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Latin American Swap Clearing

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 80%, while clearing in the 17 currencies outside of the G4 has soared 238% 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, on May 21, 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 and Mexican swaps.

LatAm Highlights

  • Latin American Currencies cleared a record $43 billion ADV cleared in Q3-2019
  • Over 40 Latin American-based clients clearing at CME to date
  • Chilean Cámara IRS and Colombian IBR OIS: Rapid growth, $935 billion notional cleared to date
  • Leading Collateral Acceptance Policy that includes MBONOS and Cetes
  • $6 trillion notional via 20 compression cycles in LatAm currencies to date

Mexican TIIE IRS

  • Q3-2019 average daily volume reached $25 billion, up 38% year-over-year
  • 238 participants clearing to date
  • >40 liquid providers
  • Cleared volumes out to 31 years

Brazilian CDI IRS

  • Q3-2019 average daily volume reached record $15billion, up 116% year-over-year
  • 152 participants clearing to date
  • 21 liquidity providers

 

Chilean Cámara IRS and Colombian IBR OIS

  • Q3-2019 average daily volume reached record $2.7 billion
  • $935 billion notional cleared to date
  • 107 participants clearing to date, including Bancolombia as a liquidity provider in Colombian IBR and Banco BTG Pactual Chile in Cámara IRS
  • 29 liquidity providers and 11 FCMs live

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Contract Specifications

  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 Fed funds overnight rate adjusted by the FX overnight 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 Fed Funds Overnight Rate 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 Fed Funds Overnight Rate 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 Fed Funds Overnight Rate 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

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