B3 Sa - Brasil, Bolsa, Balcao · BMFBOVESPA:B3SA3
B3 Sa - Brasil, Bolsa, Balcao — B3 S.A. - Brasil, Bolsa, Balcão — Investor Presentation (September 2025)
14 slides from B3 Sa - Brasil, Bolsa, Balcao's investor presentation, September 2025
Slide 1: Offshore Inflation
Offshore Inflation Thiago Marinheiro September, 2025 PROPRIETARY & CONFIDENTIAL
Slide 2: 1. DAP Onshore
PROPRIETARY & CONFIDENTIAL 1. DAP Onshore contract characteristics 2
Slide 3: Inflation Future DAP
PROPRIETARY & CONFIDENTIAL Inflation Future DAP Understanding the DAP How it works Contract Specifications • The DAP Future dynamics is like a swap contract. Ticker B3 | BBG DAP | WLA Index ->CT LONG SHORT Quotation Rate per annum (252 business days) BUY DAP Accrued DI Rate IPCA + Spread Tick size 0
Slide 4: Inflation Future DAP
PROPRIETARY & CONFIDENTIAL Inflation Future DAP Understanding the DAP How it works Contract Specifications • The DAP Future dynamics is like a swap contract. Ticker B3 | BBG DAP | WLA Index ->CT LONG SHORT Quotation Rate per annum (252 business days) BUY DAP Accrued DI Rate IPCA + Spread Tick size 0
Slide 5: 2. Offshore Inflation Swaps
PROPRIETARY & CONFIDENTIAL 2. Offshore Inflation Swaps characteristics 5
Slide 6: Trading Offshore Inflation
PROPRIETARY & CONFIDENTIAL Trading Offshore Inflation Through swaps An inflation swap exchanges 100% of CDI on one leg against a fixed real rate plus IPCA on the other, and it can be settled in BRL (onshore) or cash settled in USD (offshore). Onshore x Offshore • The key distinction between the onsh
Slide 7: How to calculate and price
PROPRIETARY & CONFIDENTIAL How to calculate and price Offshore Inflation Swap DV01 Offshore DV01 Offshore = f (BRL FV, DI Offshore, Discount Factor(𝑈𝑆𝐷 𝐹𝑢𝑛𝑑𝑖𝑛𝑔 𝐶𝑢𝑟𝑣𝑒 (1) ), 1/𝑁𝐷𝐹 𝑈𝑆𝐷𝐵𝑅𝐿 𝑜𝑓𝑓𝑠ℎ𝑜𝑟𝑒, 1/ 𝑅𝑒𝑎𝑙 𝑅𝑎𝑡𝑒) Offshore Net Present Value NPV Offshore = f(BRL…
Slide 8: 3. Onshore X Offshore
PROPRIETARY & CONFIDENTIAL 3. Onshore X Offshore 8
Slide 9: Difference Between Onshore and Offshore
PROPRIETARY & CONFIDENTIAL Difference Between Onshore and Offshore Offshore Inflation Swap Characteristics DAP Onshore Offshore Inflation Swap Settlement currency BRL USD Pricing Local Price Local Yield + OnOff Spread Market Exchange / Future OTC Liquidity Liquid As Liquid as the onshore Market Risk
Slide 10: DI X DAP Offshore vs NTNB
PROPRIETARY & CONFIDENTIAL DI X “DAP” Offshore vs NTNB Main differences between DI Offshore, DAP, NTNB and TRS Offshore Inflation DI Offshore NTN-B TRS Swap Settlement USD USD BRL USD Currency: Fixed Nominal Rate Fixed Real Rate + Fixed Real Rate + Inflation, Real Rate, Exposure: vs Floating rate, I
Slide 11: 4. Breakeven Inflation
PROPRIETARY & CONFIDENTIAL 4. Breakeven Inflation 11
Slide 12: Breakeven Inflation
PROPRIETARY & CONFIDENTIAL Breakeven Inflation Offshore Inflation Swap Onshore X Offshore Breakeven inflation is the implied inflation rate derived from the difference between the nominal rate and the real rate. If the current Inflation On/Off spread is zero, the offshore breakeven equals the onshor
Slide 13: 5. Local Corporate Bonds linked at Inflation
PROPRIETARY & CONFIDENTIAL 5. Local Corporate Bonds linked at Inflation 13
Slide 14: Corporate Bonds Linked to Inflation
PROPRIETARY & CONFIDENTIAL Corporate Bonds Linked to Inflation Pricing & Volume of Market How it works? Pricing of local IPCA-linked corporate bonds is based on the period’s IPCA plus a market-traded credit spread. Using an NTN-B of comparable duration as the benchmark, we extract the spread and mar
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