Mexican tortilla and cornflour maker Gruma, S.A.B. (NYSE: GMK) said that the mark-to-market value of its exchange rate derivatives positions was a negative US$684 million as of Oct. 8, according to a Dow Jones report.

Responding to a request by the Mexican stock exchange for information on its financial position, Gruma said most of the maturities on its derivatives are in 2009, 2010 and 2011.

With respect to Gruma’s exchange rate derivative liabilities in 2008, a November 13, 2008 Sentido Comun report said that the company had obtained a credit line from an undisclosed lender that it will use to close out its derivative positions requiring payments this year. It appears that the company’s 2008 derivative liabilities are the result of margin calls made by the contracting counterparty following the sharp depreciation of the peso in recent months. Without the credit line, the report said Gruma would have been required to pay US$276 million on November 25, 2008 to the counterparty. Gruma did not reveal the name of the counterparty or the financial institution that had brokered its purchase of exchange rate derivative contracts; it may be speculated, however, that they are major Wall Street firms.

The peso’s depreciation has caused a number of major Mexican companies to generate mark-to-market losses in their derivatives positions and engendered extraordinary demand for dollars that sent the peso to record lows and prompted Mexico’s central bank to sell $8.9 billion in the exchange market.

Gruma owns a 9% interest in Grupo Financiero Banorte, the fifth largest bank in Mexico. Gruma said it was exploring financing alternatives to settle its obligations relating to its derivatives with maturities in 2009, 2010, and 2011, which are not currently subject to margin calls.