Sexual relationships between young women and older men involving economic transactions have been offered as a likely explanation for gender differences in HIV prevalence in many parts of sub-Saharan Africa. This study employed peer ethnography to explore young women's construction of social identity and risk within age-disparate transactional sexual relationships in Maputo, Mozambique. Peer ethnography, a rapid approach derived from the anthropological method and based upon training members of the target group to carry out in-depth qualitative interviews with their peers, was adopted in order to gather ethnographic data within a short timeframe to produce actionable results for the design of a communications intervention. The study highlights young women's perception of agency and power in these relationships. Through a strategy of extracting financial and material resources from men based on the power of their sexuality, young women construct a positive identity and esteem linked to perceptions of modernity and consumption and their ability to access consumer goods. Current behaviour change HIV prevention messages have little meaning in relation to young women's perceived goals, in a context in which structural conditions offer few opportunities and limited hope for a secure economic future.