In the 1990s, several countries, including Brazil, between 1996 and 2003, began to restructure their electricity sectors and established free markets for energy trading. The growth of these markets has required the adaptation of financial instruments for risk management and return to their specifications. In Brazil, the market has still a disorganized and decentralized OTC (over the counter market) structure, which hinders their learning. The forward contracts for electricity, negotiated bilaterally, in the country, are the primary instrument to mitigate risks and evaluate investments. In this context, the objective of this study is to better understand the dynamics of the forward price of electricity negotiated in Brazil. Thus, we propose a method to construct the forward curve based only on market information and made a first application of this methodology. Some clues were then evident on the behavior of the Brazilian forward market of electricity: contango set in certain periods, presence of high risk premiums and only partial adherence of forward prices on the expectations of future spot prices. Studies based on structured electricity markets support these evidences.