Bank of Mexico overhauls peso closing rate in fillip for derivatives

Dealers welcome changes which, they say, will iron out kinks in valuing swaps, forwards and other currency products


Mexico’s central bank has changed the way it calculates the daily peso closing rate in a bid to make the rate more suitable as a reference for foreign exchange derivatives and structured products.

Dealer banks say the move will enable them to better value their financial positions and stub out any mismatches on their books.

“The main benefit of this new FX rate is that the balance sheets of the financial institutions have a robust official market close rate to value their balance and coverage

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