
a1db298dcf2fa84fbe1a8c0953d8308d.ppt
- Количество слайдов: 28
BM&FBOVESPA MARKET INFRASTRUCTURE: A VERTICALLY INTEGRATED MODEL Paulo Oliveira Chile – Santiago October 2008
1 BM&FBOVESPA INFRASTRUCTURE MODEL 2 BM&FBOVESPA DERIVATIVES INFRASTRUCTURE 3 AN INTEGRATED INFRASTRUCTURE FOR SECURITIES TRADING
Vertically integrated multi-asset class exchange TRADING PLATFORMS AND REGISTRATION SYSTEMS Spot Markets CASH § § § § Derivatives Markets FUTURES & OPTIONS Stocks Funds Corporate Bonds Government Bonds US Dollar Gold Commodities § § § § Equities Interest Rate Currencies Indices Metals Agricultural Commodities Energy CLEARINGS AND CENTRAL SECURITIES DEPOSITORY Securities Settlement Systems Central Counterparty SETTLEMENT BANK Custody Services
Trading, registration and clearing model Derivatives Open outcry Electronic trading OTC registration Derivatives Clearinghouse FX Cash Market Open outcry OTC registration FX Clearinghouse Stocks and Corporate Bonds Electronic Trading OTC Registration CBLC Government Bonds Electronic trading OTC registration Securities Clearinghouse
1 BM&FBOVESPA INFRASTRUCTURE MODEL 2 BM&FBOVESPA DERIVATIVES INFRASTRUCTURE 3 AN INTEGRATED INFRASTRUCTURE FOR SECURITIES TRADING
Derivatives clearinghouse focus on risk management ü Vertical line of protection: Customer, Broker and Clearing Member ü Margin requirements are based on the worst case scenario for the customers’ net portfolio ü Margin reduction for diversified portfolios – offsetting opposite exposures to common risk factors ü Intraday risk is captured via the Intraday Risk Limit ü Stress testing based on conservative scenarios ü High degree of transparency to market participants and authorities – all risk models and stress scenarios are publicly available ü Credit risk mitigation through concentration limits, additional margin calls, and cumulative loss monitoring ü Liquidity risk mitigation through six different previously committed credit facilities and access to the Central Bank discount window through BM&F Settlement Bank
Safeguard structure for the derivatives market BM&FBOVESPA Clearing Member Brokerage House Customer’s Costumer Default Customer
Derivatives clearinghouse sound safeguards BM&FBOVESPA Tangible Assets USD 1. 49 billion Clearing Fund (FLO) USD 157 million Special Clearing Member Fund (FEMEC) USD 19 million Agricultural Market Trading Fund (FOMA) USD 24 million Clearing Member Proprietary Collateral Clearing Member USD 47 million Brokerage House Proprietary Collateral Customer Collateral Guarantee Fund Brokerage House USD 45 billion Customer Operational Performance Fund (FDO) USD 530 million
1 BM&FBOVESPA INFRASTRUCTURE MODEL 2 BM&FBOVESPA DERIVATIVES INFRASTRUCTURE 3 AN INTEGRATED INFRASTRUCTURE FOR SECURITIES TRADING
Overview: our model ü Conception based on an integrated model ü Central securities depository ü Securities settlement system ü Central depository ü Clearing and settlement activities ü Central counterparty function At the same structure ü Fully integrated to the exchange ü Trading activities directly link with the clearing and settlement system ü Straight through processing
CBLC’s overview: corporate facts ü Clearing and Depository Corporation for fixed income, equities and equity derivatives ü For-profit company owned by BM&F BOVESPA S. A. ü Self regulatory corporation under the supervision of the Brazilian Securities and Exchange Commission (CVM) and the Brazilian Central Bank.
Brazilian Clearing and Depository corporation - CBLC CENTRAL SECURITIES DEPOSITORY SECURITIES SETTLEMENT SYSTEM CENTRAL COUNTERPARTY
Depository services for securities
Depository services for equities, corporate bonds, REITs, assetbacked securities and other instruments Main Features ü Full Dematerialization ü Daily Reconciliation ü Fiduciary Ownership ü Proxy Statements ü Account Segregation ü Corporate Actions
Depository services Securities Under CBLC’s Depository Services - (USD billion) 800 693. 4 699. 6 400 450. 5 200 320. 1 0 2005 Exchange rate as of June 30 th, 2008 2006 2007 2008* * June 2008
Clearance & Settlement services for securities
Clearance & settlement services STP – Straight Through Processing Depository Services for equities, corporate bonds, REITs, asset-backed securities and other instruments Equities Derivatives Real Time CBLC Fixed Income
Clearance & settlement services GROSS SETTLEMENT ü Public offerings, initial public offerings, privatizations, special services and fixed income instruments ü SFI-DVP Model 1 (BIS) SETTLEMENT CYCLE Equities T+0 Fixed Income T+0 T+n
Clearance & settlement services NET SETTLEMENT ü Multilateral netting across different markets and instruments (equities, derivatives and fixed income instruments) üSFI-DVP Model 3 (BIS) SETTLEMENT CYCLE Equities - Cash T+3 T+1 Equities - Derivatives Fixed Income T+0 T+1
Central counterparty and risk management services for securities
Central counterparty Equities Derivatives* Fixed Income Securities Lending ü Trading information is captured on a real-time basis and in a STP fashion ü All trades are previously collateralized STP * Options on stocks CBLC’s Risk Management, Clearing and Depository Services
Layers of protection Special Net Worth CBLC´s Model Settlement Fund Collateralization Participants Requirements Hybrid model: Collateralization and Settlement Fund
Risk management services DEALING WITH FAILURES DELIVERY PAYMENT ü 1 st: Securities Lending ü 1 st: Collaterals posted by the defaulter ü 2 nd: Buy-in Procedures ü 2 nd: Settlement Fund ü Defaulters’ contribution ü Survivors’ contribution ü 3 rd: Special Net Worth
Risk management services RISK ANALYSIS ü Back-tests ü The risk is analyzed by CBLC’s Board month every ü The participants have full access to the ü criteria ü methodology ü risks incurred by CBLC ü The participants also have the same tools and systems CBLC applies to calculate its own risk
Overview …providing creative and safe solutions to the financial market. RATING Very Low Risk Maximum Rate by by Item “Transaction costs and settlement efficiency”
CBLC in the international scenario Fair Access Conditions Transparency Sound Legal Basis CPSS-IOSCO -2001 G-30 - 2003 CPSS-IOSCO - CCP -2004 Segregation of Accounts Delivey vs. Payment Same Day Finality in Central Bank Securities Lending CCP – Risk Management Collateralization and Settlem. Fund Contingency Plan and Backup Site
Advantages of a integrated model ü High level of Straight Through Processing (STP) ü Synergies ü Reaching all post-trade services ü Dealing with failures ü Investors services ü Facilitate the clearing services ü Information pool
www. bmfbovespa. com. br
a1db298dcf2fa84fbe1a8c0953d8308d.ppt