Mexican Overnight TIIE Funding Rate (F-TIIE) futures bring liquidity and enhanced risk management to Mexico’s short-term funding markets, while also supporting the objectives of the Central Bank of Mexico to develop a domestic funding curve on the F-TIIE rate – an IOSCO compliant, risk-free reference rate based on the highly developed and liquid Mexican repo market.
Complementing CME’s leading cleared OTC Mexican TIIE interest rate swaps market, F-TIIE futures will trade alongside CME SOFR futures and MXN/USD FX futures to offer a comprehensive hedging solution for the short-end of the Mexican curve. Spread trading and margin offset opportunities will also be available vs. SOFR, Eurodollar, and Fed Funds futures.
Spreading opportunities vs. 28-day TIIE rate
F-TIIE complements the 28-day forward looking rate either by supplementing risk or providing offset that is similar to IBOR/OIS trades in the United States.
Efficient hedge for Mexican Bondes F
F-TIIE futures mirror the underlying rate and the method of coupon calculation of Bondes F, making F-TIIE futures an ideal hedge or overlay for these securities.
Precise hedge for central bank
policy
Monthly F-TIIE futures offer an efficient tool for expressing a view or hedging risk around Central Bank of Mexico policy changes.
Creates discounting curve and benchmark for cross currency swaps
F-TIIE futures will help create a curve for domestic discounting of cash flows while also creating a benchmark for trading cross currency swaps vs. SOFR.
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Reference rate |
Overnight TIIE Funding Rate as published by Banco de Mexico (F-TIIE), compounded daily over monthly reference period. |
Pricing methodology |
100 minus yield |
Number of contract listings |
25 |
Listing dates |
Monthly: First day of each month |
Contract notional currency |
Mexican peso |
Approximate contract size (contract is technically defined by its IMM index) |
23-25 million Mexican pesos |
Value of 1 bp |
200 Mexican pesos |
IMM index value |
20,000 Mexican pesos |
Variation margin currency |
Mexican peso |
Fee currency |
USD |
Minimum price increment |
1 basis point |
Delivery months |
Nearest 25 calendar months |
Termination of trading |
Last good business day of the month |
Delivery |
Cash settlement in Mexican peso, by reference to Final Settlement Price, on day following Last Day of Trading |
Final settlement price |
Contract-grade IMM index evaluated on the basis of realized, compounded F-TIIE values during the monthly contract reference period, where every calendar day is assigned a rate. Business days are assigned the F-TIIE rate published at 5:00 pm on that day and non-business days are assigned the F-TIIE rate published on the previous good business day. |
Trading hours |
SUN - FRI: 5:00 p.m. - 4:00 p.m. CT |
Block threshold |
10 contracts |
Electronic execution methods |
Central Limit Order Book Block (D)RFQ Committed Cross Strips |
CME Globex algorithm |
Allocation – A algorithm |
Product code |
CME Globex: TIE |
| FIRM | CONTACT | PHONE | TIMES | |
|---|---|---|---|---|
| Banorte | Diego Rosales | +5255 1103 4017 | RTH | |
| Banco Monex | Pedro Arroyo | +5255 5231 0168 | RTH | |
| BBVA Mexico | Eduardo Becerra | +5255 5621 9111 | RTH |
A fast, secure, and highly configurable trading front end, CME Direct offers a one-stop shop for accessing F-TIIE futures liquidity across CLOB trading, RFQs, and block negotiation/reporting workflows. The software is offered free of charge to institutional market participants, with real-time market data fee-waivers also available.
Download the F-TIIE futures trading grids
- Right click on the buttons below
- Save the files as an .XML on your computer
- In CME Direct, select import view in the main menu
- Import the grid into CME Direct
- Under Menu, click on Save Window Layout
Not on CME Direct? Get started.
CME is the global leader in MXN TIIE swap clearing:
- 2021 Q1 average daily volume reached $20.6 billion
- 260 participants clearing to date
- >40 liquidity providers
- Cleared volumes out to 31 years
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