Cme group completes primary conversion of 28-day tiie interest rate swaps for mexican market

90,000 swaps converted to banco de mÉxico's f-tiie risk-free rate shift brings greater liquidity to developing derivatives market chicago , nov. 25, 2024 /prnewswire/ -- cme group, the world's leading derivatives marketplace, today announced that it successfully converted approximately 42 trillion pesos (the equivalent of $2 trillion) in outstanding notional open interest from 28-day tiie swaps to corresponding f-tiie overnight index swaps (ois) on november 22. in alignment with global best practices, the new f-tiie benchmark moves the calculation of banco de mexico's benchmark rate from a survey-based methodology to one based on overnight repo transactions.
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