Banorte-Ixe FI/FX Strategy Mexico
Fixed-Income and FX Weekly Market outlook Mexican assets mostly extend last week’s gains. The Mexican yield curve rallied 7bps in short- and mid-end securities, while longer tenors sold-off 1-6bps. The peso gained 1.2% to 20.39 per dollar
The Fed and Banxico will likely hike rates by 25bps. The year is nearing its end with markets focused in global rates as strong global data and expectations of looser fiscal policy (mainly in the US) have lifted inflation expectations. Liquidity is likely to dry up substantially after this week, with investors focused on data and the Fed meeting. Regarding the latter, markets fully discount a 25bp hike, so attention will be on new forecasts, the infamous “dot plot”, and Yellen’s conference. Locally, Round 1.4 of the oil auction process was very successful and Fitch cut Mexico’s outlook to Negative from Stable, with a muted reaction of local assets to both events. Central bank decisions apart from the Fed and Banxico include the BoE, SNB, Chile, Colombia, and Russia. The economic agenda is full. In the US we highlight November hard data for retail sales, price indexes, industrial production, housing starts and permits along the December Philly Fed and Empire surveys. Eurozone releases include December PMI’s and ZEW index, October industrial production and trade balance. The UK publishes CPI, PPI and retail sales for November, while Japan industrial production and Tankan index. In China the focus will be on the usual monthly releases of retail sales, industrial production, credit, and gross fixed investment for November. Last but not least, in Mexico and apart from Banxico (we expect the Board to follow the Fed with +25bps) we will get to know October industrial production, November employment and another Central Bank expectations survey
Fixed-Income Supply – On Tuesday, the MoF will auction 1-, 3-, and 6-month Cetes, the 3-year Mbono (Dec’19) and the 3-year real-rate Udibono (Jun’19) Demand – Foreigners’ holdings in Mbonos totaled MXN 1.649 trillion (US$ 80.0 billion), a market share equal to 59.5%, as of November 29th. Short positions in Mbono Dec’24 located at MXN 3.4 billion from previous MXN 2.2 billion Technicals – Mbono Dec’24 and 10-year Treasury spread improved in line with the local rally closing at 477bps from previous 489bps
Foreign exchange Market positioning and flows – Net peso shorts increased marginally, ending at US$ 1.3 billion. Outflows from EM accelerated to the second highest since the election, reaching US$ 3.6 billion on the week Technicals – The implied vol. curve exhibited marginal changes on the week after the strong plunge following the US election. After breaking the USD/MXN 20.50 psychological level, the cross is testing a support around the 20.30 level
December 13, 2016 www.banorte.com www.ixe.com.mx
Gabriel Casillas Chief Economist and Head of Research
[email protected]
Alejandro Padilla Head Strategist – Fixed-Income and FX
[email protected]
Juan Carlos Alderete, CFA FX Strategist
[email protected]
Santiago Leal Singer Fixed-Income and FX Analyst
[email protected]
Fixed-Income
Market dynamics.…………………….pg. 2 Supply………………………………….pg. 3 Demand………………………………..pg. 4 Technicals……………………………..pg. 6 Recommendations…………………...pg. 8
Foreign exchange
Market dynamics……………………..pg. 9 Market positioning and flows……....pg. 10 Technicals…………………………...pg. 11 Recommendations………………….pg. 13
Recommendations Fixed-Income Short-end of the yield curve with an attractive valuation given the rate hikes priced in for the next 12 months We continue recommending long positions in Udibonos Jun’19, Dec’20 and Jun’22 FX We see current levels as attractive for USD/MXN longs ahead of Fed and Banxico decisions and a fall in liquidity going into year-end We believe USD/MXN will not breach the 20.00 psychological level at least until the end of the month Weekly estimated range between 20.10 to 20.50 per dollar This is the last report of the year. We resume on January 9th, 2017 Happy Holidays!
Document for distribution among the general public
Fixed-Income dynamics Slight steepening along the local yield curve. The Mbonos curve registered mixed movements, as the short-term and mid-term tenors rallied 7bps in average whereas longer durations sold-off 5bps. In this sense, both Mbono Dec’24 and Mar’26 closed with a 3bps rally at 7.24% and 7.32%, respectively
Mbonos performance
IRS (28-day TIIE) performance
Yield to maturity 9/Dec/16 5.30 5.92 6.02 6.23 6.37 6.48 6.60 6.81 6.91 7.14 7.24 7.32 7.43 7.53 7.65 7.73 7.74 7.76 7.71
Maturity date Dec'16 Jun'17 Dec'17 Jun’18 Dec'18 Dec'19 Jun'20 Jun'21 Jun'22 Dec'23 Dec'24 Mar’26 Jun'27 May'29 May'31 Nov’34 Nov'36 Nov'38 Nov'42
Weekly change (bps) -5 -6 3 -8 -11 -15 -14 -13 -11 -3 -3 -3 -1 0 1 6 6 5 6
YTD (bps)
Maturity date
166 198 198 175 159 125 118 110 101 109 114 107 101 98 99 91 85 85 77
3-month (3x1) 6-month (6x1) 9-month (9x1) 1-year (13x1) 2-year (26x1) 3-year (39x1) 4-year (52x1) 5-year (65x1) 7-year (91x1) 10-year (130x1) 20-year (260x1)
Yield to maturity 9/Dec/16 5.90 6.17 6.33 6.51 6.82 7.03 7.14 7.26 7.48 7.73 8.19
Weekly change (bps) 8 10 3 3 2 4 3 2 3 -2 4
YTD (bps) 231 245 247 256 238 222 192 173 146 134 116
Source: Bloomberg
Source: Valmer
Mbonos curve at different closing dates % 8.0
9-Dec-16
Long-term reference Mbono Dec’24 %
2-Dec-16
8.3
11-Dec-15
7.5
7.8
7.0
7.3
6.5
6.0
6.8
5.5
6.3
5.0
5.8
4.5
5.3
4.0 3.5
4.8
1Y
5Y
20Y
4.3 Jan-11
30
28
26
24
22
20
18
Years
16
14
12
8 10Y
10
6
4
2
0
3.0 30Y
Source: Bloomberg
Sep-11
Source: Valmer
2
May-12
Jan-13
Sep-13
May-14
Jan-15
Sep-15
May-16
Fixed-Income supply Banxico’s weekly auction. On Tuesday, the MoF will auction 1-, 3-, and 6month Cetes, the 3-year Mbono (Dec’19) and the 3-year real-rate Udibono (Jun’19) We expect strong demands for the securities to be auctioned today on the back of an attractive valuation in the short-end of the curve. We acknowledge that bidders are likely to give preference to the 3-year CPI-linked Udibono as inflation dynamics are expected to deteriorate in 2017, resulting in an attractive carry Auction specifics (Tuesday, December 13th, 2016) Maturity
Coupon rate, %
To be auctioned1
4Q16 Auction Calendar*
Cetes 1m
12-Jan-17
--
7,000
5.59
3m
16-Mar-17
--
11,000
5.85
6m
8-Jun-17
--
12,000
6.07
11-Dec-19
5.00
9,500
6.57
16-Jun-19
4.00
UDIS 850
3.20
Mbono 3y Udibono 3y
Date
Zero-coupon Cetes
Mbonos
Udibonos
Oct 04 Oct 11 Oct 18 Oct 25 Oct 31 Nov 08 Nov 15 Nov 22 Nov 29 Dec 06 Dec 13 Dec 20 Dec 27
1, 3 & 6-month 1, 3, 6 & 12-month 1, 3 & 6-month 1, 3 & 6-month 1, 3 & 6-month 1, 3, 6 & 12-month 1, 3 & 6-month 1, 3 & 6-month 1, 3 & 6-month 1, 3, 6 & 12-month 1, 3 & 6-month 1, 3 & 6-month 1, 3 & 6-month
5-year (Jun'21) 30-year (Nov'42) 3-year (Dec'19) 10-year (Mar'26) 5-year (Jun'21) 20-year (Nov'34) 3-year (Dec'19) 30-year (Nov'42) 5-year (Jun'21) 10-year (Mar'26) 3-year (Dec'19) 20-year (Nov'34) 5-year (Jun'21)
10-year(Dec'25) 30-year(Nov'46)** 3-year(Jun'19)
Previous yield2
Source: Banorte-Ixe with data from Banco de México 1. Except for Udibonos, which are expressed in UDI million, everything else is expressed in MXN million. The amount of Cetes is announced a week prior to the day of the auction. 2. Yield-to-maturity reported for Cetes, Mbonos and Udibonos
Bondes D
5-year 5-year
10-year(Dec'25) 30-year(Nov'46) 3-year(Jun'19)
5-year 5-year
10-year(Dec'25) 30-year(Nov'46) 3-year(Jun'19)
5-year 5-year
10-year(Dec'25)
Source: Ministry of Finance *In case an instrument is auctioned by the syndicated method, the current instrument will be replaced by the new issuance **The auction of stripped 30-year Udibonos will be executed the next business day after the primary auction of Udibonos
3-year Mbono latest auction results
3-year Udibono latest auction results
YTM and bid-to-cover ratio 7.00
YTM
YTM and bid-to-cover ratio Bid/cover
5.0
3.50
2.50
6.00 3.0
2.0
2.00 1.50
3.0
2.0
1.00
4.50
1.0
1.0
0.50
4.00 3.50 Dec-12 Apr-13 Sep-13 Jan-14 May-14 Oct-14 Feb-15 Jun-15 Oct-15 Mar-16 Jul-16
5.0
4.0
4.0
5.00
Bid/cover
3.00
6.50
5.50
YTM
0.0
Source: Banxico
0.00 0.0 Nov-12 Apr-13 Aug-13 Dec-13 Apr-14 Sep-14 Jan-15 May-15 Sep-15 Feb-16 Jun-16 Oct-16
Source: Banxico
3
Fixed-Income demand Foreigners’ holdings in Cetes with downward adjustment. Holdings in these assets were at MXN 248 billion (32.6% of amount outstanding) as of November 29th from MXN 261 bn in the previous week. On September 1st the figure reached MXN 193 bn, level not seen since December 19th 2012, when it stood at 192 bn (27.6%) Exposure in Mbonos increased. Holdings totaled MXN 1.649 trillion (US$ 80.0 bn), a market share equal to 59.5%, from MXN 1.619tn the previous week. The year started at MXN 1.555 tn Local institutional investors have increased their positions in Udibonos. These type of investors continue with strong holdings in inflation-linked Udibonos (around 70% of total amount outstanding), and Bondes D (51%) Government issuance by type of instrument
Mbonos holdings by type of investor
Total amount of US$284 billion, % of total
Total amount of US$134 billion, % of total
Banks 5%
IPAB bonds 16%
Zero-coupon Cetes 13%
Other locals 13%
Bondes D 20%
Mbonos 47%
Institutional Investors 23%
Udibonos 4%
Source: Banxico
Source: Banxico
Mbonos holdings by type of investor
Government bond holdings by type of investor US$ billion unless indicated, data as of 11/29/2016 Total
US$ billion and %, data as of 24/Nov /16
% of total amount outstanding
amount
Foreign
Pension
Mutual
Insurance
outstanding 37
investors
funds
funds
companies
33%
15%
11%
Floating-rate Bondes D
57
0%
6%
Real-rate Udibonos
11
8%
46%
134 59% Source: Banorte-Ix e w ith data from Banx ico
16%
Zero-coupon Cetes
Foreign investors 59%
Fix ed-rate Mbonos
Banks
Other
3%
7%
32%
42%
2%
9%
40%
7%
17%
1%
21%
4%
2%
5%
13%
DTM Dec'16 Jun'17 Dec'17 Jun'18 Dec'18 Dec'19 Jun'20 Jun'21 Jun'22 Dec'23 Dec'24 Mar'26 Jun'27 May'29 May'31 Nov'34 Nov'36 Nov'38 Nov'42 Total
Foreign investors holdings of government bonds US$ billion 11/29/2016
Previous
Difference
12/31/2015
Difference
Zero-coupon Cetes
12.0
12.7
-0.6
21.9
-9.9
Floating-rate Bondes D
0.0
0.0
0.0
0.1
-0.1
Real-rate Udibonos
0.9
0.9
0.0
1.1
-0.2
Fix ed-rate Mbonos
80.0
79.4
0.6
75.4
4.6
Week
Source: Banorte-Ix e w ith data from Banx ico
Foreign investors holdings of government bonds Percentage of total amount outstanding 11/29/2016
Previous
Difference
12/31/2015
Difference
Zero-coupon Cetes
32.6%
34.2%
-1.5%
51.8%
-19.1%
Floating-rate Bondes D
0.1%
0.1%
0.0%
0.2%
-0.1%
Real-rate Udibonos
8.2%
8.2%
0.0%
9.6%
-1.4%
Fix ed-rate Mbonos
59.5%
59.1%
0.4%
59.5%
0.0%
Week
So urce: B anxico
Source: Banorte-Ix e w ith data from Banx ico
4
Total amount
Local
Foreign
Pension and
outstanding
Banks
investors
Mutual funds
4.6 4.4 6.0 9.0 12.2 11.6 6.7 14.1 5.6 4.5 12.2 5.0 4.3 4.8 6.7 4.6 3.0 5.1 8.8 133.4
2% 2% 4% 4% 4% 5% 6% 4% 5% 2% 2% 0% 3% 3% 0% 1% 2% 6% 0% 3%
21% 79% 76% 69% 70% 54% 50% 64% 69% 67% 64% 82% 47% 45% 47% 26% 36% 53% 61% 59%
18% 2% 2% 4% 7% 8% 18% 16% 15% 22% 20% 8% 43% 46% 49% 63% 52% 31% 35% 21%
Other 59% 17% 18% 23% 19% 33% 26% 15% 12% 9% 14% 10% 7% 5% 4% 10% 10% 10% 4% 17%
Fixed-Income demand – Primary dealers Following a moderate fall the previous week, total shorts in Mbonos increased modestly. Technical position in Mbonos stood at MXN 75.8 billion last Friday (US$ 3.7 bn.) from MXN 71.9 bn. (US$ 3.6 bn.) the previous week, recently reaching MXN 84.6 bn in October with next high at MXN 89.4 bn. registered at the end of May Dec’24 shorts also enlarged. Figure for the 10Y tenor set at MXN 3.4 bn. (US$166 mn.) from MXN 2.2 bn (US$110 mn.). 2015-average at MXN 5.7 bn. vs. MXN 4.6 bn. averaged through 2014; during 2016 it has averaged 5.4 bn. Market makers' short positions on Mbono Dec'24
Market makers' short positions on Mbono Nov’42
MXN billion
MXN billion 25.0
18.0 16.0
20.0
14.0 12.0
15.0
10.0
8.0
10.0
6.0
5.0
4.0 2.0 0.0 Apr-10
Mar-11
Mar-12
Feb-13
Feb-14
Jan-15
0.0 Apr-12 Sep-12 Feb-13 Jul-13 Dec-13 May-14 Oct-14 Mar-15 Aug-15 Jan-16 Jun-16 Nov-16
Jan-16
Source: Banxico
Source: Banxico
Market makers' short position on Mbonos US$ million
Dec'16
Total amount outstanding as of 9-Dec-16 4,718
0
0
0
253
441
0
Jun'17
4,500
195
192
185
133
680
5
Dec'17
6,034
185
184
314
269
1,010
0
Maturity Date
9-Dec-16
8-Dec-16
2-Dec-16
11-Nov-16
6-month MAX
6-month MIN
Jun'18
9,188
88
79
111
6
235
0
Dec'18
12,539
307
313
192
190
406
0
Dec'19
12,381
969
953
814
31
969
0
Jun'20
6,906
88
77
96
100
652
16
Jun'21
15,083
16
11
3
63
392
0
Jun'22
5,818
214
164
169
108
360
47
Dec'23
4,667
24
9
22
94
443
0
Dec'24
12,663
166
136
110
191
728
25
Mar'26
5,429
328
332
349
204
481
8
Jun'27
4,431
51
47
120
71
134
0
May'29
4,897
5
2
0
38
108
0
May'31
6,823
13
18
17
55
262
6
Nov'34
4,725
1
0
12
3
95
0
Nov'36
3,092
9
6
4
5
126
0
Nov'38
5,175
8
11
47
44
599
0
Nov'42
9,204
1,078
1,130
988
740
1,157
378
Total
138,272
3,745
3,663
3,554
2,598
5
Fixed-Income technicals FX-adjusted carry gains higher on lower volatility. Spreads between Cetes and implied forward rates: 1-month +91bps from +106bps last week, 3-month at +58bps from +90bps, 6-month at +47bps from +67bps, and the 1-year at +3bps from +9bps The market still prices in more restrictive monetary conditions for next year ahead of Banxico’s policy decision on Thursday. The yield curve is currently pricing in 32bps of implied hikes by 2016-end and 131bps of cumulative increases by the end of 2017 Cumulative implied moves in Banxico’s repo rate Basis points, using TIIE-MexDer futures
Spread between Cetes and Implied Forward Rates
140
Basis Points Tenor
Actual
Prev ious Prev ious
6-month
6-month
6-month
126
131
120 104
13-Dec-16
Week
Month
Av g
Max
Min
100
1-month
91
106
63
60
210
-14
80
3 months
58
90
33
23
106
-46
6 months
47
67
20
18
72
-35
12 months
3
9
15
5
43
-31
56
60 40
32
20
So urce: B ano rte-Ixe with data fro m Valmer and B lo o mberg
0 4Q16
1Q17
2Q17
3Q17
4Q17
Source: Banorte-Ixe with data from MexDer
Local risk premia benefited from Mbonos outperforming U.S. Treasuries, scoring 2 weeks improving. The 10-year spread between bonds from Mexico and the U.S. closed at 477bps from previous 489bps and a 12-month mean at 495bps
The correlation between Mexican and American benchmarks has found an exhaustion with levels virtually on a +100%. The 3-month rolling figure closed unchanged when compared to the previous week at +97%, a level which has preserved the last 12 trading sessions Mbono Dec’24 and 10-year UST spread
Mexico and US 10-year bonds correlation
Basis points
3-month moving correlation
550
1.0
Strong positive correlation
0.8
500
0.5
450
0.3
400
0.0
Low correlation
-0.3
350
-0.5
300 250 Jan-12
-0.8
Oct-12
Jul-13
Apr-14
Jan-15
Oct-15
Strong negative correlation -1.0 Apr-10 Jul-11
Jul-16
Source: Bloomberg
Oct-12
Source: Banorte-Ixe with data from Bloomberg
6
Jan-14
Apr-15
Jul-16
Fixed-Income technicals (continued) Although markets are still bracing for a potential reflation scenario as the new U.S. administration takes office, the sharp sell-off on fixed income has lowered its momentum with investors waiting for the final 2016 Fed monetary announcement. Moreover, inflationary concerns are adding from higher oil prices triggered by the recent OPEC and non-OPEC production cut agreements Hedging needs remain high as uncertainty on Trump’s politics is resulting in higher risk aversion. The 2-year IRS-Mbonos kept unchanged at 80bps similar to the 10-year one at 40bps Mexican and US rates performance, last 12 months
2- and 10-year TIIE-IRS and Mbono spreads
Basis points
Mbono Dec'24
120
Basis points 125
10-year UST
101
100 80
60 40 20 0 -20 -40 -60 -80
11
3 6
6
3
-12 -19 -26 -35
13
6
1
-2
-7
-22
65
22 23
22
0 2
1
45 25
-12
-37
Dec Jan Feb Mar Apr May Jun Jul
10-year
85
56
26
2-year
105
5 -15 Jan-10
Aug Sep Oct Nov Dec
Source: Valmer and Bloomberg
Jan-11
Feb-12
Feb-13
Mar-14
Mar-15
Apr-16
Source: Bloomberg
Short-term inflation breakevens conveying difficult dynamics for Mexican CPI in 2017. The 3-year reading closed at 3.71% from 3.73% whereas the 5-year remained at 3.92% Long term inflation expectations have been affected by global concerns about the effect of Trump’s expansive fiscal policy on inflation. The 10-year breakeven stood at 3.94% from 3.92%, whereas the 30-year at 3.72% from 3.68%
10- and 30-year breakeven inflation using Mbonos & Udibonos Implicit market inflation using Fisher Equation
3- and 5-year breakeven inflation using Mbonos & Udibonos Implicit market inflation using Fisher Equation 3-year
5.4
10-year
5-year
30-year
4.8
4.9
4.3
4.4
Upper limit of Banxico's inflation target range
Upper limit of Banxico's inflation target range
3.8
3.9 3.4
3.3
2.9 2.8
2.4
1.9 Dec-09
2.3
Sep-10
Jul-11
Apr-12
Jan-13
Oct-13
Jul-14
May-15
Feb-16
Nov-16
Dec-09
Source: Banorte-Ixe with data from Valmer
Sep-10
Jun-11
Mar-12
Jan-13
Source: Banorte-Ixe with data from Valmer
7
Oct-13
Jul-14
Apr-15
Jan-16
Nov-16
Fixed-Income trade recommendations Market focusing on Fed and Banxico, with an assessment that could be favorable for our trading ideas in the short-end and CPI-linked Udibonos. Investors will pay close attention to Fed’s policy decision tomorrow, with a strong likelihood of a 25bps rate hike, where dot plots, forecasts and policy assessment could result in a market pricing in more hikes for coming months (e.g. Banorte-Ixe 50bps in 2017). In addition, investors will remain with a cautious stance awaiting Trump’s swearing in to take place on January 20th. Moreover, 2017 will be characterized by several political events in Europe that could result in higher risk aversion (e.g. elections in France and Germany). In Mexico, the yield curve has observed a significant correction throughout this quarter, especially in November, following a threefold condition: (1) Higher U.S. Treasuries, (2) wider country risk premia, and (3) upward adjustment on inflation premium. The 10-year spread between Mbonos and Treasuries increased in a significant fashion, moving from 447pb by the end of the 3Q17 to 485bps actually. We anticipate this rate differential to remain wider in 2017 vis-à-vis previous years. More details in our research note “Fixed-Income, FX, and Commodities Update – The Trump Aftershock” , published on December 2nd, 2016. On the other hand, Banxico is likely to increase its reference rate by 25bps on Thursday, with the possibility of aligning its strategy to the Federal Reserve once again after several rate hikes during 2016. Recent information released by Banxico in the last weeks has stressed out the risks on inflation and growth associated with current global conditions, starring the outcome of U.S. elections. However, it seems that monetary policy has a limited space going forward. Taking into consideration these conditions, we acknowledge that the short-end of the yield curve is depicting an overshooting in terms of implied rate hikes priced in. The market is discounting 131bps of cumulative increases in the 12 months ahead. Taking into account this situation, we acknowledge that there is an attractive valuation in short-term securities. On the other hand, current inflation dynamics could have important implications in 2017. Recent polls have depicted important forecast adjustments for next year to levels close to 4.0%yoy from a previous 3.2%-3.4% range. Even Banxico has increased its expected inflation for the next year. The market is pricing inflation breakevens hovering around 3.8% in every tenor from 3.3% a month ago. Taking into consideration current conditions, we continue suggesting reducing exposure in Mbonos and increasing their positions in CPI-linked Udibonos, as a defensive relative value strategy. The Udibonos with the most attractive pricing are the ones maturing on Jun’19, Dec’20 and Jun’22
8
FX dynamics MXN gains on dollar softness. The currency ended 1.2% stronger at 20.39 per dollar, with EM relatively strong as the USD took a breather and despite higher Treasury rates USD recoups some against G10. The dollar was stronger against most of G10 currencies, with the strongest fall in JPY at 1.6% which has reverted its upward bias observed most of the year Foreign Exchange market levels and historical returns Close at 9/12/16 Emerging Markets Brazil USD/BRL Chile USD/CLP Colombia USD/COP Peru USD/PEN Hungary USD/HUF Malaysia USD/MYR Mexico USD/MXN Poland USD/PLN Russia USD/RUB South Africa USD/ZAR Developed Markets Canada USD/CAD Great Britain GBP/USD Japan USD/JPY Eurozone EUR/USD Norway USD/NOK Denmark USD/DKK Switzerland USD/CHF New Zealand NZD/USD Sweden USD/SEK Australia AUD/USD
Daily Change (%)1
FX performance
Against USD YTD1 %
Weekly Monthly change change (%)1 (%)1
(%)
Weekly
YTD
RUB
3.38 651.54 3,006.21 3.41 298.13 4.42 20.39 4.21 62.46 13.80
-0.1 0.5 -0.1 -0.2 -0.7 -0.1 -0.4 -0.7 1.4 -1.0
2.9 3.0 2.7 0.3 -1.5 0.6 1.2 -0.3 2.1 0.0
-4.6 -0.3 -0.2 -0.9 -6.1 -4.3 -2.7 -5.5 2.2 -2.5
17.2 8.8 5.6 0.2 -2.6 -2.9 -15.6 -6.9 17.2 12.1
1.32 1.26 115.32 1.0561 8.50 7.04 1.02 0.71 9.19 0.74
0.1 -0.1 -1.1 -0.5 -0.8 -0.5 -0.1 -0.5 -0.7 -0.2
0.9 -1.2 -1.6 -1.0 -1.0 -0.9 -0.6 -0.1 0.3 -0.1
1.9 1.3 -8.4 -3.2 -1.9 -3.1 -3.2 -2.0 -1.4 -2.4
5.0 -14.7 4.2 -2.8 4.0 -2.4 -1.5 4.5 -8.1 2.2
1. Positive (negative) changes mean appreciation (depreciation) of the corresponding currency against the USD. Source: Bloomberg
17.2
2.9
ZAR
12.1
0.0
CLP
3.0
COP
2.7
8.8 5.6
0.2 0.3
PEN HUF
-2.6 -1.5
MYR
-2.9
-6.9
PLN
0.6 -0.3
-15.6
MXN
1.2
CAD
5.0
0.9
NZD
4.5
-0.1
JPY
4.2
-1.6
NOK
4.0
-1.0
AUD
2.2
-0.1 -1.5 -0.6
CHF
DKK
-2.4 -0.9
EUR
-2.8 -1.0 -8.1
SEK
0.3
-14.7
GBP -30
-1.2
-20
-10
0
10
20
Source: Bloomberg
USD/MXN
USD/MXN – intraday
Last 12 months
Last 30 trading days
Fibonacci and new historical max= 21.39
21.2 20.7
Psychological / Recent max= 21.00 / 21.09
21.1
Resistance= 20.80
20.2 20.6
19.7
Fibonacci= 20.33
19.2
20.1
18.7
Psychological= 20.00
MA 50 / Fibonacci / Support= 19.64 / 19.67 / 19.70
18.2
19.6 Psychological= 19.50
17.7 17.2
MA 100= 19.24
19.1
Psychological / MA 150= 19.00 / 19.01
16.7 18.6
16.2 15.7 Dec-15
17.2
2.1
BRL
Feb-16
Apr-16
Jun-16
Aug-16
Oct-16
Dec-16
Source: Bloomberg
18.1 6-Nov-2016
MA 200= 18.66 30D Min= 18.16 11-Nov-2016
17-Nov-2016
Source: Bloomberg, Banorte-Ixe
9
24-Nov-2016
30-Nov-2016
7-Dec-2016
30
FX positioning and flows MXN shorts marginally up. The net short in futures increased by only US$ 6 million to end at US$ 1.3 billion despite the relative recovery seen in spot levels, signaling speculators remain cautious on the currency USD purchases continue. Global USD longs picked up by US$ 3.7 billion to end at US$ 30.4 billion, its strongest level since last May. Similar to last week, virtually all currencies were sold, with the highest pressure in JPY (-US$ 3.7 billion) and only EUR slightly higher with US$ 526 million in purchases. Outflows from EM continue. After three weeks decelerating, mutual funds outflows from EM picked up on the week to US$ 3.7 billion, the second highest since the US election. Both fixed-income and equities saw sales higher than US$ 1.5 billion, with Asia as the weakest region. In Mexico, outflows reached US$ 240 million, pushing the YTD inflow to below US$ 1 billion since surpassing this level by mid-September IMM positioning in USD/MXN futures
IMM positioning by currency*
Negative = net long in MXN 4.0
21.0
Net positions (USD bn)
Billion dollars 14
29-Nov-16
3.0
20.0
9
19.0
4
6-Dec-16
2.0 1.0 0.0
18.0
1.3
-1 -4.1
-6
-1.0
-0.3
-1.3
-1.4 -3.3
-5.9
17.0 -11
-2.0 16.0
-3.0 USD/MXN
-4.0 Sep-15
Jan-16
May-16
15.0
Sep-16
-16 -21
-15.3
EUR
GBP
JPY
CHF
CAD
Source: CME, Banorte-Ixe
* Positive: Net long in the corresponding currency Source: CME, Banorte-Ixe
Foreign portfolio flows into Mexico
Net foreign portfolio flows by region*
Accumulated during the last 12M, million dollars
MXN
NZD
AUD
Weekly, million dollars
2,000
Nov-30-16
750 Equities 500
1,200
250 400
Nov-23-16
-28
ME and Africa
-386 55
EM Europe
-502
0 -400 -250 -1,200
-500
Fixed Income -2,000 nov-15
-750 ene-16
mar-16
may-16
jul-16
sep-16
nov-16
EM Asia
-857 -1,642 -65
Latam
-2,000
-883 -1,500
* Including only mutual funds’ investments Source: EPFR Global, Banorte-Ixe
Source: EPFR Global, Banorte-Ixe
10
-1,000
-500
0
500
FX technicals USD/MXN breaks below 20.50, support around 20.30. The cross fell below this psychological level towards the 20.30 zone, near a Fibonacci level at 20.33, unable to break lower despite a mostly positive environment on EM all week Low MXN correlation with US equities. Since the US election, peso correlation with risky assets has decreased significantly, particularly with the S&P500/VIX, while increasing it strongly with UST rates. The latter is likely a result of expectations of fiscal policy that could lift more of the weight put so far in monetary policy as the primary instrument to provide stimulus to the economy, leading to higher portfolio flows into the US and risking a less gradual path of rate hikes by the Fed. In our view, this points towards the need to watch price dynamics in rates as opposed to equities as a trading signal for EM and the peso at least until the rest of the year and before Inauguration Day in the US on January 20 Marginal chances in volatilities. After falling strongly since the election, the implied vol curve showed for marginal moves on the week. The one-month metric picked up by barely 3bps to 14.0% and the two-month by -2bps to 14.5%, with all other tenors up to the one-year maturity just 2bps lower on average. The curve remained with a more normal, positive slope. In our view, volatilities are limited to see a strong downside move from here, with most measures near or slightly below its one/year moving average and a still uncertain local and external environment USD/MXN – Moving averages
USD/MXN – Fibonacci retracement
Last 120 trading days 21.8
.
USD/MXN= 20.3332
Last 12 months
.
.
.
21.3897
.
MA (50)= 19.6445 MA (100)= 19.2413 MA (150)= 19.0119 MA (200)= 18.6561
21.5
20.8 20.3303
20.5 19.6749
19.8 19.5
19.1451
18.8
18.6154 18.5
17.9600
17.8 17.5 16.9006
16.8 jun-16
jul-16
ago-16
sep-16
oct-16
nov-16
16.5 Dec-15
Feb-16
Apr-16
Jun-16
Aug-16
Source: Bloomberg
Source: Bloomberg
USD/MXN – 1-month correlation with other currencies*
USD/MXN – 1-month correlation with other assets*
Based on daily percentage changes EUR
CAD
ZAR
BRL
Based on daily percentage changes HUF
RUB
1.0
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0.0
-0.1
-0.2
-0.3 1-Sep-16
16-Sep-16
1-Oct-16
16-Oct-16
31-Oct-16
Oct-16
15-Nov-16
30-Nov-16
* Positive: appreciation of MXN and corresponding currency Source: Bloomberg, Banorte-Ixe
-0.4 May-16
Jun-16
VIX
SPX
Jul-16
Aug-16
Gold
Sep-16
GSCI
Oct-16
* Positive: appreciation of MXN and corresponding asset except VIX Source: Bloomberg, Banorte-Ixe
11
Nov-16
FX technicals (continued) Short-term risk reversals still heading lower. The skew in favor of short-term OTM USD/MXN calls over puts kept on the downside despite the stability of ATM vols, with the one-month measure going from 1.70 to 1.56 vols (-0.14vols) and the three-month from 2.19 to 2.05vols (-0.14vols). Adjusted for ATM vol the former remained ticked down to 0.11, marginally below its one-year average and signaling some vulnerability as it has cheapened significantly since the US election USD/MXN – ATM options volatility curve
USD/MXN – 1M implied and historical volatility
%
17.0
Today
1 week
% 3 weeks
2 weeks
36
16.5
Implied Historical
31 16.0
26
15.5
21
15.0 14.5
16
14.0
11
13.5 1M
2M
3M
6M
9M
6 Sep-15
1Y
Jan-16
May-16
Sep-16
Source: Bloomberg
Source: Bloomberg
USD/MXN – Spread between implicit and historical volatility
Emerging markets one-month ATM options volatility
Bps
2,000
Against USD, in standard deviations relative to last year’s average
1M 3M
1,500
TRY
2.99
PLN
1,000 500
1.01
HUF
0.85
MYR
0.78
MXN
0
-0.12
KRW
-500
-0.33
CLP
-1,000
-0.52
ZAR
-1,500
BRL
-2,000
COP
-2,500 Sep-15
-0.70
-0.80
Cheap
RUB Nov-15
Jan-16
Mar-16
May-16
Jul-16
Sep-16
Nov-16
Expensive
-1.05 -1.17 -6
-5
-4
-3
-2
-1
0
1
2
3
Source: Bloomberg
Source: Bloomberg, Banorte-Ixe
USD/MXN – 1-month and 3-month 25D risk reversals
USD/MXN – 1-month 25D volatility-adjusted risk reversal
Last 24 months, difference between USD calls and puts, in vols 9.0 8.0
4
5
Last 12 months, ratio adjusted against one month implied volatility
1M 3M
0.38
Risk Reversal
1Y average
+1 st. dev.
-1 st. dev.
0.33
7.0 6.0
0.28
5.0
0.23
4.0
USDMXN call > USDMXN put
0.18
3.0
0.13
2.0 1.0 0.0 Dec-14
0.08 Apr-15
Aug-15
Dec-15
Apr-16
Aug-16
Nov-16
Source: Bloomberg
0.03 Dec-15
Mar-16
Source: Bloomberg, Banorte-Ixe
12
Jun-16
Sep-16
Dec-16
6
FX trade recommendations USD/MXN longs more attractive going into year-end. We estimate a weekly range between 20.10 to 20.50 per dollar. Last week we said that we saw long USD positions as more attractive below the 20.50 level that was breached early on the week as the USD paused its upward trend and the Round 1.4 of the oil auctions went better than expected. As a result, we see attractiveness of adding positions gradually at the current level going into year-end. In our view, there is a slight bias upwards for the cross next week going into the decisions by the Fed and Banxico on our base case of a 25bps rate hike in both cases. In the former and although a hike of this magnitude is already discounted, we see risks of an upward move in the infamous “dot plot” for coming years and some reference to higher inflation expectations as a factor to consider going forward. In the latter, we believe that recently weak survey figures (PMI’s and consumer confidence) reflect uncertainty and cautiousness after Trump’s election, with the Board likely following the Fed in spite of higher inflation risks going into 2017. The market is discounting a 29bps hike, so we do not see higher rate support for the peso because of the decision. After these events unfold and with a relatively heavy agenda, it is our take that investors will be wary of maintaining an overweight position in MXN or increasing it despite a more attractive valuation because of lower liquidity and high uncertainty about the new US administration next year USD/MXN and Mexico 5Y CDS
USD/MXN and WTI
Pesos per dollar and bps, respectively 22.0
Pesos per dollar and US$/bbl, respectively
USDMXN (LHS)
CDS (inverted, RHS)
240
21.0
220
20.0
23
28 33
18.5
180
18.0
38 17.5 43
160
17.0
16.5
48 53
16.0
140
15.0
120
15.5
100
14.5 Jul-15
14.0 Jan-15
Apr-15
Jul-15
Oct-15
Jan-16
Apr-16
Jul-16
Oct-16
58
Sep-15
Nov-15
Jan-16
Mar-16
Source: Banorte-Ixe
Source: Banorte-Ixe with data from Bloomberg
3M Carry/Vol* and USD/MXN
Local currency risk premium*
% and pesos per dollar, respectively
4.3 4.1 3.9 3.7 3.5 3.3 3.1 2.9 2.7 2.5 2.3 2.1 1.9 1.7 1.5 Jan-11
16.0 Carry/Vol (LHS)
USD/MXN (RHS, inverted) 17.0
0.35
18.0 0.30 19.0 0.25 20.0
0.20
21.0 22.0 Nov-15
Jan-16
Mar-16
May-16
Jul-16
Sep-16
Nov-16
%
0.40
0.15 Sep-15
18
WTI (inverted, RHS)
19.5
200
19.0
USDMXN (LHS)
20.5
May-16
Jul-16
Sep-16
Nov-16
Feb-12
Mar-13
Apr-14
May-15
Jun-16
* Consists of the 5y local swap rate less the sum of the UST 5Y and Mexico CDS of the same tenor Source: Bloomberg, Banorte-Ixe
* 3M Mexico – US interest rate (in local currency) divided by 3M implied volatility Source: Bloomberg, Banorte-Ixe
13
Weekly economic calendar For the week ending Dec 16, 2016
Thu 15
Wed 14
Tue 13
Mon 12
Time (EDT)
Period
Unit
Banorte-Ixe
Survey
Previous
MX
Markets closed
09:00
MX
Industrial production
Oct
% y/y
-1.6
--
-1.3
09:00
MX
Industrial production
Oct
% m/m
-0.5
--
0.1
09:00
MX
Oct
% m/m
0.0
--
0.4
13:00
US
3-year Treasury Bond auction
13:00
US
10-year Treasury Bond auction
21:00
CH
Industrial production
Nov
% y/y
--
6.1
6.1
--
8.3
8.3 10.0
Manufacturing output
21:00
CH
Gross fixed investment (YTD)
Nov
% y/y
21:00
CH
Retail sales
Nov
% y/y
--
10.2
04:30
UK
Consumer prices
Nov
% y/y
1.1
1.1
0.9
05:00
GER
ZEW Survey (expectations)
Dec
index
15.1
--
13.8
12:30
MX
Government bond auction -1M, 3M and 6M Cetes, 3-year Mbono and 3-year Udibonos
13:00
US
30-year Treasury Bond auction
05:00
EZ
Industrial Production
Oct
% m/m
0.3
--
-0.8
--
-0.55
0.15
05:30
BZ
Economic activity*
Oct
% m/m
05:30
BZ
Economic activity*
Oct
% y/y
--
-4.55
-3.67
Nov
% m/m
0.2
0.3
0.8
08:30
US
08:30
US
Control group
Nov
% m/m
0.5
0.5
0.8
08:30
US
Producer prices
Nov
% m/m
--
--
0.4
08:30
US
Ex. food & energy
Nov
% m/m
--
--
0.1
09:15
US
Industrial production
Nov
% m/m
-0.3
-0.1
0.0
09:15
US
-0.2
0.2
US
Business inventories
% m/m % m/m
-0.2
10:00
Nov Oct
--
-0.1
0.1
10:00
MX
International reserves
Dec 9
US$bn
--
--
174.1
14:00
US
FOMC Rate Decision (Upper Bound)
Dec 14
%
0.75
0.75
0.50
Dec 14
%
0.50
0.50
Advance retail sales
0.25
Dec 15
%
1.25
1.25
1.25
Manufacturing
14:00
US
FOMC Rate Decision (Lower Bound)
14:00
US
Fed Summary of Economic Projections
14:30
US
Fed's Chair Yellen press conference
SK
Monetary policy decision (Central bank of South Korea)
EZ
EU leaders hold Summit in Brussels
04:00
EZ
Manufacturing PMI (Markit)
Dec (P)
index
53.9
--
53.7
04:00
EZ
Services PMI (Markit)
Dec (P)
index
53.8
--
53.8
04:00
EZ
Composite PMI (Markit)
Dec (P)
index
54.0
--
53.9
07:00
UK
Monetary policy decision (BoE)
Dec 15
%
0.25
0.25
0.25
thousands
255
255
258
index
9.1
9.0
7.6
% m/m
0.1
0.2
0.4
Nov
% y/y
1.6
1.7
1.6 2.1
08:30 08:30 08:30
US US US
Initial jobless claims
Dec 10
Philadelphia Fed
Dec
Consumer prices
Nov
08:30
US
08:30
US
Ex. food & energy
Nov
% y/y
2.1
2.2
08:30
US
Empire manufacturing
Dec
index
0.0
2.6
1.5
14:00
MX
Monetary policy decision (Banxico)
Dec 15
%
5.50
5.50
5.25
18:00
PER
Monetary policy decision (BCRP)
Dec 15
%
4.25
--
4.25
05:00
EZ
Oct
EURmn
--
--
24.9
% y/y
0.5
--
0.5
% y/y
0.8
--
0.8
1,230
1,323
05:00 Fri 16
Event
05:00
EZ EZ
Consumer prices
Trade balance* Consumer prices
Nov (F)
Core
Nov (F)
08:30
US
Housing starts
Nov
thousands
--
08:30
US
Building permits
Nov
thousands
--
1,243
1,260
10:00
MX
Survey of expectations (Banxico)
CO
Monetary policy decision (BanRep)
Dec 16
%
7.75
7.75
7.75
14
For the week ending Dec 9, 2016
Tue 6
Mon 5
Sun 4
Time (EDT)
Wed 7
Unit
Actual
Survey
Previous
Referendum on constitutional reform in Italy
EZ
Presidential election in Austria
20:45
CH
Services PMI (Caixin)
Nov
index
53.1
--
52.4
20:45
CH
Composite PMI (Caixin)
Nov
index
52.9
--
52.9
55.0
55.0
03:55
GER
Services PMI (Markit)
Nov (F)
index
55.1
04:00
EZ
Services PMI (Markit)
Nov (F)
index
53.8
54.1
54.1
04:00
EZ
Composite PMI (Markit)
Nov (F)
index
53.9
54.1
54.1
04:30
UK
Services PMI
Nov Oct
index % m/m
55.2
54.0
54.5
1.1
0.8
-0.2
% y/y
0.7
-0.3
1.3
index
57.2
55.3
54.8
05:00
EZ
Retail sales
08:30
US
New York Fed's Dudley speaks on economy and policy in New York
09:00
EZ
Euro-Area Finance Ministers Meet in Brussels
09:00
MX
Gross fixed investment
09:25
US
Chicago Fed's Evans Speaks on Economy and Policy in Chicago
09:45
US
ISM Non-Manf. Composite
10:00
MX
Mexico will auction the fourth phase of Round 1 today (deep water fields) in addition to Trion project farm-out
14:05
US
St. Louis Fed's Bullard to Speak on U.S. Economic Outlook In Arizona
03:00
EZ
EU Finance Ministers meet in Brussels
05:00
EZ
05:30
BZ
Gross domestic product Copom minutes
08:30
US
09:00
MX
10:00
US
10:00
US US
Sep Nov
3Q16 (F)
% y/y
1.7
1.6
1.6
Trade Balance
Oct
USDbn
-42.6
-41.7
-36.4
Consumer confidence
Nov
index
84.4
83.0
85.0
Factory Orders
Oct
% m/m
2.7
2.5
0.3
% m/m
4.6
4.8
4.8
% m/m
0.8
--
1.0
US$bn
174.1
--
174.1
-1.8
Durable goods orders
Oct (F)
Ex transportation
Oct (F)
10:00
MX
International reserves
12:30
MX
Government bond auction -1M, 3M, 6M and 12M Cetes, 10-year Mbono, 30-year Udibonos and Bondes D
15:30
MX
Survey of expectations (Banamex)
02:00
GER
Industrial Production
Oct
% m/m
0.3
0.8
04:30
UK
Industrial production*
Oct
% m/m
-1.3
0.2
-0.4
15:00
US
Consumer Credit
Oct
USDbn
16.0
18.0
19.3
21:30
CH
Trade balance
Nov
USDbn
44.6
46.7
49.1
21:30
CH
Nov
% y/y
0.1
-5.0
-7.3
% y/y
6.7
-1.8
-1.4
%
0.0
0.0
0.0
Dec 3
thousands
258
255
268
Nov
% m/m
0.78
0.80
0.61
Nov
% m/m
0.22
0.28
0.26
21:30 07:45 Thu 8
Period
EZ
10:00
Fri 9
Event
CH EZ
Dec 2
Exports Imports
Nov
Monetary policy decision (ECB)
Dec 8
08:30
US
Initial jobless claims
09:00
MX
Consumer prices
09:00
MX
09:00
MX
Consumer prices
Nov
% y/y
3.31
3.34
3.06
20:30
CH
Consumer prices
Nov
% y/y
2.3
2.2
2.1
MX
Wage negotiations
Nov
%
4.5
--
3.4
06:00
BZ
Consumer prices
Nov
% m/m
0.18
0.16
0.24
06:00
BZ
Consumer prices
Nov
% y/y
6.99
7.08
7.87
index
98.0
94.4
93.8
10:00
US
Core
U. of Michigan Confidence
Dec (P)
Source: Bloomberg and Banorte-Ixe. (P) preliminary data; (R) revised data; (F) final data; * Seasonally adjusted
15
Track of the latest fixed-income trade recommendations Trade idea
Entry
Target
Stop-loss
Closed
Status
P/L
Initial date
End date
5y10y TIIE-IRS steepener Long Mbono Jun'21 Long Udibono Jun'19
35bps 5.60% 1.95%
50bps 5.35% 1.65%
25bps 5.80% 2.10%
47bps 5.43% 2.10%
Closed Closed Closed
Profit Profit Loss
5-Oct-16 13-Jul-16 13-Jul-16
19-Oct-16 16-Aug-16 16-Aug-16
4.10% 456bps 4.00% 250bps 6.27%
3.87% 1 410bps 3.65% 200bps 5.83%
3.20% 3.20% 5.14% 0.82%
3.30% 3.38% 5.14% 0.82%
3.90% 4.20% 0.90% 4.67% 4.00% 4.00% 1.28% 4.65% 410bps 4.30% 1.55% 4.70% 6.40% 1.40% 5.00% 54bps 430bps +1.20% +1.35%
3.90% 3.85% 0.90% 4.06% 3.81% 3.85% 1.35% 4.31% 412bps 4.30% 0.97% 4.45% 5.89% 1.40% 4.69% 54bps 342bps -6.50% 0.90%
Closed Closed Closed Closed Closed Closed Closed Closed Closed Closed Closed Closed Closed Closed Closed Closed Closed Closed Closed Closed Closed Closed Closed Closed Closed Closed Closed Closed Closed Closed
Profit Profit Profit Profit Profit Profit Profit Profit Loss Loss Profit Loss Profit Loss Profit Profit Flat Loss Profit Loss Loss Profit Profit Profit Loss Profit Loss Profit Profit Profit
12-Nov-15 30-Sep-15 3-Sep-15 26-Jun-15 13-Mar-15 22-Dec-14 29-Jan-15 29-Jan-15 4-Nov-14 4-Jul-14 5-May-14 11-Jul-14 6-Feb-14 6-Jan-14 7-Jun-13 10-Oct-13 10-Oct-13 9-Aug-13 21-Jun-13 7-Jun-13 19-Apr-13 15-Mar-13 1-Feb-13 1-Feb-13 1-Feb-13 11-Jan-13 19-Oct-12 21-Sep-13 1-May-12 1-May-12
8-Feb-16 23-Oct-15 18-Sep-15 29-Jul-15 19-Mar-15 6-Feb-15 29-Jan-15 29-Jan-15 14-Nov-14 26-Sep-14 26-Sep-14 10-Sep-14 10-Apr-14 4-Feb-14 21-Nov-13 25-Oct-13 25-Oct-13 10-Sep-13 12-Jul-13 11-Jun-13 31-May-13 3-May-13 7-Mar-13 7-Mar-13 15-Apr-13 24-Jan-13 8-Mar-13 8-Mar-13 27-Nov-12 14-Dec-12
Receive 1-year TIIE-IRS (13x1) 3.92% 3.67% Long spread 10-year TIIE-IRS vs US Libor 436bps 410bps Receive 9-month TIIE-IRS (9x1) 3.85% 3.65% Spread TIIE 2/ 10 yrs (flattening) 230bps 200bps Long Mbono Dec'24 6.12% 5.89% Relative-value trade, long 10-year Mbono (Dec'24) / flattening of the curve Pay 3-month TIIE-IRS (3x1) 3.24% 3.32% Pay 9-month TIIE-IRS (9x1) 3.28% 3.38% Pay 5-year TIIE-IRS (65x1) 5.25% 5.39% Long Udibono Dec'17 0.66% 0.45% Relative-value trade, long Mbonos 5-to-10-year Receive 2-year TIIE-IRS (26x1) 3.75% 3.55% Receive 1-year TIIE-IRS (13x1) 4.04% 3.85% Long Udibono Jun'16 0.70% 0.45% Long Mbono Jun'16 4.47% 3.90% Receive 6-month TIIE-IRS (6x1) 3.83% 3.65% Receive 1-year TIIE-IRS (13x1) 3.85% 3.55% Long Udibono Dec'17 1.13% 0.95% Receive 9-month TIIE-IRS (9x1) 4.50% 4.32% Spread TIIE-Libor (10-year) 390bps 365bps Receive 1-year TIIE-IRS (13x1) 4.22% 4.00% Long Udibono Jun'22 1.40% 1.20% Receive 1-year TIIE-IRS (13x1) 4.60% 4.45% Long Mbono Nov'42 6.22% 5.97% Long Udibono Dec'13 1.21% 0.80% Receive 1-year TIIE-IRS (13x1) 4.87% 4.70% Receive TIIE Pay Mbono (10-year) 46bps 35bps Spread TIIE-Libor (10-year) 410bps 385bps Long Udibono Dec'12 +0.97% -1.50% Long Udibono Dec'13 +1.06% 0.90% 1. Carry + ro ll-do wn gains o f 17bps
Track of the latest FX trade recommendations* Trade Idea Long USD/MXN Short EUR/MXN Tactical trade: Long USD/MXN Tactical trade: Long USD/MXN Short USD/MXN Tactical trade: Short EUR/MXN USD/MXN call spread** Directional short USD/MXN Limit short USD/MXN Speculative short USD/MXN Short EUR/MXN Long USD/MXN Long USD/MXN Tactical limit short USD/MXN
Entry 14.98 17.70 14.40 13.62 13.21 17.20 12.99 13.00 13.25 12.70 16.05 12.60 12.60 12.90
Target 15.50 n.a. n.a. n.a. n.a. n.a. 13.30 12.70 12.90 12.50 15.70 12.90 12.90 12.75
Stop-loss 14.60 n.a. n.a. n.a. n.a. n.a. n.a. 13.25 13.46 13.00 16.40 12.40 12.40 13.05
Closed 15.43 16.90 14.85 14.11 13.64 17.03 13.02 13.28 -13.00 15.69 12.40 12.85 --
Status Closed Closed Closed Closed Closed Closed Closed Closed Cancelled Closed Closed Closed Closed Cancelled
P/L* Profit Profit Profit Profit Loss Profit Loss Loss -Loss Profit Loss Profit --
Initial Date 20-Mar-15 5-Jan-15 15-Dec-14 21-Nov-14 10-Sep-14 27-Aug-14 6-May-14 31-Oct-13 11-Oct-13 26-Jul-13 29-Apr-13 11-Mar-13 11-Jan-13 10-Dec-12
* Total return does not consider carry gain/losses ** Low strike (long call) at 13.00, high strike (short call) at 13.30 for a premium of 0.718% of notional amount Source: Banorte-Ixe
Disclaimer The information contained in this document is illustrative and informative so it should not be considered as an advice and/or recommendation of any kind. BANORTE is not part of any party or political trend.
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End date 20-Apr-15 15-Jan-15 5-Jan-15 3-Dec-14 26-Sep-14 4-Sep-14 13-Jun-14 8-Nov-13 17-Oct-13 21-Aug-13 9-May-13 13-Mar-13 27-Feb-13 17-Dec-12
GRUPO FINANCIERO BANORTE S.A.B. de C.V. Research and Strategy Gabriel Casillas Olvera
Chief Economist and Head of Research
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(55) 4433 - 4695
Raquel Vázquez Godinez
Assistant
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(55) 1670 - 2967
Executive Director of Economic Analysis Senior Economist, Mexico Senior Global Economist
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(55) 5268 - 1694 (55) 1670 - 2972 (55) 1670 - 1821
Economist, Regional & Sectorial
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Economist, International Economist, National Analyst (Edition)
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Head Strategist – Fixed income and FX FX Strategist Analyst Fixed income and FX
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(55) 1103 - 4043 (55) 1103 - 4046 (55) 1670 - 2144
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(55) 5268 - 1671
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(55) 1670 - 1800
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(55) 1670 - 1719
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(55) 1670 - 2249
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(55) 1670 - 2250
Director Corporate Debt Analyst, Corporate Debt Analyst, Corporate Debt
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(55) 5268 - 1672 (55) 1670 - 2247 (55) 1670 - 2248
Armando Rodal Espinosa
Head of Wholesale Banking
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Alejandro Eric Faesi Puente
Head of Global Markets and Institutional Sales
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Alejandro Aguilar Ceballos
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Jorge de la Vega Grajales
Head of Asset Management Head of Investment Banking and Structured Finance Head of Transactional Banking, Leasing and Factoring Head of Government Banking
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Luis Pietrini Sheridan
Head of Private Banking
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René Gerardo Pimentel Ibarrola
Head of Asset Management
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Ricardo Velázquez Rodríguez
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Víctor Antonio Roldan Ferrer
Head of Corporate Banking
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Economic Analysis Delia María Paredes Mier Alejandro Cervantes Llamas Katia Celina Goya Ostos Miguel Alejandro Calvo Domínguez Juan Carlos García Viejo Francisco José Flores Serrano Lourdes Calvo Fernández Fixed income and FX Strategy Alejandro Padilla Santana Juan Carlos Alderete Macal, CFA Santiago Leal Singer Equity Strategy Manuel Jiménez Zaldivar Victor Hugo Cortes Castro Marissa Garza Ostos José Itzamna Espitia Hernández Valentín III Mendoza Balderas
Director Equity Research — Telecommunications / Media Equity Research Analyst Senior Equity Research Analyst – Conglomerates / Financials/ Mining / Chemistry Equity Research Analyst – Airlines / Airports / Cement / Infrastructure / Fibras Equity Research Analyst – Auto Parts/ Consumer Discretionary / Real Estate / Retail
Corporate Debt Tania Abdul Massih Jacobo Hugo Armando Gómez Solís Idalia Yanira Céspedes Jaén Wholesale Banking
Arturo Monroy Ballesteros Gerardo Zamora Nanez
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