ABVCAP, 2016, Associação Brasileira de Private Equity & Venture Capital.
Doeswijk, Ronald, Trevin Lam, and Laurens Swinkels, 2014, “The Global Multi-Asset Market Portfolio, 1959–2012,” Financial Analyst Journal, Vol. 70 (2), pp. 26–41.
Fernández, Andres, Michael W. Klein, Alessandro Rebucci, Martin Schindler, and Martín Uribe, 2015, “Capital Control Measures: A New Dataset,” IMF Working Paper No. 15/80 (Washington: International Monetary Fund).
Fonseca, Minardi Andrea Maria Accioly, Ricardo Vinicius Kanitz, and Rafael Honório Bassani, 2014, “Private Equity and Venture Capital Industry Performance in Brazil, 1990–2013,” The Journal of Private Equity, Vol. 17 (4), pp. 48–58.
Nunes, Ricardo Machado, and Marcelo Fernandes, 2014, “Brazilian Corporate Debt Issuance: Should One Invest in Local or International Bonds?,” Brazilian Review of Econometrics, Vol. 34, pp. 125–54.
Sharpe, William. F., 1964, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk,” Journal of Finance, Vol. 19 (3), pp. 425–42.
Tobin, James, 1958, “Liquidity Preference As Behavior Towards Risk,” The Review of Economic Studies LTD, Vol. 25 (2), pp. 65–86.
The authors are grateful for the support of the financial literacy platform “Strategic Asset Allocation over the Long Term” (www.saalt.net).
Since 2001, the National Treasury’s Annual Borrowing Plan (ABP – Plano Anual de Financiamento) has stated that the objective of Federal Public Debt (FPD) management is to “provide federal government borrowing requirements efficiently and at the lowest long-term cost, while maintaining prudent risk levels. Parallel to this, the debt management is designed to contribute to a smooth operation of the Brazilian government bond market” (Annual Borrowing Plan, Tesouro Nacional, 2015). In this regard, the main debt management guidelines include the following: (a) gradually replacing floating rate bonds with fixed rate instruments; (b) consolidating the share of inflation-linked and exchange rate-linked instruments on the outstanding debt, in accordance with long term limits; (c) smoothing of the maturity structure, with special attention to the short-term debt; (d) lengthening of the average maturity of the outstanding debt; and (e) broadening of the investor base. For more information, see Annual Borrowing Plan 2016– Federal Public Debt.
The “Tesouro Direto” is a program implemented by the National Treasury that allows individuals to purchase public bonds through the internet. For more information, see http://www.tesouro.gov.br/tesouro-direto.
The Special System for Settlement and Custody or Sistema Especial de Liquidação e Custódia (Selic) is the settlement system for most—around 96 percent—of central government’s domestic securities. The Selic overnight rate, expressed in annual terms, is the average rate weighted by the volume of one-day operations guaranteed by federal government securities, carried out at Selic through repo operations. It is the basic rate used as reference by the monetary policy.
Since 2002, the Brazilian Treasury (Secretaria do Tesouro Nacional - STN) has been the only entity responsible for issuances and management of public debt, both domestic and external. In the past, the Central Bank was responsible for the issuance of external debt and shared the responsibility for domestic debt issuances with the Treasury. Since then, the central bank has been responsible only for repo operations, by managing a stock of securities originally issued by the Treasury.
For more information, see http://www.tesouro.fazenda.gov.br/ca/web/stn/objectives-and-guidelines.
Government data is available only from Jan/2011 on due to methodological improvements. Before that, government bonds were allocated as Financial Institutions and Investment Funds.
Law 6,404/76. For more information, see http://www.planalto.gov.br/ccivil_03/leis/L6404consol.htm.
According to BM&FBOVESPA (2016), Novo Mercado is the segment with the highest standards in terms of corporate governance and it is also the segment in which the great majority of recent IPOs have been made.
Recibo de Depósito Bancário.
Letras de Câmbio.
BRL 300 thousand if it contains a subordination clause.
According to Nunes and Fernandes (2014), clauses about renegotiation, profit sharing and convertibility to shares help reduce the issuing costs.
TJLP - Taxa de Juros de Longo Prazo was created in November 1994 to stimulate long term investments, which were previously less feasible due to the absence of a market for long-term credit in the country. At present, the TJLP is the main rate for credit lines from the Brazilian Development Bank (BNDES – Banco Nacional de Desenvolvimento Econômico e Social) and from the Workers’ Support Fund (FAT – Fundo de Amparo ao Trabalhador). TR – Taxa Referencial is a reference rate published daily by the central bank and is valid until the same day of the following month. The calculation of the TR is based mainly on the average of CDB and RDB rates, to which a reduction factor is applied.
The Broad Consumer Price Index (IPCA - Índice de Preços ao Consumidor Amplo) is the index most closely followed by market agents, due to its status as the standard price index of the inflation-targeting regime.
The Market General Price Index (IGP-M - Índice Geral de Preços do Mercado) is calculated by the Fundação Getúlio Vargas (FGV). It is composed of three indexes: Wholesale Prices Index (IPA), Consumer Price Index (IPC) and Construction Cost National Index (INCC) that represent 60 percent, 30 percent and 10 percent respectively of the IGP-M. The Prices General Index - Internal Availability (IGP-DI - Índice Geral de Preços - Disponibilidade Interna) measures prices that directly affect the economic activity of the country, except exports. Like the IGP-M, it is also composed of the weighted average of the IPC, IPA and INCC. The Consumer National Price Index (INPC – Índice Nacional de Preços ao Consumidor) is calculated by IBGE (Brazilian Institute of Geography and Statistics). It measures the prices variation of products and services consumed by families with income between 1 and 8 minimum wages.
A CDI has the same basic characteristics of a Bank Deposit Certificate. Its negotiation, however, is restricted to the interbank market.
The Brazilian National Treasury dataset is publicly available at: http://www3.tesouro.fazenda.gov.br/series_temporais/principal.aspx\#ancora_consulta.
CETIP is the Latin America’s largest depositary of private fixed-income securities with a vast over-the-counter, fixed-income derivatives operation. It is the Brazil’s largest private-asset clearinghouse, according to the company’s website.
This estimate was based on information provided by a large Brazilian financial company that operates in the markets of investment banking, wealth management and asset management. In order to get this estimate, we first computed the proportion of each real-estate investment fund managed by this financial company that is allocated to real assets (e.g., houses, properties, buildings, etc.). Second, we sort these funds into quintiles according to the proportion of each fund that is invested in real assets. Finally, our estimate was obtained by taking the average of the first quintile.
FIPs are the typical private equity fund vehicle in Brazil and were designed specifically for the private equity sector.