BOVESPA Segment

29
High Frequency Trading (HFT)
HFT will play an important role in both cash and derivatives markets
HFT – BM&F Segment
(ADTV in thousands of contracts and mkt. share)
HFT – Bovespa Segment
(ADTV in BRL billions and mkt. share)
6.0%
301 4.8% 4.7%
4.9% 251 251
3.8% 93 3.6% 10
207 42 208
4.8% 188
17 95
50 93
151
90
77
82
2.8%
53
45
81
41 43 38
1.0%
43
22 44 155
0.3% 32 18
4 20
41 50 69 74 77
101
8 7
66
4 5
7.3% 8.7%
1,80
481 474
28 33
8.3%
1,60
408
27 6.4%
1,40
203
218
26
3.6% 6.7% 7.5%
334
5.4%
6.9% 5.8% 1,20
300
274 11
167
4.2% 3.9% 8
28
21
3.5%
222 222 239 1,00
239
18 4 113
133
0,80
16 18 102
179
88
92
66
90
61 120
17
131
0,60
90 88
45 49
50
68
42
49
29
51 48
65 65 67 82 118 101 126 162 42 41 0,40
155 153 124 0,20
85 88
-
6.6%
8.7% 8.6%
7.6%
0.96
1.00 0.97
5.7% 5.9% 5.9% 0.90
0.19
0.15
0.73 0.27 0.75 0.78
0.15
4.5% 4.0% 0.29
0.26
0.21
0.14 0.21
0.56
0.25
0.50 0.35
0.20
0.26
0.17
0.25
0.27
0.22 0.16
0.51 0.49 0.56
0.35
0.14 0.17
0.26
0.34 0.32
11.4%
1.68
0.20
0.38
10.3%
1.46
1.30 0.16 1.34
0.16
0.17
0.28
0.31
0.26
10.4%
11.5%
1.10
1.02
0.91
0.82
14
12
6,
4,
2,
0,
9.3% 10
1.15 8.7%
0.11 1.09
8,
0.21 0,30
0.83 0.79
Nov-10 Dec-10 Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12
FX Equities Mini contracts Interest Rates in BRL % in Overall Volume
Co-location – BM&F Segment
(ADTV in thousands of contracts and mkt. share)
ADTV (Foreigners) ADTV (Individuals) ADTV (Institutionals) % of overall market
Co-location – Bovespa Segment
(ADTV in BRL billions and mkt. share)
4Q11: 73% of HFT trading is via co-location
6.4%
7.2%
4Q11: 63% of HFT trading is via co-location
4.7% 5.4%
5.6%
6.0%
5.3%
5.0%
2.9%
2.8%
2.7%
2.1%
112 162 173 186
5.6%
4.8%
246 232
6.2%
263
434
408
6.1%
314
4.2% 5.9% 5,2%
225 244
271
1.0%
126
2.0% 2.6%
211
257 218 218 248
301
726
681
791
711
661 629
Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12
Jan/11 Feb/11 Mar/11 Apr/11 May/11 Jun/11 Jul/11 Aug/11 Sep/11 Oct/11 Nov/11 Dec/11 Jan/12