BradyNet: Editorial

This page is updated frequently--bookmark it for easy reference.
NOTE: You may need to press reload on your browser for the most current version of this page.

Mexican Peso Forward Markets

FUTURES	FUTURES vs. INTEREST RATE PARITY	INTEREST RATES	FORWARD INTEREST RATES	I.R.P. FUTURE PESO
ANTICIPATED DEPRECIATION	COBERTURA CONTRACT	IMPLIED COBERTURA FUTURE	COBERTURA vs. FUTURES	HEDGED RETURNS

Market Commentary

1/0/00 1/0/00 1/0/00 1/0/00 1/0/00

FUTURES $US/MXP MXP/$US

Spot Peso 0.1064 9.40
June Contract 0.1048 9.54
September Contract 0.1023 9.78
December Contract 0.1000 10.00
March Contract 0.0976 10.25

FUTURES vs. INTEREST RATE PARITY
June Contract: 6/18/00

IRP Bid 9.506 0.0336

IRP Offer 9.510 0.0301

CME Future 9.540

September Contract: 9/18/00

IRP Bid 9.725 0.0523

IRP Offer 9.735 0.0431

CME Future 9.778

December Contract 12/18/00

IRP Bid 9.954 0.0489

IRP Offer 9.968 0.0341

CME Future 10.003 0.0000

March Contract 0.000 03/18/01

IRP Bid 10.172 0.0766

IRP Offer 10.192 0.0566

CME Future 10.249

INTEREST RATES Cetes [bid] Cetes [offer] LIBOR
Overnight 13.75% 13.50%
28 days 12.75% 12.50% 6.15%
91 days 14.75% 14.50% 6.32%
182 days 15.75% 15.50% 6.52%
273 days 16.50% 16.25% 6.73%
364 days 16.75% 16.50% 6.84%

FORWARD INTEREST RATES* One Month Three Month Six Month

Months: 0 12.50% 14.50% 15.50%

1 14.27%

2 16.04%

3 15.26% 15.92%

4 15.69%

5 16.13%

6 15.98% 16.46% 16.23%

7 16.22%

8 16.47%

9 15.20% 15.36%

10 15.17%

11 15.13%

12

I.R.P. FUTURE PESO bid offer spread
4/24/00 9.400 9.410 0.010
5/22/00 9.448 9.446 0.002
7/24/00 9.597 9.591 0.006
10/23/00 9.824 9.813 0.012
1/22/01 10.063 10.046 0.017
4/23/01 10.281 10.258 0.022

ANTICIPATED DEPRECIATION I.R.P. Futures Cobertura
4/24/00 until
6/18/00 1.05% 1.46% 1.42%
6/18/00 until
9/18/00 2.31% 2.43% 2.37%
9/18/00 until
12/18/00 2.35% 2.25% 2.44%
12/18/00 until
3/18/01 2.19% 2.40% 2.33%

COBERTURA CONTRACT bid offer

base 9.4

28 days 0.07 0.072

60 days 0.149 0.154

91 days 0.22 0.225

182 days 0.452 0.46

273 days 0.7 0.71

364 days 0.935 0.945

IMPLIED COBERTURA FUTURE bid offer

base 9.40

5/19/00 9.470 9.472

7/21/00 9.620 9.625

10/20/00 9.852 9.860

1/19/01 10.100 10.110

4/20/01 10.335 10.345

COBERTURA vs. FUTURES Cobertura Future

June Contract 6/18/00

Cobertura bid 9.532 9.54

Cobertura offer 9.535

September Contract 9/18/00

Cobertura bid 9.760 9.78

Cobertura offer 9.767

December Contract 12/18/00

Cobertura bid 10.002 10.00

Cobertura offer 10.011

March Contract 3/18/01

Cobertura bid 10.239 10.25

Cobertura offer 10.249

HEDGED RETURNS money market effective

28 day Cobus 2.55% 2.61%

91 day Cobus 4.58% 4.73%

182 day Cobus 4.82% 4.95%

364 day Cobus 4.68% 4.74%

54 day [Cetes/March Future] 4.16% 4.28%

146 day [Cetes/June Future] 5.30% 5.44%

237 day [Cetes/June Future] 6.03% 6.16%

327 day [Cetes/June Future] 6.06% 6.15%

All rates are quoted on a money market basis unless otherwise noted and all prices used in calculations are offer prices, unless otherwise noted.

* The forward interest rates are calculated using rates interpolated between commonly quoted maturities on a straight-line basis.

The information and opinions contained herein do not necessarily express the opinions of BradyNet, Inc. This report has been prepared solely for informational purposes and is not a solicitation of any transaction in the securities with which it deals or an offer to enter into any such transaction. Prices and/or other information in this report are subject to change without prior notice.

Please read our disclaimer.

General Correspondence: bradynet@bradynet.com Questions/Problems? support@bradynet.com

FUTURES	$US/MXP	MXP/$US
Spot Peso	0.1064	9.40
June Contract	0.1048	9.54
September Contract	0.1023	9.78
December Contract	0.1000	10.00
March Contract	0.0976	10.25

FUTURES vs. INTEREST RATE PARITY
June Contract:		6/18/00
IRP Bid	9.506	0.0336
IRP Offer	9.510	0.0301
CME Future	9.540
September Contract:		9/18/00
IRP Bid	9.725	0.0523
IRP Offer	9.735	0.0431
CME Future	9.778
December Contract		12/18/00
IRP Bid	9.954	0.0489
IRP Offer	9.968	0.0341
CME Future	10.003	0.0000
March Contract	0.000	03/18/01
IRP Bid	10.172	0.0766
IRP Offer	10.192	0.0566
CME Future	10.249

INTEREST RATES	Cetes [bid]	Cetes [offer]	LIBOR
Overnight	13.75%	13.50%
28 days	12.75%	12.50%	6.15%
91 days	14.75%	14.50%	6.32%
182 days	15.75%	15.50%	6.52%
273 days	16.50%	16.25%	6.73%
364 days	16.75%	16.50%	6.84%

FORWARD INTEREST RATES*	One Month	Three Month	Six Month
Months: 0	12.50%	14.50%	15.50%
1	14.27%
2	16.04%
3	15.26%	15.92%
4	15.69%
5	16.13%
6	15.98%	16.46%	16.23%
7	16.22%
8	16.47%
9	15.20%	15.36%
10	15.17%
11	15.13%
12

I.R.P. FUTURE PESO	bid	offer	spread
4/24/00	9.400	9.410	0.010
5/22/00	9.448	9.446	0.002
7/24/00	9.597	9.591	0.006
10/23/00	9.824	9.813	0.012
1/22/01	10.063	10.046	0.017
4/23/01	10.281	10.258	0.022

ANTICIPATED DEPRECIATION	I.R.P.	Futures	Cobertura
4/24/00 until
6/18/00	1.05%	1.46%	1.42%
6/18/00 until
9/18/00	2.31%	2.43%	2.37%
9/18/00 until
12/18/00	2.35%	2.25%	2.44%
12/18/00 until
3/18/01	2.19%	2.40%	2.33%

COBERTURA CONTRACT	bid	offer
base	9.4
28 days	0.07	0.072
60 days	0.149	0.154
91 days	0.22	0.225
182 days	0.452	0.46
273 days	0.7	0.71
364 days	0.935	0.945

IMPLIED COBERTURA FUTURE	bid	offer
base	9.40

5/19/00	9.470	9.472
7/21/00	9.620	9.625
10/20/00	9.852	9.860
1/19/01	10.100	10.110
4/20/01	10.335	10.345

COBERTURA vs. FUTURES	Cobertura	Future
June Contract		6/18/00
Cobertura bid	9.532	9.54
Cobertura offer	9.535
September Contract		9/18/00
Cobertura bid	9.760	9.78
Cobertura offer	9.767
December Contract		12/18/00
Cobertura bid	10.002	10.00
Cobertura offer	10.011
March Contract		3/18/01
Cobertura bid	10.239	10.25
Cobertura offer	10.249

HEDGED RETURNS	money market	effective
28 day Cobus	2.55%	2.61%
91 day Cobus	4.58%	4.73%
182 day Cobus	4.82%	4.95%
364 day Cobus	4.68%	4.74%
54 day [Cetes/March Future]	4.16%	4.28%
146 day [Cetes/June Future]	5.30%	5.44%
237 day [Cetes/June Future]	6.03%	6.16%
327 day [Cetes/June Future]	6.06%	6.15%