Portuguese Capital Markets Benchmarks
In September, the PSI-20 Share Index gained by 3.5% compared to August, reaching 10,305.48 points. The annual volatility of said Index rose by 1.44 pp in comparison to the previous month. On an accumulated basis, the volatility of the PSI-20 Index was above the average level registered in the corresponding period. The turnover in the Spot Secondary Market increased by 30.2% in comparison with August reaching €14,569.5 million. This gain is explained by the conduct of the Regulated Markets sector which rose 36.6%, in particular the Shares (58.1%) and MEDIP (28.8%). On an accumulated basis, the period from January to September 2006, showed correspondingly a growth of 7.5%, boosted by a trade increase of Shares in Regulated markets (76.4%), which compensated for the drop in MEDIP. The market capitalisation of Euronext Lisbon reached €224,312.7 million, 2.2% less than the end of August. This trend is explained by the drop that took place in the Bond sector of the Regulated Markets. The market capitalisation surpassed the amount registered at the end of last year by 26.1%. The value traded in the Futures market rose significantly, particularly in the Contracts sector on the PSI-20 Index. Nevertheless, the value traded in August had been greatly reduced. In the Undertakings for Collective Investment in Transferable Securities and Special Investment Funds industry[1], the net asset value under management remained practically unchanged, notwithstanding an increase in the number of active funds. On the other hand, the net asset value of Real Estate Funds was up 0.5% [1], and the number of real estate funds also rose due to the establishment of 4 new funds. Lisbon, 3 October 2006 Table 1 –PSI-20 Index (Values and variation) | | Sep 2006 | Aug 2006 | Sep 2005 | Dec 2005 | Monthly D | Yearly D | In the year D | | PSI-20 (Closing price) | 10.305,5 | 9.957,6 | 8.088,6 | 8.618,7 | 3,5% | 27,4% | 19,6% |
Table 2 –PSI-20 Index (Volatility) | | Monthly Values | Accumulated Values | | PSI-20 | Sep 2006 | Aug 2006 | Sep 2005 | Jan-Sep 2006 | Jan-Sep 2005 | | Volatility (1) | 6,57% | 5,13% | 5,79% | 10,10% | 7,99% | | Maximum(Date) | 10.305,48 (29-Sep) | 9.972,55 (28-Aug) | 8.088,64 (30-Sep) | 10.320,49 (07-Apr) | 8.088,64 (30-Sep) | | Minimum(Date) | 9.937,28 (11-Sep) | 9.669,77 (01-Aug) | 7.814,78 (02-Sep) | 8.602,04 (02-Jan) | 7.398,43 (08-Jun) | | Price Range % (2) | 3,71% | 3,13% | 3,50% | 19,98% | 9,33% | Legend: (1) Annually adjusted volatility=Standard deviation of daily returns ´ Ö250
(2) Price Range % = (Maximum-Minimum)/Minimum. Maximum and Minimum refer to closing prices. Table 3 –PSI-20 Portfolio (month end) | Shares | Sep 2006 | Aug 2006 | Sep 2005 | Monthly D | Yearly D | | E.D.P.NOM. | 20,378% | 19,363% | 18,383% | 1,015 p.p | 1,994 p.p | | TELECOM-N. | 19,194% | 19,784% | 17,133% | -0,59 p.p | 2,061 p.p | | BCP....NPR | 17,027% | 17,262% | 20,306% | -0,235 p.p | -3,28 p.p | | BES.NPR | 9,276% | 9,552% | 8,608% | -0,276 p.p | 0,668 p.p | | BANCO BPI | 8,600% | 8,855% | 7,589% | -0,255 p.p | 1,011 p.p | | BRISA-PRIV | 7,242% | 6,895% | 8,355% | 0,347 p.p | -1,113 p.p | | CIMPORSGPS | 4,384% | 4,256% | 3,330% | 0,128 p.p | 1,054 p.p | | SONAE SGPS | 4,218% | 4,143% | 6,131% | 0,076 p.p | -1,913 p.p | | PTMULT.NOM | 2,271% | 2,375% | 2,935% | -0,104 p.p | -0,664 p.p | | SONAE.IND. | 1,539% | 1,486% | - | 0,053 p.p | 1,539 p.p | | MOTAENGIL | 1,399% | 1,457% | 1,484% | -0,059 p.p | -0,086 p.p | | J.MARTINS | 1,364% | 1,400% | 1,630% | -0,036 p.p | -0,266 p.p | | SONAECOM | 0,753% | 0,729% | 0,545% | 0,024 p.p | 0,208 p.p | | ALTRI | 0,659% | 0,631% | 0,218% | 0,028 p.p | 0,441 p.p | | SEMAPA.NOM | 0,461% | 0,491% | 0,722% | -0,03 p.p | -0,261 p.p | | IMPRESA | 0,438% | 0,477% | 0,472% | -0,038 p.p | -0,033 p.p | | COFINA | 0,294% | 0,322% | 0,345% | -0,028 p.p | -0,052 p.p | | NOVABASE | 0,276% | 0,295% | - | -0,02 p.p | 0,276 p.p | | PARAREDE | 0,182% | 0,181% | 0,294% | 0,001 p.p | -0,113 p.p | | REDITUS | 0,046% | 0,046% | 0,063% | 0 p.p | -0,017 p.p | | MEDCAPITAL | - | - | 1,255% | 0 p.p | -1,255 p.p | | C.AMORIM | - | - | 0,200% | 0 p.p | -0,2 p.p | | TOTAL | 100% | 100% | 100% | - | - | Spot Market: Turnover and market capitalization Table 4 – Turnover in the Spot Secondary Market (Monthly Values) Unit: 10^6 Euro | | Sep 2006 | Aug 2006 | Sep 2005 | Monthly D | Yearly D | | Regulated Markets | 13.535,5 | 9.908,6 | 15.561,4 | 36,6% | -13,0% | | Stock Exchange Markets | 4.133,0 | 2.608,6 | 3.716,4 | 58,4% | 11,2% | | Ordinary Sessions | 4.133,0 | 2.608,6 | 3.712,2 | 58,4% | 11,3% | | Bonds | 4,5 | 4,0 | 17,1 | 14,7% | -73,5% | | Shares | 4.112,7 | 2.600,7 | 3.662,0 | 58,1% | 12,3% | | Participation Bonds | 0,0 | 0,9 | 0,3 | -96,6% | -91,6% | | Investment Trust Units | 0,05 | 0,009 | 0,1 | 504,4% | -22,9% | | Rights | - | - | - | - | - | | Warrants | 1,7 | 2,6 | 7,3 | -34,6% | -77,1% | | Certificates | 13,9 | 0,5 | 1,8 | 2831,2% | 664,6% | | Convertibles | 0,0 | 0,0 | 23,6 | -33,1% | -99,9% | | Extraordinary Sessions | - | - | 4,2 | - | - | | Special Public Debt Market | 9.402,5 | 7.300,0 | 11.845,0 | 28,8% | -20,6% | | Treasury Bonds | 7.762,5 | 6.520,0 | 10.455,0 | 19,1% | -25,8% | | Treasury Bills | 1.640,0 | 780,0 | 1.390,0 | 110,3% | 18,0% | | Non-Regulated Markets | 163,2 | 148,5 | 100,5 | 9,9% | 62,4% | | Unlisted Market (Euronext Lisbon) | 13,4 | 0,2 | 0,2 | 6610,4% | 6286,0% | | Shares | 12,6 | 0,2 | 0,2 | 7062,9% | 6513,6% | | Other securities | 0,8 | 0,0 | 0,0 | 3237,4% | 4019,1% | | EasyNextLisbon (Euronext Lisbon) (1) | 134,3 | 137,6 | 90,8 | -2,4% | 47,9% | | Bonds | 0,7 | 0,7 | - | 1,0% | - | | Warrants | 133,4 | 136,8 | 88,9 | -2,5% | 50,1% | | Certificates | 0,2 | 0,1 | 2,0 | 251,7% | -88,7% | | PEX (2) | 15,5 | 10,8 | 9,4 | 43,9% | 64,3% | | Off-Market (3) | 870,8 | 1.130,0 | 751,3 | -22,9% | 15,9% | | TOTAL | 14.569,5 | 11.187,1 | 16.413,2 | 30,2% | -11,2% | Legend: (1) EasyNext Lisbon was created on 01/10/2004.
(2) PEX was created on 19/09/2003.
(3) Figures are provisional and are taken from the Dathis database, referring only to listed Securities. Data refer to turnover. Table 5 – Turnover in the Spot Secondary Market (Accumulated Values) Unit: 10^6 Euro | | Jan-Aug 2006 | Jan-Aug 2005 | Yearly
D | | Regulated Markets | 125.565,5 | 108.801,9 | 15,4% | | Stock Exchange Markets | 36.747,5 | 19.964,4 | 84,1% | | Ordinary Sessions | 36.747,3 | 19.946,4 | 84,2% | | Bonds | 95,7 | 437,7 | -78,1% | | Shares | 36.281,0 | 19.240,6 | 88,6% | | Participation Bonds | 3,0 | 2,7 | 13,7% | | Investment Trust Units | 0,1 | 2,6 | -97,0% | | Rights | 195,8 | 0,0 | 762482,3% | | Warrants | 121,0 | 165,9 | -27,1% | | Certificates | 50,4 | 21,3 | 136,9% | | Convertibles | 0,2 | 75,5 | -99,8% | | Extraordinary Sessions | 0,22 | 18,0 | -98,8% | | Special Public Debt Market | 88.818,0 | 88.837,5 | 0,0% | | Treasury Bonds | 79.298,0 | 80.277,5 | -1,2% | | Treasury Bills | 9.520,0 | 8.560,0 | 11,2% | | Non-Regulated Markets | 1.597,6 | 726,6 | 119,9% | | Unlisted Market (Euronext Lisbon) | 2,9 | 8,5 | -66,3% | | Shares | 1,4 | 8,4 | -83,1% | | Other securities | 1,4 | 0,1 | 1081,5% | | EasyNextLisbon (Euronext Lisbon) (1) | 1.494,1 | 654,1 | 128,4% | | Bonds | 4,2 | - | - | | Warrants | 1.481,6 | 622,9 | 137,9% | | Certificates | 8,3 | 31,3 | -73,4% | | PEX (2) | 100,6 | 64,0 | 57,4% | | Off-Market (3) | 10.981,3 | 16.164,1 | -32,1% | | TOTAL | 138.144,4 | 125.692,6 | 9,9% | Legend: (1) EasyNext Lisbon was created on 01/10/2004.
(2) PEX was created on 19/09/2003.
(3) Figures are provisional and are taken from the Dathis database, referring only to listed Securities. Data refer to turnover. Table 6 – Extraordinary Sessions There were no Extraordinary Sessions this month Table 7 – Market Capitalization (Euronext Lisbon) Unit: 10^6 Euro | Market Segment | Sep 2006 | Aug 2006 | Sep 2005 | Dec 2005 | Monthly D | Yearly D | In the year D | | Regulated Markets | 220.280,3 | 227.470,7 | 188.882,0 | 176.914,0 | -3,2% | 16,6% | 24,5% | | Bonds | 47.314,1 | 58.626,2 | 57.732,2 | 43.596,3 | -19,3% | -18,0% | 8,5% | | Shares | 172.519,6 | 168.345,7 | 129.333,3 | 132.711,3 | 2,5% | 33,4% | 30,0% | | Participation Bonds | 57,6 | 57,6 | 82,3 | 57,7 | 0,0% | -30,0% | -0,2% | | Investment Trust Units | 48,0 | 48,1 | 146,7 | 48,1 | -0,2% | -67,3% | -0,2% | | Rights | 0,0 | 0,0 | 0,0 | 0,0 | - | - | - | | Warrants | 10,4 | 16,5 | 486,9 | 157,8 | -37,3% | -97,9% | -93,4% | | Certificates | 321,6 | 368,0 | 360,0 | 342,8 | -12,6% | -10,6% | -6,2% | | Convertibles | 9,0 | 8,6 | 740,6 | 0,0 | 4,8% | -98,8% | - | | Non-Regulated Markets | 4.032,4 | 1.898,4 | 902,9 | 946,4 | 112,4% | 346,6% | 326,1% | | Bonds | 391,9 | 391,4 | 10,1 | 10,1 | 0,1% | 3787,6% | 3780,3% | | Shares | 2.781,9 | 556,0 | 217,6 | 235,4 | 400,3% | 1178,4% | 1081,9% | | Warrants | 709,7 | 809,9 | 631,8 | 585,2 | -12,4% | 12,3% | 21,3% | | Certificates | 133,9 | 126,0 | 43,5 | 115,7 | 6,3% | 207,9% | 15,7% | | Other securities | 406,9 | 406,4 | 10,1 | 10,1 | 0,1% | 39,36436 | 39,288432 | | TOTAL | 224.312,7 | 229.369,1 | 189.784,9 | 177.860,4 | -2,2% | 18,2% | 26,1% | Forward Market Table 8 – Turnover in the Forward Market (Monthly) Unit: 10^6 Euro | | Sep 2006 | Aug 2006 | Sep 2005 | Monthly D | Yearly D | | Futures PSI-20 | 212,2 | 3,5 | 98,0 | 5997,5% | 116,6% | | Futures on Shares | 25,6 | 1,8 | 12,5 | 1331,8% | 104,4% | | Total Futures (1) | 237,8 | 5,3 | 110,5 | 4415,3% | 115,2% | | Options PSI-20 | - | - | - | - | - | | Options on Shares | - | - | - | - | - | | Total Options | - | - | - | - | - | Legend: (1) Amounts determined based on the business price. Table 9 – Turnover in the Forward Market (Accumulated) Unit: 10^6 Euro | | Jan-Sep 2006 | Jan-Sep 2005 | Yearly D | | Futures PSI-20 | 644,3 | 345,2 | 86,7% | | Futures on Shares | 149,0 | 74,1 | 101,1% | | Total Futures (1) | 793,3 | 419,3 | 89,2% | | Options PSI-20 | - | - | - | | Options on Shares | - | - | - | | Total Options | - | - | - | Legend: (1) Amounts determined based on the business price. Asset Management: CIS and property investment funds Table 10 – Asset Management (Data refers to the previous month) | | 31-08-2006 | 31-07-2006 | 31-08-2005 | 31-12-2005 | Monthly D | Yearly D | In the year D | | CIS | | | | | | | | | No. of Funds | 255 | 254 | 240 | 242 | 1 | 15 | 13 | | Net Asset Value (10^6 Euro) | 28.559,1 | 28.556,1 | 26.441,5 | 28.290,0 | 0,0% | 8,0% | 1,0% | | Property Investment Funds | | | | | | | | | No. of Funds | 115 | 111 | 74 | 82 | 4 | 41 | 33 | | Net Asset Value (10^6 Euro) | 8.889,9 | 8.845,1 | 7.784,3 | 8.164,1 | 0,5% | 14,2% | 14,2% | Legend: CIS (Collective Investment Schemes)=Collective Investment Undertakings in Transferable Securities and Special Investment Funds.
[1] The data contained herein is from Dathis, Euronext Lisbon, MTS-Portugal, OPEX and the CMVM (CIS and Property Investment Funds). The information refers to 2006-09-30. The monthly variation (D monthly) refers to the comparison between the month being analysed and the previous month, annual variation (D annual) the month being analysed and the homologous one, and in the year variation (D in the year) variation value at the end of the current month and the end of the previous year.
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