DI1, DII and DIF - Tick Size Change for Contracts with Maturities over 5 Years

Informative

Increased liquidity for long DI1 maturities

DI Futures (DI1) is B3's main interest rate contract, which is widely used by financial market participants for hedging, arbitrage and speculation strategies. To make DI Futures (DI1) even more attractive, we will reduce the tick size for DI1 contracts with maturities over 60 months, from 0.01% to 0.005%.

This change will align long-term maturities with intermediate maturities that already use a 0.005% tick size. The change is expected to make longer maturities more attractive to investors, expanding their trading.

The measure also impacts interest rate strategies (Exchange Defined Strategies - EDS) for DII (DV01 Neutral) and DIF (PU Neutral), since the tick size of these strategies follows the shorter DI1 maturity leg that composes them.

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Interest rate and currencies

Derivatives

Product benefits

Liquidity

Greater attractiveness for long maturities, with the potential to increase trading volume for these contracts.

Uniformity of interest yield curve

The change brings long maturities closer to intermediate maturities, thus facilitating more accurate hedging and arbitrage strategies.

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The tick size change from 0.01% to 0.005% is aimed at increasing attractiveness and liquidity for maturities over 5 years.

This is the main Brazilian interest rate contract. It allows for the trading the expected average daily rate of Interbank Deposits (DI) over a given period. Through this instrument, investors can hedge against interest rate fluctuations, besides seeking profits through speculation strategies and arbitrage between markets.

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Launched in 2022, DI1 (nominal interest rate) Exchange Defined Strategies (EDS) expanded the products available for trading yield curve strategies efficiently, without execution risk, with differentiated pricing and transparency.

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