A change of TIIE: the knotty issue of Mexico’s benchmark switch

Outlier fallback methods and narrow window to build F-TIIE derivatives liquidity make for ambitious transition plan

At the end of this year, Mexico will replace its 28-day Interbank Equilibrium Interest Rate (TIIE) with a new risk-free rate, TIIE de Fondeo – known as F-TIIE or Funding TIIE.

But someone might need to tell the derivatives markets, which have been slow to take up the new rate. As of February 21, F-TIIE futures – launched by CME in 2021 – had open interest of just 178 contracts across all maturities. In over-the-counter markets, F-TIIE swaps only began trading this month, when CME launched the