- 90,000 swaps converted to Banco de México's F-TIIE
risk-free rate
- Shift brings greater liquidity to developing derivatives
market
CHICAGO, Nov. 25,
2024 /PRNewswire/ -- CME Group, the world's leading
derivatives marketplace, today announced that it successfully
converted approximately 42 trillion
pesos (the equivalent of $2
trillion) in outstanding notional open interest from 28-day
TIIE swaps to corresponding F-TIIE overnight index swaps (OIS) on
November 22.
In alignment with global best practices, the new F-TIIE
benchmark moves the calculation of Banco de Mexico's benchmark rate from a survey-based
methodology to one based on overnight repo transactions.
"Our conversion of 90,000 28-day TIIE swaps will help advance
Banco de México's transition to a risk-free rate," said
Agha Mirza, CME Group Global Head of
Rates and OTC Products. "As the primary central counterparty for
Mexican interest rate swaps, we appreciate the opportunity to work
with market leaders in expediting the adoption of F-TIIE."
"Banco de México expresses its sincerest gratitude to CME Group
and all participants in the conversion for their significant
contribution to Mexico's F-TIIE
transition," said Gerardo Garcia,
General Director of Central Bank Operations at Banco de México.
"This milestone conversion of interest rate swaps to the new
benchmark brings enhanced market liquidity and highlights the
ongoing success of our collaboration with industry
stakeholders."
CME Group launched its F-TIIE OIS clearing service to provide
critical infrastructure for clients navigating the benchmark
transition. The company will continue to provide daily conversion
support for remaining 28-day TIIE swaps through December 31, 2025, based on guidance from Banco
de México.
In addition to clearing F-TIIE index swaps, CME Group
offers F-TIIE futures, which trade alongside SOFR futures and
MXN/USD FX futures, providing a comprehensive hedging solution and
unrivaled efficiencies across the entire Mexican interest rate
curve.
For more information on the CME Group conversion plan, please
visit here.
As the world's leading derivatives marketplace, CME Group
(www.cmegroup.com) enables clients to trade futures, options, cash
and OTC markets, optimize portfolios, and analyze data – empowering
market participants worldwide to efficiently manage risk and
capture opportunities. CME Group exchanges offer the widest range
of global benchmark products across all major asset classes based
on interest rates, equity indexes, foreign
exchange, energy, agricultural
products and metals. The company offers futures and
options on futures trading through the CME Globex platform, fixed
income trading via BrokerTec and foreign exchange trading on the
EBS platform. In addition, it operates one of the world's
leading central counterparty clearing providers, CME
Clearing.
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of Trade are trademarks of Board of Trade of the City of Chicago, Inc. NYMEX, New York
Mercantile Exchange and ClearPort are trademarks of New York
Mercantile Exchange, Inc. COMEX is a trademark of Commodity
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CME-G
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SOURCE CME Group
