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 - 02/16/2018, Daily, Different Units or Measures, N-Homogeneous

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02/14/2018 02/15/2018 02/16/2018
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
0.0000 7.8300 7.8450
From 93 to 184 days
8.0067 7.9783 0.0000
From 185 to 366 days
8.1298 8.1093 0.0000
From 367 to 731 days
8.0973 8.0135 8.0033
From 732 to 1,096 days
0.0000 8.2290 7.9600
From 1,097 to 1,461 days
0.0000 0.0000 0.0000
From 1,462 to 1,827 days
7.9386 7.9199 0.0000
From 1,828 to 2,557 days
0.0000 7.9672 7.8657
From 2,558 to 3,653 days
8.1611 8.0490 8.0766
From 3,654 to 5,479 days
0.0000 0.0000 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
Turnover by maturity at trading date (Millions of US Dollar) 3/ 5/
913.6700 1,225.4500 1,043.8000
From 32 to 92 days
0.0000 270.1000 405.0000
From 93 to 184 days
164.2100 81.0300 0.0000
From 185 to 366 days
301.5000 216.0800 0.0000
From 367 to 731 days
171.2100 160.9800 582.1200
From 732 to 1,096 days
0.0000 323.0400 5.4000
From 1,097 to 1,461 days
0.0000 0.0000 0.0000
From 1,462 to 1,827 days
206.7500 65.9000 0.0000
From 1,828 to 2,557 days
0.0000 42.1400 18.9000
From 2,558 to 3,653 days
69.9900 66.1800 32.3800
From 3,654 to 5,479 days
0.0000 0.0000 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
Number of traded swaps, by maturity at trading date (Units)  4/ 5/
31.0000 31.0000 3,001.0000
From 32 to 92 days
0.0000 1.0000 2.0000
From 93 to 184 days
3.0000 2.0000 0.0000
From 185 to 366 days
6.0000 3.0000 0.0000
From 367 to 731 days
6.0000 4.0000 10.0000
From 732 to 1,096 days
0.0000 7.0000 1.0000
From 1,097 to 1,461 days
0.0000 0.0000 0.0000
From 1,462 to 1,827 days
8.0000 4.0000 0.0000
From 1,828 to 2,557 days
0.0000 2.0000 3.0000
From 2,558 to 3,653 days
8.0000 8.0000 2,985.0000
From 3,654 to 5,479 days
0.0000 0.0000 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
0.0000 0.0000 2.4557
From 1,097 to 1,461 days
0.0000 0.0000 0.0000
From 1,462 to 1,827 days
2.6573 0.0000 0.0000
From 1,828 to 2,557 days
2.7025 0.0000 2.7203
From 2,558 to 3,653 days
0.0000 0.0000 0.0000
From 3,654 to 5,479 days
2.8988 2.9181 2.8763
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/
561.6000 98.0000 98.8000
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
0.0000 0.0000 41.0000
From 1,097 to 1,461 days
0.0000 0.0000 0.0000
From 1,462 to 1,827 days
52.4000 0.0000 0.0000
From 1,828 to 2,557 days
320.0000 0.0000 4.2500
From 2,558 to 3,653 days
0.0000 0.0000 0.0000
From 3,654 to 5,479 days
189.2000 98.0000 53.5500
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/
38.0000 14.0000 13.0000
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
0.0000 0.0000 1.0000
From 1,097 to 1,461 days
0.0000 0.0000 0.0000
From 1,462 to 1,827 days
2.0000 0.0000 0.0000
From 1,828 to 2,557 days
2.0000 0.0000 2.0000
From 2,558 to 3,653 days
0.0000 0.0000 0.0000
From 3,654 to 5,479 days
34.0000 14.0000 10.0000
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