One-Day Interbank Deposit Futures Contract (Di1)

ONE-DAY INTERBANK DEPOSIT FUTURES CONTRACT (DI1)
– Specifications –
1. Definitions
DI1 Futures Contract: will be used as the shortened name for the
purposes of this contract, with the full name
being the One-Day Interbank Deposit Futures
Contract (DI1).
Business day: a day on which there is a trading session at

BM&FBOVESPA shall be considered a business
day, for the purposes of this contract, of cash
settlement and of meeting margin calls.
Average One-day Interbank Average One-day Interbank Deposit Rate (ID),

Deposit Rate (ID): calculated by CETIP – Custody and Settlement
and expressed as a percentage rate per annum
compounded daily based on a 252-day year.
Unit price (PU): the value, in points, corresponding to 100,000,

discounted by the interest rate defined in item 2.
Settlement price (PA): the closing price, for the purpose of updating the
value of open positions and calculating the
variation margin and the settlement value of day
trades, daily calculated and/or arbitrated by
BM&FBOVESPA, at its sole discretion, for each
authorized contract month, and expressed in
PU.
Reserve day: a business day for the purposes of financial

market transactions, as established by the
National Monetary Council.
BM&FBOVESPA: BM&FBOVESPA S.A. – Bolsa de Valores,

Mercadorias e Futuros.
BCB: Central Bank of Brazil
2. Underlying asset
The interest rate compounded until the contract’s expiration date, for this
purpose defined as the capitalized daily ID rates verified in the period
between the trade date and the last trading day.
3. Price quotation
Price quotations shall be expressed as a percentage rate per annum

compounded daily based on a 252-day year, to three decimal places.
4. Tick size
0.001 of an interest rate point from the 1st to the 3rd contract month; 0.005 of
an interest rate point from the 4th to the 12th contract month; and 0.01 of an
interest rate point for the other contract months.
5. Contract size
Unit price (PU) times the Brazilian Real (R$) value of each point, with BRL
1.00 being the value of each point.
6. Contract months
All months.
7. Expiration date
The first business day of the contract month.

8. Last trading day
The business day preceding the expiration date.
9. Day trade
Buying and selling in the same trading session of the same number of
contracts for the same month shall be offset provided these transactions are
executed on behalf of the same customer through the same participant
under the responsibility of the same clearing member. These transactions
shall be cash settled on the following business day, and their amounts shall
be calculated in accordance with item 10.2.
10. Daily settlement of accounts (variation margin)
For the purpose of calculating the variation margin value, the following
criteria shall apply:
10.1. Offsetting positions
Long and short positions originally traded in rate shall be transformed

into short and long positions, respectively, in PU.
10.2. Variation margin calculation
After being transformed into long and short positions in PU, the
positions outstanding at the end of each session shall be settled
according to the day’s settlement price, as determined by
BM&FBOVESPA rules and regulations, and cash settled (payment of
debits and receipt of credits) on the following business day (T+1).
Variation margin shall be calculated up to the expiration date in

accordance with the following formulas:
10.2.1. For the positions initiated on the day
10.2.2. For the positions outstanding on the previous day

where:
= the daily settlement value, in Brazilian Reals, corresponding

to day “t;”
= the contract settlement price on day “t,” for the respective

contract month;
= the trading price in PU, calculated as follows, after a

transaction is carried out:
( )
where:
= the traded interest rate;
= the number of reserve days verified between the trade

date and the day preceding the expiration date;
= the Brazilian Real value of each unit price point, as

established by BM&FBOVESPA;
= the number of contracts;
= the settlement price on day “t–1,” for the corresponding

contract month;
= the correction factor on day “t,” defined by the following

formulas:
i. when there is one reserve day between the last trading session and
the day of the settlement of accounts:
( )
ii. when there is more than one reserve day between the last trading
session and the day of the settlement of accounts:
∏( )
where:
= the ID rate, corresponding to the business day

preceding the day to which the settlement of accounts
refers, to six decimal places. Should there be more than
one ID rate disclosed for the interval between two
consecutive sessions, said rate shall represent the
accumulation of all the rates disclosed.
On the expiration date, the settlement price shall be 100,000.
Should, on a certain day, the ID rate refer to a period (number of

days) distinct from that to be considered in the indexation of the day’s
settlement price, BM&FBOVESPA, at its sole discretion, may
arbitrate a rate for that specific day.
The daily settlement value (ADt), if positive, shall be credited to the

PU buyer (the original rate seller) and debited from the PU seller (the
original rate buyer); if negative, it shall be debited from the PU buyer
and credited to the PU seller. Cash settlement shall occur on the
following business day.
11. Settlement conditions on expiration
On the expiration date, the positions outstanding after the last settlement
price shall be cash settled by BM&FBOVESPA by means of the registration
of an offsetting transaction (long or short) on the same number of contracts,
the price of which (unit price) shall be 100,000 points.
Cash settlement shall be made on the business day following the expiration
date.
12. Special provisions
Should there for any reason be a delay to disclosure or should there be no

disclosure of the ID rate defined in item 1, for one or more days,
BM&FBOVESPA may, at its sole discretion:
a) postpone the contract settlement, up until an official disclosure;
b) cash settle open positions by the last available settlement price; or
c) use as a settlement price a price arbitrated by itself, if at its sole

discretion it judges the last settlement price not to be representative;
In any case, BM&FBOVESPA may also also index the settlement price by
arbitrating an opportunity cost from the expiration date to the effective cash
settlement date. Regardless of the situations described above,
BM&FBOVESPA may, at its sole discretion, arbitrate a price to settle the
contract at any time, should there be any event that it considers prejudicial
to good price formation and/or continuation of the contract.
13. Further regulations
13.1 This contract shall be subject, where applicable, to the prevailing

legislation and to BM&FBOVESPA rules, regulations and
procedures, as defined in its Bylaws, Operating Rules and Circular
Letters, as well as to the specific rules set forth by the Brazilian
governmental authorities that may affect the terms stated herein.
13.2 Should there be any situations not covered by this contract, as well
as governmental measures or any other facts that affect the
formation, calculation or publication of its variables, or even result in
their discontinuity, BM&FBOVESPA may, at its sole discretion, take
the measures it deems necessary for the contract’s cash settlement
or continuity on an equivalent basis

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ONE-DAY INTERBANK DEPOSIT FUTURES CONTRACT (DI1)

Business day: a day on which there is a trading session at

Average One-day Interbank Average One-day Interbank Deposit Rate (ID),

Unit price (PU): the value, in points, corresponding to 100,000,

Reserve day: a business day for the purposes of financial

BM&FBOVESPA: BM&FBOVESPA S.A. – Bolsa de Valores,

BCB: Central Bank of Brazil

Price quotations shall be expressed as a percentage rate per annum

The first business day of the contract month.

The business day preceding the expiration date.

10. Daily settlement of accounts (variation margin)

10.1. Offsetting positions

Long and short positions originally traded in rate shall be transformed

10.2. Variation margin calculation

Variation margin shall be calculated up to the expiration date in

10.2.1. For the positions initiated on the day

10.2.2. For the positions outstanding on the previous day

= the daily settlement value, in Brazilian Reals, corresponding

= the contract settlement price on day “t,” for the respective

= the trading price in PU, calculated as follows, after a

= the traded interest rate;

= the number of reserve days verified between the trade

= the Brazilian Real value of each unit price point, as

= the number of contracts;

= the settlement price on day “t–1,” for the corresponding

= the correction factor on day “t,” defined by the following

= the ID rate, corresponding to the business day

On the expiration date, the settlement price shall be 100,000.

Should, on a certain day, the ID rate refer to a period (number of

The daily settlement value (ADt), if positive, shall be credited to the

11. Settlement conditions on expiration

Should there for any reason be a delay to disclosure or should there be no

a) postpone the contract settlement, up until an official disclosure;

b) cash settle open positions by the last available settlement price; or

c) use as a settlement price a price arbitrated by itself, if at its sole

13. Further regulations

13.1 This contract shall be subject, where applicable, to the prevailing

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