OC1 x U.S. Dollar Spread

U.S. Dollar Spread Futures Contract Referencing One-Day Repurchase Agreements

  • Specifications
    UnderlyingU.S. Dollar spread, interest rate obtained from calculating the difference between the accumulated Average Rate of One-Day Repurchase Agreements in the period covered as of and including the date of the transaction up to and excluding the expiration date, and the exchange rate variation observed in the period from the business day prior to the transaction’s date up to and excluding the contract’s expiration date.
    Contract sizeUnit price (PU) times the point value in US Dollars, with each point being equivalent to fifty cents (USD0.50).
    QuotationInterest rate, expressed as a linear percentage per annum, based on 360 calendar days, to two decimal places.
    Tick size0.01%.
    Round-lot1 contract.
    Last trading dayLast trading day preceding the expiration date.
    Expiration date1st business day of the contract month.
    Contract monthsAll months.
    Settlement on expirationCash settlement.
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