Post Oak Labs Showcase LATAM Corridor Liquidity Migration
View in Tool Chain → Open Source Engine →
🔒 All inputs are processed locally in your browser. No data is transmitted, stored, or logged. Use synthetic or anonymised corridor figures only.
Corridor Liquidity Modeler · v4.2 · LATAM Cono Sur + Andino
Treasury · FX Risk BIS 239 · FRTB AP2 Liquidity Mandate

The capital you're warehousing in Nostro accounts is the price of staying on SWIFT.

Treasury-desk modeler for the migration off T+1 / T+2 correspondent rails into tokenized A2A: PIX (BR), SPEI + DiMo (MX), Bre-B (CO), Transferencias 3.0 (AR), CCLV (CL), and the USDC / EURC stablecoin overlay. Adjust the corridor-FX volatility slider to see how much of the freed Nostro balance survives the haircut as risk-weighted, redeployable capital.

DR
Daniela Restrepo Vélez
Tesorera Corporativa · LATAM
Grupo Andino Financiero · Bogotá · 11 jurisdictions
Desk · LATAM-FI-03 Tier-1 · Basel III Quarterly close · Q2'26
Nostro Balance · Aggregate
487.4M USD
across 6 corridors · + 4.2% qoq
Avg Settlement Time
T+1.7
SWIFT MT103 median · 12 lifting fees
Capital Carry Cost
$22.1M / yr
trapped × WACC 5.4% + 1.5% FX hedge
Freed via A2A · Modeled
425.6M USD
+ 87.3% nostro release · instant rails
Risk-Weighted Return
$19.4M / yr
net of FX haircut at 14.8% blended vol
BIS 239 · FRTB framing

BCBS 239 (Principles for effective risk data aggregation, January 2013) requires G-SIBs and D-SIBs to maintain granular, timely FX exposure data and the architecture to aggregate it on demand. The haircut method below — sigma × √(t/365) × Z99 with a 90-day holding period — mirrors FRTB Internal Models Approach (IMA) parameters, so the deployable capital figure is directly comparable to the bank's regulatory capital allocation.

Sources: BCBS 239 (2013) · Basel III FRTB final rule (revised, 2019) · 99% confidence (Z = 2.326), 90-day hold, base yield 7.85% short-rate proxy
01 Corridor Posture · USD ↔ LATAM SWIFT correspondent → tokenized A2A overlay
Source · SAP Treasury + Visa B2B Connect + CBDC sandbox feeds
Corridor Rail Today A2A Target Nostro Trapped Daily Volume 30d FX σ Include
BR
USD → BRL · Brasil
PIX Instant · live 24/7/365
 SWIFT MT103 PIX $142.0M $38.4M
12.4%
MX
USD → MXN · México
SPEI + DiMo · live 24/7
 SWIFT MT103 SPEI $118.0M $31.7M
9.1%
CO
USD → COP · Colombia
Bre-B (BanRep) · live Q3 ’25
 ACH + SWIFT Bre-B + USDC $54.4M $11.8M
15.8%
CL
USD → CLP · Chile
CCLV / CCAV · RTGS T+0
 SWIFT MT202 CCLV $31.6M $8.9M
13.7%
AR
USD → ARS · Argentina
Transferencias 3.0 + USDC · capital ctrl
 SWIFT (CEPO) USDC stable $28.2M $4.2M
38.6%
PE
USD → PEN · Perú
CCE Inmediato · interoperable
 SWIFT MT103 CCE + Yape $13.2M $3.1M
7.2%
Aggregate · 6 corridors selected Trapped $387.4M Daily $98.1M Blend σ 14.8% 6/6 ON
02 Liquidity Waterfall · Nostro Release Trapped capital → instant-rail release · still-held residual
Horizon · 90-day rolling · steady state post-cutover
Nostro pre-funding (today) Released by A2A rail Held — compliance / ops float Net deployable capital
500M 400M 300M 200M 100M 0 USD 487.4M NOSTRO TODAY SWIFT · T+1.7 −132.0M PIX RELEASE BR · INSTANT −110.0M SPEI RELEASE MX · INSTANT −50.0M Bre-B RELEASE CO · 30s −29.0M CCLV RELEASE CL · RTGS −26.0M USDC OVERLAY AR · TOKENIZED −12.4M CCE RELEASE PE · INSTANT 128.0M STILL HELD CMP · OPS · HEDGE FREED · 359.4M
03 Corridor FX Volatility · Risk-Weighted Return 30-day realised σ → haircut → redeployable yield
Model · Garman-Klass + EWMA(λ=0.94) · Basel III FRTB SA
Control
Blended corridor FX volatility

Drag to stress-test. The haircut applied to freed Nostro capital scales as haircut = σ × √(holding-days) × confidence(99%). At baseline the desk runs at 14.8% blended σ; capital controls in AR add tail risk above 25%.

Blended σ 30-day, vol-weighted by corridor
14.8% annualised
4% Calm 15% baseline 40% Tail
BRL BR
12.4%
MXN MX
9.1%
COP CO
15.8%
CLP CL
13.7%
ARS AR
38.6%
PEN PE
7.2%
Output
Risk-weighted annual return on freed capital
Annual return · post-haircut · 90d deploy horizon $19.4M USD Yield captured · 6.32% on $307.6M deployable
Base yield · target deploy
7.85%
LATAM short-dated sovereigns · USD blend
FX haircut applied
−14.4%
on freed capital · 99% CVaR · 90d hold
Carry cost avoided
+$19.4M
vs SWIFT nostro pre-funding · steady state
Break-even σ
28.4%
vol above which A2A savings < legacy carry
Model Rw = Cfreed · ybase · (1 − σ·√τ·z99) → $19.4M
04 Migration Path · Q2 ’26 → Q1 ’28 Risk-controlled cutover · corridor-by-corridor
Owner · D. Restrepo · Treasury Steering Co · biweekly
✓Phase 01 · Q2 '26
Pilot · BR + MX
10 May → 30 Jun '26
  • PIX gateway · ISO 20022 wrapper
  • SPEI dual-rail with Banxico sandbox
  • Reconciliation harness · T+0 attestation
  • $240M nostro reduction · signed
●Phase 02 · Q3 '26 — current
Andean Tier · CO + CL
01 Jul → 30 Sep '26
  • Bre-B technical onboarding · BanRep
  • FX hedge re-collateralization · $38M
  • CCLV connectivity certification
  • Treasury policy update · Basel III sign-off
Phase 03 · Q4 '26
Stablecoin Overlay · AR + PE
01 Oct → 31 Dec '26
  • USDC custody · Anchorage / BitGo
  • Cross-border AR settlement · capital ctrl carve-out
  • CCE Inmediato live · interop with Yape
  • Conditional payment scripts · escrow tests
Phase 04 · 2027 → '28
SWIFT Decommission
Q1 '27 → Q1 '28
  • Correspondent bank consolidation · 11 → 3
  • Nostro account closures · $360M+ release
  • Legacy MT103/MT202 sunset · CBPR+ exit
  • Final Tesoreria charter update
Payments & Treasury

Migrating rails or unlocking trapped capital?

ISO 20022 cutover, A2A migration, FX netting, nostro optimization and real-time fraud — built in production, not slideware. Let's map your move.

Talk to our team →
Post Oak Labs · production deployments in the Caribbean & South Asia · works with a limited number of institutions at a time
Modeler runs client-side · no PII transmitted · figures illustrative · reproduce with your own SAP / Kyriba / FIS feed via the Treasury API kit.
Methodology Export CSV API Docs Privacy
Liquidity Mandate · validated against AP2 v1.0 schema Copied ✓