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Banorte-Ixe FI/FX Strategy

Mexico

Fixed-Income and FX Weekly May 23, 2016


Market outlook www.banorte.com
www.ixe.com.mx
 Strong pressures in local markets. Local rates with a 25bps sell-off along short-
term maturities and 20bps in the long-end; the peso lost 0.9% to 18.34 per dollar Gabriel Casillas
Chief Economist and Head of Research
gabriel.casillas@banorte.com
 The Fed back in the spotlight after a more hawkish tone following the latest
minutes. Markets were caught by surprise last week as the Fed minutes showed a Alejandro Padilla
more hawkish than expected bias, particularly with strong discussions about a Head Strategist – Fixed-Income and FX
alejandro.padilla@banorte.com
possible rate hike as soon as June or July. As a result, the dollar picked up,
equities and bonds fell relatively strongly. Commentary by FOMC members has Juan Carlos Alderete, CFA
also changed its tone, signaling that a move could be in store if data hangs well FX Strategist
juan.alderete.macal@banorte.com
enough (as opposed to the need of looking for further improvement). In this
context, Yellen’s Friday speech on Harvard will be observed with great detail. As Santiago Leal Singer
we approach the June meeting and with other factors at play in global markets Fixed-Income and FX Analyst
santiago.leal@banorte.com
(OPEC meeting next week, and the Brexit vote, among others), volatility could
increase from here. Economic data in the US includes new and pending home Fixed-Income
Market dynamics.…………………….pg. 2
sales, durable goods orders, the second estimate of 1Q16 GDP and U. of Supply………………………………….pg. 3
Michigan confidence. In the Eurozone, May flash PMI’s were below Demand………………………………..pg. 4
Technicals……………………………..pg. 6
expectations, still signaling risks to growth despite added monetary stimulus. We Recommendations…………………...pg. 8
will be focused on discussions over Greece at the Eurogroup/Ecofin meetings and
Germany’s Ifo and ZEW indexes. In the UK the 2nd estimate of 1Q16 GDP and in Foreign exchange
Market dynamics……………………..pg. 9
Japan we had weak trade balance and manufacturing PMI. Central bank meetings Market positioning and flows……....pg. 10
include Israel, Turkey, Colombia, and Hungary. Mexico watchers will be focused Technicals…………………………...pg. 11
Recommendations………………….pg. 13
on the monetary policy front with Banxico’s Quarterly Inflation Report and bi-
weekly CPI. Other figures include March retail sales, April trade balance,
unemployment and budget balance Recommendations
Fixed-Income
Fixed-Income
 We recommend waiting for better
 Supply – On Tuesday, the MoF will auction 1-, 3-, 6-, and 12-month Cetes, the entry levels for long positions in the
belly of the Mbonos curve, as local
20-year Mbono (Nov’34), the 30-year Udibono (Nov’46) and 5-year Bondes D rates are likely to trade sidelines with
relevant factors ahead that could
 Demand – Foreigners’ holdings in Mbonos totaled MXN 1.611 trillion (US$ 89.5 undermine risk premium
billion), a market share equal to 59.6%, as of May 11th. Short positions in Mbono
Dec’24 located at MXN 12.6 billion from previous MXN 5.5 billion FX

 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

Mbonos curve at different closing dates Long-term reference Mbono Dec’24


% %
8.0 8.3
20-May-16 13-May-16 22-May-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

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

Years Jan-11 Jan-12 Jan-13 Jan-14 Jan-15 Jan-16


1Y 5Y 10Y 20Y 30Y

Source: Bloomberg Source: Valmer

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

Cetes Apr 05 1, 3 & 6-month 3-year (Dec'19) 3-year (Jun'19)


1m 23-Jun-16 -- 5,500 3.81 Apr 12 1, 3 & 6-month 20-year (Nov'34) 5-year
3m 25-Aug-16 -- 9,500 3.87 Apr 19 1, 3 & 6-month 5-year (Jun'21) 10-year (Dec'25)
6m 24-Nov-16 -- 11,000 3.94 Apr 26 1, 3, 6, & 12-month 30-year (Nov'42) 30-year (Nov'46)** 5-year
12m 25-May-17 -- 11,000 4.03 May 03 1, 3 & 6-month 3-year (Dec'19) 3-year (Jun'19)
May 10 1, 3 & 6-month 10-year (Mar'26) 5-year
Bondes D
May 17 1, 3 & 6-month 5-year (Jun'21) 10-year (Dec'25)
5y 20-May-21 -- 3,000 0.19
May 24 1, 3, 6, & 12-month 20-year (Nov'34) 30-year (Nov'46) 5-year
Bono M
May 31 1, 3 & 6-month 3-year (Dec'19) 3-year (Jun'19)
20y 23-Nov-34 7.75 2,500 6.46
Jun 07 1, 3 & 6-month 30-year (Nov'42) 5-year
Udibono
Jun 14 1, 3 & 6-month 5-year (Jun'21) 10-year (Dec'25)
30y 8-Nov-46 4.00 400 3.69 Jun 21 1, 3, 6, & 12-month 10-year (Mar'26) 30-year (Nov'46) 5-year
Source: Banorte-IXE with data from Banco de México
Jun 28 1, 3 & 6-month 3-year (Dec'19) 3-year (Jun'19)
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. Source: Ministry of Finance *In case an instrument is auctioned by the syndicated method, the current
2. Yield-to-maturity reported for Cetes, Mbonos and Udibonos 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

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

 Local institutional investors heavily invested in Udibonos. These type of


investors continue with strong holdings in inflation-linked Udibonos (around 67%
of total amount outstanding), and Bondes D (45%)
Government issuance by type of instrument Mbonos holdings by type of investor
Total amount of US$318 billion, % of total Total amount of US$150 billion, % of total

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%

Source: Banxico Source: Banxico

Government bond holdings by type of investor Mbonos holdings by type of investor


US$ billion unless indicated, data as of 05/11/2016
US$ billion and %, data as of May /12/16
Total % of total amount outstanding
amount Foreign Pension Mutual Insurance Total amount Local Foreign Pension and
Banks Other DTM Other
outstanding investors funds funds companies outstanding Banks investors Mutual funds
Zero-coupon Cetes 39 39% 11% 17% 3% 4% 27%
Jun'16 5.6 13% 14% 35% 38%
Floating-rate Bondes D 65 0% 6% 37% 1% 10% 44%
Real-rate Udibonos 13 9% 47% 5% 16% 3% 20% Dec'16 6.0 1% 73% 3% 23%
Fix ed-rate Mbonos 150 60% 15% 5% 3% 5% 13% Jun'17 6.0 1% 82% 1% 16%
Source: Banorte-Ix e w ith data from Banx ico Dec'17 7.7 2% 76% 2% 20%
Jun'18 11.2 17% 66% 10% 8%
Foreign investors holdings of government bonds Dec'18 14.8 2% 65% 5% 29%
US$ billion Dec'19 8.7 15% 44% 16% 25%
Previous
05/11/2016 Difference 05/04/2016 Difference Jun'20 7.1 4% 51% 16% 30%
Week
Zero-coupon Cetes 14.9 15.2 -0.3 25.1 -10.2
Jun'21 13.1 4% 66% 10% 20%
Floating-rate Bondes D 0.2 0.1 0.1 0.1 0.1 Jun'22 6.2 1% 77% 14% 8%
Real-rate Udibonos 1.2 1.2 0.0 1.2 0.0 Dec'23 5.2 3% 72% 20% 5%
Fix ed-rate Mbonos 89.5 90.7 -1.2 86.4 3.1 Dec'24 13.8 0% 71% 17% 12%
Source: Banorte-Ix e w ith data from Banx ico Mar'26 3.7 0% 67% 22% 11%
Jun'27 4.9 3% 58% 31% 8%
Foreign investors holdings of government bonds May'29 5.5 2% 61% 29% 8%
Percentage of total amount outstanding May'31 7.8 2% 42% 49% 7%
05/11/2016
Previous
Difference 05/04/2016 Difference Nov'34 4.5 2% 17% 74% 8%
Week
Nov'36 3.6 1% 34% 56% 9%
Zero-coupon Cetes 38.5% 39.8% -1.3% 51.8% -13.2%
Nov'38 5.8 3% 51% 40% 7%
Floating-rate Bondes D 0.3% 0.2% 0.2% 0.2% 0.1%
9.4% 9.0% 0.4% 9.6% -0.2%
Nov'42 8.8 0% 62% 33% 5%
Real-rate Udibonos
Fix ed-rate Mbonos 59.6% 59.5% 0.1% 59.5% 0.1% Total 150.2 4% 60% 20% 16%
Source: Banorte-Ix e w ith data from Banx ico So urce: B anxico

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

Source: Banxico Source: Banxico

Market makers' short position on Mbonos


US$ million
Total amount
Maturity Date outstanding as of 20-May-16 19-May-16 13-May-16 22-Apr-16 6-month MAX 6-month MIN
20-May-16
Jun'16 5,397 95 95 95 126 448 0
Dec'16 6,041 432 403 389 567 927 376
Jun'17 5,706 29 55 87 79 206 0
Dec'17 7,372 1,016 929 958 687 1,194 201
Jun'18 10,915 93 6 2 0 310 0
Dec'18 14,095 23 4 237 122 463 0
Dec'19 8,635 619 439 292 4 619 0
Jun'20 6,761 153 160 233 70 430 4
Jun'21 13,001 141 185 182 0 763 0
Jun'22 5,961 121 120 123 189 420 48
Dec'23 5,041 2 0 5 28 173 0
Dec'24 13,919 675 790 293 183 790 60
Mar’26 3,603 262 201 240 411 518 0
Jun'27 4,818 65 53 11 14 213 0
May'29 5,328 19 20 23 33 183 0
May'31 7,504 114 53 113 128 280 0
Nov'34 4,356 0 0 1 66 91 0
Nov'36 3,436 89 100 85 124 166 0
Nov'38 5,640 33 29 14 75 212 11
Nov'42 8,679 640 581 513 429 640 54

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

Cumulative implied moves in Banxico’s repo rate


Basis points, using TIIE-MexDer futures
Spread between Cetes and Implied Forward Rates 90

Basis Points 80 77

Tenor Actual Previous Previous 6-month 6-month 6-month 70


23-May-16 Week Month Avg Max Min 60
1-month -76 -30 -96 7 93 -96 50 45
3 months -48 -34 -45 14 87 -57 40
6 months -38 -23 -20 19 71 -42
30
12 months -14 -10 -1 17 38 -25 20
Source: Banorte-Ixe with data from Valmer and Bloomberg 10 5

0
2Q16 3Q16 4Q16

Source: Banorte-Ixe with data from MexDer

 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

 Correlation recovers ground. The 3-month rolling figure has witnessed


moderate but sustained strengthening during May locating at +46% from previous
+39%
Mbono Dec’24 and 10-year UST spread Mexico and US 10-year bonds correlation
Basis points 3-month moving correlation
500 Strong positive correlation
1.0

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

Source: Bloomberg Source: Banorte-Ixe with data from Bloomberg


6
Fixed-Income technicals (continued)
 Excluding Friday, Treasuries sold-off giving up all of May’s 13bps profit,
adjusting from a market revaluation of the Fed’s future actions. Locally, rates
followed their U.S. peers with additional pressure derived from the probability of a
preventive central bank action as the USD/MXN has strongly depreciated in May

 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

Colombia USD/COP 3,052.00 0.2 -2.0 -5.1 4.0 COP 4.0


-2.0
Peru USD/PEN 3.33 0.2 0.1 -2.7 2.4 HUF -0.8
3.4

Hungary USD/HUF 281.01 0.5 -0.8 -2.7 3.4 CLP -0.1


2.5

Malaysia USD/MYR 4.08 0.0 -1.3 -5.3 5.2 PEN 0.1


2.4

Mexico USD/MXN 18.34 0.4 -0.9 -5.8 -6.2 PLN -0.3


-0.9
Poland USD/PLN 3.94 0.1 -0.9 -3.9 -0.3 ZAR -1.1
-1.5
Russia USD/RUB 66.78 0.0 -2.0 -2.4 9.6 MXN -6.2
-0.9
South Africa USD/ZAR 15.63 1.1 -1.5 -9.1 -1.1
Developed Markets JPY 9.2
-1.4
Canada USD/CAD 1.31 -0.2 -1.4 -3.6 5.5 NOK 6.3
-1.4
Great Britain GBP/USD 1.45 -0.8 0.9 1.2 -1.6 CAD 5.5
-1.4
Japan USD/JPY 110.13 -0.2 -1.4 -0.3 9.2 DKK 3.7
-0.8
Eurozone EUR/USD 1.12 0.1 -0.8 -0.7 3.3 EUR 3.3
-0.8
Norway USD/NOK 8.32 0.5 -1.4 -2.4 6.3 SEK 1.5
-0.8
Denmark USD/DKK 6.63 0.1 -0.8 -0.6 3.7 1.1
CHF -1.6
Switzerland USD/CHF 0.99 0.0 -1.6 -1.9 1.1 -0.9
AUD -0.6
New Zealand NZD/USD 0.68 0.4 -0.1 -3.0 -0.9 -0.9
NZD -0.1
Sweden USD/SEK 8.32 0.5 -0.8 -2.3 1.5 -1.6
GBP 0.9
Australia AUD/USD 0.72 -0.1 -0.6 -7.3 -0.9
-25 -20 -15 -10 -5 0 5 10 15 20 25
1. Positive (negative) changes mean appreciation (depreciation) of the corresponding
currency against the USD.
Source: Bloomberg Source: Bloomberg

USD/MXN USD/MXN – intraday


Last 12 months Last 30 trading days
Psychological= 18.50
19.2 18.5
Fibonacci= 18.39
18.7
18.3
18.21
18.2
18.1
17.7 Psychological= 18.00

17.2 17.9 100D MA= 17.93


Fibonacci = 17.74
16.7 17.7
150D MA / support= 17.57 / 17.62
16.2
17.5 Psychological= 17.50
15.7
17.3 200D MA= 17.37
15.2
Fibonacci / Last year's close = 17.22 / 17.21
14.7 17.1
30D Min / Psychological= 17.05 / 17.00
14.2
16.9
May-15 Aug-15 Nov-15 Feb-16 May-16
18-Apr-2016 25-Apr-2016 1-May-2016 6-May-2016 13-May-2016 19-May-2016

Source: Bloomberg Source: Bloomberg, Banorte-Ixe

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

* Positive: Net long in the corresponding currency


Source: CME, Banorte-Ixe Source: CME, Banorte-Ixe

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

* Including only mutual funds’ investments


Source: EPFR Global, Banorte-Ixe Source: EPFR Global, Banorte-Ixe

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

Source: Bloomberg Source: Bloomberg

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

100 MYR 0.02


TRY -0.34
0
COP -0.42
-100
PLN -0.64
-200 BRL -0.89
Cheap Expensive
-300 RUB -0.96
HUF -1.17
-400
Feb-15 Apr-15 Jun-15 Aug-15 Oct-15 Dec-15 Feb-16 Apr-16 -6.0 -5.0 -4.0 -3.0 -2.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0

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 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

Source: Bloomberg Source: Bloomberg, Banorte-Ixe

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

Source: Banorte-Ixe Source: Banorte-Ixe with data from Bloomberg

3M Carry/Vol* and USD/MXN Economic surprise indexes by region


% and pesos per dollar, respectively Pts
0.35 14.0 US
Carry/Vol (LHS) USD/MXN (RHS, inverted)
Eurozone
0.33 Asia Pacific
15.0 80
0.31

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

10:00 MX Current account 1Q16 US$bn 765 -8,950 -7,698


13:00 US 5-year Treasury Bond auction
13:30 MX Quarterly inflation report 1Q16
14:00 US Dallas Fed's Kaplan Speaks at Greater Houston Partnership
05:00 UK Gross domestic product* 1Q16 (P) % q/q 0.4 0.4 0.4
05:15 US Fed's Bullard Speaks in Singapore
08:30 US Initial jobless claims May 21 thousands 270 275 278
Thu 26

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

10:00 US U. of Michigan Confidence May (F) index 95.7 95.6 95.8


10:30 US Fed's Yellen to Speak at Harvard's Radcliffe Day
13:00 CO Monetary policy decision (BanRep) May 27 % -- 7.25 7.00
Source: Bloomberg and Banorte-Ixe. (P) preliminary data; (R) revised data; (F) final data; * Seasonally adjusted.

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 Empire manufacturing May index -9.0 6.5 9.6


Mon 16

19:00 US Fed's Kashkari Holds Town Hall on TBTF in Minneapolis

04:30 UK Consumer prices Apr % y/y 0.3 0.5 0.5


07:30 EZ Trade Balance* Mar billions 22.3 22.0 20.2
08:30 US Housing starts Apr thousands 1,172 1,125 1,089
08:30 US Building permits Apr thousands 1,116 1,134 1,076
08:30 US Consumer prices Apr % m/m 0.4 0.4 0.1
08:30 US Ex. food & enery Apr % m/m 0.2 0.2 0.1
08:30 US Consumer prices Apr %y/y 1.1 1.1 0.9
Tue 17

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

10:00 UK Unemployment rate Mar % 5.1 5.1 5.1


14:00 US FOMC minutes
07:30 EZ ECB minutes
08:30 US Philadelphia Fed May index -1.8 3.0 -1.6
08:30 US Initial jobless claims May 14 thousands 278 275 294
Thu 19

10:00 MX Banxico's minutes


10:30 US Fed's Dudley speaks on Macroeconomic Trends in New York
SA Monetary policy decision (South African Reserve Bank) May 19 % 7.0 7.00 7.00
08:00 BZ Consumer prices May % m/m 0.86 0.74 0.51
08:00 BZ Consumer prices May % y/y 9.62 9.50 9.34
09:00 MX Gross domestic product 1Q16 % y/y 2.6 2.6 2.7
09:00 MX Gross domestic product* 1Q16 % q/q 0.8 0.7 0.8
Fri 20

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

Track of the latest FX trade recommendations*


Trade Idea Entry Target Stop-loss Closed Status P/L* Initial Date End date
Long USD/MXN 14.98 15.50 14.60 15.43 Closed Profit 20-Mar-15 20-Apr-15
Short EUR/MXN 17.70 n.a. n.a. 16.90 Closed Profit 5-Jan-15 15-Jan-15
Tactical trade: Long USD/MXN 14.40 n.a. n.a. 14.85 Closed Profit 15-Dec-14 5-Jan-15
Tactical trade: Long USD/MXN 13.62 n.a. n.a. 14.11 Closed Profit 21-Nov-14 3-Dec-14
Short USD/MXN 13.21 n.a. n.a. 13.64 Closed Loss 10-Sep-14 26-Sep-14
Tactical trade: Short EUR/MXN 17.20 n.a. n.a. 17.03 Closed Profit 27-Aug-14 4-Sep-14
USD/MXN call spread** 12.99 13.30 n.a. 13.02 Closed Loss 6-May-14 13-Jun-14
Directional short USD/MXN 13.00 12.70 13.25 13.28 Closed Loss 31-Oct-13 8-Nov-13
Limit short USD/MXN 13.25 12.90 13.46 -- Cancelled -- 11-Oct-13 17-Oct-13
Speculative short USD/MXN 12.70 12.50 13.00 13.00 Closed Loss 26-Jul-13 21-Aug-13
Short EUR/MXN 16.05 15.70 16.40 15.69 Closed Profit 29-Apr-13 9-May-13
Long USD/MXN 12.60 12.90 12.40 12.40 Closed Loss 11-Mar-13 13-Mar-13
Long USD/MXN 12.60 12.90 12.40 12.85 Closed Profit 11-Jan-13 27-Feb-13
Tactical limit short USD/MXN 12.90 12.75 13.05 -- Cancelled -- 10-Dec-12 17-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.

16
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

Fixed income and FX Strategy

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

Director Equity Research —


Manuel Jiménez Zaldivar manuel.jimenez@banorte.com (55) 5268 - 1671
Telecommunications / Media
Victor Hugo Cortes Castro Equity Research Analyst victorh.cortes@banorte.com (55) 1670 - 1800
Senior Equity Research Analyst –
Marissa Garza Ostos marissa.garza@banorte.com (55) 1670 - 1719
Conglomerates/Financials/ Mining/ Chemistry
Marisol Huerta Mondragón Equity Research Analyst – Food/Beverages marisol.huerta.mondragon@banorte.com (55) 1670 - 1746
Equity Research Analyst – Airports / Cement /
José Itzamna Espitia Hernández jose.espitia@banorte.com (55) 1670 - 2249
Infrastructure / Fibras
Valentín III Mendoza Balderas Equity Research Analyst – Auto parts valentin.mendoza@banorte.com (55) 1670 - 2250

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

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