OREANDA-NEWS. January 24, 2013. BM&FBOVESPA is to launch new interest rate derivatives on March 1. The first is a futures contract 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.