CME Group announced it successfully converted approximately 42 trillion pesos, equivalent to $2 trillion, in outstanding notional open interest from 28-day TIIE swaps to corresponding F-TIIE overnight index swaps (OIS) on November 22. This significant conversion aligns with global best practices for benchmark transitions. It advances Banco de México's move to a risk-free rate.
As the primary central counterparty for Mexican interest rate swaps, CME Group played a crucial role in expediting the adoption of F-TIIE. The new F-TIIE benchmark shifts the calculation of Banco de Mexico's rate from a survey-based methodology to one based on overnight repo transactions. This enhances market transparency and liquidity.
CME Group launched its F-TIIE OIS clearing service to provide critical infrastructure for clients navigating this benchmark transition. The company will continue to offer daily conversion support for remaining 28-day TIIE swaps through December 31, 2025. This initiative strengthens CME Group's comprehensive hedging solutions and efficiencies across the Mexican interest rate curve.
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