BM&FBOVESPA launches new interest rate derivatives

São Paulo, January 22, 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.

Option contracts will have an index as a reference

New call and put options on interest rates will also be launched on March 1. 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.

This index, named as Index of the Average Rate of One-Day Repurchase Agreements, will be calculated by BM&FBOVESPA on the basis of the daily cumulative rate of one-day repurchase agreements backed by federal securities. The options will trade under the ticker symbol ITC between 9:00 a.m. and 4:00 p.m., with an extended trading session from 4:50 p.m. to 6:00 p.m.

Interest rate derivatives portfolio

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.

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.