Forward Looking Statements
This presentation may contain certain statements that express the management’s expectations, beliefs and assumptions about future events or results. Such statements are not historical fact, being based on currently available competitive, financial and economic data, and on current projections about the industries BM&F Bovespa works in.The verbs “anticipate,” “believe,” “estimate,” “expect,” “forecast,” “plan,” “predict,” “project,” “target” The verbs anticipate, believe, estimate, expect, forecast, plan, predict, project, target and other similar verbs are intended to identify these forward-looking statements, which involve risks and uncertainties that could cause actual results to differ materially from those projected in this presentation and do not guarantee any future BM&F Bovespa performance.The factors that might affect performance include, but are not limited to: (i) market acceptance of BM&F services; (ii) volatility related to (a) the Brazilian economy and securities markets and (b) the highly-services; (ii) volatility related to (a) the Brazilian economy and securities markets and (b) the highlycompetitive industries BM&F Bovespa operates in; (iii) changes in (a) domestic and foreign legislation and taxation and (b) government policies related to the financial and securities markets; (iv) increasing competition from new entrants to the Brazilian markets; (v) ability to keep up with rapid changes in technological environment, including the implementation of enhanced functionality demanded by BM&F customers; (vi) ability to maintain an ongoing process for introducing competitive new products and ; ( ) y g g p g p pservices, while maintaining the competitiveness of existing ones; (vii) ability to attract new customers in domestic and foreign jurisdictions; (viii) ability to expand the offer of BM&F Bovespa products in foreign jurisdictions.All forward-looking statements in this presentation are based on information and data available as of the date they were made, and BM&F Bovespa undertakes no obligation to update them in light of new information or future development.This presentation does not constitute an offer to sell or the solicitation of an offer to buy any securities, nor shall there be any sale of securities where such offer or sale would be unlawful prior to registration or qualification under the securities law. No offering shall be made except by means of a prospectus meeting the requirements of the Brazilian Securities Commission CVM Instruction 400 of
2
2003, as amended.
Main Points
BUSINESS MODEL
FINANCIAL HIGHLIGHTS / NEW PRICING POLICYFINANCIAL HIGHLIGHTS / NEW PRICING POLICY
VOLUMES
IT DEVELOPMENTS
BRAZILIAN REGULATORY FRAMEWORK
3
Fully Integrated Business Model
Services for Issuers andCommodities trading
Trading, Clearing and Depository Activities Other Services
Listing(stocks, bonds, funds,
asset-backed securities, among others)
Trading(stocks, derivatives, corporate and government
bonds, funds, spot US Dollar, among others)
Custody(services provided for
funds, and other marketparticipants)
CommoditiesC tifi ti
Central Counterparty (CCP)Clearing and Settlement
Market Data
Certification Clearing and Settlement(for all the products)
Indices Licensing
Central Depository(stocks and corporate bonds)
Software Licensing( d b b k
Securities Lending(stocks and corporate bonds)
(used by brokeragehouses and other
market participants)
4
(stocks and corporate bonds)
Equity Market Settlement StructureBrazil compared with USA
BRAZIL US
OTC Dark Pools
Trading BVMF ATS ECN
OTC Dark Pools
Cl i (CCP)
NYSE NASDAQ
Clearing (CCP) BVMF
BVMF
DTCC
DTCC
C l
BVMF DTCC
Central DepositoryBroker Level
5
Beneficial Owner Level
Revenues
Gross Revenues Composition – 1Q09
1Q09 %1Q08
(Pro Forma)%
Variation1Q09/1Q08
Gross Operational Revenues 351,918 100.0% 440,919 100.0% ‐20 2%
BRL Thousands
Gross Operational Revenues 351,918 100.0% 440,919 100.0% 20.2%Bovespa Seg. ‐ Trd. / Sttlmnt. 158,196 45.0% 230,386 52.3% ‐31.3%BM&F Segment ‐ Trd. / sttlmnt 127,170 36.1% 153,391 34.8% ‐17.1%Derivatives 121,434 34.5% 148,664 33.7% ‐18.3%Foreign Exchange / Securities 5,736 1.6% 4,727 1.1% 21.3%
Other Operational Revenues 66,552 18.9% 57,142 13.0% 16.5%Depositary and custody 16 084 4 6% 14 319 3 2% 12 3%Depositary and custody 16,084 4.6% 14,319 3.2% 12.3%Vendors 11,521 3.3% 9,688 2.2% 18.9%Listing 10,621 3.0% 7,123 1.6% 49.1%Trading access (Brokers) 9,475 2.7% 3,319 0.8% 185.5%Securities Lending 6,127 1.7% 15,380 3.5% ‐60.2%Dividends 5,371 1.5% ‐ 0.0% ‐BM&F Bank 1,971 0.6% 615 0.1% 220.5%
• BM&F Trading: new price grid based on volumes: February 16th 2009
, 220.5%Brazilian Commodities Exch. 1,406 0.4% 932 0.2% 50.9%Commodities classification fees 215 0.1% 171 0.0% 25.7%Others 3,761 1.1% 5,595 1.3% ‐32.8%
Net Operational Revenues 316,548 89.9% 396,031 89.8% ‐20.1%
• BM&F Trading: new price grid based on volumes: February 16th, 2009
• BOVESPA Trading: progressive reduction of clearing fees charged to retail investors and private and public companies in the cash market: beginning on May 4th, 2009
D it i d ti f t h t b d l d t d • Depository: progressive adoption of a percentage charge system based on value under custody (for Brazilian residents with more than BRL 300 thousand under custody): beginning on May 4th, 2009
• Securities Lending: rebate (5 bps) to the lenders, except for non residents: beginning on May
6
g ( p ) , p g g y4th, 2009
• Market Data: since Apr’09 - closer to international prices
Expenses
Adjusted Operational Expenses* – 1Q09
1Q091Q08
(Pro Forma)Variation
1Q09/1Q08Operational Expenses (148,760) (132,550) 12.2%
BRL Thousands
p p ( ) ( ) Personnel (85,462) (54,968) 55.5% Data processing (26,683) (35,567) ‐25.0% Deprec. and Amortization (8,951) (7,777) 15.1% Third Party Services (9,119) (9,228) ‐1.2% Maintenance (2,826) (3,243) ‐12.9% Communications (4,991) (4,224) 18.2% Leases (825) (972) ‐15.1% Supplies (477) (516) ‐7.6% Marketing (2,292) (7,153) ‐68.0% Taxes (495) (1,513) ‐67.3%Board Compensation (1 129) (2 036) 44 5% Board Compensation (1,129) (2,036) ‐44.5%
Other (5,510) (5,353) 2.9%
Adjusted Operational Expenses* (103,009) (124,773) ‐17.4%Adjusted Personel** (48,662) (54,968) ‐11.5%
• Guidance of Operational Expenses of BRL 450 million in FY09 (excluding depreciation and stock • Guidance of Operational Expenses of BRL 450 million in FY09 (excluding depreciation and stock option plan costs)
7* Excluding depreciation, severance and stock option plan costs. ** Excluding severance and stock option plan costs.
Capital and Balance Sheet Highlights
• Cash and Cash Equivalent: BRL 3.15 billion held at end of 1Q09 (short + long term)
• Includes cash collateral of BRL 1.14 billion and restricted funds of BRL 610 illimillion
• Goodwill Amortization: BRL 245.5 million in 1Q09 (net tax impact of BRL 79.6 million)
• Effective tax rate of 3.6% in 1Q09
• Payout: BRL 112 million in interest on shareholders’ equity, equivalent to R$0.0559 h hi h t t R$0 0475 t f ithh ldi i tper share, which amounts to R$0.0475 net of withholding income tax
• Paid out on May 29, 2009, based on the position as of May 15, 2009
B b k t 71 3 illi h• Buyback program: up to 71.3 million shares
• Program earlier terminated (Board Meeting on May 12, 2009)
64 1% (45 7 million shares) bought at the average price of BRL 5 85 Total of • 64.1% (45.7 million shares) bought at the average price of BRL 5.85 – Total of BRL 267.2 million
• Stock Option and Leasing Expenses: non-cash charge of BRL 19.0 million taken in 1Q09 to adjust our Financial Statements to the new accounting standards moving
8
1Q09 to adjust our Financial Statements to the new accounting standards, moving towards IFRS
Operational HighlightsBM&F Segment
ADTV (millions of contracts)
1.61 1.97 1.81
1.56 1.76 1.77 1.66
1 371.59 1.47 1 36
1.75 1.56 1.46 1.37
1.09 1.11 1.36 1.26
RPC (BRL)
1Q07 2Q07 3Q07 4Q07 1Q08 2Q08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09
1Q07 2Q07 3Q07 4Q07 1Q08 2Q08 J‐08 A‐08 S‐08 O‐08 N‐08 D‐08 J‐09 F‐09 M‐09 A‐09 M‐09
Interest Rates in BRL 1.031 0.988 1.049 1.088 1.102 1.064 1.098 1.260 1.510 1.391 1.145 0.865 0.796 0.939 0.923 0.921 1.076
FX Rates 2.226 2.071 1.937 1.847 1.850 1.785 1.767 1.867 2.430 3.041 2.586 2.269 2.183 2.397 2.653 2.543 2.347
Stock Indices 1.279 1.521 1.668 2.013 2.132 2.460 2.156 2.288 2.039 2.138 1.398 1.630 1.323 1.792 1.564 1.901 1.569
Interest Rates in USD 1.108 0.964 0.891 1.032 1.078 1.057 0.773 0.844 1.250 2.037 1.501 1.678 1.417 1.469 1.790 1.859 1.691
Commodities 2.921 3.266 3.590 3.670 3.283 3.892 3.871 3.734 3.829 4.818 2.309 1.867 1.622 2.298 2.344 2.411 2.372
Web Trading 0.034 0.054 0.069 0.105 0.155 0.160 0.151 0.161 0.166 0.170 0.167 0.184 0.171 0.189 0.192 0.206 0.186
OTC 2 764 2 239 1 904 2 388 2 057 2 322 2 389 2 405 3 348 3 195 2 765 1 807 1 646 2 358 3 175 1 588 2 118OTC 2.764 2.239 1.904 2.388 2.057 2.322 2.389 2.405 3.348 3.195 2.765 1.807 1.646 2.358 3.175 1.588 2.118
Total RPC 1.302 1.274 1.320 1.416 1.401 1.381 1.337 1.567 1.896 2.071 1.732 1.414 1.213 1.484 1.361 1.440 1.547
9
Operational HighlightsBovespa Segment
ADTV (BRL Billions)
3 64.5 5.0
6.6 5.9 6.55.6
4.8 5.5 5.33.8 3.8 3.6 4.1 4.0
4.9 5.43.6 3.6
1Q07 2Q07 3Q07 4Q07 1Q08 2Q08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09
Daily Average Number of Trades (Thousands)
Number of Investors (Thousands) Turnover Velocity* (annualized)
10* Relation of the trading value in the cash market and the market cap of the exchange
Operational Highlights
BM&F Segment (Investor’s Participation in Total Volume)
Bovespa Segment (Investor’s Participation in Total Value)
11
IT DevelopmentsCo location infrastructure
CO LOCATION AREA RACKS
BM&FBOVESPA WILL BE PREPARED FOR THE CO-LOCATION FOR BM&F SEGMENT IN JUN’09 AND FOR BOVESPA SEGMENT IN THE 3Q09
CO‐LOCATION AREA ‐ RACKS
Rack (40Us) H lf R k (20U ) Racks´lay out at theRack (40Us) Half Rack (20Us)
Unit Hosting
Structure where are installedh i h d )
Racks lay‐out at the co‐location´s area
14
the switches and servers)
Bovespa SegmentTrading system development
User DistributionIntermediary(CM/Broker)
BM&FBOVESPA
BVMF / HP
May, 2009
MEGABOLSA STATIONSCOM, SNEG, SCOT
NYSE Euronext
Access Via Intermediary
NETWORK
SLE
GL Tradey
GLWIN
NETWORK
HUBNSC V900
Traditional DMA
Homebroker
NETWORK NETWORKMulti Gateway
HUB
Homebroker
268454299RTT J ’09 135
15
RTT – May’09 54 10153 584
268454299RTT – Jan’09 135
Bovespa SegmentTrading system development
User DistributionIntermediary(CM/Broker)
BM&FBOVESPA
BVMF / HP
2H09
MEGABOLSA STATIONSCOM, SNEG, SCOT
NYSE Euronext
Access Via Intermediary
NETWORK
SLE
GL Tradey
GLWIN
A ISV
NETWORK
HUBNSC V900
New Multi Gateway
Traditional DMA
Homebroker
Any ISV
NETWORK NETWORK
HUB
Via DMA Provider
Bloomberg TradeBook
Thomsom Reuters
Others
Homebroker
NETWORKDMA Provider
Via DMA Co‐location
Remote access – tracking and maintenance
Application of Co‐location (ATS)NETWORK
268454299RTT J 09 135
16
RTT – Forecast 1 1016 50
268454299RTT – Jan 09 135
DMA and CME order routing evolution
DMA EVOLUTION
• Trades through DMA represented 6.5% of total BM&F Segment ADTV in May’09
ORDER ROUTING AGREEMENT WITH CME Group (GLOBEX)
• Initial flow starting in Mar’09 with an ADTV of 25.8 thousand contracts in May’09
ALGOTRADERS PARTICIPATION IN BM&F SEGMENT• May’09: 1.23% (2.46% in FX and 2.56% in Indices)• Apr’09: 0.53% (1.8% in FX and 0.23% in Indices)p ( )• Mar’09: 0.45% (1.53% in FX and 0.26% in Indices)
DMA Evolution CME Order Routing Evolution
17
CME Globex Order Routing Agreement
Routing Order GLOBEX‐GTS – Number of Contracts Traded
60,000
80,000
0
20,000
40,000
Routing Order GLOBEX‐GTS – Number of Trades
0
6,000
8,000
0
2,000
4,000
18
0
5‐m
ar10
‐mar
13‐m
ar18
‐mar
23‐m
ar26
‐mar
31‐m
ar3‐
abr
8‐ab
r14
‐abr
17‐a
br23
‐abr
28‐a
br27
‐mar
30‐a
br6‐
mai
11‐m
ai14
‐mai
19‐m
ai22
‐mai
27‐m
ai
Globex Routing AgreementGlobex to BM&FBOVESPA flow
US BRAZIL
FCM prop position Investors
CME GroupGlobex
BM&FBOVESPA
GlobexNetwork
position
GTSNetwork
Investors
Investors
Investors
MATCHING
Investors
FCM
Investors
Some FCMs (Futures Commodities Merchant) should offer DMA access to BVMF derivatives to
their clients
19
their clients
BM&FBOVESPA is helping the main back‐office system providers to adapt their systems
Trading of Future Ibovespa Contracts by US residents pending to be approved by CFTC
Equity Trading in Brazil (Regulation)
RULES RELATED TO BLOCK TRADING
• Shares listed in exchange markets can be traded only in exchange Shares listed in exchange markets can be traded only in exchange environment
• Absence of OTC market
• Absence of alternative trading system, including dark pools
• Relevant restrictions related to block trading (CVM Instruction No 168)Relevant restrictions related to block trading (CVM Instruction No 168)
• Auction - 1 hour advance announcement: quantity above 10 times the national average volume or in the 1% - 2,99% range of common h i 3% 4 99% f f d hshares or in 3% - 4,99% range of preferred shares
• Auction - 24 hours advance announcement: quantity in the 3% - 6% range of common shares or in the 5% - 20% range of preferred range of common shares or in the 5% 20% range of preferred shares
• Auction - 48 hours advance announcement: quantity higher than 6% f h 20% f f d h
21
of common shares or 20% of preferred shares
Equity Trading in Brazil (Regulation)
POSSIBLE CHANGES IN THE EXCHANGES REGULATORY FRAMEWORK
• On April 28th, 2009 CVM gave notice of public hearings of an instruction • On April 28th, 2009 CVM gave notice of public hearings of an instruction draft which, amongst other subjects, deals with best execution rule
• In the justifications section the CVM stated:
• “That measure gains greater importance in an scenario where competition between environments or systems for trading the same security is established. The CVM regulation already allows for security is established. The CVM regulation already allows for simultaneously trading of almost all securities, excepted shares listed in exchange markets, which can be simultaneously traded in another exchange only. Despite that, it is CVM intention to analyze this last
i i i i ”restriction to competition.”
SOME RULES SHOULD NOT CHANGE
• Obligation of a CCP in all trades at the beneficial owner level
• Prohibition of internalization of orders at the brokerage level
22
Exchanges and Block Trading SystemsBrazilian ADRs: Brazil vs. USA
THERE ARE 37 BRAZILIAN COMPANIES WITH ADRs PROGRAMS (LEVEL 2 AND LEVEL 3).
• Increase on Block Tradings’ share since 2007 while the NYSE share has been decreasing
May’09In Traded Value
33.5%
16.0%
20 7%
29.8%
20.7%
23Source: Bloomberg
Board Members (2009 – 2010)
BOARD MEMBERS
• Armínio Fraga (Chairman)* - Gavea Investimentos
• Claudio Haddad* - Ibmec
• Fabio de Oliveira Barbosa* - Vale (CFO)
• José Roberto Mendonça de Barros* - Economist and Consultant
• Marcelo Fernandes Trindade* - Lawyer
• Rene Marc Kern* - General Atlantic
• Renato Diniz Junqueira – Intercap
• Candido Botelho Bracher – Itau BBA
• Luis Stulhberger – Credit Suisse Hedging-Griffo
• Craig Donohue – CME Group
• Julio Siqueira de Araújo – Bradesco (Vice President)
25
* Independents
BM&FBOVESPAOne-stop-shop
Trading, Clearing and Settlement Services
Cash Market Derivatives Market
Equities- Equities
- International Companies (BDR)
- Closed-End Funds
- Exchange Traded Fund (ETF)
Fixed Income- Federal Government
Bonds
- Debentures
- Commercial Papers
M t B k d
Equities- Stock Options
- Stock Index Futures, Options, and Options on Futures
- Futures on Stocks
- Forwards
Fixed Income (Options & Futures)- Interest rate
- Dollar denominated domestic yield curve
- Interest rate x price index
(PPI/CPI) spread- Real-Estate Investment Trust (REIT)
Corporate Governance Levels- Novo Mercado
- Level 2
- Mortgage-Backed Securities
- Asset Backed Securities (FDIC)
- NEW: Corporate Governance Bonds
- Forwards
- Warrants
- POP (Protected and Participative Investment)
Structured Products
- (PPI/CPI) spread
- Price index (PPI/CPI)
- Sovereign debt bond (Global Bond, A Bond, US Treasury)
- CDS (SPOT Market)
Level 2
- Level 1
- BOVESPA MAIS (SMEs)
Indexes (Benchmarks)- IBOVESPA, IBrX100, IBrX50, IVB
Currencies- US Dollar
Commodities- Gold
- Spread Strategies
- Volatility Trading (Stock Index, Interest Rate, Exchange Rate)
- Forward Rate Agreements
OTC
Currencies- US Dollar
- Euro
Commodities (Options & Futures)
X-2
- Sectorial: IEE (Energy), ITEL (Telecom), INDX (Industrial)
- Corporate Governance: IGX, ITAG
- Corporate Sustainability Index
Gold OTC
- SWAPs (Interest Rate, Exchange Rate, Price Index, Stock Index, Gold)
- Flexible Options (Stock Index, Exchange Rate, Interest Rate)
- Metals
- Arabica Coffee - Conillon Coffee
- Sugar - Ethanol
- Cotton - Corn
- Soybean - Live cattle
- Feeder cattle
- Listing - Securities Lending
- Depository and Custody - Settlement Bank
Other Products and Services
26
- Market Data - Indices Licensing
- Software Licensing
Business ModelTrading flow
BM&FBOVESPA SYSTEMS
el
1. Order
3. $1. $
1. Order
SellerBuyer BrokerageHouse
BrokerageHouse
Trading System
Dic
ial
ow
ner
leve HouseHouse
an
k)
3. $
Dep
osito
ry a
nd
rn
t at
the b
en
ef
Clearinghouseand Depository
(via
Cen
tral
Ba (v
ia C
en
tral B
a2s
risk m
an
ag
em
eri
sk m
an
ag
em
e
2.
$ a
nk)
SettlementAgent
SettlementAgent
2. S
tock
s / C
on
to
cks
/ C
on
tract
s nt a
t the b
en
ef
Dep
osi
tory
an
d r
tracts
3.
Sto
icial o
wn
er le
ve
27
D
Buyer Seller
el
Risk Management At the beneficial owner level
• Four Clearinghouses: derivatives, stocks and corporate bonds, FX spot and government bonds
• All of our Clearinghouses acts as CCP and manage the risk at beneficial owner level
• Mark to market (margin variation calls) done on intraday basis (each 15 minutes for derivatives market and ongoing for equity market)
Th b k h ( l i t) i ibl f it i th i li t ’ i k d • The brokerage house (clearing agent) is responsible for monitoring their clients’ risk and “know your customer policies”
• During the day any Clearinghouse can call additional collateral and the clearing agent is responsible for depositingresponsible for depositing
Clearinghouse Clearing Deposited(BRL billions)
Required(BRL billions)
Derivatives 71,4 34,1
ClearingAgent
ClearingAgent
, ,Cash Equities 26,7 16,6FX 3,7 0,8Fixed Income 1,0 0,0Total in BRL 102,7 51,5T t l i USD 49 1 24 6
Investor Investor Investor Investor
RiskManagement
Total in USD 49,1 24,6* On May 15, 2009
28
• There is no cross margining among the Clearinghouses
• Clearinghouses integration process: project kick off in 2009
Securities Lending (BTC)
• Specific regulation for securities lending activity
• Must be carried in a Clearinghouse (CCP)
• Trading systems offers registration
• Lending is a investors’ decision and it’s done through a brokerage house
• Settlement agents are responsible by their clients settlement and collateral
• Full disclosure of the open interest positions by company on daily basis
• Corporate actions adjustments
• Risk management at the beneficial owner level with collateral requirement and daily k t k tmark to market
• Position Limit
Investor: the totality of positions cannot exceed 3% of the free floating of the • Investor: the totality of positions cannot exceed 3% of the free floating of the company
• Broker: the totality of positions cannot exceed 6.5% of the free floating of the company
29
company
• Market: the totality of positions cannot exceed 20% of the free floating of the company
New IT DevelopmentsSchedule
BOVESPA SEGMENT
• May
• Starting in May we will have completed the implementation of the new version of thesoftware on which the MegaBolsa electronic trading system runs, as developed by NYSEEuronext. The new version (V900) replaces the V837 version implemented in June 2008.It is estimated that the average internal processing time, known as RTT (round timetrip) will decrease to 170 milliseconds from the current 290 millisecondstrip), will decrease to 170 milliseconds, from the current 290 milliseconds.Subsequently, with the implementation of the new low latency multi-levelcommunication interface (the new Multi Gateway), scheduled for July 2009, the RTT willdrop to 15 milliseconds and it is estimated that it will fall to 8 milliseconds untilDecember 2009December 2009
• Reduction in fees charged for orders entered in the MegaBolsa trading system, and notmatched, which drove growth in algorithmic trading
• July• July
• Authorization to DMA via provider implementation (DMA model 2) in the MegaBolsatrading system (to be approved by Brazilian Securities Exchange Commission - CVM)
August• August
• Completion of the project to increase the capacity of the equities clearinghouse(formerly, CBLC) to 1.5 million daily trades
ff i f l i i ( i i h l )
30
• Offering of co-location services (connectivity to the MegaBolsa system)
• Thomson Reuters connected to the Exchange’s MegaBolsa system to provide customerswith an international order routing system
New IT DevelopmentsSchedule
BM&F SEGMENT
• May
• Bloomberg Tradebook connected to the Exchange’s Global Trading System (GTS) to provide customers an international order routing system
• June
• GL Trade (GL Net) connected to the Exchange’s GTS to provide customers an international order routing system
• Offering of co-location services (connectivity to the GTS System)• Offering of co-location services (connectivity to the GTS System)
• Shutdown of the trading floor
BOTH BM&F AND BOVESPA SEGMENTS
• November
• Implementation of the integrated external communication interface for both MegaBolsa and the GTS systems, which will permit market data transmission from either system via a single channel.
31
CME Globex Order Routing Agreement
USA BRAZIL
Buy Order for S&P 500 Futures Sell Order for ID1 FuturesBuy Order for S&P 500 Futures Sell Order for ID1 Futures
CME GROUP GLOBEX
BM&FBOVESPA GTS
GLOBEX communication
network
GLOBEX
NETWORK
GTS
NETWORK
MATCHINGMATCHING
Sell Order for S&P 500 Futures Buy Order for ID1 Futures
SETTLED IN USD BY CME´SCLEARINGHOUSE
SETTLED IN BRL BY BM&FBOVESPA´S DERIVATIVES CLEARINGHOUSE
32
CME Globex Order Routing Agreement
USA BRAZIL
Buy Order for an ID1 futuresBuy Order for an ID1 futures contracts
CME GROUP GLOBEX
BM&FBOVESPA GTS
GLOBEX
NETWORK
High speed and high capacity
GTS
NETWORK
Sell order for an ID1 futures contracts
MATCHING
p yinternational link
SETTLED IN BRL BY BM&FBOVESPA´S DERIVATIVES CLEARINGHOUSE, WHICH CAN BE FACILITATED BY BM&F BANK
33
CME Globex Order Routing Agreement
USA BRAZIL
Buy order for S&P 500 Futures
CME GROUP GLOBEX
BM&FBOVESPA GTS
Buy order for S&P 500 Futures
GLOBEX
NETWORK
High speed and high capacity
GTS
NETWORK
Sell order for S&P 500 Futures
MATCHINGinternational high
SETTLED IN USD BY CME ´S CLEARINGHOUSE, WHICH CAN BE FACILITATED BY BM&F BANK
34
IT DevelopmentsMore suitability for Algotraders
ALGORITHMIC TRADING PROFILE AND OPPORTUNITIES
• Arbitrage (determinist and statistic) - high frequency
• Cash Market versus ETF (Exchange Traded Fund)
• Cash Market versus Futures on Stock Index
D ti Sh ADR• Domestic Shares versus ADRs
• Futures versus Options
• Different s expirations of the same future contractp
• Trading of interest rate slope curve
• Trading with correlated instruments (soya bean BVMF x soya bean CME, coffee BVMF x coffee ICE etc)BVMF x coffee ICE etc)
• Mini contracts versus Standards contracts
• Order book’s depthp
DETERMINANT FACTORS
• Liquidity e volatility
35
• Electronic Access and low risk of execution
• Prices charged by the Exchange
DMA Development
DMA – BM&F SEGMENT
Number of Brokers that offer - DMA
25
30
15
20
25
5
10
15
0
5
g‐08
p‐08
p‐08
t‐08
t‐08
v‐08
v‐08
c‐08
c‐08
n‐09
n‐09
b‐09
b‐09
r‐09
r‐09
r‐09
r‐09
y‐09
y‐09
36
Aug Sep
Sep
Oct
Oct
Nov
Nov Dec
Dec Jan
Jan
Feb
Feb
Mar
Mar
Apr
Apr
May
May
DMA Development
Trading via DMA in BM&F Segment –Number of Contracts Traded
400 000
200,000
300,000
400,000
0
100,000
00,000
Trading via DMA in BM&F Segment – Number of Trades
30,000
40,000
10,000
20,000
37
0
Aug‐08
Sep‐08
Oct‐08
Oct‐08
Nov‐08
Dec‐08
Jan‐09
Jan‐09
Feb‐09
Mar‐09
Apr‐09
Apr‐09
May‐09
BM&F Bovespa Investor Relationsp
Web page: www.bmfbovespa.com.br/ri
Phone numbers: 55 11 3119 2007/ 3728 / 3729 / 3734
E-mail: [email protected]
38