There is no Oneworld baggage policy, it is up to the individual airline. The airline flying the last sector is responsible for the lost bag (even if it had nothing to do with losing it). In your case that is IB, so you must deal with IB about this.

The compensation policies vary by airline and by class flown (generally not by fare basis and award tickets are treated the same as revenue). I have no idea what IB policy is, but for BA they give cash compensation after 24 hours and for F and additional amount after 72 hours of lost bag time. The initial compensation also depends on the route, for trans-Atlantic it is about GBP 30 for Y and GBP 100 for J and F. IB is probably somewhat similar, so expect Euro 50 or 100 depending on class flown (unfortunately it is the class on your final sector, LHR-MAD, that matters, in case there is a difference; so if you flew F MEX-LHR and Y LHR-MAD then IB would pay you the Y compensation and not the F amount).

After 72 hours on most airlines you can apply for additional compensation. Some will pay you the complete loss amount (about USD 1500 in your case), others will pay another Euro 100. You don't have to repay these amounts if your bag eventually shows up, but they will be credited against any loss you might file subsequently. Good luck dealing with IB. As for private insurance that you might have through your credit card, that depends on the issuing bank (there are literally hundreds of different T&Cs). Some cards will insure you and pay you in your scenario, others do not. So you will have to phone the credit card issuer and report the loss (there may be a time limit for doing this, so best to do it soon).