| December 31, 2017 | December 31, 2016 | |||||||||||||||||
|
DFI |
POSITION |
Notional Amount |
Fair Value | Notional Amount |
Fair Value | |||||||||||||
|
Interest rate swaps |
PEMEX pays fixed in U.S. dollar and receives floating in 3-month U.S. dollar LIBOR + spread. | Ps.16,695,028 | Ps. 79,448 | Ps.20,018,250 | Ps. | (90,451 | ) | |||||||||||
|
Interest rate swaps |
PEMEX pays fixed in U.S. dollar and receives floating in 6-month U.S. dollar LIBOR + spread. | 15,433,626 | 332,273 | 18,132,660 | 312,210 | |||||||||||||
|
Cross-currency swaps |
PEMEX pays fixed in pesos and receives notional in UDI. | 23,740,341 | (4,504,151 | ) | 23,740,341 | (4,815,373 | ) | |||||||||||
|
Cross-currency swaps |
PEMEX pays the 28-day TIIE + spread in pesos and receives fixed in UDI. | 30,897,687 | (216,441 | ) | 20,853,418 | 2,683,138 | ||||||||||||
|
Cross-currency swaps |
PEMEX pays fixed in U.S. dollar and receives fixed in Japanese yen. | 4,775,551 | 134,461 | 5,520,000 | (116,507 | ) | ||||||||||||
|
Cross-currency swaps |
PEMEX pays floating in 6-month U.S. dollar LIBOR + spread and receives floating in 6-month yen LIBOR + spread. | 13,039,563 | (1,804,993 | ) | 17,697,534 | (6,016,126 | ) | |||||||||||
|
Cross-currency swaps |
PEMEX pays fixed in U.S. dollar and receives fixed in euro. | 278,440,124 | 19,065,727 | 229,016,488 | (16,484,533 | ) | ||||||||||||
|
Cross-currency swaps |
PEMEX pays fixed in U.S. dollar and receives fixed in Pound sterling. | 11,706,999 | 590,113 | — | — | |||||||||||||
|
Cross-currency swaps |
PEMEX pays floating in 6-month U.S. dollar LIBOR + spread and receives fixed in Pound sterling. | 10,310,216 | 560,982 | 10,767,349 | (211,207 | ) | ||||||||||||
|
Cross-currency swaps |
PEMEX pays fixed in U.S. dollar and receives fixed in CHF. | 25,579,588 | 400,316 | 26,713,732 | (789,449 | ) | ||||||||||||
|
Cross-currency swaps |
PEMEX pays fixed in U.S. dollar and receives fixed in AUD. | — | — | 2,459,429 | (126,796 | ) | ||||||||||||
|
Currency Options |
PEMEX Buy Put, Sell Put and Sell Call on Japanese yen. | 14,046,320 | 48,715 | 14,133,580 | (301,131 | ) | ||||||||||||
|
Currency Options |
PEMEX Buy call, Sell call and Sell Put on euros. | 100,950,853 | 4,919,444 | — | — | |||||||||||||
|
Currency Options |
PEMEX Sell Call on Pound sterling | 12,031,728 | (239,626 | ) | — | — | ||||||||||||
|
Currency Forward |
PEMEX pays Pesos and receives U.S. dollar. | 59,360,100 | (2,006,461 | ) | — | — | ||||||||||||
|
Natural gas swaps |
PEMEX receives fixed. | (51,724 | ) | 6,934 | (160,214 | ) | (25,145 | ) | ||||||||||
|
Natural gas swaps |
PEMEX receives floating. | 50,846 | (6,114 | ) | 157,545 | 27,869 | ||||||||||||
|
Natural gas options |
PEMEX Long Call. | 18,625 | 398 | 73,653 | 11,548 | |||||||||||||
|
Natural gas options |
PEMEX Short Call. | (18,625 | ) | (397 | ) | (73,653 | ) | (11,488 | ) | |||||||||
|
Interest rate swaps |
PEMEX pays fixed in U.S. dollar and receives floating in U.S. dollar LIBOR 1M. | 1,423,368 | (22,870 | ) | 1,788,382 | (57,043 | ) | |||||||||||
|
|
|
|
|
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| Ps.17,337,760 | Ps. | (26,010,486 | ) | |||||||||||||||
|
|
|
|
|
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| December 31, 2017 | December 31, 2016 | |||||||||||||||
|
DFI |
Volume (MMb) |
Fair Value |
Volume (MMb) |
Fair Value |
||||||||||||
|
Crude Oil Options |
153.56 | Ps. | (5,010,187 | ) | — | — | ||||||||||
| December 31, 2017 | December 31, 2016 | |||||||||||||||||||
|
DFI |
Market | Volume (MMb) |
Fair value |
Volume (MMb) |
Fair value |
|||||||||||||||
|
Futures |
Exchange traded | 2.1 | Ps | . (141,693 | ) | — | Ps. | — | ||||||||||||
|
Petroleum Products Swaps |
Exchange traded | 1.3 | Ps | . (99,680 | ) | 4.1 | Ps. | (688,016 | ) | |||||||||||
Notes: Numbers may not total due to rounding.
| (1) | The fair value of the Futures and the Petroleum Products Swaps, was recognized as “Cash and cash equivalents” in the statement of financial position because PEMEX considered these financial assets to be fully liquid. |