LCH Conversion of Outstanding Cleared MXN 28D-TIIE Contracts
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Circular No. |
LCH Circular No 4296 |
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Date: |
16 February 2024 |
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To: |
All SwapClear Users |
Further to our announcement of the outcome of our consultation on conversion of outstanding cleared MXN 28D-TIIE contracts [1], we are pleased to provide an important update with regards to the conversion scope, and related overlay logic, that will be applicable to SwapClear Contracts [2] subject to such conversion event.
Based on the latest material published by Banxico, and the related Working Group on Alternative Reference Rates (GTTR), regarding the waiver that they intend to apply in 2025 for 28D-TIIE trades [3], we understand that the intention is to allow trading of new 28D-TIIE trades until 31 December 2025, as long as the expiration date of the contract is less than or equal to this same date [4]. This would mean that the last permitted fixing for new 28D-TIIE trades will be 2 December 2025.
As a result, LCH will amend the MXN 28D-TIIE conversion scope as articulated below, to ensure alignment with this latest information. Notably:
- MXN 28D-TIIE trades relying on fixings occurring after 2 December 2025 will be subject to LCH conversion;
- MXN 28D-TIIE trades that are fully fixed on or before 2 December 2025 will not be subject to LCH conversion.
If have any questions, please do not hesitate to contact MXNConversion@lseg.com and lchsales@lseg.com
[2] “SwapClear Contract” includes an “FCM SwapClear Contract” for the purposes of this circular and the consultation. SwapClear Contract and FCM SwapClear Contract have the meanings assigned to them in the General Regulations or FCM Regulations (as applicable) and made available at https://www.lch.com/resources/rulebooks/lch-limited
[3] https://www.banxico.org.mx/markets/mexican-alternative-referen.html