MXN/USD Futures Contract. April, 2016.
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1 MXN/USD Futures Contract April, 2016.
2 MXN/USD Futures Contract: Description The MXN is the eighth most traded currency in the world, the third most traded in the Americas and the most traded in LATAM. MXN has become the main hedging currency for emerging countries in the same geographical region, specially those that lack local liquidity. High yields offered in Mexican Fixed Income instruments, attract large international cash flows, thus incrementing FX Derivatives trading volume. Useful product to create synthetic rates Daily vs Monthly spreads (Fx Strip) 2
3 MXN/USD Futures Contract: Specifications Underlying: Contract Size: Delivery Months: Trading Symbol: Quotation: Tick: Tick Value: Tick Ratio/ Fee: Initial Margin: Opposite Margin: Trading Hours: Last Trading Day: Maturity date: Settlement: Bloomberg <MMDD> Reuters MXN/FUTEX1 US Dollar $10,000 Dollars Daily, monthly and quarterly, up to 15 years DA Pesos per Dollar Pesos $1 Peso 0.36 times. $9,000 pesos. $3,600 pesos 7:30 to 14:00 hours. Monday of the week of the third Wednesday of the contract month Monday of the week of the third Wednesday of the contract month Physical delivery. DSA<CRNCY>CT 0#MXP: 3
4 MXN/USD Futures Contract: Specifications Initial margin of (*)$ 9, Leverage 19:1 Listed Series: Daily (up to 5 business days) Monthly or Quarterly Up to 15 years Settlement = T+2 Trading Symbol (example): DA19 DC16, where: 19 Delivery day DC Delivery month 16 Delivery year * Clearing Members may require additional margin 4
5 VOLUME OPEN INTEREST MXN/USD Futures Contract Participants: Banks, FCM s, Pension Funds, Mutual Funds, liquidity providers. Competitive trading and clearing costs. 90,000 Average Daily Volume USD / MXN Future 900,000 80,000 VOLUME OPEN INTEREST 800,000 70, ,000 60, ,000 50,000 40,000 30,000 20,000 10, , , , , , Jan-Apr Notional Value: 2016 Pesos USD Average Daily Volume $4,965,711,644 $277,140,
6 MXN/USD Futures Contract: Uses Hedging Importers with USD commitments. Exporters that receive USD flows. Dollar Credits. Infrastructure financing. Arbitrage MexDer s Dollar Future vs CME s Peso Future. Currencies with significant correlation. Strategies: USD funding Synthetic Interest Rates in pesos and in dollars. (FX Strip). 6
7 MXN/USD Futures Contract: Benefits. Smaller contract size = more precise hedging. High level of Open Interest = Portfolio hedging Constant quotations and liquidity in the first 9 monthly deliveries. Expiring Futures available Easy access and easy execution 7
8 Ene-13 Feb-13 Mar-13 Abr-13 May-13 Jun-13 Jul-13 Ago-13 Sep-13 Oct-13 Nov-13 Dic-13 Ene-14 Feb-14 Mar-14 Abr-14 May-14 Jun-14 Jul-14 Ago-14 Sep-14 Oct-14 Nov-14 Dic-14 Ene-15 Feb-15 Mar-15 Abr-15 May-15 Jun-15 Jul-15 Ago-15 Sep-15 Oct-15 Nov-15 Dic-15 Ene-16 Feb-16 Mar-16 Abr-16 Notional Value (Daily Average) Open Interest MXN/USD Futures Contracts August 2014: Open Interest and Volume Record. Competitive execution and clearing fees. MexDer Dollar Future vs CME Peso Future Daily Average (Million USD) $2,500 $16,000 $2,000 $14,000 $12,000 $1,500 $10,000 $8,000 $1,000 $6,000 $500 $4,000 $2,000 $0 $0 1- MexDer Proportion ( Dollar Future) over CME (Peso Future) 8
9 MXN/USD Futures Contracts: Trading Screens. Daily deliveries. Monthly deliveries. Trading book depth. 9
10 Hedging Strategy for a Local Exporter Producer USD$ 915, MXN$ 16'222, Today December 21'16 USD$ MXN / USD Risk Exchange Rate Dropping MXN$ , MexDer s Dollar Futures Sell Today MXN$ , MXN$ 82, MXN$ , Dollar buy on the Cash Market December USD$ 915, ± contracts 92 DA19 DC MXN / USD USD$ MXN / USD December 21'16 MXN$ 82, Hedged a loss of: MXN$ , MXN$ , MXN$ 352,
11 Synthetic MXN Financing MXN$ 9,542, Spot Date 268 days MXN financing requirement (spot) December USD rate for 268 days % MXN rate for 268 days 4.33% FX Spot rate DEUAF MR /.4018 (FWD Points 268 days) A MXN$ 9,542, Borrow 4.33% Spot Date 268 days December Pure MXN 4.33% MXN$ 9 849, B USD$ 550, Borrow Spot Date 268 days December 21'16 DEUAF DC16 FX Strip USD$ -553, MXN$ 9,542, Sell DA22 MR16 Future Spot Date USD$ -550, DA22 MR days Buy DA19 DC16 Future 11 USD$ 550, DA19 DC = December 18'16 MXN$ 9 763, Synthetic MXN %
12 MexDer in the Vendors MexDer Reference in: Bloomberg: MMDD <GO> Thomson Reuters: 0#MEXDER-MEXICO SiBolsa - App Reference Code in Vendors Bloomberg Thomson Reuters MexDer General Reference MMDD <GO> MX/FUTEX1 Futures General Reference MMDF <GO> +2 <GO> MXN/FUTEX1 Options General Reference MMDO <GO> +3 <GO> MXN/OPT1 SWAPS General Reference Most common Node SWAPS MMDD <GO> 6 <GO>7 <GO> MXN/SWAP1 MXNIRS=XD VIMEX (Mexican Volatility Index) VIMEX Index <GO> VIMEX Conversion Factors MX/FACTOR1 12
13 SiBolsa Contact: Juan Pablo Maccise (5255)
14 FUTURES MexDer in the Vendors: Futures Contracts CURRENCIES Bloomberg Thomson Reuters Mexican Peso/ U.S. Dollar DSA<CRNCY>CT 0#MXP: US. Dollar Daily Contracts DSDAILY<CRNCY>CT 0#MXPD: Mexican Peso/ Euro BEA<CRNCY>CT 0#EURO INDICES <INDEX> IPC (Mexican Stock Exchange Index) ISA<INDEX>CT 0#IPC: Mini IPC Future MIPA<INDEX>CT 0#MIP: INDIVIDUAL STOCKS SFUT MD MXN/FUTEX2 28 day TIIE (Interbank Interest Rate) DOA<CMDTY>CT 0#TII: 28 day TIIE Strip MMDD <GO> --> 4 --> 7 10 year IRS Futures Deliverable Centrally Cleared SWAP SWIA<CMDTY>CT 0#SWA10: 2 year IRS Futures Deliverable Centrally Cleared SWAP SWEA<CMDTY>CT 0#SWA02: 91 day Cetes (MXN Treasury Bill) GMA<CMDTY>CT 0#CTE: 3 year Bond in MXN (M3) MAA<CMDTY>CT 0#BN0: 10 years Bond in MXN (M10) DWA<CMDTY>CT 0#B10: Specific 10 Year M Bond (DC24) DCYA<CMDTY>CT 0#DC24B: Specific 20 Year M Bond (MY31) MYOA<CMDTY>CT 0#MY31B: 20 year Bond in MXN (M20) VYBA<CMDTY>CT 0#B20: 30 year Bond in MXN (M30) VYCA<CMDTY>CT 0#B30: 14
15 OPTIONS MexDer in the Vendors: Options Contracts Bloomberg Thomson Reuters INDICES Futures on the IPC ISA<INDEX>OMON 0#IPC*.XD CURRENCIES Mexican Peso/ U.S. Dollar MXX<CRNCY>OMON 0#DA*.XD INDIVIDUAL STOCKS America Móvil L AMXL MM <EQUITY> OMON 0#AX*.XD Cemex CPO CEMEXCP MM <EQUITY> OMON 0#CX*.XD Tlevisa CPO TLEVICPO MM <EQUITY> OMON <0#TV*.XD> GMéxico B GMEXICOB MM <EQUITY> OMON <0#GM*.XD> Walmex V WALMEXV MM <EQUITY> OMON 0#WA*.XD ETF s Naftrac 02 NAFTRAC <EQUITY> OMON 0#NA*.XD 15
16 Contact us Laura Vázquez (5255) Carina Márquez (5255)
17 Contact us Laura Vázquez (5255) Contact a Clearing Member: Actinver Joaquín Alducin jalducin@actinver.com.mx (5255) Banamex CitiGroup Karla Chávez Silva karla.chavezsilva@citi.com (5255) BBVA Bancomer Astryd Marín Quiahuitl.marin@bbva.com (5255) GBM Patricio de la Vega derivados@gbm.com.mx (5255) JPMorgan Marina Kharitonova Marina.x.kharitonova@jpmorgan.com (5255) Santander Guillermo Ochoa Futures_options@santander.com (5255) Scotia Inverlat Guillermo Camou guillermo.camou@scotiabank.com (5255) Note: Clearing members appear in alphabetical order. 17
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