MEXICO: Commerzbank Expecting Weaker Peso Ahead
Sep-03 12:05
- According to Commerzbank, those optimistic about the Mexican peso continue to base their confidence on the seemingly good relationship between the Mexican president and her US counterpart. However, Commerz believe this relationship is by no means as good as some would like it to be. Furthermore, although Banxico has recently slowed the pace of interest rate cuts, Commerz anticipate more cuts than the market expects, given the weakening real economy, and therefore continue to expect a weaker peso.
- Their expectation of a weaker dollar means Commerz do not expect to see levels above 20 again for USDMXN, however, they keep a Dec ’25 forecast of 19.20 for the pair. Separately for EURMXN, they expect a punchy 5.4% appreciation to 23.04 into year-end.
- They also highlight that political risks in Mexico have not disappeared. While it has attracted little attention amid the debate on tariffs, the fact that only the candidates from the governing coalition were elected to the Supreme Court in the recent judicial elections effectively abolishes the separation of powers. The impact remains to be seen, but the risk of rulings that could hinder investment justifies a higher risk premium here.
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STIR: Repo Reference Rates
Aug-04 12:03
- Secured Overnight Financing Rate (SOFR): 4.34% (-0.05), volume: $2.885T
- Broad General Collateral Rate (BGCR): 4.32% (-0.04), volume: $1.143T
- Tri-Party General Collateral Rate (TCR): 4.32% (-0.04), volume: $1.109T
- (rate, volume levels reflect prior session)
US TSYS: Early SOFR/Treasury Option Roundup: Decent Wing Trade
Aug-04 11:52
Decent SOFR & Treasury option trade overnight, mixed wing trade with SOFR leading volumes. Underlying futures trade mixed, short end adding to Friday's post jobs rally, bonds retreating. Projected rate cut pricing jumped vs. pre-data (*) levels: Sep'25 at -22.6bp (-20.9bp), Oct'25 at -41.1bp (-38.4bp), Dec'25 at -61.6bp (-58.3bp), Jan'26 at -73.1bp (-69.4bp).
- SOFR Options:
- over 7,000 SFRV5 96.37/96.62 call spds ref 96.28
- 19,100 SFRZ5 95.75/95.87/96.25/96.37 put condors ref 96.30
- Block, 5,500 SFRM6/2QM6 96.75/97.25 call spd spds
- 1,500 SFRZ5 96.50/96.68/96.75 broken call flys ref 96.295
- 3,500 SFRU5 95.93/96.00/96.06 call flys ref 95.945
- over 9,700 SFRU5 96.00 calls ref 95.94
- 2,250 SFRQ5 96.00/96.25 call spds ref 95.945
- 1,500 SFRV5 96.37/96.62/97.00 call flys ref 96.275
- 3,000 SFRV5 96.50/96.75 call spds ref 96.265
- Block/screen 4,000 SFRZ5 95.75/95.87/96.00 put trees
- 4,500 SFRZ5 95.68/95.81 2x1 put spds
- 2,000 0QH6 97.25/97.50 call spds ref 96.925
- 2,400 SFRH6 96.12 puts ref 96.48
- 1,500 SFRH6/3QH6 97.00/97.50 call spd spds
- 5,500 SFRH6 96.00/96.25/96.37 put trees ref 96.485
- Treasury Options:
- 3,200 TYU5 108/109.5 put spds ref 112-07.5
- 16,000 TYU5 113 calls, 19-20 ref 112-06 (total volume over 29.4k)
- 3,000 TYU5 112/113 1x2 call spds, 3 ref 112-02
- 2,500 TUU5 103.5/103.75 put spd vs. 104/104.25 call spds ref 103-30.25
- 1,100 TYU5 109/111 2x1 put spds ref 112-02
- 1,600 TYU5 109 puts ref 112-02.5
- 1,300 FVU5 108.25/108.75/109/109.75 broken call condors ref108-31.5
- 1,800 FVZ5 114 calls ref 109-08
OPTIONS: Larger FX Option Pipeline
Aug-04 11:14
- EUR/USD: Aug05 $1.1425(E1.6bln), $1.1500(E1.4bln), $1.1550(E1.7bln), $1.1585-00(E2.5bln); Aug06 $1.1500-10(E1.6bln)
- USD/JPY: Aug06 Y152.00($1.0bln); Aug07 Y147.65($1.0bln), Y148.00-15($1.7bln), Y148.50($1.1bln)
- EUR/GBP: Aug05 Gbp0.8650-70(E1.3bln)
- AUD/USD: Aug05 $0.6465-80(A$1.1bln); Aug07 $0.6600(A$2.0bln)
