F-TIIE Resource Center
F-TIIE NOW: Preparing for a seamless switch with Banco de México
Everything you need, all in one place
You’ll find everything you need here to help prepare you for the F-TIIE transition. We’ll continue to provide updates, along with best practices and guidance from our experience with market participants, the central bank and clearing houses.
Deep regulatory experience
We can pull from our extensive experience helping clients navigate regulatory reform and RFR transitions from MiFID II to LIBOR and beyond.
Background
The current reference rate for Mexico’s $4.3 trillion peso-denominated interest rate swaps
market,
known as the Tasa de Interés Interbancaria de Equilibrio (TIIE) or Interbank Equilibrium Interest
Rate
will transition to the new overnight benchmark, TIIE de Fondeo (F-TIIE), effective January 1,
2025. The
transition provides an opportunity to move the benchmark rate in line with most international
industry
standards.
- Benchmark rates: TIIE-28, TIIE-91 and TIIE-182
- New methodology, same TIIE rate in terms of ticker and index so non-disruptive for end users
The current reference rate for Mexico’s $4.3 trillion peso-denominated interest rate swaps market, known as the Tasa de Interés Interbancaria de Equilibrio (TIIE) or Interbank Equilibrium Interest Rate will transition to the new overnight benchmark, TIIE de Fondeo (F-TIIE), effective January 1, 2025. The transition provides an opportunity to move the benchmark rate in line with most international industry standards.
- Benchmark rates: TIIE-28, TIIE-91 and TIIE-182
- New methodology, same TIIE rate in terms of ticker and index so non-disruptive for end users
Reference Rate Switch
Central Counterparty (CCP) Switch
Timeline for Transition
*Bank of Mexico issued a waiver that permits an additional one-year period for trading 28D TIIE contracts that expire by the end of 2025.
Industry Resources
Bank of Mexico
- Working Group on Alternative Reference Rates in Mexico (GTTR)
- Representative Interest Rates
- Determining the Overnight Interbank Funding Rate
CME Group: Clearing & Settlement
- Conversion Pricing Using Bank of Mexico Modification Formula
- Operational Processing, Trade Messaging and Reporting
- Conversion Methodology and Examples
London Clearing House (LCH)
Awards
