Greek Crisis Affects Mexican Peso Today

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 last week.

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.

“We expect the European authorities to finally react,” said Alonso Madero, who helps manage about $5.5 billion at Corp. Actinver SAB, in a telephone interview from Mexico City. “We would expect confidence to return to the markets little by little and see the same correlation return.”