Peso Bonds Drop in Split From U.S. on Greek Woes: Mexico Credit

Mexico’s bonds, the emerging-market securities most correlated with U.S. Treasuries, are no longer moving in lockstep with debt from its northern neighbor as Europe’s debt crisis curbs demand for all but the safest assets.

Yields on Mexico’s peso bonds due in 2021 rose 37 basis points last week to 6.73 percent, the most since they were issued in February, while those on similar-maturity Treasuries sank 21, according to data compiled by Bloomberg. The 120-day correlation coefficient between Mexican bonds and Treasuries dropped to a nine-month low of 0.29 from a high of 0.57. A reading of 1 indicates the two always move in the same direction. Mexican securities now track Turkish bonds more closely than Treasuries.