INTEREST RATES

Mexican Funding TIIE Futures(Monthly Contracts):CONTRACT SPECIFICATIONS AND SETTLEMENT CALCULATION METHODOLOGYMEXICAN FUNDING TIIE FUTURES (MONTHLY CONTRACTS) SPECIFICATIONS*REFERENCE RATEOvernight TIIE Funding Rate as published by Banco de Mexico (F-TIIE), compoundeddaily over monthly reference period.

PRICING METHODOLOGY

100-yield

NUMBER OF CONTRACT LISTINGS25

LISTING DATESMonthly: First day of each month

CONTRACT NOTIONAL CURRENCY

Mexican peso

APPROXIMATE CONTRACT SIZE (CONTRACT IS
TECHNICALLY DEFINED BY ITS IMM INDEX)

23-25 million Mexican pesos

VALUE OF 1 BP

200 Mexican pesos

IMM INDEX VALUE

20,000 Mexican pesos

VARIATION MARGIN CURRENCY

Mexican peso

FEE CURRENCYUSDMINIMUM PRICE INCREMENT

1 basis point

DELIVERY MONTHS

Nearest 25 calendar months

TERMINATION OF TRADING

Last good business day of the month

DELIVERY

Cash settlement in Mexican peso, by reference to Final Settlement Price, on day
following Last Day of Trading

FINAL SETTLEMENT PRICE

Contract-grade IMM index evaluated on the basis of realized, compounded F-TIIEvalues during the monthly contract reference period, where every calendar day isassigned a rate. Business days are assigned the F-TIIE rate published at 5:00 pm onthat day and non-business days are assigned the F-TIIE rate published on theprevious good business day.

TRADING HOURSCME Globex

BLOCK THRESHOLD

10 contracts

ELECTRONIC EXECUTION METHODS

Central limit order book
Block
RFQ
Packs and bundles

CME GLOBEX ALGORITHM

Allocation – A algorithm

PRODUCT CODE

TIE

* subject to regulatory review

FINAL SETTLEMENT CALCULATION OF CME FUNDING-TIIE FUTURES (MONTHLY CONTRACTS)
The final settlement price for expiring Mexican Funding TIIE futures (monthly contracts) is 100 minus the overnight TIIE funding(F-TIIE) benchmark rate, compounded every day over the contract’s monthly reference period. The Monthly Reference Period for
Mexican Funding TIIE futures (monthly contracts) is the interval from the first day of the delivery month to, but not including thefirst day of the following month.
The overnight TIIE funding rate (F-TIIE) is published daily by the Bank of Mexico at approximately 5 p.m. (Mexico City time) and isbased on transactions on the day of publication relating to repo activity from the publish day to the immediate next business day.
An F-TIIE rate is assigned to every day in the contract month. Weekends and holidays are assigned the prevailing rate from the last
preceding day for which a rate was published. For example, the rate applied on Saturday, April 8 and Sunday, April 9 is the rate
published for Friday, April 7. Note that where the first day of the month is a weekend or holiday the previous good publication will
be from the prior month.
Exhibit 1 presents a sample calculation of the final settlement for the hypothetical January 2021 Mexican Funding TIIE futurescontract. Rates in red indicate that these have been assigned from the previous good publication date, for example the rate fromFriday, January 8 of 4.23% is assigned to both Saturday, January 9 and Sunday, January 10. Also note that the rate for Friday,January 1, Saturday, January 2 and Sunday, January 3 is assigned from Thursday, December 31, 2020.
PERIOD START DATE(ALL PERIODS ARE ONE DAY)F-TIIE OVERNIGHT
BENCHMARK RATE %COMPOUNDING TERMDAILY INTEREST
ACCUMULATION FACTOR

Friday-01-Jan-21

4.381.000122

1.000122

Saturday-02-Jan-21

4.38

1.000122

1.000243

Sunday-03-Jan-21

4.38

1.000122

1.000365

Monday-04-Jan-21

4.30

1.0001191.000485

Tuesday-05-Jan-21

4.29

1.0001191.000604

Wednesday-06-Jan-21

4.23

1.000118

1.000721

Thursday-07-Jan-21

4.21

1.000117

1.000838

Friday-08-Jan-21

4.23

1.000118

1.000956

Saturday-09-Jan-21

4.23

1.000118

1.001074

Sunday-10-Jan-21

4.23

1.000118

1.001191

Monday-11-Jan-21

4.22

1.000117

1.001309

Tuesday-12-Jan-21

4.25

1.000118

1.001427

Wednesday-13-Jan-21

4.32

1.000120

1.001547

Thursday-14-Jan-21

4.28

1.0001191.001666

Friday-15-Jan-21

4.29

1.0001191.001785

Saturday-16-Jan-21

4.29

1.0001191.001905

Sunday-17-Jan-21

4.29

1.0001191.002024

Monday-18-Jan-21

4.25

1.000118

1.002142

Tuesday-19-Jan-21

4.25

1.000118

1.002261

Wednesday-20-Jan-21

4.33

1.000120

1.002381

Thursday-21-Jan-21

4.30

1.0001191.002501

Friday-22-Jan-21

4.32

1.000120

1.002621

Saturday-23-Jan-21

4.32

1.000120

1.002742

Sunday-24-Jan-21

4.32

1.000120

1.002862

Monday-25-Jan-21

4.401.000122

1.002985

Tuesday-26-Jan-21

4.46

1.000124

1.003109

Wednesday-27-Jan-21

4.38

1.000122

1.003231

Thursday-28-Jan-21

4.35

1.000121

1.003352

Friday-29-Jan-21

4.39

1.000122

1.003474

Saturday-30-Jan-21

4.39

1.000122

1.003597

Sunday-31-Jan-21

4.39

1.000122

1.003719

Total number of days in month

31.00

Remove principal (-1)

0.003719177

Annualize (multiply by 360/[31]days in month)0.043190439

Rounded to 4 d.p in %4.3190Contract settle price95.6810

The final settlement price of CME F-TIIE monthly futures will be calculated by the Exchange based on the contract specifications
detailed above. We will compute an expiring contract’s final settlement price on the morning after the contract’s last trading day,when the overnight F-TIIE financing rate for the last day of the contract’s monthly reference period has become available. The
below set of definitions make this more precise:FINAL SETTLEMENT PRICE = 100 – RR([ΠiD {1+( 1 / 360)*(ri / 100)} ] –1 ) x (360/D) x 100iRunning variable indexing calendar days during the monthly reference period

ΠiCapital pi (Π) indicates the terms of the series should be compounded. It is the product of values
indexed by the running variable, i= 1,2,…,n.

ri

F-TIIE value for ith day

diNumber of calendar days to which ri appliesDΣidi (ie, number of calendar days in monthly reference period)

The final settlement price is computed so that the value of R is rounded to the nearest 1/10,000 of a percentage point (ie, thenearest 1/100 of one basis point, or 0.0001 percent per annum). In the case of a tie (a rate that ends with 0.00005 in percent perannum terms) the value of R will be rounded up.

Daily settlement

BlocksDaily settlement of Mexican Funding TIIE futures (monthlycontracts) is based on independently sourced market data
representing the F-TIIE yield curve. Such data is used to createa projection curve for F-TIIE spanning the full set of contract
expiries. Daily settlement prices are calculated from theseprojections based upon the contract’s final settlement
specifications. The nearest contract will also consider known,
historical F-TIIE benchmark rates in determining the daily
settlement price.

A block trade is a privately negotiated trade with an eligible
counterparty. Blocks trades have minimum sizes that must bemet. They can be negotiated either bilaterally between end
users or with the assistance of intermediating execution
brokers. These trades are not part of the central limit orderbook though their existence and details are reported via thesame data channels as the CLOB. Block trades are subject tospecific requirements as outlined in Rule 526 and theassociated Market Regulation Advisory Notice.

Settlement will generally be posted at or before 3 p.m. CT
based upon data representing the market at 2 p.m.

RFQ

Holiday calendars
The F-TIIE benchmark is published on every business day thatis not a weekend or holiday according to the exhaustive list ofMXN holidays provided by the Central Bank of Mexico here.

Execution methods
CME Globex central limit order book (CLOB)
CME Globex is the premier electronic trading system providing
global connectivity to the broadest array of futures and options
across all asset classes. CME Group technology facilitateselectronic trading, providing users across the globe with virtually
24-hour access to global markets. CME Globex is an open
access marketplace that allows you to directly enter your own
trades and participate in the trading process, including viewing
the book of orders and real-time price data. To access CME
Globex, customers must have a CME Group clearing firm
relationship, CME Group-certified trading application andconnectivity to CME Globex. Globex hosts the CME central limit
order book. Participants can view bids and offers submitted byothers and participate directly with those orders to facilitate
their own trading needs. User are able to see price and sizes oforders on the bid and ask of the market in real time.

Request for Quote (RFQ) is an anonymous, electronic
notification, sent to all CME Globex participants that expresses
interest in a specific strategy or instrument. RFQs can be utilized
across a variety of use cases including expressing interest ininstruments or strategies without live markets, or where anexisting price is wider in terms of bid / ask than is acceptable tothe participant. RFQs are broadcast to all CME Globex market
participants, and responding markets are active and tradable
via the CLOB. Where spreads are created, traders can executestrategies at one price eliminating leg risk. Learn more
DRFQ
Directed Request for Quote (DRFQ) is a feature within CME
Direct which enables the private, bilateral off-exchange
negotiation of block trades between disclosed counterparties,
together with the ability to seamlessly report any agreed deals
via CME ClearPort. DRFQs can be sent and received between
any CME Direct users who have agreed to establish a DRFQ
relationship, and benefit from full audit trails. DRFQ FAQ

Packs and bundles
A pack or bundle is not a distinct product; rather it is an intramarket combination strategy where multiple consecutive
contracts, known as legs, are transacted by a single order. MXN
Funding TIIE futures packs consist of three consecutive months
spanning a quarter of a year. Bundles are 12 consecutive months
spanning a whole year. Both are traded based on the average
price of all contracts in the strategy. The CME Group matchengine will assign prices that are equivalent to the average priceof the transacted strategy while remaining as close as possible
to the last traded or observed price of each leg.

Execution tools
CME Direct
CME Direct is our one-stop trading front-end, offering seamless
access to CME Group futures, options, and OTC markets
side-by-side on a single screen. A fast, secure, and highly
configurable trading front end, CME Direct offers powerful
CLOB trading, RFQ, and block negotiation/reporting workflows
across all CME Group products. The software is offered free ofcharge to institutional market participants, with real-time
market data fee-waivers also available.
CME Direct: cmegroup.com/trading/cme-direct.html
Register here: cmegroup.com/trading/cme-direct/registration.html
Contact us: PlatformSolutions@cmegroup.com

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