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Transcript of ppt overview english - Traders BVCtradersbvc.com.co/uploads/productos/pptoverviewenglishOK... ·...
Derivatives Market
Derivatives ProductsInternational and local Context
Source: WFE
0% 10% 20% 30% 40% 50% 60% 70% 80% 90%
100%
Jun,
98
Jun,
99
Jun,
00
Jun,
01
Jun,
02
Jun,
03
Jun,
04
Jun,
05
Jun,
06
Jun,
07
Jun,
08
Jun,
09
Jun,
10
Jun,
11
Jun,
12
Jun,
13
Jun,
14
Volume by product line
Options
Futures
STANDARDIZED DERIVATIVES PRODUCT
LINES (15)
Futures
Single Stocks
Stock Indexes
ETF
ST Interest Rate
LT Interest Rate
Currencies
Commodities
Others(Exotic, Real Estate, CPI)
Options
BVC
BVC
BVC
BVC
BVC
BVC
International Context
0
2
6
4
8
10
12
Shan
gai
Buen
os A
ires
Tel.A
viv
Esp
aña
Mal
aysia BVC
Taila
ndia
Kore
aIn
dia
Mos
cú Ja
pón
Euro
next
Ist
ambu
lCM
EM
exDer
Eure
x
Bov
espa
Joha
nnes
burg
o
Number of product lines14
12
6 6 6 67 7
89 9 9 9
10
1213
1415
Standardized Futures in Colombia Launching Strategy and Milestones
Derivatives Market Milestones
*AlgoTrading: Algorithmic Trading - **DMA: Direct Market Access.
Derivatives MarketLaunch
Spot market complement
Indexation
The BVC Derivatives Market was launched in 2008 providing a complement for spot markets and offering a new tool for risk management.
2009
2008
USD Futures Bond Basket Futures
Single Stocks Futures
Stock Index Futures
IBR Futures Inflation Futures
Single Bond Futures
Options MarketDMA**
Overnight Index Swap
2010
2011
2012
Market adjustment
2013
OTC trend and Algotrading*
2014
2016
COLCAP Index
Preferencial Bancolombia
Ecopetrol
Pacific Rubiales
Grupo Sura
Preferencial Grupo Sura
Nutresa
Éxito
ISA
Preferencial Grupo Aval
Cementos Argos
PF Cementos Argos
Grupo Argos
Equity Futures
TRM
TRS
Exchange Rate Futures
OTC derivatives repository
OTC Products
Single TES
TES 16
TES 18
TES 19
TES 20
TES 22
TES 24
TES 26
TES 28
TES 30
TES Basket (TES, TEM, TEL)
CPI Futures
OIS (Overnight Index Swap)
Interest Rate Futures
Local Context: Listed products
(L): Colombia time.(NY): New York time.* Subject to change by CCP
Mnemonic identifier
Underlying
Contract Size
Tick Size
Settlement method
Expiration date
Trading hours
Total Margin on Position*
Last trading day
Contract Months
FUTURE
TES - TEM - TEL
TES Basket
COP 250.000.000
2 quarterly contracts (H, M, U, Z) and 2 monthly
0.005
Physical
First friday of the expiration month
1 work day before the expiration date
8:00 a.m (L) - 4:00 p.m (L)
S=2%; M=3,5%; L=5%
TES
Mnemonic identifier
Underlying
Contract Size
Tick Size
Settlement method
Expiration date
Trading hours
Total Margin on Position*
Last trading day
Contract Months
FUTURE
T16 - T18 - T19 - T20 - T22 - T24 - T26 - T28 – T30
Single TES
COP 250.000.000
2 quarterly contracts(H, M, U, Z) and 2 monthlyes
0.005
Cash
First friday of the expiration month
1 work day before the expiration date
8:00 a.m (L) - 4:00 p.m (L)
0,5% - 8% based on the modified duration
TES
Listed Futures specifications
(L): Colombia time. (NY): New York time. * Subject to change by CCP.
Mnemonic Identifier
Underlying
Contract Size
Tick Size
Settlement method
Expiration date
Trading hours
Total margin on position*
Last day of trading
Contract Months
TRM - TRS
TRM
TRM USD 50.000�TRS USD 5.000
0.1
Cash
Second wednesday of the expiration month
8:00 a.m (L) - 4:30 p.m (L)
7%
Expiration date
H, M , U, Z (4)and 2 monthly contracts
FUTURE
COL
COLCAP
COP 25.000 by index
0.5
CashPhisical (ECO, PFB, PRE, GRU)�Cash (todos los demás contratos)
Third friday of the expiration month
8:00 a.m. (L) - 4:00 p.m (NY)
12%
Expiration date
H, M , U, Z (4)
Index Futures
ECO-PFB-PRE-PFG-EXI-NUT-GRA-ISA-PFA-CEM-GRU-PCE
PFB-PRE-PFG-EXI-NUT-GRA-ISA-GRU = 5ECO-PFA-CEM-PCE = 1
COLCAP index stocks
1.000 stock
Physical: the fourth wednesday of the expiration month
Cash: Third friday of expiration month
8:00 a.m. (L) - 4:00 p.m (NY)
ECO 14%- PRE 45% - PFB 12% -EXI 13% - NUT 11% - GRA 12% - ISA 11% - PFA 11% - CEM 15% -
GRU 13% - PCE 15%
Physical: 3 days before expiration date
Cash: expiration date
H, M , U, Z (4)
StockDollar / USD FX
Listed Futures Specification
(L): Colombia time. (NY): New York time. * Subject to change by CCP.
Mnemonic Identifier
Underlying
Contract Size
Tick Size
Settlement method
Expiration date
Trading hours
Total Margin on Position*
Last Trading Date
Contract Months
IB
IBR overnight
COP 500.000.000
0.001
Cash
En 1-3-6-9-12-18 months
8:00 a.m (L) - 1:00 p.m (L)
1 and 3 months (0,11%) -6 (0,23%) -9 (0,34%) -12 (0,45%) -18 (0,68%)
N.A.
6 daily contracts at 1-3-6-9-12-18 months
FUTURE
CPI
Monthly IPC
COP 250.000.000
0.01
Cash
1 work day after the last day of trading
8:00 a.m (L) - 1:00 p.m (L)
0.5%
Fifth day of the expiration month
3 daily contracts
INFLATIONOvernight Index Swap
Characteristics of the listed Futures in the BVC
ACCIONES Y VALORES
ALIANZA VALORES
ADCAP
VALOR ALTA
BBVA VALORES COLOMBIA
BTG PACTUAL
CASA DE BOLSA
CIA PROFESIONALES DE BOLSA
CORREDORES DAVIVIENDA
CREDICORP CAPITAL
GLOBAL SECURITIES
HELM COMISIONISTA
SERVIVALORES GNB SUDAMERIS
VALORES BANCOLOMBIA
ULTRASERFINCO
Brokers
Overall the BVC Derivatives Market has 33 members.
BANCO AGRARIO
BANCO AV VILLAS
BANCO DAVIVIENDA
BANCO DE BOGOTA
BANCO DE OCCIDENTE
BANCO GNB SUDAMERIS
BANCOLOMBIA
BBVA
CITIBANK
CORFICOLOMBIANA
CORPBANCA
JP MORGAN
BANCO SANTANDER DE NEGOCIOS
Banks and Credit Entities
FIDUPREVISORA
PORVENIR AFP
PROTECCIÓN AFP
FIDUBOGOTÁ
FIDUCIARIA BANCOLOMBIA
Pension Funds and Trusts
BVC Derivatives Market Members
CCIONES Y VALORES
ALIANZA VALORES
ADCAP
BTG PACTUAL
CIA PROFESIONALES DE BOLSA
ULTRASERFINCO
BANCOLDEX
CORREDORES DAVIVIENDA
CREDICORP CAPITAL
BANCO SANTANDER DE NEGOCIOS
CITIBANK
BANCO COLPATRIA
JP MORGAN CF
BNP PARIBAS CF
Individual Clearing Members (ICM)
BBVA VALORES COLOMBIA
CASA DE BOLSA
SERVIVALORES GNB SUDAMERIS
GLOBAL SECURITIES
VALOR ALTA
HELM COMISIONISTA
VALORES BANCOLOMBIA
FIDUCIARIA BANCOLOMBIA
FIDUCIARIA BOGOTA
FIDUCIARIA LA PREVISORA
CORPBANCA INVESTMENT TRUST
PROTECCIÓN AFP
PORVENIR AFP
Non Clearing Members (NCM)
BANCO AGRARIO
BANCO AV VILLAS
BANCO POPULAR
BANCO DAVIVIENDA
BANCO DE BOGOTA
BANCO DE OCCIDENTE
BANCO GNB SUDAMERIS
BANCOLOMBIA
BBVA
CORPBANCA
CORFICOLOMBIANA
General Clearing Members (GCM)
Brokers, Pension Funds and Financial societies
NCM (13)
Banks and Credit Entities
GCM (11)
Just CCPmembers
Brokers, Banks and Credit Entities
ICM (14)
Clearing and settlement structure CRCC
Derivatives Market Figures
P: Proprietary Trading - T: Third PartiesSource: BVC, @ 31.03.2016
Volumes in COP and number of contracts
COP MM Interest RateExchange RateEquity
Total Market
188.8153.6
0.7
343.2
154106.9
2.9
263.9
253.288.93.9
346.1
258.9127.4
6.8
393.2
223.62011 2012 2013 2014 2015
273.53.7
500.8
176.32016
358.45.4
540.1
Interest RateExchange RateEquity Total Market
-18,4%-30,4%314,3%-23,1%
64,4%-16,8%34,5%31,1%
2,3%43%
74,4%13,6%
-13,6%114,7%-45,6%27,4%
-21,2%31,0%45,9%7,8%
∆ 2012 ∆ 2013 ∆ 2014 ∆ 2015 ∆ 2016∆ Year by Year
Interest Rate futures Equity Futures Exchange Rate futures
Open Interest
Interest RateEquity Exchange Rate Total amount
0
2
4
6
8
10
12
14
16
0
20.000
40.000
60.000
80.000
100.000
120.000
140.000
2012-1
2012-3
2012-5
2012-7
2012-9
2012-11
2013-1
2013-3
2013-5
2013-7
2013-9
2013-11
2014-1
2014-3
2014-5
2014-7
2014-9
2014-11
2015-1
2015-3
2015-5
2015-7
2015-9
2015-11
2016-1
2016-3
Trill
ion
CO
P
Con
trac
ts
Futures Market Volumes Average daily trading volume
Interest Rate Exchange Rate Equity
$ 2.931 $ 17.045
$ 102.680
$ 343.238
$ 263.869
$ 346.136
$ 393.248
$ 500.866
$ 540.265
$ 0
$ 100.000
$ 200.000
$ 300.000
$ 400.000
$ 500.000
2008 2009 2010 2011 2012 2013 2014 2015 2016
Mill
ion
- 10.000 20.000 30.000 40.000 50.000 60.000 70.000 80.000 90.000
100.000 TES: 5,636 OIS: 6,755Equity: 38,169Exchange Rate: 3,404Total: 53,964
1/1/2
012
4/1/2
012
7/1/2
012
10/1/2
012
1/1/2
013
4/1/2
013
7/1/2
013
10/1/2
013
1/1/2
014
4/1/2
014
7/1/2
014
10/1/2
014
1/1/2
015
4/1/2
015
7/1/2
015
10/1/2
015
1/1/2
016
1/1/2
016
Main Products Figures
Securities 31/03/2016Billon COP
T18
T19
T20
T24
TOTAL TES
T30
Other TES
Futures
PFA
ECO
EXI
PFB
CEM
Other Single Stocks Futures
COL
TOTAL EQUITY
TRM
TRS
OIS
TOTAL MARKET
TOTAL FX
$1,462.48
$87.24
$345.75
$327.01
$18.73
$3,377.50
$5,272.98
$290.36
$176.84
$424.73
$387.96
$72.23
$110.34
$10.24
$35.34
$12.03
$21.83
$0.67
$0
$7.11
NOA Equity Futures
$ 0,0
$ 0,5
$ 1,0
$ 1,5
$ 2,0
$ 2,5
$ 3,0
$ 3,5
0 10 20 30 40 50 60 70 80 90
01/2
014
02/2
014
03/2
014
04/2
014
05/2
014
06/2
014
07/2
014
08/2
014
09/2
014
10/2
014
11/2
014
12/2
014
01/2
015
02/2
015
03/2
015
04/2
015
05/2
015
06/2
015
07/2
015
08/2
015
09/2
015
10/2
015
11/2
015
12/2
015
01/2
016
02/2
016
03/2
016
Billi
on
Billi
on
PFA ECO EXI
PFB CEM ISA
PCE GRA GRU
PFG NUT PRE
COL (RA)
$-
$500
$1.000
$1.500
$2.000
$2.500
$3.000
$3.500
$4.000
$4.500
0
200
400
600
800
1000
1200
1400
1600
1800
2000
01/2
014
03/2
014
05/2
014
07/2
014
09/2
014
11/2
014
01/2
015
03/2
015
05/2
015
07/2
015
09/2
015
11/2
015
01/2
016
03/2
016
Billi
on
Billi
on
T18 T19 T20 T24 T30 T26 T16 T22 T28 Future OIS (RA)
NOA Interest Rate Futures
TRM TRS (RA)
NOA Exchange Rate Futures
0
5
10
15
20
25
30
35
40
0 100 200 300 400 500 600 700 800 900
1000
01/2
014
02/2
014
03/2
014
04/2
014
05/2
014
06/2
014
07/2
014
08/2
014
09/2
014
10/2
014
11/2
014
12/2
014
01/2
015
02/2
015
03/2
015
04/2
015
05/2
015
06/2
015
07/2
015
08/2
015
09/2
015
10/2
015
11/2
015
12/2
015
01/2
016
02/2
016
03/2
016
Billi
on
Billi
on
Source: BVC, @ 31.03.2016
Derivatives Market FiguresNotional Outstanding Amount
P: Proprietary Trading - T: Third Parties
TES Futures
Source: BVC, @ 31.03.2016
Open Interest
T18: 1,229T19: 720T20: 1,521T24: 1,392T30: 308Total: 5,636
0
2.000
4.000
6.000
8.000
10.000
12.000
14.000
1/31/2
012
4/30/2
012
7/31/2
012
10/31/2
012
1/31/2
013
4/30/2
013
7/31/2
013
10/31/2
013
1/31/2
014
4/30/2
014
7/31/2
014
10/31/2
014
1/31/2
015
4/30/2
015
7/31/2
015
10/31/2
015
1/31/2
016
T18 T19 T20 T24 T30 T26 T16 T22 T28 TEL TEM TES
Con
trac
ts
0
2
4
6
8
10
12
14
0
10.000
20.000
30.000
40.000
50.000
201
2-1
201
2-3
201
2-5
201
2-7
201
2-9
201
2-11
201
3-1
201
3-3
201
3-5
201
3-7
201
3-9
201
3-11
201
4-1
201
4-3
201
4-5
201
4-7
201
4-9
201
4-11
201
5-1
201
5-3
201
5-5
201
5-7
201
5-9
201
5-11
201
6-1
201
6-3
Trill
ion
CO
P
Con
trac
ts TES Futures Market
Otros T19 T18 T24 T16 TEL TEM TES T20
CREDICORP P
CREDICORP T
BTG PACUAL P
BTG PACTUAL T
BANCO DAVIVIENDA P
BANCO AGRARIO P
OTHERS
BBVA P
Market share by volume at march 2016Interest Rate futures
27%
10%
7%
10% 17%
14%
6%
5%
37%
14%
6%
5%
21%
Market Makers Program
The conditions that assure its purpose are:
A 70% presence in the month trading sessions, with 10 daily measurements of three conditions:
Trading of 5 Specific Reference instruments of the Market Makers Program (16, 18, 19, 20, 24, 26, 28, 30).
Bid-Offer Spread (from 0.2 to 1 point of price as a function of the bond maturity).
A minimum trading of 10 contracts for TES maturity > 5 years and of 20 contracts for TES maturity < 5 years, simultaneously in a bid and offer book order price.
1.
2.
3.
The BVC has a market makers program designed to promote liquidity, assure the price formation and promote the development of new products.In the TES Futures of Specific Reference market makers program, the Derivatives Market has the following partners:
P: Proprietary Trading - T: Third Parties
OIS Futures
Source: BVC, @ 31.03.2016
49%
32%
13%
4%
1% 1% 0%
55%
25%
7%
5% 5% 3%
I03
I01
I06
I12
I18
I19
Volume by maturity
Open Interest and NOA
0
500
1000
1500
2000
2500
3000
3500
4000
4500
0
1.000
2.000
3.000
4.000
5.000
6.000
7.000
8.000
9.000
11/1/2
01
12/1/2
01
1/1/2
015
2/1/2
015
3/1/2
015
4/1/2
015
5/1/2
015
6/1/2
015
7/1/2
015
8/1/2
015
9/1/2
015
10/1/2
01
11/1/2
01
12/1/2
01
1/1/2
016
2/1/2
016
3/1/2
016
Billi
ons
of C
OP
Con
trac
ts I01H99F
I03H99F
I06H99F
I09H99F
I12H99F
I18H99F
NOA (ED)
Market Share by Volume
BANCO DAVIVIENDA
BBVA
CREDICORP
BANCOLOMBIA
BTG PACTUAL
ULTRASERFINCO
Type of participant
PROPIETARY
THIRD PARTIES
99%
1%
P: Proprietary Trading - T: Third PartiesSource: BVC, @ 31.03.2016
Exchange Rate Futures
Market share by volume at march 2016Exchange Rate futures
14 of the 24 members have traded
CREDICORP P
CREDICORP T
ALIANZA P
ALIANZA T
ADCAP COLOMBIA P
ADCAP COLOMBIA T
BTG PACTUAL P
BTG PACTUAL T
ULTRASERFINCO P
ULTRASERFINCO T
OTHERS
17%
28%
24% 12%
12%
6%
11%
13%
11% 7%
6%
6%
7%
3%
3%
17%
Open Interest
TRM Futures TRS Futures
TRM: 2,164TRS: 1,240Total: 3,404
0
5000
10000
15000
20000
1/31/2
012
4/30/2
012
7/31/2
012
10/31/2
012
1/31/2
013
4/30/2
013
7/31/2
013
10/31/2
013
1/31/2
014
4/30/2
014
7/31/2
014
10/31/2
014
1/31/2
015
4/30/2
015
7/31/2
015
10/31/2
015
1/31/2
016
Con
trac
ts
TRS TRM Exchange Rate
0
2
4
6
8
10
0
10.000
20.000
30.000
40.000
50.000
60.000
70.000
2012-1
2012-3
2012-5
2012-7
2012-9
2012-11
2013-1
2013-3
2013-5
2013-7
2013-9
2013-11
2014-1
2014-3
2014-5
2014-7
2014-9
2014-11
2015-1
2015-3
2015-5
2015-7
2015-9
2015-1
1
2016-1
2016-3
Trill
ion
CO
P
Con
trac
ts
Exchange Rate Futures Market
P: Proprietary Trading - T: Third PartiesSource: BVC, @ 31.03.2016
Equity Futures
Open Interest
Market share by volume at march 2016Equity futures
12 of the 15 members have traded
ULTRASERFINCO P
ULTRASERFINCO T
CORREDORES DAVIVIENDA P
CORREDORES DAVIVIENDA T
CREDICORP P
CREDICORP T
BTG PACTUAL P
BTG PACTUAL T
OTHERS
VALORES BANCOLOMBIA P
VALORES BANCOLOMBIA T
16%
31%
20%
14%
13%
11%
14%
7%
14% 5%
9%
9%
4%
6%
4% 12%
Equity Futures Market
Otros COL GRA PFA EXI PFB ECO
0
50
100
150
200
250
300
350
400
450
500
2012-1
2012-3
2012-5
2012-7
2012-9
2012-11
2013-1
2013-3
2013-5
2013-7
2013-9
2013-11
2014-1
2014-3
2014-5
2014-7
2014-9
2014-11
2015-1
2015-3
2015-5
2015-7
2015-9
2015-11
2016-1
2016-0
3
Billi
on C
OP
0
10000
20000
30000
40000
50000
60000
70000
80000
1/31/2
012
4/30/2
012
7/31/2
012
10/31/2
012
1/31/2
013
4/30/2
013
7/31/2
013
10/31/2
013
1/31/2
014
4/30/2
014
7/31/2
014
10/31/2
014
1/31/2
015
4/30/2
015
7/31/2
015
10/31/2
015
1/31/2
016
PFA ECO EXI PFB CEM ISA PCE GRA GRU PFG NUT PRE COL
PFA: 8,830ECO: 27,397EXI: 783PFB: 829CEM 57COL: 0Total: 46,465
Con
trac
ts
COLCAP index FuturesMarket makers program
The conditions that assure its purpose are:
An 80% presence in the month trading sessions, with 10 daily measurements of 3 conditions:
Orders in the outright COLCAP future contract.
Bid-Offer Spread (20 ticks or 10 price points).
A minimum trading of 10 contracts simultaneously in a bid and offer book order price.
1.2.3.
The BVC has a market makers program designed to promote liquidity, assure the price formation and promote the development of new products.
In the Futures market makers program of COLCAP index, the Derivatives Market has the following partner:
Source: BVC, @ 31.03.2016
Type of Participant and Market
Since the beginning of 2016, 90,7% of total volume traded was Exchange Registered.
Exchange Traded Volume as a share of Total Volume
Interest Rate and FX Futures Interest Rate Future FX Futures
0%
20%
40%
60%
80%
100%
201
2-01
201
2-03
201
2-05
201
2-07
201
2-09
201
2-11
201
3-01
201
3-03
201
3-05
201
3-07
201
3-09
201
3-11
201
4-01
201
4-03
201
4-05
201
4-07
201
4-09
201
4-11
201
5-01
201
5-03
201
5-05
201
5-07
201
5-09
201
5-11
201
6-01
201
6-03
38,9% of traded volume in 2016 has been done by third parties participants.
Volume Share of Third Parties Participants
Total Futures Interest Rate Futures FX Futures Equity Future
0%
20%
40%
60%
80%
100%
201
2-01
201
2-03
201
2-05
201
2-07
201
2-09
201
2-11
201
3-01
201
3-03
201
3-05
201
3-07
201
3-09
201
3-11
201
4-01
201
4-03
201
4-05
201
4-07
201
4-09
201
4-11
201
5-01
201
5-03
201
5-05
201
5-07
201
5-09
201
5-11
201
6-01
201
6-03
Month Exchange Registered
Exchange Traded
2016-01 85.7% 14.3%
2016-02 92.4% 7.6%
2016-03 94.0% 6.0%
Controls and Limits
Prices
Booking, portfolio management
Prices
Proprietary
Mutual Funds
Third Parties
Front
Middle
Back
Risk
AccountingValuation
Price Providers
Brokers, Pension Funds and Financial societies
NCM (13)
Banks and Credit Entities
GCM (11)
Brokers, Banks and Credit Entities
ICM (15)
Futures Market infrastructure
Creation and setting of standarized futures.
Nasdaq´s X-Stream platform administration.
Ensure correct price formation, transparency and behaviour of the market.
Controls and manages counterparty risk.
Ensure clearing and settlement processes.
Collateral daily management and Profit and Loss controls.
BVC and CCP role
Provides training and assistance about the different products to the market participants
Product´s Other Aspects
*Depends on CCP definitions, updated 14.07.2015.
Please refer to Sections 6.3.1 and 6.3.2 of the ‘Circular Única’ of CCP to see the detail on the collaterals and its haircuts.
CCP accepts the following collaterals:
Cash in Colombian pesos.
Fixed Income TES and UVR according to the list presented below.
Futures listed shares.
1.
2.
3.
Haircut Ticker*
Nemotécnico Haircut
TFIP10040522
TFIP10281015
TFIP11241018
TFIP15240720
TFIP15260826
TFIP16280428
TFIT01030715
TFIT02010716
TFIT03111115
TFIT06110919
TFIT06211118
TFIT07150616
TFIT10040522
TFIT10281015
TFIT11241018
TFIT15240720
TFIT15260826
TFIT16240724
TFIT16280428
TFIT16180930
TUVT08170517
TUVT06170419
TUVT10100321
TUVT17230223
TUVT20250333
32,23%
2,00%
9,70%
2,56%
17,06%
7,89%
2,00%
2,00%
2,00%
2,00%
2,00%
2,00%
16,11%
2,00%
4,85%
2,00%
8,53%
3,32%
3,94%
3,79%
4,27%
2,00%
2,00%
13,14%
4,59%
Haircut*
Nemotécnico Haircut
ECOPETROL
PFBCOLOM
PREC
GRUPO SURA
ÉXITO
NUTRESA
ISA
PREFERENCIAL AVAL
CEMENTOS ARGOS
PREFERENCIALCEMENTOS ARGOS 50%
PREFERENCIALGRUPO SURA
GRUPO ARGOS
50%
50%
50%
50%
75%
50%
50%
50%
50%
50%
50%
Leverage and Collateral
Strategies
A really good alternative for importers and exporters to hedge against exchange rate fluctuations.
Leverage allows a greater efficiency when using a hedging strategy.
Reduce price movements market risk for the different assets traded on the Colombian Spot Market.
Since the begining of the trade you can set the price to buy or sell an asset regardless on the fluctuation of prices.
HEDGING STRATEGY
Hedging
Speculative strategies are powered by futures leverage. This allows higher yields while a higher risk is taken.
Look for the highest capital profit according to your market spectations
Take advantage of the market opportunities regardless of the trend.
SPECULATIVE STRATEGY
Speculative Trades
Capture market imperfections through a simultaneous operation in two markets.
Possibility of arbitrage between the future market and spot market or between the future market and the OTC derivatives market.
Investment strategy without any risk exposure and the capital efficiency of using leverage and CCP collateral netting.
ARBITRAGE STRATEGY
Arbitrage
New Products
The OIS Future is a new instrument designed to manage short term interest rate risk. It was created under the same structure of the OTC market but it also has the added values of the standardized market.
a. Daily traiding of specific maturities:1, 3, 6, 9, 12 and 18 months.b. Settlement at expirationc. Efficiency in the management of collateral: netting and no daily adjustments of P&L.
Performance:
Structure:
SellerFixed Rate
Floating Rate
Nominal COP 500.000.000 Buyer
IBR Zero Coupon Curve
Historical leg
Valuation date
Proyected leg
Rp= 1+ -1360n
te-1 ri * di
360i=ts
[ [
OIS Future
OTC Products
As a result of the global regulatory changes, in Colombia, through the Decree 4567 of 2011, the Superintendencia Financiera requires the registration of every derivatives transaction carried out by entities supervised in the OTC market.
In order to implement an agile and efficient OTC registration system which allows the fulfillment of the obligation, the BVC and Bloomberg have made an alliance to offer its Registration OTC platform.
Entity 1
Entity 2
1. Entities trades OTC
2. Entities make the register of the operation through the Bloomberg Platform
3. The operation is sent to the BVC
4. BVC reports the operation to the SFC
OTC registration
Information Tools
Official BVC Website Traders BVC WebsiteDerivatives MarketMonthly Report
Web
Vend
ors
News and newsletters Product´s Standardizedfeatures
Market data onreal-time or lagged
e-BV
C
Market members support
Nicolás Mayorga M.Derivatives Manager
[email protected]: 3139800 (1111)
Anton GlatzDerivatives Director [email protected]: 3139800 (1550)
Diego BlancoDerivatives Professional
[email protected]: 3139800 (1265)
Celso Guevara C.Operations Manager
[email protected]: 3139800 (2033)
Ross MacDonaldOperations Leader
[email protected]: 3139800 (2015)
Derivatives Team Operations Team
Sandra TorrenteSales Manager
[email protected]: 3139800 (1114)
Carlos SuárezSales Director
[email protected]: 3139800 (1138)
Juan Carlos TéllezSales Director
[email protected]: 3139800 (1535)
Sales Team
Julián LeónDerivatives Professional
[email protected]: 3139800 (1227)
Juliana PrietoBusiness [email protected]: 3139800 (2014)
The Bolsa de Valores de Colombia SA expressly states that this material has just educational and informational purposes. This document does not contain any advice on the operation of the derivatives market and the implementation of these mentioned strategies is responsibility of those who use them and not responsibility of the BVC. The BVC rules that regulate the derivatives market and its norms constitute the official source to consult the current contract specifications and its applicable regulations.
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