Sistema de Información Económica

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

Period: 07/01/2015 - 07/12/2019, Daily, Different Units or Measures, N-Homogeneous

07/01/2015 - 07/12/2019

Daily

Different Units or Measures

N-Homogeneous

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07/10/2019 07/11/2019 07/12/2019
- 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/
From 32 to 92 days
0.0000 8.4500 8.4550
From 93 to 184 days
8.3830 8.3380 8.2700
From 185 to 366 days
8.0530 8.0110 7.8970
From 367 to 731 days
7.3720 7.5470 7.7340
From 732 to 1,096 days
7.0410 7.3450 7.1000
From 1,097 to 1,461 days
7.3620 7.2980 7.2900
From 1,462 to 1,827 days
7.0850 7.3050 7.3030
From 1,828 to 2,557 days
7.4290 7.5820 0.0000
From 2,558 to 3,653 days
7.5790 7.4430 7.6000
From 3,654 to 5,479 days
7.8080 0.0000 0.0000
From 5,480 to 7,305 days
7.8920 0.0000 7.7340
Over 7,306 days
0.0000 0.0000 0.0000
+ Turnover by maturity at trading date (Millions of US Dollar) 3/ 5/
4,390.0700 2,164.9000 2,946.9200
From 32 to 92 days
0.0000 157.2900 579.2600
From 93 to 184 days
245.3900 104.8600 105.3200
From 185 to 366 days
755.7400 533.4200 440.1900
From 367 to 731 days
1,121.6500 122.6900 863.6200
From 732 to 1,096 days
1,102.9100 23.5900 426.1500
From 1,097 to 1,461 days
462.9500 88.3500 47.3900
From 1,462 to 1,827 days
204.4000 58.9800 191.6700
From 1,828 to 2,557 days
31.3300 459.0300 0.0000
From 2,558 to 3,653 days
350.0700 616.6900 189.0500
From 3,654 to 5,479 days
75.4400 0.0000 0.0000
From 5,480 to 7,305 days
40.2000 0.0000 104.2700
Over 7,306 days
0.0000 0.0000 0.0000
+ Number of traded swaps, by maturity at trading date (Units)  4/ 5/
1,674.0000 55.0000 3,243.0000
From 32 to 92 days
0.0000 2.0000 1.0000
From 93 to 184 days
2.0000 2.0000 1.0000
From 185 to 366 days
8.0000 4.0000 9.0000
From 367 to 731 days
21.0000 8.0000 12.0000
From 732 to 1,096 days
16.0000 1.0000 1,600.0000
From 1,097 to 1,461 days
6.0000 2.0000 1.0000
From 1,462 to 1,827 days
8.0000 2.0000 1,597.0000
From 1,828 to 2,557 days
5.0000 5.0000 0.0000
From 2,558 to 3,653 days
1,601.0000 29.0000 20.0000
From 3,654 to 5,479 days
6.0000 0.0000 0.0000
From 5,480 to 7,305 days
2.0000 0.0000 2.0000
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 0.0000
From 1,097 to 1,461 days
0.0000 0.0000 0.0000
From 1,462 to 1,827 days
0.0000 0.0000 0.0000
From 1,828 to 2,557 days
0.0000 0.0000 0.0000
From 2,558 to 3,653 days
0.0000 0.0000 0.0000
From 3,654 to 5,479 days
1.9860 2.0440 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/
2.2000 2.2000 0.0000
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 0.0000
From 1,097 to 1,461 days
0.0000 0.0000 0.0000
From 1,462 to 1,827 days
0.0000 0.0000 0.0000
From 1,828 to 2,557 days
0.0000 0.0000 0.0000
From 2,558 to 3,653 days
0.0000 0.0000 0.0000
From 3,654 to 5,479 days
2.2000 2.2000 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/
2.0000 2.0000 0.0000
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 0.0000
From 1,097 to 1,461 days
0.0000 0.0000 0.0000
From 1,462 to 1,827 days
0.0000 0.0000 0.0000
From 1,828 to 2,557 days
0.0000 0.0000 0.0000
From 2,558 to 3,653 days
0.0000 0.0000 0.0000
From 3,654 to 5,479 days
2.0000 2.0000 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
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.