Mexican Funding TIIE futures

Now trading

Mexican peso-denominated, monthly futures contracts based on the Central Bank of Mexico’s Overnight TIIE Funding Rate (F-TIIE)

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.

Key benefits and applications

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 D

Mexican Bondes D coupon interest is calculated from a similar index using the same compounding method, making F-TIIE futures a near perfect 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.

Contract specifications

 

Mexican Funding TIIE Futures

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
Bloomberg: TEIA <Comdty>
DTN: @TIE
Refinitiv, TT, CQG, Fidessa, FIS Global, ION, Itiviti, Vela: TIE

Block market makers

FIRM CONTACT PHONE EMAIL TIMES
Banorte Diego Rosales +5255 1103 4017

diego.rosales.alvarado@banorte.com

DROSALES14@bloomberg.net

RTH
Banco Monex Pedro Arroyo +5255 5231 0168

parroyo@monex.com.mx

parroyoespin@bloomberg.net

RTH
BBVA Mexico Eduardo Becerra +5255 5621 9111

eduardo.becerra@bbva.com

EDBECERRA@bloomberg.net

RTH

Trade F-TIIE on CME Direct

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

  1. Right click on the buttons below
  2. Save the files as an .XML on your computer
  3. In CME Direct, select import view in the main menu
  4. Import the grid into CME Direct
  5. Under Menu, click on Save Window Layout

TIE futures

TIE blocks

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F-TIIE futures complement CME Cleared Mexican TIIE Interest Rate Swaps

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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