DI x IPCA Spread

DI x IPCA Spread Futures

  • Specifications
    UnderlyingInterest rate obtained from the calculation of the difference between the compounded DI rate, in the period between the date of transaction, including, and the expiration date, excluding, and the IPCA variation verified in the period as of the transaction date until and including the expiration date.
    TickerDAP
    Contract sizeUnit price (PU) multiplied by the Brazilian Reals value of each point, with the value of each point being BRL0.00025, multiplied by the pro rata value of the IPCA.
    QuotationExponential Interest rates, expressed in per annum (based on 252 business days), to two decimal places.
    Tick size0.01%.
    Round-lot5 contracts.
    Last trading dayLast trading day preceding the expiration date.
    Expiration date15th calendar day of the contract month. If this day is not a trading day, the expiration date will be on the following trading day.
    Contract monthsAll months.
    Settlement on expirationCash settlement.
  • Participant ranking (number of contracts) - 05/2017
    • 178,810
      XP INVESTIMENTOS CCTVM S/A
    • 48,230
      RENASCENÇA DTVM LTDA
    • 16,245
      ITAU CV S/A
    • 4,910
      UBS BRASIL CCTVM S/A
    • 2,350
      TULLETT PREBON
  • Participation by investor type - 11/2017
    • 17%
      Financial institution
    • 79%
      Institutional investor
    • 4%
      Non-resident
    • 0%
      Natural person
    • 0%
      Others
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