|
|
|
|
|
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
|
Structure observations of From 32 to 92 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
10.8820
|
10.8630
|
10.8580
|
|
|
|
|
|
|
|
From 93 to 184 days
|
Structure observations of From 93 to 184 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
10.6350
|
10.6370
|
10.6190
|
|
|
|
|
|
|
|
From 185 to 366 days
|
Structure observations of From 185 to 366 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
10.2420
|
10.3650
|
10.3700
|
|
|
|
|
|
|
|
From 367 to 731 days
|
Structure observations of From 367 to 731 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
9.4940
|
9.5260
|
9.9240
|
|
|
|
|
|
|
|
From 732 to 1,096 days
|
Structure observations of From 732 to 1,096 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
9.2980
|
9.5270
|
8.9200
|
|
|
|
|
|
|
|
From 1,097 to 1,461 days
|
Structure observations of From 1,097 to 1,461 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
9.0300
|
8.9800
|
8.9050
|
|
|
|
|
|
|
|
From 1,462 to 1,827 days
|
Structure observations of From 1,462 to 1,827 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
9.0120
|
8.9230
|
8.7180
|
|
|
|
|
|
|
|
From 1,828 to 2,557 days
|
Structure observations of From 1,828 to 2,557 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
8.9560
|
8.9400
|
8.8570
|
|
|
|
|
|
|
|
From 2,558 to 3,653 days
|
Structure observations of From 2,558 to 3,653 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
9.0210
|
8.9800
|
8.9440
|
|
|
|
|
|
|
|
From 3,654 to 5,479 days
|
Structure observations of From 3,654 to 5,479 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
8.9810
|
|
|
|
|
|
|
|
From 5,480 to 7,305 days
|
Structure observations of From 5,480 to 7,305 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
Over 7,306 days
|
Structure observations of Over 7,306 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
|
Turnover by maturity at trading date (Millions of US Dollar) 3/ 5/
|
Structure observations of Turnover by maturity at trading date (Millions of US Dollar) 3/ 5/
09/04/2024
|
09/05/2024
|
09/06/2024
|
4,722.9400
|
2,884.6300
|
10,354.0800
|
|
|
|
|
|
|
|
From 32 to 92 days
|
Structure observations of From 32 to 92 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
2,038.7400
|
699.3100
|
588.8400
|
|
|
|
|
|
|
|
From 93 to 184 days
|
Structure observations of From 93 to 184 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
50.1700
|
200.2300
|
1,368.2900
|
|
|
|
|
|
|
|
From 185 to 366 days
|
Structure observations of From 185 to 366 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
719.4400
|
846.2100
|
3,839.0900
|
|
|
|
|
|
|
|
From 367 to 731 days
|
Structure observations of From 367 to 731 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
902.9200
|
491.4100
|
3,121.3100
|
|
|
|
|
|
|
|
From 732 to 1,096 days
|
Structure observations of From 732 to 1,096 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
730.3100
|
281.9900
|
667.6000
|
|
|
|
|
|
|
|
From 1,097 to 1,461 days
|
Structure observations of From 1,097 to 1,461 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
20.0700
|
118.2300
|
162.6600
|
|
|
|
|
|
|
|
From 1,462 to 1,827 days
|
Structure observations of From 1,462 to 1,827 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
53.3500
|
27.1700
|
381.5700
|
|
|
|
|
|
|
|
From 1,828 to 2,557 days
|
Structure observations of From 1,828 to 2,557 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
35.1500
|
3.5200
|
86.8400
|
|
|
|
|
|
|
|
From 2,558 to 3,653 days
|
Structure observations of From 2,558 to 3,653 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
172.7800
|
216.5500
|
77.8300
|
|
|
|
|
|
|
|
From 3,654 to 5,479 days
|
Structure observations of From 3,654 to 5,479 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
60.0600
|
|
|
|
|
|
|
|
From 5,480 to 7,305 days
|
Structure observations of From 5,480 to 7,305 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
Over 7,306 days
|
Structure observations of Over 7,306 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
|
Number of traded swaps, by maturity at trading date (Units) 4/ 5/
|
Structure observations of Number of traded swaps, by maturity at trading date (Units) 4/ 5/
09/04/2024
|
09/05/2024
|
09/06/2024
|
2,077.0000
|
1,106.0000
|
106.0000
|
|
|
|
|
|
|
|
From 32 to 92 days
|
Structure observations of From 32 to 92 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
10.0000
|
5.0000
|
3.0000
|
|
|
|
|
|
|
|
From 93 to 184 days
|
Structure observations of From 93 to 184 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
2.0000
|
2.0000
|
5.0000
|
|
|
|
|
|
|
|
From 185 to 366 days
|
Structure observations of From 185 to 366 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
16.0000
|
11.0000
|
15.0000
|
|
|
|
|
|
|
|
From 367 to 731 days
|
Structure observations of From 367 to 731 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
973.0000
|
17.0000
|
36.0000
|
|
|
|
|
|
|
|
From 732 to 1,096 days
|
Structure observations of From 732 to 1,096 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
95.0000
|
13.0000
|
13.0000
|
|
|
|
|
|
|
|
From 1,097 to 1,461 days
|
Structure observations of From 1,097 to 1,461 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
2.0000
|
1.0000
|
6.0000
|
|
|
|
|
|
|
|
From 1,462 to 1,827 days
|
Structure observations of From 1,462 to 1,827 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
26.0000
|
2.0000
|
15.0000
|
|
|
|
|
|
|
|
From 1,828 to 2,557 days
|
Structure observations of From 1,828 to 2,557 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
4.0000
|
1.0000
|
5.0000
|
|
|
|
|
|
|
|
From 2,558 to 3,653 days
|
Structure observations of From 2,558 to 3,653 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
949.0000
|
1,054.0000
|
6.0000
|
|
|
|
|
|
|
|
From 3,654 to 5,479 days
|
Structure observations of From 3,654 to 5,479 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
2.0000
|
|
|
|
|
|
|
|
From 5,480 to 7,305 days
|
Structure observations of From 5,480 to 7,305 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
Over 7,306 days
|
Structure observations of Over 7,306 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
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
|
Structure observations of From 1 to 7 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 8 to 31 days
|
Structure observations of From 8 to 31 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 32 to 92 days
|
Structure observations of From 32 to 92 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 93 to 184 days
|
Structure observations of From 93 to 184 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 185 to 366 days
|
Structure observations of From 185 to 366 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 367 to 731 days
|
Structure observations of From 367 to 731 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 732 to 1,096 days
|
Structure observations of From 732 to 1,096 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 1,097 to 1,461 days
|
Structure observations of From 1,097 to 1,461 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 1,462 to 1,827 days
|
Structure observations of From 1,462 to 1,827 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 1,828 to 2,557 days
|
Structure observations of From 1,828 to 2,557 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 2,558 to 3,653 days
|
Structure observations of From 2,558 to 3,653 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 3,654 to 5,479 days
|
Structure observations of From 3,654 to 5,479 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 5,480 to 7,305 days
|
Structure observations of From 5,480 to 7,305 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
Over 7,306 days
|
Structure observations of Over 7,306 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
|
Turnover by maturity at trading date (Millions of US Dollar) 3/ 5/
|
Structure observations of Turnover by maturity at trading date (Millions of US Dollar) 3/ 5/
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 1 to 7 days
|
Structure observations of From 1 to 7 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 8 to 31 days
|
Structure observations of From 8 to 31 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 32 to 92 days
|
Structure observations of From 32 to 92 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 93 to 184 days
|
Structure observations of From 93 to 184 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 185 to 366 days
|
Structure observations of From 185 to 366 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 367 to 731 days
|
Structure observations of From 367 to 731 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 732 to 1,096 days
|
Structure observations of From 732 to 1,096 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 1,097 to 1,461 days
|
Structure observations of From 1,097 to 1,461 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 1,462 to 1,827 days
|
Structure observations of From 1,462 to 1,827 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 1,828 to 2,557 days
|
Structure observations of From 1,828 to 2,557 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 2,558 to 3,653 days
|
Structure observations of From 2,558 to 3,653 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 3,654 to 5,479 days
|
Structure observations of From 3,654 to 5,479 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 5,480 to 7,305 days
|
Structure observations of From 5,480 to 7,305 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
Over 7,306 days
|
Structure observations of Over 7,306 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
|
Number of traded swaps, by maturity at trading date (Units) 4/ 5/
|
Structure observations of Number of traded swaps, by maturity at trading date (Units) 4/ 5/
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 1 to 7 days
|
Structure observations of From 1 to 7 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 8 to 31 days
|
Structure observations of From 8 to 31 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 32 to 92 days
|
Structure observations of From 32 to 92 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 93 to 184 days
|
Structure observations of From 93 to 184 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 185 to 366 days
|
Structure observations of From 185 to 366 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 367 to 731 days
|
Structure observations of From 367 to 731 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 732 to 1,096 days
|
Structure observations of From 732 to 1,096 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 1,097 to 1,461 days
|
Structure observations of From 1,097 to 1,461 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
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|
From 1,462 to 1,827 days
|
Structure observations of From 1,462 to 1,827 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 1,828 to 2,557 days
|
Structure observations of From 1,828 to 2,557 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 2,558 to 3,653 days
|
Structure observations of From 2,558 to 3,653 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 3,654 to 5,479 days
|
Structure observations of From 3,654 to 5,479 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
From 5,480 to 7,305 days
|
Structure observations of From 5,480 to 7,305 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
Over 7,306 days
|
Structure observations of Over 7,306 days
09/04/2024
|
09/05/2024
|
09/06/2024
|
0.0000
|
0.0000
|
0.0000
|
|
|
|
|
|
|
|
|
|
Notes:
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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. See note on methodology and definitions.
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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.
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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.
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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.
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5/ Totals may not add up exactly, due to rounding off.
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6/ From 01/09/2017 figures include OTC swaps traded by regulated multiple-purpose financial institutions (SOFOMES).
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Source: Information requested directly by Banco de Mexico to domestic banking institutions, brokerage houses and regulated SOFOMES.
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