First Fully Electronic F-TIIE Swap Trade Executed on the Bloomberg SEF

NEW YORK and MEXICO CITY, June 3, 2024 /PRNewswire/ — Bloomberg SEF LLC today announced that the first electronically traded TIIE de Fondeo (“F-TIIE”) swap transaction was executed on its CFTC-registered swap execution facility, BSEF. Mexico-based Banco Invex and Finamex Casa de Bolsa traded a 3-month swap on BSEF using request-for-quote (RFQ) trading protocol. The trade was cleared by CME Clearing.

Mexican derivatives markets seek to replace their usage of the current primary benchmark 28-day Interbank Equilibrium Interest Rate (TIIE) with the new risk-free rate, TIIE de Fondeo, known as F-TIIE, by the end of 2024.

BSEF recently introduced cleared interest rate swap products referencing the F-TIIE index for placing new risk, including outrights, curves, rolls and butterflies. Clients can also use list trading functionality to trade 28-day term TIIE and F-TIIE swaps in a single package which can facilitate movement of risk prior to conversion events or trade out of converted F-TIIE risk post-event.  

The addition of F-TIIE rates products on BSEF provides market participants with the infrastructure necessary to help grow dealer liquidity and pricing transparency for the transition to F-TIIE.  BSEF hosts a deep pool of onshore and offshore market-making participants in the 28-day TIIE interest rate swap market as one of the Comisión Nacional Bancaria y de Valores’ (“CNBV”) approved foreign companies*.

This launch precedes the conversion events due November this year, where leading clearing houses plan to transition cleared swap portfolios to the new F-TIIE index. This will also help clients comply with Banco de Mexico’s transition away from the use of the 28-day term TIIE for new derivative transactions as of January 1, 2025.

“At Finamex, we have prioritized 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. We are thrilled to continue developing tools that will help our clients focus on Mexico,” stated Oscar Luna Farrell, Head Trader at Finamex Casa de Bolsa.

“At Banco INVEX, we are dedicated to the growth and development of the Mexican market. As a tech-driven financial services company, we are proud to have executed the first electronic transaction of the TIIE de Fondeo through BSEF, highlighting our commitment to innovation. We will continue to drive initiatives that enhance market efficiency and foster a more dynamic financial ecosystem,” said Alexis Zarkin, Head Trader, Proprietary Trading Desk at Banco Invex.

“Bloomberg is proud to continue our long-standing association with the Mexican derivatives and bonds markets,” said Liza Parlatore Lopez, Head of Sales for Mexico and Central America at Bloomberg.  “We are well positioned to partner with our clients to help manage their portfolios as they continue their transition to risk free rates.”

The introduction of F-TIIE swaps to BSEF adds to Bloomberg’s comprehensive suite of solutions to support the transition to Risk Free Rates (RFRs). More information can be found at Bloomberg.com/Libor.

Bloomberg will host a webinar Navigating the TIIE Reference Rate Transition in Mexico. Registration and more information can be accessed here.

Bloomberg Electronic Trading Solutions (ETS) are used by leading financial institutions to trade efficiently in over 175 markets around the world. More than 9,000 client firms use Bloomberg ETS to access comprehensive depth and breadth of liquidity across asset classes from over 700 dealers globally. Bloomberg ETS provides market participants with comprehensive solutions across the trading lifecycle, including robust price transparency, analytics, automation and execution, powered by Bloomberg’s high-quality, multi-asset class data and tools.

* Approved foreign companies perform transactions that are similar or equivalent to those performed by companies that manage systems to facilitate transactions with securities authorized by the CNBV.  

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SOURCE Bloomberg