Futures on the Average Rate of One-Day Repurchase Agreements

  • Specifications
    UnderlyingEffective Interest rate, defined as the average repurchase agreement (OC1) rates verified on the period between the trading day and the last trading day.
    Contract sizeUnit price (PU) times BRL1.00. The contract value 100,000 point at the maturity.
    QuotationEffective interest rate per annum, based on 252 business days, to three decimal places.
    Tick size0.001 of an interest rate point from the 1st to the 3rd contract month; 0.005 of an interest rate point from the 4th to the 12th contract month; and 0.01 of an interest rate point for the other contract months.
    Round-lot5 contracts.
    Last trading dayLast trading day preceding the expiration date.
    Expiration date1st business day of the contract month.
    Contract monthsAll months.
    Settlement on expirationCash settlement.
  • Participant ranking (number of contracts) - 08/2018
    • 800,000
  • Participation by investor type - 08/2018
    • 50%
      Financial institution
    • 50%
      Institutional investor
    • 0%
    • 0%
      Natural person
    • 0%