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 - 01/17/2020, Daily, Different Units or Measures, N-Homogeneous

07/01/2015 - 01/17/2020

Daily

Different Units or Measures

N-Homogeneous

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01/15/2020 01/16/2020 01/17/2020
- 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 0.0000 0.0000
From 93 to 184 days
7.2480 0.0000 0.0000
From 185 to 366 days
7.0740 6.9800 0.0000
From 367 to 731 days
6.6620 6.6420 6.8240
From 732 to 1,096 days
6.5600 6.5870 6.6000
From 1,097 to 1,461 days
6.5570 6.5720 6.5990
From 1,462 to 1,827 days
6.5590 6.5700 6.6080
From 1,828 to 2,557 days
6.6460 0.0000 6.7000
From 2,558 to 3,653 days
6.7710 6.7830 6.8160
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/
2,188.8200 531.3700 1,345.6300
From 32 to 92 days
0.0000 0.0000 0.0000
From 93 to 184 days
218.2400 0.0000 0.0000
From 185 to 366 days
1,124.2200 12.2500 0.0000
From 367 to 731 days
352.6500 150.1700 249.7800
From 732 to 1,096 days
228.3600 226.4900 314.6300
From 1,097 to 1,461 days
128.0700 63.3700 435.5000
From 1,462 to 1,827 days
56.3700 37.1000 271.7500
From 1,828 to 2,557 days
5.5900 0.0000 2.6800
From 2,558 to 3,653 days
75.3200 41.9900 71.2900
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/
59.0000 6,331.0000 34.0000
From 32 to 92 days
0.0000 0.0000 0.0000
From 93 to 184 days
2.0000 0.0000 0.0000
From 185 to 366 days
4.0000 2.0000 0.0000
From 367 to 731 days
9.0000 4.0000 5.0000
From 732 to 1,096 days
16.0000 2,802.0000 11.0000
From 1,097 to 1,461 days
11.0000 3.0000 4.0000
From 1,462 to 1,827 days
6.0000 1,759.0000 5.0000
From 1,828 to 2,557 days
1.0000 0.0000 1.0000
From 2,558 to 3,653 days
10.0000 1,761.0000 8.0000
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 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
1.7560 1.7700 1.7890
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/
4.6000 4.3000 4.9000
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
4.6000 4.3000 4.9000
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/
3.0000 2.0000 3.0000
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
3.0000 2.0000 3.0000
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.