Título da apresentação
PRODUCTS
Facts and Figures
as of Feb. 28, 2010
Guidelines
Título da apresentação
Foreign Exchange Derivatives
Interest Rate Derivatives
Ibovespa Derivatives
Agricultural Derivatives
Equity Market
Guidelines
Título da apresentação
Foreign Exchange Derivatives
Interest Rate Derivatives
Ibovespa Derivatives
Agricultural Derivatives
FX Matrix Products
Equity Market
FX Contracts Specs
FX Derivatives Prices
and Volatility
FX Derivatives
Strategies
Título
apresentação
FX da
Derivatives
Matrix Products
Futures
Structured
Plain
Options
FuturesStyle
Options
OTC Options OTC Swaps
Forward
On Futures
Points (FRP) (American)
US Dollar
Rollover
(DR1)
Volatility
(VTC)
Euro (ECB)
-
On Spot
(European)
-
On Spot
(European)
On Spot
-
-
BRL/USD
BRL/EUR
Euro (CME)
-
-
-
-
Título
apresentação
FX da
Derivatives
Traded Volume Evolution - Last 6 months
Month-Year
USD Call
Option
USD Put
Option
US Dollar
Future
Euro Future - Euro Future USD Forward USD Future
EUR ¹
- EBR ²
Points
Roll Over
VTC Call
Option
VTC Put
Option
Total
Sep-09
726,505
1,458,245
5,959,815
5,330
0
269,020
1,199,660
81,890
99,705
9,800,170
Oct-09
1,027,135
1,032,005
7,033,995
14,970
0
277,335
1,260,370
79,150
84,485 10,809,445
Nov-09
1,267,350
1,120,920
5,226,455
8,470
0
264,675
1,212,680
62,735
49,000
9,212,285
Dec-09
971,590
698,175
5,643,180
18,420
0
345,275
1,540,470
49,925
63,510
9,330,545
Jan-10
1,073,965
699,095
5,825,230
10,610
0
278,900
1,806,290
39,280
68,755
9,802,125
Feb-10
1,503,800
1,239,565
6,490,915
30,280
0
372,510
1,654,230
75,765
78,225 11,445,290
Total
6,570,345
6,248,005 36,179,590
88,080
0
1,807,715
8,673,700
388,745
443,680 60,399,860
1
Cross currency between the exchange rate of USD per EUR provided by the European Central Bank and the exchange rate of BRL per USD provided by the Brazilian Central Bank.
2
Cross currency between the settlement price of the EUR Futures Contract provided by the CME Group Inc. and the exchange rate of BRL per USD provided by the Brazilian Central Bank
Exchange Contracts - Traded Volume Breakdown - Last
6 months
12
VTC Put Option
10
VTC Call Option
100%
90%
80%
USD Future Roll Over
8
6
70%
USD Forward Points
60%
Euro Future - EBR ²
50%
Euro Future - EUR ¹
4
US Dollar Future
%
Million
Traded Volume Evolution - Last 6 months
40%
30%
20%
2
USD Put Option
USD Call Option
0
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10
10%
0%
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10
Título
apresentação
FX da
Derivatives
Traded Financial Volume Evolution - Last 6 months (USD Billion)
Month-Year
Sep-09
USD Call
Option
39.26
USD Put
Option
70.88
US Dollar
Future
298.76
Euro Future - Euro Future USD Forward USD Future
EUR ¹
- EBR ²
Points
Roll Over
0.39
0.00
13.49
60.14
3.35
VTC Put
Option
Total
4.29
490.56
Oct-09
54.91
51.25
352.86
1.12
0.00
13.91
63.18
3.22
3.38
543.83
Nov-09
67.90
54.46
262.34
0.64
0.00
13.28
60.85
2.60
2.01
464.08
Dec-09
50.21
33.73
283.23
1.34
0.00
17.32
77.36
1.86
2.61
467.66
Jan-10
54.68
33.83
292.47
0.75
0.00
13.99
90.69
1.56
2.86
490.84
Feb-10
81.39
60.30
325.69
2.07
0.00
18.68
83.13
3.15
3.25
577.67
Total
348.35
304.45
1,815.35
6.30
0.00
90.68
435.35
15.74
18.40
3,034.64
Traded Financial Volume Evolution - Last 6 months (USD Billion)
700
Exchange Contracts - Financial Volume Breakdown - Last
6 months
VTC Put Option
100%
600
VTC Call Option
90%
500
USD Future Roll Over
USD Forward Points
400
Euro Future - EBR ²
300
Euro Future - EUR ¹
200
US Dollar Future
100
USD Put Option
USD Call Option
Financial Volume Breakdown (%)
Traded Financial Volume (BRL Billion)
VTC Call
Option
80%
70%
60%
50%
40%
30%
20%
10%
0%
0
Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10
Guidelines
Título da apresentação
Foreign Exchange Derivatives
Interest Rate Derivatives
Ibovespa Derivatives
Agricultural Derivatives
FX Matrix Products
Equity Market
FX Contracts Specs
FX Derivatives Prices and
Volatilities
FX Derivatives Strategies
Título
apresentação
FX da
Derivatives
USD Future Contract
USD Futures Contract Specifications
Ticker Symbol
USD
Underlying Asset
The exchange rate of Brazilian Reals (BRL) per USD,
calculated by the Brazilian Central Bank;
Contract Size
USD 50,000
Quotation
BRL per USD 1,000.000
Contract Months
All months;
Last trading day
Last business day of the month preceding the contract
month;
Expiration date
first business day of the contract month.
10
5
0
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
15
Aug-09
20
Jul-09
Financial Volume Daily Average - Last 2 years
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Billion
25
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
USD
Million
Título
apresentação
FX da
Derivatives
USD Futures Facts and Figures
Monthly Traded Contracts
12
10
8
6
4
2
0
fev-08
mar-08
abr-08
mai-08
jun-08
jul-08
ago-08
set-08
out-08
nov-08
dez-08
jan-09
fev-09
mar-09
abr-09
mai-09
jun-09
jul-09
ago-09
set-09
out-09
nov-09
dez-09
jan-10
fev-10
Day trade (%)
Título
apresentação
FX da
Derivatives
USD Futures = Liquidity
90
80
70
60
50
40
30
% Day Trade
30 days Moving Average
Título
apresentação
FX da
Derivatives
USD Futures Market Participants
Open Interest Breakdown
Month-Year
Jan-08
Feb-08
Mar-08
Apr-08
May-08
Jun-08
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
Jul-09
Aug-09
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10
Banks
1,012,066
998,767
928,770
948,688
995,154
1,038,781
1,001,939
975,880
1,236,297
1,128,544
888,030
975,681
1,057,733
865,930
878,752
745,878
757,932
636,155
626,047
627,354
589,024
609,833
583,596
733,652
689,579
732,945
Brokers and
Dealers
1,185
897
3,782
1,170
730
765
1,790
1,140
3,010
315
400
260
295
645
1,812
976
515
525
465
550
535
475
850
510
702
682
Others Financial
Institutional
55
185
305
1,010
300
47,400
33,685
30,525
25,395
24,100
16,315
14,395
10,480
5,540
3,010
7,040
19,300
39,505
34,485
40,275
37,102
40,735
35,555
32,325
59,015
56,695
Domestic
Foreign Investor
Institutional Investor
439,635
451,378
441,259
446,937
444,093
598,066
558,071
434,346
513,702
508,246
386,912
434,237
388,042
346,431
288,137
260,861
350,486
300,007
301,098
336,233
357,228
367,006
291,653
326,273
362,088
358,169
382,115
506,245
517,983
551,026
587,702
656,969
725,548
584,575
684,066
630,136
475,767
499,533
492,538
410,585
454,068
335,369
447,535
354,802
473,949
420,781
421,664
447,019
481,952
430,149
524,601
625,562
Título
apresentação
FX da
Derivatives
USD Futures Open Interest
Open Interest Breakdown
100%
80%
60%
40%
20%
Jan-08
Feb-08
Mar-08
Apr-08
May-08
Jun-08
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
Jul-09
Aug-09
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10
0%
Banks
Others Financial Institutional
Foreign Investor
Brokers and Dealers
Domestic Institutional Investor
Título
apresentação
FX da
Derivatives
Euro Future Contract
EUR Futures Contract Specifications
Ticker Symbol
Underlying Asset
Contract Size
Quotation
EUR;
The exchange rate of Brazilian Reals (BRL) per Euro,
calculated through the product of the exchange rate of
USD per Euro (ECB) and the exchange rate of BRL per
USD (BCB);
EUR 50,000
BRL per EUR 1,000.000
Contract Months
All months;
Last trading day
Last business day of the month preceding the contract
month;
Expiration date
first business day of the contract month.
Jan-08
Feb-08
Mar-08
Apr-08
May-08
Jun-08
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
Jul-09
Aug-09
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10
USD
Million
Jan-08
Feb-08
Mar-08
Apr-08
May-08
Jun-08
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
Jul-09
Aug-09
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10
Thousand
Título
apresentação
FX da
Derivatives
EUR Futures Facts and Figures
Monthly Traded Contracts
35
30
25
20
15
10
5
0
Financial Volume Daily Average - Last 2 years
140
120
100
80
60
40
20
0
Título
apresentação
FX da
Derivatives
EUR Futures Market Participants
Open Interest Breakdown
Month-Year
Banks
Brokers and
Dealers
Jan-08
Feb-08
Mar-08
Apr-08
May-08
Jun-08
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
Jul-09
Aug-09
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10
1,940
2,340
1,935
1,585
2,717
2,162
2,442
2,365
3,202
2,480
1,310
1,670
1,995
2,070
2,225
2,515
3,015
3,030
4,175
5,446
5,762
7,269
10,668
11,896
13,774
13,247
0
0
0
0
0
0
0
45
0
0
0
0
0
0
0
0
0
0
0
0
5
0
0
0
20
0
Domestic
Institutional
Investor
0
800
1,015
227
987
1,934
3,296
7,018
3,496
1,680
1,472
244
305
272
395
1,495
1,515
2,512
4,157
4,284
4,175
5,427
5,322
11,820
12,640
10,737
Foreign
Investor
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
110
200
100
250
200
200
200
22
0
Título
apresentação
FX da
Derivatives
EUR Futures Open Interest
Open Interest Breakdown
100%
80%
60%
40%
20%
Banks
Brokers and Dealers
Domestic Institutional Investor
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
0%
Foreign Investor
Título
apresentação
FX da
Derivatives
USD European Option Contract
USD Option Contract Specifications
Ticker Symbol
USD
Underlying Asset
The exchange rate of Brazilian Reals (BRL) per USD,
calculated by the Brazilian Central Bank;
Contract Size
USD 50,000
Quotation
BRL per USD 1,000.000
Contract Months
All months;
Last trading day
Last business day of the month preceding the contract
month;
Expiration date
first business day of the contract month.
1Notional
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
USD
Billion
Dec-09
Jan-10
Feb-10
Sep-09
Oct-09
Nov-09
Jul-09
Aug-09
Apr-09
May-09
Jun-09
Jan-09
Feb-09
Mar-09
Nov-08
Dec-08
Aug-08
Sep-08
Oct-08
Jun-08
Jul-08
Mar-08
Apr-08
May-08
Jan-08
Feb-08
Million
Título
apresentação
FX da
Derivatives
USD Options - Facts and Figures
Monthly Traded Contracts
4.5
4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
Financial Volume Daily Average - Last 2 years
1
6
5
4
3
2
1
0
amount in U.S .Dollar , based on the BRL/USD exchange rate of the last business day of the month
Feb-08
Mar-08
Apr-08
May-08
Jun-08
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
Jul-09
Aug-09
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10
Day Trade (%)
Título
apresentação
FX da
Derivatives
USD Option = Liquidity
25
20
15
10
5
CALL
30 days Moving Average
Put
30 days Moving Average
Título
apresentação
FX da
Derivatives
USD Options Market Participants
Month-Year
Jan-08
Feb-08
Mar-08
Apr-08
May-08
Jun-08
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
Jul-09
Aug-09
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10
Banks
1,296,850
1,675,070
2,354,115
2,635,648
3,091,923
2,741,711
2,676,896
2,660,477
2,704,404
2,289,123
2,114,328
2,104,145
1,538,935
1,573,576
1,538,571
1,408,995
1,316,398
1,319,644
1,131,530
1,351,460
1,571,495
1,826,949
1,776,295
1,707,775
1,119,864
1,791,340
Open Interest Breakdown
Domestic
Brokers and
Institutional
Foreign Investor
Dealers
Investor
0
473,697
527,859
100
636,599
578,365
0
963,418
969,383
0
835,474
842,898
600
1,050,659
895,178
0
865,632
790,909
0
798,623
805,015
0
881,628
830,372
200
853,525
944,092
200
442,589
749,568
80
457,724
713,683
60
445,653
679,709
60
292,649
322,555
0
282,849
353,162
0
286,055
385,266
0
342,668
405,907
0
436,891
454,552
0
506,154
480,417
0
424,228
413,705
0
460,957
364,881
0
435,113
387,313
0
496,265
532,743
0
683,347
714,386
0
693,599
745,854
0
757,556
628,722
0
901,743
971,084
Título
apresentação
FX da
Derivatives
USD Option Market Participants
Open Interest Breakdown
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Banks
Brokers and
Dealers
Jan-08
Feb-08
Mar-08
Apr-08
May-08
Jun-08
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
Jul-09
Aug-09
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10
Domestic
Institutional
Investor
Foreign Investor
Guidelines
Título da apresentação
Foreign Exchange Derivatives
Interest Rate Derivatives
Ibovespa Derivatives
Agricultural Derivatives
FX Matrix Products
Equity Market
FX Contracts Specs
FX Derivatives Prices
and Volatilities
FX Derivatives
Strategies
Jan-08
Feb-08
Mar-08
Apr-08
May-08
Jun-08
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
Jul-09
Aug-09
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10
log-Return
Jan-08
Feb-08
Mar-08
Apr-08
May-08
Jun-08
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
Jul-09
Aug-09
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10
log-Return
Título
apresentação
FX da
Derivatives
EUR and USD Futures Price Return
BRL/USD - 1st Maturity Settlement Price Return
6%
4%
2%
0%
-2%
-4%
-6%
Return
Return
Average
Average
2σ
4σ
BRL/EUR - 1st Maturity Settlement Price Return
6%
3%
0%
-3%
-6%
2σ
4σ
Título
apresentação
FX da
Derivatives
EUR and USD Futures Volatility
Future Exchange
Volatility
6 Months
Yield
3 Months Yield
12 Months Yield
600
20%
500
Basis Points
400
10%
300
Feb-10
Jan-10
Dec-09
Nov-09
Historical Volatility calculated using EWMA model on a daily basis. Smoothing factor equal to 0.94
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Vol - EUR (BRL/EUR) Settlement Price
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Oct-09
Sep-09
Aug-09
Jul-09
May-09
Apr-09
Mar-08
Vol - DOL (BRL/USD) Settlement Price
Feb-08
0
Mar-09
100
Jun-09
0%
200
Jan-08
Volatility (per annum)
30%
700
Guidelines
Título da apresentação
Foreign Exchange Derivatives
Interest Rate Derivatives
Ibovespa Derivatives
Agricultural Derivatives
FX Matrix Products
Equity Market
FX Contracts Specs
FX Derivatives Prices
and Volatilities
FX Derivatives
Strategies
Título
apresentação
FX da
Derivatives
USD Rollover (DR1)
Specifications:
•Calendar Spread between two consecutive future contracts;
•It is not a new contract. Only a mechanism that allows investors to
trade two consecutive maturities - simultaneously;
•Quotation: BRL per USD1,000 (three decimal places)
•Months: only the first two months;
•1st month position: the opposite side as that of the DR1 transaction.
•2nd month position : the same side as that of the DR1 transaction
At the end of the day DR1 trades will result in two USD future contracts
with consecutive maturities and opposite positions.
Jan-10
Feb-10
Jan-10
Feb-10
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Dec-09
0
Dec-09
1
Nov-09
2
Nov-09
4
Oct-09
Financial Volume Daily Average - Last 2 years
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
3
Jul-08
Billion
5
USD
Million
Título
apresentação
FX da
Derivatives
USD Rollover - Facts and Figures
Monthly Traded Contracts
2.0
1.5
1.0
0.5
0.0
% Day Trade
30 days Moving Average
fev-10
jan-10
dez-09
nov-09
out-09
set-09
ago-09
jul-09
jun-09
mai-09
abr-09
mar-09
fev-09
jan-09
dez-08
nov-08
out-08
set-08
ago-08
Day Trade (%)
Título
apresentação
FX da
Derivatives
USD Rollover
100
80
60
40
20
0
Título
apresentação
FX da
Derivatives
Forward Points on USD Futures
Specifications:
•It trades the price difference (basis) between the USD futures and Spot;
•Points to be added to or subtracted from the daily spot BRL/USD exchange
rate (PTAX rate computed by the Brazilian Central Bank);
•It is not a new contract. It is a strategy. In the end of the day, it results in
a position of FX Futures Contracts.
At the end of the day FRP trades will result in USD Future position.
Billion
1.2
Jan-08
Feb-08
Mar-08
Apr-08
May-08
Jun-08
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
Jul-09
Aug-09
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10
USD
Jan-08
Feb-08
Mar-08
Apr-08
May-08
Jun-08
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
Jul-09
Aug-09
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10
Thousand
Título
apresentação
FX da
Derivatives
Forward Points on USD Futures - Facts and Figures
Monthly Traded Contracts
400
350
300
250
200
150
100
50
0
Financial Volume Daily Average - Last 2 years
1.0
0.8
0.6
0.4
0.2
0.0
Título
apresentação
FX da
Derivatives
Forward Points on USD Future = Liquidity
100
60
40
20
% Day Trade
30 days Moving Average
fev-10
dez-09
out-09
ago-09
jun-09
abr-09
fev-09
dez-08
out-08
ago-08
jun-08
abr-08
0
fev-08
Day Trade (%)
80
Título
apresentação
FX da
Derivatives
USD Volatility (VTC)
Specifications:
Underlying asset: simultaneous trading of two BRL/USD derivative contracts: call or
put option (spot option) and futures;
•It is not a contract. It is a strategy.
•Quotation: BRL per USD1,000 (three decimal places);
Call
Put
VTC
Structured
Future
Option
Future
Option
Buy Volatility
SHORT Δ option
LONG
LONG Δ option
LONG
Sell Volatility
LONG Δ option
SHORT
SHORT Δ option
SHORT
Δ = Delta coefficient
At the end of the day VTC trades will result in positions in both USD future and USD
Option contracts.
Jan-08
Feb-08
Mar-08
Apr-08
May-08
Jun-08
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
Jul-09
Aug-09
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10
USD
Million
Jan-08
Feb-08
Mar-08
Apr-08
May-08
Jun-08
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
Jul-09
Aug-09
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10
Thousand
Título
apresentação
FX da
Derivatives
USD Volatility (VTC) - Facts and Figures
Monthly Traded Contracts
450
400
350
300
250
200
150
100
50
0
600
1Notional
Financial Volume1Daily Average - Last 2 years
500
400
300
200
100
-
amount in U.S .Dollar , based on the daily BRL/USD exchange rate.
CALL
PUT
30 Days Moving Average
30 Days Moving Average
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Feb-09
Mar-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Feb-08
Mar-08
Day Trade (%)
Título
apresentação
FX da
Derivatives
USD Volatility (VTC) = Increased Liquidity
12
10
8
6
4
2
0
Guidelines
Título da apresentação
Foreign Exchange Derivatives
Interest Rate Derivatives
Ibovespa Derivatives
Agricultural Derivatives
Equity Market
Guidelines
Título da apresentação
Foreign Exchange
Derivatives
Interest Rate Derivatives
Ibovespa Derivatives
Agricultural Derivatives
Equity Market
Interest Rate Matrix
Products
Interest Rate Derivatives
Breakdown
Interest Rate Derivatives
Figures
InterestTítulo
Rateda
Derivatives
apresentação
Interest Rate Matrix Products
Structured
Plain Options
Futures-Style
Options
One-Day DI
Future
Volatility (VTF)
Options on DI
(European)
-
-
One-Day
Interbank
Deposit
Long-Term
DI
-
-
-
-
-
Volatility (VDI)
Options on spot DI
index (European)
-
DI x US
Dollar
Spread
FRA on the DI x
U.S. Dollar Spread
-
-
-
-
DI x US Dollar
Swap With
Reset
-
-
-
-
-
DI x IGP-M
Spread
FRA on the DI x
IGP-M Spread
-
-
-
IGP-M
Future
DI Index
DI x IPCA
Spread
-
Flexible Options Swap (Variable)
DI Index
IPCA
Guidelines
Título da apresentação
Foreign Exchange
Derivatives
Interest Rate Derivatives
Ibovespa Derivatives
Agricultural Derivatives
Interest Rate Matrix
Products
Equity Market
Interest Rate Derivatives
Breakdown
Interest Rate
Derivatives Figures
InterestTítulo
Rateda
Derivatives
apresentação
Interest Rate Derivatives Breakdown – Traded Volume
100%
DI x IPCA Spread Future
95%
ID x USD Swap With Reset
90%
85%
FRA on DI x USD Spread Future
80%
DI x USD Spread Future
75%
Volatility Transaction on IDI
70%
Option on IDI
65%
Volatility Transaction on DI1
60%
Option on DI1
55%
DI1 Future
Feb-08
Mar-08
Apr-08
May-08
Jun-08
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
Jul-09
Aug-09
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10
50%
Guidelines
Título da apresentação
Foreign Exchange
Derivatives
Interest Rate Derivatives
Ibovespa Derivatives
Agricultural Derivatives
Equity Market
Interest Rate Matrix
Products
Interest Rate
Derivatives Breakdown
Interest Rate
Derivatives Figures
Interest
RatedaDerivatives
Título
apresentação
One-Day Interbank Deposit Future Contract
DI Futures Contract Specifications
Ticker Symbol
DI1
Underlying Asset
One-Day Interbak Deposit
Contract Size
BRL 100,000
Tick Size
0.001 of an interest rate point for the first 3 months and
0.01 for the others
Trading Hours
9:00am ~ 6:00pm Brasilia time (Call at 4:05pm)
Contract Months
First 4 months and the months that initiate a quarter
Expiration Date
Last Trade Day
Business day preceding the expiration date
1st business day of the contract month
Final Settlement Procedure
Cash settlement on the expiration date by the unit price of
100,000 points
Interest
RatedaDerivatives
Título
apresentação
One-Day Interbank Deposit Future Contract - Facts and Figures
1,200
25,000
1,000
20,000
800
15,000
600
10,000
400
5,000
200
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
0
Mar-08
0
Thousands
Average daily Volume (ADV)
30,000
Feb-08
Thousands
MONTHLY VOLUME
Interest
RatedaDerivatives
Título
apresentação
One-Day Interbank Deposit Future Contract - Facts and Figures
Financial Traded Volume
1,200
50
1,000
40
800
30
600
20
400
10
200
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
0
Mar-08
0
USD Billions
Average Daily Volume (ADV)
60
Feb-08
USD Billions
MONTHLY VOLUME
1,400
Interest
RatedaDerivatives
Título
apresentação
One-Day Interbank Deposit Future Contract - Facts and Figures
9,000
8,000
7,000
6,000
5,000
4,000
3,000
2,000
1,000
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
0
Feb-08
Thousands
OPEN INTEREST
Interest
RatedaDerivatives
Título
apresentação
One-Day Interbank Deposit Rate
Annualized Basis Points Volatility
3 Months Yield
6 Months Yield
12 Months Yield
700
600
400
300
200
100
Historical Volatility calculated using EWMA model on a daily basis. Smoothing factor equal to 0.94
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
0
Feb-08
Basis Points
500
Interest
RatedaDerivatives
Título
apresentação
One-Day Interbank Deposit Future Contract
Open Interest Market Participants
100%
DOMESTIC
INSTITUTIONAL
INVESTORS
OTHERS
90%
80%
70%
60%
BROKERS & DEALERS
50%
40%
BANKS
30%
20%
NONRESIDENT
INVESTORS - RES.2689
10%
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
0%
Interest
RatedaDerivatives
Título
apresentação
DI x USD Spread Future Contract
DI x US Dollar Spread Future Contract Specifications
Ticker Symbol
DDI
Underlying Asset
DI x US Dollar Spread
Contract Size
USD 50,000
Tick Size
0.01 of an interest rate point
Trading Hours
9:00am ~ 6:00pm Brasilia time (Call at 4:05pm)
Contract Months
First 4 months and the months that initiate a quarter
Expiration Date
Last Trade Day
Business day preceding the expiration date
1st business day of the contract month
Unit Point Value
USD 0.50
Final Settlement Procedure
Cash settlement on the expiration date by the unit price of
100,000 points
Interest
RatedaDerivatives
Título
apresentação
FRA on DI x US Dollar Spread Future
Specifications:
Underlying asset: simultaneous trading of two DI x US Dollar Spread
Future contracts with different maturity: participants can trade the clean
DI x U.S. Dollar spread for any maturity between the first DI x U.S. Dollar
spread futures contract (DDI) month and another DDI month.
•It is not a contract. It is a strategy.
•Quotation: expressed as a linear percentage rate per annum for the
forward DI x US Dollar spread;
•FRC trades will by automatically initiate a position in DDI in the month
traded and another opposite position (short/long) in the basis month.
Interest
RatedaDerivatives
Título
apresentação
DI x US Dollar Spread Future Contract + FRC
70
1,400
60
1,200
50
1,000
40
800
30
600
20
400
10
200
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
0
Mar-08
0
Thousands
Average Daily Volume (ADV)
1,600
Feb-08
Thousands
MONTHLY VOLUME
Interest
RatedaDerivatives
Título
apresentação
DI x US Dollar Spread Future Contract + FRC
Financial Traded Volume
120,000
5,000
100,000
4,000
80,000
3,000
60,000
2,000
40,000
1,000
20,000
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
0
Mar-08
0
USD Thousands
Average Daily Volume (ADV)
6,000
Feb-08
USD Thousands
MONTHLY VOLUME
140,000
Interest
RatedaDerivatives
Título
apresentação
DI x USD Spread Future Contract – Facts and Figures
Open Interest - ID x U.S. Dollar Spread Futures
1,800,000
1,600,000
1,400,000
1,200,000
1,000,000
800,000
600,000
400,000
200,000
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
0
Interest
RatedaDerivatives
Título
apresentação
DI spot Volatility (VID)
Specifications:
Underlying asset: simultaneous trading of two Fixed Income derivative
contracts: call or put option on DI index (spot option) and DI future;
•It is not a contract. It is a strategy.
•Quotation: the option premium in index points.
At the end of the day, it result in a position in both DI1 futures
contract and DI Index options.
Call
Put
VTC Structured
Future
Option
Future
Option
Buy Volatility
SHORT
LONG
LONG
LONG
Sell Volatility
LONG
SHORT
SHORT
SHORT
Interest
RatedaDerivatives
Título
apresentação
DI Forward Volatility (VTF)
Specifications:
Underlying asset: simultaneous trading of tree Fixed Income derivative
contracts: Call or Put Option Contract on DI Futures (short leg maturity) and two
different DI Future maturities (short leg and long leg);
•It is not a contract. It is a strategy.
•Quotation: the option premium in BRL
At the end of the day, it result in a position in both DI futures contract
and DI future options.
Call
VTC Structured
Future ‘‘Long leg’’ Future "Short leg’’
maturity
maturity
Put
Option
Future ‘‘Long leg’’ Future "Short leg’’
maturity
maturity
Option
Buy Volatility
SHORT
LONG
LONG
LONG
SHORT
LONG
Sell Volatility
LONG
SHORT
SHORT
SHORT
LONG
SHORT
Interest
RatedaDerivatives
Título
apresentação
Structured Transactions - Volatility
USD Billions
Financial Volume1
90
80
70
60
50
40
30
20
10
Jan-08
Feb-08
Mar-08
Apr-08
May-08
Jun-08
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
Jul-09
Aug-09
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10
0
Volatility on DI Index
1Notional
Volatility on DI1
amount in U.S .Dollar , based on the BRL/USD exchange rate of the last business day of the month
Interest
RatedaDerivatives
Título
apresentação
Options on DI Index - Volume
VID - Volatility DI Index Strategy
7,000
6,000
5,000
4,000
3,000
2,000
1,000
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
0
Feb-08
Thousands
Option on DI Index
Interest
RatedaDerivatives
Título
apresentação
Options on DI Future - Volume
VTF - Volatility DI Future Strategy
1,600
1,400
1,200
1,000
800
600
400
200
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
0
Feb-08
Thousands
Option on DI Future
Guidelines
Título da apresentação
Foreign Exchange Derivatives
Interest Rate Derivatives
Ibovespa Derivatives
Agricultural Derivatives
Equity Market
Guidelines
Título da apresentação
Foreign Exchange
Derivatives
Interest Rate Derivatives
Ibovespa Derivatives
Agricultural Derivatives
Equity Market
Ibovespa Matrix
Products
Ibovespa Derivatives
Facts and Figures
Ibovespa Derivatives
Strategies
Ibovespa
Derivatives
Título da apresentação
Stock Indexes Matrix Products
Structured
Plain Vanilla
Options
Futures-Style
Options
Ibovespa
Volatility
(VOI)
American
Option on
Ibovespa
Future
European
Option on
Ibovespa
Future
-
IBrX-50
-
-
-
Future
Flexible
Options
Swap
(Variable)
Guidelines
Título da apresentação
Foreign Exchange
Derivatives
Interest Rate Derivatives
Ibovespa Derivatives
Agricultural Derivatives
Equity Market
Ibovespa Matrix
Products
Ibovespa Derivatives
Facts and Figures
Ibovespa Derivatives
Strategies
Ibovespa
Derivatives
Título da apresentação
Ibovespa Future Contract
Ibovespa Future Contract Specifications
Ticker Symbol
IND
Underlying Asset
Bovespa Index
Contract Size
The Ibovespa futures times 1 BRL
Tick Size
Five index points
Trading Hours
09:00am to 6:00pm Brasilia time
Contract Months
All months
Expiration Date and Last Trade
Day
The Wednesday closet to the 15th calendar day of the
contract month
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Million
Ibovespa
Derivatives
Título da apresentação
Ibovespa Futures – Facts and Figures
Traded Volume
2.5
2.0
1.5
1.0
0.5
0.0
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Thousands
Ibovespa
Derivatives
Título da apresentação
Ibovespa Options – Facts and Figures
Traded Volume
350
300
250
200
150
100
50
0
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
USD
Billions
Ibovespa
Derivatives
Título da apresentação
Ibovespa Futures – Facts and Figures
Monthly Financial Volume
90
80
70
60
50
40
30
20
10
0
Ibovespa
Derivatives
Título da apresentação
Ibovespa Options– Facts and Figures
1
1Notional
amount in U.S .Dollar , based on the daily BRL/USD exchange rate.
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
8
7
6
5
4
3
2
1
0
Feb-08
USD
Billion
Monthly Financial Volume
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Thousands
Ibovespa
Derivatives
Título da apresentação
Ibovespa Futures Contract – Facts and Figures
Open Interest
300
250
200
150
100
50
0
0
Feb-08
Historical Volatility calculated using EWMA model on a daily basis. Smoothing factor equal to 0.94
Jul-09
Dec-09
Feb-10
Nov-09
Jan-10
Oct-09
Dec-09
Sep-09
Nov-09
Aug-09Oct-09
Jul-09Sep-09
Jun-09Aug-09
May-09
Jun-09
6 Months Yield
Apr-09
May-09
Mar-09
Apr-09
Feb-09
Mar-09
Jan-09Feb-09
Ibovespa Spot Volatility
Dec-08Jan-09
3 Months Yield
Nov-08Dec-08
Nov-08
Oct-08
Oct-08
Sep-08
Sep-08
Aug-08
Aug-08
Jul-08 Jul-08
0
Jun-08Jun-08
100
May-08
May-08
20
Apr-08Apr-08
200
Mar-08
300
Mar-08
600
500
Volatility % (per annum)
700
Feb-08
Jan-08
Basis Points
Ibovespa
Derivatives
Título da apresentação
Ibovespa Spot and Future Volatilities
Ibovespa Future 1st Maturity Volatility
120
12 Months Yield
100
80
60
400
40
Guidelines
Título da apresentação
Foreign Exchange
Derivatives
Interest Rate Derivatives
Ibovespa Derivatives
Agricultural Derivatives
Equity Market
Ibovespa Matrix Products
Ibovespa Derivatives Facts
and Figures
Ibovespa Derivatives
Strategies
Título da apresentação
Ibovespa Volatility (VOI)
Specifications:
Underlying asset: simultaneous trading of two Ibovespa derivative contracts: call
or put option (European style) on Bovespa Index (future option) and Ibovespa
futures;
•It is not a contract. It is a strategy.
•Quotation: the option premium in index points.
Call
Put
VOI Structured
Future
Option
Future
Option
Buy Volatility
SHORT Δ option
LONG
LONG Δ option
LONG
Sell Volatility
LONG Δ option
SHORT
SHORT Δ option
SHORT
Δ = Delta coefficient
At the end of the day VOI trades will result in two contracts, Ibovespa future and
Option contracts.
Guidelines
Título da apresentação
Foreign Exchange Derivatives
Interest Rate Derivatives
Ibovespa Derivatives
Agricultural Derivatives
Equity Market
Guidelines
Título da apresentação
Foreign Exchange
Derivatives
Interest Rate Derivatives
Ibovespa Derivatives
Agricultural Derivatives
Equity Market
Agricultural Matrix Products
Agricultural Derivatives
Figures
Agricultural Derivatives
Breakdown
Future
Arabica Coffee
X
Future
Cash
Settled
Corn
Arabica
Coffee
Crystal
Sugar
Cash
Settled
Corn
Arabica
Coffee
X
Future
XX
Future
Arabica Coffee
Ethanol
Crystal
Sugar
Arabica
Coffee
XX
Cash Settled Corn Future
Cash Settled Corn
Ethanol
Live
Cattle
Cash
Settled
Corn
X
CrystalCoffee
Sugar
Arabica
XX
Future
Crystal Sugar
Crystal
Sugar
Live
Cattle
Arabica
Coffee
X
EthanolCorn
CashSoybean
Settled
XX
Ethanol
Cash
Settled
Corn
Soybean
Crystal
Sugar
Live
Cattle
Ethanol
X
XX
Crystal
Sugar
Live
Cattle
Ethanol
Soybean
Live Cattle
X
XX
Ethanol
Soybean
Live
Cattle
Soybean
X
X
Live Cattle
Soybean
X
X
Título da apresentação
Agricultural Derivatives
Structured
Options
Price Basis
Future
Options
Price
Future
Basis Structured
(American)
Future
Rollover
XX
Rollover (MR1)
(CR1)
Arabica Coffee
Rollover (CR1)
(American)
Structured
Options
Price Basis
Future
Future
Future
Structured
Options
Price
Basis(MR1)
Rollover
(MR1)
Cash
Settled Corn
XBasis
X
Rollover
Rollover (CR1)
Structured
Options
Price
(American)
(American) Future
Future
X
Rollover (CR1)
FutureSugar
Crystal
X
(American)
Rollover
(CR1)
Rollover
(MR1)
X
(American)
Structured
Options
Price Basis
(American) Future
X
Rollover (MR1)
X
Future
Future
Future
Ethanol
X
(American)
Rollover
(BR1)
Rollover
(MR1)
X
Rollover
(CR1)
Structured
Options
Price Basis
(American)
(American) Future
(American)
X
Future
Future
(BR1)
Live Cattle(American)
Rollover (BR1)
Rollover
(CR1)
(SR1)
Rollover (MR1)
XX
(American)
(American)
X
Future
Future
Future
Rollover
(MR1)
XX
Rollover
Soybean
Rollover (SR1)
Rollover(SR1)
(BR1)
(American)
(American)
(American) Future
Future
X
Rollover (BR1)
Future (American)
Rollover (BR1)
Rollover (SR1)
(American)
(American) Future
X
Rollover (SR1)
Future
(American)
Rollover (BR1)
(SR1)
(American)
Future
Future
Rollover (BR1)
Rollover (SR1)
(American)
(American)
Future
Rollover
(CR1)
Structured
Guidelines
Título da apresentação
Foreign Exchange
Derivatives
Interest Rate Derivatives
Ibovespa Derivatives
Agricultural Derivatives
Equity Market
Agriculture Matrix Products
Agriculture Derivatives
Figures
Agriculture Derivatives
Breakdown
Título da
apresentação
Agricultural
Derivatives
Future Contracts Traded
Millions
ANNUAL VOLUME
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010*
Título da
apresentação
Agricultural
Derivatives
Option Contracts Traded
Thousands
ANNUAL VOLUME
160
140
120
100
80
60
40
20
0
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010*
Título da
apresentação
Agricultural
Derivatives
Future Contracts – Financial Volume
USD Billions
ANNUAL VOLUME
50
45
40
35
30
25
20
15
10
5
0
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010*
Título da
apresentação
Agricultural
Derivatives
USD Billions
Option Contracts – Financial Volume
ANNUAL VOLUME
3
2
2
1
1
0
2000
2001
2002
1Notional
2003
2004
2005
2006
2007
2008
2009
amount in U.S .Dollar , based on the daily BRL/USD exchange rate.
2010*
Título da
apresentação
Agricultural
Derivatives
Future Contracts
Thousands
OPEN INTEREST
120
100
80
60
40
20
0
2000
2001
* In February of each year
2002
2003
2004
2005
2006
2007
2008
2009
2010
Título da
apresentação
Agricultural
Derivatives
Option Contracts
Thousands
OPEN INTEREST
60
50
40
30
20
10
0
2000
2001
* in February of each year
2002
2003
2004
2005
2006
2007
2008
2009
2010
Título da
apresentação
Agricultural
Derivatives
Agricultural Commodities Derivatives Breakdown – Traded Volume
Commodities Breakdown - Volume
100%
90%
80%
Live Cattle
70%
60%
Soybeans
50%
Cash Settled
Corn
Corn
40%
30%
20%
Arabica Coffee
10%
Jan-08
Feb-08
Mar-08
Apr-08
May-08
Jun-08
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
Jul-09
Aug-09
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10
0%
Título da
apresentação
Agricultural
Derivatives
Arabica Coffee Future Contract
Arabica Coffee Futures Contract Specifications
Ticker Symbol
Underlying Asset
ICF
Green coffee beans produced in Brazil, variety “coffea arabica,” type
six or better, good cup or better (valid until the expiration in March,
2010 inclusive).
Green coffee beans produced in Brazil, variety “coffea arabica,” type
four/five or better, good cup or better (valid as from the expiration in
May, 2010 inclusive).
Contract Size
100 bags weighing 60-net kilograms each
Price Quotation
USD per 60-net kilogram bag to two decimal places
Delivery months
March, May, July, September and December.
Last Trade Day
6th business day preceding the last day of the delivery month
Título da
apresentação
Agricultural
Derivatives
Arabica Coffee Future Contracts – Facts and Figures
Average Daily Volume (ADV)
120
6
100
5
80
4
60
3
40
2
20
1
0
0
Thousands
Thousands
MONTHLY VOLUME
Título da
apresentação
Agricultural
Derivatives
Arabica Coffee Option Contracts – Facts and Figures
Average daily Volume (ADV)
14
0.7
12
0.6
10
0.5
8
0.4
6
0.3
4
0.2
2
0.1
0
0.0
Thousands
Thousands
MONTHLY VOLUME
Título da
apresentação
Agricultural
Derivatives
Arabica Coffee Future Contracts – Facts and Figures
USD Millions
FINANCIAL MONTHLY VOLUME
2.0
1.8
1.6
1.4
1.2
1.0
0.8
0.6
0.4
0.2
0.0
Título da
apresentação
Agricultural
Derivatives
Arabica Coffee Option Contracts – Facts and Figures
USD Millions
FINANCIAL MONTHLY VOLUME
250
200
150
100
50
0
1Notional
amount in U.S .Dollar , based on the daily BRL/USD exchange rate.
Título da
apresentação
Agricultural
Derivatives
Arabica Coffee Future Contracts – Facts and Figures
Thousands
OPEN INTEREST
50
45
40
35
30
25
20
15
10
5
0
Título da
apresentação
Agricultural
Derivatives
Arabica Coffee Option Contracts – Facts and Figures
Thousands
OPEN INTEREST
16
14
12
10
8
6
4
2
0
Título da
apresentação
Agricultural
Derivatives
Cash Settled Corn Future Contract
Cash Settled Corn Futures Contract Specifications
Ticker Symbol
CCM
Underlying Asset
Brazilian yellow corn in bulk, according to the contract specifications.
Contract Size
450 bags of 60-net kilograms each, corresponding to 27 metric tons of
corn in bulk;
Price Quotation
BRL per 60-net kilogram bag to two decimal places, free of Tax on the
Circulation of Merchandises and Services (ICMS).
Delivery months
January, March, May, July, August, September and November
Last Trade Day
The fifteenth day of the delivery month. If that day is a holiday or is
not a trading day at BM&FBOVESPA, the last trading day shall be the
following business day.
Título da
apresentação
Agricultural
Derivatives
Cash Settled Corn Future Contracts - Facts and Figures
45
Average Daily Volume
2.5
40
35
2.0
30
1.5
25
20
1.0
15
10
0.5
5
0
0.0
Thousands
Thousands
MONTHLY VOLUME
Título da
apresentação
Agricultural
Derivatives
Cash Settled Corn Option Contracts -Facts and Figures
Average Daily Volume (ADV)
16
0.9
14
0.8
12
0.7
0.6
10
0.5
8
0.4
6
0.3
4
0.2
2
0.1
0
0.0
Thousands
Thousands
MONTHLY VOLUME
Título da
apresentação
Agricultural
Derivatives
Cash Settled Corn Future Contracts - Facts and Figures
USD Thousands
FINANCIAL MONTHLY VOLUME
250
200
150
100
50
0
Título da
apresentação
Agricultural
Derivatives
Cash Settled Corn Option Contracts - Facts and Figures
USD Millions
FINANCIAL MONTHLY VOLUME
80
70
60
50
40
30
20
10
0
1Notional
amount in U.S .Dollar , based on the daily BRL/USD exchange rate.
Título da
apresentação
Agricultural
Derivatives
Cash Settled Corn Future Contracts - Facts and Figures
Thousands
OPEN INTEREST
35
30
25
20
15
10
5
0
Título da
apresentação
Agricultural
Derivatives
Cash Settled Corn Option Contracts - Facts and Figures
Thousands
OPEN INTEREST
30
25
20
15
10
5
0
Título da
apresentação
Agricultural
Derivatives
Live Cattle Future Contract
Live Cattle Futures Contract Specifications
Ticker Symbol
Underlying Asset
BGI
Live cattle finished-weight for slaughter.
Type: Male, castrated, well finished (convex carcass) in pasture or
under confinement.
Weight: Ranging from the minimum of 450 to the maximum of 550
kilograms, verified on the scale at the delivery point.
Contract Size
330 net arrobas (1 net arroba = 15 kilograms).
Price Quotation
BRL per net arroba to two decimal places
Delivery months
All months
Last Trade Day
The last business day of the delivery month
Título da
apresentação
Agricultural
Derivatives
Live Cattle Future Contract – Facts and Figures
250
200
Average Daily Volume (ADV)
12
10
8
150
6
100
4
50
0
2
0
Thousands
Thousands
MONTHLY VOLUME
Título da
apresentação
Agricultural
Derivatives
Live Cattle Option Contract – Facts and Figures
Average daily Volume (ADV)
30
1.2
25
1.0
20
0.8
15
0.6
10
0.4
5
0.2
0
0.0
Thousands
Thousands
MONTHLY VOLUME
Título da
apresentação
Agricultural
Derivatives
Live Cattle Future Contract – Facts and Figures
USD Millions
FINANCIAL MONTHLY VOLUME
4.5
4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
Título da
apresentação
Agricultural
Derivatives
Live Cattle Option Contract – Facts and Figures
USD Millions
FINANCIAL MONTHLY VOLUME
450
400
350
300
250
200
150
100
50
0
1Notional
amount in U.S .Dollar , based on the daily BRL/USD exchange rate.
Título da
apresentação
Agricultural
Derivatives
Live Cattle Future Contract – Facts and Figures
Thousands
OPEN INTEREST
80
70
60
50
40
30
20
10
0
Título da
apresentação
Agricultural
Derivatives
Live Cattle Option Contract – Facts and Figures
Thousands
OPEN INTEREST
25
20
15
10
5
0
Título da
apresentação
Agricultural
Derivatives
Soybean Future Contract
Soybean Contract Specifications
Ticker Symbol
SOJ
Underlying Asset
Brazilian soybean, as per Brazilian export grade, according to the
contract specifications, free from any taxes or charges.
Contract Size
27 metric tons or 450 bags of 60 kilograms each of soybeans in
bulk
Price Quotation
USD per 60 kilograms to two decimal places
Delivery months
March, April, May, June, July, August, September, and November
Last Trade Day
The ninth business day preceding the first day of the delivery
month. On that day, neither opening of new short positions nor day
trading shall be allowed.
Título da
apresentação
Agricultural
Derivatives
Soybean Future Contracts – Facts and figures
50
Average Daily Volume (ADV)
2.5
45
40
2.0
35
30
1.5
25
20
1.0
15
10
0.5
5
0
0.0
Thousands
Thousands
MONTHLY VOLUME
Título da
apresentação
Agricultural
Derivatives
Soybean Option Contracts – Facts and figures
Average daily Volume (ADV)
2.0
0.10
1.6
0.08
1.2
0.06
0.8
0.04
0.4
0.02
0.0
0.00
Thousands
Thousands
MONTHLY VOLUME
Título da
apresentação
Agricultural
Derivatives
Soybean Future Contracts – Facts and figures
USD Thousands
FINANCIAL MONTHLY VOLUME
700
600
500
400
300
200
100
0
Título da
apresentação
Agricultural
Derivatives
Soybean Option Contracts – Facts and figures
USD Millions
FINANCIAL MONTHLY VOLUME
20
18
16
14
12
10
8
6
4
2
0
1Notional
amount in U.S .Dollar , based on the daily BRL/USD exchange rate.
Título da
apresentação
Agricultural
Derivatives
Soybean Future Contracts – Facts and figures
Thousands
OPEN INTEREST
25
20
15
10
5
0
Título da
apresentação
Agricultural
Derivatives
Soybean Option Contracts – Facts and figures
Thousands
OPEN INTEREST
6
5
4
3
2
1
0
Guidelines
Título da apresentação
Foreign Exchange
Derivatives
Interest Rate Derivatives
Ibovespa Derivatives
Agricultural Derivatives
Equity Market
Agriculture Matrix Products
Agriculture Derivatives
Figures
Agriculture Derivatives
Breakdown
Título da apresentação
Agricultural Derivatives
Open interest breakdown by market participant
Soybeans 2.0% 4.1%
Arabica Coffee
88.4%
12.2%
Corn
12.1%
48.4%
10.1% 4.6%
Live Cattle
15.0%
0%
Financial Institutions
0.1% 5.5%
17.9%
66.7%
2.8%
20%
Foreign Investors
28.9%
7.2%
4.5%
40%
February 25th,
2009
11.4%
48.8%
60%
Nonfinancial Institutions
9.5%
80%
Domestic Institutional Investors
100%
Individuals
Guidelines
Título da apresentação
Foreign Exchange Derivatives
Interest Rate Derivatives
Ibovespa Derivatives
Agricultural Derivatives
Equity Market
Guidelines
Título da apresentação
Foreign Exchange
Derivatives
Interest Rate Derivatives
Ibovespa Derivatives
Agricultural Derivatives
Overview
Equity Market
Products and Markets
Stock Indexes
Market Makers and BTC
apresentação
Average Título
Dailyda
Traded
Value
USD (million)
3,557
3,119
2,735
2,555
1,120
667
410
2000
265
2001
198
2002
272
2003
420
2004
2005
2006
2007
2008
2009
Feb/10
da apresentação
Average DailyTítulo
Number
of Trades
408,666
332,349
245,071
152,872
87,488
22,432
26,728
28,173
2000
2001
2002
39,597
2003
53,751
2004
62,247
2005
2006
2007
2008
2009
Feb/10
Título da
apresentação
Market
Capitalization
USD (billion)
1,399
1,341
1,253
723
589
482
341
226
234
185
124
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
Feb/10
Título
apresentação
Top 50 Stocks in
thedaCash
Market
2010 (February) – ADTV in USD million
STOCK
VALE R DOCE
PETROBRAS
OGX PETROLEO
TELEBRAS
PETROBRAS
ITAUUNIBANCO
VALE R DOCE
BMF BOVESPA
GERDAU
BRADESCO
USIMINAS
SID NACIONAL
BRASIL
PDG REALT
ITAUSA
CYRELA REALT
ECODIESEL
MMX MINER
CIELO
REDECARD
FIBRIA
BRF FOODS
LOJAS RENNER
TAM S/A
SANTANDER BR
TYPE
PNA N1
PN
ON NM
PN *
ON
PN N1
ON N1
ON NM
PN N1
PN N1
PNA N1
ON
ON NM
ON NM
PN N1
ON NM
ON NM
ON NM
ON NM
ON NM
ON NM
ON NM
ON NM
PN N2
UNT
ISIN
BRVALEACNPA3
BRPETRACNPR6
BROGXPACNOR3
BRTELBACNPR9
BRPETRACNOR9
BRITAUACNPR3
BRVALEACNOR0
BRBVMFACNOR3
BRGGBRACNPR8
BRBBDCACNPR8
BRUSIMACNPA6
BRCSNAACNOR6
BRBBASACNOR3
BRPDGRACNOR8
BRITSAACNPR7
BRCYREACNOR7
BRECODACNOR8
BRMMXMACNOR2
BRCIELACNOR3
BRRDCDACNOR3
BRFIBRACNOR9
BRBRFSACNOR8
BRLRENACNOR1
BRTAMMACNPR2
BRSANBCDAM13
CODE ADVT ($)
VALE5
409
PETR4
342
OGXP3
178
TELB4
105
PETR3
105
ITUB4
97
VALE3
94
BVMF3
89
GGBR4
75
BBDC4
73
USIM5
71
CSNA3
70
BBAS3
67
PDGR3
53
ITSA4
42
CYRE3
36
ECOD3
33
MMXM3
33
CIEL3
30
RDCD3
28
FIBR3
26
BRFS3
25
LREN3
25
TAMM4
25
SANB11
24
STOCK
ALL AMER LAT
COSAN
AMBEV
GAFISA
CEMIG
ELETROBRAS
P.ACUCAR-CBD
LAEP
CCR RODOVIAS
GOL
MRV
LOJAS AMERIC
BRADESPAR
TIM PART S/A
HYPERMARCAS
ROSSI RESID
ELETROBRAS
GERDAU MET
VIVO
LLX LOG
ULTRAPAR
BRASCAN RES
CESP
TELEMAR
B2W GLOBAL
TYPE
UNT N2
ON NM
PN
ON NM
PN N1
ON N1
PNA N1
DR3
ON NM
PN N2
ON NM
PN
PN N1
PN
ON NM
ON NM
PNB N1
PN N1
PN
ON NM
PN N1
ON NM
PNB N1
PN
ON NM
ISIN
BRALLLCDAM10
BRCSANACNOR6
BRAMBVACNPR1
BRGFSAACNOR3
BRCMIGACNPR3
BRELETACNOR6
BRPCARACNPR0
BRMILKBDR003
BRCCROACNOR2
BRGOLLACNPR4
BRMRVEACNOR2
BRLAMEACNPR6
BRBRAPACNPR2
BRTCSLACNPR7
BRHYPEACNOR0
BRRSIDACNOR8
BRELETACNPB7
BRGOAUACNPR8
BRVIVOACNPR8
BBLLXLACNOR4
BRUGPAACNPR5
BRBISAACNOR8
BRCESPACNPB4
BRTNLPACNPR0
BRBTOWACNOR8
CODE ADVT ($)
ALLL11
24
CSAN3
24
AMBV4
24
GFSA3
23
CMIG4
23
ELET3
22
PCAR5
22
MILK11
22
CCRO3
22
GOLL4
21
MRVE3
20
LAME4
20
BRAP4
18
TCSL4
16
HYPE3
16
RSID3
16
ELET6
16
GOAU4
16
VIVO4
15
LLXL3
15
UGPA4
15
BISA3
15
CESP6
15
TNLP4
15
BTOW3
15
Título
da apresentação
Initial
Public
Offerings
2008 and 2009
Company
Listing
Segment
Listing
Month
Capital
raised in
USD
International
Investors
Participation
SANTANDER
BRASIL
Level 2
Oct/09
7,492,161,255
80%
VISANET
Novo Mercado
Jun/09
4,309,133,740
57%
OGX PETROLEO
Novo Mercado
Jun/08
4,101,480,544
63%
CETIP
Novo Mercado
Oct/09
443,051,490
84%
HYPERMARCAS
Novo Mercado
Apr/08
366,700,658
85%
FLEURY
Novo Mercado
Dec/09
353,606,643
75%
TIVIT
Novo Mercado
Sep/09
320,807,755
85%
DIRECIONAL
Novo Mercado
Nov/09
158,500,607
64%
LES LIS BLANC
Novo Mercado
Apr/08
87,828,947
87%
NUTRIPLANT
Bovespa Mais
Feb/08
11,859,639
11%
Título
da apresentação
Initial
Public
Offerings
2010
Company
Listing
Segment
Listing
Month
Capital
raised in
USD
International
Investors
Participation
MULTIPLUS
Novo Mercado
Feb/10
335,647,629
N.A.
ALIANSCE
Novo Mercado
Jan/10
312,033,283
N.A.
Título da apresentação
Follow Ons
2008
Company
Listing
Segment
Listing
Month
VALE R DOCE
Level 1
Jul/08
12,222,762,974
39%
GERDAU
Level 1
Apr/08
1,736,678,418
29%
GERDAU MET
Level 1
Apr/08
901,306,168
16%
Novo Mercado
Mar/08
718,115,565
80%
Level 2
Apr/08
304,371,257
96%
COPASA
Novo Mercado
Apr/08
275,463,930
77%
SLC AGRICOLA
Novo Mercado
Jun/08
229,308,989
78%
BDR
Feb/08
217,269,230
88%
REDECARD
ANHANGUERA
GP INVEST
Capital raised International
in USD
Investors
Participation
Título da apresentação
Follow Ons
2009
Company
Listing Segment
Listing
Month
Capital raised
in USD
International
Investors
Participation
BRF FOODS
Novo Mercado
Jul/09
2,779,967,418
32%
REDECARD
Novo Mercado
Mar/09
989,003,517
87%
MARFRIG
Novo Mercado
Nov/09
870,585,507
48%
NATURA
Novo Mercado
Ago/09
803,751,410
59%
CCR RODOVIAS
Novo Mercado
Oct/09
738,464,909
69%
CYRELA REALT
Novo Mercado
Oct/09
678,194,540
72%
PDG REALT
Novo Mercado
Oct/09
598,879,646
73%
Level 2
Oct/09
590,105,814
49%
Novo Mercado
Oct/09
525,165,506
73%
Level 2
Sep/09
442,406,476
74%
BR MALLS PR
Novo Mercado
Jul/09
429,216,927
79%
ANHANGUERA
Level 2
Dec/09
425,696,374
79%
HYPERMARCAS
Novo Mercado
Jul/09
408,599,382
80%
LIGHT S/A
Novo Mercado
Jul/09
391,845,066
47%
BROOKFIELD
Novo Mercado
Oct/09
381,135,321
43%
MRV
Novo Mercado
Jun/09
366,567,258
70%
ENERGIAS BR
Novo Mercado
Nov/09
253,748,061
58%
IGUATEMI
Novo Mercado
Oct/09
239,202,657
48%
GOL
ROSSI RESID
MULTIPLAN
Título da apresentação
Follow Ons
2010
Company
Listing
Segment
Listing
Month
Capital
raised in
USD
International
Investors
Participation
PDG REALTY
Novo Mercado
Feb/10
864,330,732
47%
INPAR S/A
Novo Mercado
Feb/10
131,659,096
N.A.
Título da Participants
apresentação
Market
11,2
Individuals
Institutional Investors
Financial Institutions*
Private and Public Companies
6,9
5,0
3,2
4,3
7,2
6,1
4,2
3,0
3,3
3,7
Foreign Investors
3,0
13,8
2,3
2,2
2,2
2,8
2,2
2,4
11,7
10,4
10,4
7,8
7,4
8,8
18,0
34,0
41,3
45,1
40,1
32,1
36,7
37,0
39,1
45,5
27,3
44,2
32,8
35,5
34,5
35,5
34,2
24,1
25,1
26,0
22,0
25,9
26,4
16,0
27,8
25,1
29,0
22,3
27,6
28,1
28,6
21,4
15,8
16,0
25,7
27,5
27,2
25,4
24,6
29,8
27,2
16,5
15,6
16,9
11,7
16,3
9,7
19,0
15,8
17,6
13,0
11,3
9,9
10,4
12,3
15,9
20,2
21,7
21,9
26,2
27,5
23,0
26,7
30,5
32,1
1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Feb/10
* Due to tax reasons, many FIs trade through institutional investor’s accounts.
Título
da apresentação
Global
Investors
2010 (until February)
Luxembourg
5,9%
Japan
4,1%
France Ireland Canada
2,5% 1,9% 1,5%
Netherlands
1,9%
United Arab
Emirates
0,7%
Other countries
6,8%
Uruguay
15,3%
Great Britain
17,8%
USA
41,5%
Guidelines
Título da apresentação
Foreign Exchange
Derivatives
Interest Rate Derivatives
Ibovespa Derivatives
Agricultural Derivatives
Equity Market
Overview
Products and
Markets
Stock Indexes
Market Makers and BTC
Título daand
apresentação
Equity Products
Markets
Product /
Market
Cash
Options*
Forward
Futures
-
-
Stocks
BDRs
ETFs
Indexes
-
*option styles: American and European.
Título da apresentação
Volume
breakdown
2010 (February)
Spot
89,7%
Options
7,8%
Forward
2,4%
Título da apresentação
ETF´s
Main features:
-
ETFs can be traded at the market as stocks;
-
It tracks the performance of a specific index;
-
It provides efficiency, transparency and flexibility to investors.
PIBB
iShares Ibovespa
iShares MidLarge Cap
iShares Small Cap
iShares IBrX-100
iShares IMOB
iShares ICON
PIBB ETF Brazil
Tracker
iShares Ibovespa ETF
iShares BM&FBOVESPA
MidLarge Cap ETF
iShares
BM&FBOVESPA Small
Cap ETF
iShares IBRX – Index
Brazil (IBRX-100)
Index Fund
iShares Index
BM&FBOVESPA Real
Estate Index Fund
iShares Index
BM&FBOVESPA
Consumption Index
Fund
PIBB11
BOVA11
MILA11
SMAL11
BRAX11
MOBI11
CSMO11
Underlying
index
Brazil Index
50
(IBrX-50)
Bovespa Index
(Ibovespa)
Mid-Large Cap Index
(MLCX)
Small Cap Index
(SMLL)
Brazil Index 100
(IBrX-100)
Real Estate Index
(IMOB)
Consumption Index
(ICON)
Listing date
07/26/2004
11/19/2008
11/19/2008
11/19/2008
12/23/2009
12/23/2009
12/23/2009
Round lot
100
100
100
100
100
100
100
Quotation
BRL/share
BRL/share
BRL/share
BRL/share
BRL/share
BRL/share
BRL/share
Market
Cash and
Odd Lot
Cash and Odd Lot
Cash and Odd Lot
Cash and Odd Lot
Cash and Odd Lot
Cash and Odd Lot
Cash and Odd Lot
Banco Itaú
S.A.
BlackRock Brasil
Gestora de
Investimentos Ltda
BlackRock Brasil
Gestora de
Investimentos Ltda
BlackRock Brasil
Gestora de
Investimentos Ltda
BlackRock Brasil
Gestora de
Investimentos Ltda
BlackRock Brasil
Gestora de
Investimentos Ltda
BlackRock Brasil
Gestora de
Investimentos Ltda
No
Yes
Yes
Yes
Yes
Yes
Yes
Index fund
name
Ticker
Portfolio
Manager
Market
Maker
Título da apresentação
ETF’s
ADTV in BRL (million)
27.1
18.6
15.2
7.1
4.9
1.4
2.0
2004
2005
2006
2007
2008
2009
Feb/10
Título da participants
apresentação
ETF - Market
2010 (February)
Companies
1%
Financial
Institutions
28%
Foreigners
8%
Individuals
9%
Institutional
Investors
54%
Título da
apresentação
Contract
Specification
Forward
Trading Code
XXXXYT *
Underlying Asset
All stocks listed on BM&FBOVESPA
Price Quotation
BRL
(same form of quotation as the underlying stock)
Type of Contract
DP – At the Discretion of the Purchaser
Expiration Term
Minimum of 16 and maximum of 999 calendar days
Settlement
By Lapse of Time or Early Settlement
* Where XXXX is the ticker of the underlying share; Y identifies the share type; and T indicates forward.
Título da
apresentação
All
Contracts
Forward
Options on US Dollars
Forward in points
Ibovespa Options
Forward in US Dollar
IBrX-50 Options
Flexible Forward
Options with Strike Price adjusted by ID
Rate
Single-Stock Futures
Options with Strike Price adjusted by
IGP-M
Stock/ETF Options
Mini Bovespa Index Options
More information on www.bmfbovespa.com.br: Markets > Equities >
Types of Negotiation.
Guidelines
Título da apresentação
Foreign Exchange
Derivatives
Interest Rate Derivatives
Ibovespa Derivatives
Agricultural Derivatives
Overview
Equity Market
Products and Markets
Stock Indexes
Market Makers and BTC
TítuloBenchmarking
da apresentação
Extensive
OVERALL MARKET INDEXES
• IBOVESPA – BOVESPA INDEX
Companies representing 80% of the total
financial trading value
• IBrX-50 – BRAZIL INDEX 50
50 most liquid shares at the cash market
• IBrX – BRAZIL INDEX
100 most liquid shares at the cash market
• IVBX-2 – VALOR BOVESPA INDEX
50 companies on second tier governance
issues
• MLCX – MID LARGE CAP INDEX
Companies representing 85% of the total
market value
• SMLL – SMALL CAP INDEX
Remaining companies not included in
MLCX
SECTOR BASED INDEXES
• IEE – ELECTRIC POWER INDEX
Most liquid companies of the electric power
sector
•ITEL – TELECOMMUNICATIONS INDEX
Telecommunication sector most
representative stocks
•INDX – INDUSTRIAL SECTOR INDEX
Industry most representative stocks
•ICON – CONSUMPTION INDEX
Most representative companies of the cyclical
and non-cyclical consumption sectors
•IMOB – REAL STATE INDEX
Most representative companies of the
following real estate sectors: residential
building construction, property agency and
financial/real estate
•IFNC – FINANCIAL INDEX
Financial sector most representative stocks
CORPORATE GOVERNANCE INDEXES
•IGC – CORPORATE GOVERNANCE INDEX
Companies traded on the Novo Mercado, Level 2 and Level 1
•ITAG – TAG ALONG COMPANIES’ INDEX
Companies that offer tag along rights to minority shareholders (voting and non-voting shares),
above regulation limits
•ISE – CORPORATE SUSTAINABILITY INDEX
Companies committed to environmental, social and corporate governance issues
jan/68
jan/69
jan/70
jan/71
jan/72
jan/73
jan/74
jan/75
jan/76
jan/77
jan/78
jan/79
jan/80
jan/81
jan/82
jan/83
jan/84
jan/85
jan/86
jan/87
jan/88
jan/89
jan/90
jan/91
jan/92
jan/93
jan/94
jan/95
jan/96
jan/97
jan/98
jan/99
jan/00
jan/01
jan/02
jan/03
jan/04
jan/05
jan/06
jan/07
jan/08
jan/09
jan/10
In thousands
Título da
apresentação
Ibovespa Historical
Performance
Closing Points - USD
50
45
40
35
30
25
20
15
10
5
0
IBOV
IVBX
IBXX
IBXL
IGCX
ISEE
ITAG
SMLL
MLCX
2010-01
2009-11
2009-09
2009-07
2009-05
2009-03
2009-01
2008-11
2008-09
2008-07
2008-05
2008-03
2008-01
2007-11
2007-09
2007-07
2007-05
2007-03
2007-01
2006-11
2006-09
2006-07
2006-05
2006-03
2006-01
2005-11
Título da apresentação
BM&FBOVESPA
Indexes
Nominal Points – Based on November 30, 2005
2.500
2.250
2.000
1.750
1.500
1.250
1.000
750
500
ICON
IEEX
IFNC
IMOB
INDX
ITEL
2010-02
2010-01
2009-12
2009-11
2009-10
2009-09
2009-08
2009-07
2009-06
2009-05
2009-04
2009-03
2009-02
2009-01
2008-12
2008-11
2008-10
2008-09
2008-08
2008-07
2008-06
2008-05
2008-04
2008-03
2008-02
2008-01
2007-12
TítuloBased
da apresentação
Sector
Indexes
Nominal Points – Based on December 30, 2007
1.600
1.400
1.200
1.000
800
600
400
200
-
Dec-00
Feb-01
Apr-01
Jun-01
Aug-01
Oct-01
Dec-01
Feb-02
Apr-02
Jun-02
Aug-02
Oct-02
Dec-02
Feb-03
Apr-03
Jun-03
Aug-03
Oct-03
Dec-03
Feb-04
Apr-04
Jun-04
Aug-04
Oct-04
Dec-04
Feb-05
Apr-05
Jun-05
Aug-05
Oct-05
Dec-05
Feb-06
Apr-06
Jun-06
Aug-06
Oct-06
Dec-06
Feb-07
Apr-07
Jun-07
Aug-07
Oct-07
Dec-07
Feb-08
Apr-08
Jun-08
Aug-08
Oct-08
Dec-08
Feb-09
Apr-09
Jun-09
Aug-09
Oct-09
Dec-09
Feb-10
Título
daComparison
apresentação
Global
Points in USD – Based on December 30, 2001
6.000
5.000
4.000
3.000
2.000
1.000
0
HANG SENG
GDAX
SP&500
FTSE100
IBOVESPA
DOW JONES
SOURCE: Bloomberg
Guidelines
Título da apresentação
Foreign Exchange
Derivatives
Interest Rate Derivatives
Ibovespa Derivatives
Agricultural Derivatives
Overview
Equity Market
Products and Markets
Stock Indexes
Market Makers and
BTC
Título daMaker
apresentação
Market
(MM)
Features:
-
Brokerage houses
-
Two types: Independent MM and MM contracted by Issuers
-
Continuous quotation, respecting a maximum spread
-
Liquidity Providers
-
Competitive Market Maker Model
-
Reduced fees
Product
Stocks
Counting on MM*
54
ETFs
6
Corporate Bonds
7
Options on Single Stocks
-
(developing)
*As of March 10, 2010.
Título daMaker
apresentação
Market
(MM)
Number of Securities with MM
84
86
66
67
•54 shares
•6 ETFs
•7 corporate bonds
28
20
3
2003
9
2004
2005
2006
2007
2008
2009
Mar/10*
*As of March 10, 2010.
Título daMaker
apresentação
Market
(MM)
Number of Equity Securities and MM participants*
31
18
6
4
1
Credit Suisse
Citigroup
Hedging-Griffo
BTG Pactual
Bradesco
*As of March 10, 2010.
Título daMaker
apresentação
Market
(MM)
MM and Listing Segments*
Distribution:
• 54 shares
• 6 ETFs
38
6
Novo
Mercado
Level 2
7
Level 1
9
Traditional
*As of March 10, 2010.
Título daMaker
apresentação
Market
(MM)
MM participation (in the Market Cap)
11.9%
Feb/10
12.9%
2009
12.2%
2008
10.0%
2007
9.1%
2006
6.9%
2005
4.9%
2004
2003
0.3%
TítuloProgram
da apresentação
Securities Lending
(BTC)
What is BTC?
-
A service through which investors may
lend/borrow securities for short-selling
BTC Performance
(in USD)
/ hedging.
Advantages:
-
15.8
billion
BM&FBOVESPA acts as counterparty in
the process and guarantees the
operations;
-
5.1
billion
The borrower pays a loan fee to the
lender (freely negotiable between the
parties) and a settlement fee to
BM&FBOVESPA;
-
The lender has no cost.
167
million
TítuloProgram
da apresentação
Securities Lending
(BTC)
Market Participants – 2010 (February)
Borrowers
Lenders
Others
4,1%
Banks Pension Funds
0,4%
1,7%
Companies
2,4%
Companies
0,5%
Others Banks
Pension Funds
1,9% 3,1%
0,0%
Foreigners
25,4%
Mutual Funds
31,8%
Individuals
34,3%
Foreigners
37,0%
Mutual Funds
53,9%
Individuals
3,6%
Título da apresentação
www.bmfbovespa.com.br