Financing and financial information of financial intermediaries   >   (CF792) - Main indicators on OTC Interest Rate Swaps traded by domestic brokerage houses, commercial and development banks
  Financing and financial information of financial intermediaries     (CF792) - Main indicators on OTC Interest Rate Swaps traded by domestic brokerage houses, commercial and development banks

Period: 07/01/2015 - 04/30/2018, Daily, Different Units or Measures, N-Homogeneous

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04/26/2018 04/27/2018 04/30/2018
Main indicators on OTC IRS traded by domestic brokerage houses, commercial and development banks 6/
Standardized OTC Interest Rate Swaps (IRS) on fixed rate Vs 28 day TIIE, by maturity at trading date 1/
Average fixed rates on OTC IRS (annual percentage) 2/
From 32 to 92 days
7.8738 7.8857 0.0000
From 93 to 184 days
0.0000 7.8900 7.9060
From 185 to 366 days
7.8892 7.8907 0.0000
From 367 to 731 days
7.6650 7.6250 0.0000
From 732 to 1,096 days
7.5333 7.4933 7.4237
From 1,097 to 1,461 days
7.5454 7.4815 7.4964
From 1,462 to 1,827 days
7.5472 7.4822 7.4809
From 1,828 to 2,557 days
7.6600 0.0000 0.0000
From 2,558 to 3,653 days
7.8250 7.7065 7.7775
From 3,654 to 5,479 days
0.0000 7.8384 0.0000
From 5,480 to 7,305 days
0.0000 0.0000 0.0000
Over 7,306 days
0.0000 0.0000 0.0000
Turnover by maturity at trading date (Millions of US Dollar) 3/ 5/
1,971.1100 3,468.1800 1,021.3100
From 32 to 92 days
728.2900 758.3900 0.0000
From 93 to 184 days
0.0000 702.8000 534.7000
From 185 to 366 days
736.2700 939.9300 0.0000
From 367 to 731 days
127.5800 16.1100 0.0000
From 732 to 1,096 days
110.3100 225.5900 97.8500
From 1,097 to 1,461 days
13.1600 339.0800 239.5800
From 1,462 to 1,827 days
226.8000 300.1800 107.4800
From 1,828 to 2,557 days
18.0700 0.0000 0.0000
From 2,558 to 3,653 days
10.6300 148.4600 41.7100
From 3,654 to 5,479 days
0.0000 37.6500 0.0000
From 5,480 to 7,305 days
0.0000 0.0000 0.0000
Over 7,306 days
0.0000 0.0000 0.0000
Number of traded swaps, by maturity at trading date (Units)  4/ 5/
411.0000 12,689.0000 5,837.0000
From 32 to 92 days
2.0000 3.0000 0.0000
From 93 to 184 days
0.0000 3.0000 2.0000
From 185 to 366 days
7.0000 3.0000 0.0000
From 367 to 731 days
2.0000 2.0000 0.0000
From 732 to 1,096 days
4.0000 7.0000 5.0000
From 1,097 to 1,461 days
129.0000 6,788.0000 5,824.0000
From 1,462 to 1,827 days
264.0000 3,917.0000 3.0000
From 1,828 to 2,557 days
1.0000 0.0000 0.0000
From 2,558 to 3,653 days
2.0000 987.0000 3.0000
From 3,654 to 5,479 days
0.0000 979.0000 0.0000
From 5,480 to 7,305 days
0.0000 0.0000 0.0000
Over 7,306 days
0.0000 0.0000 0.0000
OTC Interest Rate Swaps (IRS) on fixed rate Vs 90 day US LIBOR, by maturity at trading date
Average fixed rates on IRS (annual percentage) 2/
From 1 to 7 days
0.0000 0.0000 0.0000
From 8 to 31 days
0.0000 0.0000 0.0000
From 32 to 92 days
0.0000 0.0000 0.0000
From 93 to 184 days
0.0000 0.0000 0.0000
From 185 to 366 days
0.0000 0.0000 0.0000
From 367 to 731 days
0.0000 0.0000 0.0000
From 732 to 1,096 days
2.7451 0.0000 2.7482
From 1,097 to 1,461 days
0.0000 0.0000 0.0000
From 1,462 to 1,827 days
0.0000 0.0000 2.8892
From 1,828 to 2,557 days
2.9258 0.0000 0.0000
From 2,558 to 3,653 days
0.0000 0.0000 0.0000
From 3,654 to 5,479 days
3.0201 2.9997 2.9879
From 5,480 to 7,305 days
0.0000 0.0000 0.0000
Over 7,306 days
0.0000 0.0000 0.0000
Turnover by maturity at trading date (Millions of US Dollar) 3/ 5/
87.8000 25.1000 75.8000
From 1 to 7 days
0.0000 0.0000 0.0000
From 8 to 31 days
0.0000 0.0000 0.0000
From 32 to 92 days
0.0000 0.0000 0.0000
From 93 to 184 days
0.0000 0.0000 0.0000
From 185 to 366 days
0.0000 0.0000 0.0000
From 367 to 731 days
0.0000 0.0000 0.0000
From 732 to 1,096 days
25.7000 0.0000 35.8000
From 1,097 to 1,461 days
0.0000 0.0000 0.0000
From 1,462 to 1,827 days
0.0000 0.0000 33.2000
From 1,828 to 2,557 days
42.8000 0.0000 0.0000
From 2,558 to 3,653 days
0.0000 0.0000 0.0000
From 3,654 to 5,479 days
19.3000 25.1000 6.8000
From 5,480 to 7,305 days
0.0000 0.0000 0.0000
Over 7,306 days
0.0000 0.0000 0.0000
Number of traded swaps, by maturity at trading date (Units)  4/ 5/
8.0000 4.0000 5.0000
From 1 to 7 days
0.0000 0.0000 0.0000
From 8 to 31 days
0.0000 0.0000 0.0000
From 32 to 92 days
0.0000 0.0000 0.0000
From 93 to 184 days
0.0000 0.0000 0.0000
From 185 to 366 days
0.0000 0.0000 0.0000
From 367 to 731 days
0.0000 0.0000 0.0000
From 732 to 1,096 days
1.0000 0.0000 1.0000
From 1,097 to 1,461 days
0.0000 0.0000 0.0000
From 1,462 to 1,827 days
0.0000 0.0000 2.0000
From 1,828 to 2,557 days
2.0000 0.0000 0.0000
From 2,558 to 3,653 days
0.0000 0.0000 0.0000
From 3,654 to 5,479 days
5.0000 4.0000 2.0000
From 5,480 to 7,305 days
0.0000 0.0000 0.0000
Over 7,306 days
0.0000 0.0000 0.0000
Notes:
1/ "Standardized swaps" are Interest Rate Swaps that complies with the definition in Banco de México's Circular 4/2012 on derivative operations; i.e. contracts that exchange 28 day streams calculated with a fixed interest rate and the 28 day TIIE on a fixed notional amount in pesos, and a maturity between 56 days and 30 years.
2/ The rates are calculated as the average of the contractual fixed interest rates (weighted using the corresponding notional amount) traded on IRS related to fixed interest rate Vs the indicated floating interest rate.
3/ According to the international convention used by the Bank for International Settlements (BIS), double-counting on OTC IRS turnover is eliminated by deducting half of the notional amount reported when both counterparties are domestic banks, brokerage houses and/or regulated SOFOMES.
4/ According to the BIS international convention, double-counting is eliminated by considering  only one of each pair of transactions when both counterparties are domestic banks, brokerage houses and/or regulated SOFOMES.
5/ Totals may not add up exactly, due to rounding off.
6/ From 01/09/2017 figures include OTC swaps traded by regulated multiple-purpose financial institutions (SOFOMES).
Source: Information requested directly by Banco de Mexico to domestic banking institutions, brokerage houses and regulated SOFOMES.
Financing and financial information of financial intermediaries(CF792) - Main indicators on OTC Interest Rate Swaps traded by domestic brokerage houses, commercial and development banks