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83841885

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83841885

  1. 1. Daily Monthly Duration Change Change (Years) May-11 3,70 3,73 4,42 -0,03 -0,72 0,51 Nov-11 5,05 5,12 5,42 -0,08 -0,37 0,97 Aug-12 5,50 5,62 5,93 -0,12 -0,43 1,67 May-13 5,87 5,96 6,21 -0,09 -0,34 2,26 Aug-14 5,95 6,04 6,20 -0,09 -0,25 3,32 May-15 5,97 6,09 6,18 -0,12 -0,21 3,83 May-17 5,95 6,05 6,04 -0,10 -0,09 5,21 Aug-20 5,96 6,05 6,03 -0,10 -0,08 7,27 Aug-24 5,93 6,00 6,02 -0,07 -0,09 9,24 Aug-30 5,92 5,98 6,01 -0,06 -0,09 11,47 May-35 5,90 5,96 6,00 -0,06 -0,10 12,59 Aug-40 5,89 5,95 5,99 -0,05 -0,10 13,87 May-45 5,87 5,92 5,95 -0,05 -0,09 14,42 Aug-50 5,86 5,92 5,95 -0,06 -0,09 15,28 Source: ANDIMA, Bloomberg and CM Capital Markets Source: ANDIMA, Bloomberg and CM Capital Markets Source: ANDIMA, Bloomberg and CM Capital Markets Maturity Traded Volume Share % 5 Days Average 30 Days Average May-11 155.450 18,1% 96.030 174.140 Nov-11 72.956 8,5% 31.573 70.249 Aug-12 72.470 8,4% 70.079 83.172 May-13 293.662 34,1% 448.567 456.608 Aug-14 10.000 1,2% 33.572 12.623 May-15 121.563 14,1% 136.107 134.597 May-17 37.879 4,4% 8.206 10.537 Aug-20 84.375 9,8% 66.271 62.089 Aug-24 39 0,0% 8 2.038 Aug-30 0 0,0% 6.449 1.075 May-35 200 0,0% 140 2.010 Aug-40 400 0,0% 8.211 5.691 May-45 11.660 1,4% 24.810 16.865 Aug-50 0 0,0% 16.164 4.789 Total 860.654 100,00% 946.187 1.036.482 Source: BCB and CM Capital Markets Source: BCB and CM Capital Markets NTN-B Source: BCB and CM Capital Markets Source: BCB and CM Capital Markets NTN-B's Highlight NTN-B Maturity DV 01 (For 10K Notes) 10/26/10 10/25/10 09/24/10 (598,54)USD (2.582,28)USD (4.360,80)USD (5.945,51)USD (3.722,36)USD (1.122,98)USD (1.886,83)USD (8.174,37)USD (16.753,47)USD (14.530,31)USD (17.528,72)USD (10.431,73)USD (15.801,50)USD (12.991,21)USD NTN-B Traded Volume 0 500 1.000 1.500 2.000 2.500 14-Sep-10 15-Sep-10 16-Sep-10 17-Sep-10 20-Sep-10 21-Sep-10 22-Sep-10 23-Sep-10 24-Sep-10 27-Sep-10 28-Sep-10 29-Sep-10 30-Sep-10 1-Oct-10 4-Oct-10 5-Oct-10 6-Oct-10 7-Oct-10 8-Oct-10 11-Oct-10 13-Oct-10 14-Oct-10 15-Oct-10 18-Oct-10 19-Oct-10 20-Oct-10 21-Oct-10 22-Oct-10 25-Oct-10 26-Oct-10 K NTN-B Traded Contracts Moving Average - 5 Days Moving Average - 30 Days NTN-B Traded Volume - 30 Days Average May-11 16,80% Aug-12 8,02% Others 11,36% Nov-11 6,78% May-13 44,05% May-15 12,99% NTN-B May-11 - Traded Volume 0 100 200 300 400 500 600 700 800 900 1.000 14-Sep-10 15-Sep-10 16-Sep-10 17-Sep-10 20-Sep-10 21-Sep-10 22-Sep-10 23-Sep-10 24-Sep-10 27-Sep-10 28-Sep-10 29-Sep-10 30-Sep-10 1-Oct-10 4-Oct-10 5-Oct-10 6-Oct-10 7-Oct-10 8-Oct-10 11-Oct-10 13-Oct-10 14-Oct-10 15-Oct-10 18-Oct-10 19-Oct-10 20-Oct-10 21-Oct-10 22-Oct-10 25-Oct-10 26-Oct-10 K NTN-B May-11 Moving Average - 5 Days Moving Average - 30 Days NTN-B Curve: Yield x Duration '11 ''11 '12 '13 '14 '15 '17 '20 '24 '30 '35 '40 '45 '50 3,60 3,80 4,00 4,20 4,40 4,60 4,80 5,00 5,20 5,40 5,60 5,80 6,00 6,20 0,51 0,97 1,67 2,26 3,32 3,83 5,21 7,27 9,24 11,47 12,59 13,87 14,42 15,28 % 3,60 3,80 4,00 4,20 4,40 4,60 4,80 5,00 5,20 5,40 5,60 5,80 6,00 6,20 6,40 14-Sep-10 15-Sep-10 16-Sep-10 17-Sep-10 20-Sep-10 21-Sep-10 22-Sep-10 23-Sep-10 24-Sep-10 27-Sep-10 28-Sep-10 29-Sep-10 30-Sep-10 1-Oct-10 4-Oct-10 5-Oct-10 6-Oct-10 7-Oct-10 8-Oct-10 11-Oct-10 13-Oct-10 14-Oct-10 15-Oct-10 18-Oct-10 19-Oct-10 20-Oct-10 21-Oct-10 22-Oct-10 25-Oct-10 26-Oct-10 % NTN-B May-11 NTN-B Nov-11 NTN-B Aug-12 NTN-B May-13 NTN-B May-13 - Traded Volume 0 100 200 300 400 500 600 700 800 900 1.000 1.100 14-Sep-10 15-Sep-10 16-Sep-10 17-Sep-10 20-Sep-10 21-Sep-10 22-Sep-10 23-Sep-10 24-Sep-10 27-Sep-10 28-Sep-10 29-Sep-10 30-Sep-10 1-Oct-10 4-Oct-10 5-Oct-10 6-Oct-10 7-Oct-10 8-Oct-10 11-Oct-10 13-Oct-10 14-Oct-10 15-Oct-10 18-Oct-10 19-Oct-10 20-Oct-10 21-Oct-10 22-Oct-10 25-Oct-10 26-Oct-10 K NTN-B May-13 Moving Average - 5 Days Moving Average - 30 Days Brazilian Bond - Daily Overview
  2. 2. Source: ANDIMA, Bloomberg and CM Capital Markets Source: ANDIMA, Bloomberg and CM Capital Markets NTN-B Aug-14DI Jan-14 26-Oct-10 DI Jan-15 11,77 NTN-B May-13 5,87 11,80 26-Oct-10 DI Apr-13 Source: ANDIMA, Bloomberg and CM Capital Markets 5,9511,82 5,95 11,82 11,73 11,73 26-Oct-10 11,7311,77 DI Jan-16 COMPARATIVE ANALYSIS - NTN-B Implicit Inflation Source: ANDIMA, Bloomberg and CM Capital Markets NTN-B May-17DI Jan-18 Source: ANDIMA, Bloomberg and CM Capital Markets 10,72 DI Apr-11 DI Jul-11 26-Oct-10 DI Jul-13 DI Jan-17NTN-B Aug-15 26-Oct-10 DI Jan-15 Source: ANDIMA, Bloomberg and CM Capital Markets Source: ANDIMA, Bloomberg and CM Capital Markets 5,97 11,693,7010,90 5,50 26-Oct-10 DI Oct-12 11,78 NTN-B Aug-12NTN-B May-11 DI Jul-12 NTN-B May-17 Implicit Inflation 5,46 5,05 5,15 5,25 5,35 5,45 5,55 5,65 14-Sep-10 15-Sep-10 16-Sep-10 17-Sep-10 20-Sep-10 21-Sep-10 22-Sep-10 23-Sep-10 24-Sep-10 27-Sep-10 28-Sep-10 29-Sep-10 30-Sep-10 1-Oct-10 4-Oct-10 5-Oct-10 6-Oct-10 7-Oct-10 8-Oct-10 11-Oct-10 13-Oct-10 14-Oct-10 15-Oct-10 18-Oct-10 19-Oct-10 20-Oct-10 21-Oct-10 22-Oct-10 25-Oct-10 26-Oct-10 % NTN-B May-11 Implicit Inflation 6,87 5,55 5,75 5,95 6,15 6,35 6,55 6,75 6,95 14-Sep-10 15-Sep-10 16-Sep-10 17-Sep-10 20-Sep-10 21-Sep-10 22-Sep-10 23-Sep-10 24-Sep-10 27-Sep-10 28-Sep-10 29-Sep-10 30-Sep-10 1-Oct-10 4-Oct-10 5-Oct-10 6-Oct-10 7-Oct-10 8-Oct-10 11-Oct-10 13-Oct-10 14-Oct-10 15-Oct-10 18-Oct-10 19-Oct-10 20-Oct-10 21-Oct-10 22-Oct-10 25-Oct-10 26-Oct-10 % NTN-B Aug-12 Implicit Inflation 5,91 5,35 5,45 5,55 5,65 5,75 5,85 5,95 14-Sep-10 15-Sep-10 16-Sep-10 17-Sep-10 20-Sep-10 21-Sep-10 22-Sep-10 23-Sep-10 24-Sep-10 27-Sep-10 28-Sep-10 29-Sep-10 30-Sep-10 1-Oct-10 4-Oct-10 5-Oct-10 6-Oct-10 7-Oct-10 8-Oct-10 11-Oct-10 13-Oct-10 14-Oct-10 15-Oct-10 18-Oct-10 19-Oct-10 20-Oct-10 21-Oct-10 22-Oct-10 25-Oct-10 26-Oct-10 % NTN-B May-13 Implicit Inflation 5,62 5,20 5,25 5,30 5,35 5,40 5,45 5,50 5,55 5,60 5,65 14-Sep-10 15-Sep-10 16-Sep-10 17-Sep-10 20-Sep-10 21-Sep-10 22-Sep-10 23-Sep-10 24-Sep-10 27-Sep-10 28-Sep-10 29-Sep-10 30-Sep-10 1-Oct-10 4-Oct-10 5-Oct-10 6-Oct-10 7-Oct-10 8-Oct-10 11-Oct-10 13-Oct-10 14-Oct-10 15-Oct-10 18-Oct-10 19-Oct-10 20-Oct-10 21-Oct-10 22-Oct-10 25-Oct-10 26-Oct-10 % NTN-B Aug-14 Implicit Inflation 5,50 5,10 5,15 5,20 5,25 5,30 5,35 5,40 5,45 5,50 5,55 5,60 14-Sep-10 15-Sep-10 16-Sep-10 17-Sep-10 20-Sep-10 21-Sep-10 22-Sep-10 23-Sep-10 24-Sep-10 27-Sep-10 28-Sep-10 29-Sep-10 30-Sep-10 1-Oct-10 4-Oct-10 5-Oct-10 6-Oct-10 7-Oct-10 8-Oct-10 11-Oct-10 13-Oct-10 14-Oct-10 15-Oct-10 18-Oct-10 19-Oct-10 20-Oct-10 21-Oct-10 22-Oct-10 25-Oct-10 26-Oct-10 % NTN-B May-15 Implicit Inflation 5,46 5,05 5,10 5,15 5,20 5,25 5,30 5,35 5,40 5,45 5,50 5,55 14-Sep-10 15-Sep-10 16-Sep-10 17-Sep-10 20-Sep-10 21-Sep-10 22-Sep-10 23-Sep-10 24-Sep-10 27-Sep-10 28-Sep-10 29-Sep-10 30-Sep-10 1-Oct-10 4-Oct-10 5-Oct-10 6-Oct-10 7-Oct-10 8-Oct-10 11-Oct-10 13-Oct-10 14-Oct-10 15-Oct-10 18-Oct-10 19-Oct-10 20-Oct-10 21-Oct-10 22-Oct-10 25-Oct-10 26-Oct-10 % Implicit Inflation Curve 4,90 5,10 5,30 5,50 5,70 5,90 6,10 6,30 6,50 6,70 6,90 May-11 Nov-11 Aug-12 May-13 Aug-14 May-15 May-17 Aug-20 % 26-Oct-10 25-Oct-10 24-Sep-10 Brazilian Bond - Daily Overview
  3. 3. Daily Monthly Duration Change Change (Years) Jan-11 10,71 10,71 10,67 0,00 0,03 0,16 Jan-12 11,46 11,53 11,60 -0,06 -0,14 1,11 Jan-13 11,94 12,03 11,91 -0,08 0,03 1,94 Jan-14 11,96 12,07 11,84 -0,11 0,12 2,71 Jan-15 11,96 12,09 11,79 -0,13 0,17 3,39 Jan-17 11,98 12,14 11,59 -0,16 0,39 4,55 Jan-21 12,08 12,22 11,62 -0,14 0,46 6,20 Source: ANDIMA, Bloomberg and CM Capital Markets Source: ANDIMA, Bloomberg and CM Capital Markets *Premium = NTN-F - Corresponding DI Contract Maturity Traded Volume Share % 5 Days Average 30 Days Average Jan-11 0 0,0% 104.520 19.478 Jan-12 54.139 41,6% 847.797 497.744 Jan-13 4.200 3,2% 126.866 258.823 Jan-14 0 0,0% 53.120 420.543 Jan-15 45.000 34,6% 531.620 383.793 Jan-17 25.700 19,7% 436.152 490.834 Jan-21 1.145 0,9% 134.541 369.768 Total 130.184 100,00% 2.234.615 2.440.983 Source: BCB and CM Capital Markets Source: BCB and CM Capital Markets (487,57)USD (2.958,27)USD NTN-F Source: ANDIMA, Bloomberg and CM Capital Markets (6.977,21)USD (5.083,10)USD (8.638,11)USD Source: BCB and CM Capital Markets Source: BCB and CM Capital Markets NTN-F's Highlight Source: ANDIMA, Bloomberg and CM Capital Markets (14.902,19)USD (11.343,01)USD NTN-F (For 50K Notes) 09/24/10 DV 01 Maturity 10/26/10 10/25/10 NTN-F Jan-14 Traded Volume 0 500 1.000 1.500 2.000 2.500 3.000 3.500 14-Sep-10 15-Sep-10 16-Sep-10 17-Sep-10 20-Sep-10 21-Sep-10 22-Sep-10 23-Sep-10 24-Sep-10 27-Sep-10 28-Sep-10 29-Sep-10 30-Sep-10 1-Oct-10 4-Oct-10 5-Oct-10 6-Oct-10 7-Oct-10 8-Oct-10 11-Oct-10 13-Oct-10 14-Oct-10 15-Oct-10 18-Oct-10 19-Oct-10 20-Oct-10 21-Oct-10 22-Oct-10 25-Oct-10 26-Oct-10 K NTN-F Jan-14 Moving Average - 5 Days Moving Average - 30 Days NTN-F Traded Volume 0 1.000 2.000 3.000 4.000 5.000 6.000 7.000 8.000 14-Sep-10 15-Sep-10 16-Sep-10 17-Sep-10 20-Sep-10 21-Sep-10 22-Sep-10 23-Sep-10 24-Sep-10 27-Sep-10 28-Sep-10 29-Sep-10 30-Sep-10 1-Oct-10 4-Oct-10 5-Oct-10 6-Oct-10 7-Oct-10 8-Oct-10 11-Oct-10 13-Oct-10 14-Oct-10 15-Oct-10 18-Oct-10 19-Oct-10 20-Oct-10 21-Oct-10 22-Oct-10 25-Oct-10 26-Oct-10 K NTN-F Traded Contracts Moving Average - 5 Days Moving Average - 30 Days NTN-F Traded Volume - 30 Days Average Jan-12 20,39% Jan-13 10,60% Jan-14 17,23% Jan-17 20,11% Others 31,67% NTN-F Jan-12 Traded Volume 0 500 1.000 1.500 2.000 2.500 3.000 3.500 14-Sep-10 15-Sep-10 16-Sep-10 17-Sep-10 20-Sep-10 21-Sep-10 22-Sep-10 23-Sep-10 24-Sep-10 27-Sep-10 28-Sep-10 29-Sep-10 30-Sep-10 1-Oct-10 4-Oct-10 5-Oct-10 6-Oct-10 7-Oct-10 8-Oct-10 11-Oct-10 13-Oct-10 14-Oct-10 15-Oct-10 18-Oct-10 19-Oct-10 20-Oct-10 21-Oct-10 22-Oct-10 25-Oct-10 26-Oct-10 K NTN-F Jan-12 Moving Average - 5 Days Moving Average - 30 Days NTN-F Curve 11,94 11,96 11,96 11,98 12,08 10,71 11,46 10,60 10,80 11,00 11,20 11,40 11,60 11,80 12,00 12,20 Jan-11 Jan-12 Jan-13 Jan-14 Jan-15 Jan-17 Jan-21 % 11,30 11,40 11,50 11,60 11,70 11,80 11,90 12,00 12,10 12,20 12,30 14-Sep-10 15-Sep-10 16-Sep-10 17-Sep-10 20-Sep-10 21-Sep-10 22-Sep-10 23-Sep-10 24-Sep-10 27-Sep-10 28-Sep-10 29-Sep-10 30-Sep-10 1-Oct-10 4-Oct-10 5-Oct-10 6-Oct-10 7-Oct-10 8-Oct-10 11-Oct-10 13-Oct-10 14-Oct-10 15-Oct-10 18-Oct-10 19-Oct-10 20-Oct-10 21-Oct-10 22-Oct-10 25-Oct-10 26-Oct-10 % NTN-F Jan-12 NTN-F Jan-14 NTN-F Jan-21 NTN-F Premium* (bps) 5,50 6,50 7,50 8,50 9,50 10,50 11,50 12,50 14-Sep-10 15-Sep-10 16-Sep-10 17-Sep-10 20-Sep-10 21-Sep-10 22-Sep-10 23-Sep-10 24-Sep-10 27-Sep-10 28-Sep-10 29-Sep-10 30-Sep-10 1-Oct-10 4-Oct-10 5-Oct-10 6-Oct-10 7-Oct-10 8-Oct-10 11-Oct-10 13-Oct-10 14-Oct-10 15-Oct-10 18-Oct-10 19-Oct-10 20-Oct-10 21-Oct-10 22-Oct-10 25-Oct-10 26-Oct-10 13,50 14,00 14,50 15,00 15,50 16,00 16,50 Jan-12 Premium (left) Jan-14 Premium (right) Brazilian Bond - Daily Overview
  4. 4. Daily Monthly Duration Change Change (Years) Jan-11 10,71 10,71 10,67 0,00 0,04 0,18 Apr-11 10,76 10,77 10,79 0,00 -0,03 0,42 Jul-11 10,97 11,00 11,09 -0,02 -0,11 0,93 Oct-11 11,22 11,26 11,37 -0,05 -0,15 0,67 Jul-12 11,82 11,91 11,87 -0,09 -0,05 1,68 Jan-13 11,96 12,03 11,91 -0,07 0,05 2,18 Source: ANDIMA, Bloomberg and CM Capital Markets Source: ANDIMA, Bloomberg and CM Capital Markets * Premium = LTN - Corresponding DI Contract Maturity Traded Volume Share % 5 Days Average 30 Days Average Jan-11 198.787 2,5% 681.554 548.032 Apr-11 11.100 0,1% 67.052 288.714 Jul-11 220.848 2,8% 393.915 424.054 Oct-11 0 0,0% 2.000 46.922 Jul-12 196.225 2,5% 659.685 1.028.349 Jan-13 7.339.127 92,1% 1.817.652 1.041.756 Total 7.966.087 100,00% 3.621.858 3.377.827 Source: BCB and CM Capital Markets LTN DV 01 (For 50K Notes) Maturity 09/24/10 Source: ANDIMA, Bloomberg and CM Capital Markets (2.220,07)USD (1.654,05)USD 10/25/1010/26/10 (464,89)USD (1.077,29)USD Source: ANDIMA, Bloomberg and CM Capital Markets (4.452,82)USD (3.638,26)USD LTN Source: BCB and CM Capital Markets Source: BCB and CM Capital Markets Source: BCB and CM Capital Markets LTN's Highlight LTN Traded Volume 0 2.000 4.000 6.000 8.000 10.000 12.000 14-Sep-10 15-Sep-10 16-Sep-10 17-Sep-10 20-Sep-10 21-Sep-10 22-Sep-10 23-Sep-10 24-Sep-10 27-Sep-10 28-Sep-10 29-Sep-10 30-Sep-10 1-Oct-10 4-Oct-10 5-Oct-10 6-Oct-10 7-Oct-10 8-Oct-10 11-Oct-10 13-Oct-10 14-Oct-10 15-Oct-10 18-Oct-10 19-Oct-10 20-Oct-10 21-Oct-10 22-Oct-10 25-Oct-10 26-Oct-10 K LTN Traded Contracts Moving Average - 5 Days Moving Average - 30 Days LTN Jul-12 Traded Volume 0 500 1.000 1.500 2.000 2.500 3.000 3.500 4.000 4.500 5.000 14-Sep-10 15-Sep-10 16-Sep-10 17-Sep-10 20-Sep-10 21-Sep-10 22-Sep-10 23-Sep-10 24-Sep-10 27-Sep-10 28-Sep-10 29-Sep-10 30-Sep-10 1-Oct-10 4-Oct-10 5-Oct-10 6-Oct-10 7-Oct-10 8-Oct-10 11-Oct-10 13-Oct-10 14-Oct-10 15-Oct-10 18-Oct-10 19-Oct-10 20-Oct-10 21-Oct-10 22-Oct-10 25-Oct-10 26-Oct-10 K LTN Jul-12 Moving Average - 5 Days Moving Average - 30 Days LTN Curve 10,71 10,76 10,97 11,22 11,82 11,96 10,60 10,80 11,00 11,20 11,40 11,60 11,80 12,00 12,20 Jan-11 Apr-11 Jul-11 Oct-11 Jul-12 Jan-13 % LTN Premium* (bps) 9,75 10,25 10,75 11,25 11,75 12,25 12,75 13,25 13,75 14-Sep-10 15-Sep-10 16-Sep-10 17-Sep-10 20-Sep-10 21-Sep-10 22-Sep-10 23-Sep-10 24-Sep-10 27-Sep-10 28-Sep-10 29-Sep-10 30-Sep-10 1-Oct-10 4-Oct-10 5-Oct-10 6-Oct-10 7-Oct-10 8-Oct-10 11-Oct-10 13-Oct-10 14-Oct-10 15-Oct-10 18-Oct-10 19-Oct-10 20-Oct-10 21-Oct-10 22-Oct-10 25-Oct-10 26-Oct-10 10,50 11,00 11,50 12,00 12,50 13,00 13,50 14,00 14,50 15,00 15,50 Jul-12 Premium (left) Jan-13 Premium (right) 10,90 11,10 11,30 11,50 11,70 11,90 12,10 14-Sep-10 15-Sep-10 16-Sep-10 17-Sep-10 20-Sep-10 21-Sep-10 22-Sep-10 23-Sep-10 24-Sep-10 27-Sep-10 28-Sep-10 29-Sep-10 30-Sep-10 1-Oct-10 4-Oct-10 5-Oct-10 6-Oct-10 7-Oct-10 8-Oct-10 11-Oct-10 13-Oct-10 14-Oct-10 15-Oct-10 18-Oct-10 19-Oct-10 20-Oct-10 21-Oct-10 22-Oct-10 25-Oct-10 26-Oct-10 % LTN Jul-11 LTN Jul-12 LTN Jan-13 Brazilian Bond - Daily Overview LTN Traded Volume - 30 Days Average Jan-11 16,22% Jul-11 12,55% Jan-13 30,84%Others 9,94% Jul-12 30,44% LTN Jan-13 Traded Volume 0 1.000 2.000 3.000 4.000 5.000 6.000 7.000 8.000 14-Sep-10 15-Sep-10 16-Sep-10 17-Sep-10 20-Sep-10 21-Sep-10 22-Sep-10 23-Sep-10 24-Sep-10 27-Sep-10 28-Sep-10 29-Sep-10 30-Sep-10 1-Oct-10 4-Oct-10 5-Oct-10 6-Oct-10 7-Oct-10 8-Oct-10 11-Oct-10 13-Oct-10 14-Oct-10 15-Oct-10 18-Oct-10 19-Oct-10 20-Oct-10 21-Oct-10 22-Oct-10 25-Oct-10 26-Oct-10 K LTN Jan-13 Moving Average - 5 Days Moving Average - 30 Days
  5. 5. Source: National Treasury and CM Capital Markets CM Capital Markets CCTVM Ltda. - Gomes de Carvalho Street, 1195 - 4th floor, 04547-004 São Paulo, SP - Brazil - CNPJ 02.685.483/0001-30. Tel.: +55 11 3842-1122 Fax: +55 11 3044-3547 Pedro Faria Carlos Braile Luciano Rostagno Source: BCB and CM Capital Markets Daniela Rebollo Economic Research Depart.: Disclaimer This publication is intended for informational purposes only and the opinions set forth herein should not be viewed as an offer or solicitation to buy, sell or otherwise trade futures, options or securities. All opinions and information contained in this document constitute CM Capital Markets (“CM”) judgment as of the date of this document and are subject to change without notice. CM Capital Markets and their respective directors and employees may effect or have effected a transaction for their own account in the investments referred to in the material contained herein before or after the material is published to any customer of a Group Company or may give advice to customers which may differ from or be inconsistent with the information and opinions contained herein. While the information contained herein was obtained from sources believed to be reliable, no Group Company accepts any liability whatsoever for any loss arising from any inaccuracy herein or from any use of this document or its contents. This document may not be reproduced, distributed or published in electronic, paper or other form for any purpose without the prior written consent of CM. This report has been prepared without regard to the specific investment objectives, financial situation and needs of any particular recipient. For the customers of CM Capital Markets this report is produced exclusively for our business and expert clients, it is not for general distribution and our services are not available to private clients. Past performance is not indicative of future results. The risk of loss associated with futures and options trading can be substantial. This message (including any attachments) is confidential and may be privileged. If you have received it by mistake please notify the sender by return e-mail and delete this message from your system. Any unauthorized use or dissemination of this message in whole or in part is strictly prohibited. Please note that e- mails are susceptible to change. CM Capital Markets (including its group companies) shall not be liable for the improper or incomplete transmission of the information contained in this communication nor for any delay in its receipt or damage to your system. CM Capital Markets (or its group companies) does not guarantee that the integrity of this communication has been maintained nor that this communication is free of viruses, interceptions or interference. Brazilian Bond - Daily Overview Brazilian Bond - Traded Volume 0 2.000 4.000 6.000 8.000 10.000 12.000 14.000 14-Sep-10 15-Sep-10 16-Sep-10 17-Sep-10 20-Sep-10 21-Sep-10 22-Sep-10 23-Sep-10 24-Sep-10 27-Sep-10 28-Sep-10 29-Sep-10 30-Sep-10 1-Oct-10 4-Oct-10 5-Oct-10 6-Oct-10 7-Oct-10 8-Oct-10 11-Oct-10 13-Oct-10 14-Oct-10 15-Oct-10 18-Oct-10 19-Oct-10 20-Oct-10 21-Oct-10 22-Oct-10 25-Oct-10 26-Oct-10 K LTN NTN-F NTN-B Total - 5 Days Moving Average Total - 30 Days Moving Average Date Settlement Type Notes Maturities LTN 10/01/2011 ; 01/01/2013 NTN-F 01/01/2015 ; 01/01/2017 ; 01/01/2021 10/05/2010 10/06/2010 Traditional Auction NTN-B 05/15/2013 ; 05/15/2015 ; 08/15/2020 LTN 04/01/2011 ; 01/01/2013 LFT 03/07/2015 ; 03/07/2017 NTN-F 01/01/2015 ; 01/01/2017 ; 01/01/2021 LTN 10/01/2011 ; 01/01/2013 NTN-F 01/01/2015 ; 01/01/2017 ; 01/01/2021 05/15/2013 ; 05/15/2015 ; 08/15/2020 08/15/2030 ; 08/15/2040 ; 08/15/2050 08/15/2030 ; 05/15/2035 ; 08/15/2040 05/15/2045 ; 08/15/2050 05/15/2013 ; 05/15/2015 ; 08/15/2020 08/15/2030 ; 08/15/2040 ; 08/15/2050 LTN 04/01/2011 ; 01/01/2013 LFT 03/07/2015 ; 03/07/2017 NTN-F 01/01/2015 ; 01/01/2017 ; 01/01/2021 Early Redemption NTN-F 01/01/2017 ; 01/01/2021 LTN 10/01/2011 ; 01/01/2013 NTN-F 01/01/2015 ; 01/01/2017 ; 01/01/2021 TREASURY CALENDAR - OCTOBER Traditional Auction09/30/2010 10/01/2010 NTN-BExchange Auction 10/19/2010 10/20/2010 NTN-BTraditional Auction 10/21/201010/20/2010 NTN-BEarly Redemption Traditional Auction10/15/201010/14/2010 Traditional Auction10/08/201010/07/2010 10/29/2010 Traditional Auction10/28/2010 Traditional Auction 10/21/2010 10/22/2010

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