Bloomberg’s Swap Execution Facility (SEF) has completed the first electronically traded TIIE de Fondeo (F-TIIE) swap transaction on BSEF, its swap execution facility.
The transaction of a 3-month swap took place between Mexico-based Banco Invex and Finamex Casa de Bolsa using request-for-quote protocol. CME Clearing cleared the trade.
The F-TIIE is a new risk-free rate, planned to replace the 28-day Interbank Equilibrium Interest Rate (TIIE) in Mexican derivatives markets by the end of the year.
BSEF recently introduced cleared interest rate swap products referencing the F-TIIE index for placing new risk. Users can also employ list trading functionality to trade 28-fay term TIIE and F-TIIE swaps in a single package. This allows for the movement of risk before conversion events, Bloomberg stated, or trade out of converted F-TIIE risk post-event.
Through the new products, market participants will be able to improve dealer liquidity and pricing transparency in advance of the F-TIIE transition this November, Bloomberg said. Clearing houses will initially shift cleared swap portfolios to the new format, before Banco de Mexico breaks from the 28-day term TIIE for 2025.
Liza Parlatore Lopez, head of sales for Mexico and Central America at Bloomberg, commented: “Bloomberg is proud to continue our long-standing association with the Mexican derivatives and bond markets. We are well positioned to partner with our clients to help manage their portfolios as they continue their transition to risk free rates.”
Oscar Luna Farrell, head trader at Finamex Casa de Bolsa, added: “At Finamex, we have prioritised offering both competitive pricing and top research to our local and international clientele. Being the first TIIE market maker to trade the new Mexican OIS through BSEF is proof of our constant innovation and development.”
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