Mexican Peso Interest Rate Swaps

CME in a recent SEC filing noted its intention to start offering Clearing for MXN TIIE Interest Rate Swaps.

So I decided to look at what the data in the DTCC USD SDR shows using SDRView.

 

Weekly Volumes

Lets start with weekly volumes using SDRView Researcher, for the prior 3 months.

MXN IRS - 2Sep-18Nov

From this we can see that for the period 2 Sep to 18 Nov 2013:

  • The average number of trades in a week is around 750.
  • Or the average per day is 150.
  • In our period the highest week had 1,072 trades and the lowest 503.
  • In-fact the highest single day was 17 Oct with 688 trades.
  • All these trades are bi-lateral or un-cleared.

So the trade count is good, but what about gross notional?

MXN IRS Notionals 2Sep - 18Nov Well from above, we can see that this average more than $15 billion a week or $2 billion a day.

 

Swap Execution Facility

Very interestingly we can see that since Oct 2, a significant portion (60%) of trading is On SEF.

MXN IRS - On SEF

And from the data that SEFs publish (see Week8) the On SEF volume is largely at ICAP.

 

What Tenors trade?

Using SDRView Professional we can see that on 2 Dec for the Index MXN-TIIE-Banxico 28D, there are 96 trades:

MXN IRS on 2 Dec

From which we can observe:

  • The major tenors are 5Y and 10Y with MXN 5 billion and MXN 2 billion respectively
  • The average deal size for 5Y is MXN 200 million
  • There are also a reasonable number of trades in 2Y, 3Y, 4Y & 7Y
  • The Hi & Low for each tenor are in a tight range
  • Allowing a good Swap curve to be built between 1Y and 10Y
  • As MXN uses a 28 day coupon frequency, there are 13 periods in a 1Y deal, which is 364 days.
  • This means for a 10Y trade, effective date is 3 Dec 2013 but the maturity is 21 Nov 2023.

 

Summary

There is good volume in MXN Interest Rate Swaps on the TIIE index.

On average $2 billion a day.

Since Oct 2, the majority of trading is On SEF.

So Clearing  is overdue.

Follow the data in SDRView to see when this starts.

 

 

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