MEXICO CITY - Forward trading in Mexican short-term interest rates and consumer prices could begin as soon as next month, after being approved by Mexico's central bank, The Bank of Mexico.
The trading will be allowed in standardized contracts on the Nominal Interest Rate, a 28-day Mexican interbank rate, and the National Index of Consumer Prices, a central bank index published twice monthly. Although the contracts are standardized, like traditional futures contracts, the trading will be done using bilateral agreements among banks and casas de la bolsa (investment banks and brokerage firms) with no central clearinghouse being used, according to a central bank official.
The official noted that trading will be open to domestic and foreign institutions and individuals.
The interest rate agreements will be settled weekly on Thursdays, while the CPI agreements will settle semi-monthly on the days after the CPI is published.
CLEVELAND - Brian B. Strange formed Currency Performance Analytics, a firm that will try to create benchmark indexes of currency overlay managers to be used by managers, pension funds and corporate treasuries.
He said he will use data from currency overlay managers and international managers that hedge currencies to create indexes adjusted to reflect varying country allocations and then applied to the weightings in the Morgan Stanley Capital International Europe Australasia Far East Index. In addition, he will construct indexes that will replicate two "naive" currency hedging strategies, also for use as currency overlay benchmarks.
He also said that he will need a minimum amount of participating managers - perhaps 10 - to make the indexes valid, although he hasn't determined the exact amount needed.
Mr. Strange, who had worked for currency overlay manager A.G. Bisset & Co. Inc., Rowayton, Conn., said Currency Performance Analytics has no clients yet. Initially he is focusing on money managers as potential clients, but will eventually turn to pension funds using currency overlay and treasury managers who use managers for hedging currency exposure.