SISTEMA DE INFORMACIÓN ECONÓMICA

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Main indicators on OTC Interest Rate Swaps traded by domestic brokerage houses, commercial and development banks - (CF792)

Period: 07/01/2015 - 01/11/2019, Daily, Different Units or Measures, N-Homogeneous

07/01/2015 - 01/11/2019

Daily

Different Units or Measures

N-Homogeneous

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01/09/2019 01/10/2019 01/11/2019
- 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/
i
From 32 to 92 days
0.0000 8.6180 8.6330
i
From 93 to 184 days
8.6750 8.6950 8.6690
i
From 185 to 366 days
8.7000 8.6900 8.7000
i
From 367 to 731 days
8.5360 8.5810 8.6290
i
From 732 to 1,096 days
8.4990 8.4770 8.4350
i
From 1,097 to 1,461 days
8.4720 8.4440 8.4140
i
From 1,462 to 1,827 days
8.5360 8.4570 8.4440
i
From 1,828 to 2,557 days
8.4880 8.5700 0.0000
i
From 2,558 to 3,653 days
6.1920 8.7630 8.7690
i
From 3,654 to 5,479 days
8.7880 0.0000 0.0000
i
From 5,480 to 7,305 days
0.0000 0.0000 0.0000
i
Over 7,306 days
0.0000 0.0000 0.0000
i
+ Turnover by maturity at trading date (Millions of US Dollar) 3/ 5/
1,347.3900 4,561.2400 11,214.5800
i
From 32 to 92 days
0.0000 1,640.6500 6,675.6300
i
From 93 to 184 days
109.2600 325.5200 3,076.6800
i
From 185 to 366 days
31.2200 1,583.9600 44.4400
i
From 367 to 731 days
318.4200 244.0100 629.9700
i
From 732 to 1,096 days
53.0700 403.4900 311.5900
i
From 1,097 to 1,461 days
181.2100 44.4100 75.8100
i
From 1,462 to 1,827 days
311.1400 118.3000 319.9500
i
From 1,828 to 2,557 days
91.3800 9.4100 0.0000
i
From 2,558 to 3,653 days
154.5300 191.5000 80.5100
i
From 3,654 to 5,479 days
97.1600 0.0000 0.0000
i
From 5,480 to 7,305 days
0.0000 0.0000 0.0000
i
Over 7,306 days
0.0000 0.0000 0.0000
i
+ Number of traded swaps, by maturity at trading date (Units)  4/ 5/
10,929.0000 3,059.0000 32.0000
i
From 32 to 92 days
0.0000 6.0000 7.0000
i
From 93 to 184 days
1.0000 2.0000 4.0000
i
From 185 to 366 days
1.0000 12.0000 1.0000
i
From 367 to 731 days
7.0000 4.0000 7.0000
i
From 732 to 1,096 days
2.0000 3,002.0000 6.0000
i
From 1,097 to 1,461 days
1,979.0000 5.0000 2.0000
i
From 1,462 to 1,827 days
11.0000 10.0000 3.0000
i
From 1,828 to 2,557 days
1,975.0000 1.0000 0.0000
i
From 2,558 to 3,653 days
13.0000 17.0000 2.0000
i
From 3,654 to 5,479 days
6,940.0000 0.0000 0.0000
i
From 5,480 to 7,305 days
0.0000 0.0000 0.0000
i
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/
i
From 1 to 7 days
0.0000 0.0000 0.0000
i
From 8 to 31 days
0.0000 0.0000 0.0000
i
From 32 to 92 days
0.0000 0.0000 0.0000
i
From 93 to 184 days
0.0000 0.0000 0.0000
i
From 185 to 366 days
0.0000 0.0000 0.0000
i
From 367 to 731 days
0.0000 0.0000 0.0000
i
From 732 to 1,096 days
0.0000 2.6970 0.0000
i
From 1,097 to 1,461 days
0.0000 0.0000 0.0000
i
From 1,462 to 1,827 days
0.0000 0.0000 0.0000
i
From 1,828 to 2,557 days
0.0000 0.0000 0.0000
i
From 2,558 to 3,653 days
0.0000 0.0000 0.0000
i
From 3,654 to 5,479 days
2.7560 2.7370 2.7170
i
From 5,480 to 7,305 days
0.0000 0.0000 0.0000
i
Over 7,306 days
0.0000 0.0000 0.0000
i
+ Turnover by maturity at trading date (Millions of US Dollar) 3/ 5/
11.5000 76.7000 16.0000
i
From 1 to 7 days
0.0000 0.0000 0.0000
i
From 8 to 31 days
0.0000 0.0000 0.0000
i
From 32 to 92 days
0.0000 0.0000 0.0000
i
From 93 to 184 days
0.0000 0.0000 0.0000
i
From 185 to 366 days
0.0000 0.0000 0.0000
i
From 367 to 731 days
0.0000 0.0000 0.0000
i
From 732 to 1,096 days
0.0000 51.6000 0.0000
i
From 1,097 to 1,461 days
0.0000 0.0000 0.0000
i
From 1,462 to 1,827 days
0.0000 0.0000 0.0000
i
From 1,828 to 2,557 days
0.0000 0.0000 0.0000
i
From 2,558 to 3,653 days
0.0000 0.0000 0.0000
i
From 3,654 to 5,479 days
11.5000 25.1000 16.0000
i
From 5,480 to 7,305 days
0.0000 0.0000 0.0000
i
Over 7,306 days
0.0000 0.0000 0.0000
i
+ Number of traded swaps, by maturity at trading date (Units)  4/ 5/
1.0000 8.0000 8.0000
i
From 1 to 7 days
0.0000 0.0000 0.0000
i
From 8 to 31 days
0.0000 0.0000 0.0000
i
From 32 to 92 days
0.0000 0.0000 0.0000
i
From 93 to 184 days
0.0000 0.0000 0.0000
i
From 185 to 366 days
0.0000 0.0000 0.0000
i
From 367 to 731 days
0.0000 0.0000 0.0000
i
From 732 to 1,096 days
0.0000 1.0000 0.0000
i
From 1,097 to 1,461 days
0.0000 0.0000 0.0000
i
From 1,462 to 1,827 days
0.0000 0.0000 0.0000
i
From 1,828 to 2,557 days
0.0000 0.0000 0.0000
i
From 2,558 to 3,653 days
0.0000 0.0000 0.0000
i
From 3,654 to 5,479 days
1.0000 7.0000 8.0000
i
From 5,480 to 7,305 days
0.0000 0.0000 0.0000
i
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.