FpML Issues Tracker

1316: Brazilian swaps discrepancy between bilateral and cleared transactions

July 6, 2023




Interest Rate Derivatives





A few firms have reported to MarkitWire a discrepancy in the market for Brazilian swaps between bilateral and cleared transactions.

This overnight rate has a daily reset, so should fall on a good Brazil business day as per EMTA-ISDA market practice.

Some clearing houses believe this reset date should be unadjusted.

Reported by Amanda Murray, IHS Markit

There's been some discussion on how to represent resetDateAdjustments for BRL IRS.  When MarkitWire implemented support for this product back in 2008, it was based upon the EMTA-ISDA Best Practice (which was updated in 2009). Latest version can be found here: https://www.isda.org/a/LEoEE/SwapsCDsMP1Rev.pdf [isda.org] Since then, clearing houses support clearing of BRL IRS but interpret resetDateAdjustment as NONE and this has raised some questions in the market as there appears to be a discrepancy between the bilateral representation and cleared representation.


Some Additional Background from the EMTA-ISDA Best Practice:

Within the EMTA-ISDA Market Practice (and similarly typically seen on paper confirmations for this product) there is a clear distinction made between the relevant cities that are applicable for determining the good Business Day in respect of Reset Dates, Valuation Dates and Payment Dates. As can be seen in the excerpt below from the Market Practice under point 4. there are relevant cities defined for the Business Day for Reset Dates and this is the rationale for why the resetDatesAdjustments in the MarkitWire FpML/SWML are specified as ‘BRBD’ rather than none being specified.


From: Recommended EMTA-ISDA Market Practice for BRL CDI Non-Deliverable Interest Rate Swap Transactions - Amended March 13, 2009

MarkitWire FpML/SWML representation:



It should be noted too that with a BRL-CDI transaction and the associated ISDA-style legal confirmation there are considered to be multiple Reset Dates contributing to the single Calculation Period. In the EMTA-ISDA Market Practice see footnote 4 which includes “Reset Date means each Scheduled Reset Date from and including the Effective Date up to and excluding the Termination Date.


  • JasonPolis

    07/06/23 6:35 am

    XAPWG 2023-07-06:

    It seems like the 2021 definition of BRL-CDI is in line with what was published back in 2009 for the best practice.


    The issue is causing some issues for firms when they go to reconcile what was submitted directly to the clearing House or via market wire.


    HM & GG discuss the tension between interpretations of reset date. That it applies to when calculating after observations have been made.
    That there is a difference between self compounding FROs and others.


    • HM, GG, AM and MH to discuss whether clarification of the market practice is required.
  • Leave an update

    You must be logged in to post an update.