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Derivatives turnover traded by domestic commercial and development banks - (CF580)

Period: 01/02/2007 - 09/30/2019, Daily, Millions of Pesos, Nominal Flows

01/02/2007 - 09/30/2019

Daily

Millions of Pesos

Nominal Flows

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09/26/2019 09/27/2019 09/30/2019
- Derivatives turnover traded by domestic commercial and development banks
In organized and OTC markets 1 / Notional (nominal) amounts in millions of pesos 2 /
+ Total traded volume by instrument, underlying asset, counterparty and original term
189,070.23 261,088.59 242,291.15
+ Swaps 3/
88,627.66 191,727.50 107,970.11
+ Traded volume by underlying asset
+ Interest Rate Swaps (single currency) 3/
84,361.08 189,387.17 106,276.52
Standardized TIIE-28 days Vs Fixed Rate 4/
43,308.10 151,885.00 99,211.90
TIIE Vs Fixed Rate Non-Standardized 4/
11,446.56 29,108.65 4,850.38
LIBOR Vs Fixed Rate
11,779.11 7,954.50 1,779.88
other interest rates
17,827.30 439.03 434.36
+ Cross Currency Swap (Only over interest rates) 5/
4,266.58 2,340.34 1,379.58
TIIE Vs LIBOR
2,458.90 1,088.84 1,280.92
TIIE Vs Fixed Rate
450.37 1,251.50 98.66
Other cross interest rates
1,357.31 0.00 0.00
Underlying different to rates
0.00 0.00 314.00
+ Traded volume by counterparty (or exchange)
+ Domestic counterparties and markets
14,229.69 58,424.85 6,071.60
+ Financial entities
7,676.39 28,029.08 4,801.14
Commercial Banks
2,443.42 2,308.72 697.95
Development Banks
295.07 0.00 10.92
Brokerage Houses
468.85 3,220.36 3,846.69
Investment firms and funds
461.55 0.00 0.00
SIEFORES
0.00 0.00 0.00
SOFOMES
0.00 0.00 213.08
Other domestic financial entities
0.00 0.00 0.00
Mexican derivative exchange
4,007.50 22,500.00 32.50
+ Non-financial entities
6,553.30 30,395.78 1,270.46
Federal Government and Decentralized Entities
0.00 654.89 166.03
State and Municipal governments and their entities
0.00 27,413.91 0.00
Resident individuals in Mexico
0.00 0.00 324.00
Non-financial private entities
6,553.30 2,326.98 780.43
+ Foreign Counterparties
74,397.97 133,302.65 101,898.51
+ Financial entities
74,397.97 133,302.65 101,898.51
US commercial banks
0.00 0.00 0.00
EU commercial banks
10,686.10 19,134.65 4,510.22
Latin american commercial banks
0.00 0.00 0.00
Other foreign commercial banks
8,412.14 0.00 2,717.66
Other US financial entities
881.52 339.34 98.66
Other EU financial entities
0.00 0.00 0.00
Other latin american financial entities
0.00 0.00 0.00
Other foreign financial entities
0.00 0.00 0.00
Chicago Mercantile Exchange
54,418.22 113,828.66 94,571.96
Other foreign derivative exchanges
0.00 0.00 0.00
+ Non-Financial entities
0.00 0.00 0.00
Federal and local US governments
0.00 0.00 0.00
Federal and local EU governments
0.00 0.00 0.00
Federal and local LA governments
0.00 0.00 0.00
Other foreign federal and local governments
0.00 0.00 0.00
Non-financial US private entities
0.00 0.00 0.00
Non-financial EU private entities
0.00 0.00 0.00
Non-financial LA private entities
0.00 0.00 0.00
Other foreign non-financial private entities
0.00 0.00 0.00
Foreign individuals
0.00 0.00 0.00
+ Traded volume by market and original term
+ Domestic and foreign organized exchanges
58,425.72 73,378.66 70,604.46
From 1 to 7 days
0.00 0.00 0.00
From 8 to 31 days
0.00 0.00 0.00
From 32 to 92 days
26,250.00 32,000.00 38,540.00
From 93 to 184 days
2,000.00 11,750.00 19,440.00
From 185 to 366 days
9,950.51 5,374.63 2,832.50
From 367 to 731 days
13,901.08 12,010.00 1,520.00
From 732 to 1,096 days
1,967.12 780.00 2,675.00
From 1,097 to 1,461 days
385.00 2,700.00 943.00
From 1,462 to 1,827 days
121.96 6,040.00 1,108.00
From 1,828 to 2,557 days
50.00 0.00 2,954.15
From 2,558 to 3,653 days
3,383.02 2,515.34 467.50
From 3,654 to 5,479 days
417.03 208.69 124.32
From 5,480 to 7,305 days
0.00 0.00 0.00
Over 7,306 days
0.00 0.00 0.00
+ Domestic and foreign OTC markets
30,201.94 118,348.84 37,365.64
From 1 to 7 days
0.00 0.00 0.00
From 8 to 31 days
0.00 0.00 0.00
From 32 to 92 days
0.00 34,000.00 0.00
From 93 to 184 days
3,000.00 0.00 1,284.00
From 185 to 366 days
3,757.31 654.89 177.03
From 367 to 731 days
5,289.28 33,107.00 16,025.90
From 732 to 1,096 days
2,560.89 10,223.16 1,232.86
From 1,097 to 1,461 days
0.00 929.65 3,419.11
From 1,462 to 1,827 days
1,083.56 35,577.91 9,788.65
From 1,828 to 2,557 days
11,834.47 724.96 2,254.00
From 2,558 to 3,653 days
658.26 2,466.54 2,727.87
From 3,654 to 5,479 days
1,618.94 664.74 450.89
From 5,480 to 7,305 days
381.52 0.00 0.00
Over 7,306 days
17.70 0.00 5.33
+ Futures 6/
2,344.18 989.06 1,946.37
+ Traded volume by underlying asset
+ Interest rates
0.00 0.00 0.00
TIIE
0.00 0.00 0.00
CETES rate
0.00 0.00 0.00
Other interest rates
0.00 0.00 0.00
+ Equities and equity indexes
74.35 124.75 807.44
IPC  Index
74.35 124.75 792.74
S&P 500
0.00 0.00 14.70
NASDAQ 100
0.00 0.00 0.00
Other equities and equity indexes
0.00 0.00 0.00
+ Debt securities
1,755.18 715.46 1,011.68
Mexican Govt Bonds
0.00 0.00 0.00
US Treasury Bonds
1,242.91 382.65 574.86
US Treasury Notes
512.27 332.81 436.82
Other debt securities
0.00 0.00 0.00
+ Foreign currencies
514.64 148.85 127.25
US dollar
514.64 148.85 127.25
EURO
0.00 0.00 0.00
Other foreign currencies
0.00 0.00 0.00
Commodities
0.00 0.00 0.00
Underlyings other than interest rates, foreign currencies, equities, commodities and debt securities.
0.00 0.00 0.00
+ Traded volume by derivative exchange
+ Domestic derivative exchanges
484.50 241.10 907.49
Mexican derivative exchange
484.50 241.10 907.49
+ US derivative exchanges
1,859.68 747.96 1,038.88
Chicago Mercantile Exchange
104.50 32.50 27.20
Chicago Board of Trade
1,755.18 715.46 1,011.68
Intercontinental Futures and Options Exchange
0.00 0.00 0.00
New York Mercantile Exchange
0.00 0.00 0.00
+ Latin America (LA) derivative exchanges
0.00 0.00 0.00
Bolsa de Mercaderias y Futuros (Brazil)
0.00 0.00 0.00
+ European Union (EU) derivative exchanges
0.00 0.00 0.00
London International Financial Futures and Options Exchange
0.00 0.00 0.00
Athens Stock Exchange (Greece)
0.00 0.00 0.00
Sociedad Rectora del Mercado de Productos Derivados (Spain)
0.00 0.00 0.00
Europe Global Financial Marketplace
0.00 0.00 0.00
Other foreign derivative exchanges
0.00 0.00 0.00
+ Traded volume by original term
From 1 to 7 days
0.00 56.11 16.18
From 8 to 31 days
0.98 0.00 0.00
From 32 to 92 days
546.41 217.49 1,930.19
From 93 to 184 days
1,796.78 715.46 0.00
From 185 to 366 days
0.00 0.00 0.00
From 367 to 731 days
0.00 0.00 0.00
From 732 to 1,096 days
0.00 0.00 0.00
From 1,097 to 1,461 days
0.00 0.00 0.00
From 1,462 to 1,827 days
0.00 0.00 0.00
From 1,828 to 2,557 days
0.00 0.00 0.00
From 2,558 to 3,653 days
0.00 0.00 0.00
From 3,654 to 5,479 days
0.00 0.00 0.00
From 5,480 to 7,305 days
0.00 0.00 0.00
Over 7,306 days
0.00 0.00 0.00
+ Forwards 5/  11/
67,608.85 51,172.67 116,314.79
+ Traded volume by underlying asset
+ Interest rates
0.00 0.00 0.00
TIIE
0.00 0.00 0.00
LIBOR
0.00 0.00 0.00
CETES rate
0.00 0.00 0.00
Other interest rates
0.00 0.00 0.00
+ Equities and equity indexes
0.55 0.54 314.53
IPC  Index
0.00 0.00 313.98
S&P500
0.00 0.00 0.00
ETF's (Exchange Traded Funds)
0.00 0.00 0.00
NASDAQ 100
0.00 0.00 0.00
NIKKEI-225
0.00 0.00 0.00
Russell 2000
0.00 0.00 0.00
Other equities and equity indexes
0.55 0.54 0.54
+ Debt securities
1,244.35 7,776.96 0.00
Mexican Govt Bonds
1,244.35 7,776.96 0.00
US Treasury Bonds
0.00 0.00 0.00
US Treasury Notes
0.00 0.00 0.00
Other debt securities
0.00 0.00 0.00
+ Foreign currencies
66,363.95 43,395.18 116,000.26
FX swaps on US dollar 7/
32,268.93 28,499.85 93,298.24
Non-FX swaps on US dollar 7/
23,273.98 14,486.62 9,485.28
FX swaps on EURO 7/
10,809.23 334.36 13,078.71
Non-FX swaps on EURO 7/
11.82 0.00 115.69
FX swaps on other foreign currencies  7/
0.00 74.34 22.34
Non-FX swaps on other foreign currencies  7/
0.00 0.00 0.00
Commodities
0.00 0.00 0.00
Underlyings other than interest rates, foreign currencies, equities, commodities and debt securities.
0.00 0.00 0.00
+ Traded volume by counterparty
+ Domestic Counterparties
24,325.29 24,530.96 15,892.85
+ Financial entities
14,266.34 15,667.45 10,130.99
Commercial Banks
3,874.20 6,390.69 8,488.61
Development Banks
1,967.12 0.00 1,479.95
Brokerage Houses
8,399.60 93.51 1.97
Investment firms and funds
0.00 0.00 0.00
SIEFORES
0.00 9,076.32 0.00
SOFOMES
25.42 106.92 160.47
Other domestic financial entities
0.00 0.00 0.00
+ Non-Financial entities
10,058.94 8,863.50 5,761.86
Federal Government and Decentralized Entities
3,934.24 3,937.46 3,946.52
State and Municipal governments and their entities
0.00 0.00 0.00
Resident individuals in Mexico
23.49 2.97 316.23
Non-financial private entities
6,101.22 4,923.07 1,499.10
+ Foreign Counterparties
43,283.57 26,641.72 100,421.94
+ Financial entities