Derivatives Products International and local Context

Transcription

1 Derivatives Market

2 Derivatives Products International and local Context

3 International Context STANDARDIZED DERIVATIVES PRODUCT LINES (15) Futures Options Number of product lines BVC Single Stocks BVC Stock Indexes ETF 0 Shangai Buenos Aires Tel.Aviv España Malaysia BVC Tailandia Korea India Japón Euronext Moscú Istambul CME MexDer Bovespa Eurex Johannesburgo BVC ST Interest Rate Volume by product line BVC LT Interest Rate 100% 90% 80% Options 70% BVC Currencies 60% 50% 40% Commodities 30% 20% Futures 10% BVC Others (Exotic, Real Estate, CPI) 0% 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 Source: WFE

4 Standardized Futures in Colombia Launching Strategy and Milestones

5 Derivatives Market Milestones OTC trend and Algotrading* Market adjustment Spot market complement 2010 Single Stocks Futures 2011 Stock Index Futures Indexation 2012 IBR Futures Inflation Futures 2013 Single Bond Futures Overnight Index Swap 2016 Options Market DMA** 2008 Derivatives Market Launch USD Futures Bond Basket Futures The BVC Derivatives Market was launched in 2008 providing a complement for spot markets and offering a new tool for risk management. *AlgoTrading: Algorithmic Trading - **DMA: Direct Market Access.

6 Local Context: Listed products Equity Futures 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 Interest Rate Futures 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) Exchange Rate Futures TRM TRS OTC Products OTC derivatives repository

7 Listed Futures specifications FUTURE TES FUTURE TES Mnemonic identifier Underlying Contract Size TES - TEM - TEL TES Basket COP Mnemonic identifier Underlying Contract Size T16 - T18 - T19 - T20 - T22 - T24 - T26 - T28 T30 Single TES COP Contract Months 2 quarterly contracts (H, M, U, Z) and 2 monthly Contract Months 2 quarterly contracts (H, M, U, Z) and 2 monthlyes Tick Size Tick Size Settlement method Physical Settlement method Cash Expiration date First friday of the expiration month Expiration date First friday of the expiration month Last trading day Trading hours 1 work day before the expiration date 8:00 a.m (L) - 4:00 p.m (L) Last trading day Trading hours 1 work day before the expiration date 8:00 a.m (L) - 4:00 p.m (L) Total Margin on Position* S=2%; M=3,5%; L=5% Total Margin on Position* 0,5% - 8% based on the modified duration (L): Colombia time. (NY): New York time. * Subject to change by CCP

8 Listed Futures Specification FUTURE Dollar / USD FX Index Futures Stock Mnemonic Identifier TRM - TRS COL ECO-PFB-PRE-PFG-EXI-NUT- GRA-ISA-PFA-CEM-GRU-PCE Underlying TRM COLCAP COLCAP index stocks Contract Size TRM USD TRS USD COP by index stock Contract Months H, M, U, Z (4) and 2 monthly contracts H, M, U, Z (4) H, M, U, Z (4) Tick Size PFB-PRE-PFG-EXI-NUT-GRA-ISA-GRU = 5 ECO-PFA-CEM-PCE = 1 Settlement method Cash Cash Phisical (ECO, PFB, PRE, GRU) Cash (todos los demás contratos) Expiration date Second wednesday of the expiration month Third friday of the expiration month Physical: the fourth wednesday of the expiration month Cash: Third friday of expiration month Last day of trading Expiration date Expiration date Physical: 3 days before expiration date Cash: expiration date Trading hours 8:00 a.m (L) - 4:30 p.m (L) 8:00 a.m. (L) - 4:00 p.m (NY) 8:00 a.m. (L) - 4:00 p.m (NY) Total margin on position* 7% 12% ECO 14%- PRE 45% - PFB 12% - EXI 13% - NUT 11% - GRA 12% - ISA 11% - PFA 11% - CEM 15% - GRU 13% - PCE 15% (L): Colombia time. (NY): New York time. * Subject to change by CCP.

9 Characteristics of the listed Futures in the BVC FUTURE Overnight Index Swap INFLATION Mnemonic Identifier IB CPI Underlying IBR overnight Monthly IPC Contract Size COP COP Contract Months 6 daily contracts at months 3 daily contracts Tick Size Settlement method Cash Cash Expiration date En months 1 work day after the last day of trading Last Trading Date N.A. Fifth day of the expiration month Trading hours 8:00 a.m (L) - 1:00 p.m (L) 8:00 a.m (L) - 1:00 p.m (L) Total Margin on Position* 1 and 3 months (0,11%) - 6 (0,23%) -9 (0,34%) - 12 (0,45%) -18 (0,68%) 0.5% (L): Colombia time. (NY): New York time. * Subject to change by CCP.

10 BVC Derivatives Market Members Brokers 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 Banks and Credit Entities 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 Pension Funds and Trusts FIDUPREVISORA PORVENIR AFP PROTECCIÓN AFP FIDUBOGOTÁ FIDUCIARIA BANCOLOMBIA Overall the BVC Derivatives Market has 33 members.

11 Clearing and settlement structure CRCC Individual Clearing Members (ICM) Non Clearing Members (NCM) General Clearing Members (GCM) 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 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 BANCO AGRARIO BANCO AV VILLAS BANCO POPULAR BANCO DAVIVIENDA BANCO DE BOGOTA BANCO DE OCCIDENTE BANCO GNB SUDAMERIS BANCOLOMBIA BBVA CORPBANCA CORFICOLOMBIANA ICM (14) NCM (13) GCM (11) Just CCPmembers Brokers, Banks and Credit Entities Brokers, Pension Funds and Financial societies Banks and Credit Entities

12 Derivatives Market Figures

13 Volumes in COP and number of contracts Contracts Source: Equity Exchange Rate Interest Rate Total amount Open Interest TES: 5,636 OIS: 6,755 Equity: 38,169 Exchange Rate: 3,404 Total: 53,964 1/1/2012 4/1/2012 Futures Market Volumes /1/ /1/2012 1/1/2013 4/1/2013 7/1/ /1/2013 1/1/2014 4/1/2014 7/1/2014 P: Proprietary Trading - T: Third Parties /1/2014 1/1/2015 4/1/2015 7/1/ /1/2015 1/1/2016 1/1/2016 Interest Rate futures Equity Futures Exchange Rate futures Trillion COP $ $ $ $ $ $ 0 COP MM Interest Rate Exchange Rate Equity Million Total Market Year by Year Interest Rate Exchange Rate Equity Total Market $ $ Average daily trading volume $ $ Interest Rate Exchange Rate Equity $ $ $ $ $ ,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%

14 Main Products Figures

15 Derivatives Market Figures Notional Outstanding Amount Securities T18 T19 T20 T24 T30 Other TES Futures TOTAL TES PFA ECO EXI PFB CEM COL 31/03/2016 Billon COP $ $ $ $ $72.23 $ $1, $10.24 $35.34 $12.03 $21.83 $0.67 $0 NOA Equity Futures NOA Interest Rate Futures /2014 Billion 02/ / / / / / / / / / / / / / / / / / / / / / / / / /2016 Billion Billion 01/ / /2014 PFA ECO EXI 07/ /2014 PFB CEM ISA 11/ /2015 PCE GRA GRU 03/ /2015 PFG NUT PRE 07/ /2015 COL (RA) 11/ / /2016 $ 3,5 $ 3,0 $ 2,5 $ 2,0 $ 1,5 $ 1,0 $ 0,5 $ 0,0 $4.500 $4.000 $3.500 $3.000 $2.500 $2.000 $1.500 $1.000 $500 $- Billion Other Single Stocks Futures TOTAL EQUITY TRM TRS TOTAL FX OIS TOTAL MARKET $7.11 $87.24 $ $18.73 $ $3, $5, NOA Exchange Rate Futures T18 T19 T20 T24 T30 T26 T16 T22 T28 Future OIS (RA) Billion 01/ / / / / / / / / / / / / / / / / / / / / / / / / / /2016 TRM TRS (RA) Billion Source:

16 TES Futures Contracts TES Futures Market Trillion COP Market share by volume at march 2016 Interest Rate futures % Otros T19 T18 T24 T16 TEL TEM TES T % 6% 5% 6% 27% 10% 37% Open Interest 14% 14% 7% Contracts T18: 1,229 T19: 720 T20: 1,521 T24: 1,392 T30: 308 Total: 5,636 CREDICORP P CREDICORP T BTG PACUAL P BTG PACTUAL T 10% 17% BANCO DAVIVIENDA P BBVA P BANCO AGRARIO P OTHERS 0 1/31/2012 4/30/2012 7/31/ /31/2012 1/31/2013 4/30/2013 7/31/ /31/2013 1/31/2014 4/30/2014 7/31/ /31/2014 1/31/2015 4/30/2015 7/31/ /31/2015 T18 T19 T20 T24 T30 T26 T16 T22 T28 TEL TEM TES 1/31/2016 Source: P: Proprietary Trading - T: Third Parties

17 Market Makers Program 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: 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.

18 OIS Futures Volume by maturity Market Share by Volume 5% 5% 3% 1% 1% 0% 4% 7% I03 I01 13% BANCO DAVIVIENDA BBVA I06 49% CREDICORP 55% I12 BANCOLOMBIA 25% I18 I19 32% BTG PACTUAL ULTRASERFINCO 1% Type of participant PROPIETARY Contracts I01H99F I03H99F I06H99F I09H99F I12H99F I18H99F NOA (ED) Open Interest and NOA Billions of COP THIRD PARTIES % /1/201 12/1/201 1/1/2015 2/1/2015 3/1/2015 4/1/2015 5/1/2015 6/1/2015 7/1/2015 8/1/2015 9/1/ /1/201 11/1/201 12/1/201 1/1/2016 2/1/2016 3/1/ Source: P: Proprietary Trading - T: Third Parties

19 Exchange Rate Futures Exchange Rate Futures Market Market share by volume at march 2016 Exchange Rate futures Contracts Contracts Open Interest TRS TRM Exchange Rate TRM: 2,164 TRS: 1,240 Total: 3, Trillion COP 3% 6% 3% 7% 12% 6% 6% 12% CREDICORP P CREDICORP T ALIANZA P 17% 7% 17% 24% 11% BTG PACTUAL P BTG PACTUAL T ULTRASERFINCO P 28% 13% 11% 5000 ALIANZA T ULTRASERFINCO T 0 1/31/2012 4/30/2012 7/31/ /31/2012 1/31/2013 4/30/2013 7/31/ /31/2013 1/31/2014 4/30/2014 7/31/ /31/2014 TRM Futures TRS Futures 1/31/2015 4/30/2015 7/31/ /31/2015 1/31/2016 ADCAP COLOMBIA P OTHERS ADCAP COLOMBIA T 14 of the 24 members have traded Source: P: Proprietary Trading - T: Third Parties

20 Equity Futures Billion COP Equity Futures Market Otros COL GRA PFA EXI PFB ECO Open Interest % 13% 4% 11% 6% 9% Market share by volume at march 2016 Equity futures 12% 16% 31% 7% 14% 20% Contracts 1/31/2012 4/30/2012 PFA: 8,830 ECO: 27,397 EXI: 783 PFB: 829 CEM 57 COL: 0 Total: 46,465 7/31/ /31/2012 1/31/2013 4/30/2013 7/31/ /31/2013 1/31/2014 4/30/2014 7/31/ /31/2014 1/31/2015 4/30/2015 7/31/ /31/2015 1/31/2016 9% 14% 5% CREDICORP P CREDICORP T BTG PACTUAL P BTG PACTUAL T ULTRASERFINCO P ULTRASERFINCO T 14% VALORES BANCOLOMBIA P VALORES BANCOLOMBIA T CORREDORES DAVIVIENDA P CORREDORES DAVIVIENDA T OTHERS PFA ECO EXI PFB CEM ISA PCE GRA GRU PFG NUT PRE COL 12 of the 15 members have traded Source: P: Proprietary Trading - T: Third Parties

21 COLCAP index Futures Market makers program 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: 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.

22 Type of Participant and Market Since the beginning of 2016, 90,7% of total volume traded was Exchange Registered. 100% 80% 60% Exchange Traded Volume as a share of Total Volume Month Exchange Registered Exchange Traded 40% 20% % 14.3% 0% % 7.6% % 6.0% Interest Rate and FX Futures Interest Rate Future FX Futures Volume Share of Third Parties Participants 100% 80% 60% 40% 20% 0% ,9% of traded volume in 2016 has been done by third parties participants. Total Futures Interest Rate Futures FX Futures Equity Future Source:

23 Futures Market infrastructure Proprietary Third Parties Mutual Funds Front Booking, portfolio management Controls and Limits Prices Risk Middle Price Providers Prices Valuation Back Accounting ICM (15) NCM (13) GCM (11) Brokers, Banks and Credit Entities Brokers, Pension Funds and Financial societies Banks and Credit Entities

24 BVC and CCP role Creation and setting of standarized futures. Controls and manages counterparty risk. Nasdaq s X-Stream platform administration. Ensure clearing and settlement processes. Ensure correct price formation, transparency and behaviour of the market. Collateral daily management and Profit and Loss controls. Provides training and assistance about the different products to the market participants

25 Product s Other Aspects

26 Leverage and Collateral Haircut Ticker* Haircut* Nemotécnico Haircut Nemotécnico Haircut TFIP ,23% ECOPETROL 50% TFIP ,00% PFBCOLOM 50% TFIP ,70% PREC 75% CCP accepts the following collaterals: Cash in Colombian pesos. Fixed Income TES and UVR according to the list presented below. TFIP TFIP TFIP TFIT TFIT TFIT TFIT TFIT ,56% 17,06% 7,89% 2,00% 2,00% 2,00% 2,00% 2,00% GRUPO SURA ÉXITO NUTRESA ISA PREFERENCIAL AVAL CEMENTOS ARGOS PREFERENCIAL CEMENTOS ARGOS 50% 50% 50% 50% 50% 50% 50% 3. Futures listed shares. TFIT TFIT TFIT TFIT ,00% 16,11% 2,00% 4,85% PREFERENCIAL GRUPO SURA GRUPO ARGOS 50% 50% Please refer to Sections and of the Circular Única of CCP to see the detail on the collaterals and its haircuts. TFIT TFIT TFIT TFIT TFIT ,00% 8,53% 3,32% 3,94% 3,79% TUVT ,27% TUVT ,00% TUVT ,00% TUVT ,14% TUVT ,59% *Depends on CCP definitions, updated

27 Strategies

28 Hedging 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. A really good alternative for importers and exporters to hedge against exchange rate fluctuations. Leverage allows a greater efficiency when using a hedging strategy.

29 Speculative Trades SPECULATIVE STRATEGY Look for the highest capital profit according to your market spectations Take advantage of the market opportunities regardless of the trend. Speculative strategies are powered by futures leverage. This allows higher yields while a higher risk is taken.

30 Arbitrage ARBITRAGE STRATEGY 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.

31 New Products

32 [ OIS Future 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. Seller Fixed Rate Nominal COP Floating Rate Buyer Performance: [ te-1 R p = n 360 i=ts r i * d i IBR Zero Coupon Curve Historical leg Proyected leg Structure: Valuation date a. Daily traiding of specific maturities:1, 3, 6, 9, 12 and 18 months. b. Settlement at expiration c. Efficiency in the management of collateral: netting and no daily adjustments of P&L.

33 OTC Products

34 OTC registration 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 3. The operation is sent to the BVC 1. Entities trades OTC 2. Entities make the register of the operation through the Bloomberg Platform Entity 2 4. BVC reports the operation to the SFC

35 Information Tools Web Official BVC Website Derivatives Market Monthly Report Traders BVC Website Market data on real-time or lagged News and newsletters Product s Standardized features Vendors e-bvc

36 Market members support Derivatives Team Operations Team Sales Team Nicolás Mayorga M. Derivatives Manager Tel: (1111) Anton Glatz Derivatives Director Tel: (1550) Diego Blanco Derivatives Professional Tel: (1265) Julián León Derivatives Professional Tel: (1227) Celso Guevara C. Operations Manager Tel: (2033) Ross MacDonald Operations Leader Tel: (2015) Juliana Prieto Business Professional Tel: (2014) Sandra Torrente Sales Manager Tel: (1114) Juan Carlos Téllez Sales Director Tel: (1535) Carlos Suárez Sales Director Tel: (1138)

37 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. Releases

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