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DI Swap Rates Trim Gains But Look to Close the Week Bull Flatter

BRAZIL
  • Brazilian DI swap rates drifted higher yesterday, rising +7bp in 2-5Y tenors as taper talk from Fed Speakers Bullard and Kaplan wrong-footed markets somewhat ahead of today's Jackson Hole Symposium.
  • Yesterday's price action trimmed downside gains this week, but the curve remains -23bp bull flatter on week with gains concentrated in the 7-14Y part of the curve.
  • Meanwhile, the 3m-16m section lifted roughly +5-7bp.
  • In line with the broader EM space, Brazil's 5Y CDS also dipped this week alongside 1m implied volatility.
MNI London Bureau | +44 020-3983-7894 | murray.nichol@marketnews.com
MNI London Bureau | +44 020-3983-7894 | murray.nichol@marketnews.com

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