IV Macro Policy & Sovereign Debt
DI futures
B3-listed interest rate futures referencing Brazil's average one-day interbank deposit (DI) rate through to expiry.
How it works
The DI1 contract settles against the average daily interbank deposit (DI) rate that B3 calculates and publishes, accrued from the trade date to maturity. Notional is BRL 100,000 at maturity; the price is that amount discounted at the traded rate.
Contracts are quoted as an annual rate compounded daily on a 252-day year, to three decimal places. Expiry falls on the first trading session of the contract month, with the last trade the session before. Settlement is in cash, priced off a volume-weighted average between 4:10 and 4:20 pm.
B3 positions the contract as a tool for hedging DI-linked assets and liabilities. Because every month is listed, the DI strip doubles as Brazil's market yield curve. A headline 'January 2031 DI' is simply one contract at the far end of that curve.
Why it matters here
Brazil's fiscal risk shows up here first. On 26 October the January 2031 DI rose 254 basis points and the January 2028 contract 194; the far end moving harder than the front told you the market doubted the fiscal rule more than the central bank. When emerging-market debt is being repriced, the DI curve is an early-warning gauge that tends to move ahead of CDS.