The DI Future Contract has as underlying asset the average daily rate of Interbank Deposits (DI), calculated and published by B3, between the trading date, inclusive, and the maturity date, exclusive, this product can be used to hedge and management risk of interest rate assets/liabilities referenced in DI.
The contract has as notional value BRL 100,000 at the maturity date, and unit price (PU) is BRL 100,000 discounted the trading rate. As the position is daily updated by the DI Rate through the update dynamics by the correction factor , the investor who carries the position until maturity receives daily adjustments that added together, will be equivalent to the difference between the fixed rate and the the over rate, in the financial amount of the trading.
The Volume-Weighted Average Price (VWAP) is the methodology used to calculate the DI Futures settlement prices, using a ten-minute window (4:10 pm to 4:20 pm). The algorithm avoids price distortions, even in high volatility scenarios, by pricing all maturities at the same time.
For more details on the DI Futures pricing model, visit the DI Futures pricing manual by clicking here.