December 2024 Rates Recap

The primary conversion from 28-day TIIE to F-TIIE in the Mexican interest rate swap market is now complete. Approximately 42 trillion pesos (roughly $2 trillion) in outstanding open interest (OI) was converted on November 22, accelerating the move to the new risk-free rate in Mexico. Thanks to all involved across the industry who made this a smooth transition. 

With this OTC market liquidity now shifted to the new rate, participants can also look to our F-TIIE futures to help manage the short end of the Mexican curve.

Discover F-TIIE futures

Two important developments highlight our continued commitment to developing the €STR ecosystem.

First, the recent launch of Term €STR provides the market with a calculation grounded in daily transactions and official exchange market prices, underpinned by over €135 billion in transaction data.

Additionally, Cross-Currency Basis futures are coming February 3, 2025.* This will allow participants to manage EUR/USD cross-currency risk with a single futures contract.

Explore the expanding world of €STR at CME Group:

• Term €STR

• Cross-Currency Basis futures

• €STR futures

Utilize our new Credit futures Analytics to calculate DV01/CR01 risk metrics, futures fair value, tracking error against the underlying indices and more for our Credit futures suite.

Our latest research article examines how well all three Credit futures contracts track their underlying indices, demonstrating how index exposure can be managed using Credit futures.

See how Credit futures track underlying indices

Volatility in overnight SOFR rates has traders turning to SOFR inter-commodity spreads (ICS) to manage/capture basis risk vs. EFFR and T-Bills.

1M SOFR vs. Fed Funds (SR1-ZQ) ICS saw record monthly ADV (87K) and a single-day high (333K) in November as spreads narrowed to levels last seen in July.

3M SOFR vs. T-Bill (SR3-TBF3) ICS were also active as traders managed SOFR volatility relative to bill portfolios.

Track basis spreads with STIR Analytics