CME Group Achieves Milestone With Conversion of TIIE Interest Rate Swaps in Mexico

CME Group Successfully Converts TIIE Interest Rate Swaps

CME Group, the leading derivatives marketplace globally, has made significant strides in the Mexican derivatives market by converting approximately 42 trillion pesos, equivalent to around 2 trillion dollars, in outstanding notional open interest from 28-day TIIE swaps into corresponding F-TIIE overnight index swaps (OIS). This conversion was successfully executed on November 22, 2024, in line with the best international practices.

The shift to the F-TIIE benchmark represents a major change in how Banco de Mexico's benchmark rate is calculated. Rather than relying on a survey-based methodology, the new system is now anchored in overnight repo transactions, promoting a more trustworthy and stable financial environment.

Agha Mirza, the Global Head of Rates and OTC Products at CME Group, expressed optimism about the conversion, stating, "Our work in transitioning 90,000 28-day TIIE swaps to the new F-TIIE benchmark underscores our commitment to supporting Banco de Mexico's efforts towards a risk-free rate. This initiative is vital for modernizing the framework within which Mexican interest rate swaps operate."

Gerardo Garcia, the General Director of Central Bank Operations at Banco de Mexico, emphasized the importance of this conversion. He conveyed sincere appreciation to CME Group and all participants involved, noting that this achievement is instrumental in enhancing liquidity in the market. Garcia stated, "The successful conversion highlights the fruitful collaboration among industry stakeholders and bolsters our aim to improve the financial infrastructure in Mexico."

In its ongoing effort to facilitate the transition, CME Group has rolled out its F-TIIE OIS clearing service. This service is designed to provide essential support for clients who are navigating through the benchmark transition. Additionally, CME plans to continue daily conversion assistance for any remaining 28-day TIIE swaps until December 31, 2025, adhering to the guidance established by Banco de Mexico.

Furthermore, CME Group is not solely focused on clearing F-TIIE index swaps. The group also provides F-TIIE futures, which are available for trading alongside SOFR futures and MXN/USD FX futures. This comprehensive offering delivers an all-in-one solution for those aiming to hedge their financial positions across the Mexican interest rate curve with unparalleled efficiency.

As a vital player in the global derivatives ecosystem, CME Group's efforts extend beyond this single initiative. The organization is committed to enabling market participants worldwide to effectively manage risks and seize opportunities across a diverse range of asset classes, from interest rates to equity indexes and commodities.

For more detailed information about the CME Group's conversion plan, interested parties can visit the official CME Group website.

By spearheading this noteworthy conversion, CME Group not only supports the growth of Mexico’s financial markets but also sets a precedent for effective collaboration among market stakeholders to foster an inclusive and robust trading environment. This transition is a testament to CME Group's dedication to fostering liquidity and innovation in global derivatives trading.