CME Group Completes Primary Conversion of 28-Day TIIE Interest Rate Swaps for Mexican Market

Rhea-AI Summary

CME Group has successfully converted approximately 42 trillion pesos ($2 trillion) in outstanding notional open interest from 28-day TIIE swaps to F-TIIE overnight index swaps on November 22. The conversion involved 90,000 swaps and aligns with Banco de México's transition to a risk-free rate benchmark based on overnight repo transactions rather than survey-based methodology. CME Group will continue providing daily conversion support for remaining 28-day TIIE swaps through December 31, 2025. The company also offers F-TIIE futures alongside SOFR futures and MXN/USD FX futures for comprehensive hedging solutions.

Positive

• Successfully converted $2 trillion worth of interest rate swaps to new benchmark
• Strengthens position as primary central counterparty for Mexican interest rate swaps
• Expands product offering with F-TIIE futures and comprehensive hedging solutions

Negative

• None.

• 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. 

CME Group, the Globe logo, CME, Chicago Mercantile Exchange, Globex, and E-mini are trademarks of Chicago Mercantile Exchange Inc.  CBOT and Chicago Board 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 Exchange, Inc. BrokerTec is a trademark of BrokerTec Americas LLC and EBS is a trademark of EBS Group LTD. The S&P 500 Index is a product of S&P Dow Jones Indices LLC ("S&P DJI"). "S&P®", "S&P 500®", "SPY®", "SPX®", US 500 and The 500 are trademarks of Standard & Poor's Financial Services LLC; Dow Jones®, DJIA® and Dow Jones Industrial Average are service and/or trademarks of Dow Jones Trademark Holdings LLC. These trademarks have been licensed for use by Chicago Mercantile Exchange Inc. Futures contracts based on the S&P 500 Index are not sponsored, endorsed, marketed, or promoted by S&P DJI, and S&P DJI makes no representation regarding the advisability of investing in such products. All other trademarks are the property of their respective owners. 

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SOURCE CME Group

FAQ

What was the value of TIIE swaps converted by CME Group in November 2024?

CME Group converted approximately 42 trillion pesos (equivalent to $2 trillion) in outstanding notional open interest from 28-day TIIE swaps to F-TIIE overnight index swaps.

When will CME Group complete the TIIE swap conversion process?

CME Group will continue providing daily conversion support for remaining 28-day TIIE swaps through December 31, 2025, based on Banco de México's guidance.

How many TIIE swaps did CME Group convert in the primary conversion?

CME Group converted 90,000 28-day TIIE swaps to F-TIIE overnight index swaps in the primary conversion.