Banxico ops chief confident on swaps reference rate transition
Major exchanges to introduce TIIE de fondeo on November 22, with derivatives liquidity expected to grow
The shift of derivatives contracts away from referencing the scandal-plagued interbank offered rates to a new benchmark is expected to take place in Mexico largely on schedule, according to a senior central bank official.
The conversion of swaps linked to the TIIE 28 days reference rate to the new overnight TIIE de fondeo (F-TIIE) benchmark is expected to take place tomorrow (November 22) on three important exchanges: CME, LCH and Asigna. This will clear the way for counterparties to trade swaps
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