MXN/USD Futures Contract - Interactive Brokers · MXN/USD Futures Contract: Description • The MXN...
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MXN/USD Futures Contract October, 2014.
Transcript of MXN/USD Futures Contract - Interactive Brokers · MXN/USD Futures Contract: Description • The MXN...
MXN/USD Futures Contract
October, 2014.
www.mexder.com
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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)
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MXN/USD Futures Contract: Specifications
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Underlying: US Dollar
Contract Size: $10,000 Dollars
Delivery Months: Daily, monthly and quarterly, up to 15 years
Trading Symbol: DA
Quotation: Pesos per Dollar
Tick: 0.0001 Pesos
Tick Value: $1 Peso
Tick Ratio/ Fee: 0.36 times.
Initial Margin: $9,000 pesos.
Opposite Margin: $3,600 pesos
Trading Hours: 7:30 to 14:00 hours.
Last Trading Day: Monday of the week of the third Wednesday of the contract month
Maturity date: Monday of the week of the third Wednesday of the contract month
Settlement: Physical delivery.
Bloomberg <MMDD> DSA<CRNCY>CT
Reuters MXN/FUTEX1 0#MXP:
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MXN/USD Futures Contract: Specifications
• Initial margin of $ 9,000.00 Leverage 14:1
• Listed Series: • Daily (up to 5 business days)
• Monthly or
• Quarterly
• Up to 15 years
• Settlement = T+2
• Trading Symbol (example):
DA16 JN15, where:
16 Delivery day
JN Delivery month
15 Delivery year
* Clearing Members may require additional margin
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• Participants: Banks, FCM’s, Pension Funds, Mutual Funds, liquidity
providers.
• Competitive trading and clearing costs.
MXN/USD Futures Contract
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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).
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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
• 40% volume growth in the last year.
• Easy access and easy execution
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MXN/USD Futures Contracts
• August 2014: Open Interest and Volume Record.
• Competitive execution and clearing fees.
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MXN/USD Futures Contracts: Trading Screens.
• Daily deliveries.
• Monthly deliveries.
• Trading book depth.
Hedging Strategy for a Local Exporter Producer
USD$ 915,350.00 MXN$ 12,550,363.85
USD$ 915,350.00
@ 13.7110 MXN / USD
Today June 17'15
Today
MXN$ 12,614,120.00
USD$ 915,350.00 ± 91.53 contracts 92 DA15 JN15 contracts @ 13.7110 MXN / USD
USD$ 4,650.00.00 @ 13.3543 MXN / USD
MXN$ 62,097.50
MXN$ 12,614,120.00 -MXN$ 62,097.50
MXN$ 12,552,022.50
MXN$ 12,223,858.51 MXN$ 12,552,022.50
MXN$ 328,163.99 Hedged a loss of:
Risk Exchange Rate Dropping
MexDer´s Dollar Futures Sell
Dollar buy on the Cash Market
June 17'15
June 17'15
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Synthetic MXN Financing
MXN rate for 251 days 3.34 %
FX Spot rate 13.4396
Spot Date
June 17'15
MXN financing requirement (spot)
Borrow USD @ .2643%
Sell DA07 OC14 Future
June 17'15
Spot Date
251 days
USD rate for 251 days 0.2643 % MXN$ 9,542,116.00
Spot Date
Buy DA17 JN15 Future
USD$ 710,000.00
251 days
USD$ -711,308.36
USD$ -710,000.00 71 DA07 OC14 contracts @ 13.4396
MXN$ 9,542,116.00
MXN$ 9,704,848.00
USD$ 710,000.00 71 DA17 JN15 contracts @ 13.4396 + .2292 = 13.6688
DEUAF JN15 .2265/.2292 (FWD Points 251 days)
Spot Date
251 days
Borrow MXN @ 3.34%
MXN$ 9,542,116.00
MXN$ 9,764,325.38
A
B
June 17'15
June 17'15
Pure MXN
Financing
@ 3.34%
Synthetic MXN
Financing
@ 2.446% 251 days
DEUAF JN15 FX Strip
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MexDer in the Vendors
MexDer Reference in:
Bloomberg: MMDD <GO>
Thomson Reuters: 0#MEXDER-MEXICO
SiBolsa - App
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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
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MexDer in the Vendors: Futures Contracts
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Bloomberg Thomson Reuters
CURRENCIES
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:
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#DC24:
Specific 20 Year M Bond (MY31) MYOA<CMDTY>CT 0#BD31M:
20 year Bond in MXN (M20) VYBA<CMDTY>CT 0#B20:
30 year Bond in MXN (M30) VYCA<CMDTY>CT 0#B30:
FU
TU
RE
S
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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
BRTRAC 10 BRTRAC MM <equity> OMON <GO> 0#BR*.XD
OP
TIO
NS
MexDer in the Vendors: Options Contracts
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Contact us
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Berenice Corral [email protected]
(5255) 5342-9930
Reynaldo Lozano [email protected]
(5255) 5342-9921
17 Member SIPC www.sipc.org
[email protected] www.ibkr.com/webinars
MEXDER Offering
Interactive Brokers presents
Judith Casasampere
Interactive Brokers Corp.
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