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 will be limited to spot and forward trades for swap products where an index cessation or modification effective date has occurred. Any IBOR indexed swaps submitted for clearing will be converted to a corresponding risk free rate (RFR) swap.
** Effective from July 13, 2024, clearing support for USD BSBY will be limited to swaps only with fixings prior to the November 15, 2024 cessation date.
| 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 | ||||
| MXN – Funding TIIE | ||||
| 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 | |||
| Forward Rate Agreements (FRA) | ||||
| EUR | AUD | 3 Days – 3 Years | |||
| NZD | PLN | SEK | ZAR | ||||
| CZK | DKK | HUF | NOK | HKD | 3 Days – 2 Years | |||
12/17/2024 volume includes approximately MXN 7.59T from multilateral compression and resulted in MXN 7.59T in OI reduction
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