OREANDA-NEWS. BM&FBOVESPA will widen its range of interest rate products interest rate product range on May 27th. Three new derivatives referenced to the average rate in one-day repurchase agreements backed by Federal securities are being introduced: the U.S. Dollar Spread Futures Contract Referencing One-Day Repurchase Agreements (DCO); the U.S. Dollar Swap with Reset Referencing One-Day Repurchase Agreements (SCS); and the Forward Rate Agreement on One-Day Repurchase Agreements (FRO) structured transaction.

These contracts will be added to the ‘OC family of products’, following the launch on March 1st of the Futures Contract Referencing the Average Rate for One-Day Repurchase Agreements (OC1). The underlying in these contracts is the average rate in transactions executed in the Special System for Settlement and Custody (SELIC) for Federal Securities, managed by the Central Bank of Brazil (BACEN).

The new contracts will be authorized to trade from 9:00 a.m. to 4:00 p.m., with extended hours from 5:15 p.m. to 6:00 p.m. The DCO and FRO contracts’ first maturity will be July 2013 whereas the SCS’ maturities will vary depending on BACEN auctions.

To see the technical specifications of each contract, access here.

Interest rate derivatives portfolio

BM&FBOVESPA’s new interest rate derivatives can be used by market players for investment diversification and in risk management strategies.

The BM&FBOVESPA interest rate derivatives portfolio includes futures, options, swaps and structured transactions that reference the average one-day interbank deposit rate (ID).

The main products in this segment are the one-day interbank deposit futures contract (DI1) launched on June 05, 1991, and the ID x US dollar spread futures contract (DDI), launched on November 01, 1996. Call and put options on the average one-day interbank deposit rate index (IDI) began trading on January 02, 1997. On February 02, 2001, BM&FBOVESPA launched the FRA on ID x US dollar spread (FRC), which was one of the first structured transactions in the Exchange’s derivatives segment in Brazil.