CME Group Conversion Plan for TIIE Interest Rate Swaps

This document is a guide detailing CME Group's official plan for transitioning from 28D TIIE interest rate swaps to TIIE de Fondeo (F-TIIE) overnight index swaps in the Mexican market. It outlines the background of the transition, including the Bank of Mexico's announcement prohibiting new agreements using 28D TIIE from January 1, 2025. The document explains the conversion approach, which requires a binding economic relationship between the two rates and a primary curve for pricing. It also describes the methodology for calculating the modified 28D TIIE rate and the operational timeline for the conversion, including the primary conversion date of November 22, 2024. Additionally, it notes that CME will provide operational resources and documentation to support the transition process. The plan is subject to regulatory review and may change without prior notice.