We list 25 monthly Mexican F-TIIE futures contracts on our central matching engine, Globex. Contracts in the first 12 months typically represent the market view of Central Bank policy.

These instruments allow market participants to hedge existing risks associated with changes to the Mexican interest rate or take a speculative view of upcoming policy adjustments. Contracts in the following year can be used to hedge long-term funding requirements.

Our F-TIIE futures settle at the end of each month, based on 100 minus the compounded average of each day’s Overnight TIIE Funding Rate.

F-TIIE rates are assigned to every day in a month, including weekends and holidays. On weekends and holidays, rates are assigned based on the previous business day’s rate. For example, the rate assigned to a Saturday and Sunday will be the same rate that was published for the Friday prior to the weekend (assuming Friday was not a holiday). The compounded mean is calculated including all days in a month such that the accrual period of interest is always one day.

At any given time, the quoted price of F-TIIE futures represents the market consensus of what the compounded daily average of the F-TIIE will be at the end of the month. The Central Bank of Mexico publishes the daily F-TIIE rate at approximately 5:00 p.m. U.S. Central Time (CT) each day.

In normal conditions one would expect the rates of overnight TIIE funding to fluctuate in a range near to the current policy rates. This gives the curve and anchor point. If the current month does not contain a Governing Board meeting, we might expect overnight rates to be relatively similar throughout the month and for the price of F-TIIE futures to reflect this. In a month where there is a meeting, the price of F-TIIE futures may not be the same as the prevailing overnight rates and this can be indicative of expectations of monetary policy change.

Comparing F-TIIE prices prior to a meeting date with those after we can determine what probability the market is placing on expectations for a Central Bank policy change at the meeting in between.

Let us work through an example. First, we note the dates of Central Bank of Mexico meetings in 2025¹:

The Central Bank of Mexico moved policy rates down from 7.50% to 7.25% at their meeting on November 6, 2025. If we review a sample of F-TIIE rates around that time, the effect is clear. The change of policy impacts rates from the day following the meeting:

Looking at the F-TIIE contract forward curve, observing on December 1, 2025:

We can see from the table above that the prices of F-TIIE futures potentially indicate a market expectation of a downward trend in interest rates between January 2026 and February 2026 of 10 basis points from 7.050% to 6.950%.

More precisely, when looking at February, the implied average in the preceding month’s daily publications of F-TIIE rates were at 7.050%, and we assume this level of rates prevails (again on average) until a policy change on February 6, 2025. 

Hence, we can model the month of February as being six days of 7.050% plus 22 days of a lower rate that will return the value of the futures price of 93.050 or 6.950%.

Rearranging for x:

x = 6.92%

Thus, we now have average F-TIIE rates prior to the central bank meeting at 7.05% and average implied F-TIIE rates after the meeting at 6.92%, indicating an expected change of 13bp rather than the 10bp suggested by the simple spread of prices between futures.

Assuming rate moves are in increments of 25bp, the probability of a hike or cut can be expressed as the calculated spread divided by 25. The simple calculation implies 10/25 = 40% probability of a rate rise, while the more precise calculation indicates 13/25 = 52%.

In the previous section, we saw how to accurately measure the probability of rate changes implied by market prices. Once we have that measurement, we may want to hedge or manage risk for a different outcome. If you wanted to protect against rates moving on an unchanged policy or simply disagreed with the market pricing of implied rates after the Banco meeting, you may want to buy contracts that expire further out. 

Traders can capture the spread between January 2026 and February 2026 F-TIIE futures by speculating on whether the implied 25 basis point rate cut is overpriced or underpriced. If they believe the market is overestimating the size of the coming rate cut, they could buy January futures and sell February futures. January futures prices would rise, and February futures would fall, allowing traders to profit from the compression of the spread. 

Conversely, if traders believe the market is underpricing the rate cut, they might sell January futures and buy February futures, expecting the implied spread to widen further. This approach assumes a steeper cut, with January futures losing value as their implied rate remains high and February futures gaining value as their implied rate reflects a deeper cut. In both scenarios, the profitability hinges on accurately forecasting the Banco’s monetary policy action and timing the adjustment of market expectations.

Our F-TIIE futures provide a straightforward way for market participants to try and protect themselves against risks associated with changes to Mexican interest rates or to take a speculative view of potential policy changes.

Housed alongside our market-leading U.S. fixed-income franchise, the F-TIIE contracts should also benefit from margin offsets that increase the efficiency in capital terms of trading the Mexican F-TIIE.

Stated another way we have the following: