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Mexico
Technicals – Mbono Dec’24 and 10-year UST rose modestly to 416pbs from We have switched to a long USD/MXN
411bps amid Fed uncertainty and Banxico’s hawkish stance bias and recommendation to buy on
dips after the latest Fed minutes
We believe that the Mexican peso
Foreign exchange could be limited in a context of higher
volatility and despite possible
intervention by the FX Commission
Market positioning and flows – Net peso shorts stable on the week, ending at Weekly estimated range between
US$ 1.2 billion. Mutual funds sold US$ 254 million in EM, slightly less than the 18.05 to 18.60 per dollar
previous week, although likely continuing after more hawkish expectations for
the Fed
Technicals –The volatility curve fell 37bps on average even considering upward
pressures in the spot market. USD/MXN tried to breach the 18.50 psychological Document for distribution among the
general public
level but managed to return below this level by the end of the week
Fixed-Income dynamics
Strong sell-off in local bonds amid a hawkish rhetoric from the Federal
Reserve and Banxico. The Mexican fixed-income market extended the losses from
the previous week, with a 25bps sell-off in short-term securities, while the mid- and
long-end of the yield curve finished with losses of 20bps. These strong movements
took place after the Fed and Banxico delivered hawkish minutes, changing market’s
assessment of future policy actions. In the aftermath of these events, Mbono
Dec’24 finished at 6.00% (+19bps), while Mar’26 instrument closed at 6.10%
(+19bps)
Mbonos performance IRS (28-day TIIE) performance
Yield to maturity Weekly change Yield to maturity Weekly change
Maturity date YTD (bps) Maturity date YTD (bps)
20/May/16 (bps) 20/May/16 (bps)
Jun'16 3.85 4 35 3-month (3x1) 4.24 9 64
Dec'16 4.22 28 58 6-month (6x1) 4.44 18 72
Jun'17 4.29 27 35 9-month (9x1) 4.63 27 78
Dec'17 4.28 28 24 1-year (13x1) 4.79 31 83
Jun’18 4.85 31 37 2-year (26x1) 5.05 33 61
Dec'18 5.05 29 27 3-year (39x1) 5.28 33 47
Dec'19 5.36 26 13 4-year (52x1) 5.48 33 26
Jun'20 5.49 29 7 5-year (65x1) 5.69 32 15
Jun'21 5.65 24 -6 7-year (91x1) 6.00 28 -2
Jun'22 5.79 21 -11 10-year (130x1) 6.30 22 -9
Dec'23 5.94 19 -11 20-year (260x1) 6.92 17 -11
Dec'24 6.00 19 -10 Source: Bloomberg
Mar’26 6.10 19 -15
Jun'27 6.28 19 -14
May'29 6.46 21 -9
May'31 6.59 18 -7
Nov’34 6.68 16 -14
Nov'36 6.74 17 -15
Nov'38 6.76 15 -15
Nov'42 6.78 15 -16
Source: Valmer
6.0 6.8
5.5 6.3
5.0
5.8
4.5
4.0
5.3
3.5 4.8
3.0
4.3
0
2
4
6
8
10
12
14
16
18
20
22
24
26
28
30
2
Fixed-Income supply
Banxico’s weekly auction. On Tuesday, the MoF will auction 1-, 3-, 6-, and 12-
month Cetes, the 20-year Mbono (Nov’34), the 30-year Udibono (Nov’46) and 5-
year Bondes D
Auction’s dynamics could be undermined by the loss of momentum in the
market following the hawkish tilt from Fed and Banxico. In addition, higher
duration to be offered this week could turn investors more cautious. We expect the
20-year Mbono Nov’34 to be sold near the Fibonacci retracement level of 6.73%,
with a modest demand. On the other hand, the appetite for the 30-year Udibono
(linker) could be affected by the deflation figures to be observed in May, despite an
attractive breakeven. Nov’46 CPI-linked security could be offered in a level
between the 100- and 200-day moving averages of 3.78% and 3.72%
Auction specifics (Tuesday, May 24th, 2015) Auction's Calendar for 2Q16*
To be Previous Date Zero-coupon Mbonos Udibonos Bondes
Maturity Coupon rate, % Cetes D
auctioned1 yield2
20-year Mbono latest auction results 30-year Mbono latest auction results
YTM and bid-to-cover ratio YTM and bid-to-cover ratio
8.0 5.0
Bid/cover 4.5 YTM Bid/cover 5.00
7.5 4.0
YTM 4.0
4.00
7.0 3.5
3.0
3.00
3.0
6.5
2.0 2.5
2.00
6.0
2.0
1.0
5.5 1.00
1.5
5.0 0.0
Jun-12 Jan-13 Aug-13 Mar-14 Oct-14 May-15 Dec-15 1.0 0.00
Aug-12 Jan-13 Jun-13 Nov-13 Apr-14 Sep-14 Feb-15 Jul-15 Dec-15
Source: Banxico Source: Banxico
3
Fixed-Income demand
Foreigners’ holdings on Cetes still breaking fresh lows. Holdings in these assets
were at MXN 269 billion (38.5% of the total amount outstanding) as of May 11 th
from MXN 274bn in the previous week. The figure reached MXN 266.8bn (38.0%)
on May 5th, low since February 9th 2012. Its 2015-minimum was MXN 375bn with
a year-max at MXN 639bn (62.7%)
…and remain strongly exposed in Mbonos. These holdings totaled MXN 1.611
trillion (US$ 89.5 billion), a market share equal to 59.6%, from MXN 1,632 trillion
the previous week and MXN 1.571 trillion (60.5%) as 2015-high
Banks
Zero-coupon Other locals 5%
IPAB bonds Cetes
16% 13%
12%
Bondes D
21% Institutional
Investors
22% Foreign investors
60%
Mbonos
47% Udibonos
4%
4
Fixed-Income demand – Primary dealers
Total short positions in Mbonos rise to historic high amid harsh local
securities sell-off. Short positions in Mbonos are located at MXN 86.2 bn. (US$
4.6bn.) from MXN 72.7 bn. (US$ 3.9 bn.) the previous week
Position over Dec’24 also scoring multi-year high. Figure for the 10-year tenor
set at MXN 12.6 bn. (US$ 675 mn.) from previous MXN 5.5 bn. (US$ 293 mn.)
reaching 14.7 bn. (US$ 790 mn.) last week (max since Jun’13). The 2015-average
finished at MXN 5.9 bn. vs. MXN 4.6 bn. averaged through 2014; during 2016 has
averaged 5.5 bn.
Market makers' short positions on Mbono Dec'24 Market makers' short positions on Mbono Nov’42
MXN billion MXN billion
14.0
18.0
16.0 12.0
14.0
10.0
12.0
8.0
10.0
8.0 6.0
6.0 4.0
4.0
2.0
2.0
0.0 0.0
Apr-10 Mar-11 Mar-12 Feb-13 Feb-14 Jan-15 Jan-16 Apr-12 Sep-12 Feb-13 Jul-13 Dec-13 May-14 Oct-14 Mar-15 Aug-15 Jan-16
5
Fixed-Income technicals
Deterioration of MXN dynamics resulted in an important change in forward
points and negative FX-adjusted carry in Cetes. Spreads between Cetes and
implied forward rates: 1-month -76bps from -30bps last week, 3-month -48bp from
-34bps, 6-month at -38bps from -23bps, and the 1-year tenor at -14bps from -10bps
Strong adjustment in market’s assessment on the future policy path from Fed
and Banxico after the release of the recent minutes. The hawkish bias will likely
to additional pressures to the short-end of the curve, which is trading with implied
cumulative hikes for year-end of 77bps in Mexico from 52bps the previous week;
Banxico’s QIR and Fed speaker on the watch for this week
Basis Points 80 77
0
2Q16 3Q16 4Q16
Local risk premia rose as investors priced in a more hawkish stance from the
Fed’s and Banxico’s minutes, together with cautious appetite regarding
riskier assets along the week. Under this context, the reading scores three weeks
increasing closing at 416bps from 411bps, and a 12-month average at 391bps
0.8
450
0.5
400 0.3
Low correlation
0.0
350
-0.3
-0.5
300
-0.8
Strong negative correlation
250 -1.0
Jan-12 Aug-12 Mar-13 Oct-13 May-14 Dec-14 Jul-15 Feb-16 Apr-10 Mar-11 Feb-12 Jan-13 Dec-13 Nov-14 Oct-15
Spreads between TIIE-IRS and Mbonos held the upward trend following the
need for hedging as May could turn more complicated for emerging markets.
The 2-year spread increased to 78bps from 71bps while the 10-year tenor moved to
18bps from 17bps
Mexican and US rates performance, last 12 months 2- and 10-year TIIE-IRS and Mbono spreads
Basis points Basis points
105
Mbono Dec'24 10-year UST 2-year 10-year
40
23 24 85
20 15
9 11 11
7 7 7 63 6 3 6
1 1 65
0
-1 -1 -5
-12 -7 45
-20 -17 -18 -19
-26
25
-40 -35
5
-60
-15
-80 Jan-10 Jan-11 Feb-12 Feb-13 Mar-14 Mar-15 Apr-16
May Jun Jul Ago Sep Oct Nov Dec Jan Feb Mar Apr May
Source: Valmer and Bloomberg Source: Bloomberg
Short-term breakevens increased waiting for May’s fortnightly CPI report (we
expect 0.53% 2w/22 deflation). In this sense, 3-year figures are trading at 2.60%
from 2.57%, while the 5-year stands at 3.04% from 2.97%
Longer maturities are still trading below Banxico’s target, region where we
appreciate greater relative value but noting negative carry for what is left of
the quarter. The 10-year breakeven closed at 2.81% from 2.84%, whereas the 30-
year at 2.97% from 2.94%
3- and 5-year breakeven inflation using Mbonos & Udibonos 10- and 30-year breakeven inflation using Mbonos & Udibonos
Implicit market inflation using Fisher Equation Implicit market inflation using Fisher Equation
3-year 5-year 10-year 30-year
5.4
4.8
4.9
4.3
4.4
Upper limit of Banxico's inflation target range
Upper limit of Banxico's inflation target range
3.9 3.8
3.4
3.3
2.9
2.8
2.4
1.9 2.3
Dec-09 Oct-10 Aug-11 Jun-12 Apr-13 Feb-14 Dec-14 Oct-15 Dec-09 Oct-10 Aug-11 Jun-12 Apr-13 Feb-14 Dec-14 Oct-15
Source: Banorte-Ixe with data from Valmer Source: Banorte-Ixe with data from Valmer
7
Fixed-Income trade recommendations
Hawkish bias from the Federal Reserve and Banxico supportive for our
cautious view in local rates; awaiting better market conditions for long
positions in the Mbonos curve. The minutes from the Federal Reserve and
Banxico last week were characterized by a hawkish rhetoric. In specific, the
document from Banxico had embedded concerns about FX dynamics,
acknowledging the possibility of additional rate hikes, front-running any Federal
Reserve action if required, resembling the decision from February 17th. It is our
take that the recent adjustment in the MXN should trigger an intervention in the FX
market soon if deteriorated conditions in the FX market prevail. For further details
refer to our research note “Foreign Exchange Commission intervention warning”
<pdf>, published May 17th, 2016. In our view, there is a strong likelihood of
observing an FX intervention before any change in the reference rate. However,
Banxico is ready to act if necessary through the rate mechanism. We suggest
appropriate waiting for better entry levels in the long belly of the Mbonos curve. It
is our take that the short-end will remain pressured in tandem with deteriorated
dynamics in the FX market since the end of April. On the other hand, we
acknowledge the existence of an attractive valuation in mid- and long-term
securities, albeit with limited space for further appreciation, at least in coming
weeks. In this regard, we recommend as a tactical strategy holding an underweight
stance and waiting for better entry levels for long positions in the belly of the
Mbonos curve. For further details about our views on the market and forecasts
please refer to our research note: “Fixed-Income, FX and Commodities Quarterly –
2Q16 Outlook” <pdf>, published on April 19, 2016
8
FX dynamics
MXN still pressured. The currency lost 0.9% to 18.34 per dollar in a context of
renewed pressures to EM, sparking speculation about possible intervention by the
Foreign Exchange Commission that has not materialized yet
Dollar taking back its leadership. The USD was higher against all currencies
except ARS, BRL, PEN, and GBP, with G10 broadly lower led by JPY (-1.6%),
CAD and NOK (-1.4% each on the week)
Foreign Exchange market levels and historical returns FX performance
Against USD
Close at Daily Weekly Monthly YTD1 %
20/05/16 Change change change (%)
Weekly YTD
(%)1 (%)1 (%)1
BRL 12.5
Emerging Markets 0.3
9.6
Brazil USD/BRL 3.52 1.2 0.3 0.2 12.5 RUB -2.0
5.2
Chile USD/CLP 691.17 0.7 -0.1 -4.5 2.5 MYR -1.3
9
FX positioning and flows
MXN shorts broadly stable. The net short was reduced only by US$ 9 million on
the week and ended still relatively high at US$ 1.2 billion
USD positions recovered ahead of the Fed minutes. Global USD net shorts were
cut for second week in a row, reduced by US$ 2.3 billion to US$ 3.1 billion ahead
of the Fed minutes and following a more positive return since the beginning of the
month. All currencies except MXN were sold, with the changes led by AUD (-US$
962 million) and GBP (US$ -398 million)
EM outflows likely to continue. Mutual funds sold US$ 254 million in EM,
somewhat less than the previous week at US$ 381 million. We believe that the
strong re-pricing of expectations about the Fed and hawkish commentary by their
members are likely to continue exerting pressure in flows. Contrary to recent
weeks, the highest outflows were in Europe, followed closely by Asia and Latam.
In México, there were sales for the first time since the beginning of March
IMM positioning in USD/MXN futures IMM positioning by currency*
Negative = net long in MXN Billion dollars
4.0 19.0 15
Net positions (USD bn) 10-May-16 17-May-16
3.0
18.0 10
2.0 6.7
17.0 5
1.0
1.6 1.8
0.4 0.5
0.0 16.0 0
-1.0 -1.2
15.0 -5 -3.4 -3.2
-2.0
14.0
-3.0 -10
USD/MXN
-4.0 13.0
-15
Feb-15 Jun-15 Oct-15 Feb-16 GBP EUR MXN CHF NZD CAD AUD JPY
Foreign portfolio flows into Mexico Net foreign portfolio flows by region*
Accumulated during the last 12M, million dollars Weekly, million dollars
May-18-16 May-11-16
4,300 2,300
Equities
3,500 1,900 -14
ME and Africa
17
2,700 1,500
1,900 1,100
700 -86
1,100 EM Europe
2
300
300
-100
-500 -78
-500 EM Asia
-1,300 -477
-900
-2,100
-1,300
-75
-2,900 -1,700 Latam
76
-3,700 Fixed Income
-2,100
-4,500 -2,500 -600 -500 -400 -300 -200 -100 0 100 200
may-15 jul-15 sep-15 nov-15 ene-16 mar-16 may-16
10
FX technicals
USD/MXN testing 18.50. The upward movement continued as risk aversion
picked up and impacted the peso, which tested a break above the 18.50
psychological level but managed to close below this important technical reference
Correlations with other assets up again. The market focused once again in global
drivers after the big surprise in the tone of the Fed’s latest minutes, which drove a
selloff in most risky assets and a dollar surge. In line with our expectations,
correlations should remain broadly elevated, with intraday volatility likely high and
a plethora of factors of a global nature as the main drivers of market trends, more
so as we approach the OPEC meeting on June 4, Fed decision on June 14-15, and
the Brexit vote on June 23
Vols down despite losses in spot MXN. The vol. curve was lower by the end of
the week despite constant pressures in the spot market, decreasing 37bps on
average up to the one-year tenor. The 1M measure fell about the same as in the
previous week and by 47bps to 13%, while the two-month decreased 58bps to
13.2%. As a result, the spread of the former against its historical measure went
back to negative at -44bps, once again signaling risks of upward pressures given
the difficult short-term external backdrop
USD/MXN – Moving averages USD/MXN – Fibonacci retracement
Last 120 trading days Last 12 months
19.5
USD/MXN= 18.3425 MA (50)= 17.6454 MA (100)= 17.9235 MA (150)= 17.5628 MA (200)= 17.3593
. . . . .
19.4448
19.0 19.0
18.3924
18.5
18.0
17.7413
18.0
17.2150
17.5 17.0
16.6888
17.0
16.0377
16.0
16.5
16.0 14.9853
15.0
15.5
Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 14.0
May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-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 Based on daily percentage changes
EUR CAD ZAR BRL HUF RUB 0.9 VIX SPX Gold GSCI
1.0
0.7
0.8
0.6 0.5
0.4
0.3
0.2
0.0 0.1
-0.2
-0.1
-0.4
-0.3
-0.6
-0.8 -0.5
11-Feb-16 26-Feb-16 12-Mar-16 27-Mar-16 11-Apr-16 26-Apr-16 11-May-16 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16
* Positive: appreciation of MXN and corresponding currency * Positive: appreciation of MXN and corresponding asset except VIX
Source: Bloomberg, Banorte-Ixe Source: Bloomberg, Banorte-Ixe
11
FX technicals (continued)
Short-term risk reversals uncomfortably low. The skew in favor of short-term
OTM USD/MXN calls over puts kept going down, with the 1M measure ending at
0.89 (-0.09vols) and nearing recent lows at 0.83, while the 3-month maturity at
1.57 (-0.17vols). When adjusted for volatility, the former remains undervalued, at
0.07 (-2.2σ from its 1Y average), maintaining the risk of further pressures in the
currency if risk aversion continues deteriorating
USD/MXN – ATM options volatility curve USD/MXN – 1M implied and historical volatility
% %
15.0
Today 1 week 2 weeks 3 weeks Implied
18
14.5 Historical
14.0 16
13.5 14
13.0
12
12.5
10
12.0
11.5 8
11.0 6
1M 2M 3M 6M 9M 1Y Feb-15 Jun-15 Oct-15 Feb-16
USD/MXN – Spread between implicit and historical volatility Emerging markets 1-month ATM options volatility
Bps Against USD, in standard deviations relative to last year’s average
500
1M
3M ZAR 1.64
400
KRW 0.60
300
MXN 0.47
200 CLP 0.05
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 Last 12 months, ratio adjusted against one month implied volatility
4.0 1M
Risk Reversal 1Y average +1 st. dev. -1 st. dev.
3M 0.19
3.5
0.17
3.0
USDMXN call > USDMXN put
2.5 0.15
2.0 0.13
1.5 0.11
1.0 0.09
0.5 0.07
0.0 0.05
May-14 Sep-14 Jan-15 May-15 Sep-15 Jan-16 May-16 May-15 Aug-15 Nov-15 Feb-16 May-16
12
FX trade recommendations
Switch to a long dollar bias, limiting losses on USD/MXN shorts for trading
purposes. We forecast a weekly range between 18.05-18.60 pesos per USD.
Contrary to our expectations of stronger buying interest above 18.00, the peso
remained pressured as nervousness over a possible rate hike by the Fed in June and
China growth overwhelmed the alleged support for the peso from technicals and
higher oil prices, with the strong dollar resurging in recent weeks. We consider that
there is still room for the USD to gain broadly as we approach the Fed’s meeting,
also supported by more favorable positioning after the accumulated sell-off since
February. Therefore, we advise to limit losses in USD/MXN shorts for trading
purposes as we can’t discard further pressures if US data remains relatively strong
and markets continue pricing a higher probability of rate hikes this year. We
change our recommendation to buying dollars on dips, seeing attractive levels for
directional longs around 17.90-18.00 as nervousness about China, Brexit, and
OPEC and Fed meetings in coming weeks are likely to keep investors very
cautious. Nevertheless, we believe that it is likely that the Foreign Exchange
Commission could sell dollars in the short-term if peso dynamics continue
deteriorating, which could provide a temporary relief. In this respect and given that
we still expect Banxico to follow the Fed with a 25bp June rate hike, we favor
using a potential dip to buy dollars at a better entry level
USD/MXN - Forecasts USD/MXN and WTI oil and 10Y UST
Pesos per dollar Pesos per dollar and US$/bbl, respectively
18.7 19.5 20
USDMXN (LHS) WTI (inverted, RHS.)
18.5 19.0 25
18.3
18.5 30
18.1
18.0
17.9 35
17.5
17.7 40
17.5 17.0
45
17.3 16.5
50
17.1 16.0
16.9 15.5 55
16.7 60
15.0
Forecast
16.5
14.5 65
16.3 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16
Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16
0.29 16.0
30
0.27
17.0
0.25
-20
0.23
18.0
0.21
-70
0.19 19.0
0.17
Feb-15 Apr-15 Jun-15 Aug-15 Oct-15 Dec-15 Feb-16 Apr-16 -120
Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16
* 3M Mexico – US interest rate (in local currency) divided by 3M implied volatility
Source: Bloomberg, Banorte-Ixe Source: Citi, Bloomberg, Banorte-Ixe
13
Weekly economic calendar
For the week ending May 27, 2016
Time
Event Period Unit Banorte-Ixe Survey Previous
(EDT)
03:30 GER Services PMI (Markit) May (P) index 54.6 54.6 54.5
03:30 GER Manufacturing PMI (Markit) May (P) index 52.0 52.0 51.8
04:00 EZ Composite PMI (Markit) May (P) index -- 53.2 53.0
04:00 EZ Manufacturing PMI (Markit) May (P) index 52.0 51.9 51.7
04:00 EZ Services PMI (Markit) May (P) index 53.1 53.2 53.1
05:30 US St. Louis Fed's Bullard Speaks in Beijing
09:00 MX Retail sales Mar % y/y 4.6 4.8 9.6
09:45 US Manufacturing PMI (Markit) May (P) index 51.1 51.0 50.8
10:00 EZ Consumer confidence May (P) index -9.0 -9.0 -9.3
18:30 US Philadelphia Fed's Harker Speaks on Economic Outlook in Philadelphia
Mon 23
04:00 GER ZEW Survey (expectations) May index 12.0 12.0 11.2
05:00 GER Gross domestic product* 1Q16 (F) % q/q 0.7 0.7 0.7
09:00 EZ Euro-Area Finance Ministers
09:00 MX Consumer prices May 15 % 2w/2w -0.53 -0.28 -0.09
09:00 MX Core May 15 % 2w/2w 0.12 0.09 0.16
10:00 US New home sales Apr thousands -- 520 511
10:00 MX International reserves May 20 US$bn -- -- 177.6
12:30 MX Government bond auction -1M, 3M, 6M and 12M Cetes, 20-year Mbono, 30-year Udibonos and Bondes D
13:00 US 2-year Treasury Bond auction
13:00 US Dallas Fed's Kaplan Speaks in Houston
03:00 EZ Finance Ministers
04:30 GER IFO Survey (business climate) May index 107.0 106.8 106.6
08:30 US Trade Balance Apr US$mn -- -42.2 -40.4
09:00 MX Trade balance Apr US$mn -1,859 -560 155
Wed 25
08:30 US Durable goods orders Apr (P) % m/m 0.3 0.3 1.3
08:30 US Ex transportation Apr (P) % m/m 0.2 0.3 -0.2
12:00 US Board of Governors Fed's Powell Speaks About Economy at Peterson Insitutute
13:00 US 7-year Treasury Bond auction
08:30 US Gross domestic product 1Q16 (R) % q/q 0.9 0.8 0.5
08:30 US Personal consumption 1Q16 (R) % q/q 2.2 2.0 1.9
09:00 MX Unemployment rate Apr % 4.1 4.1 3.7
Fri 27
14
For the week ending May 20, 2016
Time
Event Period Unit Actual Survey Previous
(EDT)
01:30 CH Industrial production Apr % y/y 6.0 6.5 6.8
Sat 14
01:30 CH Gross fixed investment (YTD) Apr % y/y 5.8 11.0 10.7
01:30 CH Retail sales Apr % y/y 10.1 10.6 10.5
08:30 US Ex. food & energy Apr % y/y 2.1 2.1 2.2
09:15 US Industrial production Apr % m/m 0.7 0.3 -0.6
09:15 US Manufacturing Apr % m/m 0.3 0.3 -0.3
10:00 MX International reserves May 13 US$bn 177.7 -- 177.7
12:00 US Fed's Williams and Lockhart Discuss Economy at Politico Event
12:30 MX Government bond auction -1M, 3M and 6M Cetes, 5-year Mbono and 10-year Udibono
13:15 US Fed's Kaplan in Moderated Q&A at Petroleum Club of Midland
17:00 CL Monetary policy decision (BCCh) May 17 % 3.50 3.50 3.50
03:30 EZ Consumer prices Apr (F) % y/y -0.2 -0.2 -0.2
03:30 EZ Core Apr (F) % y/y 0.7 0.7 0.7
Wed 18
09:00 MX Nominal gross domestic product 1Q16 % y/y 5.3 5.0 4.9
09:00 MX Global economic activity indicator (IGAE) Mar % y/y 1.2 1.4 4.1
10:00 US Existing home sales Apr millions 5.4 5.4 5.3
16:30 MX Survey of expectations (Banamex)
15
Track of the latest fixed-income trade recommendations
Trade idea Entry Target Stop-loss Closed Status P/L Initial date End date
Receive 1-year TIIE-IRS (13x1) 3.92% 3.67% 4.10% 3.87% 1 Closed Profit 12-Nov-15 8-Feb-16
Long spread 10-year TIIE-IRS vs US Libor 436bps 410bps 456bps 410bps Closed Profit 30-Sep-15 23-Oct-15
Receive 9-month TIIE-IRS (9x1) 3.85% 3.65% 4.00% 3.65% Closed Profit 3-Sep-15 18-Sep-15
Spread TIIE 2/ 10 yrs (flattening) 230pb 200pb 250pb 200pb Closed Profit 26-Jun-15 29-Jul-15
Long Mbono Dec'24 6.12% 5.89% 6.27% 5.83% Closed Profit 13-mar-15 19-mar-15
Relative-value trade, long 10-year Mbono (Dec'24) / flattening of the curve Closed Profit 22-Dec-14 6-Feb-15
Pay 3-month TIIE-IRS (3x1) 3.24% 3.32% 3.20% 3.30% Closed Profit 29-Jan-15 29-Jan-15
Pay 9-month TIIE-IRS (9x1) 3.28% 3.38% 3.20% 3.38% Closed Profit 29-Jan-15 29-Jan-15
Pay 5-year TIIE-IRS (65x1) 5.25% 5.39% 5.14% 5.14% Closed Loss 4-Nov-14 14-Nov-14
Long Udibono Dec'17 0.66% 0.45% 0.82% 0.82% Closed Loss 4-Jul-14 26-Sep-14
Relative-value trade, long Mbonos 5-to-10-year Closed Profit 5-May-14 26-Sep-14
Receive 2-year TIIE-IRS (26x1) 3.75% 3.55% 3.90% 3.90% Closed Loss 11-Jul-14 10-Sep-14
Receive 1-year TIIE-IRS (13x1) 4.04% 3.85% 4.20% 3.85% Closed Profit 6-Feb-14 10-Apr-14
Long Udibono Jun'16 0.70% 0.45% 0.90% 0.90% Closed Loss 6-Jan-14 4-Feb-14
Long Mbono Jun'16 4.47% 3.90% 4.67% 4.06% Closed Profit 7-Jun-13 21-Nov-13
Receive 6-month TIIE-IRS (6x1) 3.83% 3.65% 4.00% 3.81% Closed Profit 10-Oct-13 25-Oct-13
Receive 1-year TIIE-IRS (13x1) 3.85% 3.55% 4.00% 3.85% Closed Flat 10-Oct-13 25-Oct-13
Long Udibono Dec'17 1.13% 0.95% 1.28% 1.35% Closed Loss 9-Aug-13 10-Sep-13
Receive 9-month TIIE-IRS (9x1) 4.50% 4.32% 4.65% 4.31% Closed Profit 21-Jun-13 12-Jul-13
Spread TIIE-Libor (10-year) 390bps 365bps 410bps 412bps Closed Loss 7-Jun-13 11-Jun-13
Receive 1-year TIIE-IRS (13x1) 4.22% 4.00% 4.30% 4.30% Closed Loss 19-Apr-13 31-May-13
Long Udibono Jun'22 1.40% 1.20% 1.55% 0.97% Closed Profit 15-Mar-13 3-May-13
Receive 1-year TIIE-IRS (13x1) 4.60% 4.45% 4.70% 4.45% Closed Profit 1-Feb-13 7-Mar-13
Long Mbono Nov'42 6.22% 5.97% 6.40% 5.89% Closed Profit 1-Feb-13 7-Mar-13
Long Udibono Dec'13 1.21% 0.80% 1.40% 1.40% Closed Loss 1-Feb-13 15-Apr-13
Receive 1-year TIIE-IRS (13x1) 4.87% 4.70% 5.00% 4.69% Closed Profit 11-Jan-13 24-Jan-13
Receive TIIE Pay Mbono (10-year) 46bps 35bps 54bps 54bps Closed Loss 19-Oct-12 8-Mar-13
Spread TIIE-Libor (10-year) 410bps 385bps 430bps 342bps Closed Profit 21-Sep-13 8-Mar-13
Long Udibono Dec'12 +0.97% -1.50% +1.20% -6.50% Closed Profit 1-May-12 27-Nov-12
Long Udibono Dec'13 +1.06% 0.90% +1.35% 0.90% Closed Profit 1-May-12 14-Dec-12
1. Carry + ro ll-do wn gains o f 17bps
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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GRUPO FINANCIERO BANORTE S.A.B. de C.V.
Research and Strategy
Gabriel Casillas Olvera Chief Economist and Head of Research gabriel.casillas@banorte.com (55) 4433 - 4695
Raquel Vázquez Godinez Assistant raquel.vazquez@banorte.com (55) 1670 - 2967
Economic Analysis
Delia María Paredes Mier Executive Director of Economic Analysis delia.paredes@banorte.com (55) 5268 - 1694
Alejandro Cervantes Llamas Senior Economist, Mexico alejandro.cervantes@banorte.com (55) 1670 - 2972
Katia Celina Goya Ostos Senior Global Economist katia.goya@banorte.com (55) 1670 - 1821
Miguel Alejandro Calvo
Economist, Regional & Sectorial miguel.calvo@banorte.com (55) 1670 - 2220
Domínguez
Juan Carlos García Viejo Economist, International juan.garcia.viejo@banorte.com (55) 1670 - 2252
Rey Saúl Torres Olivares Analyst saul.torres@banorte.com (55) 1670 - 2957
Lourdes Calvo Fernández Analyst (Edition) lourdes.calvo@banorte.com (55) 1103 - 4000 x 2611
Alejandro Padilla Santana Head Strategist – Fixed income and FX alejandro.padilla@banorte.com (55) 1103 - 4043
Juan Carlos Alderete Macal, CFA FX Strategist juan.alderete.macal@banorte.com (55) 1103 - 4046
Santiago Leal Singer Analyst Fixed income and FX santiago.leal@banorte.com (55) 1670 - 2144
Equity Strategy
Corporate Debt
Tania Abdul Massih Jacobo Director Corporate Debt tania.abdul@banorte.com (55) 5268 - 1672
Hugo Armando Gómez Solís Analyst, Corporate Debt hugoa.gomez@banorte.com (55) 1670 - 2247
Idalia Yanira Céspedes Jaén Analyst, Corporate Debt idalia.cespedes@banorte.com (55) 1670 - 2248
Wholesale Banking
Armando Rodal Espinosa Head of Wholesale Banking armando.rodal@banorte.com (55) 1670 - 1889
Alejandro Eric Faesi Puente Head of Global Markets and Institutional Sales alejandro.faesi@banorte.com (55) 5268 - 1640
Alejandro Aguilar Ceballos Head of Asset Management alejandro.aguilar.ceballos@banorte.com (55) 5268 - 9996
Head of Investment Banking and Structured
Arturo Monroy Ballesteros arturo.monroy.ballesteros@banorte.com (55) 5004 - 1002
Finance
Head of Transactional Banking, Leasing and
Gerardo Zamora Nanez gerardo.zamora@banorte.com (81) 8318 - 5071
Factoring
Jorge de la Vega Grajales Head of Government Banking jorge.delavega@banorte.com (55) 5004 - 5121
Luis Pietrini Sheridan Head of Private Banking luis.pietrini@banorte.com (55) 5004 - 1453
René Gerardo Pimentel Ibarrola Head of Asset Management pimentelr@banorte.com (55) 5268 - 9004
Ricardo Velázquez Rodríguez Head of International Banking rvelazquez@banorte.com (55) 5004 - 5279
Víctor Antonio Roldan Ferrer Head of Corporate Banking victor.roldan.ferrer@banorte.com (55) 5004 - 1454
17