Cleared OTC Interest Rate Swaps
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Cleared MXN 28D TIIE swaps transition
As a part of the global transition to risk-free rates, Mexico will be transitioning from 28D TIIE to the TIIE de Fondeo, or F-TIIE, for its benchmark interest rate. CME Group is working to help facilitate this transition for cleared swaps.
Supported Products
Download Product Scope| Fixed/Float Currency |
Tenor Years | Index Months |
||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 10 | 11 | 15 | 21 | 31 | 51 | 1 | 3 | 6 | ||
| USD* | ICE LIBOR | |||||||||
| EUR | EURIBOR | |||||||||
| GBP* | ICE LIBOR | |||||||||
| CAD | CDOR | |||||||||
| JPY* | ICE LIBOR | |||||||||
| CHF* | ICE LIBOR | |||||||||
| AUD | BBR | |||||||||
| SEK | STIBOR | |||||||||
| DKK | CIBOR | |||||||||
| NOK | NIBOR | |||||||||
| MXN | 28d | TIIE-BANXICO | ||||||||
| KRW | KRW-CD-KSDA- BBG | |||||||||
| CLP | CLP-TNA (Indice Cámara Promedio) | |||||||||
| NZD | BBR | |||||||||
| HKD | HIBOR | |||||||||
| HUF | BUBOR | |||||||||
| CZK | PRIBOR | |||||||||
| PLN | WIBOR | |||||||||
| ZAR | JIBAR | |||||||||
| CNY | CNY-CNREPOFIX=CFXS-Reuters | |||||||||
| USD | BSBY | |||||||||
* Clearing support for LIBOR indexed swaps will be limited to spot and forward starting trades following the index cessation effective dates. Any LIBOR indexed swaps submitted for clearing will be converted to a corresponding risk free rate (RFR) swap
| Zero Coupon Swaps | ||||
|---|---|---|---|---|
| USD* | EUR | GBP* | 51 years | |||
| CLP | 20 years | |||
| BSBY | 11 years | |||
| BRL | 10 years | |||
| Overnight Index Swap (OIS) | ||||
| USD - Fed Funds | 51 years | |||
| USD - SOFR | ||||
| GBP - SONIA | ||||
| EUR - €STR | ||||
| AUD - AONIA | 31 years | |||
| CAD - CORRA | ||||
| JPY - TONA | ||||
| CHF - SARON | ||||
| SGD - SORA | 21 years | |||
| COP - IBR | 20 years | |||
| INR - MIBOR | 10 years | |||
| Basis Swaps | ||||
| EUR | 51 years | |||
| SOFR vs. Fed Funds | ||||
| €STR vs. EURIBOR | ||||
| AUD | 31 years | |||
| BSBY vs. SOFR | 11 years | |||
| Forward Rate Agreements (FRA) | ||||
| EUR | AUD | CAD | 3 Days – 3 Years | |||
| NZD | PLN | SEK | ZAR | ||||
| CZK | DKK | HUF | NOK | HKD | 3 Days – 2 Years | |||
11/30/2023 volume includes approximately USD 673.07B from multilateral compression and resulted in USD 673.07B in OI reduction.
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