B3 - BRASIL, BOLSA, BALCÃO BM&FBOVESPA S.A. - Bolsa de Valores, Mercadorias e Futuros
The Brazilian Securities, Commodities and Futures Exchange
Dear Shareholders,
We are pleased to present you this discussion and analysis of the financial condition and results of operations of BM&FBOVESPA S.A. (BM&FBOVESPA or Company) for the quarter ended September 30, 2015 (3Q15).
The average daily volume on the BM&F segment reached R$3.3 million contracts in 3Q15, an increase of 24.3% over the same period of the previous year (3Q14), reflecting the good performance of the Interest rates in BRL, Mini and Interest rates in USD contracts, which rose by 19.0%, 88.5% and 46.0%, respectively.
The growth in the volume of the Interest rates in BRL and Interest rates in USD contracts was due to higher volatility level in the market. The higher volatility combined with the entry of new customers also explains the increase of volume in Mini contracts group, which covers Mini contracts of equity indices and FX rates.
Average Daily Volume (thousands of contracts)
Contracts | 3Q15 | 3Q14 | 3Q15/3Q14 (%) | 2Q15 | 3Q15/2Q1 (%) |
Interest rates in BRL | 1,790.9 | 1,505.4 | 19.0% | 1,622.2 | 10.4% |
FX rates | 473.2 | 483.6 | -2.1% | 465.7 | 1.6% |
Stock indices | 101.1 | 120.1 | -15.8% | 98.5 | 2.6% |
Interest rates in USD | 321.5 | 220.3 | 46.0% | 252.1 | 27.5% |
Commodities | 9.0 | 10.5 | -13.6% | 8.9 | 1.9% |
Mini contracts | 597.3 | 316.8 | 88.5% | 444.2 | 34.5% |
OTC | 29.1 | 16.4 | 77.5% | 11.5 | 152.2% |
TOTAL | 3,322.2 | 2,673.0 | 24.3% | 2,903.2 | 14.4% |
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Average revenue per contract (RPC) grew by 8.9% in comparison with 3Q14. The principal reason behind this increase was the 33.9% depreciation of the Real against the US Dollar1, which had a positive impact on the RPC of contracts denominated in US Dollar, notably FX rates, up by 46.3%, and Interest rates in USD, up by 54.5%. On the other hand, the positive effect of the Real's devaluation was partly offset by a higher participation of contracts priced below the average, such as Mini contracts and Interest rates in BRL. Also, the average RPC of Interest rates in BRL fell by 2.6% against 3Q14, mainly due to higher growth in short term
contracts than in long term.
Revenue per Contract (R$)
Contracts | 3Q15 | 3Q14 | 3Q15/3Q14 (%) | 2Q15 | 3Q15/2Q (%) |
Interest rates in BRL | 1.108 | 1.137 | -2.6% | 1.057 | 4.8% |
FX rates | 3.725 | 2.545 | 46.3% | 3.572 | 4.3% |
Stock indices | 2.005 | 1.645 | 21.9% | 2.258 | -11.2% |
Interest rates in USD | 1.874 | 1.213 | 54.5% | 1.811 | 3.5% |
Commodities | 2.431 | 2.189 | 11.0% | 2.337 | 4.0% |
Mini contracts | 0.232 | 0.113 | 105.1% | 0.192 | 20.5% |
OTC | 1.541 | 2.921 | -47.3% | 3.468 | -55.6% |
OVERALL AVERAGE | 1.432 | 1.315 | 8.9% | 1.448 | -1.1% |
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With regard to the participation of different groups of investors in the derivatives market, the average volume of contracts traded by foreign investors between 3Q14 and 3Q15 rose by 50.0%, with an increase on participation to 42.1% in 3Q15 from 34.9% a year earlier. Institutional investors increased their share to 29.1% in 3Q15, showing growth of 30.4% of the average volume of contracts traded. On the other hand, financial institutions reduced their participation to 20.4% in 3Q15 from 30.5% in 3Q14 and had a drop of 17% in trading volume.
1 Takes into account the average variation of the closing PTAX rate at the end of Jun'14, Jul'14 and Aug'14 (base for 3Q14) and Jun'15, Jul'15 and Aug'15 (base for 3Q15).
Distribution of Average Daily Volume Traded by Investor Category (%)
The average daily trading value on the Bovespa segment reached R$6.5 billion in 3Q15, 10.2% lower than in the same period of the previous year, with a decrease in both cash and equity derivatives (options and forwards) markets.
Average Daily Trading Value (R$ millions)
Market | 3Q15 | 3Q14 | 3Q15/3Q14 (%) | 2Q15 3 | Q15/2Q1 (%) |
Stocks and Equity Deriv. | 6,539.6 | 7,288.3 | -10.3% | 7,118.3 | -8.1% |
Cash market | 6,293.4 | 6,890.0 | -8.7% | 6,868.0 | -8.4% |
Derivatives | 246.2 | 398.3 | -38.2% | 250.3 | -1.7% |
Options market (stocks / indices) | 173.3 | 317.2 | -45.4% | 185.1 | -6.4% |
Forward market | 72.8 | 81.1 | -10.2% | 65.2 | 11.8% |
Fixed income and other cash-market securities | 5.5 | 1.3 | 315.7% | 6.6 | -16.2% |
TOTAL | 6,545.1 | 7,289.7 | -10.2% | 7,124.9 | -8.1% |
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The decrease of 8.7% in the average daily trading value of the cash market primarily reflects the fall of 14.5% in average market capitalization2, which totaled R$2.2 trillion in 3Q15. On the other hand there was a higher level of market activity, measured by the turnover velocity3, which reached 70.8% in 3Q15, versus 66.8% in 3Q14, partially offsetting the potential impact of the lower average market capitalization in the cash equity market.
Average Market Capitalization (R$ trillions) and Turnover Velocity (%)
The decrease of 38.2% in the equity derivatives market resulted, in particular, from a significant fall in the volume traded in the two main options on single stocks, which represented 45.8% of the total volume in 3Q15 against 60.8% in 3Q14.
Trading and post-trading margins in this segment fell to 5.246 base points in 3Q15 from 5.502 base points in 3Q14, a decrease of 4.7%. The main reason for the drop was the lower share of equity derivatives in the total volume, since they are priced above the average of the segment, and the increase in the participation of day trades, which are eligible for discounts depending on volume levels.
With regard to the overall value traded by investor group on the Bovespa segment, foreign and institutional investors continue to be the most active, accounting for 53.0% and 27.5% in 3Q15, respectively (against 49.8% and 29.3% in 3Q14); however the volume traded by these two groups was lower than in the same period of the previous year, in line with the fall in total volume. Foreign investment flow in 3Q15 was negative by R$4.3 billion, as a result of the outflow of investments from the secondary market.
2 Market capitalization is the multiplication of the number of shares issued by listed companies, by their respective market prices.
3 Turnover velocity is the result of dividing the annualized value traded on the cash market during the period, by the average market capitalization for the same period.
Distribution of Average Daily Trading Value by Investor Category (R$ billions)
Treasury Direct platform (Tesouro Direto)
Tesouro Direto achieved a new record for the average assets under custody, with R$19.2 billion in 3Q15, up by 45.2% over 3Q14, while the average number of investors rose by 62.6%, to 198.6 thousand, from 122.1 thousand over the same period. BM&FBOVESPA continues to promote Tesouro Direto, which was developed in partnership with the Brazilian Treasury, by adopting incentive programs for the distribution channel.
Treasury Direct Platform
Total revenue: reached R$662.9 million in 3Q15, an increase of 11.8% over 3Q14, due to higher revenues from the BM&F segment, as well as an increase in revenues not tied to volumes.
Trading and post-trading revenues from the equities and derivatives markets accounted for 78.5% of total revenue for 3Q15, reaching R$ 520.6 million, an increase of 7.3% over 3Q14.
Revenues from trading, clearing and settlement - BM&F Segment: amounted to R$306.8 million (46.3% of the total), up by 34.2% over 3Q14, as a result of an increase of 24.3% in the average daily volume coupled with an 8.9% increase in average RPC for the period.
Revenues from trading, clearing and settlement - Bovespa Segment: amounted to R$221.9 million (33.5% of the total), 15.8% lower than in 3Q14. Volume-related revenues (trading and post-trading fees) fell by 15.7% to R$219.7 million, reflecting a decrease of 10.2% in trading volume and of 4.7% in trading and post-trading margins.
Other revenues: revenues not tied to volumes reached R$134.3 million (20.3% of the total) in 3Q15, an increase of 33.1% over the same period of the previous year. The main highlights were:
Securities lending: rose to R$28.2 million (4.3% of the total), 48.2% higher than in 3Q14, resulting from the 31.1% increase in the average value of open interest positions and the removal in Jan'15 of rebates granted to some groups of clients.
Depositary: amounted to R$36.2 million (5.5% of the total), an increase of 23.6% over 3Q14. This performance is the result of the 50.5% growth in revenues from Tesouro Direto, to R$11.8 million in 3Q15, and from adjustments to the depository services' prices, which took place in Apr'15.
BM&FBovespa SA issued this content on 2016-01-08 and is solely responsible for the information contained herein. Distributed by Public, unedited and unaltered, on 2016-01-08 17:19:15 UTC
Original Document: http://ri.bmfbovespa.com.br/services/_pub/siteri-1/redirect.asp?grupo=2540&idioma=enu&arquivo=ITR 3Q15.pdf&tipo=arquivo&protocolo_atual=
