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Expiries for Jul23 NY cut 1000ET (Source DTCC)

CANADA DATA

Flash June Factory Sales +1.9%

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Downside Bund play

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  • Latam Swap Rates: Following this morning's CPI print we are seeing the Mexico TIIE swaps curve bear flatten as markets price in a higher likelihood of earlier potential Banxico tightening.
  • Brazilian rates are about 4-7 bps higher across the DI curve, facing pressure as Bolsonaro confirms a new chief-of-staff likely to be an attempt to appease allies from the senate and potentially bolster his own position.
  • Chile and Colombia Swap rates are largely unchanged on the session.
  • Mexico TIIE Swaps:
    • -1-yr +10 bps at 5.52%
    • 2-yr +9 bps at 5.95%
    • 5-yr +8 bps at 6.53%
    • 10-yr +3 bps at 6.94%
  • Brazil DI Swaps:
    • 2-yr +7 bps at 7.19%
    • 5-yr +4 bps at 8.39%
    • 10-yr +5 bps at 9.16%