B3 expands availability of Interest Rate Trading Strategies

Starting Monday, June 27, new EDS (Exchange Defined Strategies) for yield curve trading will be available at B3. Two new IPCA Spread Futures (DAP) strategies will be launched: FRA (Neutral PU) and Slope (Neutral DV01).

This is the second phase of the launch of new EDS strategies by B3, which recently launched FRA and Slope strategies for DI Futures Contract (DI1).

The IPCA Spread Futures Contract (DAP) is a hedging tool against fluctuations in the Brazilian real interest rate. It is calculated by the difference between the average rate of one-day interbank deposits (DI) and the inflation measured by the Extended Consumer Price Index (IPCA).

The new trading strategies bring benefits such as trading through a single book, optimized fee structure and greater market transparency.

The ticker structure consists of 3 characters indicating the product and another 6 characters indicating the expiration month and year that makes up each strategy.

PRODUCT	Neutral PU (FRA)	Neutral DV01 (Slope)
DAP Strategies	DAF + MAAMAA	DAI + MAAMAA

 

Trading of the new strategies begins via a pre-opening auction lasting 5 minutes and starting at 8:55 AM. As of 9:00 AM trading continues until 6:00 PM.

The new products are available on the PUMA Trading System platform. All information and technical characteristics of the EDS – Strategy Trading project can be found on the B3 Clients website. Make sure you also download the files under “Support Material” and don't hesitate to contact your RM if you have any questions.

Another possibility of gaining in-depth knowledge of the subject is to attend the Project's Technical Workshop, where you will find details both about the DAP strategy and the DI Futures Contract (DI1) strategy – recently made available – and about the Forward Rate Agreement on DI x US Dollar Spread (FRC) to be launched in the future in a third phase.