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Banxico waiver prompts rethink on benchmark transition plans

Dealers weigh basis risk against longer-dated swap hedges as CME consults on new conversion plan

Banxico trade turmoil
Credit: Alfonso21 https://shorturl.at/glIM8

The Mexican central bank’s decision to soften trading curbs on legacy instruments linked to its outgoing interbank lending rate has thrown the market for spin. 

Clearing houses and dealers have been preparing to transition away from the 28-day Interbank Equilibrium Interest Rate, or TIIE, ahead of a ban on the benchmark’s use in swap trades – originally scheduled to take effect on January 1, 2025.

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