Since 2014, cost pressures have continued to mount in the bilateral swap market and voluntary clearing of OTC products has increased. Interest rate swap clearing in G4 currencies has increased 103%, while clearing in the 17 currencies outside of the G4 has soared 372% across the industry.
CME is the global leader in Latin American (LatAm) swap clearing. Since launching MXN TIIE and Brazilian CDI swaps, volume and participants have continued to grow in what is now a deeply liquid cleared swap market. In response to strong customer demand in May 2018 we launched Chilean Cámara Peso (CLP) and Colombian Peso (COP) swap clearing. To enhance our customers capital efficiencies in their LatAm businesses, we offer regular compression cycles for Brazilian, Colombian, and Mexican swaps.
As a part of the global transition to risk-free rates, Mexico will be transitioning from 28D TIIE to the TIIE de Fondeo, or F-TIIE, for its benchmark interest rate. CME Group is working to help facilitate this transition for cleared swaps.
|Product Type||Maximum Maturity||Floating Rate Index||Settlement Currency||Price Alignment Rate||Variation Margin, Coupons and Fees||Holiday Calendar||Settlement & Business Day Convention||FX Rate|
|Mexican Peso||Interest rate Swap||31 Years||MXN-TIIE-Banxico||MXN||SOFR adjusted by FX vvernight and tomorrow next rates||MXN||Mexico City||MXN will be settled on a next day (T+1) basis Default will be ACT/365.FIXED|
|Brazilian Real||Zero Coupon Swap||10 Years||BRL-CDI*||USD||SOFR||USD||Brazil Business Day**||USD will be settled on a next day (T+1) basis Default will be Bus/252||The below FX rate will be used to convert BRL coupon payments to USD: “ask” price reported on Bloomberg Page BZFXPTAX at approximately 1:15 p.m. Sao Paulo time, on the relevant date|
|Chilean Peso||Interest Rate Swap, Zero Coupon Swap||20 Years||CLP-TNA (Indice Cámara Promedio)||USD||SOFR||USD||Santiago (CLSA) and New York (USNY)||Santiago (CLSA) and New York (USNY)||CLP.DOLAR.OBS/CLP10|
|Colombian Peso||Overnight Index Swap||20 Years||COP-IBR-OIS-COMPOUND||USD||SOFR||USD||Bogotá (COBO) and New York (USNY)||USD will be settled on a next day (T+1) basis. Default will be ACT/360||COP.TRM/COP02|
* Refers to the Overnight Brazilian Interbank Deposit Rate Annualized as the average of the DI-OVER-EXTRA Grupo as published by CETIP
** A business day in any of San Paulo, Rio de Janeiro or Brasilia not otherwise declared as a financial market holiday by the BM&F