This Friday (March 01, 2013) BM&FBOVESPA starts trading in new financial derivatives contracts referenced to the average rate of one-day repurchase agreements, backed by federal securities. Trading in the contract will be authorized between 9:00 a.m. and 4:00 p.m. under ticker symbol OC1, with the April 2013 contract as the front month.
The contract size will be 100,000 points or BRL100,000, and the reference will be the effective annual interest rate (based on 252 business days) to three decimal places. The quotation of each contract is given in effective rates and its value is converted into the Unit Price (PU) in points. The electronic call for calculation of the settlement price will be held at 4:10 p.m. Market agents will be able to resume trading in the extended trading session between 4:50 p.m. and 6:00 p.m. The price of the last transaction at the end of the extended trading session will be the closing reference price.
The reference rate used for this futures contract will be an average rate representing daily trading in repurchase agreements backed by federal securities via the Special System for Settlement and Custody (SELIC) managed by the Central Bank of Brazil. The Central Bank calculates the rate and publishes it on SISBACEN, its information system.
Option contracts will have an index as a reference
This Friday (March 01, 2013) BM&FBOVESPA starts trading in new call and put options on interest rates. These will be European-style options referenced to the average rate of one-day repurchase agreements backed by federal securities but unlike the futures contract, for which the underlying asset will be the average rate itself, the underlying asset for the options will be an index specially created for this purpose.
BM&FBOVESPA’s new interest rate derivatives can be used by bank treasuries, companies, institutional investors and portfolio managers to diversify investments and manage risk. They can also be used by market agents to structure their hedging strategies.
Interest rate derivatives portfolio
BM&FBOVESPA’s derivatives portfolio comprises futures, options, swaps and structured transactions. The main products in this segment are the One-Day Interbank Deposit Futures Contract (DI1) launched on June 5, 1991, and the DI x US Dollar Spread Futures Contract (DDI), launched on November 1, 1996. Trading in the IDI Index Option Contract (IDI) began on January 2, 1997. The DI x US Dollar Spread Forward Rate Agreement (FRC), one of the first structured transactions in the Exchange’s derivatives segment, was launched on February 2, 2001.