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One-Year Camara Swap Rate Underperforms Following BCCh

CHILE
  • Despite the median survey estimate correctly predicting that the BCCh would slow the pace of rate cuts to 75bps, the split survey underpinned a marginally hawkish surprise. While Camara swap rates have risen across the curve, specific pressure on the front-end has reflected the adjustment of expectations for short-term monetary policy. One-year swap rates have risen as much as 17bps, increasing the curves inversion.
  • Additional developments and comments filtering through in today’s session have accentuated the moves. Namely, the central bank revising both its 2023 and 2024 year-end CPI forecasts a tenth higher to 4.3% and 3% respectively in the latest monetary policy report. BCCh president Rosanna Costa also highlighted that the Chilean peso has had an important depreciation since June, potentially impacting the central bank’s reaction function at this month’s meeting. Most analysts are now calling for consistent 75bp rate cuts for the rest of this year which would leave the policy rate at the upper bound of the central bank’s estimated 7.75%-8.00% corridor.
  • Chile Camara Swaps:
    • 1-yr +17 bps at 7.54%
    • 2-yr +11 bps at 6.24%
    • 5-yr +9 bps at 5.51%
    • 10-yr +4 bps at 5.44%
    • 30-yr +3 bps at 5.56%
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