Our F-TIIE futures settle at an annualized compounded F-TIIE rate using an actual/360 day-count convention. The standard formula used is:

This formula compounds each daily rate over the days it applies, accumulating interest as a geometric product. The final rate is annualized by raising the compounded value to the power, where it captures the total span of the compounding period.

The Central Bank of Mexico publishes F-TIIE only on Mexican business days. On weekends and holidays, no new rates are available. To ensure continuity in the compounding process, the most recent available rate is applied to all subsequent non-business days until the next rate is published. For example, the December 25, 2024 Christmas holiday occurred on Wednesday, in the middle of the week. While typical weekends have a three-day count period, a Monday weekend like Constitution Day on February 3, 2025 resulted in a four-day count period. The table below captures those scenarios, observed F-TIIE rates‌ and the daily interest accumulation factor (DIAF).

The introduction of our Three-Month F-TIIE futures, with a listing cycle of 21 quarterly contracts, offers significant benefits for interest rate swap (IRS) and derivatives users. One of the primary advantages is the extensive term structure coverage. With 21 quarters, the futures contracts provide five years of F-TIIE interest rate term structure. This extended coverage is particularly valuable as it aligns well with ‌typical interest rate swaps (IRS) activity in Mexico, where many swaps and derivatives are structured over multi-year periods. 

Where the monthly F-TIIE futures contract is directly comparable to the Bondes interest rate calculation; the compounding methodology of the Three-Month F-TIIE futures contract aligns with the standard IRS compounding practices. This alignment ensures that ‌Three-Month F-TIIE futures contracts accurately reflect the underlying interest rate dynamics, making them a reliable tool for hedging and pricing. Swap dealers and structured product issuers can use these contracts with confidence, knowing that they're directly comparable to the instruments they're hedging. This consistency is crucial for maintaining the integrity of hedging strategies and ensuring that risk management objectives are met.

The alignment of the Three-Month F-TIIE futures with IMM dates is a crucial feature that enhances the utility and flexibility of these futures contracts. IMM dates are standardized settlement dates used in the global financial markets, and they are widely recognized and used for a variety of financial instruments, including our Mexican Peso futures. By aligning the Three-Month F-TIIE futures contract with these dates, we ensure that these contracts are seamlessly integrated into the broader financial ecosystem, making them more accessible and practical for a wide range of market participants.

One of the most significant benefits of this alignment is the ability to calculate a synthetic and executable domestic spot USDMXN (U.S. dollar to Mexican peso exchange rate). Market participants can achieve this by observing the price of the Mexican Peso futures and discounting it using the aligned Three-Month F-TIIE futures contract. This process provides a precise and reliable method for determining the spot exchange rate, which is essential for various financial activities, including hedging and trading.

For example, a trader looking to hedge their exposure to the Mexican peso can use Mexican Peso futures to manage their currency risk and the Three-Month F-TIIE futures contract to manage their interest rate risk. By combining these two instruments, the trader can create a synthetic position that closely mirrors the underlying cash instruments. This synthetic position can be used to execute trades and manage risk more effectively, providing a powerful tool for both hedging and speculative strategies.

The alignment of the Three-Month F-TIIE futures contract with IMM dates opens up additional opportunities for risk management and arbitrage. Market participants can identify and capitalize on discrepancies between futures prices and the underlying cash instruments. This alignment ensures that the futures market remains efficient and that market participants have the tools they need to manage their risks effectively.

The introduction of our Three-Month Mexican Funding TIIE futures marks a significant advancement in the Mexican interest rate market. While One-Month F-TIIE futures are ideal for short-term risk management, the Three-Month F-TIIE futures contract provides a robust tool for managing longer-term and more complex exposures. 

Corporates, swap dealers‌ and structured product issuers can now leverage these contracts to better align their hedging strategies with their specific needs, whether it be for month-end financial processes or for pricing interest rate swaps and structured notes. 

Integrate both One-Month F-TIIE and Three-Month F-TIIE contracts into risk management strategies to better navigate the dynamic interest rate environment, ensuring greater financial stability and operational efficiency.

Hypothetical non-listed Three-Month F-TIIE contract for the period of time during the IMM dates from December 18, 2024 until March 18, 2025. In this example, the date of F-TIIE publication is listed as obtained from the Bank of Mexico. The associated day count is calculated and applied to the daily interest accumulation factor (DIAF).  The product of the 91 days of DIAF are calculated and displayed on the first line of this table (Pi i Term). The actual / 360 daycount conversion then annualizes that figure. The final price is 100 less the rounded rate.

<sup>*DIAF = {1+(day count i/360)*(FTIIE rate i/100)}

Three-Month F-TIIE futures launched April 28, 2025</sup>