prices will be even closer to the values actually traded, improving the effectiveness of the strategies. The goal is to make the product more attractive to investors.

Project Tags:

Listed

In Progress

Interest rate and currencies

Product benefits

Greater accuracy

For transactions, which will be closer to the calculated price of the traded FRA.

Predictability

Increasing the number of decimal places reduces price distortions and provides an optimized and predictable transaction performance.

Improvements

B3 has improved its structured transactions to make them more attractive to investors.

Learn more

The new project contributes to improving FRA on DI1 and FRA on DAP strategies, making the product more attractive to investors.

Structured FRA transaction on DI1 combines the opposite trading of two maturities of one-day Interbank Deposit average rate futures contracts (buy or sell) with quantities calibrated to neutralize the Unit Prices (PU) of each maturity. Click here to learn more about the product.

Structured FRA transaction on DAP combines the opposite trading of two maturities of DI x IPCA Spread futures contracts (buy or sell) with quantities calibrated to neutralize the Unit Prices (PU) of each maturity. Click here to learn more about the product.