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 - 11/17/2017, Daily, Different Units or Measures, N-Homogeneous

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11/15/2017 11/16/2017 11/17/2017
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
7.4475 7.4230 0.0000
From 93 to 184 days
7.5279 7.4900 7.5050
From 185 to 366 days
7.6083 7.5850 0.0000
From 367 to 731 days
7.5385 7.4933 7.5265
From 732 to 1,096 days
0.0000 0.0000 7.4008
From 1,097 to 1,461 days
7.3400 7.3400 0.0000
From 1,462 to 1,827 days
0.0000 7.3459 7.3200
From 1,828 to 2,557 days
7.5066 7.4368 0.0000
From 2,558 to 3,653 days
7.5099 7.5523 7.5059
From 3,654 to 5,479 days
7.7342 7.6300 0.0000
From 5,480 to 7,305 days
0.0000 7.8250 0.0000
Over 7,306 days
0.0000 0.0000 0.0000
Turnover by maturity at trading date (Millions of US Dollar) 3/ 5/
3,308.2100 1,404.1200 565.9400
From 32 to 92 days
863.2000 435.7500 0.0000
From 93 to 184 days
491.4000 152.2500 111.0900
From 185 to 366 days
665.6000 105.0000 0.0000
From 367 to 731 days
280.8000 189.0000 2.6500
From 732 to 1,096 days
0.0000 0.0000 296.2400
From 1,097 to 1,461 days
14.0400 14.4400 0.0000
From 1,462 to 1,827 days
0.0000 247.0100 2.6500
From 1,828 to 2,557 days
86.3200 63.2600 0.0000
From 2,558 to 3,653 days
782.0500 163.8000 153.3200
From 3,654 to 5,479 days
124.8000 24.6800 0.0000
From 5,480 to 7,305 days
0.0000 8.9300 0.0000
Over 7,306 days
0.0000 0.0000 0.0000
Number of traded swaps, by maturity at trading date (Units)  4/ 5/
1,419.0000 53.0000 3,413.0000
From 32 to 92 days
2.0000 2.0000 0.0000
From 93 to 184 days
4.0000 1.0000 1.0000
From 185 to 366 days
8.0000 1.0000 0.0000
From 367 to 731 days
12.0000 12.0000 1.0000
From 732 to 1,096 days
0.0000 0.0000 16.0000
From 1,097 to 1,461 days
1.0000 1.0000 0.0000
From 1,462 to 1,827 days
0.0000 9.0000 1.0000
From 1,828 to 2,557 days
2.0000 6.0000 0.0000
From 2,558 to 3,653 days
1,387.0000 19.0000 3,394.0000
From 3,654 to 5,479 days
3.0000 1.0000 0.0000
From 5,480 to 7,305 days
0.0000 1.0000 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
1.8678 0.0000 0.0000
From 1,097 to 1,461 days
0.0000 0.0000 0.0000
From 1,462 to 1,827 days
0.0000 2.1293 0.0000
From 1,828 to 2,557 days
0.0000 2.1550 0.0000
From 2,558 to 3,653 days
2.2335 0.0000 0.0000
From 3,654 to 5,479 days
2.3217 2.3554 2.3406
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/
193.3000 116.2000 8.8000
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
30.4000 0.0000 0.0000
From 1,097 to 1,461 days
0.0000 0.0000 0.0000
From 1,462 to 1,827 days
0.0000 100.0000 0.0000
From 1,828 to 2,557 days
0.0000 8.8000 0.0000
From 2,558 to 3,653 days
13.5000 0.0000 0.0000
From 3,654 to 5,479 days
149.4000 7.4000 8.8000
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/
15.0000 5.0000 4.0000
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
2.0000 0.0000 0.0000
From 1,097 to 1,461 days
0.0000 0.0000 0.0000
From 1,462 to 1,827 days
0.0000 1.0000 0.0000
From 1,828 to 2,557 days
0.0000 1.0000 0.0000
From 2,558 to 3,653 days
1.0000 0.0000 0.0000
From 3,654 to 5,479 days
12.0000 3.0000 4.0000
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