Funding TIIE Rate

Future Contract on the Mexican Overnight TIIE Funding Rate (TIIE)

• The product

  The Funding TIIE Future Contract has as underlying asset the overnight funding TIIE mexican rate (TIIE), calculated and published by Bank of Mexico, between the trading date, inclusive, and the maturity date, exclusive, this product can be used to hedge and management risk of interest rate assets/liabilities referenced in Funding TIIE.

  The contract has as notional value of 100,000 at the maturity date, where each point values 3 mexican pesos (approximately BRL 100,000) and the unit price (PU) is 100,000 discounted the trading rate. As the position is daily updated by the Funding TIIE through the update dynamics by the correction factor, the investor who carries the position until maturity receives daily adjustments that added together, will be equivalent to the difference between the fixed rate and the the over rate, in the financial amount of the trading.

  The Volume-Weighted Average Price (VWAP) is the methodology used to calculate the contracts settlement prices, using a ten-minute window (4:50 pm to 5:00 pm). The algorithm avoids price distortions, even in high volatility scenarios, by pricing all maturities at the same time.

  For more details on the product’s pricing model, visit the pricing manual by clicking here.

• Specifications

  Underlying	This is a standardized interest rate futures contract based on the Funding TIIE rate published by Bank of Mexico, accumulated up until the expiration of the contract, which is traded on the exchange market operated by B3 S.A. – Brasil, Bolsa, Balcão (B3).
  Ticker	TIE
  Contract size	Unit price (UP) times the Mexican Pesos (MXN) value of each point. The point value is 3 mexican pesos and the contract value is 100,000 in the maturity.
  Quotation	Expressed as a percentage rate per annum compounded daily based on a 360-calendar year, to three decimal places.
  Tick size	0.005 of an interest rate point.
  Round-lot	1 contract.
  Last trading day	Last trading session preceding the expiration date.
  Expiration date	3rd Wednesday of the contract month.
  Contract months	All months
  Settlement on expiration	Cash settlement.