MBono Liquidity Tracker: liquidity rebounded in 1H24
Liquidity in the MBono market, as measured by total trading volume, increased in 2Q24 close to historical highs observed last year. Local banks are still the main participants in the MBono market, although foreign investors' activity has increased since the beginning of 2024 after two years of reduced activity. Local pension funds and other local investors’ liquidity also rose in 1H24, as indicated by trading volume, while local mutual funds’ activity was sluggish. Overall, risk exposure was more allocated to assets with tenors shorter than 10Y. In our view, liquidity could further improve as Banxico continues to gradually cut rates. But we must highlight that liquidity is still concentrated in the interbank market rather than with clients.
Udibono Liquidity Tracker: liquidity maintained its upward trend
Liquidity in the Udibono market, measured as trading volume, has maintained an upward trend since 2021 and has continued this year. Local banks remained the most active player in the market; nonetheless, YtD local pension funds and other local investors are increasing their participation in the Udibono market while foreigners are decreasing it. Most investors have added risk exposure to the short and long end of the curve, except for foreigners.
Swaps trading volume: Liquidity in swaps keeps booming, mostly in IRS
The positive trend in liquidity continued in 1H24, although the peak was in 2023. Liquidity measured in terms of trading volume is higher than a year ago. Most of the activity was in the IRS market, as participants keep actively trading monetary policy expectations. Foreign investors were behind the recent uptrend in average trading volume. Volume will most likely remain high as the market moves to price in the easing cycle. Liquidity by maturity was mostly focused on the 0-1Y section; however, liquidity in the 2Y-4Y area also increased compared to previous years.