OC1 x U.S. Dollar Spread

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

• Specifications

  Underlying	U.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.
  Ticker	DCO
  Contract size	Unit price (PU) times the point value in US Dollars, with each point being equivalent to fifty cents (USD0.50).
  Quotation	Interest rate, expressed as a linear percentage per annum, based on 360 calendar days, to two decimal places.
  Tick size	0.001%.
  Round-lot	1 contract.
  Last trading day	Last trading day preceding the expiration date.
  Expiration date	1st business day of the contract month.
  Contract months	All months.
  Settlement on expiration	Cash settlement.