Chapter 475
Mexican Funding TIIE (Monthly Contracts) Futures
47500.

SCOPE OF CHAPTER
This chapter is limited in application to Mexican Funding TIIE (Monthly Contracts) Futures (“futures”or “contract”). In addition to this chapter, futures shall be subject to the general rules andregulations of the Exchange insofar as applicable.
Unless otherwise specified, times referenced herein shall indicate Chicago time .

47501.

CONTRACT SPECIFICATIONSEach contract is valued at 20,000 times the contract-grade IMM Index (Rule 47002.C.).

47502.

TRADING SPECIFICATIONS
47502.A. Trading Schedule
Contracts shall be scheduled for trading during such hours and for delivery in such months as may
be determined by the Exchange.
47502.B. Trading Unit
For a contract for a given delivery month, the unit of trading shall be compounded daily Overnight
Funding TIIE Rate (F-TIIE) interest during the contract Reference Month (Rule 47503.A.1.),
expressed as an interest rate per annum for which (i) such interest rate shall accrue on the basis of
the actual number of days spanned by such contract Reference Month, divided by a 360-day year,and (ii) each basis point per annum of such interest rate shall be worth 200 Mexican Pesos per
futures contract. The F-TIIE shall be published by the Banco de Mexico.
47502.C. Price Basis and Minimum Price Increments
For a contract for a given delivery month, prices shall be quoted and made in terms of the contract
IMM Index (“Index”), 100.0000 minus compounded daily F-TIIE interest rate during the contract
Reference Month, as specified in Rule 47502.B.
Example: Where the value of such compounded daily F-TIIE is 4.06 percent per annum, it
shall be quoted as an Index value of 95.94.
The minimum price fluctuation shall be 0.005 Index points, equal to 100 Mexican Pesos percontract.
47502.D. Position Limits, Exemptions, Position Accountability and Reportable Levels
The applicable position limits and/or accountability levels, in addition to the reportable levels, areset forth in the Position Limit, Position Accountability and Reportable Level Table in theInterpretations & Special Notices Section of Chapter 5.
A Person seeking an exemption from position limits for bona fide commercial purposes shall applyto the Market Regulation Department on forms provided by the Exchange, and the MarketRegulation Department may grant qualified exemptions in its sole discretion.
Refer to Rule 559 for requirements concerning the aggregation of positions and allowable
exemptions from the specified position limits.
47502.E. Special Price Fluctuation Limits
At the commencement of each trading day, the contract shall be subject to special price fluctuation
limits as set forth in Rule 589 and in the Special Price Fluctuation Limits and Daily Price Limits
Table in the Interpretations & Special Notices Section of Chapter 5.
47502.F. [Reserved]
47502.G. Termination of Trading
Trading in an expiring contract shall terminate at 5:00 p.m. Mexico City time on the last Mexican
Business day of the month.
47502.H. [Reserved]© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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47503.

SETTLEMENT PROCEDURES
Delivery shall be by cash settlement in Mexican Pesos.
47503.A. Final Settlement Price
1. Definition of Reference MonthFor a contract for a given delivery month, the Reference Month shall be the interval that begins on
the first day of each month and ends on the last day of the same month.
Example: For a hypothetical contract for which the delivery month is June 2021, the Contract
Reference Period shall start on Tuesday, June 1, 2021. The Contract Reference Period shallend on Wednesday June 30, 2021.
2. Definition of Final Settlement Price
For a contract for a given delivery month, the Final Settlement Price shall be 100 minus
compounded daily F-TIIE rate during the contract Reference Period (“R”), as follows:

Final Settlement Price = 100 – RR
3i.

Πi([ΠiD {1+( 1 / 360)*(ri / 100)} ] –1 ) x (360/D) x 100
Running variable indexing calendar days during the monthly reference
periodCapital pi (Π) indicates the terms of the series should be compounded. It isthe product of values indexed by the running variable, i= 1,2,…,n.
F-TIIE value for ith day
Number of calendar days to which ri applies
Σidi (ie, number of calendar days in monthly reference period)

Co ri
mdi
pDut
ational Conventions
The final settlement price for an expiring contract shall be calculated and published by theExchange on the day on which the Bank of Mexico publishes the F-TIIE value for the last day ofsuch contract’s Reference Period at 5:00 p.m. Mexico City time (Rule 47503.A.1.).
The F-TIIE value for the last day of such expiring contract’s Reference Month shall be as firstpublished by the Bank of Mexico.
The value of R determined pursuant to Rule 47503.A.2. shall be rounded to the nearest 1/10,000thof one percent per annum, ie, the nearest 1/100th of one interest rate basis point per annum, or0.0001 Index points. A tie value, ie, any such value ending in ending in 0.00005, shall be roundedup.
Example: A value of 4.14155 percent per annum would be rounded up to 4.1416 percent perannum, and then subtracted from 100.000 to determine a contract final settlement price of
95.8584 Index points.
47503.B. Final Settlement
Clearing members holding open positions in a contract at the time of termination of trading in suchcontract shall make payment to or receive payment from the Clearing House in accordance withnormal variation performance bond procedures based on a settlement price equal to the final
settlement price.

47504.-35. [RESERVED]DISCLAIMER
F-TIIE is copyright the Bank of Mexico. The trademarks "Bank of Mexico" and "F-TIIE" areregistered trademarks of the Bank of Mexico. All Rights Reserved. The F-TIIE benchmark
Includes the proprietary Information of the Bank of Mexico, and the data comprising the benchmark
may not be copied or distributed except as specifically authorized. The F-TIIE benchmark is notintended to be relied upon as authoritative or taken in substitution for the exercise of judgement.
The F-TIIE benchmark is not, and should not be construed as, an offer, bid or solicitation in relation
to any financial instrument. The Bank of Mexico does not guarantee, and expressly disclaims any© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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liability for, and makes no representations or warranties, whether express or implied, as to thecurrency, accuracy, timeliness, completeness or fitness for any particular purpose of the F-TIIEbenchmark. The Bank of Mexico accepts no liability whatsoever for any loss (including, but notlimited to any direct, indirect or consequential loss, whether or not such loss is foreseeable andwhether or not the Bank of Mexico has been apprised of the use to which the F-TIIE benchmark will
be put) howsoever arising from the use, the timeliness of delivery or the failure of delivery of the FTIIE benchmark.

(End Chapter 475)

© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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