FpML Issues Tracker

1367: Missing Value in Reference Data

January 20, 2025

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tehmina.mamooon@scotiabank.com

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Summary

Hello,

A new Mexican Overnight Index F-TIIE was introduced December of last year (2024), however we do not see it yet being included in reference data list. Could you please advise when it will be included in reference data?

MXIBTIEF = also known F-TIIE similar to SFOR is new BRR rate using repo rate replacing TIIE which is interbank rate similar to LIBOR, however we do not see it in reference data catalogue

For more information on new index: Mexican Funding TIIE (Monthly Contracts) Overview

Notes:

  • JasonPolis

    01/20/25 11:49 am

    I’ve asked ISDA’s products team, if it’s different to the existing FROs:

    • MXN-TIIE
    • MXN-TIIE ON
    • MXN-TIIE ON-OIS Compound

    They’ve responded that:

    There was a methodology change but as far as we are aware the synthetic rate continues to be published on the same screen under the same name and therefore the existing FRO name still applies

    Feel free to put them in touch though if they have any further questions/concerns.

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